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EX-31.01 - Altegris QIM Futures Fund, L.P.fp0003671_ex31-1.htm
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C.  20549
 
FORM 10-Q
 
[X]
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
 
For quarterly period ended September 30, 2011
 
OR

[  ]
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
 
For the transition period from   to  

Commission File Number:  000-53815
 

 
ALTEGRIS QIM FUTURES FUND, L.P.
(Exact name of registrant as specified in its charter)
 

 
DELAWARE
 
27-0473854
(State or other jurisdiction
of incorporation or organization)
 
(I.R.S. Employer
Identification No.)
 
c/o ALTEGRIS PORTFOLIO MANAGEMENT, INC.
1202 Bergen Parkway, Suite 212
Evergreen, Colorado 80439
(Address of principal executive offices)
 
(858) 459-7040
(Registrant’s telephone number, including area code)
 
Securities registered pursuant to Section 12(b) of the Act:  None
 
Securities registered pursuant to Section 12(g) of the Act:  Limited Partnership Interests

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

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes  [X]  No  [  ]
 
Indicate by check mark whether the Registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company.  See definition of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.
 
  Large accelerated filer  [  ]
Accelerated filer  [  ]
Non-accelerated filer  [  ]
Smaller reporting company  [X]
 
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes  [  ] No  [X]
 
 
 

 
 
TABLE OF CONTENTS
     
   
Page
     
PART I – FINANCIAL INFORMATION
 
     
Item 1.
Financial Statements
1
     
 
Statements of Financial Condition
1
     
 
Condensed Schedules of Investments
2
     
 
Statements of Operations
6
     
 
Statements of Changes in Partners’ Capital (Net Asset Value)
7
     
 
Notes to Financial Statements
8
     
Item 2.
Management’s Discussion and Analysis of Financial Condition and Results of Operations
24
     
Item 3.
Quantitative and Qualitative Disclosures About Market Risk
27
     
Item 4.
Controls and Procedures
27
     
PART II – OTHER INFORMATION
 
     
Item 1.
Legal Proceedings
 28
     
Item 1A.
Risk Factors
28
     
Item 2.
Unregistered Sales of Equity Securities and Use of Proceeds
28
     
Item 3.
Defaults Upon Senior Securities
28
     
Item 4.
REMOVED AND RESERVED
28
     
Item 5.
Other Information
28
     
Item 6.
Exhibits
28
     
Signatures
30
     
Rule 13a–14(a)/15d–14(a) Certifications
31
     
Section 1350 Certifications
32
 
 
 

 
 
PART I – FINANCIAL INFORMATION

Item 1:   Financial Statements.
 
ALTEGRIS QIM FUTURES FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
SEPTEMBER 30, 2011 (Unaudited) and DECEMBER 31, 2010 (Audited)
_______________
 
             
             
   
2011
   
2010
 
ASSETS
           
    Equity in Newedge USA, LLC account:
           
        Cash
  $ 13,673,162     $ 9,099,413  
        Unrealized gain (loss) on open commodity futures contracts
    (770,574 )     634,517  
                 
      12,902,588       9,733,930  
                 
    Cash and cash equivalents
    3,549,898       686,709  
    Investment securities at value
               
      (cost - $112,313,793 and $115,456,903)
    112,329,691       115,425,545  
    Receivable from General Partner (Note 2)
    0       142,556  
    Interest receivable
    76,302       101,769  
                 
Total assets
  $ 128,858,479     $ 126,090,509  
                 
LIABILITIES
               
    Commissions payable
  $ 64,780     $ 92,817  
    Management fee payable (Note 2)
    115,618       115,629  
    Administrative fee payable (Note 2)
    26,615       27,122  
    Service fees payable (Note 2)
    93,686       85,957  
    Incentive fees payable
    125,346       309,798  
    Redemptions payable
    4,280,553       666,997  
    Subscriptions received in advance
    1,949,110       3,785,720  
    Other liabilities
    147,643       142,573  
                 
                Total liabilities
    6,803,351       5,226,613  
                 
                 
PARTNERS' CAPITAL (NET ASSET VALUE)
               
    General Partner
    836       864  
    Limited Partners
    122,054,292       120,863,032  
                 
                Total partners' capital (Net Asset Value)
    122,055,128       120,863,896  
                 
Total liabilities and partners' capital
  $ 128,858,479     $ 126,090,509  
 
See accompanying notes

 
1

 
 
ALTEGRIS QIM FUTURES FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2011 (Unaudited)
_______________
 
INVESTMENT SECURITIES
               
Face Value
 
Maturity Date
 
 Description
 
Value
   
% of Partners Capital
 
                     
                     
Fixed Income Investments
               
                     
U.S. Government Agency Bonds and Notes
               
$ 2,130,000  
4/4/2013
 
Federal Farm Credit Bank, 0.84%
  $ 2,134,792       1.75 %
  1,000,000  
5/2/2013
 
Federal Farm Credit Bank, 0.75%
    1,005,109       0.82 %
  15,000,000  
11/10/2011
 
Federal Home Loan Bank, 0.09%
    14,999,685       12.29 %
  1,500,000  
4/2/2012
 
Federal Home Loan Bank, 0.17%
    1,499,673       1.23 %
  500,000  
5/18/2012
 
Federal Home Loan Bank, 1.125%
    502,681       0.41 %
  1,500,000  
7/18/2012
 
Federal Home Loan Bank, 0.25%
    1,499,693       1.23 %
  2,000,000  
9/14/2012
 
Federal Home Loan Bank, 0.20%
    1,998,394       1.64 %
  4,000,000  
11/16/2012
 
Federal Home Loan Bank, 0.50%
    4,001,412       3.28 %
  2,000,000  
5/9/2013
 
Federal Home Loan Bank, 0.75%
    2,000,828       1.64 %
  9,536,000  
10/3/2011
 
Federal Home Loan Bank Disc Note, 0.00%
    9,535,999       7.81 %
  3,000,000  
10/26/2011
 
Federal Home Loan Bank Disc Note, 0.06%
    2,999,961       2.46 %
  500,000  
4/29/2013
 
Federal Home Loan Mortgage Corporation, 0.70%
    500,145       0.41 %
  2,350,000  
2/13/2012
 
Federal Home Loan Mort Corp Disc Note, 0.18%
    2,349,826       1.92 %
  3,000,000  
5/29/2012
 
Federal Home Loan Mort Corp Disc Note, 0.20%
    2,999,004       2.46 %
  3,000,000  
12/28/2011
 
Federal National Mort Assoc Disc Note, 0.01%
    2,999,856       2.46 %
  2,750,000  
4/20/2012
 
Federal National Mortgage Association, 1.875%
    2,774,519       2.27 %
  4,750,000  
11/1/2012
 
Federal National Mortgage Association, 0.55%
    4,750,974       3.89 %
  3,000,000  
11/9/2012
 
Federal National Mortgage Association, 0.625%
    3,000,891       2.46 %
Total U.S. Government Agency Bonds and Notes (cost - $61,537,544)
    61,553,442       50.43 %
                           
Corporate Notes
                       
$ 3,180,000  
10/6/2011
 
American Honda Finance Disc Note, 0.11%
    3,179,738       2.60 %
  1,250,000  
10/4/2011
 
Argento Variable Funding Corp Disc Note, 0.26%
    1,249,810       1.02 %
  4,000,000  
10/3/2011
 
Bank of Nova Scotia Disc Note, 0.01%
    3,999,996       3.28 %
  3,420,000  
10/21/2011
 
BMO Capital Markets Corp Disc Note, 0.09%
    3,420,000       2.80 %
  3,430,000  
10/3/2011
 
Cancara Asset Securitization LLC Disc Note, 0.26%
    3,429,480       2.81 %
  1,690,000  
10/14/2011
 
Danaher Corp Disc Note, 0.13%
    1,689,817       1.38 %
  3,430,000  
10/14/2011
 
General Electric Capital Corp Disc Note, 0.09%
    3,429,743       2.81 %
  2,100,000  
10/7/2011
 
Grampian Funding LLC Disc Note, 0.25%
    2,099,577       1.72 %
  3,430,000  
10/14/2011
 
Mizuho Funding LLC Disc Note, 0.20%
    3,429,466       2.81 %
  250,000  
10/20/2011
 
Mont Blanc Capital Disc Note, 0.27%
    249,944       0.20 %
  3,850,000  
10/27/2011
 
National Australian Bank Disc Note, 0.11%
    3,850,000       3.15 %
  3,370,000  
10/21/2011
 
Norinchukin Bank Disc Note, 0.26%
    3,370,000       2.76 %
  1,280,000  
10/6/2011
 
PACCAR Financial Corp Disc Note, 0.11%
    1,279,890       1.05 %
  1,000,000  
10/7/2011
 
State Street Bank & Trust Disc Note, 0.13%
    1,000,000       0.82 %
  3,710,000  
10/6/2011
 
Sumitomo Mutsui Banking Corp Disc Note, 0.21%
    3,710,000       3.04 %
  800,000  
10/11/2011
 
Suncorp Group Ltd Disc Note, 0.28%
    799,925       0.66 %
  850,000  
10/6/2011
 
Tasman Funding Inc Disc Note, 0.28%
    849,802       0.70 %
  2,000,000  
10/20/2011
 
Thames Asset Global Disc Note, 0.28%
    1,999,549       1.64 %
  1,900,000  
10/6/2011
 
Toronto-Dominion Holdings Disc Note, 0.12%
    1,899,823       1.56 %
  2,840,000  
10/20/2011
 
Toyota Motor Credit Corp Disc Note, 0.10%
    2,839,779       2.33 %
  3,000,000  
10/24/2011
 
Wal-Mart Stores Inc Disc Note, 0.04%
    2,999,910       2.46 %
Total Corporate Notes (cost - $50,776,249)
        50,776,249       41.60 %
                           
                           
Total Investment Securities (cost - $112,313,793)
  $ 112,329,691       92.03 %
 
See accompanying notes
 
 
2

 
 
ALTEGRIS QIM FUTURES FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS (continued)
SEPTEMBER 30, 2011 (Unaudited)
_______________
 
 
Range of Expiration Dates
 
Number of Contracts
   
Value
   
% of Partners Capital
 
                     
Long Futures Contracts:
                   
Agriculture
Nov 11 - Dec 11
    21     $ (26,307 )     (0.02 )%
Currencies
Dec 11
    101       39,526       0.03 %
Energy
Nov 11
    35       (77,372 )     (0.06 )%
Interest Rates
Dec 11
    134       79,882       0.07 %
Metals
Dec 11 - Jan 12
    18       (3,678 )     (0.00 )%
Stock Indices
Oct 11 - Dec 11
    743       (1,188,951 )     (0.98 )%
                           
Total Long Futures Contracts
      1,052       (1,176,900 )     (0.96 )%
                           
Short Futures Contracts:
                         
Agriculture
Dec 11 - Mar 12
    15       13,584       0.01 %
Currencies
Dec 11
    254       399,575       0.33 %
Energy
Nov 11
    5       7,956       0.00 %
Interest Rates
Dec 11 - Jun 12
    95       11,119       0.01 %
Metals
Dec 11
    20       81,438       0.07 %
Stock Indices
Dec 11
    6       20,543       0.02 %
Treasury Rates
Dec 11
    657       (127,889 )     (0.11 )%
                           
Total Short Futures Contracts
      1,052       406,326       0.33 %
                           
Total Futures Contracts
      2,104     $ (770,574 )     (0.63 )%
 
See accompanying notes

 
3

 

ALTEGRIS QIM FUTURES FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2010 (Audited)
_______________

INVESTMENT SECURITIES
               
Face Value
 
Maturity Date
 
 Description
 
Value
   
% of Partners Capital
 
                     
                     
Fixed Income Investments
               
                     
U.S. Government Agency Bonds and Notes
               
$ 2,330,000  
6/8/2012
 
Federal Farm Credit Bank, 0.64%
  $ 2,330,061       1.93 %
  4,400,000  
6/14/2012
 
Federal Farm Credit Bank, 1.11%
    4,415,202       3.65 %
  4,590,000  
8/2/2012
 
Federal Farm Credit Bank, 0.73%
    4,600,975       3.81 %
  2,500,000  
10/4/2012
 
Federal Farm Credit Bank, 0.60%
    2,499,243       2.07 %
  2,500,000  
11/9/2012
 
Federal Farm Credit Bank, 0.50%
    2,488,805       2.06 %
  1,000,000  
4/26/2012
 
Federal Farm Credit Bank Discount Note, 0.375%
    999,458       0.83 %
  4,000,000  
12/30/2011
 
Federal Home Loan Bank, 0.50%
    4,000,000       3.31 %
  2,250,000  
8/23/2012
 
Federal Home Loan Bank, 0.50%
    2,247,428       1.86 %
  1,800,000  
10/18/2012
 
Federal Home Loan Bank, 0.625%
    1,796,576       1.49 %
  2,500,000  
11/15/2012
 
Federal Home Loan Bank, 0.625%
    2,489,710       2.06 %
  3,000,000  
7/26/2012
 
Federal Home Loan Mortgage Corporation, 1.00%
    3,000,942       2.48 %
  1,492,000  
7/8/2011
 
Federal National Mort Assoc Disc Note, 0.41%
    1,490,612       1.23 %
  9,150,000  
7/12/2012
 
Federal National Mortgage Association, 1.05%
    9,151,034       7.57 %
  3,000,000  
9/17/2012
 
Federal National Mortgage Association, 0.75%
    3,001,920       2.48 %
  4,750,000  
11/1/2012
 
Federal National Mortgage Association, 0.55%
    4,734,676       3.92 %
  3,000,000  
11/9/2012
 
Federal National Mortgage Association, 0.625%
    2,991,786       2.48 %
  4,000,000  
12/13/2012
 
Federal National Mortgage Association, 0.80%
    3,986,444       3.30 %
Total U.S. Government Agency Bonds and Notes (cost - $56,256,230)
    56,224,872       46.53 %
                           
Corporate Notes
                       
$ 260,000  
1/3/2011
 
Atmos Energy Corp Disc Note, 0.28%
    2,599,899       2.15 %
  4,600,000  
1/3/2011
 
Autozone Inc Disc Note, 0.32%
    4,599,755       3.81 %
  1,002,000  
1/7/2011
 
Autozone Inc Disc Note, 0.30%
    1,001,942       0.83 %
  5,600,000  
1/5/2011
 
Avery Dennison Corp Disc Note, 0.30%
    5,599,673       4.63 %
  1,475,000  
1/3/2011
 
Bank of America Repo, 0.07%
    1,475,000       1.22 %
  5,620,000  
1/4/2011
 
Barclays US Fund Corp Disc Note, 0.23%
    5,618,995       4.65 %
  430,000  
1/20/2011
 
Conocophillips Qatar F Disc Note, 0.26%
    429,907       0.36 %
  5,600,000  
1/12/2011
 
Credit Agricole N A Disc Note, 0.28%
    5,599,401       4.63 %
  2,324,000  
1/3/2011
 
Dentsply Intl Inc, 0.32%
    2,323,938       1.92 %
  5,600,000  
1/5/2011
 
Dexia Delaware LLC Disc Note, 0.34%
    5,599,630       4.63 %
  5,600,000  
1/7/2011
 
Nissan Mtr Accp CP Disc note, 0.21%
    5,599,079       4.63 %
  1,902,000  
1/3/2011
 
Pacificorp Disc Note, 0.30%
    1,901,952       1.57 %
  2,220,000  
1/12/2011
 
Philip Morris Intl Inc Disc Note, 0.21%
    2,219,650       1.84 %
  5,600,000  
1/5/2011
 
Prudential Funding Corp Disc Note, 0.30%
    5,599,673       4.63 %
  23,000  
1/3/2011
 
Societe Generale North America Inc Disc, 0.10%
    23,000       0.02 %
  2,800,000  
1/12/2011
 
Societe Generale North America Inc Disc, 0.27%
    2,799,711       2.32 %
  2,410,000  
1/3/2011
 
Spectra Energy Captl Disc Note, 0.38%
    2,409,827       1.99 %
  3,000,000  
1/5/2011
 
Spectra Energy Captl Disc Note, 0.35%
    2,999,796       2.48 %
  800,000  
1/11/2011
 
Svenska Handlsbn S Bank Disc Note, 0.24%
    799,845       0.66 %
Total Corporate Notes and Repurchase Agreements (cost - $59,200,673)
    59,200,673       48.97 %
                           
                           
Total Investment Securities (cost - $115,456,903)
  $ 115,425,545       95.50 %
 
See accompanying notes

 
4

 

ALTEGRIS QIM FUTURES FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS (continued)
DECEMBER 31, 2010 (Audited)
_______________

 
Range of Expiration Dates
 
Number of Contracts
   
Value
   
% of Partners Capital
 
                     
Long Futures Contracts:
                   
Agriculture
Mar-11
    4     $ 20,269       0.02 %
Currencies
Mar-11
    338       726,140       0.60 %
Energy
Feb-11
    113       291,558       0.24 %
Interest Rates
Mar 11 - Jun 11
    174       186,254       0.15 %
Stock Indices
Jan 11 - Mar 11
    210       4,347       0.00 %
Treasury Rates
Mar-11
    243       242,433       0.20 %
                           
Total Long Futures Contracts
      1,082       1,471,001       1.21 %
                           
Short Futures Contracts:
                         
Agriculture
Feb 11 - Mar 11
    147       (272,128 )     (0.23 )%
Currencies
Mar-11
    37       (70,338 )     (0.06 )%
Energy
Jan-11
    5       (17,784 )     (0.01 )%
Interest Rates
Mar-11
    68       (9,665 )     (0.01 )%
Metals
Feb 11 - Mar 11
    56       (476,603 )     (0.39 )%
Stock Indices
Mar-11
    146       18,347       0.02 %
Treasury Rates
Mar-11
    13       (8,313 )     (0.01 )%
                           
Total Short Futures Contracts
      472       (836,484 )     (0.69 )%
                           
Total Futures Contracts
      1,554     $ 634,517       0.52 %

See accompanying notes

 
5

 

ALTEGRIS QIM FUTURES FUND, L.P.
STATEMENTS OF OPERATIONS
FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2011 AND 2010 (Unaudited)
_______________

   
Three Months Ended
   
Nine Months Ended
 
   
September 30,
   
September 30,
 
   
2011
   
2010
   
2011
   
2010
 
TRADING (LOSSES)
                       
Gain (loss) on trading of commodity futures
                       
Realized
  $ 8,523,299     $ 273,130     $ 2,011,700     $ (1,512,477 )
Change in unrealized
    (919,486 )     870,028       (1,405,091 )     148,067  
Brokerage commissions
    (461,303 )     (348,366 )     (1,467,532 )     (755,468 )
                                 
Gain (loss) from trading futures
    7,142,510       794,792       (860,923 )     (2,119,878 )
                                 
Gain (loss) on trading of securities
                               
Realized
    14,401       7,853       70,459       8,980  
Change in unrealized
    (16,489 )     26,152       47,256       99,991  
                                 
Gain (loss) from trading securities
    (2,088 )     34,005       117,715       108,971  
                                 
Foreign currency gains (losses)
    2,807       (13,219 )     (20,912 )     (25,351 )
                                 
Total trading gains (losses)
    7,143,229       815,578       (764,120 )     (2,036,258 )
                                 
NET INVESTMENT INCOME (LOSS)
                               
Income
                               
Interest income
    48,024       98,669       226,694       253,249  
                                 
Expenses
                               
Management fee (Note 2)
    352,435       271,486       1,099,914       576,667  
Service fees (Note 2)
    254,810       195,243       786,463       442,546  
Incentive fees
    125,346       62,049       257,066       66,090  
Professional fees
    109,713       130,644       344,416       288,947  
Administrative fee (Note 2)
    81,079       64,831       255,199       136,027  
Organization and initial offering expenses
    3,200       0       9,600       0  
Other expenses
    41,962       0       78,767       0  
                                 
Total expenses before operating expense cap
    968,545       724,253       2,831,425       1,510,277  
                                 
Expenses exceeding operating expense cap (Note 2)
    0       (32,434 )     0       (72,016 )
                                 
Net expenses
    968,545       691,819       2,831,425       1,438,261  
                                 
Net investment income (loss)
    (920,521 )     (593,150 )     (2,604,731 )     (1,185,012 )
                                 
                                 
NET INCOME (LOSS)
  $ 6,222,708     $ 222,428     $ (3,368,851 )   $ (3,221,270 )
 
See accompanying notes

 
6

 

ALTEGRIS QIM FUTURES FUND, L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2011 AND 2010 (Unaudited)
_______________

         
Limited Partners
       
                     
 
   
 
       
   
Total
   
Class A
   
Class B
   
Institutional
Interests
   
Special Interests
   
General
Partner
 
                                     
Balances at December 31, 2010
  $ 120,863,896     $ 50,915,319     $ 48,418,588     $ 20,629,168     $ 899,957     $ 864  
                                                 
Transfers
    0       (220,990 )     (262,792 )     483,782       -       -  
                                                 
Capital additions
    31,385,636       13,142,247       10,062,722       8,180,667       -       -  
                                                 
Capital withdrawals
    (26,746,540 )     (11,793,794 )     (9,558,556 )     (4,500,362 )     (893,828 )     -  
                                                 
                                                 
Net income (loss) for the nine months ended September 30, 2011
    (3,368,851 )     (1,909,044 )     (1,108,292 )     (345,908 )     (5,579 )     (28 )
                                                 
Offering costs, net of reimbursements
    (79,013 )     (32,954 )     (31,614 )     (13,895 )     (550 )     -  
                                                 
Balances at September 30, 2011
  $ 122,055,128     $ 50,100,784     $ 47,520,056     $ 24,433,452     $ -     $ 836  
                                                 
Balances at December 31, 2009
  $ 23,140,192     $ 13,152,279     $ 4,824,357     $ 3,201,544     $ 1,961,078     $ 934  
                                                 
Transfers
    0       180,038       (1,004,429 )     824,391       -       -  
                                                 
Capital additions
    88,858,929       35,897,707       41,266,222       11,695,000       -       -  
                                                 
Capital withdrawals
    (9,318,385 )     (5,630,126 )     (1,180,438 )     (1,552,350 )     (955,471 )     -  
                                                 
                                                 
Net income (loss) for the nine months ended September 30, 2010
    (3,221,270 )     (1,902,864 )     (802,799 )     (393,096 )     (122,431 )     (80 )
                                                 
Offering costs, net of reimbursements
    (33,269 )     (14,295 )     (13,148 )     (5,069 )     (757 )     -  
                                                 
Balances at September 30, 2010
  $ 99,426,197     $ 41,682,739     $ 43,089,765     $ 13,770,420     $ 882,419     $ 854  
 
See accompanying notes

 
7

 

ALTEGRIS QIM FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
 
General Description of the Partnership

Altegris QIM Futures Fund, L.P. (“Partnership”) (formerly APM – QIM Futures Fund, L.P.) was organized as a Delaware limited partnership in June 2009.  The Partnership's general partner is Altegris Portfolio Management, Inc. (d/b/a Altegris Funds) ("General Partner").  The Partnership speculatively trades commodity futures contracts, and may trade options on futures contracts, forward contracts and other commodity interests.  The objective of the Partnership’s business is appreciation of its assets. It is subject to the regulations of the Commodity Futures Trading Commission (the “CFTC”), an agency of the United States (“U.S.”) Government which regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of commodity exchanges and Futures Commission Merchants (brokers) through which the Partnership trades.
 
Method of Reporting

The Partnership follows accounting standards set by the Financial Accounting Standards Board, commonly referred to as the “FASB”. The FASB sets generally accepted accounting principles (“GAAP”) that the Partnership follows to ensure consistent reporting of the Partnership’s financial condition, results of operations, and changes in partners’ capital. References to GAAP issued by the FASB in these footnotes are to the FASB Accounting Standards Codification referred to as “ASC”.

The Partnership’s financial statements are presented in accordance with U.S. generally accepted accounting principles (“GAAP”), which require the use of certain estimates made by the Partnership’s management.  Actual results could differ from those estimates.

The accompanying unaudited condensed financial statements have been prepared in accordance with Rule 10-01 of Regulation S-X promulgated by the U.S. Securities and Exchange Commission (the “SEC”) and, therefore, do not include all information and footnote disclosure required under GAAP.  The financial information included herein is unaudited, however, such financial information reflects all adjustments which are, in the opinion of management, necessary for the fair presentation of the financial statements for the interim period.

Cash and Cash Equivalents

Cash and cash equivalents includes cash and other highly liquid investments with financial institutions containing original maturity dates of 90 days or less.  A portion of the cash designated as Equity in Newedge USA, LLC is restricted and held as margin collateral for futures transactions.

 
8

 

ALTEGRIS QIM FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Basis of Accounting

Security transactions are recorded on the trade date.  Realized gains and losses from security transactions are determined using the identified cost method.  Any change in net unrealized gain or loss from the preceding period is reported in the statement of operations.  Brokerage commissions and other trading fees are reflected as an adjustment to cost or proceeds at the time of the transaction.  Interest income is recorded on the accrual basis.

Gains or losses on futures contracts and options on futures contracts are realized when contracts are liquidated.  Net unrealized gains or losses on open contracts (the difference between contract trade price and quoted market price) are reflected in the statement of financial condition.  Any change in net unrealized gain or loss from the preceding period is reported in the statement of operations.  Brokerage commissions on futures and options on futures contracts include other trading fees and are charged to expense when contracts are opened.

Fair Value

The Partnership values its investments in accordance with Accounting Standards Codification 820 – Fair Value Measurements (“ASC 820”). Under ASC 820, fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e., the “exit price”) in an orderly transaction between market participants at the measurement date.

In determining fair value, the Partnership uses various valuation approaches. ASC 820 establishes a fair value hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Partnership.

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

 
9

 

ALTEGRIS QIM FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Fair Value (continued)

Level 1 - Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that the Partnership has the ability to access. Because valuations are based on quoted prices that are readily and regularly available in an active market, valuation of these assets and liabilities does not entail a significant degree of judgment.

Level 2 - Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.

Level 3 - Valuations based on inputs that are unobservable and significant to the overall fair value measurement.

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

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

 
10

 

ALTEGRIS QIM FUTURES FUND, L.P
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Fair Value (continued)

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

The fair value of U.S. Government agency bonds and notes is generally based on quoted prices in active markets. When quoted prices are not available, fair value is determined based on a valuation model that uses inputs that include interest-rate yield curves, cross-currency-basis index spreads, and country credit spreads similar to the bond in terms of issue, maturity and seniority. U.S. Government agency bonds and notes are generally categorized in Levels 1 or 2 of the fair value hierarchy.
 
The fair value of corporate notes is estimated using recently executed transactions, market price quotations (where observable), notes spreads or credit default swap spreads. The spread data used are for the same maturity as of the notes. If the spread data does not reference the issuer, then data that references a comparable issuer is used. When observable price quotations are not available, fair value is determined based on cash flow models with yield curves, notes, or single-name credit default swap spreads and recovery rates based on collateral values as key inputs. These valuation methods represent both a market and income approach to fair value measurement. Corporate notes are generally categorized in Level 2 of the fair value hierarchy. In instances where significant inputs are unobservable, they are categorized in Level 3 of the hierarchy.

 
11

 
 
ALTEGRIS QIM FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
 
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 
Fair Value (continued)

The following table presents information about the Partnership’s assets and liabilities measured at fair value as of September 30, 2011 and December 31, 2010:
 
September 30, 2011  
Quoted Prices in Active
Markets for Identical
Assets (Level 1)
   
Significant Other
Observable Inputs
(Level 2)
   
Significant
Unobservable Inputs
(Level 3)
   
Balance as of
September 30, 2011
 
                         
Assets
                       
                         
U.S. Government agency bonds and notes
  $ 61,553,442     $ -     $ -     $ 61,553,442  
Corporate notes
    -       50,776,249       -       50,776,249  
                                 
Total Assets   $ 61,553,442     $ 50,776,249     $ -     $ 112,329,691  
                                 
Liabilities
                               
                                 
Futures contracts (1)
  $ 770,574     $ -     $ -     $ 770,574  
 
December 31, 2010
 
Quoted Prices in Active
Markets for Identical
Assets (Level 1)
   
Significant Other
Observable Inputs
(Level 2)
   
Significant
Unobservable Inputs
(Level 3)
   
Balance as of
December 31, 2010
 
                         
Assets
                       
                         
    Futures contracts (1)
  $ 634,517     $ -     $ -     $ 634,517  
    U.S. Government agency bonds and notes
    56,224,872       -       -       56,224,872  
    Corporate notes
    -       59,200,673       -       59,200,673  
                                 
Total Assets
  $ 56,859,389     $ 59,200,673     $ -     $ 116,060,062  
 
(1) 
See Note 1. "Financial Derivative Instruments" for the fair value in each type of contracts within this category.

For the periods ended September 30, 2011 and December 31, 2010, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

 
12

 

ALTEGRIS QIM FUTURES FUND, L.P
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Foreign Currency Transactions

The Partnership’s functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar.  Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the 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.
 
Capital Accounts and Allocation of Income and Losses

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

The Partnership consists of the General Partner’s Interest, Special Interests, Class A Interests, Class B Interests and Institutional Interests (collectively referred to as “Interests”).  Income or loss (prior to management fees, administrative fees, service fees and incentive fees) is allocated pro rata among the partners based on their respective capital accounts as of the end of each month in which the items accrue pursuant to the terms of the Partnership’s agreement of limited partnership, as may be amended and restated from time to time (the “Agreement”).  Special Interests, Class A Interests, Class B Interests and Institutional Interests are then charged with their applicable management fee, administrative fee, service fee and incentive fee in accordance with the Agreement.  Class A Interests, Class B Interests and Institutional Interests were first issued by the Partnership on October 1, 2009.
 
Income Taxes

The Partnership is not subject to federal income taxes; each partner reports their allocable share of income, gain, loss, deductions or credits on its own income tax return.

The Partnership classifies interest and penalties, if any, as interest expense.  The Partnership files U.S. federal and required state tax returns.  The 2010 and 2009 tax years remain subject to examination by U.S. federal and most state tax authorities.

 
13

 

ALTEGRIS QIM FUTURES FUND, L.P
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 
Income Taxes (continued)

The Partnership applies the provisions of Codification Topics 740, Income Taxes; and 835, Interest, which prescribes the minimum recognition threshold a tax position must meet in connection with accounting for uncertainties in income tax positions taken or expected to be taken by an entity before being measured and recognized in the financial statements. This accounting standard requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s financial statements to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions with respect to tax at the Partnership level not deemed to meet the “more-likely-than-not” threshold would be recorded as an expense in the current year. The General Partner has concluded there is no tax expense or interest expense related to uncertainties in income tax positions for the periods ended September 30, 2011 and December 31, 2010.

Organization Costs

The General Partner has incurred all expenses in connection with the initial organization of the Partnership, totaling approximately $64,000.  The General Partner bills the Partnership in monthly installments for such expenses over a sixty month period beginning in the thirteenth month after the Partnership commenced operations. If the Partnership were to cease operations prior to the end of the sixty month period, the Partnership would not be obligated to pay the General Partner for the unbilled costs.

Offering Costs

Offering costs incurred in connection with the ongoing offering of the Partnership’s interests are borne by the Partnership.  These costs include, but are not limited to, legal fees pertaining to updating Partnership’s offering documents and materials, accounting and printing costs.  These costs are charged to partners’ capital as incurred.

Financial Derivative Instruments

The Partnership engages in the speculative trading of futures contracts for the purpose of achieving capital appreciation.  None of the Partnership’s derivative instruments are designated as hedging instruments, as defined in the Derivatives and Hedging Topic of the ASC, nor are they used for other risk management purposes.  The Advisor and General Partner actively assess, manage and monitor risk exposure on derivatives on a contract basis, a sector basis (e.g., interest rate derivatives, agricultural derivatives, etc.), and on an overall basis in accordance with established risk parameters.  Due to the speculative nature of the Partnership’s derivative trading activity, the Partnership is subject to the risk of substantial losses from derivatives trading.

 
14

 
 
ALTEGRIS QIM FUTURES FUND, L.P
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Financial Derivative Instruments (continued)

The following presents the fair value of derivative contracts at September 30, 2011 and December 31, 2010.  The fair value of derivative contracts is presented as an asset if in a gain position and a liability if in a loss position.  Fair value is presented on a gross basis in the table below even though the derivative contracts qualify for net presentation in the statement of financial condition.
 
September  30, 2011
 
   
Asset
   
Liability
   
 
 
   
Derivatives
   
Derivatives
   
Net
 
   
Fair Value
   
Fair Value
   
Fair Value
 
                   
Futures Contacts
  $ 750,195     $ (1,520,769 )   $ (770,574 )

December 31, 2010
 
   
Asset
   
Liability
   
 
 
   
Derivatives
   
Derivatives
   
Net
 
   
Fair Value
   
Fair Value
   
Fair Value
 
                   
Futures Contracts
  $ 1,623,156     $ (988,639 )   $ 634,517  

The following presents the trading results of the Partnership’s derivative trading and information related to the volume of the Partnership’s derivative activity for the three and nine months ended September 30, 2011 and 2010.

 
15

 

ALTEGRIS QIM FUTURES FUND, L.P
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 
Financial Derivative Instruments (continued)
 
The below captions of “Realized” and “Change in Unrealized” correspond to the captions in the statement of operations.
 
 Three Months Ended September 30, 2011
 
         
Change in
   
Number of
 
   
Realized
   
Unrealized
   
Contracts Closed
 
                   
 Futures Contracts
  $ 8,523,299     $ (919,486 )     27,426  
 
 Nine Months Ended September 30, 2011
 
         
Change in
   
Number of
 
   
Realized
   
Unrealized
   
Contracts Closed
 
                   
Futures Contracts
  $ 2,011,700     $ (1,405,091 )     100,064  
 
 Three Months Ended September 30, 2010
 
   
Realized
   
Unrealized
   
Contracts Closed
 
                   
Futures Contracts
  $ 273,130     $ 870,028       11,703  
 
 Nine Months Ended September 30, 2010
 
         
Change in
   
Number of
 
   
Realized
   
Unrealized
   
Contracts Closed
 
                   
Futures Contracts
  $ (1,512,477 )   $ 148,067       36,297  
 
The number of contracts closed for futures contracts represents the number of contracts closed during the three and nine months ended September 30, 2011 and 2010 in the applicable category.
 
 
16

 

ALTEGRIS QIM FUTURES FUND, L.P
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________

NOTE 2 - AGREEMENTS AND RELATED PARTIES
 
Advisory Contract

The Partnership's trading activities are conducted pursuant to an advisory contract with Quantitative Investment Management LLC (QIM) (“Advisor”).  The Partnership pays the Advisor a quarterly incentive fee of 30% of the trading profits (as defined in the Agreement).  However, the quarterly incentive fee is payable only on cumulative profits, calculated separately for each partner's interest, achieved from commodity trading (as defined in the Agreement).  The incentive fee is accrued on a monthly basis.
 
Brokerage Agreements

Newedge USA, LLC is the Partnership’s commodity broker (the “Clearing Broker”), pursuant to the terms of a brokerage agreement.  The Partnership pays brokerage commissions to the Clearing Broker for clearing trades on its behalf.
 
General Partner Management Fee

The General Partner receives from the Partnership a monthly management fee equal to 0.104% (1.25% annually) for Class A and Class B, 0.0625% (0.75% annually) for Institutional Interests, and currently 0.0208% (0.25% annually) for Special Interests of the Partnership's management fee net asset value (as defined in the Agreement). The General Partner may declare any limited partner of the Partnership (each, a “Limited Partner” and collectively the “Limited Partners”) a “Special Limited Partner” and the management fees or incentive fees charged to any such partner may be different than those charged to other Limited Partners.

Total management fees earned by the General Partner for the nine months ended September 30, 2011 and 2010 were $1,099,914 and $576,667, respectively.  Such management fees for the three months ended September 30, 2011 and 2010 were $352,435 and $271,486, respectively.  Management fees payable to the General Partner as of September 30, 2011 and December 31, 2010 were $115,618 and $115,629, respectively.
 
Administrative Fee

The General Partner receives from the Partnership a monthly administrative fee equal to 0.0275% (0.33% annually) of the Partnership's management fee net asset value (as defined) attributable to Class A and Class B Interests.

 
17

 

ALTEGRIS QIM FUTURES FUND, L.P
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________

NOTE 2 - AGREEMENTS AND RELATED PARTIES (CONTINUED)
 
Operating Expenses
 
During the first twelve months after the Partnership commenced trading, the General Partner limited the operating expenses paid by the Partnership (excluding the fixed administrative fee paid by Class A and B Interests) to 0.50% of the average month-end capital account balances of all Interests for such twelve month period (the Operating Expense Cap). Expenses of $142,556 exceeding the Operating Expense Cap were borne by the General Partner and are reflected in the statements of financial condition as receivable from General Partner at December 31, 2010.
 
Service Fees
 
Class A Interests pay selling agents an ongoing payment of 0.166% of the month-end net asset value (2% annually) of the value of Interests sold by them which are outstanding at month end as compensation for their continuing services to such Class A Limited Partners.
 
Institutional Interests may pay selling agents, if the selling agent so elects, an ongoing payment of 0.0417% (0.50% annually) of the value of Institutional Interests sold by them which are outstanding at month end as compensation for their continuing services to such Limited Partners holding Institutional Interests.
 
Related Party

Altegris Investments, Inc. (“Altegris Investments”), an affiliate of the General Partner, is registered as a broker-dealer with the SEC. Beginning January 1, 2011, Altegris Futures, L.L.C. (“Altegris Futures”), an affiliate of the General Partner and an introducing broker registered with the CFTC, became the Partnership’s introducing broker. Prior to January 1, 2011, Altegris Investments served as the Partnership’s introducing broker.  Altegris Investments has entered into a selling agreement with the Partnership whereby it receives 2% per annum as continuing compensation for Class A Interests sold by Altegris Investments that are outstanding at month end. Altegris Futures, as the Partnership’s introducing broker, receives a portion of the commodity brokerage commissions paid by the Partnership to the Clearing Broker and interest income retained by the Clearing Broker. For the nine months ended September 30, 2011 commissions and interest income received by Altegris Futures amounted to $1,098,467, and continuing compensation received by Altegris Investments amounted to $269,980.   For the nine months ended September 30, 2010 commissions, interest income, and continuing compensation received by Altegris Investments amounted to $852,314.  Such commissions and interest income received by Altegris Futures for the three months ended September 30, 2011 amounted to $357,375, and the continuing compensation received by Altegris Investments amounted  to $81,498.   The commission, interest income and continuing compensation received by Altegris Investments  for the three months ended September 30, 2010 amounted to $403,157.

 
18

 

ALTEGRIS QIM FUTURES FUND, L.P
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________

NOTE 2 - AGREEMENTS AND RELATED PARTIES (CONTINUED)

Related Party (continued)

The Partnership pays to its clearing brokers and Altegris Futures, at a minimum, brokerage charges at a monthly flat rate of 0.125% (1.5% annually) of the Partnership’s management fee net asset value (as defined).  Brokerage charges may exceed the flat rate described above, depending on commission and trading volume levels, which may vary.
Subscriptions, Distributions and Redemptions
 
Investments in the Partnership are made by subscription agreement, subject to acceptance by the General Partner.

The Partnership is not required to make distributions, but may do so at the sole discretion of the General Partner.  A Limited Partner may request and receive redemption of capital, subject to restrictions set forth in the Agreement.  The General Partner may request and receive redemption of capital, subject to the same terms as any Limited Partner.

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

NOTE 3 - FINANCIAL INSTRUMENTS, OFF-BALANCE SHEET RISKS AND UNCERTAINTIES

The Partnership participates in the speculative trading of commodity futures 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 Clearing Broker has the right to require margin in excess of the minimum exchange requirement.  Risk arises from changes in the value of these contracts (market risk) and the potential inability of brokers to perform under the terms of their contracts (credit risk).

All of the contracts currently traded by the Partnership are exchange traded.  The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over-the-counter transactions because, in over-the-counter transactions, the Partnership must rely solely on the credit of its respective individual counterparties.  However if, in the future, the Partnership were to enter into non-exchange traded contracts, it would be subject to the credit risk associated with counterparty non-performance.  The credit risk from counterparty non-performance associated with such instruments is the net unrealized gain, if any.

The Partnership also has credit risk because the sole counterparty to all domestic futures contracts is the exchange clearing corporation.  In addition, the Partnership bears the risk of financial failure by the Clearing Broker.

 
19

 

ALTEGRIS QIM FUTURES FUND, L.P
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________

NOTE 3 - FINANCIAL INSTRUMENTS, OFF-BALANCE SHEET RISKS AND UNCERTAINTIES (CONTINUED)
 
The Partnership's policy is to continuously monitor its exposure to market and counterparty risk through the use of a variety of financial, position and credit exposure reporting and control procedures.  In addition, the Partnership has a policy of reviewing the credit standing of each clearing broker or counterparty with which it conducts business.
 
Effective as of June 10, 2011 JPMorgan Chase Bank, N.A. (“Custodian”) replaced Wilmington Trust Company as the Partnership’s custodian.  The Partnership has cash deposited with the Custodian.  For cash not held with the Clearing Broker, the Partnership receives cash management services from an affiliate of the Custodian, J.P. Morgan Investment Management Inc. (“JPMIM”).  The Partnership has a substantial portion of its assets on deposit with the Custodian in U.S. Government agency bonds and notes and corporate notes.  Risks arise from investments in bonds and notes due to possible illiquidity and the potential for default by the issuer or counterparty.  Such instruments are also sensitive to changes in interest rates and economic conditions.
 
NOTE 4 - INDEMNIFICATIONS
 
In the normal course of business, the Partnership enters into contracts and agreements that contain a variety of representations and warranties and which provide general indemnifications.  The Partnership’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Partnership that have not yet occurred.  The Partnership expects the risk of any future obligation under these indemnifications to be remote.
 
NOTE 5 - NEW ACCOUNTING PRONOUNCEMENT
 
In May 2011, the FASB issued Accounting Standards Update (“ASU”) No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards (“IFRS”)”. ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRS. ASU 2011-04 will require reporting entities to disclose the following information for fair value measurements categorized within Level 3 of the fair value hierarchy: quantitative information about the unobservable inputs used in the fair value measurement, the valuation processes used by the reporting entity, and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU 2011-04 and its impact on the financial statements.

 
20

 
 
ALTEGRIS QIM FUTURES FUND, L.P
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________

NOTE 6 - FINANCIAL HIGHLIGHTS

The following information presents the financial highlights of the Partnership for the three and nine months ended September 30, 2011 and 2010.  This information has been derived from information presented in the financial statements.
 
 
 
Three months ended September 30, 2011
 
               
Institutional
   
Special
 
   
Class A
   
Class B
   
Interest
   
Interests
 
                         
Total return for Limited Partners
                       
  Total return prior to incentive fees (4)
    4.89 %     5.41 %     5.62 %     5.76 %
  Incentive fees (4)
    (0.12 %)     (0.08 %)     (0.10 %)     0.00 %
    Total return after incentive fees (4)
    4.77 %     5.33 %     5.52 %     5.76 %
                                 
Ratio to average net asset value
                               
  Expenses prior to incentive fees (1) (3)
    4.19 %     2.12 %     1.28 %     0.76 %
  Incentive fees (4)
    0.12 %     0.08 %     0.10 %     0.00 %
                                 
    Total expenses
    4.31 %     2.20 %     1.38 %     0.76 %
                                 
  Net investment loss (1) (2) (3)
    (4.03 %)     (1.96 %)     (1.13 %)     (0.60 %)

   
Nine months ended September 30, 2011
 
               
Institutional
   
Special
 
   
Class A
   
Class B
   
Interest
   
Interests
 
                         
Total return for Limited Partners
                       
  Total return prior to incentive fees (4)
    (3.13 %)     (1.67 %)     (1.06 %)     (0.68 %)
  Incentive fees (4)
    (0.21 %)     (0.18 %)     (0.25 %)     0.00 %
    Total return after incentive fees (4)
    (3.34 %)     (1.85 %)     (1.31 %)     (0.68 %)
                                 
Ratio to average net asset value
                               
  Expenses prior to incentive fees (1) (3)
    4.24 %     2.17 %     1.34 %     0.78 %
  Incentive fees (4)
    0.21 %     0.19 %     0.25 %     0.00 %
                                 
    Total expenses
    4.45 %     2.36 %     1.59 %     0.78 %
                                 
  Net investment loss (1) (2) (3)
    (3.99 %)     (1.93 %)     (1.10 %)     (0.55 %)
 
 
21

 
 
ALTEGRIS QIM FUTURES FUND, L.P
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
 
NOTE 6 - FINANCIAL HIGHLIGHTS (CONTINUED)

 
 
Three months ended September 30, 2010
 
               
Institutional
   
Special
 
   
Class A
   
Class B
   
Interest
   
Interests
 
                         
Total return for Limited Partners
                       
  Total return prior to incentive fees (4)
    (0.15 %)     0.35 %     0.58 %     0.71 %
  Incentive fees (4)
    (0.06 %)     (0.08 %)     (0.01 %)     0.00 %
    Total return after incentive fees (4)
    (0.21 %)     0.27 %     0.57 %     0.71 %
                                 
Ratio to average net asset value
                               
  Expenses prior to incentive fees (1) (3)
    4.08 %     2.06 %     1.28 %     0.65 %
  Incentive fees (4)