Attached files
file | filename |
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EX-32.01 - Altegris QIM Futures Fund, L.P. | fp0003319_ex32-1.htm |
EX-31.01 - Altegris QIM Futures Fund, L.P. | fp0003319_ex31-1.htm |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
[X]
|
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|
For quarterly period ended June 30, 2011
or
[ ]
|
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|
For the transition period from to
Commission file number: 000-53815
ALTEGRIS QIM FUTURES FUND, L.P.
(Exact name of registrant as specified in its charter)
DELAWARE
|
27-0473854
|
|
(State or other jurisdiction
of incorporation or organization)
|
(I.R.S. Employer
Identification No.)
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c/o ALTEGRIS PORTFOLIO MANAGEMENT, INC.
1202 Bergen Parkway, Suite 212
Evergreen, Colorado 80439
(Address of principal executive offices)
(858) 459-7040
(Registrant’s telephone number, including area code)
Securities registered pursuant to Section 12(b) of the Act: None
Securities registered pursuant to Section 12(g) of the Act: Limited Partnership Interests
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15 (d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes [X] No [ ]
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes [ ] No [ ]
Indicate by check mark whether the Registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See definition of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.
Large accelerated filer [ ]
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Accelerated filer [ ]
|
Non-accelerated filer [ ]
|
Smaller reporting company [X]
|
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes [ ] No [X]
TABLE OF CONTENTS
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Page
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PART I – FINANCIAL INFORMATION
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Item 1.
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Financial Statements
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Statements of Financial Condition
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1
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Condensed Schedules of Investments
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2
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Statements of Operations
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6
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Statements of Changes in Partners’ Capital (Net Asset Value)
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7
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Notes to Financial Statements
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8
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Item 2.
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Management’s Discussion and Analysis of Financial Condition and Results of Operations
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21
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Item 3.
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Quantitative and Qualitative Disclosures About Market Risk
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24
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Item 4.
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Controls and Procedures
|
24
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PART II – OTHER INFORMATION
|
||
Item 1.
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Legal Proceedings
|
24
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Item 1A.
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Risk Factors
|
24
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Item 2.
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Unregistered Sales of Equity Securities and Use of Proceeds
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24
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Item 3.
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Defaults Upon Senior Securities
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25
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Item 4.
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REMOVED AND RESERVED
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25
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Item 5.
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Other Information
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25
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Item 6.
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Exhibits
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25
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Signatures
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26
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Rule 13a–14(a)/15d–14(a) Certifications
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27
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Section 1350 Certifications
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28
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PART I – FINANCIAL INFORMATION
Item 1: Financial Statements
ALTEGRIS QIM FUTURES FUND, L.P.
|
STATEMENTS OF FINANCIAL CONDITION
|
JUNE 30, 2011 (Unaudited) and DECEMBER 31, 2010 (Audited)
|
_______________
2011
|
2010
|
|||||||
ASSETS
|
||||||||
Equity in Newedge USA, LLC account:
|
||||||||
Cash
|
$ | 8,428,646 | $ | 9,099,413 | ||||
Unrealized gain on open commodity futures contracts
|
148,912 | 634,517 | ||||||
8,577,558 | 9,733,930 | |||||||
Cash and cash equivalents
|
4,387,660 | 686,709 | ||||||
Investment securities at value
|
||||||||
(cost - $117,035,111 and $115,456,903)
|
117,067,498 | 115,425,545 | ||||||
Receivable from General Partner (Note 2)
|
0 | 142,556 | ||||||
Interest receivable
|
43,478 | 101,769 | ||||||
Total assets
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$ | 130,076,194 | $ | 126,090,509 | ||||
LIABILITIES
|
||||||||
Commissions payable
|
$ | 89,449 | $ | 92,817 | ||||
Management fee payable (Note 2)
|
122,357 | 115,629 | ||||||
Administrative fee payable (Note 2)
|
28,148 | 27,122 | ||||||
Service fees payable (Note 2)
|
89,297 | 85,957 | ||||||
Incentive fees payable
|
0 | 309,798 | ||||||
Redemptions payable
|
3,569,171 | 666,997 | ||||||
Subscriptions received in advance
|
2,550,145 | 3,785,720 | ||||||
Other liabilities
|
115,055 | 142,573 | ||||||
Total liabilities
|
6,563,622 | 5,226,613 | ||||||
PARTNERS' CAPITAL (NET ASSET VALUE)
|
||||||||
General Partner
|
797 | 864 | ||||||
Limited Partners
|
123,511,775 | 120,863,032 | ||||||
Total partners' capital (Net Asset Value)
|
123,512,572 | 120,863,896 | ||||||
Total liabilities and partners' capital
|
$ | 130,076,194 | $ | 126,090,509 |
See accompanying notes
1
ALTEGRIS QIM FUTURES FUND, L.P.
|
CONDENSED SCHEDULE OF INVESTMENTS
|
JUNE 30, 2011 (Unaudited)
|
_______________
|
INVESTMENT SECURITIES
|
|||||||||||||
Face Value
|
Maturity Date
|
Description
|
Value
|
% of Partners Capital
|
|||||||||
Fixed Income Investments
|
|||||||||||||
U.S. Government Agency Bonds and Notes
|
|||||||||||||
$ | 4,590,000 |
8/2/2012
|
Federal Farm Credit Bank, 0.73%
|
$ | 4,592,304 | 3.72 | % | ||||||
2,500,000 |
11/9/2012
|
Federal Farm Credit Bank, 0.50%
|
2,500,115 | 2.02 | % | ||||||||
2,130,000 |
4/4/2013
|
Federal Farm Credit Bank, 0.84%
|
2,137,785 | 1.73 | % | ||||||||
2,000,000 |
4/25/2013
|
Federal Farm Credit Bank, 0.72%
|
2,000,624 | 1.62 | % | ||||||||
1,000,000 |
5/2/2013
|
Federal Farm Credit Bank, 0.75%
|
1,004,534 | 0.81 | % | ||||||||
15,000,000 |
11/10/2011
|
Federal Home Loan Bank, 0.09%
|
14,999,340 | 12.14 | % | ||||||||
4,000,000 |
11/16/2012
|
Federal Home Loan Bank, 0.50%
|
4,004,704 | 3.24 | % | ||||||||
2,000,000 |
5/9/2013
|
Federal Home Loan Bank, 0.75%
|
2,001,112 | 1.62 | % | ||||||||
500,000 |
4/29/2013
|
Federal Home Loan Mortgage Corporation, 0.70%
|
500,204 | 0.41 | % | ||||||||
15,000,000 |
7/11/2011
|
Federal National Mortg Assoc Disc Note, 0.01%
|
14,999,910 | 12.15 | % | ||||||||
11,700,000 |
7/25/2011
|
Federal National Mortg Assoc Disc Note, 0.01%
|
11,699,848 | 9.47 | % | ||||||||
5,000,000 |
8/17/2011
|
Federal National Mortg Assoc Disc Note, 0.01%
|
4,999,870 | 4.05 | % | ||||||||
3,000,000 |
12/28/2011
|
Federal National Mortg Assoc Disc Note, 0.01%
|
2,998,080 | 2.43 | % | ||||||||
4,750,000 |
11/1/2012
|
Federal National Mortgage Association, 0.55%
|
4,754,726 | 3.85 | % | ||||||||
3,000,000 |
11/9/2012
|
Federal National Mortgage Association, 0.625%
|
3,003,618 | 2.43 | % | ||||||||
1,475,000 |
1/7/2013
|
Federal National Mortgage Association, 1.00%
|
1,475,149 | 1.19 | % | ||||||||
Total U.S. Government Agency Bonds and Notes (cost - $77,639,536)
|
77,671,923 | 62.88 | % | ||||||||||
Corporate Notes
|
|||||||||||||
$ | 2,000,000 |
7/5/2011
|
Alpine Securitization Corp Disc Note, 0.05%
|
1,999,986 | 1.62 | % | |||||||
5,781,000 |
7/1/2011
|
Cisco Systems, Inc Disc Note, 0.10%
|
5,780,518 | 4.68 | % | ||||||||
2,000,000 |
7/5/2011
|
Commerzbank U.S. Finance, Inc Disc Note, 0.13%
|
1,999,952 | 1.62 | % | ||||||||
2,000,000 |
7/7/2011
|
Erste Finance LLC Disc Note, 0.16%
|
1,999,938 | 1.62 | % | ||||||||
2,000,000 |
7/29/2011
|
ING (US) Funding LLC Disc Note, 0.14%
|
1,999,767 | 1.62 | % | ||||||||
2,000,000 |
7/25/2011
|
Liberty Street Fund Corp Disc Note, 0.12%
|
1,999,833 | 1.62 | % | ||||||||
3,000,000 |
7/28/2011
|
Manhattan Asset Funding LLC Disc Note, 0.21%
|
2,999,475 | 2.43 | % | ||||||||
3,000,000 |
7/5/2011
|
Mizuho Funding LLC Disc Note, 0.19%
|
2,999,921 | 2.43 | % | ||||||||
4,336,000 |
7/1/2011
|
Natixis US Funding Corp Disc Note, 0.04%
|
4,335,995 | 3.51 | % | ||||||||
3,500,000 |
7/29/2011
|
Norinchukin Bank Disc Note, 0.21%
|
3,500,000 | 2.83 | % | ||||||||
5,781,000 |
7/1/2011
|
Societe Generale North America Inc Disc, 0.23%
|
5,780,229 | 4.68 | % | ||||||||
4,000,000 |
7/7/2011
|
UBS Finance Disc Note, 0.05%
|
3,999,961 | 3.24 | % | ||||||||
Total Corporate Notes (cost - $39,395,575)
|
39,395,575 | 31.90 | % | ||||||||||
Total Investment Securities (cost - $117,035,111)
|
$ | 117,067,498 | 94.78 | % |
See accompanying notes
2
ALTEGRIS QIM FUTURES FUND, L.P.
|
CONDENSED SCHEDULE OF INVESTMENTS (continued)
|
JUNE 30, 2011 (Unaudited)
|
_______________
|
Range of
Expiration Dates
|
Number of Contracts
|
Value
|
% of Partners Capital
|
||||||||||
Long Futures Contracts:
|
|||||||||||||
Currencies
|
Sept 11
|
102 | $ | 37,593 | 0.03 | % | |||||||
Energy
|
Aug 11
|
2 | 2,668 | 0.00 | % | ||||||||
Interest Rates
|
Sept 11 - Mar 12
|
49 | (10,984 | ) | (0.01 | )% | |||||||
Metals
|
Sept 11
|
12 | 18,773 | 0.02 | % | ||||||||
Stock Indices
|
Jul 11 - Sept 11
|
163 | 57,620 | 0.05 | % | ||||||||
Treasury Rates
|
Sept 11
|
4 | (72 | ) | 0.00 | % | |||||||
Total Long Futures Contracts
|
332 | 105,598 | 0.09 | % | |||||||||
Short Futures Contracts:
|
|||||||||||||
Agriculture
|
Aug 11 - Dec 11
|
29 | 60,099 | 0.05 | % | ||||||||
Currencies
|
Sept 11
|
38 | 5,333 | 0.00 | % | ||||||||
Energy
|
Aug 11
|
38 | (72,197 | ) | (0.06 | )% | |||||||
Interest Rates
|
Sept 11 - Mar 12
|
71 | 109,112 | 0.09 | % | ||||||||
Metals
|
Aug 11 - Oct 11
|
17 | (4,609 | ) | 0.00 | % | |||||||
Stock Indices
|
Jul 11 - Sept 11
|
111 | (221,034 | ) | (0.18 | )% | |||||||
Treasury Rates
|
Sept 11
|
232 | 166,610 | 0.13 | % | ||||||||
Total Short Futures Contracts
|
536 | 43,314 | 0.03 | % | |||||||||
Total Futures Contracts
|
868 | $ | 148,912 | 0.12 | % |
See accompanying notes
3
ALTEGRIS QIM FUTURES FUND, L.P.
|
CONDENSED SCHEDULE OF INVESTMENTS
|
DECEMBER 31, 2010 (Audited)
|
_______________
|
INVESTMENT SECURITIES
|
|||||||||||||
Face Value
|
Maturity Date
|
Description
|
Value
|
% of Partners Capital
|
|||||||||
Fixed Income Investments
|
|||||||||||||
U.S. Government Agency Bonds and Notes
|
|||||||||||||
$ | 2,330,000 |
6/8/2012
|
Federal Farm Credit Bank, 0.64%
|
$ | 2,330,061 | 1.93 | % | ||||||
4,400,000 |
6/14/2012
|
Federal Farm Credit Bank, 1.11%
|
4,415,202 | 3.65 | % | ||||||||
4,590,000 |
8/2/2012
|
Federal Farm Credit Bank, 0.73%
|
4,600,975 | 3.81 | % | ||||||||
2,500,000 |
10/4/2012
|
Federal Farm Credit Bank, 0.60%
|
2,499,243 | 2.07 | % | ||||||||
2,500,000 |
11/9/2012
|
Federal Farm Credit Bank, 0.50%
|
2,488,805 | 2.06 | % | ||||||||
1,000,000 |
4/26/2012
|
Federal Farm Credit Bank Discount Note, 0.375%
|
999,458 | 0.83 | % | ||||||||
4,000,000 |
12/30/2011
|
Federal Home Loan Bank, 0.50%
|
4,000,000 | 3.31 | % | ||||||||
2,250,000 |
8/23/2012
|
Federal Home Loan Bank, 0.50%
|
2,247,428 | 1.86 | % | ||||||||
1,800,000 |
10/18/2012
|
Federal Home Loan Bank, 0.625%
|
1,796,576 | 1.49 | % | ||||||||
2,500,000 |
11/15/2012
|
Federal Home Loan Bank, 0.625%
|
2,489,710 | 2.06 | % | ||||||||
3,000,000 |
7/26/2012
|
Federal Home Loan Mortgage Corporation, 1.00%
|
3,000,942 | 2.48 | % | ||||||||
1,492,000 |
7/8/2011
|
Federal National Mort Assoc Disc Note, 0.41%
|
1,490,612 | 1.23 | % | ||||||||
9,150,000 |
7/12/2012
|
Federal National Mortgage Association, 1.05%
|
9,151,034 | 7.57 | % | ||||||||
3,000,000 |
9/17/2012
|
Federal National Mortgage Association, 0.75%
|
3,001,920 | 2.48 | % | ||||||||
4,750,000 |
11/1/2012
|
Federal National Mortgage Association, 0.55%
|
4,734,676 | 3.92 | % | ||||||||
3,000,000 |
11/9/2012
|
Federal National Mortgage Association, 0.625%
|
2,991,786 | 2.48 | % | ||||||||
4,000,000 |
12/13/2012
|
Federal National Mortgage Association, 0.80%
|
3,986,444 | 3.30 | % | ||||||||
Total U.S. Government Agency Bonds and Notes (cost - $56,256,230)
|
56,224,872 | 46.53 | % | ||||||||||
Corporate Notes
|
|||||||||||||
$ | 260,000 |
1/3/2011
|
Atmos Energy Corp Disc Note, 0.28%
|
2,599,899 | 2.15 | % | |||||||
4,600,000 |
1/3/2011
|
Autozone Inc Disc Note, 0.32%
|
4,599,755 | 3.81 | % | ||||||||
1,002,000 |
1/7/2011
|
Autozone Inc Disc Note, 0.30%
|
1,001,942 | 0.83 | % | ||||||||
5,600,000 |
1/5/2011
|
Avery Dennison Corp Disc Note, 0.30%
|
5,599,673 | 4.63 | % | ||||||||
1,475,000 |
1/3/2011
|
Bank of America Repo, 0.07%
|
1,475,000 | 1.22 | % | ||||||||
5,620,000 |
1/4/2011
|
Barclays US Fund Corp Disc Note, 0.23%
|
5,618,995 | 4.65 | % | ||||||||
430,000 |
1/20/2011
|
Conocophillips Qatar F Disc Note, 0.26%
|
429,907 | 0.36 | % | ||||||||
5,600,000 |
1/12/2011
|
Credit Agricole N A Disc Note, 0.28%
|
5,599,401 | 4.63 | % | ||||||||
2,324,000 |
1/3/2011
|
Dentsply Intl Inc, 0.32%
|
2,323,938 | 1.92 | % | ||||||||
5,600,000 |
1/5/2011
|
Dexia Delaware LLC Disc Note, 0.34%
|
5,599,630 | 4.63 | % | ||||||||
5,600,000 |
1/7/2011
|
Nissan Mtr Accp CP Disc note, 0.21%
|
5,599,079 | 4.63 | % | ||||||||
1,902,000 |
1/3/2011
|
Pacificorp Disc Note, 0.30%
|
1,901,952 | 1.57 | % | ||||||||
2,220,000 |
1/12/2011
|
Philip Morris Intl Inc Disc Note, 0.21%
|
2,219,650 | 1.84 | % | ||||||||
5,600,000 |
1/5/2011
|
Prudential Funding Corp Disc Note, 0.30%
|
5,599,673 | 4.63 | % | ||||||||
23,000 |
1/3/2011
|
Societe Generale North America Inc Disc, 0.10%
|
23,000 | 0.02 | % | ||||||||
2,800,000 |
1/12/2011
|
Societe Generale North America Inc Disc, 0.27%
|
2,799,711 | 2.32 | % | ||||||||
2,410,000 |
1/3/2011
|
Spectra Energy Captl Disc Note, 0.38%
|
2,409,827 | 1.99 | % | ||||||||
3,000,000 |
1/5/2011
|
Spectra Energy Captl Disc Note, 0.35%
|
2,999,796 | 2.48 | % | ||||||||
800,000 |
1/11/2011
|
Svenska Handlsbn S Bank Disc Note, 0.24%
|
799,845 | 0.66 | % | ||||||||
Total Corporate Notes and Repurchase Agreements (cost - $59,200,673)
|
59,200,673 | 48.97 | % | ||||||||||
Total Investment Securities (cost - $115,456,903)
|
$ | 115,425,545 | 95.50 | % |
See accompanying notes
4
ALTEGRIS QIM FUTURES FUND, L.P.
|
CONDENSED SCHEDULE OF INVESTMENTS (continued)
|
DECEMBER 31, 2010 (Audited)
|
_______________
|
Range of
Expiration Dates
|
Number of Contracts
|
Value
|
% of Partners Capital
|
||||||||||
Long Futures Contracts:
|
|||||||||||||
Agriculture
|
Mar-11
|
4 | $ | 20,269 | 0.02 | % | |||||||
Currencies
|
Mar-11
|
338 | 726,140 | 0.60 | % | ||||||||
Energy
|
Feb-11
|
113 | 291,558 | 0.24 | % | ||||||||
Interest Rates
|
Mar 11 - Jun 11
|
174 | 186,254 | 0.15 | % | ||||||||
Stock Indices
|
Jan 11 - Mar 11
|
210 | 4,347 | 0.00 | % | ||||||||
Treasury Rates
|
Mar-11
|
243 | 242,433 | 0.20 | % | ||||||||
Total Long Futures Contracts
|
1,082 | 1,471,001 | 1.21 | % | |||||||||
Short Futures Contracts:
|
|||||||||||||
Agriculture
|
Feb 11 - Mar 11
|
147 | (272,128 | ) | (0.23 | )% | |||||||
Currencies
|
Mar-11
|
37 | (70,338 | ) | (0.06 | )% | |||||||
Energy
|
Jan-11
|
5 | (17,784 | ) | (0.01 | )% | |||||||
Interest Rates
|
Mar-11
|
68 | (9,665 | ) | (0.01 | )% | |||||||
Metals
|
Feb 11 - Mar 11
|
56 | (476,603 | ) | (0.39 | )% | |||||||
Stock Indices
|
Mar-11
|
146 | 18,347 | 0.02 | % | ||||||||
Treasury Rates
|
Mar-11
|
13 | (8,313 | ) | (0.01 | )% | |||||||
Total Short Futures Contracts
|
472 | (836,484 | ) | (0.69 | )% | ||||||||
Total Futures Contracts
|
1,554 | $ | 634,517 | 0.52 | % |
See accompanying notes
5
ALTEGRIS QIM FUTURES FUND, L.P.
|
STATEMENTS OF OPERATIONS
|
FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2011 AND 2010 (Unaudited)
|
_______________
|
Three Months Ended
|
Six Months Ended
|
|||||||||||||||
June 30,
|
June 30,
|
|||||||||||||||
2011
|
2010
|
2011
|
2010
|
|||||||||||||
TRADING (LOSSES)
|
||||||||||||||||
Gain (loss) on trading of commodity futures
|
||||||||||||||||
Realized
|
$ | (5,737,906 | ) | $ | 50,706 | $ | (6,511,599 | ) | $ | (1,785,607 | ) | |||||
Change in unrealized
|
(2,894,529 | ) | (488,715 | ) | (485,605 | ) | (721,961 | ) | ||||||||
Brokerage commissions
|
(492,842 | ) | (251,025 | ) | (1,006,229 | ) | (407,102 | ) | ||||||||
Loss from trading futures
|
(9,125,277 | ) | (689,034 | ) | (8,003,433 | ) | (2,914,670 | ) | ||||||||
Gain (loss) on trading of securities
|
||||||||||||||||
Realized
|
28,696 | 1,127 | 56,058 | 1,127 | ||||||||||||
Change in unrealized
|
107,760 | 82,373 | 63,745 | 73,839 | ||||||||||||
Gain from trading securities
|
136,456 | 83,500 | 119,803 | 74,966 | ||||||||||||
Foreign currency losses
|
(5,933 | ) | (8,749 | ) | (23,719 | ) | (12,132 | ) | ||||||||
Total trading (losses)
|
(8,994,754 | ) | (614,283 | ) | (7,907,349 | ) | (2,851,836 | ) | ||||||||
NET INVESTMENT INCOME (LOSS)
|
||||||||||||||||
Income
|
||||||||||||||||
Interest income
|
78,440 | 106,542 | 178,670 | 154,580 | ||||||||||||
Expenses
|
||||||||||||||||
Management fee (Note 2)
|
377,599 | 188,762 | 747,479 | 305,181 | ||||||||||||
Service fees (Note 2)
|
262,795 | 142,390 | 531,653 | 247,303 | ||||||||||||
Incentive fees
|
0 | 4,041 | 131,720 | 4,041 | ||||||||||||
Professional fees
|
126,927 | 95,971 | 234,703 | 158,303 | ||||||||||||
Administrative fee (Note 2)
|
87,305 | 43,887 | 174,120 | 71,196 | ||||||||||||
Organization and initial offering expenses
|
3,200 | 0 | 6,400 | 0 | ||||||||||||
Other expenses
|
28,538 | 0 | 36,805 | 0 | ||||||||||||
Total expenses before operating expense cap
|
886,364 | 475,051 | 1,862,880 | 786,024 | ||||||||||||
Expenses exceeding operating expense cap (Note 2)
|
0 | (23,612 | ) | 0 | (39,582 | ) | ||||||||||
Net expenses
|
886,364 | 451,439 | 1,862,880 | 746,442 | ||||||||||||
Net investment loss
|
(807,924 | ) | (344,897 | ) | (1,684,210 | ) | (591,862 | ) | ||||||||
NET (LOSS)
|
$ | (9,802,678 | ) | $ | (959,180 | ) | $ | (9,591,559 | ) | $ | (3,443,698 | ) |
See accompanying notes
6
ALTEGRIS QIM FUTURES FUND, L.P.
|
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
|
FOR THE SIX MONTHS ENDED JUNE 30, 2011 AND 2010 (Unaudited)
|
_______________
|
Limited Partners
|
||||||||||||||||||||||||
Institutional
|
Special
|
General
|
||||||||||||||||||||||
Total
|
Class A
|
Class B
|
Interests
|
Interests
|
Partner
|
|||||||||||||||||||
Balances at December 31, 2010
|
$ | 120,863,896 | $ | 50,915,319 | $ | 48,418,588 | $ | 20,629,168 | $ | 899,957 | $ | 864 | ||||||||||||
Transfers
|
0 | (220,990 | ) | (262,792 | ) | 483,782 | 0 | 0 | ||||||||||||||||
Capital additions
|
25,999,200 | 10,115,311 | 8,453,222 | 7,430,667 | 0 | 0 | ||||||||||||||||||
Capital withdrawals
|
(13,682,531 | ) | (7,476,147 | ) | (3,928,995 | ) | (2,277,389 | ) | 0 | 0 | ||||||||||||||
Net (loss)
|
(9,591,559 | ) | (4,277,776 | ) | (3,621,821 | ) | (1,637,607 | ) | (54,288 | ) | (67 | ) | ||||||||||||
Offering costs, net of reimbursements
|
(76,434 | ) | (31,909 | ) | (30,601 | ) | (13,392 | ) | (532 | ) | 0 | |||||||||||||
Balances at June 30, 2011
|
$ | 123,512,572 | $ | 49,023,808 | $ | 49,027,601 | $ | 24,615,229 | $ | 845,137 | $ | 797 | ||||||||||||
Balances at December 31, 2009
|
$ | 23,140,192 | $ | 13,152,279 | $ | 4,824,357 | $ | 3,201,544 | $ | 1,961,078 | $ | 934 | ||||||||||||
Transfers
|
0 | 88,415 | (97,982 | ) | 9,567 | 0 | 0 | |||||||||||||||||
Capital additions
|
61,186,116 | 24,196,762 | 25,884,354 | 11,105,000 | 0 | 0 | ||||||||||||||||||
Capital withdrawals
|
(5,409,005 | ) | (3,975,128 | ) | (483,451 | ) | (876,614 | ) | (73,812 | ) | 0 | |||||||||||||
Net (loss)
|
(3,443,698 | ) | (1,864,412 | ) | (979,466 | ) | (467,322 | ) | (132,419 | ) | (79 | ) | ||||||||||||
Offering costs, net of reimbursements
|
(15,068 | ) | (6,756 | ) | (5,340 | ) | (2,534 | ) | (438 | ) | 0 | |||||||||||||
Balances at June 30, 2010
|
$ | 75,458,537 | $ | 31,591,160 | $ | 29,142,472 | $ | 12,969,641 | $ | 1,754,409 | $ | 855 |
See accompanying notes
7
ALTEGRIS QIM FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
_______________
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
General Description of the Partnership
Altegris QIM Futures Fund, L.P. (“Partnership”) (formerly APM – QIM Futures Fund, L.P.) was organized as a Delaware limited partnership in June 2009 and commenced operations on October 1, 2009. The Partnership’s general partner is Altegris Portfolio Management, Inc. (d/b/a Altegris Funds) (“General Partner”). The Partnership speculatively trades commodity futures contracts, and may trade options on futures contracts, forward contracts and other commodity interests. The objective of the Partnership’s business is appreciation of its assets. It is subject to the regulations of the Commodity Futures Trading Commission (the “CFTC”), an agency of the United States (“U.S.”) Government which regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of commodity exchanges and futures commission merchants (brokers) through which the Partnership trades.
Method of Reporting
The Partnership follows accounting standards set by the Financial Accounting Standards Board, commonly referred to as the “FASB.” The FASB sets generally accepted accounting principles (“GAAP”) that the Partnership follows to ensure consistent reporting of the Partnership’s financial condition, results of operations, and changes in partners’ capital. References to GAAP issued by the FASB in these footnotes are to the FASB Accounting Standards Codification referred to as “ASC.” The FASB finalized the ASC effective for periods ending on or after September 15, 2009.
The Partnership’s financial statements are presented in accordance with accounting principles generally accepted in the United States of America, which require the use of certain estimates made by the Partnership’s management. Actual results could differ from those estimates.
Pursuant to the Cash Flows Topic of the ASC, the Partnership qualifies for an exemption from the requirement to provide a statement of cash flows and has elected not to provide a statement of cash flows.
The accompanying unaudited condensed financial statements have been prepared in accordance with Rule 10-01 of Regulation S-X promulgated by the U.S. Securities and Exchange Commission (the “SEC”) and, therefore, do not include all information and footnote disclosure required under U.S. GAAP. The financial information included herein is unaudited, however, such financial information reflects all adjustments which are, in the opinion of management, necessary for the fair presentation of the financial statements for the interim period.
Cash and Cash Equivalents
Cash and cash equivalents includes cash and other highly liquid investments with financial institutions with original maturity dates of 90 days or less.
Basis of Accounting
Security transactions are recorded on the trade date. Realized gains and losses from security transactions are determined using the identified cost method. Any change in net unrealized gain or loss from the preceding period is reported in the statement of operations. Brokerage commissions and other trading fees are reflected as adjustments to cost or proceeds at the time of the transaction. Interest income is recorded on the accrual basis.
Gains or losses on futures contracts and options on futures contracts are realized when contracts are liquidated. Net unrealized gains or losses on open contracts (the difference between contract trade price and quoted market price) are reflected in the statement of financial condition. Any change in net unrealized gain or loss from the preceding period is reported in the statement of operations. Brokerage commissions on futures and options on futures contracts include other trading fees and are charged to expense when contracts are opened.
8
ALTEGRIS QIM FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
Fair Value
The Partnership values its investments in accordance with Accounting Standards Codification 820 – Fair Value Measurements (“ASC 820”). Under ASC 820, fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e., the “exit price”) in an orderly transaction between market participants at the measurement date.
In determining fair value, the Partnership uses various valuation approaches. ASC 820 establishes a fair value hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Partnership.
Unobservable inputs reflect the Partnership’s assumption about the inputs market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The fair value hierarchy is categorized into three levels based on the inputs as follows:
Level 1 - Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that the Partnership has the ability to access. Valuation adjustments and blockage discounts are not applied to Level 1 assets and liabilities. Because valuations are based on quoted prices that are readily and regularly available in an active market, valuation of these assets and liabilities does not entail a significant degree of judgment.
Level 2 - Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3 - Valuations based on inputs that are unobservable and significant to the overall fair value measurement.
The availability of valuation techniques and observable inputs can vary among assets and liabilities and is affected by a wide variety of factors, including the type of asset or liability, whether the asset or liability is new and not yet established in the marketplace, and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Those estimated values do not necessarily represent the amounts that may be ultimately realized due to the occurrence of future circumstances that cannot be reasonably determined. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the asset or liability existed. Accordingly, the degree of judgment exercised by the Partnership in determining fair value is greatest for assets and liabilities categorized in Level 3. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined by the lowest level input that is significant to the fair value measurement.
Fair value is a market-based measure considered from the perspective of a market participant rather than an entity-specific measure. Therefore, even when market assumptions are not readily available, the Partnership’s own assumptions are set to reflect those that market participants would use in pricing the asset or liability at the measurement date. The Partnership uses prices and inputs that are current as of the measurement date, including during periods of market dislocation. In periods of market dislocation, the observability of prices and inputs may be reduced for many assets and liabilities. This condition could cause an asset or liability to be reclassified to a lower level within the fair value hierarchy.
9
ALTEGRIS QIM FUTURES FUND, L.P
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
Fair Value (continued)
The Partnership values futures and options on futures contracts at the closing price of the contract’s primary exchange. The Partnership includes futures and options on futures contracts in Level 1 of the fair value hierarchy.
The fair value of U.S. Government agency bonds and notes is generally based on quoted prices in active markets. When quoted prices are not available, fair value is determined based on a valuation model that uses inputs that include interest-rate yield curves, cross-currency-basis index spreads, and country credit spreads similar to the bond in terms of issue, maturity and seniority. U.S. Government agency bonds and notes are generally categorized in Levels 1 or 2 of the fair value hierarchy.
The fair value of corporate notes is estimated using recently executed transactions, market price quotations (where observable), bond spreads or credit default swap spreads. The spread data used are for the same maturity as of the note. If the spread data does not reference the issuer, then data that references a comparable issuer is used. When observable price quotations are not available, fair value is determined based on cash flow models with yield curves, note, or single-name credit default swap spreads and recovery rates based on collateral values as key inputs. These valuation methods represent both a market and income approach to fair value measurement. Corporate notes are generally categorized in Level 2 of the fair value hierarchy. In instances where significant inputs are unobservable, they are categorized in Level 3 of the hierarchy.
The industry classifications included in the condensed schedule of investments represent the General Partner’s belief as to the most meaningful presentation of the classification of the Partnership’s investments.
10
ALTEGRIS QIM FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
Fair Value (continued)
The following table presents information about the Partnership’s assets and liabilities measured at fair value as of June 30, 2011 and December 31, 2010:
June 30, 2011
|
Quoted Prices in
Active Markets
for Identical Assets
(Level 1)
|
Significant
Other Observable Inputs
(Level 2)
|
Significant Unobservable
Inputs
(Level 3)
|
Balance as of
June 30, 2011
|
||||||||||||
Assets
|
||||||||||||||||
Futures Contracts
|
$ | 148,912 | $ | – | $ | – | $ | 148,912 | ||||||||
U.S. Government agency bonds and notes
|
77,671,923 | – | – | 71,671,923 | ||||||||||||
Corporate notes
|
– | 39,395,575 | – | 39,395,575 | ||||||||||||
Total Assets
|
$ | 77,820,835 | $ | 39,395,575 | $ | – | $ | 117,216,410 |
December 31, 2010
|
Quoted Prices in
Active Markets
for Identical Assets
(Level 1)
|
Significant
Other Observable
Inputs
(Level 2)
|
Significant Unobservable
Inputs
(Level 3)
|
Balance as of
December 31, 2010
|
||||||||||||
Assets
|
||||||||||||||||
Futures Contracts
|
$ | 634,517 | $ | – | $ | – | $ | 634,517 | ||||||||
U.S. Government agency bonds and notes
|
56,224,872 | – | – | 56,224,872 | ||||||||||||
Corporate notes
|
– | 59,200,673 | – | 59,200,673 | ||||||||||||
Total Assets
|
$ | 56,859,389 | $ | 59,200,673 | $ | – | $ | 116,060,062 |
11
ALTEGRIS QIM FUTURES FUND, L.P
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
Foreign Currency Transactions
The Partnership’s functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the statement of financial condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income currently.
Capital Accounts and Allocation of Income and Losses
The Partnership accounts for subscriptions, allocations and redemptions on a per partner capital account basis.
The Partnership consists of the General Partner’s Interest, Special Interests, Class A Interests, Class B Interests and Institutional Interests (collectively referred to as “Interests”). Income or loss (prior to management fees, administrative fees, service fees and incentive fees) are allocated pro rata among the partners based on their respective capital accounts as of the end of each month in which the items accrue pursuant to the terms of the Partnership’s agreement of limited partnership, as may be amended and restated from time to time (the “Agreement”). Special Interests, Class A Interests, Class B Interests and Institutional Interests are then charged with their applicable management fee, administrative fee, service fee and incentive fee in accordance with the Agreement. Class A Interests, Class B Interests and Institutional Interests were first issued by the Partnership on October 1, 2009.
Income Taxes
The Partnership is not subject to federal income taxes; each partner reports its allocable share of income, gain, loss, deductions or credits on its own income tax return.
The Partnership classifies interest and penalties, if any, as interest expense. The Partnership files U.S. federal and state tax returns. The 2010 and 2009 tax years remain subject to examination by U.S. federal and most state tax authorities.
The Partnership applies the provisions of Codification Topics 740, Income Taxes; and 835, Interest, which prescribes the minimum recognition threshold a tax position must meet in connection with accounting for uncertainties in income tax positions taken or expected to be taken by an entity before being measured and recognized in the financial statements. This accounting standard requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s financial statements to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions with respect to tax at the Partnership level not deemed to meet the “more-likely-than-not” threshold would be recorded as an expense in the current year. The General Partner has concluded there is no tax expense or interest expense related to uncertainties in income tax positions for the periods ended June 30, 2011 and December 31, 2010.
Organization Costs
The General Partner has incurred all expenses in connection with the initial organization of the Partnership, totaling approximately $64,000. The General Partner bills the Partnership in monthly installments for such expenses over a sixty month period beginning in the thirteenth month after the Partnership commenced operations. If the Partnership were to cease operations prior to the end of the sixty month period, the Partnership would not be obligated to pay the General Partner for the unbilled costs.
12
ALTEGRIS QIM FUTURES FUND, L.P
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
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 to partners’ capital as incurred.
Financial Derivative Instruments
The Partnership engages in the speculative trading of futures contracts for the purpose of achieving capital appreciation. None of the Partnership’s derivative instruments are designated as hedging instruments, as defined in the Derivatives and Hedging Topic of the ASC, nor are they used for other risk management purposes. The Advisor and General Partner actively assess, manage and monitor risk exposure on derivatives on a contract basis, a sector basis (e.g., interest rate derivatives, agricultural derivatives, etc.), and on an overall basis in accordance with established risk parameters. Due to the speculative nature of the Partnership’s derivative trading activity, the Partnership is subject to the risk of substantial losses from derivatives trading.
The following presents the fair value of derivative contracts at June 30, 2011 and December 31, 2010. The fair value of derivative contracts is presented as an asset if in a gain position and a liability if in a loss position. Fair value is presented on a gross basis in the table below even though the derivative contracts qualify for net presentation in the statement of financial condition.
June 30, 2011 | ||||||||||||
Asset
Derivatives
Fair Value
|
Liability
Derivatives
Fair Value
|
Net
Fair Value
|
||||||||||
Futures Contacts
|
$ | 459,347 | $ | (310,435 | ) | $ | 148,912 |
December 31, 2010 | ||||||||||||
Asset
Derivatives
Fair Value
|
Liability
Derivatives
Fair Value
|
Net
Fair Value
|
||||||||||
Futures Contracts
|
$ | 1,623,156 | $ | (988,639 | ) | $ | 634,517 |
The following presents the trading results of the Partnership’s derivative trading and information related to the volume of the Partnership’s derivative activity for the three and six months ended June 30, 2011 and 2010.
13
ALTEGRIS QIM FUTURES FUND, L.P
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
Financial Derivative Instruments (continued)
The below captions of “Realized” and “Change in Unrealized” correspond to the captions in the statement of operations.
Three Months Ended June 30, 2011
|
||||||||||||
Realized
|
Change in Unrealized
|
Number of Contracts Closed
|
||||||||||
Futures Contracts
|
$ | (5,737,906 | ) | $ | (2,894,529 | ) | 32,719 |
Six Months Ended June 30, 2011
|
||||||||||||
Realized
|
Change in Unrealized
|
Number of Contracts Closed
|
||||||||||
Futures Contracts
|
$ | (6,511,599 | ) | $ | (485,605 | ) | 72,638 |
Three Months Ended June 30, 2010
|
||||||||||||
Realized
|
Change in Unrealized
|
Number of Contracts Closed
|
||||||||||
Futures Contracts
|
$ | 50,706 | $ | (488,715 | ) | 15,136 |
Six Months Ended June 30, 2010
|
||||||||||||
Realized
|
Change in Unrealized
|
Number of Contracts Closed
|
||||||||||
Futures Contracts
|
$ | (1,785,607 | ) | $ | (721,961 | ) | 24,594 |
The number of contracts closed for futures contracts represents the number of contracts closed during the three and six months ended June 30, 2011 and 2010.
14
ALTEGRIS QIM FUTURES FUND, L.P
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
NOTE 2 - AGREEMENTS AND RELATED PARTIES
Advisory Contract
The Partnership’s trading activities are conducted pursuant to an advisory contract with Quantitative Investment Management LLC (QIM) (“Advisor”). The Partnership pays the Advisor a quarterly incentive fee of 30% of the trading profits (as defined). However, the quarterly incentive fee is payable only on cumulative profits, calculated separately for each partner’s interest, achieved from commodity trading (as defined).
Brokerage Agreements
Newedge USA, LLC is the Partnership’s commodity broker (the “Clearing Broker”), pursuant to the terms of a brokerage agreement. The Partnership pays brokerage commissions to the Clearing Broker for clearing trades on its behalf.
General Partner Management Fee
The General Partner receives from the Partnership a monthly management fee equal to 0.104% (1.25% annually) for Class A and Class B Interests, 0.0625% (0.75% annually) for Institutional Interests, and currently 0.0208% (0.25% annually) for Special Interests of the Partnership’s management fee net asset value (as defined). The General Partner may declare any limited partner of the Partnership (each, a “Limited Partner” and collectively the “Limited Partners”) a “Special Limited Partner” and the management fees or incentive fees charged to any such partner may be different than those charged to other Limited Partners.
Total management fees earned by the General Partner for the six months ended June 30, 2011 and 2010 were $747,479 and $305,181, respectively. Such management fees for the three months ended June 30, 2011 and 2010 were $377,599 and $188,762, respectively. Management fees payable to the General Partner as of June 30, 2011 and December 31, 2010 were $122,357 and $115,629, respectively.
Administrative Fee
The General Partner receives from the Partnership a monthly administrative fee equal to 0.0275% (0.33% annually) of the Partnership’s management fee net asset value (as defined) attributable to Class A and Class B Interests.
Operating Expenses
During the first twelve months after the Partnership commenced trading, the General Partner limited the operating expenses paid by the Partnership (excluding the fixed administrative fee paid by Class A and B Interests) to 0.50% of the average month-end capital account balances of all Interests for such twelve month period (the Operating Expense Cap). Expenses of $142,556 exceeding the Operating Expense Cap were borne by the General Partner and are reflected in the statements of financial condition as receivable from the General Partner at December 31, 2010.
Service Fees
Class A Interests pay selling agents an ongoing payment of 0.166% of the month-end net asset value (2% annually) of the value of Interests sold by them which are outstanding at month end as compensation for their continuing services to such Class A Limited Partners.
Institutional Interests may pay selling agents, if the selling agent so elects, an ongoing payment of 0.0417% (0.50% annually) of the value of Institutional Interests sold by them which are outstanding at month end as compensation for their continuing services to such Limited Partners holding Institutional Interests.
15
ALTEGRIS QIM FUTURES FUND, L.P
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
NOTE 2 - AGREEMENTS AND RELATED PARTIES (CONTINUED)
Related Party
Altegris Investments, Inc. (“Altegris Investments”), an affiliate of the General Partner, is registered as a broker-dealer with the Securities and Exchange Commission. Beginning January 1, 2011, Altegris Futures, L.L.C. (“Altegris Futures”), an affiliate of the General Partner and an introducing broker registered with the CFTC, became the Partnership’s introducing broker. Prior to January 1, 2011, Altegris Investments served as the Partnership’s introducing broker. Altegris Investments has entered into a selling agreement with the Partnership whereby it receives 2% per annum as continuing compensation for Class A Interests sold by Altegris Investments that are outstanding at month end. Altegris Futures, as the Partnership’s introducing broker, receives a portion of the commodity brokerage commissions paid by the Partnership to the Clearing Broker and interest income retained by the Clearing Broker. For the six months ended June 30, 2011 commissions and interest income received by Altegris Futures and continuing compensation received by Altegris Investments amounted to $929,574 and for the six months ended June 30, 2010, commissions, interest income and continuing compensation received by Altegris Investments amounted to $449,157. For the three months ended June 30, 2011 commissions and interest income received by Altegris Futures and continuing compensation received by Altegris Investments amounted to $478,250 and for the three months ended June 30, 2010, commissions, interest income and continuing compensation received by Altegris Investments amounted to $268,770.
The Partnership pays to its clearing brokers and Altegris Futures, at a minimum, brokerage charges at a monthly flat rate of 0.125% (1.5% annually) of the Partnership’s management fee net asset value (as defined). Brokerage charges may exceed the flat rate described above, depending on commission and trading volume levels, which may vary.
Subscriptions, Distributions and Redemptions
Investments in the Partnership are made by subscription agreement, subject to acceptance by the General Partner.
The Partnership is not required to make distributions, but may do so at the sole discretion of the General Partner. A Limited Partner may request and receive redemption of capital, subject to restrictions set forth in the Agreement. The General Partner may request and receive redemption of capital, subject to the same terms as any Limited Partner.
NOTE 3 - FINANCIAL INSTRUMENTS, OFF-BALANCE SHEET RISKS AND UNCERTAINTIES
The Partnership participates in the speculative trading of commodity futures contracts, substantially all of which are subject to margin requirements. The minimum amount of margin required for each contract is set from time to time in response to various market factors by the respective exchanges. Further, the Clearing Broker has the right to require margin in excess of the minimum exchange requirement. Risk arises from changes in the value of these contracts (market risk) and the potential inability of brokers to perform under the terms of their contracts (credit risk).
All of the contracts currently traded by the Partnership are exchange traded. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over-the-counter transactions because, in over-the-counter transactions, the Partnership must rely solely on the credit of its respective individual counterparties. However if, in the future, the Partnership were to enter into non-exchange traded contracts, it would be subject to the credit risk associated with counterparty non-performance. The credit risk from counterparty non-performance associated with such instruments is the net unrealized gain, if any.
The Partnership also has credit risk because the sole counterparty to all domestic futures contracts is the exchange clearing corporation. In addition, the Partnership bears the risk of financial failure by the Clearing Broker.
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.
16
ALTEGRIS QIM FUTURES FUND, L.P
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
NOTE 3 - FINANCIAL INSTRUMENTS, OFF-BALANCE SHEET RISKS AND UNCERTAINTIES (CONTINUED)
Effective as of June 10, 2011 JPMorgan Chase Bank, N.A. (“Custodian”) replaced Wilmington Trust Company as the Partnership’s custodian. The Partnership has cash deposited with the Custodian. For cash not held with the Clearing Broker, the Partnership receives cash management services from an affiliate of the Custodian, J.P. Morgan Investment Management Inc. (“JPMIM”). The Partnership has a substantial portion of its assets on deposit with the Custodian in U.S. Government agency bonds and notes and corporate notes. Risks arise from investments in bonds and notes due to possible illiquidity and the potential for default by the issuer or counterparty. Such instruments are also sensitive to changes in interest rates and economic conditions.
NOTE 4 - INDEMNIFICATIONS
In the normal course of business, the Partnership enters into contracts and agreements that contain a variety of representations and warranties and which provide general indemnifications. The Partnership’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Partnership that have not yet occurred. The Partnership expects the risk of any future obligation under these indemnifications to be remote.
NOTE 5 - SUBSEQUENT EVENTS
Management of the Partnership evaluated subsequent events through the date these financial statements were available to be issued. There are no subsequent events to disclose.
NOTE 6 - NEW ACCOUNTING PRONOUNCEMENT
In May 2011, the FASB issued Accounting Standards Update (“ASU”) No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards (“IFRS”)”. ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRS. ASU 2011-04 will require reporting entities to disclose the following information for fair value measurements categorized within Level 3 of the fair value hierarchy: quantitative information about the unobservable inputs used in the fair value measurement, the valuation processes used by the reporting entity, and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU 2011-04 and its impact on the financial statements.
17
ALTEGRIS QIM FUTURES FUND, L.P
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
NOTE 7 - FINANCIAL HIGHLIGHTS
The following information presents the financial highlights of the Partnership for the three and six months ended June 30, 2011 and 2010. This information has been derived from information presented in the financial statements.
Three months ended June 30, 2011
|
||||||||||||||||
Institutional
|
Special
|
|||||||||||||||
Class A
|
Class B
|
Interest
|
Interests
|
|||||||||||||
Total return for Limited Partners
|
||||||||||||||||
Total return prior to incentive fees (4)
|
(7.58 | %) | (7.12 | %) | (6.92 | %) | (6.80 | %) | ||||||||
Incentive fees (4)
|
0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||
Total return after incentive fees (4)
|
(7.58 | %) | (7.12 | %) | (6.92 | %) | (6.80 | %) | ||||||||
Ratio to average net asset value
|
||||||||||||||||
Expenses prior to incentive fees (1) (3)
|
4.28 | % | 2.21 | % | 1.38 | % | 0.82 | % | ||||||||
Incentive fees (4)
|
0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||
Total expenses
|
4.28 | % | 2.21 | % | 1.38 | % | 0.82 | % | ||||||||
Net investment loss (1) (2) (3)
|
(4.03 | %) | (1.96 | %) | (1.13 | %) | (0.58 | %) |
Six months ended June 30, 2011
|
||||||||||||||||
Institutional
|
Special
|
|||||||||||||||
Class A
|
Class B
|
Interest
|
Interests
|
|||||||||||||
Total return for Limited Partners
|
||||||||||||||||
Total return prior to incentive fees (4)
|
(7.65 | %) | (6.72 | %) | (6.33 | %) | (6.09 | %) | ||||||||
Incentive fees (4)
|
(0.09 | %) | (0.10 | %) | (0.14 | %) | 0.00 | % | ||||||||
Total return after incentive fees (4)
|
(7.74 | %) | (6.82 | %) | (6.47 | %) | (6.09 | %) | ||||||||
Ratio to average net asset value
|
||||||||||||||||
Expenses prior to incentive fees (1) (3)
|
4.27 | % | 2.19 | % | 1.35 | % | 0.80 | % | ||||||||
Incentive fees (4)
|
0.09 | % | 0.11 | % | 0.14 | % | 0.00 | % | ||||||||
Total expenses
|
4.36 | % | 2.30 | % | 1.49 | % | 0.80 | % | ||||||||
Net investment loss (1) (2) (3)
|
(3.98 | %) | (1.91 | %) | (1.07 | %) | (0.52 | %) |
18
ALTEGRIS QIM FUTURES FUND, L.P
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
NOTE 7 - FINANCIAL HIGHLIGHTS (CONTINUED)
Three months ended June 30, 2010
|
||||||||||||||||
Institutional
|
Special
|
|||||||||||||||
Class A
|
Class B
|
Interest
|
Interests
|
|||||||||||||
Total return for Limited Partners
|
||||||||||||||||
Total return prior to incentive fees (4)
|
(1.80 | %) | (1.31 | %) | (1.11 | %) | (0.95 | %) | ||||||||
Incentive fees (4)
|
(0.01 | %) | (0.01 | %) | 0.00 | % | 0.00 | % | ||||||||
Total return after incentive fees (4)
|
(1.81 | %) | (1.32 | %) | (1.11 | %) | (0.95 | %) | ||||||||
Ratio to average net asset value
|
||||||||||||||||
Expenses prior to incentive fees (1) (3)
|
4.07 | % | 2.08 | % | 1.25 | % | 0.62 | % | ||||||||
Incentive fees (4)
|
0.01 | % | 0.01 | % | 0.01 | % | 0.00 | % | ||||||||
Total expenses (5)
|
4.08 | % | 2.09 | % | 1.26 | % | 0.62 | % | ||||||||
Net investment loss (1) (2) (3)
|
(3.43 | %) | (1.44 | %) | (0.61 | %) | 0.02 | % |
Six months ended June 30, 2010
|
||||||||||||||||
Institutional
|
Special
|
|||||||||||||||
Class A
|
Class B
|
Interest
|
Interests
|
|||||||||||||
Total return for Limited Partners
|
||||||||||||||||
Total return prior to incentive fees (4)
|
(8.42 | %) | (7.50 | %) | (7.11 | %) | (6.81 | %) | ||||||||
Incentive fees (4)
|
0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||
Total return after incentive fees (4)
|
(8.42 | %) | (7.50 | %) | (7.11 | %) | (6.81 | %) | ||||||||
Ratio to average net asset value
|
||||||||||||||||
Expenses prior to incentive fees (1) (3)
|
4.05 | % | 2.08 | % | 1.25 | % | 0.61 | % | ||||||||
Incentive fees (4)
|
0.01 | % | 0.01 | % | 0.01 | % | 0.00 | % | ||||||||
Total expenses (5)
|
4.06 | % | 2.09 | % | 1.26 | % | 0.61 | % | ||||||||
Net investment loss (1) (2) (3)
|
(3.48 | %) | (1.50 | %) | (0.68 | %) | (0.07 | %) |
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.
19
(1)
|
Includes offering costs, if any.
|
(2)
|
Excludes incentive fee.
|
(3)
|
Annualized.
|
(4)
|
Not annualized.
|
(5)
|
Total expenses are net of 0.17% effect (annualized) of voluntary waiver of operating expenses for all interests for the three and six months ended June 30, 2010.
|
20
PART I – FINANCIAL INFORMATION (continued)
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, 2011 the Partnership experienced no meaningful periods of illiquidity in any of the markets traded by the Advisor on behalf of the Partnership.
Capital Resources
The Partnership raises additional capital only through the sale of Interests and capital is increased through trading profits (if any) and interest income. The Partnership does not engage in borrowing.
The amount of capital raised for the Partnership should not have a significant impact on its operations, as the Partnership has no significant capital expenditure or working capital requirements other than for capital to pay trading losses, brokerage commissions and expenses. Within broad ranges of capitalization, the Partnership’s trading positions should increase or decrease in approximate proportion to the size of the Partnership.
The Partnership participates in the speculative trading of commodity futures contracts and may trade options on futures contracts and forward contracts, substantially all of which are subject to margin requirements. The minimum amount of margin required for each contract is set from time to time in response to various market factors by the respective exchanges. Further, the Partnership’s Futures Commission Merchants and brokers may require margin in excess of minimum exchange requirements.
All of the futures contracts currently traded by the Advisor on behalf of the Partnership are exchange-traded. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over-the-counter transactions because, in over-the-counter transactions, the Partnership must rely solely on the credit of its trading counterparties, whereas exchange-traded contracts are generally, but not universally, backed by the collective credit of the members of the exchange. In the future, the Partnership anticipates that it will enter into non-exchange-traded foreign currency contracts and be subject to the credit risk associated with counterparty non-performance.
The Partnership bears the risk of financial failure by the Clearing Broker and/or other clearing brokers or counterparties with which the Partnership trades.
Results of Operations
Performance Summary
The Partnership’s success depends primarily upon the Advisor’s ability to recognize and capitalize on market trends in the sectors of the global commodity futures markets in which it trades. The Partnership intends 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.
21
Results of Operations
Due to the nature of the Partnership’s trading, the results of operations for the interim period presented should not be considered indicative of the results that may be expected for the entire year.
Three Months Ended June 30, 2011
During the second quarter of 2011, the Partnership incurred net realized and unrealized losses of $8,994,754 from its trading activities, net of brokerage commissions of $492,842. The Partnership accrued net expenses of $886,364 (before the operating expense cap), including $377,599 in management fees paid to the General Partner, $0 in incentive fees, and $389,722 in service and professional fees. The Partnership earned $78,440 in interest income during the second quarter of 2011. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the second quarter of 2011 is set forth below.
Second Quarter 2011. The Partnership experienced a loss in April 2011, as news of the severity of the Japanese nuclear crisis hurt long positions the Partnership held in futures contracts on global equities, the U.S. dollar and crude oil. The Partnership also held short positions in futures contracts in silver, as the price of silver posted its largest monthly gain in nearly 30 years, making silver the worst performing market this month. Gains in trading futures contracts in gold, the Australian dollar and European interest rates were not enough to offset losses elsewhere in the portfolio. The Partnership experienced a loss in May 2011. Long positions in futures on the U.S. dollar and short crude positions exploited weaknesses in those markets and led to modest gains. Despite these early gains, the Partnership closed the month with six consecutive down days on trading in futures contracts on foreign currencies, silver, and U.S. equities. The Partnership experienced a loss in June 2011. The Partnership suffered from its long positions in futures contracts on the S&P 500 on the worst day of the year for that index. Losses in currency trading occurred primarily in the euro and Canadian dollar. Silver trading was the program’s best performing market, with the Partnership holding short positions as the price of silver fell during the month. The Partnership traded well in futures contracts on U.S. and European bonds boosting returns in interest rates, however performance overall was negative at month end.
Three Months Ended June 30, 2010
During the second quarter of 2010, the Partnership incurred net realized and unrealized losses of $614,283 from its trading activities, net of brokerage commissions of $251,025. The Partnership accrued net expenses of $451,439, including $188,762 in management fees paid to the General Partner, $4,041 in incentive fees, and $238,361 in service and professional fees. The Partnership earned $106,542 in interest income during the second quarter of 2010. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the second quarter of 2010 is set forth below.
Second Quarter 2010. The Partnership experienced a loss in April of 2010 amid strong sell-offs in the U.S. equity markets. Short positions in futures contracts on the U.S. equity markets were profitable even though the month ended with performance down. The Partnership started the month strongly, spurred by long positions in gold, silver and copper contracts. The Partnership profited in the agricultural sector during the month, led by its trading of soybeans and sugar contracts, despite ending April negative. The Partnership experienced a loss in May of 2010. After beginning the month net short U.S. stock index futures, the Partnership spent the remainder of the month heavily tilted to the long side as the U.S. equity markets declined. The Partnership also suffered losses in Dax and yen trading despite gains in trading contracts on crude oil, the Euro and U.S. Government bonds. The Partnership achieved gains in June of 2010 with energy products driving performance during the month. A short position in crude oil futures benefitted from a decline in crude oil prices and a weaker-than-expected manufacturing report. The Partnership also held a profitable long position in natural gas futures throughout the month. Stock index futures trading generated positive returns as equity market volatilities retreated. A positive month in metals trading was primarily attributable to continued increases in the price of gold which again reached an all-time high.
22
Six Months Ended June 30, 2011
During the six months ended June 30, 2011, the Partnership incurred net realized and unrealized losses of $7,907,349 from its trading activities, net of brokerage commissions of $1,006,229. The Partnership accrued net expenses of $1,862,880, including $747,479 in management fees paid to the General Partner, $131,720 in incentive fees, and $766,356 in service and professional fees. The Partnership earned $178,670 in interest income during the six months ended June 30,2011. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the six months ended June 30,2011 is set forth below.
Second Quarter 2011. The Partnership experienced a loss in April 2011, as news of the severity of the Japanese nuclear crisis hurt long positions the Partnership held in futures contracts on global equities, the U.S. dollar and crude oil. The Partnership also held short positions in futures contracts in silver, as the price of silver posted its largest monthly gain in nearly 30 years, making silver the worst performing market this month. Gains in trading futures contracts in gold, the Australian dollar and European interest rates were not enough to offset losses elsewhere in the portfolio. The Partnership experienced a loss in May 2011. Long positions in futures on the U.S. dollar and short crude positions exploited weaknesses in those markets and led to modest gains. Despite these early gains, the Partnership closed the month with six consecutive down days on trading in futures contracts on foreign currencies, silver, and U.S. equities. The Partnership experienced a loss in June 2011. The Partnership suffered from its long positions in futures contracts on the S&P 500 on the worst day of the year for that index. Losses in currency trading occurred primarily in the euro and Canadian dollar. Silver trading was the program’s best performing market, with the Partnership holding short positions as the price of silver fell during the month. The Partnership traded well in futures contracts on U.S. and European bonds boosting returns in interest rates, however performance overall was negative at month end.
First Quarter 2011. During the first quarter of 2011, the Partnership incurred net realized and unrealized gains of $1,087,405 from its trading activities, net of brokerage commissions of $513,387. The Partnership accrued net expenses of $976,516, including $369,880 in management fees paid to the General Partner, and $376,634 in service and professional fees. The Partnership earned $100,230 in interest income during the first quarter of 2011. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the first quarter of 2011 is set forth below.
The Partnership experienced a loss in January 2011, as markets reacted strongly to political unrest in Egypt. The Partnership was well positioned to take advantage of movements in the price of futures contracts on the Euro, which secured some gains. An extended short position in futures contracts on Silver also added positively to performance. The Partnership ended the month down on difficult trading of crude oil futures at the end of the month. The Partnership achieved a gain in February 2011. Strong trading in stock index futures and U.S. interest rates drove February performance as unrest in the Middle East increased volatility in world markets. The Partnership participated on both sides of the market as volatility in the medium and long-term U.S. treasury futures helped to generate profits. Trading on currency futures was flat for the month, despite significant gains in trading futures contracts on the Euro. The Partnership experienced a loss in March 2011. The Partnership suffered losses on long positions in Japanese equities and crude oil as news of the earthquake in Japan broke. The Partnership increased its long positions in futures contracts on Japanese equities as the markets fell, and the subsequent rebound made up for the initial losses. Gains in trading futures contracts on the Euro were offset by losses in futures contracts on the U.S. Treasury markets, as the Partnership ended the month down
Six Months Ended June 30, 2010
During the six months ended June 30, 2010, the Partnership incurred net realized and unrealized losses of $2,851,836 from its trading activities, net of brokerage commissions of $407,102. The Partnership accrued net expenses of $746,442, including $305,181 in management fees paid to the General Partner, $4,041 in incentive fees, and $405,606 in service and professional fees. The Partnership earned $154,580 in interest income during the six months ended June 30, 2010. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the six months ended June 30, 2010 is set forth below.
Second Quarter 2010. The Partnership experienced a loss in April of 2010 amid strong sell-offs in the U.S. equity markets. Short positions in futures contracts on the U.S. equity markets were profitable even though the month ended with performance down. The Partnership started the month strongly, spurred by long positions in gold, silver
23
and copper contracts. The Partnership profited in the agricultural sector during the month, led by its trading of soybeans and sugar contracts, despite ending April negative. The Partnership experienced a loss in May of 2010. After beginning the month net short U.S. stock index futures, the Partnership spent the remainder of the month heavily tilted to the long side as the U.S. equity markets declined. The Partnership also suffered losses in Dax and yen trading despite gains in trading contracts on crude oil, the Euro and U.S. Government bonds. The Partnership achieved gains in June of 2010 with energy products driving performance during the month. A short position in crude oil futures benefitted from a decline in crude oil prices and a weaker-than-expected manufacturing report. The Partnership also held a profitable long position in natural gas futures throughout the month. Stock index futures trading generated positive returns as equity market volatilities retreated. A positive month in metals trading was primarily attributable to continued increases in the price of gold which again reached an all-time high.
First Quarter 2010. In January of 2010 the Partnership’s performance was down with interest rate futures trading proving to be particularly difficult. The Partnership held a strong, sector-wide, short bias during the first half of the month when prices in 11 out of 12 of the contracts traded rose substantially during the month. The Partnership also suffered significant losses in Nikkei index futures, Australian dollar, Japanese yen, silver and crude oil contracts. February saw the Partnership’s performance fall slightly during the month. The Partnership initially capitalized from its short positions as stock and commodity markets plummeted on troubling news of the Greek budget deficit, however, as the situation stabilized, the Partnership gave back those profits. Short positions in stock index futures, crude oil and the euro drove returns early in the month. Performance fell mid-month largely attributable to short positions in the metals, energies and agricultural commodities, particularly in the gold and crude oil markets. The Partnership suffered through difficult trading early in March of 2010. Performance began to stabilize during the second half of the month as the Partnership began to eke out positive returns. Strong end of month performance in Nikkei index futures combined with solid month-long performance in U.S. equities index futures allowed for the sector to be slightly profitable, despite overall negative performance for the month.
Off-Balance Sheet Arrangements
The Partnership does not engage in off-balance sheet arrangements with other entities.
Not required.
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 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
None.
Not Required.
(a) The requested information has been previously reported on Form 8-K.
(b) Not applicable.
24
(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 2011:
Month
|
Amount Redeemed
|
|||||
April 30, 2011
|
$1,134,536
|
|||||
May 31, 2011
|
$3,230,703
|
|||||
June 30, 2011
|
$3,006,999
|
(a) None.
(b) None.
(a) None.
(b) Not applicable.
Item 6: Exhibits
The following exhibits are incorporated herein by reference from the exhibit of the same number and description filed with the registrant’s Registration Statement on Form 10-12G (File No. 000-53815) filed on November 2, 2009:
Exhibit Number
|
Description of Document
|
3.1
|
Certificate of Formation of Altegris QIM Futures Fund, L.P.
|
4.1
|
Limited Partnership Agreement of Altegris QIM Futures Fund, L.P.
|
10.1
|
Agreement with Quantitative Investment Management LLC
|
10.2
|
Selling Agency Agreement between Altegris QIM Futures Fund, L.P. and Altegris Investments Inc.
|
The following exhibits are incorporated herein by reference from the exhibits of the same numbers and descriptions filed with the registrant’s Current Report on Form 8-K (File No. 000-53815) filed on August 5, 2010:
Exhibit Number
|
Description of Document
|
3.01
|
Amendment to the Certificate of Formation of APM – QIM Futures Fund, L.P., changing the registrant’s name to Altegris QIM Futures Fund, L.P.
|
3.02
|
First Amended and Restated Agreement of Limited Partnership of Altegris QIM Futures Fund, L.P.
|
The following exhibits are included herewith:
Exhibit Number
|
Description of Document
|
31.01
|
Rule 13a-14(a)/15d-14(a) Certification
|
32.01
|
Section 1350 Certification
|
25
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: August 15, 2011
ALTEGRIS QIM FUTURES FUND, L.P.
By:
|
ALTEGRIS PORTFOLIO MANAGEMENT, INC.
|
|
(d/b/a Altegris Funds), its general partner
|
/s/ Jon C. Sundt
|
|
Jon C. Sundt, President (principal executive officer and principal financial officer)
|
26