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

Attached files

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EX-32.02 - CERTIFICATION - Altegris QIM Futures Fund, L.P.	altegrisqim_ex3202.htm
EX-32.01 - CERTIFICATION - Altegris QIM Futures Fund, L.P.	altegrisqim_ex3201.htm
EX-31.02 - CERTIFICATION - Altegris QIM Futures Fund, L.P.	altegrisqim_ex3102.htm
EX-31.01 - CERTIFICATION - Altegris QIM Futures Fund, L.P.	altegrisqim_ex3101.htm

Table of Contents

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

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

For the quarterly period ended September 30, 2017

☐ 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

(State or other jurisdiction

of incorporation or organization)

27-0473854

(I.R.S. Employer

Identification No.)

c/o ALTEGRIS ADVISORS, L.L.C.

1200 Prospect Street, Suite 400

La Jolla, California 92037

(Address of principal executive offices) (zip code)

(858) 459-7040

(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act: None

Securities registered pursuant to Section 12(g) of the Act: Limited Partnership Interests

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15 (d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes ý No o

Indicate by check mark whether the registrant has submitted electronically 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 ý No o

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer”, “smaller reporting company”, and “emerging growth company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer o		Accelerated filer o			Non-accelerated filer o			Smaller reporting company ý
Emerging growth company o

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. o

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes o No ý

TABLE OF CONTENTS

		Page

PART I – FINANCIAL INFORMATION		3

Item 1.	Financial Statements	3

	Statements of Financial Condition	3

	Condensed Schedules of Investments	4

	Statements of Income (Loss)	8

	Statements of Changes in Partners’ Capital (Net Asset Value)	9

	Notes to Financial Statements	10

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	28

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	33

Item 4.	Controls and Procedures	33


PART II – OTHER INFORMATION		34

Item 1.	Legal Proceedings	34

Item 1A.	Risk Factors	34

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

Item 3.	Defaults Upon Senior Securities	34

Item 4.	Mine Safety Disclosure	34

Item 5.	Other Information	34

Item 6.	Exhibits	35

Signatures		36

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

Section 1350 Certifications

PART I – FINANCIAL INFORMATION

Item 1: Financial Statements.

ALTEGRIS QIM FUTURES FUND, L.P.

STATEMENTS OF FINANCIAL CONDITION

SEPTEMBER 30, 2017 (Unaudited) and DECEMBER 31, 2016 (Audited)

_______________

	2017		2016
ASSETS
Equity in commodity broker account:
Cash	$	3,253,173	$	2,375,064
Restricted cash		1,326,298		3,040,054
Restricted foreign currency (cost - $2,174,625 and $0)		2,162,093		–
Net unrealized gain on open futures contracts		784,940		152,270

		7,526,504		5,567,388

Cash		4,406,519		5,584,068

Investment securities at fair value (cost - $24,020,853 and $19,477,698)		24,020,733		19,477,549
Interest receivable		1,217		500

Total assets	$	35,954,973	$	30,629,505

LIABILITIES
Equity in commodity broker account:
Foreign currency due to broker (proceeds - $2,236,857 and $59,757)	$	2,223,967	$	60,524
		2,223,967		60,524

Security purchased payable		689,956		–
Redemptions payable		400,414		242,614
Subscriptions received in advance		333,689		117,000
Service fees payable		43,449		40,518
Management fee payable		31,872		29,369
Brokerage commissions payable		24,572		14,859
Administrative fee payable		7,987		7,485
Incentive fees payable		1,185		518,507
Other liabilities		138,232		154,165

Total liabilities		3,895,323		1,185,041

PARTNERS' CAPITAL (NET ASSET VALUE)
General Partner		931		914
Limited Partners		32,058,719		29,443,550

Total partners' capital (Net Asset Value)		32,059,650		29,444,464

Total liabilities and partners' capital	$	35,954,973	$	30,629,505

See accompanying notes.

ALTEGRIS QIM FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017 (Unaudited)

_______________

INVESTMENT SECURITIES

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

Fixed Income Investments

U.S. Government Agency Bonds and Notes
$	1,000,000	10/2/2017	Federal Home Loan Bank Disc Note, 0.00%*	$	1,000,000	3.12%
	1,000,000	10/4/2017	Federal Home Loan Bank Disc Note, 0.54%*		999,945	3.12%
	1,000,000	10/25/2017	Federal Home Loan Bank Disc Note, 0.91%*		999,367	3.12%
	1,000,000	10/27/2017	Federal Home Loan Bank Disc Note, 0.92%*		999,312	3.12%
	1,000,000	11/15/2017	Federal Home Loan Bank Disc Note, 0.96%*		998,778	3.12%
	1,000,000	1/8/2018	Federal Home Loan Bank Disc Note, 1.06%*		997,060	3.11%
	10,059,000	10/2/2017	Federal Home Loan Mortgage Corp Disc Note, 0.00%*		10,058,735	31.37%

Total U.S. Government Agency Bonds and Notes (cost - $16,053,036)					16,053,197	50.08%

Corporate Notes
$	690,000	10/4/2017	Automatic Data Processing, Inc., 1.12%*		689,893	2.15%
	690,000	10/6/2017	Banco del Estado de Chile, 1.23%		690,006	2.15%
	690,000	10/6/2017	Bank of Montreal, 1.24%*		689,833	2.15%
	600,000	10/2/2017	Bridgestone Americas, Inc., 1.18%*		599,982	1.87%
	460,000	10/6/2017	Bridgestone Americas, Inc., 1.18%*		459,928	1.44%
	699,000	10/6/2017	Canadian Imperial Holdings, Inc., 1.18%*		698,840	2.18%
	230,000	10/2/2017	DCAT, LLC, 1.29%*		229,975	0.72%
	460,000	10/10/2017	Honeywell International, Inc., 1.13%*		459,842	1.43%
	590,000	10/18/2017	MetLife Short Term Funding LLC, 1.12%*		589,651	1.84%
	700,000	10/13/2017	Sumitomo Mitsui Banking Corporation, 1.20%		700,003	2.18%
	460,000	10/11/2017	Sumitomo Mitsui Trust Bank Ltd., 1.18%		459,999	1.44%
	1,000,000	10/2/2017	Victory Receivables Corporation, 1.07%*		999,970	3.12%
	700,000	10/17/2017	Wal-Mart Stores, Inc., 1.10%*		699,614	2.18%

	Total Corporate Notes (cost - $7,967,817)				7,967,536	24.85%

	Total Investment Securities (cost - $24,020,853)			$	24,020,733	74.93%

* The rate reported is the effective yield at time of purchase.

See accompanying notes.

ALTEGRIS QIM FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS (continued)

SEPTEMBER 30, 2017 (Unaudited)

_______________

	Range of Expiration Dates		Number of Contracts		Fair Value			% of Partners’ Capital
Long Futures Contracts:
Currencies		Dec 17		119	$	3,707			0.01%
Energy		Oct 17		21		8,879			0.03%
Interest Rates		Dec 17		188		(140,294	)		(0.44)%
Metals		Dec 17		37		(116,349	)		(0.36)%
Stock Indices		Oct 17 - Dec 17		569		861,136			2.69%
Treasury Rates		Dec 17		11		(19,501	)		(0.06)%

Total Long Futures Contracts				945		597,578			1.87%

Short Futures Contracts:
Currencies	Dec 17	60		69,828	0.22%
Energy	Oct 17	14		1,687	0.01%
Interest Rates	Dec 17	15		1,300	0.00%
Metals	Dec 17	4		1,177	0.00%
Stock Indices	Oct 17	19		11,182	0.03%
Treasury Rates	Dec 17	199		102,188	0.32%

Total Short Futures Contracts		311		187,362	0.58%

Total Futures Contacts		1,256	$	784,940	2.45%

See accompanying notes.

ALTEGRIS QIM FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

DECEMBER 31, 2016 (Audited)

_______________

INVESTMENT SECURITIES

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

Fixed Income Investments

U.S. Government Agency Bonds and Notes
$	1,000,000	1/25/2017	Federal Home Loan Bank Disc Note, 0.33%*	$	999,768		3.39%
	1,000,000	2/1/2017	Federal Home Loan Bank Disc Note, 0.45%*		999,597		3.39%
	500,000	2/14/2017	Federal Home Loan Bank Disc Note, 0.47%*		499,708		1.70%
	250,000	2/15/2017	Federal Home Loan Bank Disc Note, 0.47%*		249,851		0.85%
	500,000	3/10/2017	Federal Home Loan Bank Disc Note, 0.50%*		499,524		1.70%
	300,000	3/24/2017	Federal Home Loan Bank Disc Note, 0.50%*		299,653		1.02%
	500,000	5/3/2017	Federal Home Loan Bank Disc Note, 0.54%*		499,084		1.69%
	6,733,000	1/3/2017	Federal Home Loan Mortgage Corp Disc Note, 0.00%*		6,732,832		22.87%
	450,000	2/7/2017	Federal Home Loan Mortgage Corp Disc Note, 0.46%*		449,781		1.53%

Total U.S. Government Agency Bonds and Notes (cost - $11,229,947)					11,229,798		38.14%

Corporate Notes
$	580,000	1/3/2017	Apple Inc., 0.55%		579,800		1.97%
	550,000	1/6/2017	Banco del Estado de Chile, NY, 0.67%		550,000		1.87%
	385,000	1/11/2017	DCAT LLC, 0.90%		384,772		1.30%
	580,000	1/6/2017	Exxon Mobile Corp Disc Note, 0.48%		579,780		1.97%
	800,000	1/3/2017	GE Capital Treasury Services (U.S.) LLC, 0.61%		799,947		2.71%
	580,000	1/13/2017	MetLife Short Term Funding LLC, 0.59%		579,696		1.97%
	385,000	1/13/2017	National Rural Utilities Cooperative Finance Corp, 0.50%		384,795		1.31%
	580,000	1/4/2017	PACCAR Financial Corp Disc Note, 0.61%		579,743		1.97%
	580,000	1/11/2017	Sumitomo Mutsui Trust Bank Ltd., 0.67%		580,000		1.97%
	385,000	1/5/2017	The Chiba Bank Ltd., 0.71%		385,000		1.31%
	500,000	1/3/2017	Thunder Bay Funding LLC, 0.00%		499,972		1.70%
	800,000	1/3/2017	The Toronto-Dominion Bank Corp Disc Note, 0.57%		800,000		2.72%
	580,000	1/19/2017	Victory Receivables Corp Disc Note, 0.74%		579,613		1.97%
	580,000	1/11/2017	Wal-Mart Stores Inc., 0.57%		579,887		1.97%
	385,000	1/17/2017	Working Capital Management Co LP Disc Note, 0.85%		384,746		1.30%

Total Corporate Notes (cost - $8,247,751)					8,247,751		28.01%

Total Investment Securities (cost - $19,477,698)				$	19,477,549		66.15%

* The rate reported is the effective yield at time of purchase.

See accompanying notes.

ALTEGRIS QIM FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS (continued)

DECEMBER 31, 2016 (Audited)

_______________

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

Long Futures Contracts:
Energy	Jan 17		47	$	54,724			0.19%
Interest Rates	Mar 17		222		241,292			0.82%
Metals	Feb 17 - Mar 17		25		(522	)		0.00%
Stock Indices	Jan 17 - Mar 17		524		(19,664	)		(0.07)%

Total Long Futures Contracts			818		275,830			0.94%

Short Futures Contracts:
Currencies	Mar 17		34		(21,892	)		(0.08)%
Interest Rates	Mar 17		51		(47,917	)		(0.16)%
Stock Indices	Jan 17 - Mar 17		9		(15,872	)		(0.05)%
Treasury Rates	Mar 17		114		(37,879	)		(0.13)%

Total Short Futures Contracts			208		(123,560	)		(0.42)%

Total Futures Contracts			1,026	$	152,270			0.52%

See accompanying notes.

ALTEGRIS QIM FUTURES FUND, L.P.

STATEMENTS OF INCOME (LOSS)

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2017 AND 2016 (Unaudited)

_______________

	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
TRADING GAIN (LOSS)
Gain (loss) on trading of futures
Net realized	$	(1,001,545	)	$	660,877		$	1,819,440		$	3,818,125
Net change in unrealized		1,042,847			421,592			632,670			241,076
Brokerage Commissions		(122,335	)		(105,102	)		(361,862	)		(302,670	)
Net gain (loss) from trading futures		(81,033	)		977,367			2,090,248			3,756,531

Gain (loss) on trading of securities
Net realized		–			3,567			26,014			8,532
Net change in unrealized		448			(368	)		29			1,355

Net gain (loss) from trading securities		448			3,199			26,043			9,887

Gain (loss) on trading of foreign currency
Net realized		(26,660	)		1,232			(39,088	)		(12,163	)
Net change in unrealized		622			(511	)		1,125			(356	)

Net gain (loss) from trading foreign currency		(26,038	)		721			(37,963	)		(12,519	)
Total trading gains (losses)		(106,623	)		981,287			2,078,328			3,753,899

NET INVESTMENT INCOME (LOSS)
Income
Interest income		71,636			11,155			140,425			31,679

Expenses
Service fees		109,347			95,549			325,661			271,616
Management fee		98,634			85,615			292,227			246,404
Professional fees		59,844			51,470			169,266			167,616
Administrative fee		24,728			21,822			73,455			62,745
Incentive fees		1,185			259,182			635,359			587,721
Interest expense		6,315			11,348			16,817			33,806
Other expenses		19,288			789			55,041			35,357

Total expenses		319,341			525,775			1,567,826			1,405,265

Net investment income (loss)		(247,705	)		(514,620	)		(1,427,401	)		(1,373,586	)

NET INCOME (LOSS)	$	(354,328	)	$	466,667		$	650,927		$	2,380,313

See accompanying notes.

ALTEGRIS QIM FUTURES FUND, L.P.

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

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017 AND 2016 (Unaudited)

_______________

					Limited Partners

		Total			Class A			Class B			Institutional Interests			General Partner

Balances at December 31, 2015	$	23,670,285		$	15,294,712		$	6,924,210		$	1,450,561		$	802

Capital additions		3,571,616			3,428,616			143,000			–			–

Capital withdrawals		(1,448,338	)		(1,147,592	)		(300,746	)		–			–

From operations:
Net investment gain (loss)		(1,373,586	)		(1,003,177	)		(306,887	)		(63,482	)		(40	)
Net realized gain (loss) from investments (net of brokerage commissions)		3,511,824			2,327,203			977,747			206,760			114
Net change in unrealized gain (loss) from investments		242,075			165,431			63,212			13,424			8
Net income (loss)		2,380,313			1,489,457			734,072			156,702			82

Balances at September 30, 2016	$	28,173,876		$	19,065,193		$	7,500,536		$	1,607,263		$	884

Balances at December 31, 2016	$	29,444,464		$	20,121,489		$	7,648,087		$	1,673,974		$	914

Capital additions		4,369,832			2,730,732			714,100			925,000			–

Capital withdrawals		(2,405,573	)		(1,446,705	)		(786,595	)		(172,273	)		–

From operations:
Net investment gain (loss)		(1,427,401	)		(1,080,172	)		(284,310	)		(62,872	)		(47	)
Net realized gain (loss) from investments (net of brokerage commissions)		1,444,504			974,182			382,658			87,618			46
Net change in unrealized gain (loss) from investments		633,824			436,218			156,874			40,714			18
Net income (loss)		650,927			330,228			255,222			65,460			17

Balances at September 30, 2017	$	32,059,650		$	21,735,744		$	7,830,814		$	2,492,161		$	931

See accompanying notes.

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 Advisors, L.L.C. (the “General Partner”). The Partnership speculatively trades commodity futures contracts, and may trade options on futures contracts, forward currency 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 that regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of commodity exchanges and futures commission merchants (brokers) through which the Partnership trades.

B. Method of Reporting

The Partnership’s financial statements are presented in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”). Therefore, the Partnership follows the accounting and reporting guidelines for investment companies. The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported fair value of assets and liabilities, disclosures of contingent assets and liabilities as of September 30, 2017 and December 31, 2016, and reported amounts of income and expenses for the three and nine months ended September 30, 2017 and 2016, respectively. Management believes that the estimates utilized in preparing the Partnership’s financial statements are reasonable; however, actual results could differ from these estimates and it is reasonably possible that the differences could be material.

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.

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.

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

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

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

The availability of valuation techniques and observable inputs can vary 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.

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 prices and inputs during periods of market dislocation. In periods of market dislocation, the observability of prices and inputs may be reduced for many assets and liabilities. This condition could cause an asset or liability to be reclassified to a lower level within the fair value hierarchy.

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

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 Level I or Level 2 of the fair value hierarchy. As of September 30, 2017 and December 31, 2016, none of the Partnership’s holdings in U.S. government agency bonds and notes were fair valued using valuation models.

The fair value of U.S. treasury obligations is generally based on quoted prices. U.S. treasury obligations are categorized in Level 2 of the fair value hierarchy.

The fair value of corporate notes is determined using recently executed transactions, market price quotations (where observable), notes spreads or credit default swap spreads. The spread data used are for the same maturity as that of the notes. If the spread data does not reference the issuer, data that references a comparable issuer is used. When observable price quotations are not available, fair value is determined based on cash flow models with yield curves, 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 categorized in Level 2 of the fair value hierarchy; however, in instances where significant inputs are unobservable, they are categorized in Level 3 of the hierarchy. As of September 30, 2017 and December 31, 2016, none of the Partnership’s holdings in corporate notes were fair valued using valuation models.

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 Partnership’s valuation methodology during the nine month period ended September 30, 2017 and the year ended December 31, 2016.

The following table presents information about the Partnership’s assets and liabilities measured at fair value as of September 30, 2017 and December 31, 2016:

September 30, 2017	Level 1			Level 2		Level 3		Balance as of September 30, 2017

Assets

Futures contracts (1)	$	1,079,869		$	–	$	–	$	1,079,869
U.S. Government agency bonds and notes		–			16,053,197		–		16,053,197
Corporate notes		–			7,967,536		–		7,967,536

Total Assets	$	1,079,869		$	24,020,733	$	–	$	25,100,602

Liabilities

Futures contracts (1)	$	(294,929	)	$	–	$	–	$	(294,929	)

December 31, 2016	Level 1			Level 2		Level 3		Balance as of December 31, 2016

Assets

Futures contracts (1)	$	390,796		$	–	$	–	$	390,796
U.S. Government agency bonds and notes		–			11,229,798		–		11,229,798
Corporate notes		–			8,247,751		–		8,247,751

Total Assets	$	390,796		$	19,477,549	$	–	$	19,868,345

Liabilities

Futures contracts (1)	$	(238,526	)	$	–	$	–	$	(238,526	)

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

The Partnership’s policy is to recognize any transfers between Level 1 and Level 2 assets as of the Partnership’s fiscal year-end.

For the nine month period ended September 30, 2017 and the year ended December 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities. For the nine month period ended September 30, 2017 and the year ended December 31, 2016, there were no Level 3 securities.

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 for financial reporting purposes. Realized gains and losses from security transactions are determined using the specific identification cost method. Change in net unrealized gain or loss from the preceding period is reported in the Statements of Income (Loss). Brokerage commissions on securities and other trading fees are reflected as an adjustment to cost or proceeds at the time of the transaction. Interest income is recorded on an accrual basis.

Gains or losses on futures contracts are realized when contracts are closed. Net unrealized gains or losses on open contracts (the difference between contract trade price and quoted market price) are reflected in the Statements of Financial Condition. Any change in net unrealized gain or loss from the preceding period is reported in the Statements of Income (Loss). Brokerage commissions on futures contracts include other trading fees and are incurred as an expense when contracts are opened, and are recognized as trading gains and losses.

Net realized gains and losses from foreign currency related transactions represent gains and losses from sales of foreign currencies, currency gains and losses realized between trade and settlement dates on securities transactions, and the difference between the amounts of interest and foreign withholding taxes recorded on the Partnership’s books and the U.S. Dollar equivalent of the amounts actually received or paid. Net unrealized gain (loss) on foreign currency denominated other assets and liabilities arise from changes in the value of assets, other than investments in securities, and liabilities at fiscal year-end, resulting from changes in the exchange rates.

J.P. Morgan Chase Bank, N.A. (the “Custodian”) is the Partnership’s custodian. SG Americas Securities, LLC (the “Clearing Broker”) is the Partnership’s commodity broker. A portion of the Partnership’s assets are held as initial margin or option premiums (in cash or Treasury securities) in the Partnership’s brokerage accounts at the Clearing Broker. The Clearing Broker may convert the Partnership’s cash in U.S. dollar to foreign currency to facilitate the Partnership’s commodity trading activities. At times, the Partnership may carry foreign cash on loan with the Clearing Broker. Any net foreign currency on loan will be recognized in Foreign Currency Due to Broker on the Statements of Financial Condition. The Partnership’s Clearing Broker holds margin balances in a single currency, in which all margin requirements can be satisfied in U.S. dollars. Foreign currency balances can also be used to satisfy margin requirements. As of September 30, 2017 and December 31, 2016, the Partnership’s restricted cash balance on the Statements of Financial Condition of $1,326,298 and $3,040,054, respectively, represents the collateral pledged by the Partnership to satisfy the Clearing Broker’s margin requirements in US Dollars. As of September 30, 2017 and December 31, 2016, the Partnership’s restricted foreign currency balance on the Statements of Financial Condition of $2,162,093 and $0, respectively, represents the collateral pledged by the Partnership to satisfy the Clearing Broker’s margin requirements in foreign currency. The Partnership’s assets not deposited at the Clearing Broker are deposited with either the Custodian or held in bank cash accounts at Northern Trust Company (and used to pay Partnership operating expenses). For the Partnership’s cash deposited at the Custodian, the Partnership receives cash management services from J.P. Morgan Investment Management Inc. (“JPMIM”).

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

E. Futures Contracts

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

There are several risks in connection with the use of futures contracts as an investment option. The change in value of futures contracts primarily corresponds with the value of their underlying instruments. In addition, there is the risk that the Partnership may not be able to enter into a closing transaction because of an illiquid secondary market. Open positions in futures contracts at September 30, 2017 and December 31, 2016 are reflected within the Condensed Schedules of Investments.

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 Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in the Statements of Income (Loss).

G. Cash

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

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

H. 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.

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

I. Income Taxes

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

The Partnership is required to determine whether its tax positions are more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The tax benefit recognized is measured as the largest amount of benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. De-recognition of a tax benefit previously recognized results in the Partnership recording a tax liability that reduces ending partners’ capital. Based on its analysis, the Partnership has determined that it has not incurred any liability for unrecognized tax benefits as of September 30, 2017 or December 31, 2016. However, the Partnership’s conclusions may be subject to review and adjustment at a later date based on factors including, but not limited to, on-going analyses of and changes to tax laws, regulations and interpretations thereof. The Partnership is subject to income tax examinations by major taxing authorities for all tax years since 2013.

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 September 30, 2017 and December 31, 2016 or for the three and nine months ended September 30, 2017 and 2016.

NOTE 2 - PARTNERS’ CAPITAL

A. Capital Accounts and Allocation of Income and Loss

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

The Partnership consists of the General Partner’s Interest, 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 Limited Partners (each, a “Limited Partner” and collectively the “Limited Partners”) based on their respective capital accounts as of the end of each month in which the items accrue, pursuant to the terms of the Partnership’s Agreement of Limited Partnership (the “Agreement”), as may be amended and restated from time to time. 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.

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 2 - PARTNERS’ CAPITAL (CONTINUED)

B. Subscriptions, Distributions and Redemptions

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

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

The Partnership is not required to make distributions, but may do so at the sole discretion of the General Partner. A Limited Partner may request and receive redemption of capital, subject to restrictions set forth in the Agreement. The General Partner may request and receive redemption of capital, subject to the same terms as any Limited Partner. The partners may withdraw their interests on a monthly basis upon at least 15 days’ prior written notice, subject to the discretion of the General Partner. No distributions were made for the nine months ended September 30, 2017 and 2016.

NOTE 3 - RELATED PARTY TRANSACTIONS

A. General Partner Management Fee

The General Partner receives a monthly management fee from the Partnership equal to 0.104% (1.25% annually) for Class A and Class B, and 0.0625% (0.75% annually) for Institutional Interests of the Partnership's net asset value apportioned to each Partner’s capital account at the beginning of the month, before deduction of any accrued incentive fees related to the current quarter (the “management fee net asset value”). The General Partner may declare any Limited Partner a “Special Limited Partner” and the management fees or incentive fees charged to any such partner may be different than those charged to other Limited Partners. For the three and nine months ended September 30, 2017 and 2016, there were no Special Limited Partners.

Total management fees earned by the General Partner for the three and nine months ended September 30, 2017 and 2016 are shown on the Statements of Income (Loss) as Management Fee.

B. Administrative Fee

The General Partner receives a monthly administrative fee from the Partnership equal to 0.0275% (0.33% annually) of the Partnership's management fee net asset value attributable to Class A and Class B Interests. For the three and nine months ended September 30, 2017, administrative fees for Class A Interests were $18,160 and $53,713, respectively, and administrative fees for Class B Interests were $6,568 and $19,742, respectively. For the three and nine months ended September 30, 2016, administrative fees for Class A Interests were $15,713 and $44,595, respectively, and administrative fees for Class B Interests were $6,109 and $18,150, respectively.

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 3 - RELATED PARTY TRANSACTIONS (CONTINUED)

C. Altegris Investments, L.L.C. and Altegris Clearing Solutions, L.L.C.

Altegris Investments, L.L.C. (“Altegris Investments”), an affiliate of the General Partner, is registered as a broker-dealer with the SEC and a Delaware limited liability company. Altegris Clearing Solutions, L.L.C. (Altegris Clearing Solutions), an affiliate of the General Partner and an introducing broker registered with the CFTC, is the Partnership’s introducing broker.

Altegris Investments has entered into a selling agreement with the Partnership whereby it receives 2% per annum as continuing compensation for Class A Interests sold by Altegris Investments that are outstanding at month end. The Partnership’s introducing broker receives a portion of the commodity brokerage commissions paid by the Partnership to the Clearing Broker and interest income retained by the Clearing Broker. Additionally, the Partnership pays to its clearing brokers and its introducing broker, at a minimum, brokerage charges at a flat rate of 0.125% (1.5% annually) of the Partnership’s management fee net asset value. Brokerage charges may exceed the flat rate described above, depending on commission and trading volume levels, which may vary.

At September 30, 2017 and December 31, 2016 the Partnership had charges for brokerage-related services payable to Altegris Clearing Solutions of $17,036 and $8,703, respectively, and service fees payable to Altegris Investments of $5,424 and $5,432, respectively. The following tables show the fees paid to Altegris Investments and Altegris Clearing Solutions for the three and nine months ended September 30, 2017 and 2016, respectively:

	Three months ended September 30, 2017		Nine months ended September 30, 2017		Three months ended September 30, 2016		Nine months ended September 30, 2016
Altegris Clearing Solutions - Brokerage Commission fees	$	55,932	$	146,347	$	54,978	$	148,626
Altegris Investments- Service fees		16,261		50,123		15,507		47,182
Total	$	72,193	$	196,470	$	70,485	$	195,808

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

NOTE 4 - ADVISORY CONTRACT

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

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 5 - SERVICE FEES

As compensation for the continuing services of the selling agents to the Class A Limited Partners, Class A Interests pay the selling agents an ongoing monthly payment of 0.166% (2% annually) of the net asset value of interests sold by the agents that are outstanding at month-end. As compensation for the continuing services of the selling agents to the Limited Partners holding Institutional Interests, the selling agents may elect the Institutional Interests to pay the selling agents an ongoing monthly payment of 0.0417% (0.50% annually) of the net asset value of Institutional Interests sold by the agents that are outstanding at month-end. For the three and nine months ended September 30, 2017, service fees for Class A Interests were $109,133 and $325,375, respectively and service fees for Institutional Interests were $214 and $286, respectively. For the three and nine months ended September 30, 2016, service fees for Class A Interests were $95,549 and $271,616, respectively. However, there were no service fees for Institutional Interests for the three and nine months ended September 30, 2016.

NOTE 6 - BROKERAGE COMMISSIONS AND CHARGES

The Partnership is subject to monthly brokerage charges equal to the greater of: (A) actual commissions and expenses paid to the Clearing Broker by the Partnership; or (B) an amount equal to 0.125% of the management fee net asset value of all Limited Partners’ month-end capital account balances (1.50% annually) (the “Minimum Amount”).

If actual commissions and expenses paid to the Clearing Broker in a month (in (A) above) are less than the Minimum Amount, the Partnership will pay to the Introducing Broker the difference as payment for brokerage-related services, including, but not limited to, monitoring trade, execution, clearing, custodial and distribution services provided to the Partnership. If actual commissions and expenses paid to the Clearing Broker in a month (in (A) above) are greater than the Minimum Amount, the Partnership pays only the amounts described in (A) above. The Partnership’s payments of brokerage commissions to the Clearing Broker for clearing trades on its behalf, and payments to the Introducing Broker for brokerage- related services, if any, are reflected in the Statements of Income (Loss) 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 (“ASC”), nor are they used for other risk management purposes. The Advisor and General Partner actively assess, manage and monitor risk exposure on derivatives on a contract basis, a sector basis (e.g., interest rate derivatives, agricultural derivatives, etc.), and on an overall basis in accordance with established risk parameters. Due to the speculative nature of the Partnership’s derivative trading activity, the Partnership is subject to the risk of substantial losses from derivatives trading.

ALTEGRIS 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 September 30, 2017 and December 31, 2016. 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 Statements of Financial Condition.

September 30, 2017

Type of Futured Contracts	Asset Derivatives Fair Value		Liability Derivatives Fair Value			Net Fair Value
Futures Contracts
Currencies	$	88,467	$	(14,931	)	$	73,536
Energy		13,416		(2,850	)		10,566
Interest Rates		1,300		(140,294	)		(138,994	)
Metals		1,177		(116,349	)		(115,172	)
Stock Indices		872,318		–			872,318
Treasury Rates		103,191		(20,505	)		82,686

	$	1,079,869	$	(294,929	)	$	784,940

December 31, 2016

Type of Futured Contracts	Asset Derivatives Fair Value		Liability Derivatives Fair Value			Net Fair Value
Futures Contracts
Currencies	$	1,929	$	(23,821	)	$	(21,892	)
Energy		54,724		–			54,724
Interest Rates		241,292		(47,917	)		193,375
Metals		12,679		(13,201	)		(522	)
Stock Indices		80,172		(115,708	)		(35,536	)
Treasury Rates		–		(37,879	)		(37,879	)

	$	390,796	$	(238,526	)	$	152,270

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, 2017 and 2016.

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

The below captions of “Realized” and “Change in Unrealized” correspond to the captions in the Statements of Income (Loss) for gain (loss) on trading derivatives contracts.

Three Months Ended September 30, 2017

Type of Futured Contracts	Realized			Change in Unrealized

Futures Contracts
Currencies	$	(144,322	)	$	69,949
Energy		(203,083	)		190,593
Interest Rates		(821,874	)		(134,797	)
Metals		13,266			(128,201	)
Stock Indices		339,800			1,127,683
Treasury Rates		(185,332	)		(82,380	)

	$	(1,001,545	)	$	1,042,847

For the three months ended September 30, 2017, the number of futures contracts closed was 6,596. These closed contract amounts are representative of the Partnership’s volume of derivative activity during the period.

Nine Months Ended September 30, 2017

Type of Futured Contracts	Realized			Change in Unrealized

Futures Contracts
Currencies	$	307,544		$	95,428
Energy		(661,324	)		(44,158	)
Interest Rates		(2,352,287	)		(332,369	)
Metals		263,047			(114,650	)
Stock Indices		3,198,886			907,854
Treasury Rates		1,063,574			120,565

	$	1,819,440		$	632,670

For the nine months ended September 30, 2017, the number of futures contracts closed was 22,589. These closed contract amounts are representative of the Partnership’s volume of derivative activity during the period.

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

Three Months Ended September 30, 2016

Type of				Change in
Futures Contracts	Realized			Unrealized

Currencies	$	(184,991	)	$	(6,876	)
Energy		(163,643	)		(61,572	)
Interest Rates		(189,983	)		79,059
Metals		2,187			10,043
Stock Indices		1,375,639			356,410
Treasury Rates		(178,332	)		44,528
	$	660,877		$	421,592

For the three months ended September 30, 2016, the number of futures contracts closed was 4,866. These closed contract amounts are representative of the Partnership’s volume of derivative activity during the period.

Nine Months Ended September 30, 2016

Type of				Change in
Futures Contracts	Realized			Unrealized

Currencies	$	(149,467	)	$	(15,914	)
Energy		(357,102	)		(16,646	)
Interest Rates		422,348			67,755
Metals		129,060			(18,680	)
Stock Indices		3,555,040			158,770
Treasury Rates		218,246			65,791
	$	3,818,125		$	241,076

For the nine months ended September 30, 2016, the number of futures contracts closed was 16,175. These closed contract amounts are representative of the Partnership’s volume of derivative activity during the period.

With respect to futures contracts and options on futures contracts, the Partnership has entered into an agreement with the Clearing Broker which grants the Clearing Broker the right to offset recognized derivative assets and derivative liabilities if certain conditions exist, which would require the Clearing Broker to liquidate the Partnership’s positions. These events include the following: (i) the Clearing Broker is directed or required by a regulatory or self-regulatory organization, (ii) the Clearing Broker determines, at its discretion, that the risk in the Partnership’s account must be reduced for protection of the Clearing Broker, (iii) upon the Partnership’s breach or failure to perform on its contractual agreements with the Clearing Broker, (iv) upon the commencement of bankruptcy, insolvency or similar proceeding for the protection of creditors against the Partnership, or (v) upon the dissolution, winding- up, liquidation or merger of the Partnership.

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

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

Offsetting the Financial Assets and Derivative Assets
								Gross Amounts Not Offset in the Statement of Financial Condition
As of September 30, 2017
Description	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Financial Condition			Net Amounts of Assets Presented in the Statement of Financial Condition		Financial Instruments		Cash Collateral Received (1)		Net Amount
Futures Contracts	$	1,079,869	$	(294,929	)	$	784,940	$	–	$	–	$	784,940

Offsetting the Financial Liabilities and Derivative Liabilities

Gross Amounts Not Offset in the Statement of Financial Condition

As of September 30, 2017

Description

Gross

Amounts of

Recognized

Liabilities

Gross Amounts

Offset in the

Statement of

Financial Condition

Net Amounts

of Liabilities Presented

in the Statement

of Financial Condition

Financial

Instruments

Cash Collateral

Pledged (1)

Net Amount

Futures Contracts

(294,929

)

294,929

–

Offsetting the Financial Assets and Derivative Assets
								Gross Amounts Not Offset in the Statement of Financial Condition
As of December 31, 2016
Description	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Financial Condition			Net Amounts of Assets Presented in the Statement of Financial Condition		Financial Instruments		Cash Collateral Received (1)		Net Amount
Futures Contracts	$	390,796	$	(238,526	)	$	152,270	$	–	$	–	$	152,270

Offsetting the Financial Liabilities and Derivative Liabilities

Gross Amounts Not Offset in the Statement of Financial Condition

As of December 31, 2016

Description

Gross

Amounts of

Recognized

Liabilities

Gross Amounts

Offset in the

Statement of

Financial Condition

Net Amounts

of Liabilities Presented

in the Statement

of Financial Condition

Financial

Instruments

Cash Collateral

Pledged (1)

Net Amount

Futures Contracts

(238,526

)

238,526

–

(1) The Partnership posted additional collateral of $3,488,391 for 2017 and $3,040,054 for 2016 with the Clearing Broker. The Partnership may post collateral due to a variety of factors that may include, without limitation, initial margin or other requirements that are based on notional amounts which may exceed the fair value of the derivative contract.

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

NOTE 9 - INDEMNIFICATIONS

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

ALTEGRIS 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 and nine months ended September 30, 2017 and 2016. This information has been derived from information presented in the financial statements.

	Three Months ended September 30, 2017

							Institutional
	Class A			Class B			Interest

Total return for Limited Partners (3)
Total return prior to incentive fees		(1.23%	)		(0.74%	)		(0.54%	)
Incentive fees		(0.00%	)		(0.01%	)		(0.00%	)

Total return after incentive fees		(1.23%	)		(0.75%	)		(0.54%	)

Ratio to average net asset value
Expenses prior to incentive fees (2)		4.65%			2.62%			1.78%
Incentive fees (3)		0.00%			0.01%			0.00%

Total expenses		4.65%			2.63%			1.78%

Net investment loss (1) (2)		(3.74%	)		(1.78%	)		(0.98%	)

	Nine Months ended September 30, 2017

							Institutional
	Class A			Class B			Interest

Total return for Limited Partners (3)
Total return prior to incentive fees		3.90%			5.44%			6.07%
Incentive fees		(2.12%	)		(2.13%	)		(2.18%	)

Total return after incentive fees		1.78%			3.31%			3.89%

Ratio to average net asset value
Expenses prior to incentive fees (2)		4.62%			2.58%			1.81%
Incentive fees (3)		2.00%			2.07%			1.70%

Total expenses		6.62%			4.65%			3.51%

Net investment loss (1) (2)		(4.03%	)		(2.01%	)		(1.21%	)

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 10 - FINANCIAL HIGHLIGHTS (CONTINUED)

	Three Months ended September 30, 2016

							Institutional
	Class A			Class B			Interest

Total return for Limited Partners (3)
Total return prior to incentive fees		2.42%			2.92%			3.13%
Incentive fees		(0.92%	)		(0.93%	)		(0.99%	)
Total return after incentive fees		1.50%			1.99%			2.14%

Ratio to average net asset value
Expenses prior to incentive fees (2)		4.49%			2.47%			1.65%
Incentive fees (3)		0.92%			0.93%			0.99%

Total expenses		5.41%			3.40%			2.64%

Net investment loss (1) (2)		(4.34%	)		(2.32%	)		(1.49%	)

	Nine Months ended September 30, 2016

							Institutional
	Class A			Class B			Interest

Total return for Limited Partners (3)
Total return prior to incentive fees		11.43%			13.09%			13.76%
Incentive fees		(2.27%	)		(2.40%	)		(2.96%	)
Total return after incentive fees		9.16%			10.69%			10.80%

Ratio to average net asset value
Expenses prior to incentive fees (2)		4.81%			2.75%			1.93%
Incentive fees (3)		2.13%			2.23%			2.76%

Total expenses		6.94%			4.98%			4.69%

Net investment loss (1) (2)		(4.65%	)		(2.59%	)		(1.77%	)

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)

Excludes incentive fee.

(2)

Annualized.

(3)

Not annualized.

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 11 - SUBSEQUENT EVENTS

Management of the Partnership evaluated subsequent events through the date these financial statements were available to be issued, and concluded that no events subsequent to September 30, 2017 have occurred that would require recognition or disclosure, except as noted below.

From October 1, 2017 through November 14, 2017, the Partnership had subscriptions of $306,873 and redemptions of $1,118,928. Management has determined there are no additional matters requiring disclosure.

PART I – FINANCIAL INFORMATION (continued)

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

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

Liquidity

The Partnership’s assets are generally held as cash or cash equivalents, which are used to margin the Partnership’s futures positions and are sold to pay redemptions and expenses as needed. Other than any potential market-imposed limitations on liquidity, the Partnership’s assets are highly liquid and are expected to remain so. Market-imposed limitations, when they occur, can be due to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Partnership’s futures trading. A portion of the Partnership’s assets not used for margin and held with the Custodian are invested in liquid, high quality securities. Through June 30, 2017 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

The Partnership’s success depends primarily upon the Advisor’s ability to recognize and capitalize on market trends in the sectors of the global commodity futures markets in which it trades. The Partnership seeks to produce long-term capital appreciation through growth, and not current income. The past performance of the Partnership is not necessarily indicative of future results.

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

Performance Summary

Three Months Ended September 30, 2017

During the third quarter of 2017, the Partnership incurred net realized and unrealized losses of $106,623 from its trading activities, net of brokerage commissions of $122,335. The Partnership accrued total expenses of $319,341, including $98,634 in management fees paid to the General Partner, $1,185 in incentive fees, and $169,191 in service and professional fees. The Partnership earned $71,636 in interest income during the third quarter of 2017. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the third quarter of 2017 is set forth below.

Third Quarter 2017. The Partnership enjoyed net positive performance for the month of July 2017, driven primarily by stock indices. Interest rates were the worst performing sector, followed by currencies, metals, and energies. The Partnership maintained net long stock index positions and net short interest rate positions throughout the month of July. Despite the ongoing tensions with North Korea and the inability of the U.S. Congress to pass significant legislation on health care reform, the equity markets moved higher throughout the month. Interest rates also moved higher which partially offset the Partnership’s gains in stock indices. The Partnership’s short positions in the Euro, Pound and Yen hindered profits as these specific currencies moved higher throughout July. The Partnership initially benefited from short crude oil positions until the market rose due to a drawdown in inventories and bullish production forecast from the Energy Information Administration. In August 2017, the Partnership was slightly negative. The worst performing was stock indices, followed by interest rates. The most profitable sector was metals, followed by currencies and energies. Although the first week for trading in August was relatively calm, the ongoing tension between the United States and North Korea sent the equity markets lower. The S&P regained its losses the following week but had to sell off to new monthly lows on rumors that Gary Cohn, a key architect of U.S. tax reform, planned to resign from the White House Economic Council. Despite the swings in stock indices, interest rate futures moved higher with losses in the sector throughout the month. The currency sector experienced gains attributed to the Euro with profits split evenly on the long and short side of the trade. Long positions in all of the metals contracts benefited during August. In September 2017, the Partnership had another net positive performance. The most profitable sector was stock indices, followed by currencies. Interest rates were the worst performing sector, followed by metals and energies. The Partnership maintained net long stock index positions for the duration of the September. The news of another North Korean nuclear test rattled the equity markets but they were able to rebound and trend higher throughout the month with the S&P 500 trading to all-time highs. Although the Partnership benefited from long interest rate positions earlier in the month, the sector was adversely impacted by the equity market recovery. Short positions in U.S. interest rate contracts limited overall losses in the sector, but long positions in metals were adversely impacted as money flowed to riskier assets

Three Months Ended September 30, 2016

During the third quarter of 2016, the Partnership achieved net realized and unrealized gains of $981,287 from its trading activities, net of brokerage commissions of $105,102. The Partnership accrued total expenses of $525,775, including $85,615 in management fees paid to the General Partner, $259,182 in incentive fees, and $147,019 in service and professional fees. The Partnership earned $11,155 in interest income during the third quarter of 2016. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the third quarter of 2016 is set forth below.

Third Quarter 2016. The Partnership was mixed for the month of July 2016, ending the month flat to slightly negative. The only profitable sector was stock indices. Interest rates were the worst performing sector, followed by energies. Returns initially had a strong start with long U.S. and short European stock index positions but lingering concerns over the impact of Brexit weighed on European indices, while U.S. indices outperformed on the back of a surprisingly strong nonfarm payroll number on July 8th. Performance in stock indices remained strong throughout the month; however, losses in long interest rate positions offset much of these gains as bonds moved higher on the increased probability of rate hikes. The Partnership remained net long stock indices but reversed into short interest rate futures in anticipation of an upcoming Federal Reserve meeting.. As expected, rates were left unchanged and, despite a hawkish tone from the Federal Reserve, stocks and bonds both traded higher with losses in interest rate futures offsetting gains in stock indices. Thereafter, focus shifted to the Bank of Japan meeting, which disappointed markets with a less accommodative monetary and fiscal policy than had been expected. The Yen surged higher and the Partnership’s short Yen position eroded much of the overall gains going into month end. In August 2016, the Partnership experienced positive overall performance with the most profitable sector being interest rates, followed closely by stock indices. Metals were slightly positive, while the currency and energy sectors were both negative. The Partnership initially profited as with net long stock index and short interest rate positions, as the S&P and Nasdaq soared to record highs, and then reversed into short stock indices in the middle of the month as equity markets became increasingly choppy. Despite a decidedly hawkish tone by the Federal Reserve at an August 2016 meeting, equity markets traded higher into month end, paring gains in the stock index sector. Losses in the currency sector early in the month were attributed to a short Yen position that declined when the Bank of Japan announced stimulus measures that did not include further monetary easing. By month end, the Partnership had reversed into long currency positions and suffered additional losses as the U.S. Dollar surged. In September 2016, the Partnership experienced solid profits as the main driver of performance was stock indices, whereas the worst performing sector was currencies. The Partnership came into the month short global equity indices and achieved mixed results through the first week of trading. Between September 9th & 10th, signals in equity indices reversed as global stock markets sold off dramatically on the 9th and rallied back on the 10th. The Partnership earned significant profits on both sides of the trade, and returns remained long going into the September Federal Reserve, which spurred a two-day rally in U.S. equity markets. The Partnership then gave back a portion of gains as markets became increasingly choppy going into month end. Currency losses accrued early in the month and were primarily attributable to short Euro positions as a hawkish European Central Bank meeting sent the currency sharply higher. The bulk of the losses in energies came in the last week of trading when short crude positions suffered on the news that OPEC had reached a preliminary agreement on the first production cuts in eight years.

Nine Months Ended September 30, 2017

During the nine months ended September 30, 2017, the Partnership achieved net realized and unrealized gains of $2,078,328 from its trading activities, net of brokerage commissions of $361,862. The Partnership accrued total expenses of $1,567,826, including $292,227 in management fees paid to the General Partner, $635,359 in incentive fees, and $494,927 in service and professional fees. The Partnership earned $140,425 in interest income during the nine months ended September 30, 2017. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the nine months ended September 30, 2017 is set forth below.

Second Quarter 2017. The Partnership was slightly negative for the month of April 2017. The worst performing sector was interest rates, followed by energies. The most profitable sector was stock indices with currencies and metals contributing positively. The Partnership sustained losses in early April from long positions in U.S. stock indices. Tensions with North Korea and Syria and the looming French presidential election were among the geopolitical risks overshadowing financial markets and fueling a move out of riskier assets. Despite these early losses in equity indices, the partnership continued to add to those long positions until the last week of the month. The results of the French election on April 23rd were seen as favorable to stability in the European Union. Global stock markets surged higher, pushing the equity sector into the black for the month. Negative performance in the interest rate sector persisted throughout the month. Initially, short German interest rate positions suffered as equity markets came under pressure. The Partnership reversed interest rate positions midmonth, which resulted in further losses as equity markets rallied into month end. Losses in the energy sector occurred late in the month as crude prices broke lower on bearish inventory data. The Partnership was also slightly negative for the month of May 2017. The worst performing sectors were interest rates and energies. The most profitable sectors were currencies and stock indices as well as metals making a positive contribution. The Partnership earned gains in early May with long stock index and short interest rate positions. As the month wore on, simmering political turmoil in the United States began to erode confidence in the ability of the current administration to focus on a meaningful legislative agenda. On May 17th, markets were jolted when a leaked FBI memo suggested that the President may have interfered with an investigation. The S&P suffered its worst day in eight months, while bonds surged higher on the news. Despite any resolution of the issue, the S&P bounced back, returning the stock index sector into the black by month end. As a result of the uncertainty throughout the month, the U.S. Dollar traded lower and the Partnership benefited from long foreign currency positions. Short crude oil positions were profitable early in the month on the lack of any meaningful cuts from OPEC; however, bullish inventory data reversed this trend, pushing the sector negative for the month. The Partnership was nearly flat for the month of June 2017. The best performing sector was currencies, followed by stock indices and metals. The worst performing sector were interest rates and energies. The Partnership produced positive returns through early June, driven by stock index positions and strategic positioning in gold on both the long and short sides. These early gains reversed midmonth when volatility in equity markets dramatically increased following a sharp sell-off in tech stocks. The turbulence in equity markets was then coupled with the FOMC’s decision on June 14th to kike the Fed Funds rate. These conditions, along with steadily declining energy markets, let to profits from short energy positions and losses from short U.S. and German interest rate positions through June 23rd. The final week of the month, the Partnership experience losses in stock index and energy positions, partially offset by gains in short U.S. interest rate positions and long Euro and Pound positions.

First Quarter 2017. The Partnership enjoyed net positive performance for the month of January 2017, driven primarily by stock indices, with interest rates and metals contributing modestly. Energies were the worst performing sector and currencies also experienced negative return. As equity prices rebounded from a late December slump, the Partnership’s long equity positions generated strong performance early in January. The Partnership remained net long throughout most of the month as equity markets reached new highs and the Dow broke through the 20,000 level for the first time. The Partnership reversed to short and earned additional gains when markets sold off into month end. After initially sustaining losses on long interest rate positions, the Partnership went short midmonth. A hawkish speech by Federal Reserve Chair Janet Yellen on January 18th led to a selloff in interest rate futures, turning the sector positive for the month. The bulk of the energy sector’s underperformance occurred early in January when short crude oil positions took a hit on record export numbers out of Iraq, which raised concerns about the stability of OPEC’s production agreement. In February 2017, the Partnership experienced a slightly positive net performance gain, driven by gains in interest rates and currencies. The worst performing sector was stock indices, followed by metals and energies. February began with uncertainty, as short U.S. and European stock index positions suffered as markets ground higher on relatively low volatility and little news. The Partnership reversed to long midmonth, which tempered losses as stock indices continued to rise. The Partnership fared much better in the interest rate sector. Initially long U.S. Treasuries, the Partnership reversed in time to benefit from declining rates through the middle of February. These gains were partially offset by a growing long position in European interest rates. Bonds reached their monthly low on the 15th but traded higher into month end, which resulted in profits as European interest rates had become the Partnership’s largest positon. End-of-month gains in the sector were driven by the Euro-Bund. For March 2017, the Partnership again ended the month with slightly positive performance, driven by stock indices, metals and currencies, and with interest rates and energies detracting from overall performance. The Partnership initially experienced strong performance as U.S. stock indices surged to all-time highs on the first day of the month. Equity markets then edged lower on concerns of the upcoming presidential election in France and the debate over health care reform in the United States. The Partnership reduced its long positions throughout the month, going net short for a brief period before going long again ahead of a vote in Congress regarding U.S. health care. Initially trading lower on disappointment from Congress’ failure to pass health care legislation, stock indices shrugged off the news and traded higher into month end. Profits in long U.S. and European stock indices were offset in part by losses in long European interest rates. The Partnership reversed interest rate positions midmonth, racking up losses on short European positions as markets traded higher in the second half of March. To its benefit, the Partnership shifted its U.S. interest rate positions from short to long during the month, which limited losses for the sector overall.

Nine Months Ended September 30, 2016

During the nine months ended September 30, 2016, the Partnership achieved net realized and unrealized gains of $3,753,899 from its trading activities, net of brokerage commissions of $302,670. The Partnership accrued total expenses of $1,405,265, including $264,404 in management fees paid to the General Partner, $587,721 in incentive fees, and $439,232 in service and professional fees. The Partnership earned $31,679 in interest income during the nine months ended September 30, 2016. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the nine months ended September 30, 2016 is set forth below.

Third Quarter 2016. Third Quarter 2016. The Partnership was mixed for the month of July 2016, ending the month flat to slightly negative. The only profitable sector was stock indices. Interest rates were the worst performing sector, followed by energies. Returns initially had a strong start with long U.S. and short European stock index positions but lingering concerns over the impact of Brexit weighed on European indices, while U.S. indices outperformed on the back of a surprisingly strong nonfarm payroll number on July 8th. Performance in stock indices remained strong throughout the month; however, losses in long interest rate positions offset much of these gains as bonds moved higher on the increased probability of rate hikes. The Partnership remained net long stock indices but reversed into short interest rate futures in anticipation of an upcoming Federal Reserve meeting.. As expected, rates were left unchanged and, despite a hawkish tone from the Federal Reserve, stocks and bonds both traded higher with losses in interest rate futures offsetting gains in stock indices. Thereafter, focus shifted to the Bank of Japan meeting, which disappointed markets with a less accommodative monetary and fiscal policy than had been expected. The Yen surged higher and the Partnership’s short Yen position eroded much of the overall gains going into month end. In August 2016, the Partnership experienced positive overall performance with the most profitable sector being interest rates, followed closely by stock indices. Metals were slightly positive, while the currency and energy sectors were both negative. The Partnership initially profited as with net long stock index and short interest rate positions, as the S&P and Nasdaq soared to record highs, and then reversed into short stock indices in the middle of the month as equity markets became increasingly choppy. Despite a decidedly hawkish tone by the Federal Reserve at an August 2016 meeting, equity markets traded higher into month end, paring gains in the stock index sector. Losses in the currency sector early in the month were attributed to a short Yen position that declined when the Bank of Japan announced stimulus measures that did not include further monetary easing. By month end, the Partnership had reversed into long currency positions and suffered additional losses as the U.S. Dollar surged. In September 2016, the Partnership experienced solid profits as the main driver of performance was stock indices, whereas the worst performing sector was currencies. The Partnership came into the month short global equity indices and achieved mixed results through the first week of trading. Between September 9th & 10th, signals in equity indices reversed as global stock markets sold off dramatically on the 9th and rallied back on the 10th. The Partnership earned significant profits on both sides of the trade, and returns remained long going into the September Federal Reserve, which spurred a two-day rally in U.S. equity markets. The Partnership then gave back a portion of gains as markets became increasingly choppy going into month end. Currency losses accrued early in the month and were primarily attributable to short Euro positions as a hawkish European Central Bank meeting sent the currency sharply higher. The bulk of the losses in energies came in the last week of trading when short crude positions suffered on the news that OPEC had reached a preliminary agreement on the first production cuts in eight years.

Second Quarter 2016. The Partnership was flat to slightly negative for the month of April 2016. Currencies were the most profitable sector, followed by stock indices and metals. Interest rates were the worst performing sector, followed by energies. The Partnership came into the month short all stock index contracts, making substantial profits in the first week of trading as equity markets traded lower. As the month wore on, equity markets recovered on the back of a marginally positive earnings season domestically and the lack of any significant negative headlines internationally. The Partnership maintained a net short position as markets trended higher, erasing earlier profits and going negative in the sector until equity markets began to falter late in the month on disappointing news from the Bank of Japan as to its leaving rates unchanged and failing to increase stimulus. This sent equity markets sharply lower and the Yen skyrocketed to new multi-year highs – resulting in gains for the Partnership. While bonds moved lower on equity strength, the possibility of a June rate hike from the FOMC limited the upside as equities sold off. The Partnership experienced profits in May 2016, with the most profitable sector being stock indices, followed by interest rates and currencies. Following a late April FOMC statement that lowered the likelihood for a June 2016 rate hike, concerns regarding the global economy were further heightened in the first week of May by weak Caixin PMI data in China and disappointing nonfarm payroll numbers in the United States. These events caused a flight to quality during early in the month. During this period, the Partnership traded the Euro-Bund, U.S. 30-Year Bond, Long Gilt, S&P and Hang Seng futures contracts to secure gains in the interest rates and stock indices sectors. As the month progressed, a shift in the Federal Reserve’s tone indicated a likely rate hike due to an improving economy, and coupled with substantial short covering and reports of a surge in U.S. new home sales, a strong rally in equity indices and commodities ensued (offset by a decline in global interest rate futures). The second half of May saw the Partnership benefitting from long positions in U.S. equity indices, while it suffered from short positions in European equity indices and long positions across U.S. Treasuries. The Partnership was up slightly for the month of June 2016, with the most profitable sector being stock indices, followed by interest rates. The only negative sector was currencies. Volatility across global financial markets was largely driven by expectations and reactions around the FOMC decision to hold on an interest rate hike5th and the U.K. referendum vote. With the uncertainty of an interest rate hike removed, attention became squarely focused on the outcome of Brexit vote. As resultant volatility ensued, Partnership benefitted from positions in the DJ Euro Stoxx 50, Dax, U.S. 30-Year Bond and Gold, and risk exposure leading up to the Brexit vote was reduced. The Partnership suffered losses during the days preceding the Brexit vote but recouped most of those losses as markets reacted sharply to the surprising decision by the U.K. to leave the European Union. Over the last three days of June 2016, the Partnership gave back profits in the stock indices sector as global equity markets rallied.

First Quarter 2016. The Partnership experienced net gains for the month of January 2016, with interest rates contributing most of the profits, followed by stock indices; whereas on the negative side, energies were the worst performing sector, followed by currency positions that also suffered declines in the period. The Partnership maintained short positions in U.S. & European stock indices and long positions in interest rates throughout January resulting in strong returns early in the month. The Partnership initially posted modest gains from short crude oil positions before reversing into substantial long positions thereafter. After a temporary rally, the price of crude oil resumed its downward trend, causing the long positions to sustain losses by month-end. The Bank of Japan announced a negative interest rate policy near month-end, with equity markets trading higher while the Yen dropped sharply – costing the Partnership a significant portion of the gains it had made earlier in the month. The Partnership enjoyed solid net positive performance for the month of February 2016, led by gains in stock indices, followed by positive returns in the interest rates, energies and currencies sectors. The only negative sector for the month was metals. Short positions in crude oil and stock indices benefitted from global growth early in the period. Upon reversing the shorts into longs mid-month, the Partnership’s positions in stock indices and crude oil profited due to positive economic data and rallying markets, followed by the Partnership reversing again to shorts allowing it to eke out marginal additional gains as equity markets remained choppy through month-end. A long position in Yen held throughout the month of February was responsible for most of the profits that month in the currencies sector. The Partnership’s losses in the metals sector for the period were attributed to a short Gold position as that market trended higher. The Partnership sustained a net loss for the month of March 2016, with stock indices being the worst-performing sector, and currencies, interest rates and energies each experiencing slightly negative returns. The only positive sector was metals for the period. Losses were sustained in short stock index positions and long interest rate positions were due to strong economic data coupled with dovish statements from the Federal Reserve leading to the perception that, despite improving economic conditions, a rate hike was unlikely in March. Short positions in currencies and energies added to losses as the U.S. Dollar surged and commodity prices moved higher throughout the period. The metals sector was the only bright spot in March, as the Partnership began the month short metals, then reversed mid-month into long positions, making back earlier losses and posting moderate gains as Gold rose on continued bullish sentiment.

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.

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 second calendar quarter of 2017:

Month	Amount Redeemed
July 31, 2017		$	391,542
August 31, 2017		$	366,189
September 30, 2017		$	400,414

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.

Exhibit Number	Description of Document
3.1	Certificate of Formation 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 exhibit is incorporated herein by reference from the exhibit of the same number and description filed with the registrant’s Current Report on Form 8-K (File No. 000-53815) 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.

The following exhibit is incorporated herein by reference from the exhibit of the same number and description filed with the registrant’s Annual Report on Form 10-K (File No. 000-53815) filed on March 31, 2015.

Exhibit Number	Description of Document
4.1	Second 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 of Principal Executive Officer
31.02	Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer
32.01	Section 1350 Certification of Principal Executive Officer
32.02	Section 1350 Certification of Principal Financial Officer
101.INS	XBRL Instance Document
101.SCH	XBRL Schema Document
101.CAL	XBRL Calculation Linkbase Document
101.DEF	XBRL Definition Linkbase Document
101.LAB	XBRL Label Linkbase Document
101.PRE	XBRL Presentation Linkbase Document

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: November 14, 2017

ALTEGRIS QIM FUTURES FUND, L.P.

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

/s/ Martin Beaulieu

Martin Beaulieu, Principal Executive Officer and Principal Financial Officer

Altegris QIM Futures Fund, L.P. - FORM 10-Q - November 14, 2017

Attached files

Altegris QIM Futures Fund, L.P. Reports