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 March 31, 2021

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 ý
	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.   o

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)	4
	Statements of Changes in Partners’ Capital (Net Asset Value)	5
	Notes to Financial Statements	6
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	23
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	25
Item 4.	Controls and Procedures	25
PART II – OTHER INFORMATION		26
Item 1.	Legal Proceedings	26
Item 1A.	Risk Factors	26
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	26
Item 3.	Defaults Upon Senior Securities	26
Item 4.	Mine Safety Disclosure	26
Item 5.	Other Information	26
Item 6.	Exhibits	27
Signatures		28
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.

STATEMENT OF FINANCIAL CONDITION

MARCH 31, 2021 (Unaudited) and DECEMBER 31, 2020 (Audited)

ASSETS	2021		2020
Equity in commodity broker account:
Cash deposit with broker	$	6,418,081	$	3,372,393
Segregated cash		1,696,858		1,975,939
Segregated foreign currency (cost - $580,153 and $803,988)		572,624		826,081
Net unrealized gain on open forward contracts		–		59,383
Net unrealized gain on open futures contracts		71,527		1,124,294
Total assets in commodity broker account		8,759,090		7,358,090
Cash		22,919,139		31,267,694
Total assets	$	31,678,229	$	38,625,784
LIABILITIES
Equity in commodity broker account:
Net unrealized loss on open forward contracts	$	9,658	$	–
Total liabilities in commodity broker account		9,658		–
Redemptions payable		2,180,970		5,917,175
Commissions payable		38,447		46,140
Management fee payable		29,152		33,960
Service fees payable		32,612		33,518
Advisory fee payable		23,915		28,090
Incentive fee payable		1,734		–
Administrative fee payable		6,341		7,262
Other liabilities		72,955		64,390
Total liabilities		2,395,784		6,130,535
PARTNERS’ CAPITAL (NET ASSET VALUE)
General Partner		3,032		2,933
Limited Partners		29,279,413		32,492,316
Total partners’ capital (Net Asset Value)		29,282,445		32,495,249
Total liabilities and partners’ capital	$	31,678,229	$	38,625,784

See accompanying notes.

1

ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULES OF INVESTMENTS

MARCH 31, 2021 (Unaudited)

	Range of Expiration Dates	Number of Contracts		Fair Value			% of Partners' Capital
LONG FUTURES CONTRACTS:
Commodities	Apr 21 - Sep 21		183	$	93,662			0.32%
Currencies	Jun-21		210		(51,014	)		(0.17)%
Interest Rates	Jun 21 - Mar 24		320		(136,369	)		(0.47)%
Metals	Apr 21, Jul 21		47		(85,297	)		(0.29)%
Energies	Apr 21 - Jun 22		49		(9,305	)		(0.03)%
Stock Indices	Apr 21 - Jun 21		74		50,455			0.17%
Total long futures contracts			883		(137,868	)		(0.47)%
SHORT FUTURES CONTRACTS:
Commodities	May 21 - Jul 21		4		3,641			0.01%
Currencies	Jun-21		96		188,973			0.65%
Interest Rates	Jun 21 - Mar 22		55		8,501			0.03%
Energies	May 21 - Jun 21		10		(1,100	)		0.00%
Metals	Apr 21 - May 21		21		9,380			0.03%
Total short futures contracts			186		209,395			0.72%
Total futures contracts				$	71,527			0.25%
UNREALIZED GAIN ON FORWARD CONTRACTS:
Currencies	Apr 21 - Jun 21			$	37,763			0.13%
UNREALIZED LOSS ON FORWARD CONTRACTS:
Currencies	Apr 21 -Jun 21				(47,421	)		(0.16)%
Total forward currency contracts				$	(9,658	)		(0.03)%

See accompanying notes.

2

ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULES OF INVESTMENTS

DECEMBER 31, 2020 (Audited)

	Range of Expiration Dates	Number of Contracts		Fair Value			% of Partners' Capital
LONG FUTURES CONTRACTS:
Agriculture	Jan 21 - May 21		257	$	359,454			1.11%
Currencies	Mar-21		183		147,745			0.45%
Energy	Jan 21 - Dec 21		24		37,854			0.12%
Interest Rates	Mar 21 - Dec 23		1,006		61,398			0.19%
Metals	Jan 21 - Apr 21		124		281,151			0.87%
Stock Indices	Jan 21 - Mar 21		98		178,787			0.55%
Total long futures contracts			1,812		1,080,983			3.33%
SHORT FUTURES CONTRACTS:
Agriculture	Jan 21 - May 21		27		(26,386	)		(0.08)%
Currencies	Mar-21		18		(17,020	)		(0.05)%
Energy	Jan 21 - Apr 21		24		19,320			0.06%
Interest Rates	Mar 21 - Jun 21		6		1,491			0.00%
Metals	Jan 21 - Mar 21		68		65,906			0.20%
Total short futures contracts			143		43,311			0.13%
Total futures contracts				$	1,124,294			3.46%
UNREALIZED GAIN ON FORWARD CONTRACTS:
Currencies	Jan 21 - Mar 21			$	104,642			0.32%
UNREALIZED LOSS ON FORWARD CONTRACTS:
Currencies	Jan 21 - Mar 21				(45,259	)		(0.14)%
Total forward currency contracts				$	59,383			0.18%

See accompanying notes.

3

ALTEGRIS WINTON FUTURES FUND, L.P.

STATEMENTS OF INCOME (LOSS)

FOR THE THREE MONTHS ENDED MARCH 31, 2021 AND 2020 (Unaudited)

	2021			2020
TRADING GAINS (LOSSES)
Gain (loss) on trading of derivatives contracts
Net realized	$	2,549,484		$	(9,223,204	)
Net change in unrealized		(1,121,808	)		1,644,944
Brokerage commissions		(119,000	)		(330,806	)
Net gain (loss) from trading derivatives contracts		1,308,676			(7,909,066	)
Gain on trading of securities
Net change in unrealized		–			6,805
Net gain from trading securities		–			6,805
Gain (loss) on trading of foreign currency
Net realized		21,045			(32,453	)
Net change in unrealized		(29,622	)		(21,655	)
Net loss from trading foreign currency		(8,577	)		(54,108	)
Total trading gains (losses)		1,300,099			(7,956,369	)
NET INVESTMENT LOSS
Income
Interest income		13			272,208
Net investment income		13			272,208
Expenses
Management fee		88,802			219,860
Service fee		76,365			191,456
Advisory fee		72,754			208,010
Professional fees		11,232			89,797
Administrative fee		19,339			43,507
Incentive fee		1,734			–
Interest expense		6,245			3,612
Other expenses		5,585			13,147
Total expenses		282,056			769,389
Net investment loss		(282,043	)		(497,181	)
NET INCOME (LOSS)	$	1,018,056		$	(8,453,550	)

See accompanying notes.

4

ALTEGRIS WINTON FUTURES FUND, L.P.

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

FOR THE THREE MONTHS ENDED MARCH 31, 2021 AND 2020 (Unaudited)

					Limited Partners
					Original			Original			Special									Institutional			General
		Total			Class A			Class B			Interests			Class A			Class B			Interests			Partner
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		(5,204,975	)		(546,166	)		(29,991	)		–			(3,919,395	)		(709,423	)		–			–
From operations:
Net investment loss		(497,181	)		(23,819	)		(516	)		(34,628	)		(327,797	)		(80,445	)		(29,959	)		(17	)
Net realized loss from investments (net of brokerage commissions)		(9,586,463	)		(534,760	)		(21,027	)		(2,029,630	)		(3,755,456	)		(1,925,805	)		(1,319,392	)		(393	)
Net change in unrealized gain from investments		1,630,094			87,873			2,566			359,793			609,084			336,860			233,849			69
Net loss for the three months ended March 31, 2020		(8,453,550	)		(470,706	)		(18,977	)		(1,704,465	)		(3,474,169	)		(1,669,390	)		(1,115,502	)		(341	)
Balances at March 31, 2020	$	78,126,271		$	4,320,818		$	173,527		$	16,967,359		$	29,798,976		$	15,834,016		$	11,028,290		$	3,285
Balances at December 31, 2020	$	32,495,249		$	2,777,153		$	155,990		$	–		$	16,445,631		$	7,582,715		$	5,530,827		$	2,933
Capital withdrawals		(4,230,860	)		(488,338	)		(25,606	)		–			(2,453,124	)		(258,806	)		(1,004,986	)		–
From operations:
Net investment loss		(282,043	)		(13,629	)		(721	)		–			(184,018	)		(54,852	)		(28,801	)		(22	)
Net realized gain from investments (net of brokerage commissions)		2,451,529			202,143			10,687			–			1,228,440			582,467			427,563			229
Net change in unrealized loss from investments		(1,151,430	)		(96,879	)		(5,272	)		–			(575,583	)		(274,202	)		(199,386	)		(108	)
Net income for the three months ended March 31, 2021		1,018,056			91,635			4,694			–			468,839			253,413			199,376			99
Balances at March 31, 2021	$	29,282,445		$	2,380,450		$	135,078		$	–		$	14,461,346		$	7,577,322		$	4,725,217		$	3,032

See accompanying notes

5

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 March 31, 2021 and December 31, 2020, and reported amounts of income and expenses for the three months ended March 31, 2021 and 2020, respectively. Management believes that the estimates utilized in preparing the Partnership’s financial statements are reasonable; however, actual results could differ from these estimates and it is reasonably possible that differences could be material.

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

C.       Fair Value

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

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

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

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

6

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

C.       Fair Value (continued)

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

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

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

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

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

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 March 31, 2021 and December 31, 2020, the Partnership did not hold U.S. government agency bonds and notes.

The fair value of corporate notes is determined using recently executed transactions, market price quotations (where observable), notes spreads or credit default swap spreads. The spread data used are for the same maturity as that of the notes. If the spread data does not reference the issuer, data that references a comparable issuer is used. When observable price quotations are not available, fair value is determined based on cash flow models with yield curves, bond, or single-name credit default swap spreads and recovery rates based on collateral values as key inputs. These valuation methods represent both a market and income approach to fair value measurement. Corporate notes are categorized in Level 2 of the fair value hierarchy; however, in instances where significant inputs are unobservable, they are categorized in Level 3 of the hierarchy. As of March 31, 2021 or December 31, 2020, the Partnership did not hold corporate notes.

The fair value of certificates of deposit is determined based on a constant maturity curve for comparable instruments denominated in USD. This valuation method represents both a market and income approach to fair value measurement. Certificates of deposit are categorized in Level 2 of the fair value hierarchy.

7

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

C.       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 three month period ended March 31, 2021 and the year ended December 31, 2020.

The following table presents information about the Partnership’s assets and liabilities measured at fair value as March 31, 2021 and December 31, 2020:

									Balance as of
March 31, 2021	Level 1			Level 2			Level 3		March 31, 2021
Assets:
Futures contracts (1)	$	664,453		$	–		$	–	$	664,453
Forward currency contracts (1)		–			37,763			–		37,763
	$	664,453		$	37,763		$	–	$	702,216
Liabilities:
Futures contracts (1)	$	(592,926	)	$	–		$	–	$	(592,926	)
Forward currency contracts (1)		–			(47,421	)		–		(47,421	)
	$	(592,926	)	$	(47,421	)	$	–	$	(640,347	)

										Balance as of
December 31, 2020		Level 1			Level 2			Level 3		December 31, 2020
Assets:
Futures contracts (1)	$	1,288,294		$	–		$	–	$	1,288,294
Forward currency contracts (1)		–			104,642			–		104,642
	$	1,288,294		$	104,642		$	–	$	1,392,936
Liabilities:
Futures contracts (1)	$	(164,000	)	$	–		$	–	$	(164,000	)
Forward currency contracts (1)		–			(45,259	)		–		(45,259	)
	$	(164,000	)	$	(45,259	)	$	–	$	(209,259	)

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

For the period ended March 31, 2021 and the year ended December 31, 2020, there were no Level 3 securities.

8

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

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 March 31, 2021 and December 31, 2020, the Partnership’s restricted cash balance on the Statements of Financial Condition of $1,696,858 and $1,975,939, respectively, represents the collateral pledged by the Partnership to satisfy the Clearing Broker’s margin requirements in US Dollars. As of March 31, 2021 and December 31, 2020, the Partnership’s restricted foreign currency balance on the Statements of Financial Condition of $572,624 and $826,081, 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 First Republic Bank (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”).

9

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 March 31, 2021 and December 31, 2020, the Partnership did not hold any option contracts.

F.       Futures Contracts

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

There are several risks in connection with the use of futures contracts as an investment option. The change in value of futures contracts primarily corresponds with the value of their underlying instruments. In addition, there is the risk that the Partnership may not be able to enter into a closing transaction because of an illiquid secondary market. Open positions in futures contracts at March 31, 2021 and December 31, 2020 are reflected within the Condensed Schedules of Investments.

10

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

G.       Forward Currency Contracts

Forward currency contracts are entered into as an economic hedge against foreign currency exchange rate risk related to portfolio positions. A forward currency contract is an obligation to purchase or sell a currency against another currency at a future date at an agreed upon price and quantity. Forward currency contracts are traded over-the-counter and not on an organized exchange. Forward currency contracts help to manage the overall exposure to the foreign currency backing some of the investments held by the Partnership. Each contract is marked-to-market daily and the change in market value is recorded by the Partnership as an unrealized gain or loss. When the contract is closed, the Partnership records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of forward currency contracts involves the risk that counterparties may not meet the terms of the agreement or unfavorable movements in the value of a foreign currency relative to the U.S. dollar. Open forward currency contracts at March 31, 2021 and December 31, 2020 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 J.P.Morgan Chase Bank, N.A., First Republic Bank 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.

J.       Income Taxes

The Partnership is treated as a partnership for U.S. federal income tax purposes. As such, the partners are individually liable for their own distributable share of taxable income or loss. No provision has been made in the accompanying financial statements for U.S., federal, state, or local income taxes.

The Partnership is required to determine whether its tax positions are more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The tax benefit recognized is measured as the largest amount of benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. De-recognition of a tax benefit previously recognized results in the Partnership recording a tax liability that reduces ending partners’ capital. Based on its tax analysis, the Partnership has determined that it has not incurred any liability for unrecognized tax benefits for any of the Partnership's open tax years. However, the Partnership’s conclusions may be subject to review and adjustment at a later date based on factors including, but not limited to, on-going analyses of and changes to tax laws, regulations and interpretations thereof. The Partnership’s tax returns remain open for examination by United States federal tax authorities for a period of three years and by state tax authorities for a period of four years from the date they are filed. Taxes associated with foreign tax jurisdictions remain subject to examination based on varying statutes of limitations, if any. The Partnership is additionally not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. As a result, no other income tax liability or expense has been recorded in the accompanying financial statements.

11

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

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.

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 three months ended March 31, 2021 and 2020.

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 months ended March 31, 2021 and 2020 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 months ended March 31, 2021, administrative fees for Class A and Class B Interests were $13,130 and $6,209, respectively. For the three months ended March 31, 2020, administrative fees for Class A and Class B Interests were $29,007 and $14,500, respectively. General Partner’s Interest, Original Class A, Original Class B, Special Interests and Institutional Interests did not get charged the administrative fee.

12

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.

Effective February 12, 2021, the General Partner and affiliated Altegris companies became owned and controlled by Altegris Holdings, LLC (Altegris Holdings) and indirectly owned and controlled by Continuum Capital Managers LLC (Continuum) and by AV5 Acquisition, LLC (AV5). Continuum is owned by Douglas C. Grip and Steven E. Vanourny. AV5 is owned solely by Matthew Osborne, Altegris Advisors’ Chief Executive Officer and Chief Investment Officer.

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 March 31, 2021 and December 31, 2020, the Partnership had commissions and brokerage fees payable to its introducing broker of $32,033 and $34,410, respectively, and service fees payable to Altegris Investments of $17 and $51, 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 months ended March 31, 2021 and 2020:

		Three months		Three months
		ended		ended
		March 31, 2021		March 31, 2020
Altegris Clearing Solutions - Brokerage Commission fees		$	102,790	$	267,660
Altegris Investments- Service fees			53		36,967
	Total	$	102,843	$	304,627

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 months ended March 31, 2021 and 2020 are shown on the Statements of Income (Loss).

13

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 4 - ADVISORY CONTRACT (CONTINUED)

Interest holders will be assessed a monthly advisory fee paid to the Advisor 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 months ended March 31, 2021, advisory fees for Class A, Class B, Original Class B and Institutional Interests were $39,787, $18,817, $350 and $13,800, respectively. For the three months ended March 31, 2020, advisory fees for Class A, Class B, Original Class B, Special Interests and Institutional Interests were $87,902, $43,939, $521, $45,851 and $29,797 respectively. General Partner’s Interest and Original Class A Interests did not get charged the advisory 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 months ended March 31, 2021, service fees for General Partner’s Interest, Original Class A and Class A were $15, $6,868 and $69,482, respectively. For the three months ended March 31, 2020, service fees for General Partner’s Interest, Original Class A and Class A were $17, $23,900 and $167,539, respectively. Class B, Original Class B and Special Interests did not get charged the service fees.

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.

14

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

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 March 31, 2021 and December 31, 2020. 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.

March 31, 2021
		Assets		Liability
Type of		Derivatives		Derivatives			Net
Derivatives Contracts		Fair Value		Fair Value			Fair Value
Futures Contracts
Commodities	$	210,992	$	(113,689	)	$	97,303
Currencies		237,767		(99,808	)		137,959
Interest Rates		23,375		(151,243	)		(127,868	)
Energies		58,606		(69,011	)		(10,405	)
Metals		57,666		(133,583	)		(75,917	)
Stock Indices		76,047		(25,592	)		50,455
Total Futures Contracts	$	664,453	$	(592,926	)	$	71,527
Forward Currency Contracts	$	37,763	$	(47,421	)	$	(9,658	)
Total Gross Fair Value of Derivatives Contracts	$	702,216	$	(640,347	)	$	61,869

15

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

December 31, 2020
		Assets		Liability
Type of		Derivatives		Derivatives			Net
Derivatives Contracts		Fair Value		Fair Value			Fair Value
Futures Contracts
Agriculture	$	375,948	$	(42,880	)	$	333,068
Currencies		147,745		(17,020	)		130,725
Energy		66,662		(9,488	)		57,174
Interest Rates		90,063		(12,580	)		77,483
Metals		426,382		(79,325	)		347,057
Stock Indices		181,494		(2,707	)		178,787
Total Futures Contracts	$	1,288,294	$	(164,000	)	$	1,124,294
Forward Currency Contracts	$	104,642	$	(45,259	)	$	59,383
Total Gross Fair Value of Derivatives Contracts	$	1,392,936	$	(209,259	)	$	1,183,677

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 months ended March 31, 2021 and 2020.

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 March 31, 2021
Type of				Change in			Average Notional
Derivatives Contracts	Realized			Unrealized			Value of Contracts
Futures Contracts
Commodities	$	859,341		$	(235,765	)
Currencies		249,112			7,234
Interest Rates		(358,538	)		(205,351	)
Metals		574,023			(422,974	)
Energies		472,626			(67,579	)
Stock Indices		713,394			(128,332	)
Total Futures Contracts	$	2,509,958		$	(1,052,767	)	$	75,734,411	(1)
Forward Currency Contracts	$	39,526		$	(69,041	)	$	9,427,005	(2)
Total Gain (loss) from Derivatives Contracts	$	2,549,484		$	(1,121,808	)

16

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

Three Months Ended March 31, 2020
Type of				Change in			Average Notional
Derivatives Contracts	Realized			Unrealized			Value of Contracts
Futures Contracts
Agricultural	$	(738,971	)	$	597,183
Currencies		(1,386,110	)		457,803
Energy		(1,239,227	)		87,047
Interest Rates		38,301			935,887
Metals		(362,802	)		648,843
Stock Indices		(5,210,776	)		(338,984	)
Total Futures Contracts	$	(8,899,585	)	$	2,387,779		$	358,732,904	(1)
Forward Currency Contracts	$	(323,619	)	$	(742,835	)	$	46,334,042	(2)
Total Gain (loss) from Derivatives Contracts	$	(9,223,204	)	$	1,644,944

1) The average notional value of futures contracts are representative of the Partnership’s volume of derivative activity for futures contracts during the respective period.

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 period.

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.

17

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

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

Offsetting the Financial Assets and Derivative Assets
As of March 31, 2021								Gross Amount 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	$	37,763	$	(37,763	)	$	–	$	–	$	–	$	–
							–
Total	$	37,763	$	(37,763	)	$	–	$	–	$	–	$	–

Offsetting the Financial Liabilities and Derivative Liabilities
As of March 31, 2021									Gross Amount 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	$	47,421	$	(37,763	)	$	9,658	$	–	$	(9,658	)	$	–
Total	$	47,421	$	(37,763	)	$	9,658	$	–	$	(9,658	)	$	–

18

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, 2020							Gross Amount 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	$	104, 642	$	(45,259)	$	59,383	$	–	$	–	$	59,383
Total	$	104,642	$	(45,259)	$	59,383	$	–	$	–	$	59,383

Offsetting the Financial Liabilities and Derivative Liabilities
As of December 31, 2020								Gross Amount 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	$	(45,259	)	$	45,259	$	–	$	–	$	–	$	–
Total	$	(45,259	)	$	45,259	$	–	$	–	$	–	$	–

(1) The Partnership posted additional collateral of $618,740 as of March 31, 2021 and $461,977 for December 31, 2020 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.

19

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

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

The Partnership participates in the speculative trading of commodity futures contracts and forward currency contracts, substantially all of which are subject to margin requirements. The minimum amount of margin required for each contract is set from time to time in response to various market factors by the respective exchanges and interbank market makers. Further for futures contracts and options on futures contracts, the Clearing Broker has the right to require margin in excess of the minimum exchange requirement. Risk arises from changes in the value of these contracts (market risk) and the potential inability of brokers or interbank market makers to perform under the terms of their contracts (credit risk).

All of the contracts, with the exception of forward currency contracts, currently traded by the Partnership are exchange traded. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over-the-counter transactions because, in over-the-counter transactions, the Partnership must rely solely on the credit of its respective individual counterparties. For forward currency contracts, the Partnership is subject to the credit risk associated with counterparty non-performance. The credit risk from counterparty non-performance associated with such instruments is the net unrealized gain on forward currency contracts.

The Partnership also has credit risk since the sole counterparty to all domestic futures contracts is the exchange clearing corporation. In addition, the Partnership bears the risk of financial failure by the Clearing Broker. The Partnership's policy is to continuously monitor its exposure to market and counterparty risk through the use of a variety of financial, position and credit exposure reporting and control procedures. In addition, the Partnership has a policy of reviewing the credit standing of each clearing broker or counterparty with which it conducts business.

The Partnership has a substantial portion of its assets on deposit with the Custodian in U.S. government agency bonds and notes and corporate notes. Risks arise from investments in bonds and notes due to possible illiquidity and the potential for default by the issuer or counterparty. Such instruments are also sensitive to changes in interest rates and economic conditions.

Governments worldwide have enacted emergency measures to combat the spread of a novel strain of coronavirus (COVID-19). These measures, which include the implementation of travel bans, closing of non-essential businesses, self-imposed quarantine periods and social distancing, have caused significant volatility in global equity markets and material disruptions to businesses globally resulting in an economic slowdown. Governments and central banks have reacted with significant monetary and fiscal interventions designed to stabilize economic conditions.

The duration of the COVID-19 global pandemic is unknown at this time, but it is likely to have an ongoing effect on the financial markets where the Fund operates. It is possible that market volatility related to COVID-19 could be in excess of the sensitivities disclosed in the notes to the financial statements.

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.

20

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 months ended March 31, 2021 and 2020. This information has been derived from information presented in the financial statements.

	Three months ended March 31, 2021
	Original		Original						Institutional
	Class A		Class B		Class A		Class B		Interests
Total return for Limited Partners (3)
Return prior to incentive fees		3.63%		3.63%		2.99%		3.42%		3.63%
Incentive fees		(0.00)%		(0.00)%		(0.01)%		(0.00)%		(0.00)%
Total return after incentive fees		3.63%		3.63%		2.98%		3.42%		3.63%
Ratio to average net asset value
Expenses prior to incentive fees (2)		2.07%		2.06%		4.58%		2.92%		2.09%
Incentive fees (3)		0.00%		0.00%		0.01%		0.00%		0.00%
Total expenses		2.07%		2.06%		4.59%		2.92%		2.09%
Net investment (loss) (1) (2)		(2.07)%		(2.06)%		(4.58)%		(2.92)%		(2.09)%

	Three months ended March 31, 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		(9.40)%		(9.19)%		(9.13)%		(9.84)%		(9.38)%		(9.19)%
Incentive fees		(0.00)%		(0.00)%		(0.00)%		(0.00)%		(0.00)%		(0.00)%
Total return after incentive fees		(9.40)%		(9.19)%		(9.13)%		(9.84)%		(9.38)%		(9.19)%
Ratio to average net asset value
Expenses prior to incentive fees (2)		3.25%		2.31%		2.00%		5.13%		3.11%		2.26%
Incentive fees (3)		0.00%		0.00%		0.00%		0.00%		0.00%		0.00%
Total expenses		3.25%		2.31%		2.00%		5.13%		3.11%		2.26%
Net investment (loss) (1) (2)		(1.96)%		(1.03)%		(0.77)%		(3.84)%		(1.87)%		(1.02)%

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) (3)	Annualized. Not annualized.

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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 March 31, 2021 have occurred that would require recognition or disclosure, except as noted below.

From April 1, 2021 through May 17, 2021, the Partnership had redemptions of $4,010,721.

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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 March 31, 2021, 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 March 31, 2021

During the first quarter of 2021, the Partnership achieved net realized and unrealized gains of $1,300,099 from its trading activities, and net of brokerage commissions of $119,000. The Partnership accrued total expenses of $282,056 including $88,802 in management fees paid to the General Partner, $1,734 in incentive fees, and $191,520 in service and professional fees. The Partnership earned $13 in interest income during the first quarter of 2021. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the first quarter of 2021 is set forth below.

Market movements in the first quarter were driven by hopes for a rebound in global economic growth and the prospect of rising inflation. An uptrend in commodity prices, rising government bond yields and a sector rotation within equities continued into the new year. WTI crude prices briefly rose past $65 a barrel for the first time since 2018, the US 10-year Treasury yield crossed 1.7%, and the MSCI World climbed to new record highs. At the same time, the US dollar, which trended downwards against most major currencies in 2020, reversed direction and strengthened over the three months, most notably against the Japanese yen and euro. 

An uptrend in commodity prices, which started during the second quarter of 2020, continued through the first quarter of 2021, accounting for most of the Partnership’s profits. The gains were driven by long positions resulting from a range of signals, with several non-trend signals making notable contributions in agriculture and energies. Lean hogs, gasoline, copper and soybeans were all among the top contributors. Trend-following systems benefited from long positions in stock indices, with global equity markets climbing to new record highs, although these profits were reduced by losses from a long-term macro value signal. A short position in the Japanese yen led the profits in currencies, where carry systems accounted for most of the gains. Fixed income was the only notable detractor during the quarter. Yields rose across the board over the three months, alongside concerns about the effect of rising inflation. While the Partnership’s overall beta to fixed income has been negative since January, positioning in the sector only turned net short in government bonds in March and remains long in short-term interest rates.

Overall, the Partnership was well positioned for this buoyant market environment as both trend-following and systematic macro signals contributed positively to performance. The Partnership heads into the second quarter of 2021 with a moderate “risk-on” construct.

Three Months Ended March 31, 2020

During the first quarter of 2020, the Partnership achieved net realized and unrealized losses of $7,956,369 from its trading activities, and net of brokerage commissions of $330,806. The Partnership accrued total expenses of $769,389 including $219,860 in management fees paid to the General Partner, $0 in incentive fees, and $281,253 in service and professional fees. The Partnership earned $272,208 in interest income during the first quarter of 2020. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the first quarter of 2020 is set forth below.

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. 

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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 March 31, 2021.

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.

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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, as amended, with the Securities and Exchange Commission on March 29, 2021.

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 first calendar quarter of 2021:

Month	Amount Redeemed
January 31, 2021	$	908,769
February 28, 2021	$	1,096,298
March 31, 2021	$	2,225,794

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.

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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.

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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: May 17, 2021

ALTEGRIS WINTON FUTURES FUND, L.P.

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

/s/ Matthew C. Osborne

Matthew C. Osborne

Principal Executive Officer and Principal Financial Officer

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