Altegris QIM Futures Fund, L.P. - FORM 10-Q

Attached files

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EXCEL - IDEA: XBRL DOCUMENT - Altegris QIM Futures Fund, L.P.	Financial_Report.xls
EX-32.01 - Altegris QIM Futures Fund, L.P.	fp0004870_ex32-1.htm
EX-31.01 - Altegris QIM Futures Fund, L.P.	fp0004870_ex31-1.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

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

For the quarterly period ended March 31, 2012

[ ]	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) (zip code)

(858) 459-7040

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 [ ] No [ ]

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, or 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		1

1Item 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	22

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	23

Item 4.	Controls and Procedures	23


PART II – OTHER INFORMATION		24

Item 1.	Legal Proceedings	24

Item 1A.	Risk Factors	24

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	24

Item 3.	Defaults Upon Senior Securities	24

Item 4.	Mine Safety Disclosure	24

Item 5.	Other Information	24

Item 6.	Exhibits	24

Signatures		26

Rule 13a–14(a)/15d–14(a) Certifications		27

Section 1350 Certifications		28

PART I - FINANCIAL INFORMATION

Item 1: Financial Statements.

ALTEGRIS QIM FUTURES FUND, L.P.

STATEMENTS OF FINANCIAL CONDITION

MARCH 31, 2012 (Unaudited) and DECEMBER 31, 2011 (Audited)

_______________

	2012		2011
ASSETS
Equity in Newedge USA, LLC account:
Restricted cash	$	5,175,897	$	3,834,746
Cash		6,550,911		6,573,863
Restricted foreign currency		1,038,084		2,317,800

		12,764,892		12,726,409

Cash and cash equivalents		7,445,659		5,822,859
Investment securities at value
(cost - $104,336,809 and $112,611,968)		104,343,608		112,613,673
Interest receivable		56,963		31,136

Total assets	$	124,611,122	$	131,194,077

LIABILITIES
Equity in Newedge USA, LLC account:
Foreign currency	$	-	$	2,315,279
Unrealized loss on open commodity futures contracts		1,043,586		1,400,793

		1,043,586		3,716,072

Commissions payable		36,075		77,167
Management fee payable		114,355		123,145
Administrative fee payable		26,011		28,226
Service fees payable		83,701		85,637
Incentive fees payable		8,681		712,477
Redemptions payable		3,886,161		1,210,184
Subscriptions received in advance		1,848,770		2,602,678
Other liabilities		220,479		225,456

Total liabilities		7,267,819		8,781,042


PARTNERS' CAPITAL (NET ASSET VALUE)
General Partner		812		864
Limited Partners		117,342,491		122,412,171

Total partners' capital (Net Asset Value)		117,343,303		122,413,035

Total liabilities and partners' capital	$	124,611,122	$	131,194,077

See accompanying notes.

- 1 -

ALTEGRIS QIM FUTURES FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
MARCH 31, 2012 (Unaudited)
_______________

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

Fixed Income Investments

U.S. Government Agency Bonds and Notes
$ 4,731,000	4/2/2012	Federal Farm Credit Bank Disc Note, 0.01%	$	4,730,999	4.03%
2,130,000	4/4/2013	Federal Farm Credit Bank, 0.84%		2,130,070	1.81%
1,000,000	5/2/2013	Federal Farm Credit Bank, 0.75%		1,005,075	0.86%
3,300,000	4/20/2012	Federal Home Loan Bank Disc Note, 0.00%		3,299,967	2.81%
1,500,000	4/2/2012	Federal Home Loan Bank, 0.17%		1,500,000	1.28%
500,000	5/18/2012	Federal Home Loan Bank, 1.125%		500,623	0.43%
1,500,000	7/18/2012	Federal Home Loan Bank, 0.25%		1,500,441	1.28%
2,000,000	8/22/2012	Federal Home Loan Bank, 0.18%		2,000,232	1.70%
5,100,000	9/7/2012	Federal Home Loan Bank, 0.14%		5,099,714	4.35%
5,000,000	9/10/2012	Federal Home Loan Bank, 0.14%		4,999,695	4.26%
2,000,000	9/14/2012	Federal Home Loan Bank, 0.20%		2,000,402	1.70%
3,500,000	9/25/2012	Federal Home Loan Bank, 0.14%		3,499,682	2.98%
6,500,000	10/25/2012	Federal Home Loan Bank, 0.125%		6,497,764	5.54%
2,500,000	1/10/2013	Federal Home Loan Bank, 0.18%		2,499,345	2.13%
2,100,000	1/29/2013	Federal Home Loan Bank, 0.375%		2,102,677	1.79%
4,250,000	2/8/2013	Federal Home Loan Bank, 0.16%		4,247,709	3.62%
150,000	4/9/2012	Federal Home Loan Mort Corp Disc Note, 0.02%		149,999	0.13%
3,000,000	5/29/2012	Federal Home Loan Mort Corp Disc Note, 0.02%		2,999,856	2.56%
2,750,000	4/20/2012	Federal National Mortgage Association, 1.875%		2,752,371	2.35%
3,000,000	10/30/2012	Federal National Mortgage Association, 0.50%		3,003,627	2.56%
Total U.S. Government Agency Bonds and Notes (cost - $56,512,671)				56,520,248	48.17%

Corporate Notes
$ 2,600,000	4/9/2012	American Honda Finance Corp Disc Note, 0.10%		2,599,812	2.21%
1,500,000	4/20/2012	Argento Variable Funding Corp Disc Note, 0.25%		1,499,740	1.28%
1,300,000	4/18/2012	Aspen Funding Corp Disc Note, 0.23%		1,299,809	1.11%
3,250,000	4/23/2012	Bank of Montreal, 0.21%		3,250,000	2.77%
5,000,000	4/2/2012	Bank of Nova Scotia Disc Note, 0.07%		4,999,971	4.26%
2,500,000	4/3/2012	Cancara Asset Securitization LLC Disc Note, 0.25%		2,499,566	2.13%
2,050,000	4/27/2012	Danaher Corp Disc Note, 0.13%		2,049,785	1.75%
2,600,000	4/24/2012	General Electric Capital Corp Disc Note, 0.09%		2,599,818	2.21%
2,700,000	4/5/2012	Mizuho Funding LLC, 0.18%		2,700,000	2.30%
3,250,000	4/4/2012	Norinchukin Bank, 0.21%		3,250,000	2.77%
1,000,000	4/4/2012	Paccar Financial Corp Disc Note, 0.12%		999,933	0.85%
1,100,000	4/19/2012	PBFPP Disc Note, 0.70%		1,099,410	0.94%
500,000	4/25/2012	Royal Bank of Canada, 0.11%		500,000	0.43%
3,250,000	4/11/2012	Sumitomo Trust & Banking Co Disc Note, 0.18%		3,249,512	2.77%
1,200,000	4/27/2012	Tasman Funding Inc Disc Note, 0.36%		1,199,640	1.02%
2,300,000	4/10/2012	Thames Asset Global Disc Note, 0.30%		2,299,502	1.96%
3,100,000	4/13/2012	Toronto-Dominion Holdings, 0.13%		3,100,000	2.64%
2,100,000	4/26/2012	WALTPP Disc Note, 0.07%		2,099,878	1.79%
Total Corporate Notes (cost - $41,296,376)				41,296,376	35.19%

United States Treasury Obligations
$ 3,000,000	4/19/2012	United States Treasury Bill, 0.07%		2,999,943	2.56%
1,000,000	12/4/2012	United States Treasury Bill, 0.08%		999,991	0.85%
2,500,000	3/15/2013	United States Treasury Note, 1.375%		2,527,050	2.15%
Total United States Treasury Obligations (cost - $6,527,762)				6,526,984	5.56%

Total Investment Securities (cost - $104,336,809)			$	104,343,608	88.92%

See accompanying notes.

- 2 -

ALTEGRIS QIM FUTURES FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS (continued)
MARCH 31, 2012 (Unaudited)
_______________

	Range of Expiration Dates	Number of Contracts		Value			% of Partners Capital

Long Futures Contracts:
Agriculture	May 12 - Jun 12		31	$	7,184			0.01	%
Currencies	Jun 12		235		19,384			0.02	%
Energy	May 12		134		(260,144	)		(0.22	)%
Interest Rates	Jun 12 - Mar 13		216		22,006			0.02	%
Metals	May 12 - Jul 12		49		18,995			0.01	%
Stock Indices	Apr 12 - Jun 12		194		(84,097	)		(0.08	)%

Total Long Futures Contracts			859		(276,672	)		(0.24	)%

Short Futures Contracts:
Agriculture	May 12		23		(4,961	)		(0.01	)%
Currencies	Jun 12		201		47,385			0.04	%
Interest Rates	Jun 12		23		(119,497	)		(0.10	)%
Stock Indices	Jun 12		600		(19,067	)		(0.02	)%
Treasury Rates	Jun 12		1,556		(670,774	)		(0.58	)%

Total Short Futures Contracts			2,403		(766,914	)		(0.65	)%

Total Futures Contracts			3,262	$	(1,043,586	)		(0.89	)%

See accompanying notes.

- 3 -

ALTEGRIS QIM FUTURES FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2011 (Audited)
_______________

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

Fixed Income Investments

U.S. Government Agency Bonds and Notes
$ 7,625,000	1/3/2012	Federal Farm Credit Bank Disc Note, 0.01%	$	7,624,996	6.23%
2,130,000	4/4/2013	Federal Farm Credit Bank, 0.84%		2,132,916	1.74%
1,000,000	5/2/2013	Federal Farm Credit Bank, 0.75%		1,005,515	0.82%
1,500,000	4/2/2012	Federal Home Loan Bank, 0.17%		1,500,186	1.23%
500,000	5/18/2012	Federal Home Loan Bank, 1.125%		501,883	0.41%
1,500,000	7/18/2012	Federal Home Loan Bank, 0.25%		1,500,323	1.23%
2,000,000	8/22/2012	Federal Home Loan Bank, 0.18%		1,999,268	1.63%
5,100,000	9/7/2012	Federal Home Loan Bank, 0.14%		5,096,450	4.16%
5,000,000	9/10/2012	Federal Home Loan Bank, 0.14%		4,996,445	4.08%
2,000,000	9/14/2012	Federal Home Loan Bank, 0.20%		1,999,372	1.63%
3,500,000	9/25/2012	Federal Home Loan Bank, 0.14%		3,497,235	2.86%
6,500,000	10/25/2012	Federal Home Loan Bank, 0.125%		6,493,422	5.31%
4,000,000	11/16/2012	Federal Home Loan Bank, 0.50%		4,001,564	3.27%
500,000	4/29/2013	Federal Home Loan Mortgage Corporation, 0.70%		500,147	0.41%
2,350,000	2/13/2012	Federal Home Loan Mort Corp Disc Note, 0.02%		2,349,946	1.92%
150,000	4/9/2012	Federal Home Loan Mort Corp Disc Note, 0.02%		149,992	0.12%
3,000,000	5/29/2012	Federal Home Loan Mort Corp Disc Note, 0.02%		2,999,754	2.45%
3,800,000	5/1/2012	Federal National Mort Assoc Disc Note, 0.00%		3,799,749	3.10%
2,750,000	4/20/2012	Federal National Mortgage Association, 1.875%		2,764,583	2.26%
3,000,000	10/30/2012	Federal National Mortgage Association, 0.50%		3,004,686	2.45%
Total U.S. Government Agency Bonds and Notes (cost - $57,916,727)				57,918,432	47.31%

Corporate Notes
$ 1,800,000	1/27/2012	Amsterdam Funding Corp Disc Note, 0.28%		1,799,594	1.47%
1,100,000	1/3/2012	Argento Variable Funding Corp Disc Note, 0.31%		1,099,725	0.90%
500,000	1/4/2012	Aspen Funding Corp Disc Note, 0.35%		499,877	0.41%
3,100,000	1/4/2012	Bank of Montreal Disc Note, 0.12%		3,100,000	2.53%
3,000,000	1/3/2012	Bank of Nova Scotia Disc Note, 0.03%		2,999,990	2.45%
3,000,000	1/4/2012	Bank of Tokyo-Mitsubishi UFJ Ltd Disc Note, 0.10%		2,999,942	2.45%
3,250,000	1/9/2012	Coca-Cola Enterprises Inc Disc Note, 0.05%		3,249,887	2.65%
4,000,000	1/11/2012	General Electric Capital Corp Disc Note, 0.02%		3,999,969	3.27%
2,800,000	1/13/2012	Google Inc Disc Note, 0.05%		2,799,891	2.29%
2,500,000	1/6/2012	Grampian Funding LLC Disc Note, 0.30%		2,499,417	2.04%
3,500,000	1/6/2012	Mizuho Funding LLC Disc Note, 0.20%		3,499,449	2.86%
2,370,000	1/13/2012	Mont Blanc Capital Disc Note, 0.34%		2,369,348	1.93%
3,700,000	1/13/2012	National Australian Bank Disc Note, 0.05%		3,700,000	3.02%
350,000	1/11/2012	National Bank of Canada Disc Note, 0.09%		350,000	0.29%
2,150,000	1/6/2012	Netjets Inc Disc Note, 0.06%		2,149,896	1.76%
1,450,000	1/13/2012	Norinchukin Bank Disc Note, 0.30%		1,450,000	1.18%
2,230,000	1/5/2012	Pfizer Inc Disc Note, 0.03%		2,229,963	1.82%
2,100,000	1/10/2012	Shizuoka Bank/New York Disc Note, 0.40%		2,100,146	1.72%
2,800,000	1/6/2012	State Street Bank & Trust Disc Note, 0.10%		2,799,767	2.29%
3,400,000	1/12/2012	Sumitomo Trust & Banking Co Disc Note, 0.24%		3,399,365	2.78%
3,000,000	1/6/2012	Tasman Funding Inc Disc Note, 0.40%		2,999,090	2.45%
2,600,000	1/23/2012	Toyota Motor Credit Corp Disc Note, 0.04%		2,599,925	2.12%
Total Corporate Notes (cost - $54,695,241)				54,695,241	44.68%

Total Investment Securities (cost - $112,611,968)			$	112,613,673	91.99%

See accompanying notes.

- 4 -

ALTEGRIS QIM FUTURES FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS (continued)
DECEMBER 31, 2011 (Audited)
_______________

	Range of Expiration Dates	Number of Contracts		Value			% of Partners Capital

Long Futures Contracts:
Agriculture	Feb 12 - Mar 12		23	$	21,603			0.02	%
Currencies	Mar 12		53		33,197			0.03	%
Energy	Feb 12		72		(39,902	)		(0.03	)%
Interest Rates	Mar 12 - Dec 12		180		306,344			0.25	%
Metals	Feb 12 - Apr 12		24		(34,134	)		(0.03	)%
Stock Indices	Mar 12		23		4,484			0.00	%

Total Long Futures Contracts			375		291,592			0.24	%

Short Futures Contracts:
Agriculture	Mar 12		132		(118,140	)		(0.10	)%
Currencies	Mar 12		141		(52,983	)		(0.05	)%
Energy	Feb 12		7		7,726			0.01	%
Interest Rates	Mar 12 - Dec 12		175		(77,160	)		(0.06	)%
Metals	Mar 12		12		(2,880	)		(0.00	)%
Stock Indices	Jan 12 - Mar 12		288		(248,659	)		(0.20	)%
Treasury Rates	Mar 12		1,541		(1,200,289	)		(0.98	)%

Total Short Futures Contracts			2,296		(1,692,385	)		(1.38	)%

Total Futures Contracts			2,671	$	(1,400,793	)		(1.14	)%

See accompanying notes.

- 5 -

ALTEGRIS QIM FUTURES FUND, L.P.
STATEMENTS OF OPERATIONS
FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011 (Unaudited)
_______________

	2012			2011
TRADING (LOSSES)
Gain (loss) on trading of commodity futures
Realized	$	(6,256,979	)	$	(773,693	)
Change in unrealized		357,207			2,408,924
Brokerage commissions		(457,405	)		(513,387	)

Gain from trading futures		(6,357,177	)		1,121,844

Gain (loss) on trading of securities
Realized		15,233			27,362
Change in unrealized		5,094			(44,015	)

Gain (loss) from trading securities		20,327			(16,653	)

Foreign currency gains (losses)		(1,361	)		(17,786	)

Total trading gains (losses)		(6,338,211	)		1,087,405

NET INVESTMENT INCOME (LOSS)
Income
Interest income		35,433			100,230

Expenses
Management fee		349,256			369,880
Service fees		243,687			268,858
Professional fees		103,187			107,776
Administrative fee		79,565			86,815
Offering costs		19,888			49,396
Incentive fees		8,681			131,720
Organization and initial offering expenses		3,200			3,200
Interest expense		1,162			8,267
Other expenses		30,330			0

Total expenses		838,956			1,025,912

Net investment loss		(803,523	)		(925,682	)

NET INCOME (LOSS)	$	(7,141,734	)	$	161,723

See accompanying notes.

- 6 -

ALTEGRIS QIM FUTURES FUND, L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011 (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			(233,083	)		0			233,083			0			0

Capital additions		14,103,573			5,752,934			5,245,639			3,105,000			0			0

Capital withdrawals		(6,310,293	)		(2,947,413	)		(1,536,163	)		(1,826,717	)		0			0

From operations:
Net investment income (loss)		(925,682	)		(558,049	)		(284,186	)		(82,390	)		(1,049	)		(8	)
Net realized gain (loss) from investments		(1,277,504	)		(529,233	)		(516,895	)		(222,692	)		(8,676	)		(8	)
Net change in unrealized gain (loss) from investments		2,364,909			989,461			958,847			400,010			16,576			15
Net income (loss)		161,723			(97,821	)		157,766			94,928			6,851			(1	)

Balances at March 31, 2011	$	128,818,899		$	53,389,936		$	52,285,830		$	22,235,462		$	906,808		$	863

Balances at December 31, 2011	$	122,413,035		$	50,364,450		$	47,125,361		$	24,922,360		$	0		$	864

Transfers		0			(1,452,789	)		1,452,789			0			0			0

Capital additions		9,737,340			5,201,807			2,468,300			2,067,233			0			0

Capital withdrawals		(7,665,338	)		(3,300,956	)		(4,364,382	)		0			0			0

From operations:
Net investment income (loss)		(803,523	)		(493,411	)		(235,446	)		(74,658	)		0			(8	)
Net realized gain (loss) from investments		(6,700,512	)		(2,682,532	)		(2,649,756	)		(1,368,177	)		0			(47	)
Net change in unrealized gain (loss) from investments		362,301			138,090			155,643			68,565			0			3
Net income (loss)		(7,141,734	)		(3,037,853	)		(2,729,559	)		(1,374,270	)		0			(52	)

Balances at March 31, 2012	$	117,343,303		$	47,774,659		$	43,952,509		$	25,615,323		$	0		$	812

See accompanying notes.

- 7 -

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

A.	General Description of the Partnership

Altegris QIM Futures Fund, L.P. (“Partnership”) 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.

B.	Basis of Presentation and Use of Estimates

The Partnership’s financial statements are presented in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported fair value of assets and liabilities, disclosures of contingent assets and liabilities as of March 31, 2012 and December 31, 2011, and reported amounts of income and expenses for the periods ended March 31, 2012 and 2011. Management believes that the estimates utilized in preparing the Partnership’s financial statements are reasonable; however, actual results could differ from these estimates and it is reasonably possible that differences could be material.

The 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 U.S. generally accepted accounting principles. 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 condensed financial statements for the interim period.

C.	Fair Value

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

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ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

C.	Fair Value (continued)

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

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

Level 1 - Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that the Partnership has the ability to access.

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.

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.

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ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

C.	Fair Value (continued)

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

The Partnership values futures and options on futures contracts at the closing price of the contract’s primary exchange. The Partnership 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. There were no fair valued U.S. Government agency bonds and notes as of March 31, 2012 and December 31, 2011.

The fair value of United States Treasury Obligations is generally based on quoted prices in active markets.

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. There were no fair valued corporate notes as of March 31, 2012 and December 31, 2011.

The industry classifications included in the condensed schedule of investments represent the General Partner’s belief as to the most meaningful presentation of the classification of the Partnership’s investments.

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ALTEGRIS QIM FUTURES FUND, L.P

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

C.	Fair Value (continued)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. There were no changes in the Fund’s valuation methodology during the three months ended March 31, 2012 and the year-ended December 31, 2011.

The following table presents information about the Partnership’s assets and liabilities measured at fair value as of March 31, 2012 and December 31, 2011:

March 31, 2012	Level 1			Level 2		Level 3		Balance as of March 31, 2012

Assets

Futures contracts (1)	$	251,090		$	-	$	-	$	251,090
U.S. Government agency bonds and notes		56,520,248			-		-		56,520,248
Corporate notes		-			41,296,376		-		41,296,376
U.S. Treasury obligations		6,526,984			-		-		6,526,984

Total Assets	$	63,298,322		$	41,296,376	$	-	$	104,594,698

Liabilities

Futures contracts (1)	$	(1,294,676	)	$	-	$	-	$	(1,294,676	)

December 31, 2011	Level 1			Level 2		Level 3		Balance as of December 31, 2011

Assets

Futures contracts (1)	$	406,872		$	-	$	-	$	406,872
U.S. Government agency bonds and notes		57,918,432			-		-		57,918,432
Corporate notes		-			54,695,241		-		54,695,241

Total Assets	$	58,325,304		$	54,695,241	$	-	$	113,020,545

Liabilities

Futures contracts (1)	$	(1,807,665	)	$	-	$	-	$	(1,807,665	)

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

For the three months ended March 31, 2012 and the year-ended December 31, 2011, there were no transfers between Level 1 and Level 2 assets and liabilities.

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ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

D.	Investment Transactions and Investment Income

Security transactions are recorded on the trade date. Realized gains and losses from security transactions are determined using the identified cost method. 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.

E.	Futures Contracts

The Partnership may engage in futures contracts as part of its investment strategy to hedge against changes in the value of its portfolio securities and in the value of securities it intends to purchase. Upon entering into a futures contract, the Partnership is required to deposit with the broker an amount of cash or cash equivalents equal to a certain percentage of the contract amount. This is known as the “initial margin.” Subsequent payments (“variation margin”) are made or received by the Partnership each day, depending on the daily fluctuations in the value of the contract, and are included in unrealized appreciation/depreciation on futures contracts. The Partnership recognizes a realized gain or loss when the contract is closed.

There are several risks in connection with the use of futures contracts as an investment option. The change in value of futures contracts primarily corresponds with the value of their underlying instruments, which may not correlate with the change in value of the investments that are intended to hedge against. In addition, there is the risk that the Partnership may not be able to enter into a closing transaction because of an illiquid secondary market. Open positions in futures contracts at March 31, 2012 and December 31, 2011 are reflected within the Condensed Schedule of Investments.

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ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

F.	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.

G.	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.

The Partnership maintains a custody account with a major financial institution. At times, the Partnership’s cash balance could exceed the insured amount under the Federal Deposit Insurance Corporation (“FDIC”). The FDIC temporarily increased its limit to $250,000 until December 31, 2013. The Partnership has not experienced any losses in such accounts and believes it is not subject to any significant credit risk related to its cash account.

H.	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.

I.	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 the Partnership’s offering documents and materials, accounting and printing costs. These costs are charged as an expense when incurred.

J.	Income Taxes

As an entity taxable as a partnership, the Partnership is not itself subject to federal income tax. The Partnership prepares and files calendar year U.S. and applicable state information tax returns and reports to the partners their allocable shares of the Partnership’s income and expenses.

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ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

J.	Income Taxes (continued)

The Partnership is required to determine whether its tax positions are more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The tax benefit recognized is measured as the largest amount of benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. De-recognition of a tax benefit previously recognized results in the Partnership recording a tax liability that reduces ending partners’ capital. Based on its analysis, the Partnership has determined that it has not incurred any liability for unrecognized tax benefits as of March 31, 2012 and December 31, 2011. However, the Partnership’s conclusions may be subject to review and adjustment at a later date based on factors including, but not limited to, on-going analyses of and changes to tax laws, regulations and interpretations thereof.

The Partnership recognizes interest and penalties related to unrecognized tax benefits in interest expense and other expenses, respectively. No interest expense or penalties have been recognized as of March 31, 2012 and December 31, 2011 and for three months ended March 31, 2012 and 2011.

The Partnership is subject to income tax examinations by major taxing authorities for all tax years since its inception.

NOTE 2 - PARTNERS’ CAPITAL

A.	Capital Accounts and Allocation of Income and Loss

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.

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

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ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 2 - PARTNERS’ CAPITAL (CONTINUED)

A.	Capital Accounts and Allocation of Income and Loss (continued)

The partners may withdraw their interests on a monthly basis upon at least 15 days’ prior written notice, subject to the discretion of the General Partner.

B.	Subscriptions, Distributions and Redemptions

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

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

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

NOTE 3 - RELATED PARTY TRANSACTIONS

A.	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 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 three months ended March 31, 2012 and 2011 are shown on the Statement of Operations.

B.	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 in the Agreement) attributable to Class A and Class B Interests. Total administrative fees for the three months ended March 31, 2012 and 2011 are shown on the Statement of Operations as Administrative Fees.

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ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 3 - RELATED PARTY TRANSACTIONS (CONTINUED)

C.	Altegris Investments, Inc. and Altegris Futures, L.L.C.

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 three months ended March 31, 2012, commissions and interest income received by Altegris Futures, and continuing compensation received by Altegris Investments amounted to $409,683. For the three months ended March 31, 2011, commissions and interest income received by Altegris Futures, and continuing compensation received by Altegris Investments amounted to $451,324.

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.

NOTE 4 - 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. Incentive fees are reflected in the statements of operations.

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ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 5 - 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. Total service fees for the three months ended March 31, 2012 and 2011 are shown on the Statement of Operations as Service Fees.

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.

NOTE 6 - BROKERAGE AGREEMENT

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, which are reflected in the Statements of Operations as Brokerage Commissions.

NOTE 7 - 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 Accounting Standards Codification, 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.

- 17 -

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

The following presents the fair value of derivative contracts as of March 31, 2012 and December 31, 2011. 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.

March 31, 2012

	Asset Derivatives Fair Value		Liability Derivatives Fair Value			Net Fair Value

Futures Contacts	$	251,090	$	(1,294,676	)	$	(1,043,586	)

December 31, 2011

	Asset Derivatives Fair Value		Liability Derivatives Fair Value			Net Fair Value

Futures Contacts	$	406,872	$	(1,807,665	)	$	(1,400,793	)

The following presents the trading results of the Partnership’s derivative trading and information related to the volume of the Partnership’s derivative activity for the three months ended March 31, 2012 and 2011.

The below captions of “Realized” and “Change in Unrealized” correspond to the captions in the statement of operations.

Three Months Ended March 31, 2012

	Realized			Change in Unrealized		Number of Contracts Closed

Futures Contacts	$	(6,256,979	)	$	357,207	$	34,739

Three Months Ended March 31, 2011

	Realized			Change in Unrealized		Number of Contracts Closed

Futures Contacts	$	(773,693	)	$	2,408,924	$	39,919

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ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

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

The Partnership participates in the speculative trading of commodity futures contracts, 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, in the future, if 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. The Partnership's policy is to continuously monitor its exposure to market and counterparty risk through the use of a variety of financial, position and credit exposure reporting and control procedures. In addition, the Partnership has a policy of reviewing the credit standing of each clearing broker or counterparty with which it conducts business.

The Partnership has 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 9 - INDEMNIFICATIONS

In the normal course of business, the Partnership enters into contracts and agreements that contain a variety of representations and warranties and which provide general indemnifications. The Partnership’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Partnership that have not yet occurred. The Partnership expects the risk of any future obligation under these indemnifications to be remote.

-19-

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 10 - FINANCIAL HIGHLIGHTS

The following information presents the financial highlights of the Partnership for the three months ended March 31, 2012 and 2011. This information has been derived from information presented in the financial statements.

	Three Months ended March 31, 2012
							Institutional
	Class A			Class B			Interest

Total return for Limited Partners (4)
Total return prior to incentive fees		(6.02	%)		(5.55	%)		(5.36	%)
Incentive fees		(0.01	%)		(0.01	%)		0.00	%
Total return after incentive fees		(6.03	%)		(5.56	%)		(5.36	%)

Ratio to average net asset value
Expenses prior to incentive fees (1)		4.09	%		2.12	%		1.31	%
Incentive fees (4)		0.01	%		0.01	%		0.00	%

Total expenses		4.10	%		2.13	%		1.31	%

Net investment loss (1) (2)		(3.97	%)		(2.00	%)		(1.19	%)

	Three Months ended March 31, 2011
							Institutional			Special
	Class A			Class B			Interest			Interests

Total return for Limited Partners (4)
Total return prior to incentive fees		(0.06	%)		0.43	%		0.65	%		0.76	%
Incentive fees		(0.10	%)		(0.11	%)		(0.16	%)		0.00	%
Total return after incentive fees		(0.16	%)		0.32	%		0.49	%		0.76	%

Ratio to average net asset value
Expenses prior to incentive fees (1)		4.23	%		2.16	%		1.32	%		0.78	%
Incentive fees (4)		0.09	%		0.10	%		0.15	%		0.00	%

Total expenses		4.32	%		2.26	%		1.47	%		0.78	%

Net investment loss (1) (2)		(3.91	%)		(1.83	%)		(1.00	%)		(0.46	%)

-20-

ALTEGRIS QIM FUTURES FUND, L.P

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 10 - FINANCIAL HIGHLIGHTS (CONTINUED)

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

Total return is calculated on a monthly compounded basis.

(1)

Includes offering costs, if any.

(2)

Excludes incentive fee.

(3)

Annualized.

(4)

Not annualized.

NOTE 11 - SUBSEQUENT EVENTS

Management of the Partnership evaluated subsequent events through the date these financial statements were available to be issued and has determined there are no matters requiring disclosure.

From April 1, 2012 through May 1, 2012, the Partnership had subscriptions of $2,561,627 and redemptions of $5,745,751.

-21-

PART I – FINANCIAL INFORMATION (continued)

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

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

Liquidity

The Partnership’s assets are generally held as cash or cash equivalents, which are used to margin the Partnership’s futures positions and are sold to pay redemptions and expenses as needed. Other than any potential market-imposed limitations on liquidity, the Partnership’s assets are highly liquid and are expected to remain so. Market-imposed limitations, when they occur, can be due to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Partnership’s futures trading. A portion of the Partnership’s assets not used for margin and held with the Custodian, are invested in liquid, high quality securities. Through March 31, 2012 the Partnership experienced no meaningful periods of illiquidity in any of the markets traded by the Advisor on behalf of the Partnership.

Capital Resources

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

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

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

All of the futures contracts currently traded by the Advisor on behalf of 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 trading counterparties, whereas exchange-traded contracts are generally, but not universally, backed by the collective credit of the members of the exchange. In the future, the Partnership anticipates that it will enter into non-exchange-traded foreign currency contracts and be subject to the credit risk associated with counterparty non-performance.

The Partnership bears the risk of financial failure by the Clearing Broker and/or other clearing brokers or counterparties with which the Partnership trades.

Results of Operations

Performance Summary

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.

-22-

Results of Operations

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

Three Months Ended March 31, 2012

During the first quarter of 2012, the Partnership incurred net realized and unrealized losses of $6,338,211 from its trading activities, net of brokerage commissions of $457,405. The Partnership accrued net expenses of $838,956, including $349,256 in management fees paid to the General Partner, and $346,874 in service and professional fees. The Partnership earned $35,433 in interest income during the first quarter of 2012. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the first quarter of 2012 is set forth below.

The Partnership experienced a loss in January 2012 with losses highly concentrated in the interest rate sector. Positions in futures contracts on US Treasuries were the worst performing during the month, however the Partnership also struggled with positions in futures contracts on the Euro currency, Euro-Bund and Dax. The Partnership earned gains in its trading of futures contracts on US equity indices, but it was not enough to offset losses elsewhere in the portfolio. The Partnership experienced a loss in February 2012 on poor trading in interest rate futures for the second consecutive month. Energy trading buoyed the month’s performance with futures contracts on crude oil and brent crude representing the month’s two best performing contracts as the Partnership took advantage of the long rally in oil prices. The Partnership achieved a gain in March 2012. During the first half of March, the positive economic data in the US drove interest rate futures down at a time when the Partnership was heavily short that sector. Subdued data from China, Europe and the US housing market also contributed to the rally in interest rate futures for the remainder of the month. While the Partnership lightened its exposure to US interest rates, positions in the European rates lead to losses in those markets. The Partnership profited from its trading of futures contracts on the short side of the Yen and on the long side of E-mini S&P contracts during the month.

Three Months Ended March 31, 2011

During the first quarter of 2011, the Partnership incurred net realized and unrealized gains of $1,087,405 from its trading activities, net of brokerage commissions of $513,387. The Partnership accrued net expenses of $976,516, including $369,880 in management fees paid to the General Partner, and $376,634 in service and professional fees. The Partnership earned $100,230 in interest income during the first quarter of 2011. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the first quarter of 2011 is set forth below.

The Partnership experienced a loss in January 2011, as markets reacted strongly to political unrest in Egypt. The Partnership was well positioned to take advantage of movements in the price of futures contracts on the Euro, which secured some gains. An extended short position in futures contracts on Silver also added positively to performance. The Partnership ended the month down on difficult trading of crude oil futures at the end of the month. The Partnership achieved a gain in February 2011. Strong trading in stock index futures and U.S. interest rates drove February performance as unrest in the Middle East increased volatility in world markets. The Partnership participated on both sides of the market as volatility in the medium and long-term U.S. treasury futures helped to generate profits. Trading on currency futures was flat for the month, despite significant gains in trading futures contracts on the Euro. The Partnership experienced a loss in March 2011. The Partnership suffered losses on long positions in Japanese equities and crude oil as news of the earthquake in Japan broke. The Partnership increased its long positions in futures contracts on Japanese equities as the markets fell, and the subsequent rebound made up for the initial losses. Gains in trading futures contracts on the Euro were offset by losses in futures contracts on the U.S. Treasury markets, as the Partnership ended the month down.

Off-Balance Sheet Arrangements

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

Item 3: Quantitative and Qualitative Disclosures About Market Risk.

Not required.

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Item 4: Controls and Procedures.

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

PART II – OTHER INFORMATION

Item 1: Legal Proceedings.

None.

Item 1A: Risk Factors.

Not Required.

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

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

(b) Not applicable.

(c) Limited Partners may redeem some or all of their Interest in the Partnership as of the end of any calendar month upon fifteen (15) days’ prior written notice to the General Partner. The Partnership may declare additional redemption dates upon notice to the Limited Partners. The redemption by a Limited Partner has no impact on the value of the capital accounts of the remaining Limited Partners. The following table summarizes the redemptions by Limited Partners during the first calendar quarter of 2012:

Month	Amount Redeemed
January 31, 2012		$	1,889,143.87
February 29, 2012		$	1,992,534.43
March 31, 2012		$	3,774,069.66

Item 3: Defaults Upon Senior Securities.

(a) None.

(b) None.

Item 4: Mine Safety Disclosure.

Not applicable.

Item 5: Other Information.

(a) None.

(b) Not applicable.

Item 6: Exhibits.

The following exhibits are incorporated herein by reference from the exhibits of the same numbers and descriptions filed with the registrant’s Registration Statement on Form 10 (File No. 000-53815) filed on November 2, 2009.

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Exhibit Number	Description of Document
3.1	Certificate of Formation of APM – QIM Futures Fund, L.P.
4.1	Limited Partnership Agreement of APM – QIM Futures Fund, L.P.
10.1	Agreement with Quantitative Investment Management LLC
10.2	Selling Agency Agreement between APM – QIM Futures Fund, L.P. and Altegris Investments Inc.

The following exhibits are incorporated herein by reference from the exhibits of the same numbers and descriptions filed with the registrant’s Current Report on Form 8-K (File No. 000-53815) filed on August 5, 2010.

Exhibit Number	Description of Document
3.01	Amendment to the Certificate of Formation of APM – QIM Futures Fund, L.P., changing the registrant’s name to Altegris QIM Futures Fund, L.P.
3.02	First Amended and Restated Agreement of Limited Partnership of Altegris QIM Futures Fund, L.P.

The following exhibits are included herewith.

Exhibit Number	Description of Document
31.01	Rule 13a-14(a)/15d-14(a) Certification
32.01	Section 1350 Certification

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SIGNATURES

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

Dated: May 15, 2012

ALTEGRIS QIM FUTURES FUND, L.P.

By:	ALTEGRIS PORTFOLIO MANAGEMENT, INC.
		(d/b/a Altegris Funds), its general partner

/s/ Jon C. Sundt
Jon C. Sundt, President (principal executive officer and principal financial officer)

Altegris QIM Futures Fund, L.P. - FORM 10-Q - May 15, 2012

Attached files

Altegris QIM Futures Fund, L.P. Reports