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EX-32.1 - Altegris QIM Futures Fund, L.P.fp0005764_ex312.htm
EX-31.1 - Altegris QIM Futures Fund, L.P.fp0005764_ex311.htm

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C.  20549
 

 
FORM 10-Q
 

 
[X]
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
 
For the quarterly period ended September 30, 2012
 
OR

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

Commission File Number:  000-53815
 

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

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

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

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes  [X]  No  [  ]
 
 
 

 
 
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company.  See definition of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.
  Large accelerated filer  [  ]
Accelerated filer  [  ]
Non-accelerated filer  [  ]
Smaller reporting company  [X]
 
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes  [  ] No  [X]
 
 
 

 
 
TABLE OF CONTENTS
     
   
Page
     
PART I – FINANCIAL INFORMATION
1
     
Item 1.
Financial Statements
1
     
 
Statements of Financial Condition
1
     
 
Condensed Schedules of Investments
2
     
 
Statements of Operations
6
     
 
Statements of Changes in Partners’ Capital (Net Asset Value)
7
     
 
Notes to Financial Statements
8
     
Item 2.
Management’s Discussion and Analysis of Financial Condition and Results of Operations
23
     
Item 3.
Quantitative and Qualitative Disclosures About Market Risk
26
     
Item 4.
Controls and Procedures
26
     
PART II – OTHER INFORMATION
27
     
Item 1.
Legal Proceedings
27
     
Item 1A.
Risk Factors
27
     
Item 2.
Unregistered Sales of Equity Securities and Use of Proceeds
27
     
Item 3.
Defaults Upon Senior Securities
27
     
Item 4.
Mine Safety Disclosure
27
     
Item 5.
Other Information
27
     
Item 6.
Exhibits
27
     
Signatures
29
     
Rule 13a–14(a)/15d–14(a) Certifications
30
     
Section 1350 Certifications
31
 
 
 

 
 
ALTEGRIS QIM FUTURES FUND, L.P.
 
STATEMENTS OF FINANCIAL CONDITION
 
SEPTEMBER 30, 2012 (Unaudited) and DECEMBER 31, 2011 (Audited)
 
_______________
 
         
             
   
September 30, 2012
   
December 31, 2011
 
ASSETS
           
    Equity in commodity broker account:
           
        Restricted cash
  $ 10,699,157     $ 3,834,746  
        Cash
    10,230,443       6,573,863  
        Restricted foreign currency (cost - $7,493,184 and $2,315,869)
    7,420,893       2,317,800  
                 
      28,350,493       12,726,409  
                 
    Cash
    9,939,060       5,822,859  
    Investment securities at value (cost - $107,395,507 and $112,611,968)
    107,401,359       112,613,673  
    Interest receivable
    92,622       31,136  
                 
Total assets
  $ 145,783,534     $ 131,194,077  
                 
LIABILITIES
               
    Equity in commodity broker account:
               
        Foreign currency (premium - $5,147,069 and $2,313,350)
  $ 5,097,413     $ 2,315,279  
        Unrealized loss on open commodity futures contracts
    3,233,191       1,400,793  
                 
      8,330,604       3,716,072  
                 
    Commissions payable
    24,602       77,167  
    Management fee payable
    126,115       123,145  
    Administrative fee payable
    28,303       28,226  
    Service fees payable
    89,970       85,637  
    Incentive fees payable
    7,091       712,477  
    Redemptions payable
    1,236,872       1,210,184  
    Subscriptions received in advance
    3,680,908       2,602,678  
    Other liabilities
    176,435       225,456  
                 
Total liabilities
    13,700,900       8,781,042  
                 
PARTNERS' CAPITAL (NET ASSET VALUE)
               
    General Partner
    930       864  
    Limited Partners
    132,081,704       122,412,171  
                 
Total partners' capital (Net Asset Value)
    132,082,634       122,413,035  
                 
Total liabilities and partners' capital
  $ 145,783,534     $ 131,194,077  
 
See accompanying notes.
 
 
-1-

 
 
ALTEGRIS QIM FUTURES FUND, L.P.
 
CONDENSED SCHEDULE OF INVESTMENTS
 
SEPTEMBER 30, 2012 (Unaudited)
 
_______________
 
                     
                     
INVESTMENT SECURITIES
               
Face Value
 
Maturity Date
 
 Description
 
Value
   
% of Partners Capital
 
                     
Fixed Income Investments
               
                     
Corporate Notes
                 
$ 2,600,000  
10/25/2012
 
Alpine Securitization Corp Disc Note, 0.18%
  $ 2,599,616       1.97 %
  3,200,000  
10/3/2012
 
Bank of Montreal, 0.19%
    3,200,000       2.42 %
  5,000,000  
10/1/2012
 
Bank of Nova Scotia Disc Note, 0.08%
    4,999,967       3.79 %
  2,300,000  
10/10/2012
 
BMW US Capital LLC Disc Note, 0.273%
    2,299,712       1.74 %
  2,900,000  
10/17/2012
 
Chevron Corp Disc Note, 0.17%
    2,899,734       2.20 %
  2,920,000  
10/5/2012
 
Fletcher Asset Management Corp Disc Note, 0.16%
    2,919,478       2.21 %
  2,450,000  
10/5/2012
 
Mizuho Funding LLC, 0.17%
    2,450,000       1.85 %
  2,150,000  
10/1/2012
 
Mont Blanc Capital Corp Disc Note, 0.19%
    2,149,785       1.63 %
  3,400,000  
10/3/2012
 
NetJets Corp Disc Note, 0.13%
    3,399,816       2.57 %
  3,200,000  
10/4/2012
 
Norinchukin Bank, 0.21%
    3,200,000       2.42 %
  2,350,000  
10/9/2012
 
Pfizer Inc Disc Note, 0.05%
    2,349,902       1.78 %
  2,500,000  
10/5/2012
 
Regency Markets No. 1 LLC, 0.20%
    2,499,903       1.89 %
  2,120,000  
10/1/2012
 
Shizuoka Bank, 0.21%
    2,119,985       1.61 %
  3,500,000  
10/19/2012
 
Sumitomo Trust & Banking Co Disc Note, 0.19%
    3,500,000       2.65 %
  3,400,000  
10/12/2012
 
Toronto-Dominion Holdings, 0.07%
    3,399,577       2.57 %
  3,200,000  
10/5/2012
 
Wal-Mart Stores Inc Disc Note, 0.05%
    3,199,716       2.42 %
 Total Corporate Notes (cost - $47,187,191)
    47,187,191       35.72 %
                           
U.S. Government Agency Bonds and Notes
                   
$ 1,685,000  
10/1/2012
 
Federal Farm Credit Bank Disc Note, 0.10%
    1,685,000       1.28 %
  1,700,000  
10/26/2012
 
Federal Farm Credit Bank Disc Note, 0.07%
    1,699,917       1.29 %
  1,000,000  
5/2/2013
 
Federal Farm Credit Bank, 0.75%
    1,003,102       0.76 %
  3,720,000  
10/5/2012
 
Federal Home Loan Bank Disc Note, 0.13%
    3,719,993       2.82 %
  3,200,000  
11/14/2012
 
Federal Home Loan Bank Disc Note, 0.03%
    3,199,882       2.42 %
  6,500,000  
10/25/2012
 
Federal Home Loan Bank, 0.125%
    6,499,760       4.92 %
  2,500,000  
1/10/2013
 
Federal Home Loan Bank, 0.18%
    2,500,000       1.89 %
  2,100,000  
1/29/2013
 
Federal Home Loan Bank, 0.375%
    2,101,340       1.59 %
  4,250,000  
2/8/2013
 
Federal Home Loan Bank, 0.16%
    4,249,698       3.22 %
  4,000,000  
11/19/2012
 
Federal Home Loan Mort Corp Disc Note, 0.03%
    3,999,836       3.03 %
  700,000  
10/16/2012
 
Federal National Mort Assoc Disc Note, 0.02%
    699,988       0.53 %
  3,000,000  
10/30/2012
 
Federal National Mortgage Association, 0.50%
    3,000,579       2.27 %
  3,200,000  
2/22/2013
 
Federal National Mortgage Association, 1.75%
    3,219,910       2.44 %
  500,000  
2/26/2013
 
Federal National Mortgage Association, 0.75%
    501,187       0.38 %
  3,500,000  
5/7/2013
 
Federal National Mortgage Association, 1.75%
    3,531,241       2.67 %
  4,100,000  
8/20/2013
 
Federal National Mortgage Association, 1.25%
    4,136,629       3.13 %
 Total U.S. Government Agency Bonds and Notes (cost - $45,744,219)
    45,748,062       34.64 %
                           
U.S. Treasury Obligations
                   
$ 4,700,000  
10/18/2012
 
United States Treasury Bill, 0.05%
    4,699,854       3.56 %
  2,500,000  
3/15/2013
 
United States Treasury Note, 1.375%
    2,513,867       1.90 %
  2,000,000  
4/15/2013
 
United States Treasury Note, 1.75%
    2,017,032       1.53 %
  2,000,000  
5/15/2013
 
United States Treasury Note, 1.375%
    2,015,000       1.52 %
  3,000,000  
6/15/2013
 
United States Treasury Note, 1.125%
    3,019,923       2.29 %
  200,000  
5/31/2013
 
United States Treasury Note, 0.50%
    200,430       0.15 %
 Total United States Treasury Obligations (cost - $14,464,097)
    14,466,106       10.95 %
                           
 Total Investment Securities (cost - $107,395,507)
  $ 107,401,359       81.31 %
 
See accompanying notes.
 
 
-2-

 
 
ALTEGRIS QIM FUTURES FUND, L.P.
 
CONDENSED SCHEDULE OF INVESTMENTS (continued)
 
SEPTEMBER 30, 2012 (Unaudited)
 
_______________
 
                     
 
Range of
Expiration Dates
 
Number of Contracts
   
Value
   
% of Partners Capital
 
                     
Long Futures Contracts:
                   
Agriculture
Nov 12 - Dec 12
    163     $ (108,093 )     (0.08 )%
Currencies
Dec 12
    422       (154,328 )     (0.11 )%
Energy
Nov 12
    74       110,298       0.08 %
Interest Rates
Dec 12
    331       106,455       0.08 %
Metals
Dec 12
    98       110,504       0.08 %
Stock Indices
Oct 12 - Dec 12
    4,125       (3,034,602 )     (2.30 )%
Treasury Rates
Dec 12
    561       77,268       0.06 %
                           
Total Long Futures Contracts
      5,774       (2,892,498 )     (2.19 )%
                           
Short Futures Contracts:
                         
Agriculture
Dec 12 - Mar 13
    12       586       0.00 %
Currencies
Dec 12
    119       (39,905 )     (0.03 )%
Energy
Nov 12
    9       1,029       0.00 %
Metals
Jan 13
    3       (47 )     0.00 %
Stock Indices
Oct 12
    11       6,400       0.00 %
Treasury Rates
Dec 12
    219       (308,756 )     (0.23 )%
                           
Total Short Futures Contracts
      373       (340,693 )     (0.26 )%
                           
Total Futures Contracts
      6,147     $ (3,233,191 )     (2.45 )%
 
See accompanying notes.
 
 
-3-

 
 
ALTEGRIS QIM FUTURES FUND, L.P.
 
CONDENSED SCHEDULE OF INVESTMENTS
 
DECEMBER 31, 2011 (Audited)
 
_______________
 
                     
INVESTMENT SECURITIES
               
Face Value
 
Maturity Date
 
 Description
 
Value
   
% of Partners Capital
 
                     
Fixed Income Investments
               
                     
U.S. Government Agency Bonds and Notes
               
$ 7,625,000  
1/3/2012
 
Federal Farm Credit Bank Disc Note, 0.01%
  $ 7,624,996       6.23 %
  2,130,000  
4/4/2013
 
Federal Farm Credit Bank, 0.84%
    2,132,916       1.74 %
  1,000,000  
5/2/2013
 
Federal Farm Credit Bank, 0.75%
    1,005,515       0.82 %
  1,500,000  
4/2/2012
 
Federal Home Loan Bank, 0.17%
    1,500,186       1.23 %
  500,000  
5/18/2012
 
Federal Home Loan Bank, 1.125%
    501,883       0.41 %
  1,500,000  
7/18/2012
 
Federal Home Loan Bank, 0.25%
    1,500,323       1.23 %
  2,000,000  
8/22/2012
 
Federal Home Loan Bank, 0.18%
    1,999,268       1.63 %
  5,100,000  
9/7/2012
 
Federal Home Loan Bank, 0.14%
    5,096,450       4.16 %
  5,000,000  
9/10/2012
 
Federal Home Loan Bank, 0.14%
    4,996,445       4.08 %
  2,000,000  
9/14/2012
 
Federal Home Loan Bank, 0.20%
    1,999,372       1.63 %
  3,500,000  
9/25/2012
 
Federal Home Loan Bank, 0.14%
    3,497,235       2.86 %
  6,500,000  
10/25/2012
 
Federal Home Loan Bank, 0.125%
    6,493,422       5.31 %
  4,000,000  
11/16/2012
 
Federal Home Loan Bank, 0.50%
    4,001,564       3.27 %
  500,000  
4/29/2013
 
Federal Home Loan Mortgage Corporation, 0.70%
    500,147       0.41 %
  2,350,000  
2/13/2012
 
Federal Home Loan Mort Corp Disc Note, 0.02%
    2,349,946       1.92 %
  150,000  
4/9/2012
 
Federal Home Loan Mort Corp Disc Note, 0.02%
    149,992       0.12 %
  3,000,000  
5/29/2012
 
Federal Home Loan Mort Corp Disc Note, 0.02%
    2,999,754       2.45 %
  3,800,000  
5/1/2012
 
Federal National Mort Assoc Disc Note, 0.00%
    3,799,749       3.10 %
  2,750,000  
4/20/2012
 
Federal National Mortgage Association, 1.875%
    2,764,583       2.26 %
  3,000,000  
10/30/2012
 
Federal National Mortgage Association, 0.50%
    3,004,686       2.45 %
 Total U.S. Government Agency Bonds and Notes (cost - $57,916,727)
    57,918,432       47.31 %
                           
Corporate Notes
                     
$ 1,800,000  
1/27/2012
 
Amsterdam Funding Corp Disc Note, 0.28%
    1,799,594       1.47 %
  1,100,000  
1/3/2012
 
Argento Variable Funding Corp Disc Note, 0.31%
    1,099,725       0.90 %
  500,000  
1/4/2012
 
Aspen Funding Corp Disc Note, 0.35%
    499,877       0.41 %
  3,100,000  
1/4/2012
 
Bank of Montreal Disc Note, 0.12%
    3,100,000       2.53 %
  3,000,000  
1/3/2012
 
Bank of Nova Scotia Disc Note, 0.03%
    2,999,990       2.45 %
  3,000,000  
1/4/2012
 
Bank of Tokyo-Mitsubishi UFJ Ltd Disc Note, 0.10%
    2,999,942       2.45 %
  3,250,000  
1/9/2012
 
Coca-Cola Enterprises Inc Disc Note, 0.05%
    3,249,887       2.65 %
  4,000,000  
1/11/2012
 
General Electric Capital Corp Disc Note, 0.02%
    3,999,969       3.27 %
  2,800,000  
1/13/2012
 
Google Inc Disc Note, 0.05%
    2,799,891       2.29 %
  2,500,000  
1/6/2012
 
Grampian Funding LLC Disc Note, 0.30%
    2,499,417       2.04 %
  3,500,000  
1/6/2012
 
Mizuho Funding LLC Disc Note, 0.20%
    3,499,449       2.86 %
  2,370,000  
1/13/2012
 
Mont Blanc Capital Disc Note, 0.34%
    2,369,348       1.93 %
  3,700,000  
1/13/2012
 
National Australian Bank Disc Note, 0.05%
    3,700,000       3.02 %
  350,000  
1/11/2012
 
National Bank of Canada Disc Note, 0.09%
    350,000       0.29 %
  2,150,000  
1/6/2012
 
Netjets Inc Disc Note, 0.06%
    2,149,896       1.76 %
  1,450,000  
1/13/2012
 
Norinchukin Bank Disc Note, 0.30%
    1,450,000       1.18 %
  2,230,000  
1/5/2012
 
Pfizer Inc Disc Note, 0.03%
    2,229,963       1.82 %
  2,100,000  
1/10/2012
 
Shizuoka Bank/New York Disc Note, 0.40%
    2,100,146       1.72 %
  2,800,000  
1/6/2012
 
State Street Bank & Trust Disc Note, 0.10%
    2,799,767       2.29 %
  3,400,000  
1/12/2012
 
Sumitomo Trust & Banking Co Disc Note, 0.24%
    3,399,365       2.78 %
  3,000,000  
1/6/2012
 
Tasman Funding Inc Disc Note, 0.40%
    2,999,090       2.45 %
  2,600,000  
1/23/2012
 
Toyota Motor Credit Corp Disc Note, 0.04%
    2,599,925       2.12 %
 Total Corporate Notes (cost - $54,695,241)
    54,695,241       44.68 %
                           
 Total Investment Securities (cost - $112,611,968)
  $ 112,613,673       91.99 %
 
See accompanying notes.
 
 
-4-

 
 
ALTEGRIS QIM FUTURES FUND, L.P.
 
CONDENSED SCHEDULE OF INVESTMENTS (continued)
 
DECEMBER 31, 2011 (Audited)
 
_______________
 
                     
 
Range of
Expiration Dates
 
Number of Contracts
   
Value
   
% of Partners Capital
 
                     
Long Futures Contracts:
                   
Agriculture
Feb 12 - Mar 12
    23     $ 21,603       0.02 %
Currencies
Mar 12
    53       33,197       0.03 %
Energy
Feb 12
    72       (39,902 )     (0.03 )%
Interest Rates
Mar 12 - Dec 12
    180       306,344       0.25 %
Metals
Feb 12 - Apr 12
    24       (34,134 )     (0.03 )%
Stock Indices
Mar 12
    23       4,484       0.00 %
                           
Total Long Futures Contracts
      375       291,592       0.24 %
                           
Short Futures Contracts:
                         
Agriculture
Mar 12
    132       (118,140 )     (0.10 )%
Currencies
Mar 12
    141       (52,983 )     (0.05 )%
Energy
Feb 12
    7       7,726       0.01 %
Interest Rates
Mar 12 - Dec 12
    175       (77,160 )     (0.06 )%
Metals
Mar 12
    12       (2,880 )     (0.00 )%
Stock Indices
Jan 12 - Mar 12
    288       (248,659 )     (0.20 )%
Treasury Rates
Mar 12
    1,541       (1,200,289 )     (0.98 )%
                           
Total Short Futures Contracts
      2,296       (1,692,385 )     (1.38 )%
                           
Total Futures Contracts
      2,671     $ (1,400,793 )     (1.14 )%
 
See accompanying notes.
 
 
-5-

 
 
ALTEGRIS QIM FUTURES FUND, L.P.
 
STATEMENTS OF OPERATIONS
 
FOR THE THREE MONTHS AND NINE MONTHS ENDED SEPTEMBER 30, 2012 AND 2011 (Unaudited)
 
_______________
 
                         
   
Three Months Ended
   
Nine Months Ended
 
   
September 30,
   
September 30,
 
   
2012
   
2011
   
2012
   
2011
 
TRADING GAIN (LOSS)
                       
    Gain (loss) on trading of commodity futures
                       
Realized
  $ 4,115,874     $ 8,523,299     $ 16,822,917     $ 2,011,700  
Change in unrealized
    (5,590,219 )     (919,486 )     (1,832,398 )     (1,405,091 )
Brokerage commissions
    (487,139 )     (461,303 )     (1,415,197 )     (1,467,532 )
                                 
                Gain (loss) from trading futures
    (1,961,484 )     7,142,510       13,575,322       (860,923 )
                                 
    Gain (loss) on trading of securities
                               
Realized
    12,162       14,401       39,721       70,459  
Change in unrealized
    5,731       (16,489 )     4,147       47,256  
                                 
                Gain from trading securities
    17,893       (2,088 )     43,868       117,715  
                                 
    Foreign currency gain (loss)
    15,241       2,807       16,997       (20,912 )
                                 
                Total trading gain (loss)
    (1,928,350 )     7,143,229       13,636,187       (764,120 )
                                 
NET INVESTMENT INCOME (LOSS)
                               
    Income
                               
        Interest income
    36,454       48,024       107,234       226,694  
                                 
    Expenses
                               
Management fee
    369,203       352,435       1,071,706       1,099,914  
Service fees
    261,171       254,810       776,802       786,463  
Professional fees
    111,141       109,713       324,442       344,416  
Administrative fee
    82,919       81,079       242,249       255,199  
Offering costs
    -       2,579       20,716       79,013  
Incentive fees
    7,091       125,346       4,302,850       257,066  
Organization and initial offering expenses
    3,200       3,200       9,600       9,600  
Interest expense
    4,208       -       7,673       -  
Other expenses
    17,738       41,962       102,651       78,767  
                                 
                Total expenses
    856,671       971,124       6,858,689       2,910,438  
                                 
                Net investment loss
    (820,217 )     (923,100 )     (6,751,455 )     (2,683,744 )
                                 
                                 
                NET INCOME (LOSS)
  $ (2,748,567 )   $ 6,220,129     $ 6,884,732     $ (3,447,864 )
 
See accompanying notes.
 
 
-6-

 
 
ALTEGRIS QIM FUTURES FUND, L.P.
 
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
 
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2012 AND 2011 (Unaudited)
 
_______________
 
                                           
         
Limited Partners
       
                                           
                         
 
     
 
       
                         
Institutional
     
Special
   
General
 
   
Total
   
Class A
     
Class B
     
Interests
     
Interests
   
Partner
 
                                           
Balances at December 31, 2011
  $ 122,413,035     $ 50,364,450       $ 47,125,361       $ 24,922,360       $ -     $ 864  
                                                       
Transfers
    -       (1,576,592 ) #     1,556,577   #     20,015   #     -       -  
                                                       
Capital additions
    24,097,015       10,189,015         8,640,767         5,267,233         -       -  
                                                       
Capital withdrawals
    (21,312,148 )     (9,075,338 )       (10,471,395 )       (1,765,415 )       -       -  
                                                       
From operations:
                                                     
Net investment loss
    (6,751,455 )     (3,289,424 )       (2,244,932 )       (1,217,071 )       -       (28 )
Net realized gain from investments
    15,464,438       6,492,982         5,450,918         3,520,429         -       109  
Net change in unrealized loss from investments
    (1,828,251 )     (735,773 )       (644,516 )       (447,947 )       -       (15 )
Net income
    6,884,732       2,467,785         2,561,470         1,855,411         -       66  
                                                       
Balances at September 30, 2012
  $ 132,082,634     $ 52,369,320       $ 49,412,780       $ 30,299,604       $ -     $ 930  
                                                       
                                                       
Balances at December 31, 2010
  $ 120,863,896     $ 50,915,319       $ 48,418,588       $ 20,629,168       $ 899,957     $ 864  
                                                       
Transfers
    -       (220,990 )       (262,792 )       483,782         -       -  
                                                       
Capital additions
    31,385,636       13,142,247         10,062,722         8,180,667         -       -  
                                                       
Capital withdrawals
    (26,746,540 )     (11,793,794 )       (9,558,556 )       (4,500,362 )       (893,828 )     -  
                                                       
From operations:
                                                     
Net investment loss
    (2,683,744 )     (1,634,191 )       (804,358 )       (241,572 )       (3,599 )     (24 )
Net realized gain from investments
    593,715       237,749         187,484         162,004         6,474       4  
Net change in unrealized loss from investments
    (1,357,835 )     (545,556 )       (523,032 )       (280,235 )       (9,004 )     (8 )
Net loss
    (3,447,864 )     (1,941,998 )       (1,139,906 )       (359,803 )       (6,129 )     (28 )
                                                       
Balances at September 30, 2011
  $ 122,055,128     $ 50,100,784       $ 47,520,056       $ 24,433,452       $ -     $ 836  
 
See accompanying notes.
 
 
-7-

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

 
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
 
A.  
General Description of the Partnership
 
Altegris QIM Futures Fund, L.P. (“Partnership”) was organized as a Delaware limited partnership in June 2009.  The Partnership's general partner is Altegris Portfolio Management, Inc. (d/b/a Altegris Funds) ("General Partner").  The Partnership speculatively trades commodity futures contracts, and may trade options on futures contracts, forward contracts and other commodity interests.  The objective of the Partnership’s business is appreciation of its assets. It is subject to the regulations of the Commodity Futures Trading Commission (the “CFTC”), an agency of the United States (“U.S.”) government 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.  
Methods of Reporting
 
The Partnership’s financial statements are presented in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”).  The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported fair value of assets and liabilities, disclosures of contingent assets and liabilities as of September 30, 2012 and December 31, 2011, and reported amounts of income and expenses for the three and nine months ended September 30, 2012 and 2011, 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 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 (“SEC”) and, therefore, do not include all information and footnote disclosures 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 the General Partner, necessary for the fair presentation of the condensed financial statements for the interim period.
 
C.  
Fair Value
 
In accordance with the authoritative guidance under U.S. GAAP, fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e. the “exit price”) in an orderly transaction between market participants at the measurement date.
 
 
-8-

 

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


NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 
C.  Fair Value (continued)
 
In determining fair value, the Partnership uses various valuation approaches. The authoritative guidance under U.S. GAAP establishes a fair value hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Partnership.
 
Unobservable inputs reflect the Partnership’s assumption about the inputs market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The fair value hierarchy is categorized into three levels based on the inputs as follows:

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

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

Level 3 - Valuations based on inputs that are unobservable.

The availability of valuation techniques and observable inputs can vary among assets and liabilities and is affected by a wide variety of factors, including the type of asset or liability, whether the asset or liability is new and not yet established in the marketplace, and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Those estimated values do not necessarily represent the amounts that may be ultimately realized due to the occurrence of future circumstances that cannot be reasonably determined. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the asset or liability existed. Accordingly, the degree of judgment exercised by the Partnership in determining fair value is greatest for assets and liabilities categorized in Level 3. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined by the lowest level input that is significant to the fair value measurement.
 
 
-9-

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

 
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 
C.  Fair Value (continued)
 
Fair value is a market-based measure considered from the perspective of a market participant rather than an entity-specific measure. Therefore, even when market assumptions are not readily available, the Partnership’s own assumptions are set to reflect those that market participants would use in pricing the asset or liability at the measurement date. The Partnership uses prices and inputs that are current as of the measurement date, including during periods of market dislocation. In periods of market dislocation, the observability of prices and inputs may be reduced for many assets and liabilities. This condition could cause an asset or liability to be reclassified to a lower level within the fair value hierarchy.

The Partnership values futures 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 which include interest-rate yield curves, cross-currency-basis index spreads, and country credit spreads similar to the bond in terms of issue, maturity and seniority. U.S. government agency bonds and notes are generally categorized in Levels 1 or 2 of the fair value hierarchy. There were no fair valued U.S. government agency bonds and notes as of September 30, 2012 and December 31, 2011.

The fair value of U.S. treasury obligations is generally based on quoted prices in active markets. U.S. treasury obligations are generally categorized in Level 1 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 generally 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. There were no fair valued corporate notes as of September 30, 2012 and December 31, 2011.

The industry classifications included in the condensed schedule of investments represent the General Partner’s belief as to the most meaningful presentation of the classification of the Partnership’s investments.
 
 
-10-

 

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, 2012 and the year-ended December 31, 2011.

The following table presents information about the Partnership’s assets and liabilities measured at fair value as of September 30, 2012 and December 31, 2011:
 
September 30, 2012
 
Level 1
   
Level 2
   
Level 3
   
Balance as of
September 30, 2012
 
                         
Assets
                       
                         
    Futures contracts (1)
  $ 467,582     $ -     $ -     $ 467,582  
    U.S. Government agency bonds and notes
    45,748,062       -       -       45,748,062  
    Corporate notes
    -       47,187,191       -       47,187,191  
    U.S. Treasury obligations
    14,466,106       -       -       14,466,106  
                                 
  Total Assets
  $ 60,681,750     $ 47,187,191     $ -     $ 107,868,941  
                                 
Liabilities
                               
                                 
    Futures contracts (1)
  $ (3,700,773 )   $ -     $ -     $ (3,700,773 )
 
                     
Balance as of
 
December 31, 2011  
Level 1
   
Level 2
   
Level 3
   
December 31, 2011
 
                         
Assets
                       
                         
    Futures contracts (1)
  $ 406,872     $ -     $ -     $ 406,872  
    U.S. Government agency bonds and notes
    57,918,432       -       -       57,918,432  
    Corporate notes
    -       54,695,241       -       54,695,241  
                                 
    Total Assets   $ 58,325,304     $ 54,695,241     $ -     $ 113,020,545  
                                 
Liabilities
                               
                                 
    Futures contracts (1)
  $ (1,807,665 )   $ -     $ -     $ (1,807,665 )
 
(1) See Note 7. "Financial Derivative Instruments" for the fair value in each type of contracts within this category.
 
For the nine month period ended September 30, 2012 and the year-ended December 31, 2011, there were no transfers between Level 1 and Level 2 assets and liabilities. For the nine month period ended September 30, 2012 and the year-ended December 31, 2011, there were no Level 3 securities.
 
 
-11-

 
 
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 identified cost method.  Change in net unrealized gain or loss from the preceding period is reported in the statements of operations.  Brokerage commissions and other trading fees are reflected as an adjustment to cost or proceeds at the time of the transaction.  Interest income is recorded on an accrual basis.
 
Gains or losses on futures contracts and options 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 operations.  Brokerage commissions on futures and options on futures contracts include other trading fees and are incurred as an expense when contracts are opened.
 
E.  Futures Contracts
 
The Partnership may engage in futures contracts as part of its investment strategy to hedge against changes in the value of its portfolio securities and in the value of securities it intends to purchase. Upon entering into a futures contract, the Partnership is required to deposit with the broker an amount of cash or cash equivalents equal to a certain percentage of the contract amount. This is known as the “initial margin.” Subsequent payments (“variation margin”) are made or received by the Partnership each day, depending on the daily fluctuations in the value of the contract, and are included in unrealized gain (loss) on futures contracts. The Partnership recognizes a realized gain or loss when the contract is closed.
 
There are several risks in connection with the use of futures contracts as an investment option. The change in value of futures contracts primarily corresponds with the value of their underlying instruments, which may not correlate with the change in value of the investments they are intended to hedge against. In addition, there is the risk that the Partnership may not be able to enter into a closing transaction because of an illiquid secondary market. Open positions in futures contracts at September 30, 2012 and December 31, 2011 are reflected within the Condensed Schedules of Investments.
 
 
-12-

 

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


NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 
F.  Foreign Currency Transactions
 
The Partnership’s functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar.  Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the 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 income.
 
G.  Cash
 
A portion of the cash designated as equity in commodity broker is restricted and held as margin collateral for futures transactions.
 
The Partnership maintains a custody account with a major financial institution. At times, the Partnership’s cash balance could exceed the insured amount under the Federal Deposit Insurance Corporation (“FDIC”). The FDIC temporarily increased its limit to $250,000 until December 31, 2013. The Partnership has not experienced any losses in such accounts and believes it is not subject to any significant counterparty risk related to its cash account.
 
H.  Organization Costs
 
The General Partner has incurred all expenses in connection with the initial organization of the Partnership, totaling approximately $64,000.  The General Partner bills the Partnership in monthly installments for such expenses over a sixty-month period beginning in the thirteenth month after the Partnership commenced operations. If the Partnership were to cease operations prior to the end of the sixty month period, the Partnership would not be obligated to pay the General Partner for the unbilled costs.
 
I.  Offering Costs
 
Offering costs incurred in connection with the ongoing offering of the Partnership’s interests are borne by the Partnership.  These costs include, but are not limited to, legal fees pertaining to updating the Partnership’s offering documents and materials, accounting and printing costs.  These costs are charged as an expense when incurred.
 
J.  Income Taxes
 
As an entity taxable as a partnership for U.S. Federal income tax purposes; the Partnership itself is not subject to federal income tax. The Partnership prepares and files calendar year U.S. and applicable state
 
 
-13-

 

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

 
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 
J.  Income Taxes (continued)
 
information tax returns and reports to the partners their allocable shares of the Partnership’s income and expenses.
 
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, 2012 and December 31, 2011.  However, the Partnership’s conclusions may be subject to review and adjustment at a later date based on factors including, but not limited to, on-going analyses of and changes to tax laws, regulations and interpretations thereof. 
 
The Partnership recognizes interest and penalties related to unrecognized tax benefits in interest expense and other expenses, respectively.  No interest expense or penalties have been recognized as of September 30, 2012 and December 31, 2011 and for the three and nine months ended September 30, 2012 and 2011.
 
The Partnership is subject to income tax examinations by major taxing authorities for all tax years since its inception. 
 
NOTE 2 - PARTNERS’ CAPITAL
 
A.  Capital Accounts and Allocation of Income and Loss
 
The Partnership accounts for subscriptions and redemptions on a per partner capital account basis.

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

 
-14-

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


NOTE 2 - PARTNERS’ CAPITAL (CONTINUED)
 
A.  Capital Accounts and Allocation of Income and Loss (continued)
 
The partners may withdraw their interests on a monthly basis upon at least 15 days’ prior written notice, subject to the discretion of the General Partner.

No limited partner of the Partnership (each, a “Limited Partner” and collectively the “Limited Partners”) 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.
 
B.  Subscriptions, Distributions and Redemptions
 
Investments in the Partnership are made by subscription agreement, subject to acceptance by the General Partner.

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

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

Total management fees earned by the General Partner for the three and nine months ended September 30, 2012 and 2011 are shown on the Statements of Operations 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 (as defined in the Agreement) attributable to Class A and Class B Interests. Total administrative fees for the three and nine months ended September 30, 2012 and 2011 are shown on the Statements of Operations as Administrative Fee.

 
-15-

 

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

 
NOTE 3 - RELATED PARTY TRANSACTIONS (CONTINUED)
 
C.  Altegris Investments, Inc. and Altegris Futures, L.L.C.
 
Altegris Investments, Inc. (“Altegris Investments”), an affiliate of the General Partner, is registered as a broker-dealer with the SEC. Beginning January 1, 2011, Altegris Futures, L.L.C. (“Altegris Futures”), an affiliate of the General Partner and an introducing broker registered with the CFTC, became the Partnership’s introducing broker. Prior to January 1, 2011, Altegris Investments served as the Partnership’s introducing broker.  Altegris Investments has entered into a selling agreement with the Partnership whereby it receives 2% per annum as continuing compensation for Class A Interests sold by Altegris Investments that are outstanding at month end. Altegris Futures, as the Partnership’s introducing broker, receives a portion of the commodity brokerage commissions paid by the Partnership to the Clearing Broker and interest income retained by the Clearing Broker. Additionally, 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. At September 30, 2012 and December 31, 2011, respectively, the Partnership had commissions and brokerage fees payable to Altegris Futures of $101,100 and $129,476 and service fees payable to Altegris Investments of $24,828 and $27,698. The following tables show the fees paid to Altegris Investments and Altegris Futures for the three and nine months ended September 30, 2012 and 2011:
 
   
Three months ended
   
Three months ended
 
   
September 30, 2012
   
September 30, 2011
 
Altegris Futures - Commission fees
  $ 241,125     $ 185,078  
Altegris Futures - Brokerage fees
    98,753       172,297  
Altegris Investments - Service fees
    71,700       81,498  
Total
  $ 411,578     $ 438,873  
 
   
Nine months ended
   
Nine months ended
 
   
September 30, 2012
   
September 30, 2011
 
Altegris Futures - Commission fees
  $ 711,289     $ 650,294  
Altegris Futures - Brokerage fees
    290,626       448,173  
Altegris Investments - Service fees
    212,816       269,980  
Total
  $ 1,214,731     $ 1,368,447  
 
NOTE 4 - ADVISORY CONTRACT
 
The Partnership’s trading activities are conducted pursuant to an advisory contract with Quantitative Investment Management LLC (QIM) (“Advisor”).  The Partnership pays the Advisor a quarterly incentive fee of 30% of the trading profits (as defined in the Agreement).  However, the quarterly incentive fee is payable only on cumulative profits, calculated separately for each partner’s interest, achieved from commodity trading (as defined in the Agreement). The incentive fee is accrued on a monthly basis. Incentive fees are reflected in the Statements of Operations.
 
 
-16-

 

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

 
NOTE 5 - SERVICE FEES
 
Class A Interests pay selling agents an ongoing payment of 0.166% of the month-end net asset value (2% annually) of the value of Interests sold by them which are outstanding at month-end as compensation for their continuing services to such Class A Limited Partners. 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. Total service fees for the three and nine months ended September 30, 2012 and 2011 are shown on the Statement of Operations as Service Fees.
 
NOTE 6 - BROKERAGE AGREEMENT
 
J.P. Morgan Securities, LLC is the Partnership’s commodity broker (the “Clearing Broker”), pursuant to the terms of a brokerage agreement.  The Partnership pays brokerage commissions to the Clearing Broker for clearing trades on its behalf, which are reflected in the Statements of Operations as Brokerage Commissions.  Prior to July 2012, Newedge USA, LLC served as the Partnership’s commodity broker.
 
 NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS
 
The Partnership engages in futures contracts for the purpose of achieving capital appreciation.  None of the Partnership’s derivative instruments are designated as hedging instruments, as defined in the Derivatives and Hedging Topic of the Accounting Standards Codification, nor are they used for other risk management purposes.  The Advisor and General Partner actively assess, manage and monitor risk exposure on derivatives on a contract basis, a sector basis (e.g., interest rate derivatives, agricultural derivatives, etc.), and on an overall basis in accordance with established risk parameters.  Due to the speculative nature of the Partnership’s derivative trading activity, the Partnership is subject to the risk of substantial losses from derivatives trading.
 
The following presents the fair value of derivative contracts as of September 30, 2012 and December 31, 2011.  The fair value of derivative contracts is presented as an asset if in a gain position and a liability if in a loss position.  Fair value is presented on a gross basis in the table below even though the derivative contracts qualify for net presentation in the Statements of Financial Condition.
 
September 30, 2012
 
         
 
   
 
 
    Asset     Liability        
    Derivatives     Derivatives     Net  
   
Fair Value
   
Fair Value
   
Fair Value
 
                   
 Futures Contracts
  $ 467,582     $ (3,700,773 )     (3,233,191 )

 

 
 

 
 
-17-

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

 
NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)
 
December 31, 2011
 
         
 
   
 
 
    Asset     Liability        
    Derivatives     Derivatives     Net  
   
Fair Value
   
Fair Value
   
Fair Value
 
                   
 Futures Contracts
  $ 406,872     $ (1,807,665 )     (1,400,793 )
 
The following presents the trading results of the Partnership’s derivative trading and information related to the volume of the Partnership’s derivative activity for the three and nine months ended September 30, 2012 and 2011.
 
The below captions of “Realized” and “Change in Unrealized” correspond to the captions in the Statements of Operations.
 
Three Months Ended September 30, 2012
 
         
Change in
   
Number of
 
   
Realized
   
Unrealized
   
Contracts Closed
 
                   
 Futures Contracts
  $ 4,115,874     $ (5,590,219 )     38,593  

Nine Months Ended September 30, 2012
 
         
Change in
   
Number of
 
   
Realized
   
Unrealized
   
Contracts Closed
 
                   
 Futures Contracts
  $ 16,822,917     $ (1,832,398 )     113,298  

Three Months Ended September 30, 2011
 
         
Change in
   
Number of
 
   
Realized
   
Unrealized
   
Contracts Closed
 
                   
 Futures Contracts
  $ 8,523,299     $ (919,486 )     27,426  

Nine Months Ended September 30, 2011
 
         
Change in
   
Number of
 
   
Realized
   
Unrealized
   
Contracts Closed
 
                   
 Futures Contracts
  $ 2,011,700     $ (1,405,091 )     100,064  
 
 
-18-

 

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.
 
JPMorgan Chase Bank, N.A. (“Custodian”) is 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 9 - INDEMNIFICATIONS
 
In the normal course of business, the Partnership enters into contracts and agreements that contain a variety of representations and warranties and which provide general indemnifications.  The Partnership’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Partnership that have not yet occurred.  The Partnership expects the risk of any future obligation under these indemnifications to be remote.
 
 
-19-

 

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

NOTE 10 -FINANCIAL HIGHLIGHTS
 
The following information presents the financial highlights of the Partnership for the three and nine months ended September 30, 2012 and 2011. This information has been derived from information presented in the financial statements.
 
   
Three Months ended September 30, 2012
 
               
Institutional
 
   
Class A
   
Class B
   
Interest
 
Total return for Limited Partners (4)
                 
  Total return prior to incentive fees
    (2.48 %)     (2.00 %)     (1.79 %)
  Incentive fees
    (0.01 %)     (0.00 %)     (0.01 %)
                         
Total return after incentive fees
    (2.49 %)     (2.00 %)     (1.80 %)
                         
Ratio to average net asset value
                       
  Expenses prior to incentive fees (1) (3)
    4.05 %     2.03 %     1.19 %
  Incentive fees (4)
    0.00 %     0.01 %     0.01 %
                         
Total expenses
    4.05 %     2.04 %     1.20 %
                         
  Net investment loss (1) (2) (3)
    (3.93 %)     (1.92 %)     (1.08 %)
 
   
Nine Months ended September 30, 2012
 
               
Institutional
 
   
Class A
   
Class B
   
Interest
 
Total return for Limited Partners (4)
                 
  Total return prior to incentive fees
    8.03 %     9.65 %     10.32 %
  Incentive fees
    (3.46 %)     (3.56 %)     (3.70 %)
                         
Total return after incentive fees
    4.57 %     6.09 %     6.62 %
                         
Ratio to average net asset value
                       
  Expenses prior to incentive fees (1) (3)
    4.17 %     2.12 %     1.27 %
  Incentive fees (4)
    3.51 %     3.40 %     3.63 %
                         
    Total expenses
    7.68 %     5.52 %     4.90 %
                         
  Net investment loss (1) (2) (3)
    (4.05 %)     (2.00 %)     (1.15 %)
 
 
-20-

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


NOTE 10 - FINANCIAL HIGHLIGHTS (CONTINUED)
 
   
Three Months ended September 30, 2011
 
               
Institutional
   
Special
 
   
Class A
   
Class B
   
Interest
   
Interests
 
Total return for Limited Partners (4)
                       
  Total return prior to incentive fees
    4.89 %     5.41 %     5.62 %     5.76 %
  Incentive fees
    (0.12 %)     (0.08 %)     (0.10 %)     0.00 %
                                 
Total return after incentive fees
    4.77 %     5.33 %     5.52 %     5.76 %
                                 
Ratio to average net asset value
                               
  Expenses prior to incentive fees (1) (3)
    4.19 %     2.12 %     1.28 %     0.76 %
  Incentive fees (4)
    0.12 %     0.08 %     0.10 %     0.00 %
                                 
Total expenses
    4.31 %     2.20 %     1.38 %     0.76 %
                                 
  Net investment loss (1) (2) (3)
    (4.03 %)     (1.96 %)     (1.13 %)     (0.60 %)
 
   
Nine Months ended September 30, 2011
 
               
Institutional
   
Special
 
   
Class A
   
Class B
   
Interest
   
Interests
 
Total return for Limited Partners (4)
                       
  Total return prior to incentive fees
    (3.13 %)     (1.67 %)     (1.06 %)     (0.68 %)
  Incentive fees
    (0.21 %)     (0.18 %)     (0.25 %)     0.00 %
Total return after incentive fees
    (3.34 %)     (1.85 %)     (1.31 %)     (0.68 %)
                                 
Ratio to average net asset value
                               
  Expenses prior to incentive fees (1) (3)
    4.24 %     2.17 %     1.34 %     0.78 %
  Incentive fees (4)
    0.21 %     0.19 %     0.25 %     0.00 %
                                 
    Total expenses
    4.45 %     2.36 %     1.59 %     0.78 %
                                 
  Net investment loss (1) (2) (3)
    (3.99 %)     (1.93 %)     (1.10 %)     (0.55 %)

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

Total return is calculated on a monthly compounded basis.
(1)  
Includes offering costs, if any.
(2)  
Excludes incentive fee.
(3)  
Annualized.
(4)  
Not annualized.

 
-21-

 
 
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. From October 1, 2012 through November 1, 2012, the Partnership had subscriptions of $7,742,814 and redemptions of $3,619,044. Management has determined there are no additional matters requiring disclosure.
 
 
-22-

 
 
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 September 30, 2012 the Partnership experienced no meaningful periods of illiquidity in any of the markets traded by the Advisor on behalf of the Partnership.

Capital Resources
 
The Partnership raises additional capital only through the sale of Interests and capital is increased through trading profits (if any) and interest income.  The Partnership does not engage in borrowing.
 
The amount of capital raised for the Partnership should not have a significant impact on its operations, as the Partnership has no significant capital expenditure or working capital requirements other than for capital to pay trading losses, brokerage commissions and expenses.  Within broad ranges of capitalization, the Partnership’s trading positions should increase or decrease in approximate proportion to the size of the Partnership.

The Partnership participates in the speculative trading of commodity futures contracts and may trade options on futures contracts and forward contracts, substantially all of which are subject to margin requirements.  The minimum amount of margin required for each contract is set from time to time in response to various market factors by the respective exchanges.  Further, the Partnership’s Futures Commission Merchants and brokers may require margin in excess of minimum exchange requirements.
 
All of the futures contracts currently traded by the Advisor on behalf of the Partnership are exchange-traded.  The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over-the-counter transactions because, in over-the-counter transactions, the Partnership must rely solely on the credit of its trading counterparties, whereas exchange-traded contracts are generally, but not universally, backed by the collective credit of the members of the exchange.  In the future, the Partnership anticipates that it will enter into non-exchange-traded foreign currency contracts and be subject to the credit risk associated with counterparty non-performance.
 
The Partnership bears the risk of financial failure by the Clearing Broker and/or other clearing brokers or counterparties with which the Partnership trades. 

Results of Operations
 
Performance Summary
 
The Partnership’s success depends primarily upon the Advisor’s ability to recognize and capitalize on market trends in the sectors of the global commodity futures markets in which it trades.  The Partnership 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.
   
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.
 
 
-23-

 
 
Three Months Ended September 30, 2012
 
During the third quarter of 2012, the Partnership incurred net realized and unrealized losses of $ 1,928,350 from its trading activities, net of brokerage commissions of $487,139.  The Partnership accrued net expenses of $856,671, including $369,203 in management fees paid to the General Partner, $7,091 in incentive fees, and $372,312 in service and professional fees.  The Partnership earned $36,454 in interest income during the third quarter of 2012.  An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the third quarter of 2012 is set forth below.

 
Third Quarter 2012.  The Partnership experienced a loss in July 2012 as poor employment numbers in the U.S. and continued concern about the fiscal health of Spain and Italy caused the equity markets to slide and treasury prices to rise, both working against the Partnership’s positions.  The Eurobund accounted for over half of the losses for the month. The Partnership also struggled in the stock index sector, with futures contracts on the S&P being the worst performer.  Short positions in Crude Oil also hurt performance as prices spiked during the month. Short positions in most of the foreign currencies contributed positively with a short Euro position being the best performer.  The Partnership finished August 2012 with a slight gain.  Long stock index futures positions drove performance during the month. The month began negatively for stocks and treasuries, but the outlook changed with an unexpectedly positive U.S. employment report. Interest rates generated significant losses for the month, with a short Eurobund position in the second half of the month being the biggest loser. Crude oil prices rose steadily, contravening our mostly month-long short position. Currencies additionally dragged down returns as long positions in the Australian Dollar and Euro yielded losses.  The Partnership ended September relatively flat with equity positions having delivered the bulk of the gains, offset by losses in interest rate positions. Other notable contributors were profitable positions in futures contracts on energies, particularly Crude Oil, as well as lucrative positions in Gold and Copper. Interest rate futures and currency futures hurt performance considerably.

Three Months Ended September 30, 2011
 
During the third quarter of 2011, the Partnership incurred net realized and unrealized gains of $7,143,229 from its trading activities, net of brokerage commissions of $461,303.  The Partnership accrued net expenses of $971,124, including $352,435 in management fees paid to the General Partner, $125,346 in incentive fees, and $364,523 in service and professional fees.  The Partnership earned $48,024 in interest income during the third quarter of 2011.  An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the third quarter of 2011 is set forth below.

Third Quarter 2011.  Performance in July was positive as trading in interest rate futures showed solid gains.  Performance was boosted by gold and silver trading as the gold markets reached an all-time high.  The end of the month saw global markets falter and the Partnership’s short stock index positions and long interest rate positions, generated gains for the month.  August saw mixed performance for the Partnership as world equity markets, which had fallen significantly in the last week of July, fell even more rapidly in the first week of August.  The Partnership began the month with gains primarily from its positions in US and European stock index futures, but concerns regarding the European debt crisis and the downgrade of US Government debt drove markets significantly lower.  Performance was driven by positions in equity markets – both short and long.  The Partnership achieved gains in trading gold futures amid a choppy market for the commodity.  The Partnership achieved a gain in September 2011 as markets continued to be driven by speculation regarding the sovereign debt crises throughout the euro zone.  The Partnership was well-positioned to take advantage of high volatility by holding short positions in global equity markets and long positions in global interest rate futures to start the month.  The Partnership profited by reversing its positions as the markets rallied during the second week of the month.
  
Nine Months Ended September 30, 2012

During the nine months ended September 30, 2012, the Partnership incurred net realized and unrealized gains of $13,636,187  from its trading activities, net of brokerage commissions of $1,415,197.  The Partnership accrued net expenses of $6,858,689, including $1,071,706 in management fees paid to the General Partner, $4,302,850 in incentive fees, and $1,101,244  in service and professional fees.  The Partnership earned $107,234 in interest income during the nine months ended September 30, 2012.  An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the nine months ended September 30, 2012 is set forth below.
 
 
-24-

 

Third Quarter 2012.  The Partnership experienced a loss in July 2012 as poor employment numbers in the U.S. and continued concern about the fiscal health of Spain and Italy caused the equity markets to slide and treasury prices to rise, both working against the Partnership’s positions.  The Eurobund accounted for over half of the losses for the month. The Partnership also struggled in the stock index sector, with futures contracts on the S&P being the worst performer.  Short positions in Crude Oil also hurt performance as prices spiked during the month. Short positions in most of the foreign currencies contributed positively with a short Euro position being the best performer.  The Partnership finished August 2012 with a slight gain.  Long stock index futures positions drove performance during the month. The month began negatively for stocks and treasuries, but the outlook changed with an unexpectedly positive U.S. employment report. Interest rates generated significant losses for the month, with a short Eurobund position in the second half of the month being the biggest loser. Crude oil prices rose steadily, contravening our mostly month-long short position. Currencies additionally dragged down returns as long positions in the Australian Dollar and Euro yielded losses.  The Partnership ended September relatively flat with equity positions having delivered the bulk of the gains, offset by losses in interest rate positions. Other notable contributors were profitable positions in futures contracts on energies, particularly Crude Oil, as well as lucrative positions in Gold and Copper. Interest rate futures and currency futures hurt performance considerably.

Second Quarter 2012. The Partnership achieved a gain in April 2012. The Partnership held long positions for the entire month in interest rate futures contracts, as poor March U.S. employment data and Spain’s downgrade by S&P drove interest rate futures higher. The Partnership started the month short futures contracts on stock indices and reversed to a long position after the S&P declined five consecutive days. The Partnership stayed with that long position for the rest of the month as the S&P was able to recover most of its losses from earlier in the month. Trading in currency, metal, energy and agricultural sectors all produced losses, but the Partnership’s exposure in these sectors was less significant. The Partnership achieved a gain in May 2012, as poor U.S. employment data in the beginning of the month started equities on a downward slide. The Partnership’s short positions in futures contracts on stock indices were well positioned to profit during the decline. The Partnership also benefitted from its long positions in the 10-year note and 30-year bond throughout the month. The most significant contributions to performance during the month came from trading in futures contracts on stock indices, interest rates and currencies. The Partnership achieved a gain in June 2012 based largely on long futures contracts on stock indices. Equity markets rallied on the release of strong U.S. economic data. Futures contracts on crude oil led the Partnership’s energy sector trading. Trading in futures contracts on currencies was the worst performing sector during the month as the dollar struggled during the first three weeks of the month, while the Partnership held short positions.

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

Nine Months Ended September 30, 2011
 
During the nine months ended September 30, 2011, the Partnership incurred net realized and unrealized losses of $764,120 from its trading activities, net of brokerage commissions of $1,467,532.  The Partnership accrued net expenses of $2,910,438, including $1,099,914 in management fees paid to the General Partner, $257,066 in incentive fees, and $1,130,879 in service and professional fees.  The Partnership earned $226,694 in interest income during the nine months ended September 30, 2011.  An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the nine months ended September 30, 2011 is set forth below.
 
 
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Third Quarter 2011.  Performance in July was positive as trading in interest rate futures showed solid gains.  Performance was boosted by gold and silver trading as the gold markets reached an all-time high.  The end of the month saw global markets falter and the Partnership’s short stock index positions and long interest rate positions, generated gains for the month.  August saw mixed performance for the Partnership as world equity markets, which had fallen significantly in the last week of July, fell even more rapidly in the first week of August.  The Partnership began the month with gains primarily from its positions in US and European stock index futures, but concerns regarding the European debt crisis and the downgrade of US Government debt drove markets significantly lower.  Performance was driven by positions in equity markets – both short and long.  The Partnership achieved gains in trading gold futures amid a choppy market for the commodity.  The Partnership achieved a gain in September 2011 as markets continued to be driven by speculation regarding the sovereign debt crises throughout the euro zone.  The Partnership was well-positioned to take advantage of high volatility by holding short positions in global equity markets and long positions in global interest rate futures to start the month.  The Partnership profited by reversing its positions as the markets rallied during the second week of the month.

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

Off-Balance Sheet Arrangements
 
The Partnership does not engage in off-balance sheet arrangements with other entities.

Item 3:   Quantitative and Qualitative Disclosures About Market Risk.

Not required.

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.
 
 
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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 third calendar quarter of 2012:
  
Month
 
Amount Redeemed
   
July 31, 2012
   
$
283,793
   
August 31, 2012
   
$
721,066
   
September 30, 2012
   
$
1,149,148
   
 
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.
4.1
Limited Partnership Agreement of APM – QIM Futures Fund, L.P.
10.1
Agreement with Quantitative Investment Management LLC
10.2
Selling Agency Agreement between APM – QIM Futures Fund, L.P. and Altegris Investments Inc.
 
The following exhibits are incorporated herein by reference from the exhibits of the same numbers and descriptions filed with the registrant’s Current Report on Form 8-K (File No. 000-53815) filed on August 5, 2010.
 
 
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Exhibit Number
Description of Document
3.01
Amendment to the Certificate of Formation of APM – QIM Futures Fund, L.P., changing the registrant’s name to Altegris QIM Futures Fund, L.P.
3.02
First Amended and Restated Agreement of Limited Partnership of Altegris QIM Futures Fund, L.P.
 
The following exhibits are included herewith.

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

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

Dated: November 14, 2012

ALTEGRIS QIM FUTURES FUND, L.P.

By: 
ALTEGRIS PORTFOLIO MANAGEMENT, INC.
   
(d/b/a Altegris Funds), its general partner
 
/s/ Jon C. Sundt
 
Jon C. Sundt, President
(principal executive officer and principal financial officer)
 

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