EDGAR 10-K Filing

Company CIK: 1198415
Filing Year: 2021
Filename: 1198415_10-K_2021_0001683168-21-001079.json

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ITEM 1. BUSINESS
ITEM 1: BUSINESS
(a) General Development of Business
Altegris Winton Futures Fund, L.P. (the “Partnership”) is a limited partnership organized under the Colorado Uniform Limited Partnership Act in March 1999. The Partnership’s business is the speculative trading and investment in international futures, options and forward markets (“Commodity Interests”). The Partnership commenced its trading and investment operations in November 1999.
On December 31, 2014, pursuant to an internal reorganization of Altegris Portfolio Management, Inc., then the general partner of the Partnership, and certain affiliated entities, Altegris Portfolio Management, Inc. (“APM”) merged with and into its affiliate, Altegris Advisors, L.L.C., a Delaware limited liability company (the “Transaction”). By operation of law and pursuant to Paragraph 12 of the Partnership’s Second Amended Agreement of Limited Partnership, effective as of April 14, 2011, as amended, Altegris Advisors, L.L.C. then became, and was admitted as, the general partner of the Partnership (the “General Partner”).
The General Partner has sole responsibility for management and administration of all aspects of the Partnership’s business. Investors purchasing limited partnership interests (the “Interests”) in the Partnership (“Limited Partners” and together with the General Partner, “Partners”) have no rights to participate in the management of the Partnership.
The General Partner is registered with the Commodity Futures Trading Commission (“CFTC”) as a Commodity Pool Operator (“CPO”) and is a member of National Futures Association (“NFA”). Winton Capital Management Limited, a United Kingdom Company, acts as the Partnership’s trading advisor (“Advisor”). The Advisor is registered with the CFTC as a Commodity Trading Advisor and is authorized and regulated by the United Kingdom’s Financial Conduct Authority.
Altegris Investments, L.L.C. (“Altegris”), an affiliate of the General Partner, serves as a selling agent of the Interests and acted as the Partnership’s introducing broker until January 1, 2011, when Altegris Futures L.L.C. (“Altegris Futures”) replaced Altegris as the Partnership’s introducing broker. On December 31, 2014, Altegris Futures merged with and into its affiliate, Altegris Clearing Solutions, L.L.C. Altegris Clearing Solutions, L.L.C. is registered with the CFTC as an Introducing Broker (“Clearing Solutions” or the “Introducing Broker”).
The Partnership’s term will end upon the first to occur of the following: December 31, 2035; receipt by the General Partner of an election to dissolve the Partnership at a specified time by Limited Partners owning more than 50% of the Interests then outstanding, notice of which is sent by registered mail to the General Partner not less than ninety (90) days prior to the effective date of such dissolution; withdrawal (including withdrawal after suspension of trading), admitted or court decreed insolvency or dissolution of the General Partner; termination of the Partnership pursuant to the terms of the Limited Partnership Agreement; or any event that makes it unlawful for the existence of the Partnership to be continued or requiring termination of the Partnership.
The Partnership is not required to be, and is not, registered under the Investment Company Act of 1940, as amended
As of January 31, 2021, the aggregate net asset value of the Interests in the Partnership before redemptions was $32,342,810. The Partnership operates on a calendar fiscal year and has no subsidiaries.
The Partnership offers three “classes” of Interests: Class A, Class B and Institutional Interests (each, a “Class of Interest”). The Classes of Interests differ from each other only in the fees that they pay and the applicable investment minimums. The Partnership also issues Special Class Interests, pursuant to the Limited Partnership Agreement, but Special Class Interests are not generally offered.
(b) Financial Information About Segments
The Partnership’s business constitutes only one segment for financial reporting purposes - i.e., a speculative “commodity pool.” The Partnership does not engage in sales of goods or services. Financial information regarding the Partnership’s business is set forth in the Partnership’s financial statements, included herewith.
(c) Narrative Description of Business
The Partnership is designed to produce long-term capital appreciation through growth, and not current income. The General Partner has selected the Advisor to trade one of the Advisor’s proprietary trading models, the Winton Futures SMA Program (the “Program”), on behalf of the Partnership. The Advisor currently has the authority to trade the Program on behalf of the Partnership in all the easily accessible and liquid commodity interests (comprising international futures, options and forward markets) that it practically can, which currently consists mainly of commodity interests that are futures, options and forward contracts and certain OTC products, such as swaps in the following areas: stock indices, bonds, short term interest rates, currencies, precious and base metals, grains, livestock, energy and agricultural products.
The Advisor’s investment technique in trading the Program consists of trading a broadly diversified portfolio of highly liquid financial instruments across numerous futures markets, and may also include certain OTC instruments and government securities, employing a computerized, technical, principally trend-following trading system. This system tracks the daily price movements and other data from these markets around the world, and carries out certain computations to determine each day how long or short the portfolio should be to maximize profit within a certain range of risk. If rising prices are anticipated, a long position will be established; a short position will be established if prices are expected to fall.
The trading methods applied by the Advisor to trade the Program on behalf of the Partnership are proprietary, complex and confidential. As a result, the following explanation is of necessity general in nature and not intended to be exhaustive. The Advisor plans to continue the research and development of its trading methodology and, therefore, retains the right to revise any methods or strategy, including the technical trading factors used, the commodity interests traded and/or the money management principles applied.
The Program traded by the Advisor pursues a technical trend-following system. Technical analysis refers to analysis based on data intrinsic to a market, such as price and volume. This is to be contrasted with fundamental analysis which relies on factors external to a market, such as supply and demand. The Program uses no fundamental factors.
A trend-following system is one that attempts to take advantage of the observable tendency of the markets to trend (that is, to move from one price point to another, either higher or lower over a period of time), and to tend to make exaggerated movements in both upward and downward directions as a result of such trends. These exaggerated movements are largely explained as a result of the influence of crowd psychology or the herd instinct, amongst market participants.
The Advisor developed the Program by relating the probability of the size and direction of future price movements with certain indicators derived from past price movements which characterize the degree of trending of each market at any time.
The Program follows a primarily non-discretionary system. This means that trading signals are automatically generated by its models and, except in extreme situations, are followed to the letter. The Advisor has found that the absence of discretion promotes greater consistency in performance and lessens the opportunity for less reliable anecdotal evidence and personal judgment to influence decision-making. In unusual market situations, the Advisor reserves the right to deviate from its automatic system.
The Advisor will select the type of order to be used in executing each trade on behalf of the Partnership and may use any type of order permitted by the exchange on which the order is placed. The Advisor may place individual orders for each account it trades, or a block order for all accounts it trades, in which the same commodity interest is being cleared through the same clearing broker. In the latter instance, the Advisor will allocate trades to individual accounts using a proprietary algorithm. The aim of this algorithm is to achieve an average price for transactions as close as mathematically possible for each account. This takes the form of an optimization process where the objective is to minimize the variation in the average traded price for each account. On occasion, it may direct the clearing broker for the accounts to employ a neutral order allocation system to assign trades. Partial fills will be allocated in proportion to account size.
The trading strategy and account management principles of the Program described above are factors upon which the Advisor will base its trading decisions. Such principles may be revised from time to time by the Advisor as it deems advisable or necessary. Accordingly, no assurance is given that all of these factors will be considered with respect to every trade or recommendation made on behalf of the Partnership or that consideration of any of these factors in a particular situation will lessen the risk of loss or increase the potential for profits.
It is expected that between 5% and 50% of the Partnership’s assets generally will be held as initial margin or option premiums (in cash or United States (“U.S.”) Treasury Department (“Treasury”) securities) in the Partnership’s brokerage accounts at its clearing broker, SG Americas Securities, LLC (“SGAS”), a futures commission merchant (“FCM”), and available for trading by the Advisor in Commodity Interests on behalf of the Partnership, or at SG Newedge UK (an affiliate of SGAS) which may from time to time execute spot or other over-the-counter foreign exchange transactions as a counterparty to the Partnership. Interest on Partnership assets held at SGAS or an affiliate in cash or Treasury securities will be credited to the Partnership as described under “Charges.” Depending on market factors, the amount of margin or option premiums held at SGAS could change significantly, and all of the Partnership’s assets are available for use as margin. The Partnership may also retain other brokers and/or dealers from time to time to clear or execute a portion of Partnership trades made by the Advisor.
With respect to Partnership assets not held at SGAS as described above, such proceeds are deposited with JPMorgan Chase Bank, N.A. (the “Custodian”) and held in cash or U.S. Treasury securities, or held in other bank cash accounts (and used to pay Partnership operating expenses). The Partnership’s custody agreement allows the Custodian to use sub-advisers to attempt to increase yield enhancement, and if so utilized, the Custodian and/or sub-adviser(s) will receive fees for cash management services. The General Partner may direct that a portion of Partnership assets be deposited with other custodians and retain other sub-advisers for the purpose of attempting to increase yield enhancement via other cash management arrangements.
The percentage of the Partnership’s assets deposited with these firms is also subject to change in the General Partner’s sole discretion. The Partnership’s assets will not be commingled with the assets of any other person. Depositing the Partnership’s assets with banks or SGAS, or other clearing brokers, as segregated funds is not commingling for these purposes.
The Partnership pays all of its ongoing liabilities, expenses and costs. The General Partner receives a management fee of 0.104% of the month-end net asset value, before deduction for any accrued incentive fees related to the current quarter (the “management fee net asset value”), of all Class A Interests (1.25% per annum), 0.104% of the month-end management fee net asset value of all Class B Interests (1.25% per annum) and 0.0625% of the month-end management fee net asset value of all Institutional Interests (0.75% per annum), 0.0625% (0.75%) of all Original Class A Interests, 0.146% (1.75%) of all Original Class B Interests, and currently 0.0417% to 0.0625% (0.50% to 0.75% annually) of all Special Class Interests of the Partnership’s management fee net asset value. The Advisor receives a management fee of 0.083% of the management fee net asset value of the month-end capital account balances of all Interests (1.0% per annum) and 20% of quarterly trading profits applicable to each Class of Interest.
Each selling agent selling Class A Interests receives 0.166% of the month-end net asset value of the Partnership apportioned to each Class A Interest sold by such selling agent (2% per annum) and may elect to receive 0.0417% of the month-end net asset value apportioned to any Institutional Interest sold by such selling agent (0.50% per annum).
SGAS paid, during 2020, to the Introducing Broker a portion of the brokerage commissions and transaction fees received from the Partnership as well as a portion of the interest income received on the Partnership’s assets. Monthly brokerage charges equal to the greater of (A) actual commissions of $9.75 per round-turn (higher for certain exchanges or commodities) multiplied by number of round-turn trades, which amount includes other transaction costs; or (B) an amount equal to 0.125% of the management fee net asset value of all Interest holders’ month-end capital account balances (1.50% annually). A round-turn is both the purchase, or sale, of a commodity interest contract and the subsequent offsetting sale, or purchase, of the contract. If actual monthly commissions and transaction costs in (A) above are less than the amount in (B) above, the Partnership will pay the difference to the Introducing Broker as payment for brokerage-related services. In any month when the amount in (A) is greater than the amount in (B) above, the Partnership pays only the amount described in (A) above.
The Partnership generally pays its operating expenses as they are incurred. A fixed administrative fee is charged to Class A and Class B Interests and paid to the General Partner equal to 0.0275% of the management fee net asset value of the month-end capital account balance of all such Class A and Class B Interests (0.333% per annum).
(d) Regulation
The CFTC has delegated to NFA responsibility for the registration of “commodity trading advisors,” “commodity pool operators,” “futures commission merchants,” “introducing brokers,” “swap dealers,” “major swap participants” and, in most cases, their respective associated persons, as well as “floor brokers” and “floor traders.” The Commodity Exchange Act requires commodity pool operators such as the General Partner, commodity trading advisors such as the Advisor and commodity brokers or FCMs such as SGAS and introducing brokers such as the Introducing Broker to be registered and to comply with various reporting and record keeping requirements. CFTC regulations also require FCMs and certain introducing brokers to maintain a minimum level of net capital. In addition, the CFTC and certain commodities exchanges have established limits referred to as “speculative position limits” on the maximum net long or net short speculative positions that any person may hold or control in any particular futures or options contracts traded on U.S. commodities exchanges. Similar position limits may in the future be put in place with respect to swaps that are exchange- traded or are economically equivalent to exchange-traded swaps or futures contracts. All accounts owned or managed by the Advisor will be combined for position limit purposes. The Advisor could be required to liquidate positions held for the Partnership in order to comply with such limits. Any such liquidation could result in substantial costs to the Partnership. In addition, many futures exchanges impose limits beyond which the price of a futures contract may not trade during the course of a trading day, and there is a potential for a futures contract to hit its daily price limit for several days in a row, making it impossible for the Advisor to liquidate a position and thereby experiencing a dramatic loss. Certain deliverable currency forward contracts are subject to limited regulation in the United States, including reporting and recordkeeping requirements.
In addition to the registration requirements described above, the CFTC and certain commodity exchanges have established limits on the maximum net long or net short position which any person may hold or control in particular commodities. Most exchanges also limit the changes in futures contract prices that may occur during a single trading day. The CFTC may in the future also implement position limits for certain exempt commodity contracts, including metals and energy contracts, with respect to futures, options on futures, and economically equivalent swaps. If such position limits are adopted, they could materially affect the Partnership’s trading strategy.
Deliverable currency forward contracts are currently subject to only limited regulation in the United States. The Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Reform Act”) was enacted in July 2010, and gave the CFTC jurisdiction over non-deliverable currency forward contracts. The Reform Act mandates that a substantial portion of over-the-counter derivatives must be executed in regulated markets and submitted for clearing to regulated clearinghouses, and the CFTC may impose such a requirement on non- deliverable currency forward contracts. The mandates imposed by the Reform Act may result in the Partnership bearing higher upfront and mark-to-market margin, less favorable trade pricing, and the possible imposition of new or increased fees with respect to any swaps entered into by the Partnership.
The Partnership has no employees.
Financial Information About Geographic Areas
The Partnership has no operations in foreign countries although it trades on foreign exchanges and other non-U.S. markets. The Partnership does not engage in sales of goods or services.

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ITEM 1A. RISK FACTORS
ITEM 1A: RISK FACTORS
Set forth below are the principal risks associated with an investment in the Partnership.
Disruption and Stress in Global Markets May Affect Partnership Returns
During 2007-2009, the global financial markets experienced a period of unprecedented disruption and stress. Markets previously thought to be uncorrelated were shown to be correlated, credit markets in some cases ceased functioning, many markets experienced record levels of volatility and governments have intervened in extraordinary and unpredictable ways, at times on an emergency basis, to the detriment of certain market participants. There can be no assurance that similar market disruptions will not occur in the future or that the Partnership will be profitable in such market environments or that it will avoid substantial (or total) losses.
Partnership Performance is Dependent on General Economic Conditions, which the Advisor has no Ability to Control
The success of any investment activity is affected by general economic conditions that affect the level and volatility of prices as well as the liquidity of the markets. From time to time, the economic viability of an entire strategy may deteriorate, due to general economic events that disrupt the source of profits that the strategy seeks to exploit. There may be certain general market conditions in which the investment program pursued by the Advisor is unlikely to be profitable, and the Advisor has no ability to control or predict such market conditions.
Commodity Interests Trading Is Speculative and May Affect Partnership Performance
Commodity Interest prices are highly volatile. Price movements for futures contracts, for example, which may fluctuate substantially during a short period of time, are influenced by numerous factors that affect the commodities markets, including, but not limited to: changing supply and demand relationships; government programs and policies; national and international political and economic events and changes in interest rates.
Commodity Interests Trading Is Highly Leveraged and May Affect Partnership Performance
The low margin deposits normally required in trading Commodity Interests permit an extremely high degree of leverage. Accordingly, a relatively small price movement in a Commodity Interest may result in an immediate and substantial loss to the investor. Like other leveraged investments, any Commodity Interest trade may result in losses in excess of the amount invested. Although the Partnership may lose more than its initial margin on a trade, the Partnership, and not any Limited Partner personally, will be subject to margin calls.
Commodity Interests Trading May Be Illiquid and May Affect Partnership Liquidity
Most U.S. commodity futures exchanges impose daily limits regulating the maximum amount above or below the previous day’s settlement price within which a futures contract price may fluctuate during a single day. During a single trading day no trades may be executed at prices beyond the daily limit. Once the price of a particular futures contract has increased or decreased to the limit point, it may be difficult, costly or impossible to liquidate a position. Futures prices in particular contracts have occasionally moved the daily limit for several consecutive days with little or no trading. If this occurs, the Partnership might be prevented from promptly liquidating unfavorable positions which could result in substantial losses. Those losses could significantly exceed the margin initially committed to the trades involved. In addition, even if prices have not moved the daily limit, or if there are no limits for the contracts traded by the Partnership, the Partnership may not be able to execute trades at favorable prices if little trading in the contracts is taking place. It is also possible that an exchange or the CFTC may suspend trading in a particular contract, order immediate settlement of a contract or order that trading be to the liquidation of open positions only.
Trading Decisions Based on Technical Analysis May Affect Partnership Performance
The Advisor uses trading programs that use “technical” factors in identifying price moves. The success of technical analysis depends upon the occurrence in the future of price movements. Technical systems will not be profitable and may in fact produce losses if there are no market moves of the kind the system seeks to follow. Any factor that would make it more difficult to execute the trades identified, such as a reduction of liquidity, also would reduce profitability. There is no assurance that the Advisor’s trading systems will generate profits under all or any market conditions.
The Similarity of Commodity Trading Systems May Limit Performance of the Partnership
Commodity trading systems which use signals like the Advisor’s are not new. If many traders follow similar systems, these systems may generate similar buy and sell orders at the same time. Depending on the liquidity of a market, this could cause difficulty in executing orders. The General Partner believes that although there has been an increase in the number of trading systems in recent years, there also has been an increase in the overall trading volume and liquidity in the futures markets.
Reliance on Key Personnel Could Adversely Affect the Advisor and the Partnership
The Advisor has exclusive responsibility for trading Commodity Interests for the Partnership. The Advisor depends on the services of one or two key persons. If they cannot or will not provide those services, it could adversely affect the Advisor’s ability to trade for the Partnership. If this occurs, the General Partner may terminate the contract.
There are No Assurances of the Advisor’s Continued Services to the Partnership
Either the Advisor or the Partnership can terminate the advisory contract on written notice.
Any Changes in Trading Strategies May Adversely Affect Partnership Performance
The Advisor can make any changes in its trading strategies if it believes that they will be in the Partnership’s best interests. A change in Commodity Interests traded is not a change in trading strategy.
There are Possible Negative Effects of Speculative Position Limits and Accountability Levels
The CFTC and U.S. exchanges have established speculative position limits and accountability levels. Position limits control the number of net long or net short speculative futures or option (on futures) positions any person may hold or control in futures or option contracts traded on U.S. exchanges. Position accountability levels are position levels established by an exchange that, if reached by a person, cause such person to be subject to instructions by such exchange to reduce or not increase such position. Most trading advisors control the commodity trading of other accounts. All positions and accounts owned or controlled by the Advisor and its principals are combined with the Partnership’s positions established by it for position limit and accountability level purposes. In order to comply with position limits or exchange limitations arising out of having positions subject to accountability levels, it is possible that the Advisor will have to modify its trading instructions, and that positions held by the Partnership will have to be liquidated. That could have a negative effect on the Partnership’s profitability. In addition, all commodity accounts of the General Partner and its affiliates may also be combined with the Partnership for position limit and accountability level purposes.
An Increase in Amount of Funds Managed by the Advisor May Affect Partnership Performance
If the Advisor manages more money in the future, such additional funds could affect its performance or trading strategies. There is no guarantee that the Partnership’s investment results will be similar to the Advisor’s past performance.
Trading in Options May Result in Significant Losses for the Partnership
Part of the Partnership’s trading may be in options and options on futures contracts. Although successful commodity options trading and futures trading require many of the same skills, the risks involved are somewhat different. For example, if the Partnership buys an option (either to sell or purchase a contract), it will pay a “premium” representing the market value of the option. Unless it becomes profitable to exercise or offset the option before it expires, the Partnership will lose the entire amount of the premium. On the other hand, if the Partnership sells an option (either to sell or purchase a futures contract), its broker credits the premium, but the Partnership must deposit margin in case the option is exercised. Traders who sell options are subject to the entire loss that may occur in the underlying futures position (less any premium received). Commodity options trading on exchanges is regulated by both the CFTC and those exchanges. The Partnership did not engage in the trading of options and options on futures contracts during the fiscal years ended December 31, 2020 and December 31, 2019.
Changes in the Number of Available Futures Contracts and Related Options May Reduce Partnership Performance
U.S. and foreign exchanges have established new futures and options contracts in the past few years. This trend could continue. The Advisor’s trading strategy might not be successful trading those new contracts.
Competition for Trades with Other Clients of the Advisor May Limit Partnership Performance
The Advisor manages other accounts. This increases the competition for the same trades which the Partnership makes. The Advisor may manage other accounts that pay fees that are different than those the Partnership pays. Therefore, it has a potential conflict of interest. There is no assurance that the Partnership’s trading will generate the same results as any other accounts the Advisor manages.
Failure of Clearing Brokers, Counterparties, Banks, Custodians and other Financial Firms May Subject the Partnership to Significant Losses
Commodity brokers must maintain the Partnership’s assets (other than assets used to trade foreign futures or options on foreign markets) in a segregated account. If SGAS goes bankrupt, the Partnership could lose money as it may only be able to recover a pro rata share of the property available for distribution to all of SGAS’s customers. In addition, even if SGAS adequately segregates the Partnership’s assets, the Partnership may still be subject to risk of loss of funds on deposit with SGAS should another customer of SGAS fail to satisfy deficiencies in such other customer’s account.
Other institutions will have custody of the assets of the Partnership, including the Custodian and various other banks or financial institutions whose services are utilized by the Partnership. Such institutions may encounter financial difficulties that impair the Partnership’s operating capabilities or capital position. The General Partner will attempt to limit the Partnership’s deposits and transactions to only well-capitalized institutions in an effort to mitigate such risks, but there can be no assurance that even a well-capitalized, major institution will not become bankrupt or otherwise fail.
Past Results of the Partnership Are Not Necessarily Indicative of Future Performance
Although some of the Advisor’s client accounts have been profitable in the past, prospective Limited Partners should take seriously the required CFTC and the NFA warning that past results are not necessarily indicative of future performance, and an investment in the Partnership is speculative and involves a substantial risk of loss.
FOREIGN INSTRUMENTS
Trading on Foreign Exchanges and Currency Exchange Rate Fluctuations May Reduce Partnership Performance
The Partnership trades on foreign exchanges and other non-U.S. markets. Neither existing CFTC regulations nor regulations of any other U.S. governmental agency apply to transactions on foreign markets. The Partnership is at risk for fluctuations in the exchange rate between the currencies in which it trades and U.S. dollars. It also is possible that exchange controls could be imposed in the future. There is no restriction on how much of the Partnership’s trading might be on foreign markets. Although trading on behalf of the Partnership may occur on foreign exchanges or in non-U.S. markets, assets of the Partnership will not be held in custody outside of the U.S.
Forward and Cash Trading May Increase Volatility and Reduce Partnership Performance
The Partnership may trade in spot and forward contracts on currencies. For this purpose, the Partnership will contract with or through SGAS to make or take future delivery of a particular currency. SGAS or its affiliates may extend the Partnership a credit line to enable it to engage in such trading. The Partnership may also trade options on currencies. Although the currency market is not believed to be necessarily more volatile than the market in other commodities, there is less protection against defaults in the forward trading of currencies because such contracts are not effected on or through an exchange or clearinghouse. Trading in forward currencies and over-the-counter derivatives, including swaps and options, among sophisticated market participants is not generally regulated by any regulatory body. Therefore, with respect to this trading, the Partnership is not afforded the protections provided by trading on regulated exchanges, including segregation of funds. In any principal contract, the Partnership must rely on the creditworthiness of its counterparty.
The trading of over-the-counter instruments subjects the Partnership to a variety of risks including: 1) counterparty risk; 2) basis risk; 3) interest rate risk; 4) settlement risk; 5) legal risk; and 6) operational risk. Counterparty risk is the risk that the Partnership’s counterparties might default on their obligation to pay or perform generally on their obligations. The over-the-counter markets and some foreign markets are “principals’ markets.” That means that performance of the contract is the responsibility only of the individual firm or member on the other side of the trade and not any exchange or clearing corporation. Such “counterparty risk” is accentuated for contracts with longer maturities where events may intervene to prevent settlement, or where the Partnership has concentrated its transactions with a single or small group of counterparties. Basis risk is the risk attributable to the movements in the spread between the derivative contract price and the future price of the underlying instrument. Interest rate risk is the general risk associated with movements in interest rates. Settlement risk is the risk that a settlement in a transfer system does not take place as expected. Legal risk is the risk that a transaction proves unenforceable in law or because it has been inadequately documented. Operational risk is the risk of unexpected losses arising from deficiencies in a firm’s management information, support and control systems and procedures. Transactions in over-the-counter derivatives may involve other risks as well, as there is no exchange market on which to close out an open position. It may be impossible to liquidate an existing position, to assess the value of a position or to assess the exposure to risk.
Exchange for Physicals May Increase Counter-Party Credit Risk for the Partnership
The Advisor may exchange a cash, forward or spot market position outside of regular trading hours for a comparable futures position. Such transactions are subject to counterparty creditworthiness risk. The CFTC has permitted the futures exchanges to expand the types of over-the-counter positions that can be part of an exchange for physicals position.
LIMITED PARTNERSHIP ISSUES
Substantial Charges to Partnership May Limit Returns to Limited Partners
The Partnership pays substantial fees and charges. As a result, the Partnership must make substantial profits for the Interests to increase in value.
Potential Cross Liability May Increase Exposure to Risks for the Partnership
The Partnership offers Class A, Class B and Institutional Interests. The only difference between the Interests is the investment minimum and fees. Capital contributions by a single subscriber for a Class of Interest upon acceptance of the subscriber as a Limited Partner will represent a single Interest in the Partnership for that subscriber’s respective Class of Interest. An Interest in any Class reflects a Partner’s percentage of the Partnership’s net assets with respect to the Class of Interest owned by the Partner. Interests are not issued in certificate form. Although separate Classes of Interests are offered, the proceeds from the sale of Interests will be pooled by the Partnership and traded as a single account. Although the Classes of Interests differ with respect to investment minimum and fees, all Partnership Interests are equally subject (in proportion to the size of their respective Interest) to the Partnership’s debts, liabilities and obligations as set out in the Partnership Agreement - regardless of Class designation. Class designation does not offer protection against the general creditors of the Partnership or any other Class of Interest.
There Is No Intrinsic Value to the Partnership’s Investments
The Partnership must make profits for it to provide beneficial diversification to its investors’ portfolio. Trading is a “zero-sum” activity in which for every gain there is an equal and offsetting loss (disregarding transaction costs). This differs from a typical securities investment, in which there is an expectation of consistent yields (in the case of bonds) or participation over time in general economic growth (in the case of stocks). The Partnership could lose money while stock and bond prices rise. Stocks and bonds (except penny stocks) generally have some intrinsic value. You generally can realize some value for your stocks or bonds even if you sell in a down market. In trading Commodity Interests, on the other hand, you risk losing all of your investment if prices move against you. In general, performance statistics do not reflect the different risk profiles or tax treatment of traditional and managed Commodity Interest investments.
Partnership Trading Is Not Transparent
The Advisor makes the Partnership’s trading decisions. While the General Partner receives daily trade confirmations from the commodity broker and foreign exchange dealers, the Partnership’s trading results are reported to Limited Partners monthly. Accordingly, an investment in the Partnership does not offer Limited Partners the same transparency, i.e., an ability to review all investment positions daily, that a personal trading account offers.
A Non-correlated, Not Negatively Correlated, Performance Objective may Result in Losses for the Partnership
Historically, managed futures have been generally non-correlated to the performance of other asset classes such as stocks and bonds. Non-correlation means that there is no statistically valid relationship between the past performance of futures and forward contracts on the one hand and stocks or bonds on the other hand (as opposed to negative correlation, where the performance would be exactly opposite between two asset classes). Because of this non-correlation, the Partnership cannot be expected to be automatically profitable during unfavorable periods for the stock market, or vice versa. The futures and forward markets are fundamentally different from the securities markets in that for every gain in futures and forward trading, there is an equal and offsetting loss. If the Partnership does not perform in a manner non-correlated with the general financial markets or does not perform successfully, Limited Partners will obtain no diversification benefits by investing in an Interest and the Partnership may have no gains to offset Limited Partners’ losses from other investments.
No Participation in Management of the Partnership
Limited Partners do not participate in the management of the Partnership.
Indemnification of the Partnership May Increase Participation Costs
Under the Partnership Agreement, a Limited Partner will be required to indemnify the Partnership for any liability that it incurs as a result of such Limited Partner’s actions.
Partnership Indemnification of Other Parties May Increase Costs for Limited Partners and Adversely Affect Partnership Performance
The Partnership had entered into agreements with various service providers pursuant to which it may be required to indemnify such service providers for losses they incur in providing services to the Partnership.
LIQUIDITY
The Limited Ability to Liquidate Interests May Lead to Unforeseeable Losses for Limited Partners
Limited Partners may not be able immediately to liquidate their Interests. There is no market for the Interests and none is likely to develop. Limited Partners may, however, redeem Interests, without penalty, on the last day of any month, subject to certain limitations. In order to redeem, a Limited Partner is required to give the General Partner at least fifteen (15) days’ written notice. Because of the time delay between the notice to the General Partner and the end of the month when an investment is redeemed, the value of an investment on the date of redemption may be substantially less than at the time a request to redeem was submitted.
Redemptions of Interests May Subject Limited Partners to Possible Adverse Effects and Losses
The Partnership will lose money if it has to sell positions at a loss in order to raise money to pay substantial redemptions. If many redemptions occur simultaneously, the need to liquidate positions could continue even after the redemption date. The Partnership would have fewer assets to trade after a high level of redemptions. This might make it more difficult for the Partnership to recover losses or generate trading profits. Market illiquidity could make it difficult to liquidate positions on favorable terms, and may also result in losses to the Partnership.
No Automatic Trading Suspensions May Lead to Substantial Losses for the Partnership
The Partnership does not have an automatic Trading Suspension Level which requires it to suspend or terminate trading as a result of losses. Therefore, Limited Partners will be required to monitor the value of their investment and determine whether the Partnership’s performance warrants continued investment. Because Limited Partners will receive performance reports monthly, it is possible that the Partnership could incur substantial losses before a Limited Partner could redeem his Interest.
Any Mandatory Redemptions Required by the General Partner May Subject Limited Partners to Substantial Losses
The General Partner may require a Limited Partner to redeem at any time and for any reason. It generally will only require redemptions in order for the Partnership to comply with certain regulations.

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ITEM 1B. UNRESOLVED STAFF COMMENTS
ITEM 1B: UNRESOLVED STAFF COMMENTS
Not applicable.

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ITEM 2. PROPERTIES
ITEM 2: PROPERTIES
The Partnership does not own or use any physical properties in the conduct of its business. Employees of the General Partner perform all administrative services for the Partnership from offices located at 1200 Prospect Street, Suite 400, La Jolla, CA 92037.

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ITEM 3. LEGAL PROCEEDINGS
ITEM 3: LEGAL PROCEEDINGS
The Partnership is not aware of any pending legal proceedings to which either the Partnership is a party or to which any of its assets are subject. The Partnership is not aware of any material legal proceedings involving the General Partner or its principals in an adverse position to the Partnership or in which the Partnership has adverse interests. The Partnership has no subsidiaries.

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ITEM 4. MINE SAFETY DISCLOSURE
ITEM 4: MINE SAFETY DISCLOSURES
Not applicable.
PART II

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ITEM 5. MARKET FOR REGISTRANT'S COMMON EQUITY
ITEM 5: MARKET FOR REGISTRANT’S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUER PURCHASES OF EQUITY SECURITIES
(a) Market information
There is no trading market for the Interests, and none is likely to develop. Interests may be redeemed or transferred subject to the conditions imposed by the Limited Partnership Agreement.
(b) Holders
As of January 31, 2021 the Partnership had 615 holders of Interests.
(c) Dividends
The General Partner has sole discretion in determining what distributions, if any, the Partnership will make to its investors. To date no distributions or dividends have been paid on the Interests, and the General Partner has no present intention to make any.
(d) Securities Authorized for Issuance under Equity Compensation Plans
None.
(e) Recent Sales of Unregistered Securities; Use of Proceeds from Registered Securities
The Partnership did not sell any unregistered securities within the past three years which have not previously been included in the Partnership’s Quarterly Reports on Form 10-Q.
(f) Issuer Purchases of Equity Securities
Pursuant to the Limited Partnership Agreement, Limited Partners may redeem their Interests in the Partnership as of the end of any calendar month upon fifteen (15) days’ written notice to the General Partner. The redemption of capital from capital accounts by Limited Partners has no impact on the value of the capital accounts of other Limited Partners.
The following table summarizes Limited Partner redemptions during the fourth calendar quarter of 2020:
Month Ended Amount Redeemed
October 31, 2020 $ 1,662,327
November 30, 2020 16,054,681
December 31, 2020 5,886,841
Total $ 23,603,849

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ITEM 6. SELECTED FINANCIAL DATA
ITEM 6: SELECTED FINANCIAL DATA
Revenue: For the Year Ended December 31, 2020 For the Year Ended December 31, 2019 For the Year Ended December 31, 2018 For the Year Ended December 31, 2017 For the Year Ended December 31, 2016 For the Year Ended December 31, 2015
Total net realized and unrealized gains (losses) $ (14,550,091 ) $ 2,673,076 $ (2,193,035 ) $ 14,912,353 $ 5,074,486 $ 11,958,486
Interest Income 298,451 2,252,803 2,660,453 1,524,072 736,778 415,355
Expenses:
Management fee 673,925 1,112,335 1,598,989 2,248,002 3,279,777 3,921,148
Advisory fee 645,964 1,025,526 1,449,919 2,023,487 2,882,993 3,400,219
Administrative fee 130,564 228,982 330,996 458,380 677,177 823,872
Service fees 552,827 1,069,725 1,558,070 2,229,530 3,256,998 3,734,936
Incentive fee - 122,089 111,204 705,276 180,109 4,373,262
Professional fees 217,310 569,540 805,372 891,332 1,153,032 1,260,052
Brokerage commissions 1,027,303 1,624,810 2,290,596 3,197,579 4,590,391 5,427,184
Offering expense (1)
Interest expense 26,860 10,719 16,999 105,647 63,638 47,417
Other expenses 33,661 133,137 139,036 271,296 312,490 482,063
Net income (loss) (17,560,054 ) (970,984 ) (7,833,763 ) 4,305,896 (10,585,341 ) (11,096,312 )
Total assets $ 38,625,784 95,213,072 $ 130,732,759 $ 184,489,639 $ 268,564,665 $ 336,856,881
Total Net Asset Value $ 32,495,249 91,763,009 $ 126,006,040 $ 173,217,273 $ 256,683,259 $ 325,307,634

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ITEM 7. MANAGEMENT'S DISCUSSION AND ANALYSIS
ITEM 7: MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
Reference is made to “Item 8. Financial Statements and Supplementary Data.” The information contained therein is essential to, and should be read in conjunction with, the following analysis.
(a) 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 December 31, 2020 the Partnership experienced no meaningful periods of illiquidity in any of the markets traded by the Advisor on behalf of the Partnership.
(b) 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 FCMs 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 SGAS and/or other clearing brokers or counterparties with which the Partnership trades.
(c) 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.
Performance Summary
During 2020, the Partnership reported a net realized and unrealized loss of $(15,577,394) from all trading; losses of $(15,667,755) from trading of derivatives including brokerage commissions of $1,027,303. The Partnership accrued total expenses of 2,281,111, including $0 in incentive fees, $673,925 in management fees paid  to the General Partner, and $770,137 in service and professional fees. The Partnership earned $298,451 in interest income during 2020. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for each quarter during 2020 is set forth below.
Fourth Quarter 2020. The past year has been difficult for the Partnership. Market reactions to the global pandemic and the prospect of a recovery - initially driven by stimulus and, later, the discovery of a vaccine − have been dramatic. The MSCI World slid by a third between February 12 and March 23, before technology stocks lifted several markets to new all-time highs in the third quarter. The global equity index rose by 12.8% in November alone, alongside US election results and successful vaccine trials, to deliver its largest monthly return since January 1975. Yields on US 10-year Treasury notes fell in March to a record low of below 1% and remained there. In commodities, front-month WTI crude futures briefly turned negative in April before recovering somewhat, while gold prices soared to their highest levels since 2012. Base metal and crop prices also trended upwards in the second half of the year. From a sector perspective, stock indices, energies and currencies drove the Partnership’s negative performance over the 12 months. Fundamental signals led the Partnership’s “risk-on” positioning across the three sectors heading into February and March’s market downturn, with net long exposure to stock indices, energies and non-US dollar currencies accounting for most of the subsequent losses. By contrast, technical signals provided valuable diversification during this period, generating profits across energies, fixed income, currencies and metals. The Partnership’s exposures changed steadily over the course of the year in response to its trading signals and the evolution of their various data inputs. The fund started the year positioned for a “risk-on” environment, albeit with a conservative level forecast volatility. This positioning had become defensive by the second quarter, with the portfolio’s beta to the stock market and crude oil turning negative and its beta to US Treasuries turning positive. Positioning turned around again in the third quarter, as the rally in risk assets gained momentum, and the beta to the US Dollar Index turned negative alongside a downtrend in the US dollar against most currencies. The Partnership heads into 2021 with a moderate “risk-on” construct.
Third Quarter 2020. The second quarter’s “risk-on” rally continued through to early September, with global equities reaching a new all-time high by the final week of August and gains for metals and emerging market currencies. Stock markets stumbled in September, amid the prospect of new lockdowns, yet the MSCI World Index still ended the quarter up 7.9%, led by gains in consumer discretionary stocks. Silver and iron ore were the top performers in metals, each rising by about a third, while US dollar weakness was the overarching theme in currencies. The euro appreciated 4.4% and the Japanese yen appreciated 2.4%, against the US dollar during the three-month period. Fixed income markets generally rose as well, with the yield on the US 10-year Treasury note falling to a new record low of 0.52% in August. While the technical macro cluster profited in July from trends in precious metals and fixed income, it gave back these gains in September, amid a reversal in precious metals and currencies. Fundamental signals detracted from performance, due largely to negative performance from carry and seasonality signals in commodities. Performance in commodities was challenging during the quarter, with losses across the metals, energies and agriculture sectors. The negative performance was led by short exposure to US natural gas, aluminum, silver and zinc, all of which rallied over the three months. The Partnership benefited from its mostly long exposure to fixed income, with Italian BTP, Euribor and short sterling futures leading the gains. Losses, however, accrued from positions in currencies and stock indices. G10 currencies accounted for most of the negative performance, with the British pound, euro and Canadian dollar representing the largest detractors from returns. Performance was more positive in emerging market currencies, with long positions in the Indian rupee, Mexican peso and Chinese yuan generating profits. The Partnership’s net short position in stock indices, which is driven by fundamental signals, continued to weigh on returns. That said, trend-following signals have turned around in the sector and the short position was much reduced by quarter-end. The Partnership’s defensive positioning began to turn around in the third quarter, with short stock index positions reducing and exposure to metals and agriculture turning net long.
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 Partnership 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 Partnership overall. The fund maintained its defensive posture throughout the quarter, leaving it positioned to profit from any further market declines.
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.
During 2019, the Partnership achieved net realized and unrealized gains of $1,048,266 from all trading; gains of $1,003,635 from trading of derivatives including brokerage commissions of $1,624,810. The Partnership accrued total expenses of $4,272,053, including $122,089 in incentive fees, $1,112,353 in management fees paid to the General Partner, and $1,639,265 in service and professional fees. The Partnership earned $2,252,803 in interest income during 2019. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for each quarter during 2019 is set forth below.
Fourth Quarter 2019. The Partnership generated slightly negative performance in 2019, a year in which most global financial markets rose. The MSCI World stock index rallied 27.7% to all-time highs. Government bonds also gained, and by year-end, yields were negative for all maturities out to 10 years in Japan, to 15 years in Germany and to 50 years in Switzerland. In commodities, energies recovered most of their 2018 losses, with WTI crude oil peaking at $66 a barrel during April, while gold prices rose past $1,500 an ounce in September for the first time since 2013. From a sector perspective, returns in commodities were negative across agriculture, energies and metals, while gains were largely driven by long stock index and fixed income positions and a short position in the euro. The Partnership’s losses were driven by the commodities sector, where losses were concentrated in May and September. Exposure to energies was whipsawed by market movements over the course of the year, with negative performance stemming from the fund’s oil and oil products positions. Gold and silver led the losses in metals, due to the fund being short throughout most of a double-digit rally in the two markets between June and September. Livestock, meanwhile, accounted for most of the negative return in agriculture, alongside mixed performance in crops. The fund’s net long exposure to stock indices throughout the year benefited from rising markets, with the S&P 500 and Nasdaq representing the top contributors to performance. Positioning in fixed income was long heading into the year leaving the fund well positioned to profit from an uptrend in bonds from May through to September. At the same time, a short position in the euro − which trended downwards against the US dollar for most of the year − was the largest contributor to performance in currencies. Further profits accrued from long positions in non-G10 currencies, such as the Mexican peso and Indonesian rupiah. The Partnership headed into 2020 long the stock market, the US dollar and precious metals, with a slightly negative portfolio sensitivity to fixed income, albeit with net long positions in government bonds and short-term interest rates.
Third Quarter 2019. The Partnership generated gains in the third quarter of 2019. Stock markets and government bonds continued to rise over the three months to September 30, with the S&P 500 climbing to an all-time high in July and yields on German 10-year bunds falling to a record low in August. The dollar strengthened against most major currencies and gold prices rallied above $1,500 an ounce for the first time since 2013. Oil prices briefly spiked in September after an attack on a Saudi refinery, but ended the quarter lower than where they started. The fund’s positive return was driven by both technical and fundamental signals. The fund gave back some profits during September, due to a two-week period that saw sharp reversals in fixed income markets. However, performance improved towards the end of the month. From a sector perspective, gains were largely driven by long fixed income positions and short positions in G10 currencies. In commodities, returns in the agriculture sector were offset by losses in energies and metals. Bond yields continued to trend downwards in the third quarter, lifting the fund’s long fixed income positions, particularly in longer-dated US government bonds, Italian BTP’s and euro-dollar futures. These profits were reduced when yields rose in the first half of September, but the sector remained the largest positive contributor to performance over the full quarter. Currencies were the second most profitable sector due to short positions in G10 currencies, most notably the euro. The Chinese yuan depreciating against the US dollar to its lowest level in 11 years was also beneficial for the fund, although returns in non-G10 currencies were flat overall. The fund’s performance in commodities was mixed, with gains in agriculture cancelled out by losses in energies and metals. The positive performance in agriculture was largely driven by short positions in coffee and sugar, with smaller contributions from soybeans and soymeal. Long positioning in nickel and short exposure to copper made money, but these gains were not enough to offset losses in precious metals. In energies, a long position in Brent crude was profitable after the Saudi refinery attack on September 14, but generated losses over the full three months. The fund’s positioning in gasoline and carbon emissions also lost money.
Second Quarter 2019. The Partnership generated a loss in the second quarter of 2019, as the S&P 500 climbed to an all-time high and yields on US 10-year Treasuries fell below 2% for the first time since 2016. In commodities, WTI crude briefly dropped to below US$55 a barrel, while gold prices rose to their highest level in six years. From a sector perspective, financial futures contributed positively performance over the three months due to long fixed income and equity index positions. At the same time, losses accrued from positioning in commodity futures, particularly the agriculture and energies sectors. Long fixed income positions profited alongside dovish outlooks from policymakers at the Federal Reserve and European Central Bank. Positioning in Europe proved particularly beneficial, with yields on German 10-year bunds falling below a record -0.3%. Positions in Euribor, bund and BTP futures all made money for the fund. Longer-dated US and Japanese government bonds were also among the top contributors to performance. A similarly buoyant environment for equities resulted in profits from stock indices, mostly from long positions in US, Australian and European markets. Negative performance in commodities was led by losses in agriculture and energies, with corn, natural gas and crude oil among the largest detractors from performance. Corn rallied to a five-year high after heavy rain led to flooding in the US Midwest. US natural gas prices continued to slide from their December highs, while an uptrend in crude oil since the beginning of the year reversed course in April. Losses in metals were driven by a short position in gold, which cancelled out profits from positioning in copper and aluminum.
First Quarter 2019. The Partnership posted a near flat return in the first quarter of 2019, as global equity indices rebounded from December lows, yields on US Treasuries fell and most major commodity markets gained. From a sector perspective, performance in commodities was mixed: the fund generated profits in agriculture and lost money in energies. Falls in certain crop markets were behind the fund’s positive return in agriculture, with short positions in corn, wheat and coffee accounting for a large part of the profits. In energies, the fund’s negative performance was the result of short positions in crude oil, gasoline and heating oil, which all posted double-digit returns over the three months. The fund started the year with short positions in all three markets, but these exposures had turned long by quarter-end. Profits from fixed income were the result of the fund’s long positions in government bonds and short-term interest rates, with notable contributions to returns from bund, JGB and Euribor futures. Yields on German and Japanese 10-year government bonds turned negative during the quarter. At the same time, net long exposure to equities indices, particularly in US and European markets, generated a positive return. The S&P 500 rose 13% and Eurostoxx 50 climbed 10% during the quarter, with both indices recovering most of the losses sustained in the final three months of 2018. Heading into the second quarter, the fund maintains long positions in bond markets and a positive beta to the US Dollar Index, and now has modest long exposure to the stock market.
During 2018, the Partnership achieved net realized and unrealized losses of ($4,483,631) from all trading; losses of ($4,326,287) from trading of derivatives including brokerage commissions of $2,290,596. The Partnership accrued total expenses of $6,010,585, including $11,204 in incentive fees, $1,598,989 in management fees paid to the General Partner, and $2,363,442 in service and professional fees. The Partnership earned $2,660,453 in interest income during 2018. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for each quarter during 2018 is set forth below.
Fourth Quarter 2018. In October 2018, the Partnership posted a negative return. Detractions from performance due to the stock market selloff were limited due to lower exposure at the start of the month, however commodity markets proved challenging. The reversal of long downward trends in sugar and coffee, and long positions in base metals and energies drove losses. Currencies were a bright spot, benefiting from long USD positions against most major currencies. Fixed income sectors were profitable due to long exposure to short- term interest rates and developed market government bonds. In November 2018, the Partnership posted a positive return. The positive return was driven by profits in commodities and fixed income, with the energy sector standing out. Long positions in natural gas delivered the largest contributions as the market soared 40% intra-month. In fixed income, the more dovish stance from the US Federal Reserve benefited mostly long positioning in bonds and short-term interest rates. In December 2018, the Partnership posted a negative return. Profits from energies, agriculture, and fixed income sectors were erased by losses in currencies, metals, and stock indices. At the same time, long USD positions detracted from performance as the USD weakened over the period. Long positions in copper and stock indices also detracted from performance.
Third Quarter 2018. In July 2018, the Partnership posted a small negative return during July as profits from metals and soft commodities were partly offset by losses from energies and fixed income. Metals were the biggest positive contributor to returns, with the Partnership’s short positioning benefiting from downtrends in gold, silver and copper. All three markets fell to their lowest levels in more than a year. Short exposure to sugar and lean hogs, meanwhile, drove gains in soft commodities. In terms of detractors from performance, falling energy and bond markets proved counterproductive due to the Partnership’s net long positions in the two sectors. In August 2018, commodity markets drove the Partnership’s positive performance, with short positions in precious metals and crops accounting for most of the profits, particularly silver, gold and soybeans. Bonds were another notable contributor to performance due to long positions in German and US government bonds. Returns in currencies were mixed, but counterproductive overall. The Partnership gained from short positions in developed market currency pairs such as the Swedish krona against the euro and the euro against the US dollar. But these profits were erased by long positions in emerging market currencies such as the Indian rupee, South African rand and Russian ruble. In September 2018, the Partnership delivered a small loss on the month after gains in currencies, energies and crops were cancelled out by losses in the fixed income and base metals sectors. A longstanding short position in the Japanese yen was the largest individual contributor to performance, but positioning in other currencies proved less favorable, most notably a short position in the Swedish krona versus the euro and a long position in the Indian rupee. The latter weakened to an all-time low against the greenback during the month. Long positions in energies and short positions in crops were also profitable, particularly crude oil and cocoa. In terms of detractors from returns, long positions in German and US government bonds led the losses in fixed income, while positioning in aluminum and copper weighed on returns in base metals.
Second Quarter 2018. In April 2018, the Partnership’s positive return was driven by long positioning in the energies and base metals sectors, with crude oil, heating oil and aluminum among the biggest contributors. Crude oil prices hit their highest levels since 2014 which helped boost shares of energy stocks. Net short exposure to short-term interest rates and government bonds also contributed to the Partnership’s positive return as profits accrued from Eurodollar and US Treasury futures. The Partnership’s performance in currencies and crop sectors was mixed. Returns from a short position in sugar were cancelled out by losses in wheat. In May 2018, the Partnership sustained negative performance which was driven by the currencies, crops and fixed income sectors. Currency returns were hindered by a weakening euro and a short position in the Swedish krona versus the euro. Losses in crops were led by trend reversals in sugar and cocoa, while gains from short positions in interest rates and bonds were erased as yields retreated later in the month. The Partnership’s positive return was driven primarily by energies. In June 2018, the Partnership’s positive return was driven largely by commodities, with profits from crops, precious metals and energies. The Partnership’s short positioning in crops and precious metals benefited the Partnership, particularly in soybeans, corn and gold while long positions in crude oil drove returns in energies. The Partnership’s short exposure to short-term interest rates and short-dated US government bonds in the fixed income sector also added to the Partnership’s positive performance. The Partnership’s losses for the month were largely due to short exposure to outperforming consumer discretionary stocks and a reversal in an aluminum uptrend.
First Quarter 2018. In January 2018, the Partnership experienced net positive returns which were driven primarily by positioning across the portfolio. Stock indices were the largest contributors to returns with the S&P 500, Nasdaq, and Hang Seng leading the way. Currencies, commodities and fixed income were positive for performance. For currencies, long positions in the euro and emerging-market currencies generated profits which cancelled losses from a short position in the Japanese yen. For commodities, positive performance from energies offset the negative performance from precious metals. Fixed income benefited from positioning in short-term interest rates. In February 2018, the Partnership sustained negative performance as a result of losses from stock indices, commodities and currencies. Although long positions in stock indices drove the Partnership’s positive performance over the past year, they proved to be particularly challenging. Long exposure to crude and heating oil resulted in a holdback for returns in energies, while falling aluminum prices led the losses in base metals. The Partnership’s short exposure to the Japanese yen versus the US dollar was the largest detractor from returns n currencies. The Partnership’s negative return for the month was offset by profits from short exposure to interest rate futures and short silver positioning within precious metals. In March 2018, the Partnership sustained a net loss driven primarily by long positions in stock indices and base metals. US and Japanese markets led the losses in stock indices, while aluminum, zinc and nickel were the biggest detractors from performance in base metals. Falling yields weighed on net short exposure to fixed income markets, most notably positions in Eurodollar and German government bond futures. Losses sustained by the Partnership were offset by positive contributions to returns from the energies and currencies sectors. The Partnership’s largest profits were driven by the recovery in crude oil markets. Positive returns in currencies were led by the euro appreciating against the Swedish Krona and the Swiss franc weakening against the US dollar.
(d) Off-Balance Sheet Arrangements
The Partnership does not engage in off-balance sheet arrangements with other entities.
(e) Contractual Obligations
The Partnership does not enter into any 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, included in this report, present a Condensed Schedule of Investments setting forth net unrealized appreciation (depreciation) of the Partnership’s open future and forward currency contracts, both long and short, at December 31, 2020.
(f) Critical Accounting Estimates
The General Partner believes that the Partnership’s most critical accounting estimates relate to the valuation of the Partnership’s assets. Futures and options on futures contracts are valued using the primary exchange’s closing price. 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. U.S. government agency securities are generally valued based on quoted prices in active markets. Corporate notes are generally valued at fair value. Security transactions are recorded on the trade date. Realized gains and losses from security transactions are determined using the specific identification cost method. 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 statement 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 income currently.
The Partnership’s financial statements are presented in accordance with U.S. generally accepted accounting principles (U.S. GAAP), which require the use of certain estimates made by the Partnership’s management. Actual results could differ from those estimates. Based on the nature of the business and operations of the Partnership, the General Partner believes that the estimates utilized in preparing the Partnership’s financial statements are appropriate and reasonable, however actual results could differ from these estimates. The estimates used do not provide a range of possible results that would require the exercise of subjective judgment. The General Partner further believes that, based on the nature of the business and operations of the Partnership, no other reasonable assumptions relating to the application of the Partnership’s critical accounting estimates other than those currently used would likely result in materially different amounts from those reported.

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ITEM 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
ITEM 7A: QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
Introduction
Past Results Not Necessarily Indicative of Future Performance
The Partnership is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes, and all or a substantial amount of the Partnership’s assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Partnership’s main line of business.
Market movements result in frequent changes in the fair value of the Partnership’s open positions and, consequently, in its earnings and cash flow. The Partnership’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Partnership’s open positions and the liquidity of the markets in which it trades.
The Partnership rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Partnership’s past performance is not necessarily indicative of its future results.
Standard of Materiality
Materiality as used in this section, “Quantitative and Qualitative Disclosures About Market Risk,” is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage and multiplier features of the Partnership’s market sensitive instruments.
Quantifying the Partnership’s Trading Value at Risk
Quantitative Forward-Looking Statements
The following quantitative disclosures regarding the Partnership’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact (such as the dollar amount of maintenance margin required for market risk sensitive instruments held at the end of the reporting period).
The Partnership’s risk exposure in the various market sectors traded is estimated in terms of Value at Risk (VaR). The Partnership estimates VaR using a model based upon historical simulation (with a confidence level of 99%) which involves constructing a distribution of hypothetical daily changes in the value of a trading portfolio. The VaR model takes into account linear exposures to risks, including equity and commodity prices, interest rates, foreign exchange rates, and correlation among these variables. The hypothetical changes in portfolio value are based on daily percentage changes observed in key market indices or other market factors to which the portfolio is sensitive. This expected daily percentage change is then expanded to four days, providing an expected four-day percentage change. The Partnership’s VaR at a four-day 99% confidence level of the Partnership’s VaR corresponds to the negative change in portfolio value that, based on observed market risk factors, would have been exceeded once in 100 four-day trading periods. VaR typically does not represent the worst-case outcome.
The Partnership uses approximately three years of daily market data and revalues its portfolio for each of the historical market moves that occurred over this time period. This generates a probability distribution of daily “simulated profit and loss” outcomes. The VaR is the 1 percentile of this distribution.
The VaR for a sector represents the four-day downside risk for the aggregate exposures associated with this sector. The current methodology used to calculate the aggregate VaR represents the VaR of the Partnership’s open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.
The Partnership’s VaR computations are based on the risk representation of the underlying benchmark for each instrument or contract and does not distinguish between exchange and non-exchange dealer-based instruments. It is also not based on exchange and/or dealer-based maintenance margin requirements.
VaR models, including the Partnership’s, are continually evolving as trading portfolios become more diverse and modeling techniques and systems capabilities improve. Please note that the VaR model is used to numerically quantify market risk for historic reporting purposes only and is not utilized by the Partnership in its daily risk management activities. Please further note that VaR as described above may not be comparable to similarly titled measures used by other entities.
Because the business of the Partnership is the speculative trading of futures, forwards and options, the composition of the Partnership’s trading portfolio can change significantly over any given time period, or even within a single trading day, which could positively or negatively materially impact market risk as measured by VaR.
The Partnership’s Trading Value at Risk in Different Market Sectors
The following table indicates the average, highest and lowest amount of trading VaR associated with the Partnership’s open positions by market category for the year ended December 31, 2020. During 2020, the Partnership’s average capitalization was $58,065,004.
Fiscal Year 2020
Market Sector
Average Value
at Risk
% of Average Capitalization
Highest Value
at Risk
Lowest Value
at Risk
Interest Rates
$ 271,061
0.47%
$ 538,427
$ 15,750
Commodities
$ 867,005
1.49%
$ 1,736,355
$ 3,356
Currencies
$ 216,337
0.37%
$ 325,220
$ 79,320
Equities
$ 360,833
0.62%
$ 859,512
$ 1,048
Total
$ 1,715,287
*2.95%
*Percentage total does not foot due to rounding.
Average, highest and lowest Value at Risk amounts relate to the quarter-end amounts during the fiscal year. Average capitalization is the average of the Partnership’s capitalization at the end of each quarter during the fiscal year 2020.
The following table indicates the average, highest and lowest amount of trading VaR associated with the Partnership’s open positions by market category for the year ended December 31, 2019. During 2019, the Partnership’s average capitalization was $102,152,757.
Fiscal Year 2019
Market Sector
Average Value
at Risk
% of Average Capitalization
Highest Value
at Risk
Lowest Value
at Risk
Interest Rates
$ 602,506
0.59%
$ 970,141
$ 259,426
Commodities
$ 1,060,822
1.04%
$ 1,495,681
$ 546,759
Currencies
$ 735,049
0.72%
$ 1,345,032
$ 262,229
Equities
$ 564,436
0.55%
$ 722,276
$ 430,585
Total
$ 2,962,813
*2.90%
*Percentage total does not foot due to rounding.
Average, highest and lowest Value at Risk amounts relate to the quarter-end amounts during the fiscal year. Average capitalization is the average of the Partnership’s capitalization at the end of each quarter during the fiscal year 2019.
The following table indicates the average, highest and lowest amount of trading VaR associated with the Partnership’s open positions by market category for the year ended December 31, 2018. During 2018, the Partnership’s average capitalization was $149,161,056.
Fiscal Year 2018
Market Sector
Average Value
at Risk
% of Average Capitalization
Highest Value
at Risk
Lowest Value
at Risk
Interest Rates
$ 1,350,331
0.91%
$ 2,116,063
$ 810,576
Commodities
$ 2,035,092
1.36%
$ 2,759,999
$ 1,363,616
Currencies
$ 1,256,016
0.84%
$ 1,697,735
$ 609,634
Equities
$ 557,285
0.37%
$ 787,484
$ 317,232
Total
$ 5,198,725
*3.49%
*Percentage total does not foot due to rounding.
Average, highest and lowest Value at Risk amounts relate to the quarter-end amounts during the fiscal year. Average capitalization is the average of the Partnership’s capitalization at the end of each quarter during the fiscal year 2018.
Material Limitations of Value at Risk as an Assessment of Market Risk
The following limitations of VaR as an assessment of market risk should be noted:
1)
Past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements;
2)
Changes in portfolio value caused by market movements may differ from those of the VaR model;
3)
VaR results reflect past trading positions while future risk depends on future positions;
4)
VaR using a one day time horizon that is then expanded to four days does not fully capture the market risk of positions that cannot be liquidated or hedged within the time period; and
5)
The historical market risk factor data for VaR estimation may provide only limited insight into losses that could be incurred under certain unusual market movements.
VaR is not necessarily representative of historic risk nor should it be used to predict the Partnership’s future financial performance or its ability to manage and monitor risk. There can be no assurance that the Partnership’s actual losses on a particular day will not exceed the VaR amounts indicated or that such losses will not occur more than once in 100 four day trading periods.
Qualitative Disclosures Regarding Primary Trading Risk Exposures
The following qualitative disclosures regarding the Partnership’s market risk exposures - except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Partnership manages its primary market risk exposures - constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Partnership’s primary market risk exposures as well as the strategies used and to be used by the Trading Advisor for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Partnership’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Partnership. There can be no assurance that the Partnership’s current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of their investment in the Partnership.
The following were the primary trading risk exposures of the Partnership as of December 31, 2020, by market sector.
Currencies
Exchange rate risk can be a significant market exposure of the Partnership. The Partnership’s currency exposure is to foreign exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions.
Interest Rates
Interest rate risk can be a significant market exposure of the Partnership. Interest rate movements directly affect the price of the sovereign bond positions held by the Partnership and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries may materially impact the Partnership’s profitability. The Partnership’s primary interest rate exposure is to interest rate fluctuations in the United States and the other G-7 countries. Changes in the interest rate environment will have the most impact on longer dated fixed income positions.
Stock Indices
The Partnership has equity exposure to equity price risk in the countries in which it invests. The stock index futures traded by the Partnership are by law limited to futures on broadly based indices. The Partnership is exposed to the risk of adverse price trends or static markets in the major U.S., European and Japanese indices.
Energy
The Partnership is exposed to energy market risk in relation to natural gas, crude oil and derivative product price movements, often resulting from international political developments and ongoing conflicts in the Middle East and the perceived outcome. Oil and gas prices can be volatile and substantial profits and losses have been experienced in this market.
Metals
The Partnership’s metals market exposure is subject to fluctuations in the price of each of the metals futures contracts in which the Partnership invests.
Agricultural
The Partnership’s agricultural exposure is subject to the fluctuations of the price of each of the agricultural commodity futures contracts that it holds.
Qualitative Disclosures Regarding Non-Trading Risk Exposure
The following were the non-trading risk exposures of the Partnership as of December 31, 2020.
Fixed Income Securities
The Partnership has market exposure in instruments (other than treasury positions) held other than for trading in its fixed income portfolio.
Qualitative Disclosures Regarding Means of Managing Risk Exposure
Winton’s focus within risk management is on targeting, measuring and managing risk. Owing to the leverage inherent in futures trading, position sizes are set according to Winton’s expectation of the risk that such positions will provide, rather than the amount of capital required to fund such positions, and Winton’s Futures SMA Program (“the Program”) strives to maintain a diversified portfolio because holding positions in a variety of unrelated markets has been shown, over time, to decrease system volatility.
Each day, Winton’s trading systems sets volatility parameters (known as the “instantaneous forecast standard deviation”) for each position held in the portfolio. The purpose of these parameters is to estimate the likely size of a market shift (whether up or down), in much the same way as the futures exchanges estimate the likely market shift when deciding how to set the initial margin for a future or the daily price limits for a market. The primary determinant of the daily volatility parameters is the amount of leverage or level of gearing used by the Program. The derivatives positions’ leverage or gearing may be measured in terms of the Program’s margin-to-equity ratio in respect of its derivatives positions. This ratio is calculated by dividing the amount of margin posted with the futures commission merchant by the value of the portfolio. The Program’s long-term annualized volatility target is currently approximately 10%. However, it should be noted that the Program’s instantaneous forecast standard deviation (defined as the instantaneous risk Winton expects within the 24 hours following that particular instant) may vary outside these limits. In order to target a given level of long-term risk the instantaneous risk is allowed to fluctuate within a range around the long term risk target. In order to achieve the long-term risk target the correlation between different markets is estimated by the Program, and is employed in the calculation of the overall level of gearing which is regularly reset, typically on a daily basis. Additionally, from time to time, the long-term standard deviation (defined as the long term average risk that Winton expects over a number of months) may also be above or below these limits, thereby having an impact upon the level of gearing used by the Program. For example, in the event that exceptional market conditions arise, such as the threat of closure of an exchange or other loss of liquidity, it may be determined to operate the Program at a lower level of gearing.

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ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
ITEM 8: FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
Financial statements required by this item are included herewith following the Index to Financial Statements and are incorporated by reference into this Item 8.
The following information presented on a quarterly basis is unaudited.
Fourth Quarter Third Quarter Second Quarter First Quarter
2020
Interest Income: $ 9 $ 3,848 $ 22,386 $ 272,208
Net realized and unrealized gains (losses): 1,307,976 (3,141,170 ) (5,787,831 ) (7,956,369 )
Expenses: 315,563 548,906 647,253 769,389
Net Income (Loss): 992,422 (3,686,228 ) (6,412,698 ) (8,453,550 )
Fourth Quarter Third Quarter Second Quarter First Quarter
2019
Interest Income: $ 378,906 $ 535,417 $ 640,363 $ 698,117
Net realized and unrealized gains (losses): (3,207,154 ) 5,067,517 (1,074,718 ) 262,621
Expenses: 916,431 1,118,253 1,074,549 1,162,823
Net Income (Loss): (3,744,676 ) 4,484,681 (1,508,904 ) (202,085 )

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ITEM 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS
ITEM 9: CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE
None.

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ITEM 9A. CONTROLS AND PROCEDURES
ITEM 9A: CONTROLS AND PROCEDURES
(a) 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 annual report, and, based on their evaluation, has concluded that these disclosure controls and procedures are effective.
(b) Management’s Annual Report on Internal Control over Financial Reporting
Altegris Advisors, L.L.C., the general partner of the Partnership, is responsible for the management of the Partnership. Management of the General Partner (“Management”) is responsible for establishing and maintaining adequate internal control over financial reporting. The internal control over financial reporting is designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles.
The Partnership’s internal control over financial reporting includes those policies and procedures that:
· Pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Partnership;
· Provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that the Partnership’s transactions are being made only in accordance with authorizations of Management; and
·
Provide reasonable assurance regarding prevention or timely detection of unauthorized
acquisition, use or disposition of the Partnership’s assets that could have a material effect on the financial statements.
Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.
Management assessed the effectiveness of the Partnership’s internal control over financial reporting as of December 31, 2020. In making this assessment, Management used the criteria set forth in Internal Control - Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission (“COSO”). As a result of this assessment and based on the criteria in the COSO framework, management has concluded that, as of December 31, 2020, the Partnership’s internal control over financial reporting was effective.
(c) Changes in Internal Control over Financial Reporting
There were no changes in the Partnership’s internal control over financial reporting during the quarter and year ended December 31, 2020 that have materially affected, or are reasonably likely to materially affect, its internal control over financial reporting.

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ITEM 9B. OTHER INFORMATION
ITEM 9B: OTHER INFORMATION
None.
PART III

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ITEM 10. DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE
ITEM 10: DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE
(a) Identification of Directors and Executive Officers
(i) The Partnership has no officers, directors, or employees. The Partnership’s affairs are managed by the General Partner (although it has delegated trading and investment authority to the Advisor and administrative duties to Altegris). During the fiscal year ended December 31, 2020: (a) the General Partner was an indirect subsidiary of Artivest Holdings, Inc., a corporation that may be deemed to be controlled by (i) entities managed by Aquiline Capital Partners LLC and its affiliates (“Aquiline”) a private equity firm in New York, New York, and (ii) Genstar Capital Management LLC and its affiliates (“Genstar”), a private equity firm in San Francisco, California; and (b) the General Partner’s managers and executive officers were Martin Beaulieu and Matthew C. Osborne.
Martin Beaulieu (born 1958) joined Altegris Advisors as its Executive Chairman in July 2016, responsible for firm strategy and the day-to-day management of the company. In March 2016, Mr. Beaulieu joined the Board of Directors of Altegris Advisors’ parent company. During the past five years, Mr. Beaulieu was a Managing Director, Co-Head of iShares U.S. ETFs, Head of iShares Wealth Management, and Head of the Leveraged Distribution Group, at BlackRock Investments (August 2012 through October 2015). Mr. Beaulieu served in several senior management roles for MFS Investment Management, a large mutual fund complex (September 1990 through July 2012). These roles included acting, at various times, as MFS’ Vice Chairman, its Head of Global Distribution, its President, and as a National Sales Manager. During his tenure at MFS, he also served as CEO of MFS/McLean Budden. He earned a BA degree from Santa Clara University in 1980.
Matthew C. Osborne (born 1964) was appointed Chief Investment Officer of the General Partner in January 2016. Mr. Osborne has served as a manager of the General Partner (or a director of the General Partner’s predecessor entity, APM) since July 2002. He has also served as a Vice President of APM (July 2002 to January 2011), an Executive Vice President of the General Partner (January 2011 to June 2015) and as Co- President of the General Partner (June 2015 to January 2016). Mr. Osborne has also been (1) an Executive Vice President, Chief Investment Officer and a director of Altegris (July 2002 to May 2010); (2) a manager (December 2008 to present), Executive Vice President (December 2008 to June 2015), Co-President (June 2015 to January 2016), and Chief Investment Officer of Clearing Solutions (January 2016 to present); (3) a manager (February 2010 to present), Executive Vice President (February 2010 to June 2015), Co-President (June 2015 to January 2016), and Chief Investment Officer (January 2016 to present) of Services; and (4) a manager and Executive Vice President of Altegris Holdings (October 2012 to present).
None of the individuals listed above currently serves as a director of a public company.
(ii) Identification of Certain Significant Employees
None.
(iii) Family Relationships
None.
(iv) Business Experience
None.
(v) Involvement in Certain Legal Proceedings
None.
(vi) Promoters and Control Persons
Not Applicable.
(b) Section 16(a) Beneficial Ownership Reporting Compliance
Not Applicable
(c) Code of Ethics
The Partnership has no employees, officers or directors and is managed by the General Partner. The General Partner has adopted a Code of Ethics that applies to its principal executive officers and certain other persons associated with the General Partner. A copy of this Code of Ethics may be obtained at no charge by written request to Altegris Advisors, L.L.C., 1200 Prospect Street, Suite 400, La Jolla, CA 92037.
(d) Corporate Governance
Not applicable.

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ITEM 11. EXECUTIVE COMPENSATION
ITEM 11: EXECUTIVE COMPENSATION
The Partnership has no officers, directors, or employees. None of the principals, officers, or employees of the General Partner or Altegris receives compensation from the Partnership. All persons serving in the capacity of officers or executives of the General Partner, the general partner of the Partnership, are compensated by Altegris and/or an affiliate in respect of their respective positions with such entities. The General Partner receives a monthly management fee equal to 1/12 of 1.25% of the management fee net asset value of the month-end capital account balances attributable to Class A and Class B Interests and equal to 1/12 of 0.75% of the management fee net asset value of the month-end capital account balances attributable to Institutional Interests; as well as, 0.0625% (0.75% annually) of all Original Class A Interests, 0.146% (1.75% annually) of all Original Class B Interests, and currently 0.0417% to 0.0625% (0.50% to 0.75% annually) of all Special Class Interests of the Partnership’s management net asset value. The General Partner also receives a monthly administrative fee equal to 1/12 of 0.333% of the management fee net asset value of the month-end capital account balances attributable to Class A and Class B Interests.
Altegris receives continuing monthly compensation from the Partnership equal to 1/12 of 2% of the month-end net asset value of Class A Interests sold by Altegris.
Clearing Solutions, in its capacity as Introducing Broker to the Partnership, receives compensation for brokerage-related services. The Partnership will pay monthly brokerage charges equal to the greater of (A) actual commissions of $9.75 per round-turn (higher for certain exchanges or commodities) multiplied by number of round-turn trades, which amount includes other transaction costs; or (B) an amount equal to 0.125% of the management fee net asset value of all Interest holders’ month-end capital account balances (1.50% annually). If actual monthly commissions and transaction costs in (A) above are less than the amount in (B) above, the Partnership will pay the difference to the Introducing Broker as payment for brokerage-related services. In any month when the amount in (A) is greater than the amount in (B) above, the Partnership will pay only the amount described in (A) above.
The Partnership has no other compensation arrangements. There are no compensation plans or arrangements relating to a change in control of the Partnership or the General Partner.

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ITEM 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS
ITEM 12: SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS
(a) Security ownership of certain beneficial owners
Not applicable.
(b) Security Ownership of Management
The Partnership has no officers or directors. Under the terms of the Limited Partnership Agreement, the Partnership’s affairs are managed by the General Partner, which has delegated discretionary authority over the Partnership’s trading to the Advisor. As of January 31, 2021, the General Partner’s general partner interest in the Partnership was valued at $2,926 which constituted 0% of the Partnership’s total assets. As of January 31, 2021, the following managers and executive officers of the General Partner owned Interests in the Partnership: None. The direct and indirect holding of Interests of each manager and executive officer and their total aggregate ownership of Interests is 0% of the Partnership’s total assets.
(c) Changes in Control
None.

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ITEM 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS
ITEM 13: CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS, AND DIRECTOR INDEPENDENCE
The Partnership does not engage in any transactions with the General Partner or its affiliates other than in respect of the services and payment of fees therefor described above in Item 1.
The Partnership paid to the General Partner monthly management fees totaling $673,925 for the year ended December 31, 2020. The Partnership paid to the General Partner administrative fees totaling $130,564 for the year ended December 31, 2020.
The Partnership paid to Altegris monthly continuing compensation of $89,649 for the year ended December 31, 2020. Clearing Solutions, in its capacity as the Introducing Broker for the Partnership, received from the Partnership’s clearing broker (i.e., SGAS) the following compensation: a portion of the brokerage commissions paid by the Partnership to SGAS, and of the interest income earned on Partnership’s assets held at SGAS, equal to $172,430 for the year ended December 31, 2020. In addition, Clearing Solutions, in its capacity as Introducing Broker, receives from the Partnership, monthly brokerage charges as described in Item 11. For the year ended December 31, 2020 the Partnership paid monthly brokerage charges of $846,978.
The Partnership has not and does not make any loans to the General Partner, its affiliates, their respective officers, directors or employees or the immediate family members of any of the foregoing, or to any entity, trust or other estate in which any of the foregoing has any interest, or to any other person.
None of the General Partner, its affiliates, their respective officers, directors and employees or the immediate family members of any of the foregoing, or any entity trust or other estate in which any of the foregoing has any interest has, to date, sold any asset, directly or indirectly, to the Partnership.
The Partnership has no directors, officers or employees and is managed by the General Partner. The General Partner is managed by certain of its principals, none of whom is independent of the General Partner.

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ITEM 14. PRINCIPAL ACCOUNTING FEES AND SERVICES
ITEM 14: PRINCIPAL ACCOUNTING FEES AND SERVICES
The following table sets forth (a) the fees billed to the Partnership for professional audit services provided by Ernst & Young LLP, the Partnership’s independent registered public accountant, for the audit of the Partnership’s annual financial statements for the year ended December 31, 2019 and (b) the fees expected to be billed to the Partnership for professional audit services provided by Deloitte & Touche, LLP for the audit of the Partnership’s annual financial statements for the year ended December 31, 2020.
FEE CATEGORY
Audit Fees $ 28,000 $ 37,000
Audit-Related Fees $ 56,000 $ 67,000
Tax Fees $ 22,000 $ 103,175
All Other Fees $ - $ -
TOTAL FEES $ 106,000 $ 207,175
Audit Fees and Audit-Related Fees consist of fees paid for (i) the audit of Altegris Winton Futures Fund, L.P.’s annual financial statements included in the annual report on Form 10-K, and review of financial statements included in the quarterly reports on Form 10-Q and (ii) services that are normally provided by the Independent Registered Public Accountants in connection with statutory and regulatory filings of registration statements. 2019 Audit Fees and Audit-Related Fees were paid to Ernst & Young LLP.
Tax Fees for 2020 consist of non-audit fees paid to Fleming Fund Services for professional services rendered in connection with tax compliance and Partnership income tax return filings. Tax Fees for 2019 were paid to Ernst & Young LLP.
The managers of the General Partner pre-approve the engagement of the Partnership’s auditor for all services to be provided by the auditor.
PART IV

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ITEM 15. EXHIBITS, FINANCIAL STATEMENT SCHEDULES
ITEM 15: EXHIBITS, FINANCIAL STATEMENT SCHEDULES
Financial Statements
The financial statements and balance sheets required by this Item are included herewith, beginning after the signature page hereof, and are incorporated into this Item 15.
Exhibits
The following documents (unless otherwise indicated) are filed herewith and made part of this registration statement.
Exhibit Designation Description
*3.1 Certificate of Formation of Altegris Winton Futures Fund, L.P.
**4.1 Third Amended and Restated Agreement of Limited Partnership of Altegris Winton Futures Fund, L.P.
*10.1 Advisory Contract between Altegris Winton Futures Fund, L.P., 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
31.01 Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer
31.02 Rule 13a-14(a)/15d-14(a) Certification of Financial Executive Officer
32.01 Section 1350 Certification of Principal Executive Officer
32.02 Section 1350 Certification of Principal Financial Officer
*****101.INS XBRL Instance Document
*****101.SCH XBRL Schema Document
*****101.CAL XBRL Calculation Linkbase Document
*****101.DEF XBRL Definition Linkbase Document
*****101.LAB XBRL Label Linkbase Document
*****101.PRE XBRL Presentation Linkbase Document
____________________
* These exhibits are incorporated by reference to the exhibits of the same numbers and descriptions filed with the Partnership’s Registration Statement (File No. 000-53348) filed on July 30, 2008 on Form 10-12G under the Securities Exchange Act of 1934.
** This exhibit is incorporated by reference to 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.
*** 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.