Attached files

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EX-32.1 - Altegris QIM Futures Fund, L.P.fp0018705_ex321.htm
EX-32.2 - Altegris QIM Futures Fund, L.P.fp0018705_ex322.htm
EX-31.1 - Altegris QIM Futures Fund, L.P.fp0018705_ex311.htm
EX-31.2 - Altegris QIM Futures Fund, L.P.fp0018705_ex312.htm
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM 10-K

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

For the fiscal year ended December 31, 2015
or

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

Commission file number: 000-53815

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

DELAWARE
(State or other jurisdiction of
incorporation or organization)
 
27-0473854
(I.R.S. Employer
Identification No.)

c/o ALTEGRIS ADVISORS, L.L.C.
1200 Prospect Street, Suite 400
La Jolla, CA 92037
(Address of principal executive offices) (zip code)
(858) 459-7040

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

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

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act.
 
   
Yes [  ] No [X]
 

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act.
 
   
Yes [  ] No [X]
 

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 if the disclosure of delinquent filers pursuant to Item 405 of Regulation S-K is not contained herein, and will not be contained, to the best of the registrant’s knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K.
 
   
[X]
 

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 the definitions 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 Act).
 
   
Yes [  ] No [X]
 

State the aggregate market value of the voting and non-voting common equity held by non-affiliates computed by reference to the price at which the common equity was last sold, or the average bid and asked price of such common equity, as of the last business day of the registrant’s most recently completed second fiscal quarter.

Not Applicable.

DOCUMENTS INCORPORATED BY REFERENCE

None.


PART I

ITEM 1: BUSINESS

(a) General Development of Business

Altegris QIM Futures Fund, L.P. (the “Partnership”) was organized as a Delaware limited partnership in June 2009 and commenced operations following an initial closing on October 1, 2009. The Partnership is a commodity pool engaged in speculative trading across a broad range of futures contracts and currencies. The Partnership may in the future trade options on futures contracts and forward contracts (together with futures contracts and currencies, “Commodity Interests”).

On December 31, 2014, pursuant to that certain General Partner Admission Agreement dated as of December 30, 2014 among Altegris Advisors, L.L.C. (“Advisors” or the “General Partner”), Altegris Portfolio Management, Inc. (“APM”) and the Partnership, Advisors, a Delaware limited liability company and an affiliate of APM, was admitted as a general partner of the Partnership effective immediately prior to the Transaction (defined below). Pursuant to an internal reorganization of APM, then a general partner of Partnership, and certain affiliated entities, APM merged with and into Advisors on December 31, 2014 (the “Transaction”). By operation of law and pursuant to Paragraph 17 of Partnership’s First Amended and Restated Agreement of Limited Partnership, effective as of July 26, 2010, Advisors then assumed the general partner interest of Partnership previously held by APM.

The General Partner has sole responsibility for management and administration of all aspects of the Partnership’s business. Investors purchasing limited partnership interests (the “Interests”) in the Partnership (“Limited Partners” and together with the General Partner, “Partners”) have no rights to participate in the management of the Partnership.

The General Partner is registered with the Commodity Futures Trading Commission (“CFTC”) as a Commodity Pool Operator (“CPO”) and Commodity Trading Advisor (“CTA”), and is a member of National Futures Association (“NFA”).  Quantitative Investment Management LLC, a Virginia limited liability company formed in May 2003, acts as the Partnership’s trading advisor (“QIM” or the “Advisor”). QIM became registered as a Commodity Trading Advisor (“CTA”) in 2004 and a CPO in 2005 and is a member of NFA.

Altegris Investments, L.L.C. (“Altegris”), an affiliate of the General Partner, serves as a selling agent of the Interests and acted as the Partnership’s introducing broker until January 1, 2011, when Altegris Futures LLC (“Altegris Futures”) replaced Altegris as the Partnership’s introducing broker. On December 31, 2014, Altegris Futures merged with and into its affiliate, Altegris Clearing Solutions, L.L.C. Altegris Clearing Solutions, L.L.C is registered with the CFTC as an Introducing Broker (“Clearing Solutions” or the “Introducing Broker”).

The Partnership’s term will end upon the first to occur of the following: receipt by the General Partner of an election to dissolve the Partnership at a specified time by Limited Partners owning more than 50% of the Interests then outstanding, notice of which is sent by registered mail to the General Partner not less than ninety (90) days prior to the effective date of such dissolution; withdrawal, admitted or court decreed insolvency or dissolution of the General Partner unless at such time there is at least one remaining General Partner in the Partnership; or any event that makes it unlawful for the existence of the Partnership to be continued or requiring termination of the Partnership.

The Partnership is not required to be, and is not, registered under the Investment Company Act of 1940, as amended.

As of February 29, 2016, the aggregate net asset value of the Interests in the Partnership before redemptions was $26, 572,171. The Partnership operates on a calendar fiscal year and has no subsidiaries.

The Partnership offers three “classes” of Interests: Class A, Class B and Institutional Interests (each, a “Class of Interest”). The Classes of Interests differ from each other only in the fees that they pay and the applicable investment minimums.


(b) Financial Information About Segments

The Partnership’s business constitutes only one segment for financial reporting purposes — i.e., a speculative “commodity pool.” The Partnership does not engage in sales of goods or services. Financial information regarding the Partnership’s business is set forth in the Partnership’s financial statements, included herewith.

(c) Narrative Description of Business

The Partnership’s objective is to produce long-term capital appreciation through growth, and not current income.

Predictive Modeling. QIM believes that financial markets are not entirely efficient and that numerous small inefficiencies exist and can be exploited through the prudent use of robust analysis and predictive technologies.

QIM currently employs several thousand quantitative trading models that utilize pattern recognition to predict short-term price movements in global futures markets. All models are tested across large data sets that expose them to a wide range of market, economic, and political environments, as well as a wide range of time frames and interactions. Only those models that prove to be the most robust, statistically significant, and conceptually diverse are used in actual trading. The resultant system of models offers what QIM believes to be reliable signals that guide market timing and trade allocation.

QIM’s trading strategies and models may be revised from time to time as a result of ongoing research and development seeking to devise new strategies and systems as well as to improve current methods. The strategies and systems used by QIM in the future may differ significantly from those currently in use due to changes resulting from this research, and Limited Partners will not be informed of these changes as they may occur.

Risk Management. QIM applies risk management procedures that take into account the price, size, volatility, liquidity, and inter-relationships of the contracts traded. The Partnership’s positions are generally balanced in a manner that allocates approximately equal amounts of measured risk to as many distinct markets as possible and during significant drawdowns in equity, QIM will reduce market exposure by scaling back the Partnership’s overall leverage.

Trading. QIM’s trading is generally approximately 95% systematic and 5% discretionary. All facets of the predictive models, risk management, and trade allocation are fully automated or proceduralized. In this sense, the trading is systematic. Discretion of QIM, however, plays a significant role in the pursuit of improvements to the Program.

QIM has different time horizons for the execution of certain trades. For example, QIM may have certain trades executed at the beginning of the trading day while giving the executing broker limited discretion with respect to other trades.

Markets Traded. QIM currently trades or monitors a broad range of tradable markets in currencies, stock indices, interest rates, energy, grains, softs and metals. QIM may add or delete markets from this universe of tradable markets in its discretion if QIM’s research demonstrates that such an addition or deletion would enhance the program’s performance. All markets are futures markets or interbank currency markets.

QIM seeks to profitably trade each of these markets while taking advantage of the diversification available from such a varied universe of futures contracts. QIM’s trading program often takes opposing long and short positions within the same or related classes of correlated futures, which, taken in conjunction with the effect of diversification across a broad range of contracts, generally results in reduced market exposure than trading a single market with similar leverage.

A substantial portion of the equity in the Partnership’s account is invested in United States (“U.S.”) government and agency securities and other liquid, high-quality instruments at the direction of the Custodian (as defined below). QIM will generally maintain an average margin to equity level of between 0% and 20%. The actual percentage of assets committed to margin at any time may be higher or lower than the target level.


It is expected that between 5% and 20% of the Partnership’s assets generally will be held as initial margin or option premiums (in cash or U.S. Treasury Department (“Treasury”) securities) in the Partnership’s brokerage accounts at its clearing broker, SG Americas Securities LLC (“SGAS”), a futures commission merchant (“FCM”), and available for trading by QIM in Commodity Interests on behalf of the Partnership. Interest on Partnership assets held at SGAS in cash or Treasury securities will be credited to the Partnership. Depending on market factors, the amount of margin or option premiums held at SGAS could change significantly, and all of the Partnership’s assets are available for use as margin. The Partnership may also retain other brokers and/or dealers from time to time to clear or execute a portion of Partnership trades made by QIM.

With respect to Partnership assets not held at SGAS as described above, but deposited with JPMorgan Chase Bank, N.A. (the “Custodian”), the portion not held in checking, money market or other bank accounts (and used to pay Partnership operating expenses) will be invested in liquid, high-quality short-term securities at the direction of the Custodian or its affiliate J.P. Morgan Investment Management Inc. (“JPMIM”). The Partnership’s custody and investment management agreement with the Custodian permits the Custodian to invest in U.S. government and agency securities, other securities or instruments guaranteed by the U.S. government or its agencies, CDs, time deposits, banker’s acceptances and commercial paper — subject in each case to specific diversification, credit quality and maturity limitations. The Custodian may use sub-advisers to attempt to increase yield enhancement. The General Partner may direct that a portion of Partnership assets be deposited with other custodians and retain other sub-advisers for the purpose of attempting to increase yield enhancement via other cash management arrangements.

The percentage of the Partnership’s assets deposited with these firms is also subject to change in the General Partner’s sole discretion. The Partnership’s assets will not be commingled with the assets of any other person. Depositing the Partnership’s assets with banks or SGAS, or other clearing brokers, as segregated funds is not commingling for these purposes.

The Partnership pays all of its ongoing liabilities, expenses and costs. The General Partner receives a management fee of 0.104% of the month-end net asset value, before deduction for any accrued incentive fees related to the current quarter (the “management fee net asset value”), of all Class A Interests (1.25% per annum), 0.104% of the month-end management fee net asset value of all Class B Interests (1.25% per annum) and 0.0625% of the month-end management fee net asset value of all Institutional Interests (0.75% per annum). QIM receives 30% of quarterly trading profits applicable to each Class of Interest.

Each selling agent selling Class A Interests receives 0.166% of the month-end net asset value of the Partnership apportioned to each Class A Interest sold by such selling agent (2% per annum) and may elect to receive 0.0417% of the month-end net asset value apportioned to any Institutional Interest sold by such selling agent (0.50% per annum).

SGAS paid, during 2015, to the Introducing Broker a portion of the brokerage commissions and transaction fees received from the Partnership as well as a portion of the interest income received on the Partnership’s assets. Monthly brokerage charges equal to the greater of (A) actual commissions of $9.75 per round-turn (higher for certain exchanges or commodities) multiplied by number of round-turn trades, of which amount includes other transaction costs; or (B) an amount equal to 0.125% of the management fee net asset value of all Interest holders’ month-end capital account balances (1.50% annually). A round-turn is both the purchase, or sale, of a commodity interest contract and the subsequent offsetting sale, or purchase, of the contract. If actual monthly commissions and transaction costs in (A) above are less than the amount in (B) above, the Partnership will pay the difference to the Introducing Broker as payment for brokerage-related services. In any month when the amount in (A) is greater than the amount in (B) above, the Partnership pays only the amount described in (A) above.

The Partnership generally pays its operating expenses as they are incurred. A fixed administrative fee is charged to Class A and Class B Interests and paid to the General Partner equal to 0.0275% of the management fee net asset value of the month-end capital account balance of all such Class A and Class B Interests (0.333% per annum).


(d) Regulation

The CFTC has delegated to the NFA responsibility for the registration of “commodity trading advisors,” “commodity pool operators,” “futures commission merchants,” “introducing brokers,” “swap dealers”, “major swap participants” and, in most cases, their respective associated persons, as well as “floor brokers” and “floor traders.” The Commodity Exchange Act requires commodity pool operators such as the General Partner, commodity trading advisors such as the Advisor and commodity brokers or FCMs such as SGAS, and introducing brokers such as the Introducing Broker to be registered and to comply with various reporting and record keeping requirements. CFTC regulations also require FCMs and certain introducing brokers to maintain a minimum level of net capital. In addition, the CFTC and certain commodities exchanges have established limits referred to as “speculative position limits” on the maximum net long or net short speculative positions that any person may hold or control in any particular futures or options contracts traded on U.S. commodities exchanges. Similar position limits may in the future be put in place with respect to swaps that are exchange-traded or are economically equivalent to exchange-traded swaps or futures contracts. All accounts owned or managed by the Advisor will be combined for position limit purposes. The Advisor could be required to liquidate positions held for the Partnership in order to comply with such limits. Any such liquidation could result in substantial costs to the Partnership. In addition, many futures exchanges impose limits beyond which the price of a futures contract may not trade during the course of a trading day, and there is a potential for a futures contract to hit its daily price limit for several days in a row, making it impossible for the Advisor to liquidate a position and thereby experiencing a dramatic loss. Certain deliverable currency forward contracts are subject to limited regulation in the United States, including reporting and recordkeeping requirements.

In addition to the registration requirements described above, the CFTC and certain commodity exchanges have established limits on the maximum net long or net short position which any person may hold or control in particular commodities. Most exchanges also limit the changes in futures contract prices that may occur during a single trading day. The CFTC may in the future also implement position limits for certain exempt commodity contracts, including metals and energy contracts, with respect to futures, options on futures, and economically equivalent swaps. If such position limits are adopted, they could materially affect the Partnership’s trading strategy.

Deliverable currency forward contracts are currently subject to only limited regulation in the United States. The Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Reform Act”) was enacted in July 2010, and gave the CFTC jurisdiction over non-deliverable currency forward contracts. The Reform Act mandates that a substantial portion of over-the-counter derivatives must be executed in regulated markets and submitted for clearing to regulated clearinghouses, and the CFTC may impose such a requirement on non-deliverable currency forward contracts. The mandates imposed by the Reform Act may result in the Partnership bearing higher upfront and mark-to-market margin, less favorable trade pricing, and the possible imposition of new or increased fees with respect to any swaps entered into by the Partnership.

The Partnership has no employees.

Financial Information About Geographic Areas

The Partnership has no operations in foreign countries although it trades on foreign exchanges and other non-U.S. markets. The Partnership does not engage in sales of goods or services.

ITEM 1A: RISK FACTORS

Not required.

ITEM 1B: UNRESOLVED STAFF COMMENTS

Not applicable.


ITEM 2: PROPERTIES

The Partnership does not own or use any physical properties in the conduct of its business. Employees of the General Partner and its affiliates, perform all administrative services for the Partnership from offices located at 1200 Prospect Street, Suite 400, La Jolla, CA 92037.

ITEM 3: LEGAL PROCEEDINGS

The Partnership is not aware of any pending legal proceedings to which either the Partnership is a party or to which any of its assets are subject. The Partnership is not aware of any material legal proceedings involving the General Partner or its principals in an adverse position to the Partnership or in which the Partnership has adverse interests. The Partnership has no subsidiaries.

ITEM 4: MINE SAFETY DISCLOSURES

Not applicable.

PART II

ITEM 5: MARKET FOR REGISTRANT’S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUER PURCHASES OF EQUITY SECURITIES

(a) Market information

There is no trading market for the Interests, and none is likely to develop. Interests may be redeemed or transferred subject to the conditions imposed by the Limited Partnership Agreement.

(b) Holders

As of February 29, 2016 the Partnership had 411 holders of Interests.

(c) Dividends

The General Partner has sole discretion in determining what distributions, if any, the Partnership will make to its investors. To date no distributions or dividends have been paid on the Interests, and the General Partner has no present intention to make any.

(d) Securities Authorized for Issuance under Equity Compensation Plans

None.

(e) Recent Sales of Unregistered Securities; Use of Proceeds from Registered Securities

The Partnership did not sell any unregistered securities within the past three years which have not previously been included in the Partnership’s Quarterly Reports on Form 10-Q or in a Current Report on Form 8-K.

(f) Issuer Purchases of Equity Securities

Pursuant to the Limited Partnership Agreement, Limited Partners may redeem their Interests in the Partnership as of the end of any calendar month upon fifteen (15) days’ written notice to the General Partner. The redemption of capital from capital accounts by Limited Partners has no impact on the value of the capital accounts of other Limited Partners.

The following table summarizes Limited Partner redemptions during the fourth calendar quarter of 2015:
 
Month Ended
 
Amount Redeemed
 
       
October 31, 2015
 
$
480,596
 
November 30, 2015
   
904,113
 
December 31, 2015
   
584,501
 
Total
 
$
1,969,210
 

ITEM 6: SELECTED FINANCIAL DATA

Not required.

ITEM 7: MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

Reference is made to “Item 8. Financial Statements and Supplementary Data.” The information contained therein is essential to, and should be read in conjunction with, the following analysis.

(a) 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 December 31, 2015 the Partnership experienced no meaningful periods of illiquidity in any of the markets traded by the Advisor on behalf of the Partnership.

(b) 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 FCMs 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 SGAS and/or other clearing brokers or counterparties with which the Partnership trades.


(c) Results of Operations

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

Performance Summary

2015

During 2015, the Partnership achieved net realized and unrealized gains of $5,304,330 from all trading; gains of $5,305,807 from trading of derivatives including brokerage commissions of $437,363. The Partnership accrued total expenses of $1,284,305, including $68,417 in incentive fees, $358,619 in management fees paid to the General Partner, and $595,555 in service and professional fees. The Partnership earned $27,968 in interest income during 2015. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for each quarter during 2015 is set forth below.

Fourth Quarter 2015. The Partnership experienced a slight gain in October 2015 primarily driven by its long and short futures positions in stock indices. The Partnership also achieved gains in its trading of crude oil contracts. The Partnership’s position in interest rate futures detracted from performance. The majority of the losses in interest rate futures occurred in the last three days of the month, nearly erasing all of the Partnership’s profits for the month. The losses were partially offset by a short position in the Euro. The Partnership experienced a gain in November 2015 driven by gains across all sectors- stock indices, interest rates, currencies, metals, and energy. At the beginning of the month, the Partnership benefitted from short positions in interest rate and foreign currencies since a better than expected October nonfarm payroll number accompanied by hawkish comments from the U.S. Federal Reserve caused a significant selloff in interest rate futures and a rally in the U.S. Dollar. As a result, at the beginning of the month the Partnership experienced gains from trading in interest rate futures contracts and foreign currency contracts, other than the Italian Government Bond. Almost a week later, the Partnership suffered losses from all of its long futures positions in U.S. and European stock indices. The equity market rally near the middle of the month allowed the Partnership to benefit from long positions in stock indices. The Partnership also benefited during the month from short futures positions in metal and energy sectors as global economic weakness pushed commodity prices lower throughout the month. The Partnership experienced a loss in December 2015. The month got off to a rough start when the European Central Bank announced on December 3rd a rate cut and an extension of its asset purchase program, which did not meet market expectations. The Partnership’s long futures positions in European interest rates and short futures positions in currencies performed poorly as those markets corrected. A weaker U.S. Dollar and multi-year lows in the crude oil market put pressure on U.S. and European equity markets, which culminated in a sharp selloff in global equity markets on December 11th. In connection with the selloff, the Partnership sustained substantial losses due to net long positions in stock indices and energies.

Third Quarter 2015. The Partnership experienced a loss in July 2015 primarily from its long and short futures positions in U.S. and European stock indices. The Partnership experienced gains from its short positions in futures contracts on Crude Oil, Brent Oil and Gold as commodity weakness drove these markets lower during the month. The Partnership also benefited from its positions in interest rate futures. At the end of the month as a result of its ongoing market analysis, the Advisor discontinued trading in TOPIX, Gas Oil, Heating Oil, RBOB Gasoline, S&P 400 E-mini, Australian Dollar, Canadian Dollar, Mexican Peso and CBOE Vix contracts. The Partnership achieved a gain in August 2015 driven by profitable positioning in futures contracts on U.S. and European stock indices. On August 11th the PBOC unexpectedly began to devalue the Yuan in a series of moves that would send shockwaves through global financial markets. Fears of an economic slowdown led to a flight to quality, and the Partnership benefitted from both short positions in stock indices and long positions in interest rate futures. Short positions in energy futures contracts detracted from the performance of the Partnership. The Partnership experienced a gain in September 2015 with the bulk of the positive performance coming from short positions in futures on stock indices. At the beginning of the month, the PBOC announced more stringent capital controls resulting in a 10% drop in the price of crude oil. The Partnership was well positioned in advance of the PBOC announcement by having short positions in crude oil contracts. Currencies were the only sector with negative performance during the month, and the Partnership’s positions in currencies detracted from performance.


Second Quarter 2015. The Partnership experienced a gain in April 2015 primarily driven by long positions in futures contracts in the currency sector. The Partnership achieved gains in its trading of futures contracts on the Euro and the British Pound. Performance was also benefited by short positions at the end of the month in the Euro-Bund. The Partnership’s long futures positions in the Hang Seng China Enterprises and Hang Seng and long and short positions in the U.S. treasury futures contributed positively to performance. The Partnership’s short positions in the FTSE China A50 and futures positions on European and U.S. stock indices detracted from performance. The Partnership experienced a slight gain in May 2015. After U.S. Federal Reserve Chairman Yellen’s comments on May 6th that equity market valuations appeared high, the S&P closed at its lowest level in over a month, and the Partnership experienced a loss in the first full week of trading since taking long positions. The Partnership experienced gains from trading during the month in long and short futures positions in the Euro and in short positions in the FTSE China A50. The Partnership experienced mid-month losses in equity market futures, which were more than offset by strong sell signals in European interest rate futures. The Partnership’s gain in June 2015 was almost entirely attributed to trading in fixed income markets with minor gains in stock indices. The Partnership’s long and short positions in interest rate futures, most notably the Euro-Bund, contributed positively to performance. Performance also benefited from short positions in FTSE China A50 futures and in positions in the DJ Euro Stoxx 50. The energy sector was the worst performing sector followed by a small loss in the currency sector. The Partnership’s futures position in crude oil contracts generated the largest losses in the Partnership’s energy sector positions.

First Quarter 2015. The Partnership experience a slight loss in January largely driven by positions in futures contracts on the Euro, energy and European interest rates. Long positions in futures contracts on U.S. Treasuries and short positions in futures contracts in the FTSE China A50 index and the S&P index contributed to performance. Long positions in the Euro abruptly turned negative against a market downturn the week following the Swiss National Bank’s decision to abandon its peg to the Euro. The Partnership’s performance was adversely impacted by long positions in futures contracts in Crude Oil and Brent Oil. Short positions in European interest rates were the largest detractors to performance during the month. Steady long positions in futures contracts on U.S. Treasuries contributed positively to performance throughout the month. The Partnership also benefited from holding short positions in futures contracts on the FTSE China A50 and S&P indices. The Partnership experienced a gain in February driven by gains in all sectors except metals. Global stock markets generally climbed throughout the month, a trend that was profitably exploited by the Partnership’s long positions across most markets. Long positions in the DJ Stoxx 50 and the Dax indices were the largest contributors to performance during the month. The Partnership’s performance also benefited from short positions in the Euro-Bund and long positions in the UK Gilt bond. The Partnership experienced gains on short and long positions in Crude Oil as that market ebbed and flowed several times over the month. Long positions in Gold adversely impacted the Partnership’s performance. Short positions in futures contracts on U.S. Treasuries detracted from performance. The Partnership experienced a loss in March largely driven by losses in currencies, U.S. stock indices and energies. Long positions in futures contracts on the Euro were chiefly responsible for the month’s overall performance, as the Euro declined significantly through mid-month against the Partnership’s long position. Performance was also adversely impacted by long positions in futures contracts on the S&P index early in the month with a mid-month pivot to short positions in the S&P index further degrading performance. Short positions in the Euro-Bund also hurt performance. Performance benefited from both long and short positions in futures contracts on U.S. Treasuries, the FTSE China A50, Dax and DJ Euro Stoxx 50 indices and the energy sector.
 
2014

During 2014, the Partnership achieved net realized and unrealized losses of $8,510,727 from all trading; losses of $8,523,461 from trading of commodity futures contracts including brokerage commissions of $949,065. The Partnership incurred total expenses of $2,032,676, including $5,124 in incentive fees, $747,326 in management fees paid to the General Partner, and $956,163 in service and professional fees. The Partnership earned $56,273 in interest income during 2014. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for each quarter during 2014 is set forth below.

Fourth Quarter 2014. The Partnership experienced a loss in October 2014 with the bulk of the poor performance driven by short positions in futures contracts on the S&P, Dax and DJ Euro Stoxx 50 stock indices. Performance was further degraded by short positions in futures contracts on the Euro-Bund. The Partnership experienced gains during the month from its short positions in futures contracts on Crude Oil. The Partnership also experienced gains from its long positions in the interest rate futures. The Partnership experienced a loss in November 2014 with losses for short positions in futures contracts on the Dax index and European interest rates driving the poor performance. Performance was also hurt by short positions in futures contracts on the DJ Euro Stoxx 50 and long positions in Japanese Yen. The Partnership benefitted from long positions in futures contracts on the S&P and Nikkei indices. Short positions in futures contracts on Crude Oil also contributed positively to performance. The Partnership experience a loss in December 2014 driven by losses in long futures contracts on Crude Oil and Brent Crude Oil. Performance also was adversely impacted by long futures positions in the DJ Euro Stoxx 50 index and short positions in the Euro-Bund. The Partnership benefited from its positions in futures contracts on the Japanese Yen.


Third Quarter 2014. The Partnership experienced a loss in July 2014 with the bulk of the poor performance driven by long positions in futures contracts on U.S. Treasuries. Performance was further degraded by short positions in futures contracts on the Euro-Bund and long positions in futures contracts on Brent Crude Oil. The Partnership experienced gains from its short positions in the Euro, S&P and DJ Euro Stoxx 50 indices. The Partnership also benefited from timely long/short signal pivots in futures contracts on Gold. The Partnership experienced a loss in August 2014 with losses primarily coming from short positions in European interest rates and stock indices. Short positions in futures contracts on the Euro-Bund accounted for over half of the month’s losses. Other short positions in futures contracts on European interest rates contributed to the losses, although the losses were partially offset by gains from long positions in U.S. Treasury contracts. Short positions in the Dax (German stock index) and other European stock indices also hurt performance as the European markets rallied during the month. Short positions in Euro partially offset the month’s poor returns in Europe, as did profitable positions in the S&P index due to long positions in future contracts for the second half of the month. The Partnership achieved a gain in September 2014 driven by profitable positioning in European stock indices, currencies, energies and interest rates. Long positions in futures contracts on the DJ Euro Stoxx 50 and Dax indices and short positions in futures contracts on the Japanese Yen drove performance for the month. Short positions in futures contracts on the Euro-Bund, Australian Dollar, Brent Crude Oil and Gold contributed to performance. Short positions in the U.S. 10-year Treasury Note was responsible for the month’s only significant losses.

Second Quarter 2014. The Partnership experienced a loss in April largely driven by positions in futures contracts on U.S. and European stock indices, US Treasuries, the Euro and the Japanese Yen. At the beginning of the month, long positions in futures contracts on US and European stock indices and US Treasuries added to performance, but early in the month US equities dropped resulting in a loss in the Partnership’s long positions. Later in the month, the Partnership entered into short positions on the indices, but the markets rallied resulting in a loss in the short positions. Mixed long and short positions in US Treasuries further detracted from the Partnership’s performance. A long position in futures contracts on the Dax index adversely impacted the Partnership’s performance. The Partnership experienced a loss in May as losses in single sector, stock indices, eclipsed gains in interest rates, currencies, metals and energies. The Partnership’s long position in futures contracts on US Treasuries added to performance, while positions in futures contracts on the S&P and the DJ Euro Stoxx 50 indices adversely impacted performance. The long position in Gilt further detracted from performance. The Partnership’s futures contracts on currencies, metals and energies contributed positively to performance. The Partnership experienced a loss in June driven by losses in interest rate contracts. The US 10-Year Note accounted for the most significant portion of the losses in June. Long positions in futures on the S&P index and crude oil contributed to performance, while short positions in gold futures and the Eurobund adversely impacted performance.

First Quarter 2014. The Partnership experienced a gain in January largely driven by positions in futures contracts on the Eurobund, U.S. and European stock indices and natural gas. Long positions in futures contracts on the Eurobund and natural gas contributed to performance. Performance also benefited from holding short positions in futures contracts on the S&P index early in the month and then switching to long positions later in the month. Early in the month, long positions in futures contracts on the Dax and DJ Euro Stoxx 50 indices added to performance while later in the month short positions benefited performance. The Partnership’s performance was hurt by short positions in futures contracts on the U.S. 10-Year Note, but the positions’ losses were offset by gains in long futures positions in the U.S. Ultra Bond and 30-Year Bond. Performance was adversely impacted by long positions in futures contracts on Japanese stock indices and positions in the Euro. The Partnership experienced a slight gain in February largely driven by long positions in futures contracts on natural gas and on interest rates. Long positions on futures in Eurobund, Euro-Bobl and U.S. Treasuries and on the S&P index contributed positively to performance. Performance also benefited from short positions in futures contracts on natural gas late in the month. Short positions in futures contracts on the S&P and Dax indices were the largest detractors to performance during the month. The Partnership experienced a loss in March driven by losses across all sectors. Losses were primarily due to long positions in futures contracts on the U.S. 10-Year Note and other U.S. Treasuries early in the month and short positions in the same later in the month. Positions in futures contracts on the Dax and DJ Euro Stoxx 50 indices and on the Yen contributed to losses as the markets fluctuated generally inverse to the Partnership’s positions. Contributors to performance included long positions in futures contracts on the S&P index and positions in futures contracts Eurobund and Euro-Bobl.

2013

During 2013, the Partnership achieved net realized and unrealized losses of $4,630,395 from its trading of commodity futures contracts including brokerage commissions paid of $1,650,361. The Partnership incurred total expenses of $3,218,902, including $95,825 in incentive fees, $1,263,038 in management fees paid to the General Partner, and $1,354,170 in service and professional fees. The Partnership earned $122,398 in interest income during 2013. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for each quarter during 2013 is set forth below.

Fourth Quarter 2013. The Partnership was down slightly in October 2013. Gains made throughout the month in trading of futures contracts on U.S. and European stock indices were offset by losses in every other sector. Short positioning in futures contracts on U.S. and European interest rates provided additional profit during the beginning of the month, but began generating losses as those markets surged later in the month. A long position in futures contracts on the S&P profited as U.S. equities continued a nearly month-long rally, which reversed in the last few days of the month, eliminating most of the previous gains. The Partnership had significant losses in futures contracts on Japanese stock indices resulting from generally long positions. Other losses came from short positions in brent crude and gas oil, especially during the month’s last four trading days. The Partnership achieved gains in November 2013, with long positions in futures contracts on U.S. and Japanese stock indices combining with long and short positions in futures contracts on interest rates to provide particularly robust returns. Positions in futures contracts on crude oil, currencies, and metals added to profits. Steady long positions in futures contracts on the Nikkei and Euro- Bund continued to add profit during the month. Other winners for the month included short Yen positions, both sides of the Australian Dollar, and short positions in gold, silver, and crude oil. The Partnership achieved gains in December 2013 as profitable positions in futures contracts on stock indices and currencies combined with short positions in futures contracts on interest rates and metals to boost performance. Futures contracts on stock indices were the most significant driver of performance, exploiting a sustained rally in U.S. and European stock indices that began in the middle of the month. Spanning the entire month, steady short signals in the U.S. 10-Year Note and Euro-Bund added further gains. Short positions in futures contracts in the Japanese Yen, gold, and silver and long positions in futures contracts on the Euro also contributed to performance.

Third Quarter 2013. The Partnership was nearly flat in July 2013 as the strength of short positions in U.S. Treasuries and long positions in energies, gold, and U.S. and European stock indices was offset by losses from short European interest rates, as well as poor positioning in futures contracts on Japanese stock indices and all currencies. The primary driver of July performance was short futures contracts on U.S. Treasuries that delivered impressive month-long returns. Long positions in futures contracts on U.S. and European stock indices and energies contributed further to profits as those markets rallied through month-end. Positive performance was tempered by short positions in futures contracts on European interest rates, and a long Nikkei position. The Partnership achieved a gain in August 2013 driven by profitable positioning in futures contracts on interest rates and stock indices. Long positions in futures contracts on U.S. stock indices exploited a surge in U.S. equities. A long crude oil position delivered steady profits, which continued for practically the entire month as tensions in the Middle East bolstered prices. A short position on futures contracts on U.S. equities provided a welcome offset to otherwise poor performance during the last few days of the month. The Partnership experienced a loss in September 2013 with the bulk of the poor performance driven by futures contracts on U.S. stock indices. Gains from Nikkei, interest rates, and currencies provided only partial offset, while energies and metals contributed additional losses. The Partnership took a strong short position in futures contracts on the S&P for the first half of the month, hampering performance as all U.S. stock indices trended higher. Losses were compounded when the Partnership switched to a long position in futures contracts on U.S. stock indices just as the markets began to fall in the last week of the month. Long positions in crude oil and gold delivered further setbacks as both markets receded. Long positions in futures contracts on the Nikkei and the Euro compensated for some of the losses during the month.


Second Quarter 2013. The Partnership experienced a loss in April 2013 as futures positions in equity indices, energies, and gold suffered disappointing reversals and dragged into negative territory. When the Bank of Japan announced a desire to double the monetary base within two years, a steady, month-long rally moved against short positions. A short S&P signal proved profitable through the middle of the month, until a sustained rally delivered heavy losses. Additional losses were averted by moving to long positions. Also in April, Gold plunged on its biggest single day selloff, in percentage terms, since 1983. Further losses were delivered by long positions in energies as those markets receded. The Partnership experienced a loss in May 2013 as strong returns in non-Japanese stock indices, non-Yen currencies, and energies were flattened by negative results in futures contracts on Japanese stock indices, Yen, U.S. Treasuries, and Gold. The Partnership had temporary relief and saw gains towards the end of May, but losses increased on long positions in futures contracts on stock indices against a lockstep global retreat. Further losses were added by short positions in futures contracts on U.S. Treasuries and long signals in Gold. The Partnership experienced a loss in June 2013 when losing positions in futures contracts on currencies, energies, non-U.S. stock indices, and Gold eclipsed winning positions in interest rates and U.S. stock indices. The Partnership suffered losses from short positions in Japanese and European stock indices, and unprofitable short positions in most currencies. After these losses, the Partnership realized temporary gains from short Japanese equities and a short position on futures contracts on the S&P as U.S. equities dropped. However, the end of the quarter delivered frustrating setbacks as short Japanese and U.S. equities, long Gold, and short currencies dragged performance into negative territory.

First Quarter 2013. The Partnership experienced a loss in January 2013 as an equity rally that began in December continued into January causing losses in the Partnership’s short positions in futures contracts on stock indices. A corresponding long position in futures contracts on the Eurobund added to losses as that market fell. The markets that contributed positively to performance were a long position on the Euro, and long positions in futures contracts on energies as those markets rose steadily. The Partnership experienced a loss in February 2013 as short positions in futures contracts on interest rates and long positions on futures contracts on energies furnished losses that marginally exceeded gains from varied positions in contracts on stock indices and steady short signals in Gold and Silver. Early in the month, long positions in Yen, German interest rates, and U.S. Treasuries teamed with short positions across the Japanese stock indices to produce heavy losses. Later in the month, the Partnership suffered from the combined effects of long positions in the S&P and short positions in Japanese stock indices, as both markets moved sharply opposite these signals. The Partnership experienced a loss in March 2013. Trading in futures contracts on interest rates and Japanese stock indices accounted for the bulk of the month’s losses. U.S. and European stock indices delivered positive returns that slightly offset other losses. Trading futures contracts on the U.S. 10-Year Note generated the bulk of the losses in the portfolio for the month. For the entire month, the Partnership maintained a short position in futures contracts on all Japanese stock indices that added to losses as the Nikkei surged upward.

(d) Off-Balance Sheet Arrangements

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

(e) Contractual Obligations

Not required.

(f) Critical Accounting Estimates

The General Partner believes that the Partnership’s most critical accounting estimates relate to the valuation of the Partnership’s assets. Futures and options on futures contracts are valued using the primary exchange’s closing price. U.S. government agency securities are generally valued based on quoted prices in active markets. Corporate notes are generally valued at fair value. Security transactions are recorded on the trade date. Realized gains and losses from security transactions are determined using the specific identification cost method. 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.


The Partnership’s financial statements are presented in accordance with U.S. generally accepted accounting principles (U.S. GAAP), which require the use of certain estimates made by the Partnership’s management. Actual results could differ from those estimates. Based on the nature of the business and operations of the Partnership, the General Partner believes that the estimates utilized in preparing the Partnership’s financial statements are appropriate and reasonable, however actual results could differ from these estimates. The estimates used do not provide a range of possible results that would require the exercise of subjective judgment. The General Partner further believes that, based on the nature of the business and operations of the Partnership, no other reasonable assumptions relating to the application of the Partnership’s critical accounting estimates other than those currently used would likely result in materially different amounts from those reported.

ITEM 7A: QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Not required.

ITEM 8: FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA

Financial statements required by this item are included herewith following the Index to Financial Statements and are incorporated by reference into this Item 8.

Because the Partnership is a Smaller Reporting Company, as defined by Rule 229.10(f)(1), the supplementary financial information required by Item 302 of Regulation S-K is not required.

ITEM 9: CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE

None.

ITEM 9A: CONTROLS AND PROCEDURES

(a) 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 annual report, and, based on their evaluation, has concluded that these disclosure controls and procedures are effective.

(b) Management’s Annual Report on Internal Control over Financial Reporting

Altegris Advisors, L.L.C., the general partner of the Partnership, is responsible for the management of the Partnership. Management of the General Partner (“Management”) is responsible for establishing and maintaining adequate internal control over financial reporting. The internal control over financial reporting is designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles.

The Partnership’s internal control over financial reporting includes those policies and procedures that:

 
 
Pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Partnership;
       
 
 
Provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that the Partnership’s transactions are being made only in accordance with authorizations of Management; and
       
 
 
Provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Partnership’s assets that could have a material effect on the financial statements.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.


Management assessed the effectiveness of the Partnership’s internal control over financial reporting as of December 31, 2015. In making this assessment, Management used the criteria set forth in Internal Control — Integrated Framework issued in 2013 by the Committee of Sponsoring Organizations of the Treadway Commission (“COSO”). As a result of this assessment and based on the criteria in the COSO framework, management has concluded that, as of December 31, 2015, the Partnership’s internal control over financial reporting was effective.

(c) Changes in Internal Control over Financial Reporting

There were no changes in the Partnership’s internal control over financial reporting during the quarter and year ended December 31, 2015 that have materially affected, or are reasonably likely to materially affect, its internal control over financial reporting.

ITEM 9B: OTHER INFORMATION

None.
 
PART III

ITEM 10: DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE

(a) Identification of Directors and Executive Officers

(i) The Partnership has no officers, directors, or employees. The Partnership’s affairs are managed by the General Partner (although it has delegated trading and investment authority to the Advisor and administrative duties to Altegris). The General Partner is indirectly owned by AqGen Liberty Holdings LLC (“AqGen”), an entity owned and controlled by (i) private equity funds managed by Aquiline Capital Partners LLC and its affiliates (“Aquiline”), and by Genstar Capital Management, LLC and its affiliates (“Genstar”), and (ii) certain senior management of the General Partner and its affiliates. Aquiline is a private equity firm located in New York, New York, and Genstar is a private equity firm located in San Francisco, California. The General Partner’s managers and executive officers are Jack L. Rivkin, Matthew C. Osborne, and Kenneth I. McGuire.

Jack L. Rivkin (born 1940) joined the General Partner’s predecessor entity, APM, as Chief Investment Officer in December 2013, and was appointed Chief Executive Officer of the General Partner in June 2015 and Chief Investment Strategist in January 2016. Mr. Rivkin has served as a manager of the General Partner (December 2013 to present), Chief Investment Officer of the General Partner (December 2013 to January 2016) and as an Executive Vice President of the General Partner (December 2013 to June 2015). Mr. Rivkin has served as a manager and Executive Vice President of Altegris Services, LLC and Altegris Clearing Solutions, L.L.C. (January 2014 to present). Mr. Rivkin has served as a manager and Executive Vice President and Chief Investment Officer of Altegris Clearing Solutions (January 2014 to present). Mr. Rivkin has served as an Executive Vice President of Altegris Holdings (January 2014 to present). Mr. Rivkin is responsible for general management and oversight of each of the Altegris companies for which he serves as Executive Vice President. For each company for which he serves as Chief Investment Officer, Mr. Rivkin provides leadership, vision and oversight over the investment management and research process. Mr. Rivkin became a principal of APM in January 2014 and is also registered with the CFTC and is a member of the NFA as a principal for the following affiliates of the General Partner: (a) Altegris Clearing Solutions LLC as principal (January 2014 to present) and (b) Advisors as a principal (January 2014 to present). During the five years prior to joining Altegris, Mr. Rivkin was CEO of JL Rivkin & Associates, Inc., a firm engaged in the management of existing private and public equity portfolios (January 2002 to December 2013). Mr. Rivkin earned his Professional Engineering degree from the Colorado School of Mines and his MBA from the Harvard Graduate School of Business Administration.

Matthew C. Osborne (born 1964) was appointed Chief Investment Officer of the General Partner in January 2016. Mr. Osborne has served as a manager of the General Partner (or a director of the General Partner’s predecessor entity, APM) since July 2002. He has also served as a Vice President of APM (July 2002 to January 2011), an Executive Vice President of the General Partner (January 2011 to June 2015) and as Co-President of the General Partner (June 2015 to January 2016). Mr. Osborne has also been (1) an Executive Vice President, Chief Investment Officer and a director of Altegris (July 2002 to May 2010); (2) a manager and Executive Vice President of Clearing Solutions (December 2008 to present); (3) a manager and Executive Vice President of Services (February 2010 to present); and (4) Executive Vice President of Altegris Holdings (October 2012 to present).


Kenneth I. McGuire (born 1958) is the Chief Operating Officer and a Manager (February 2010 to present), and President of the General Partner. Mr. McGuire also serves as Chief Operating Officer for Services (May 2010 to present). Mr. McGuire also serves as Chief Operating Officer of Altegris Holdings. His duties within the Altegris Companies include supervision of personnel in the software development, information technology, fund operations and futures operations businesses of the Altegris Companies. During the past five years, Mr. McGuire was employed by The Bank of New York Mellon, an asset management and securities services company, as a Managing Director (April 2006 to October 2009). Mr. McGuire was employed within BNY Mellon Alternative Investment Services, serving as Product Manager for that unit’s Single Manager Hedge Fund services. Mr. McGuire was a Strategic Advisor with Harvest Technology, a boutique investment technology consultancy (May 2005 to April 2006). Mr. McGuire graduated Magna Cum Laude from Hofstra University with a degree in Computer Science/Mathematics and received his MBA with a concentration in Management from Adelphi University..

None of the individuals listed above currently serves as a director of a public company.

(ii) Identification of Certain Significant Employees

None.

(iii) Family Relationships

None.

(iv) Business Experience

See above.

(v) Involvement in Certain Legal Proceedings.

None.

(vi) Promoters and Control Persons

Not Applicable.

(b) Section 16(a) Beneficial Ownership Reporting Compliance

Not Applicable

(c) Code of Ethics

The Partnership has no employees, officers or directors and is managed by the General Partner. The General Partner has adopted a Code of Ethics that applies to its principal executive officers and certain other persons associated with the General Partner. A copy of this Code of Ethics may be obtained at no charge by written request to Altegris Advisors, L.L.C., 1200 Prospect Street, Suite 400, La Jolla, CA 92037.

(d) Corporate Governance

Not applicable.


ITEM 11: EXECUTIVE COMPENSATION

The Partnership has no officers, directors, or employees. None of the principals, officers, or employees of the General Partner or Altegris receives compensation from the Partnership. All persons serving in the capacity of officers or executives of the General Partner, the general partner of the Partnership, are compensated by Altegris and/or an affiliate in respect of their respective positions with such entities. The General Partner receives a monthly management fee equal to 1/12 of 1.25% of the management fee net asset value of the month-end capital account balances attributable to Class A and Class B Interests and equal to 1/12 of 0.75% of the management fee net asset value of the month-end capital account balances attributable to Institutional Interests. The General Partner also receives a monthly administrative fee equal to 1/12 of 0.333% of the management fee net asset value of the month-end capital account balances attributable to Class A and Class B Interests.

Altegris receives continuing monthly compensation from the Partnership equal to 1/12 of 2% of the month-end net asset value of Class A Interests sold by Altegris.

Clearing Solutions, in its capacity as Introducing Broker to the Partnership, receives compensation for brokerage-related services. The Partnership will pay monthly brokerage charges equal to the greater of (A) actual commissions of $9.75 per round-turn (higher for certain exchanges or commodities) multiplied by number of round-turn trades, which amount includes other transaction costs; or (B) an amount equal to 0.125% of the management fee net asset value of all Interest holders’ month-end capital account balances (1.50% annually). If actual monthly commissions and transaction costs in (A) above are less than the amount in (B) above, the Partnership will pay the difference to the Introducing Broker as payment for brokerage-related services. In any month when the amount in (A) is greater than the amount in (B) above, the Partnership will pay only the amount described in (A) above.

The Partnership has no other compensation arrangements. There are no compensation plans or arrangements relating to a change in control of the Partnership.
 
ITEM 12: SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS

(a)
Security ownership of certain beneficial owners

Not applicable.

(b)
Security Ownership of Management

The Partnership has no officers or directors. Under the terms of the Limited Partnership Agreement, the Partnership’s affairs are managed by the General Partner, which has delegated discretionary authority over the Partnership’s trading to QIM. As of February 29, 2016, the General Partner’s general partner interest in the Partnership was valued at $890. which constituted approximately 0% of the Partnership’s total assets. The General Partner and the principals of the General Partner may purchase Interests. As of February 29, 2016, the following managers and executive officers of the General Partner owned Interests in the Partnership: None. The direct and indirect holding of Interests of each manager and executive officer and the total aggregate ownership of Interests is 0% of the Partnership’s total assets.

(c)
Changes in Control

None.

ITEM 13: CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS, AND DIRECTOR INDEPENDENCE

The Partnership does not engage in any transactions with the General Partner or its affiliates other than in respect of the services and payment of fees therefor described above in Item 1.


The Partnership paid to the General Partner monthly management fees totaling $358,619 for the year ended December 31, 2015. The Partnership paid to the General Partner administrative fees totaling $90,388 for the year ended December 31, 2015.

The Partnership paid to Altegris monthly continuing compensation of $70,965 for the year ended December 31, 2015. Clearing Solutions, in its capacity as the Introducing Broker for the Partnership, received from the Partnership’s clearing broker the following compensation: a portion of the brokerage commissions paid by the Partnership to SGAS, and of the interest income earned on Partnership’s assets held at SGAS, equal to $0 for the year ended December 31, 2015.  In addition, Clearing Solutions, in its capacity as Introducing Broker, receives from the Partnership, monthly brokerage charges as described in Item 11. For the year ended December 31, 2015 the Partnership paid monthly brokerage charges of $148,774

The Partnership has not and does not make any loans to the General Partner, its affiliates, their respective officers, directors or employees or the immediate family members of any of the foregoing, or to any entity, trust or other estate in which any of the foregoing has any interest, or to any other person.

None of the General Partner, its affiliates, their respective officers, directors and employees or the immediate family members of any of the foregoing, or any entity trust or other estate in which any of the foregoing has any interest has, to date, sold any asset, directly or indirectly, to the Partnership.

The Partnership has no directors, officers or employees and is managed by the General Partner. The General Partner is managed by certain of its principals, none of whom is independent of the General Partner.

ITEM 14: PRINCIPAL ACCOUNTING FEES AND SERVICES

The following table sets forth (a) the fees billed to the Partnership for professional audit services provided by Ernst & Young LLP, the Partnership’s independent registered public accountant, for the audit of the Partnership’s annual financial statements for the year ended December 31, 2014 and (b) the fees expected to be billed to the Partnership for professional audit services provided by Ernst & Young LLP for the audit of the Partnership’s annual financial statements for the year ended December 31, 2015.

FEE CATEGORY
 
2015
   
2014
 
Audit Fees
 
$
24.600
   
$
25,600
 
Audit-Related Fees
 
$
31,800
   
$
34,050
 
Tax Fees
 
$
66,595
   
$
66,596
 
All Other Fees
   
-
     
0
 
TOTAL FEES
 
$
122,995
   
$
126,246
 

Audit Fees consist of fees paid to Ernst & Young LLP for (i) the audit of Altegris QIM Futures Fund, L.P.’s annual financial statements included in the annual report on Form 10-K, quarterly reviews of financial statements included in the reports on the Partnership’s Form 10-Q, and reviews of current reports filed by the Partnership on Form 8-K; and (ii) services that are normally provided by the Independent Registered Public Accountants in connection with statutory and regulatory filings of registration statements.

Tax Fees consist of fees paid to Ernst & Young LLP for professional services rendered in connection with tax compliance and Partnership income tax return filings.

The managers of the General Partner pre-approve the engagement of the Partnership’s auditor for all services to be provided by the auditor.


PART IV

ITEM 15: EXHIBITS, FINANCIAL STATEMENT SCHEDULES

 
Financial Statements

The financial statements and balance sheets required by this Item are included herewith, beginning after the signature page hereof, and are incorporated into this Item 15.

 
Exhibits

The following documents (unless otherwise indicated) are filed herewith and made part of this registration statement.

Exhibit Designation
Description
* 3.1
Certificate of Formation of APM – QIM Futures Fund L.P.
   
** 4.1
Second Amended and Restated Agreement of Limited Partnership of Altegris 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.
   
31.01
Rule 13a-14(a)/15d-14(a) Certifications
   
32.01
Section 1350 Certifications

* These exhibits are incorporated by reference to the exhibits of the same numbers and descriptions filed with the Partnership’s Registration Statement (File No. 000-53815) filed on November 2, 2009 on Form 10-12G under the Securities Exchange Act of 1934.

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

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Dated: March 30, 2016
Altegris QIM FUTURES FUND, L.P.
 
By: ALTEGRIS ADVISORS, L.L.C.
   
  By:
/s/ Matthew C. Osborne
 
Name: Matthew C. Osborne
Title: Chief Investment Officer

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the General Partner of the Registrant and in the capacities and on the date indicated.

   
Title with
   
Signature
 
General Partner
 
Date
         
/s/ Jack L. Rivkin
 
Chief Executive Officer, Manager
 
March 30, 2016
Jack L. Rivkin
 
(Principal Executive Officer)
   
         
         
/s/ Matthew C. Osborne
 
Chief Investment Officer, Manager
 
March 30, 2016
Matthew C. Osborne
       
         
/s/ Kenneth I. McGuire
 
President, Chief Operating Officer, Manager
 
March 30, 2016
Kenneth I. McGuire
 
(Principal Financial Officer)
   

(Being the principal executive officer, the principal financial officer and principal accounting officer, and a majority of the managers of Altegris Advisors, L.L.C.)

ALTEGRIS QIM FUTURES FUND, L.P.

FINANCIAL STATEMENTS

FOR THE YEARS ENDED DECEMBER 31, 2015, 2014 AND 2013


ALTEGRIS QIM FUTURES FUND, L.P.

_______________
 
TABLE OF CONTENTS
_______________

 
PAGES
Affirmation of the Commodity Pool Operator
1
Report of Independent Registered Public Accounting Firm
2
Financial Statements
 
Statements of Financial Condition
3
Condensed Schedules of Investments
4 - 7
Statements of Income (Loss)
8
Statements of Changes in Partners’ Capital (Net Asset Value)
9
Notes to Financial Statements
10 - 26



ALTEGRIS QIM FUTURES FUND, L.P.
AFFIRMATION OF THE COMMODITY POOL OPERATOR
_______________
 
To the Partners of
Altegris QIM Futures Fund, L.P.

To the best of the knowledge and belief of the undersigned, the information contained in this Annual Report for the years ended December 31, 2015, 2014 and 2013 is accurate and complete.

 
By:
/s/ Kenneth I. McGuire
 
   
Altegris Advisors, L.L.C.
 
   
Commodity Pool Operator for
 
   
Altegris QIM Futures Fund, L.P.
 
   
By:  Kenneth I. McGuire, Chief Operating Officer
 

Ernst & Young LLP
One Commerce Square
Suite 700
2005 Market Street
Philadelphia, PA 19103
Tel: +1 215 448 5000
Fax: +1 215 448 5500
ey.com
 
Report of Independent Registered Public Accounting Firm

The General Partner and Partners of Altegris QIM Futures Fund, L.P.

We have audited the accompanying statements of financial condition of Altegris QIM Futures Fund, L.P. (the “Partnership”), including the condensed schedules of investments, as of December 31, 2015 and 2014, and the related statements of income (loss), statements of changes in partners’ capital and financial highlights for each of the three years then ended. These financial statements and financial highlights are the responsibility of the Partnership’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Partnership’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Partnership’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2015, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Altegris QIM Futures Fund, L.P. at December 31, 2015 and 2014, and the results of its operations, the changes in its partners’ capital and the financial highlights for each of the three years in the period then ended, in conformity with U.S. generally accepted accounting principles.
 
 
 
March 28, 2016
 

ALTEGRIS QIM FUTURES FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, 2015 and DECEMBER 31, 2014
_______________

   
2015
   
2014
 
ASSETS
           
    Equity in commodity broker account:
           
        Cash
 
$
1,865,463
   
$
1,708,036
 
        Restricted cash
   
2,359,911
     
1,119,921
 
        Restricted foreign currency (cost - $2,767,713 and $871,601)
   
1,888,055
     
846,214
 
        Unrealized gain on open commodity futures contracts
   
30,235
     
-
 
                 
     
6,143,664
     
3,674,171
 
                 
    Cash
   
10,250,155
     
6,229,433
 
    Investment securities at value
               
      (cost - $10,297,864 and $35,270,474)
   
10,297,508
     
35,264,837
 
    Interest receivable
   
1,064
     
14,558
 
                 
Total assets
 
$
26,692,391
   
$
45,182,999
 
                 
LIABILITIES
               
    Equity in commodity broker account:
               
        Foreign currency due to broker
               
           (proceeds - $2,768,014 and $875,134)
 
$
1,888,260
   
$
849,644
 
        Unrealized loss on open commodity futures contracts
   
-
     
31,586
 
                 
     
1,888,260
     
881,230
 
                 
    Redemptions payable
   
584,501
     
3,684,626
 
    Subscriptions received in advance
   
329,557
     
-
 
    Service fees payable
   
31,459
     
43,629
 
    Management fee payable
   
25,461
     
45,585
 
    Incentive fees payable
   
23,564
     
-
 
    Administrative fee payable
   
6,475
     
11,126
 
    Brokerage commissions payable
   
5,645
     
30,959
 
    Other liabilities
   
127,184
     
138,117
 
                 
                Total liabilities
   
3,022,106
     
4,835,272
 
                 
                 
PARTNERS' CAPITAL (NET ASSET VALUE)
               
    General Partner
   
802
     
698
 
    Limited Partners
   
23,669,483
     
40,347,029
 
                 
                Total partners' capital (Net Asset Value)
   
23,670,285
     
40,347,727
 
                 
Total liabilities and partners' capital
 
$
26,692,391
   
$
45,182,999
 
 
See accompanying notes.
-3-

ALTEGRIS QIM FUTURES FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2015
_______________

INVESTMENT SECURITIES

Face Value
 
Maturity Date
 
 Description
 
Value
   
% of Partners' Capital
 
                     
Fixed Income Investments
               
                     
U.S. Government Agency Bonds and Notes
           
$
1,000,000
 
1/4/2016
 
Federal Farm Credit Bank Disc Note, 0.00%*
 
$
999,998
     
4.22
%
 
500,000
 
1/8/2016
 
Federal Home Loan Bank Disc Note, 0.08%*
   
499,991
     
2.11
%
 
300,000
 
1/27/2016
 
Federal Home Loan Bank Disc Note, 0.13%*
   
299,971
     
1.27
%
 
500,000
 
2/5/2016
 
Federal Home Loan Bank Disc Note, 0.23%*
   
499,889
     
2.11
%
 
800,000
 
2/16/2016
 
Federal Home Loan Bank Disc Note, 0.23%*
   
799,761
     
3.38
%
 
250,000
 
2/17/2016
 
Federal Home Loan Bank Disc Note, 0.23%*
   
249,924
     
1.05
%
 
1,200,000
 
2/24/2016
 
Federal Home Loan Bank Disc Note, 0.24%*
   
1,199,575
     
5.07
%
 
1,000,000
 
4/20/2016
 
Federal Home Loan Bank Disc Note, 0.34%*
   
998,960
     
4.22
%
 
650,000
 
2/19/2016
 
Federal Home Loan Bank, 0.38%
   
650,005
     
2.75
%
Total U.S. Government Agency Bonds and Notes (cost - $6,198,430)
   
6,198,074
     
26.18
%
                           
Corporate Notes
                       
$
300,000
 
1/13/2016
 
Apple Inc., 0.30%*
   
299,928
     
1.27
%
 
300,000
 
1/22/2016
 
Banco del Estado de Chile, NY, 0.40%
   
300,000
     
1.27
%
 
460,000
 
1/6/2016
 
Chevron Corp Disc Note, 0.26%*
   
459,898
     
1.94
%
 
200,000
 
1/13/2016
 
DCAT LLC, 0.35%*
   
199,925
     
0.84
%
 
420,000
 
1/12/2016
 
Exxon Mobile Corp Disc Note, 0.30%*
   
419,879
     
1.77
%
 
450,000
 
1/4/2016
 
General Electric Co., 0.15%*
   
449,993
     
1.90
%
 
200,000
 
1/14/2016
 
National Rural Utilities Cooperative Finance Corp, 0.29%*
   
199,945
     
0.84
%
 
300,000
 
1/15/2016
 
Norinchukin Bank Disc Note, 0.39%
   
300,000
     
1.27
%
 
310,000
 
1/27/2016
 
Sumitomo Mutsui Banking Co, 0.40%
   
310,000
     
1.31
%
 
310,000
 
1/27/2016
 
Sumitomo Mutsui Trust & Banking Co, 0.41%
   
310,000
     
1.31
%
 
300,000
 
1/8/2016
 
The Chiba Bank Ltd, 0.46%
   
300,000
     
1.27
%
 
250,000
 
1/20/2016
 
The Walt Disney Co, 0.30%*
   
249,958
     
1.06
%
 
300,000
 
1/14/2016
 
Working Capital Management Co LP Disc Note, 0.45%*
   
299,908
     
1.27
%
Total Corporate Notes (cost - $4,099,434)
 
4,099,434
     
17.32
%
                           
Total Investment Securities (cost - $10,297,864)
 
$
10,297,508
     
43.50
%

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

See accompanying notes.

-4-

ALTEGRIS QIM FUTURES FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS (continued)
DECEMBER 31, 2015
_______________

Range of
Expiration Dates
 
Number of Contracts
   
Value
   
% of Partners' Capital
 
                     
Long Futures Contracts:
                   
Currencies
Mar 16
   
28
   
$
1,645
     
0.01
%
Energy
Feb 16
   
3
     
(1,460
)
   
(0.01
)%
Interest Rates
Mar 16
   
1
     
166
     
0.00
%
Stock Indices
Jan 16 - Mar 16
   
34
     
5,476
     
0.02
%
                           
Total Long Futures Contracts
     
66
     
5,827
     
0.02
%
                           
Short Futures Contracts:
                         
Currencies
Mar 16
   
13
     
8,662
     
0.04
%
Energy
Feb 16
   
15
     
(49,884
)
   
(0.21
)%
Interest Rates
Mar 16
   
59
     
14,853
     
0.06
%
Metals
Feb 16 - Mar 16
   
21
     
27,641
     
0.12
%
Stock Indices
Jan 16 - Mar 16
   
187
     
25,420
     
0.11
%
Treasury Rates
Mar 16
   
81
     
(2,284
)
   
(0.01
)%
                           
Total Short Futures Contracts
     
376
     
24,408
     
0.11
%
                           
Total Futures Contracts
     
442
   
$
30,235
     
0.13
%

See accompanying notes.

-5-

ALTEGRIS QIM FUTURES FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2014
_______________

INVESTMENT SECURITIES
               
Face Value
 
Maturity Date
 
 Description
 
Value
   
% of Partners' Capital
 
                     
                     
Fixed Income Investments
               
                     
U.S. Government Agency Bonds and Notes
           
$
2,417,000
 
1/2/2015
 
Federal Farm Credit Bank Disc Note, 0.01%*
 
$
2,416,999
     
5.99
%
 
3,050,000
 
1/16/2015
 
Federal Home Loan Bank Disc Note, 0.018%*
   
3,049,976
     
7.56
%
 
2,500,000
 
3/20/2015
 
Federal Home Loan Bank, 0.13%
   
2,499,633
     
6.19
%
 
2,000,000
 
8/19/2015
 
Federal Home Loan Bank, 0.20%
   
1,999,648
     
4.96
%
 
1,500,000
 
9/18/2015
 
Federal Home Loan Bank, 0.20%
   
1,499,131
     
3.71
%
 
1,200,000
 
12/1/2015
 
Federal Home Loan Bank, 0.20%
   
1,198,553
     
2.97
%
 
1,200,000
 
12/8/2015
 
Federal Home Loan Bank, 0.13%
   
1,196,986
     
2.97
%
 
2,000,000
 
1/16/2015
 
Federal Home Loan Bank, 0.25%
   
2,000,052
     
4.96
%
 
2,000,000
 
8/28/2015
 
Federal Home Loan Mortgage Corp, 0.50%
   
2,003,500
     
4.96
%
 
1,000,000
 
6/1/2015
 
Federal National Mort Assoc Disc Note, 0.14%*
   
999,625
     
2.48
%
 
2,000,000
 
7/2/2015
 
Federal National Mortgage Association, 0.50%
   
2,001,672
     
4.96
%
Total U.S. Government Agency Bonds and Notes (cost - $20,871,412)
   
20,865,775
     
51.71
%
                           
Corporate Notes
                       
$
1,000,000
 
1/2/2015
 
Bank of Montreal, 0.10%
   
1,000,000
     
2.48
%
 
1,400,000
 
1/9/2015
 
Exxon Mobile Corp Disc Note, 0.09%*
   
1,399,893
     
3.47
%
 
1,400,000
 
1/9/2015
 
General Electric Capital Corp Disc Note, 0.07%*
   
1,399,903
     
3.47
%
 
1,600,000
 
1/5/2015
 
Johnson & Johnson, 0.07%*
   
1,599,916
     
3.97
%
 
1,000,000
 
1/14/2015
 
Liberty Street Funding LLC, 0.16%*
   
999,887
     
2.48
%
 
700,000
 
1/14/2015
 
National Rural Utilities Cooperative Finance Corp, 0.13%*
   
699,921
     
1.73
%
 
1,000,000
 
1/29/2015
 
Norinchukin Bank Disc Note, 0.17%
   
1,000,000
     
2.48
%
 
250,000
 
1/9/2015
 
Scotia Holdings (US) Inc., 0.13%*
   
249,976
     
0.62
%
 
800,000
 
1/6/2015
 
Shizuoka Bank, 0.19%
   
800,000
     
1.98
%
 
1,650,000
 
1/2/2015
 
Sumitomo Mutsui Banking Co Disc Note, 0.16%
   
1,650,000
     
4.09
%
 
1,400,000
 
1/16/2015
 
Toronto-Dominion Holdings, 0.09%*
   
1,399,847
     
3.47
%
 
1,200,000
 
1/8/2015
 
Victory Receivables Corp, 0.13%*
   
1,199,840
     
2.97
%
 
1,000,000
 
1/2/2015
 
Working Capital Management Co LP Disc Note, 0.10%*
   
999,879
     
2.48
%
Total Corporate Notes (cost - $14,399,062)
   
14,399,062
     
35.69
%
                           
Total Investment Securities (cost - $35,270,474)
 
$
35,264,837
     
87.40
%

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

See accompanying notes.

-6-

ALTEGRIS QIM FUTURES FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS (continued)
DECEMBER 31, 2014
_______________

Range of
Expiration Dates
 
Number of Contracts
   
Value
   
% of Partners' Capital
 
                     
Long Futures Contracts:
                   
Currencies
Mar 15
   
14
   
$
1,812
     
0.00
%
Energy
Jan 15 - Feb 15
   
34
     
(5,901
)
   
(0.02
)%
Interest Rates
Mar 15
   
6
     
7,949
     
0.02
%
Stock Indices
Jan 15
   
6
     
(714
)
   
(0.00
)%
Treasury Rates
Mar 15
   
19
     
(1,732
)
   
(0.00
)%
                           
Total Long Futures Contracts
     
79
     
1,414
     
0.00
%
                           
Short Futures Contracts:
                         
Currencies
Mar 15
   
7
     
736
     
0.00
%
Energy
Jan 15
   
2
     
2,581
     
0.01
%
Interest Rates
Mar 15
   
29
     
(21,637
)
   
(0.05
)%
Stock Indices
Jan 15 - Mar 15
   
137
     
(14,423
)
   
(0.04
)%
Treasury Rates
Mar 15
   
2
     
(257
)
   
0.00
%
                           
Total Short Futures Contracts
     
177
     
(33,000
)
   
(0.08
)%
                           
Total Futures Contracts
     
256
   
$
(31,586
)
   
(0.08
)%

See accompanying notes.

-7-

ALTEGRIS QIM FUTURES FUND, L.P.
STATEMENTS OF INCOME (LOSS)
FOR THE YEARS ENDED DECEMBER 31, 2015, 2014 AND 2013
_______________
 
   
2015
   
2014
   
2013
 
TRADING GAIN (LOSS)
                 
    Gain (loss) on trading of commodity futures
                 
Realized
 
$
5,681,349
   
$
(6,647,539
)
 
$
(4,840,473
)
Change in unrealized
   
61,821
     
(926,857
)
   
1,860,439
 
Brokerage Commissions
   
(437,363
)
   
(949,065
)
   
(1,650,361
)
                         
                Gain (loss) from trading futures
   
5,305,807
     
(8,523,461
)
   
(4,630,395
)
                         
    Gain (loss) on trading of securities
                       
Realized
   
6,600
     
11,043
     
32,785
 
Change in unrealized
   
5,281
     
(9,476
)
   
(7,379
)
                         
                Gain from trading securities
   
11,881
     
1,567
     
25,406
 
                         
    Gain (loss) on trading of foreign currency
                       
Realized
   
(13,351
)
   
10,879
     
426,278
 
Change in unrealized
   
(7
)
   
288
     
(157,831
)
                         
                Gain (loss) from trading foreign currency
   
(13,358
)
   
11,167
     
268,447
 
                Total trading gain (loss)
   
5,304,330
     
(8,510,727
)
   
(4,336,542
)
                         
NET INVESTMENT INCOME (LOSS)
                       
    Income
                       
         Interest income
   
27,968
     
56,273
     
122,398
 
                         
    Expenses
                       
Management fee
   
358,619
     
747,326
     
1,263,038
 
Service fees
   
352,938
     
635,536
     
934,718
 
Professional fees
   
242,617
     
320,627
     
419,452
 
Administrative fee
   
90,388
     
180,043
     
288,987
 
Out of pocket fees
   
70,500
     
73,400
     
78,770
 
Incentive fees
   
68,417
     
5,124
     
95,825
 
Interest expense
   
21,042
     
826
     
30,950
 
Other expenses
   
79,784
     
69,794
     
107,162
 
                         
                Total expenses
   
1,284,305
     
2,032,676
     
3,218,902
 
                         
                Net investment loss
   
(1,256,337
)
   
(1,976,403
)
   
(3,096,504
)
                         
                         
                NET INCOME (LOSS)
 
$
4,047,993
   
$
(10,487,130
)
 
$
(7,433,046
)

See accompanying notes.

-8-

ALTEGRIS QIM FUTURES FUND, L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
FOR THE YEARS ENDED DECEMBER 31, 2015, 2014 AND 2013
_______________

         
Limited Partners
       
                               
   
Total
   
Class A
   
Class B
   
Institutional
Interests
   
General
Partner
 
                               
Balances at December 31, 2012
 
$
131,591,215
   
$
55,016,242
   
$
48,367,809
   
$
28,206,275
   
$
889
 
                                         
Transfers
   
-
     
(797,935
)
   
797,935
     
-
     
-
 
                                         
Capital additions
   
14,475,028
     
5,814,279
     
6,370,443
     
2,290,306
     
-
 
                                         
Capital withdrawals
   
(55,778,084
)
   
(17,380,851
)
   
(23,271,306
)
   
(15,125,927
)
   
-
 
                                         
From operations:
                                       
Net investment loss
   
(3,096,504
)
   
(1,931,115
)
   
(877,539
)
   
(287,817
)
   
(33
)
Net realized loss from investments
                                       
(net of brokerage commissions)
   
(6,031,771
)
   
(2,299,892
)
   
(2,253,094
)
   
(1,478,757
)
   
(28
)
Net change in unrealized gain from investments
   
1,695,229
     
729,093
     
624,138
     
341,984
     
14
 
Net loss
   
(7,433,046
)
   
(3,501,914
)
   
(2,506,495
)
   
(1,424,590
)
   
(47
)
                                         
Balances at December 31, 2013
 
$
82,855,113
   
$
39,149,821
   
$
29,758,386
   
$
13,946,064
   
$
842
 
                                         
Balances at December 31, 2013
 
$
82,855,113
   
$
39,149,821
   
$
29,758,386
   
$
13,946,064
   
$
842
 
                                         
Transfers
   
-
     
(91,271
)
   
(3,310
)
   
94,581
     
-
 
                                         
Capital additions
   
1,934,452
     
1,384,785
     
399,667
     
150,000
     
-
 
                                         
Capital withdrawals
   
(33,954,708
)
   
(12,589,691
)
   
(13,297,120
)
   
(8,067,897
)
   
-
 
                                         
From operations:
                                       
Net investment loss
   
(1,976,403
)
   
(1,358,002
)
   
(495,693
)
   
(122,675
)
   
(33
)
Net realized loss from investments
                                       
(net of brokerage commissions)
   
(7,574,682
)
   
(3,976,526
)
   
(2,672,018
)
   
(926,036
)
   
(102
)
Net change in unrealized loss from investments
   
(936,045
)
   
(449,584
)
   
(340,803
)
   
(145,649
)
   
(9
)
Net loss
   
(10,487,130
)
   
(5,784,112
)
   
(3,508,514
)
   
(1,194,360
)
   
(144
)
                                         
Balances at December 31, 2014
 
$
40,347,727
   
$
22,069,532
   
$
13,349,109
   
$
4,928,388
   
$
698
 
                                         
Balances at December 31, 2014
 
$
40,347,727
   
$
22,069,532
   
$
13,349,109
   
$
4,928,388
   
$
698
 
                                         
Transfers
   
-
     
-
     
-
     
-
     
-
 
                                         
Capital additions
   
628,076
     
393,567
     
234,509
     
-
     
-
 
                                         
Capital withdrawals
   
(21,353,511
)
   
(9,466,080
)
   
(8,169,736
)
   
(3,717,695
)
   
-
 
                                         
From operations:
                                       
Net investment loss
   
(1,256,337
)
   
(898,700
)
   
(310,310
)
   
(47,290
)
   
(37
)
Net realized gain from investments
                                       
(net of brokerage commissions)
   
5,237,235
     
3,173,196
     
1,788,619
     
275,278
     
142
 
Net change in unrealized gain (loss) from investments
   
67,095
     
23,197
     
32,019
     
11,880
     
(1
)
Net income
   
4,047,993
     
2,297,693
     
1,510,328
     
239,868
     
104
 
                                         
Balances at December 31, 2015
 
$
23,670,285
   
$
15,294,712
   
$
6,924,210
   
$
1,450,561
   
$
802
 

See accompanying notes.

-9-

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

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

A. General Description of the Partnership

Altegris QIM Futures Fund, L.P. (“Partnership”) was organized as a Delaware limited partnership in June 2009.  The Partnership's general partner is Altegris Advisors, L.L.C. ("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. Method of Reporting

The Partnership’s financial statements are presented in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”).  Therefore, the Partnership follows the accounting and reporting guidelines for investment companies. The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported fair value of assets and liabilities, disclosures of contingent assets and liabilities as of December 31, 2015 and 2014, and reported amounts of income and expenses for the years ended December 31, 2015, 2014 and 2013, 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.

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.

-10-

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

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

C. Fair Value (continued)

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

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

Level 1 – Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Partnership has the ability to access at the measurement date;

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

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

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

-11-

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

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

C. Fair Value (continued)

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

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

The fair value of U.S. government agency bonds and notes is generally based on quoted prices in active markets. When quoted prices are not available, fair value is determined based on a valuation model that uses inputs 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 categorized in Level I or Level 2 of the fair value hierarchy. As of December 31, 2015 and 2014, none of the Partnership’s holdings in U.S. government agency bonds and notes were fair valued using valuation models.

The fair value of U.S. treasury obligations is generally based on quoted prices in active markets. U.S. treasury obligations are 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 categorized in Level 2 of the fair value hierarchy; however, in instances where significant inputs are unobservable, they are categorized in Level 3 of the hierarchy. As of December 31, 2015 and 2014, none of the Partnership’s holdings in corporate notes were fair valued using valuation models.

-12-

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 years ended December 31, 2015 and 2014.

The following table presents information about the Partnership’s assets and liabilities measured at fair value as of December 31, 2015 and December 31, 2014:

                     
Balance as of
 
December 31, 2015
 
Level 1
   
Level 2
   
Level 3
   
December 31, 2015
 
                         
Assets
                       
                         
    Futures contracts (1)
 
$
114,980
   
$
-
   
$
-
   
$
114,980
 
    U.S. Government agency bonds and notes
   
6,198,074
     
-
     
-
     
6,198,074
 
    Corporate notes
   
-
     
4,099,434
     
-
     
4,099,434
 
                                 
Total Assets
 
$
6,313,054
   
$
4,099,434
   
$
-
   
$
10,412,488
 
                                 
Liabilities
                               
                                 
    Futures contracts (1)
 
$
(84,745
)
 
$
-
   
$
-
   
$
(84,745
)

                     
Balance as of
 
December 31, 2014
 
Level 1
   
Level 2
   
Level 3
   
December 31, 2014
 
                         
Assets
                       
                         
    Futures contracts (1)
 
$
50,035
   
$
-
   
$
-
   
$
50,035
 
    U.S. Government agency bonds and notes
   
20,865,775
     
-
     
-
     
20,865,775
 
    Corporate notes
   
-
     
14,399,062
     
-
     
14,399,062
 
                                 
Total Assets
 
$
20,915,810
   
$
14,399,062
   
$
-
   
$
35,314,872
 
                                 
Liabilities
                               
                                 
    Futures contracts (1)
 
$
(81,621
)
 
$
-
   
$
-
   
$
(81,621
)

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

For the years ended December 31, 2015 and 2014, there were no transfers between Level 1 and Level 2 assets and liabilities. For the years ended December 31, 2015 and 2014, there were no Level 3 securities.

-13-

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

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

D. Investment Transactions and Investment Income

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

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

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

The Northern Trust Company (the “Custodian”) is the Partnership’s custodian.  The Partnership has cash deposited with the Custodian.  SG Americas Securities, LLC (the “Clearing Broker”) is the Partnership’s commodity broker. For cash not held with the Clearing Broker the Partnership receives cash management services from J.P. Morgan Investment Management Inc. (“JPMIM”).

E. Futures Contracts

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

-14-

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

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

E. Futures Contracts (continued)

There are several risks in connection with the use of futures contracts as an investment option. The change in value of futures contracts primarily corresponds with the value of their underlying instruments. In addition, there is the risk that the Partnership may not be able to enter into a closing transaction because of an illiquid secondary market. Open positions in futures contracts at December 31, 2015 and 2014 are reflected within the Condensed Schedules of Investments.

F. Foreign Currency Transactions

The Partnership’s functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar.  Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the Statements of Financial Condition.  Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period.  Gains and losses resulting from the translation to U.S. dollars are reported in the Statements of Income (Loss).

G. Cash

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

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

H. Offering Costs

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

I. 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 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

-15-

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

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

I. Income Taxes (continued)

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 December 31, 2015 and 2014.  However, the Partnership’s conclusions may be subject to review and adjustment at a later date based on factors including, but not limited to, on-going analyses of and changes to tax laws, regulations and interpretations thereof. The Partnership is subject to income tax examinations by major taxing authorities for all tax years since 2013.

The Partnership recognizes interest and penalties related to unrecognized tax benefits in interest expense and other expenses, respectively.  No interest expense or penalties have been recognized as of and for the years ended December 31, 2015, 2014 and 2013.

J. Reclassifications

Certain amounts in the 2014 and 2013 financial statements were reclassified to conform to the 2015 presentation.

NOTE 2 - PARTNERS’ CAPITAL

A. Capital Accounts and Allocation of Income and Loss

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

The Partnership consists of the General Partner’s Interest, Class A Interests, Class B Interests and Institutional Interests (collectively referred to as “Interests”).  Income or loss (prior to management fees, administrative fees, service fees and incentive fees) is allocated pro rata among the Limited Partners (each, a “Limited Partner” and collectively the “Limited Partners”) based on their respective capital accounts as of the end of each month in which the items accrue, pursuant to the terms of the Partnership’s agreement of limited partnership, as may be amended and restated from time to time (the “Agreement”).  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.

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

-16-

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

NOTE 2 - PARTNERS’ CAPITAL (CONTINUED)

B. Subscriptions, Distributions and Redemptions

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

The Partnership is not required to make distributions, but may do so at the sole discretion of the General Partner.  A Limited Partner may request and receive redemption of capital, subject to restrictions set forth in the Agreement.  The General Partner may request and receive redemption of capital, subject to the same terms as any Limited Partner. The partners may withdraw their interests on a monthly basis upon at least 15 days’ prior written notice, subject to the discretion of the General Partner. No distributions were made for the years ended December 31, 2015, 2014 and 2013.

NOTE 3 -RELATED PARTY TRANSACTIONS

A. General Partner Management Fee

The General Partner receives a monthly management fee from the Partnership equal to 0.104% (1.25% annually) for Class A and Class B, and 0.0625% (0.75% annually) for Institutional Interests of the Partnership's management fee net asset value. The General Partner may declare any Limited Partner a “Special Limited Partner” and the management fees or incentive fees charged to any such partner may be different than those charged to other Limited Partners. For the years ended December 31, 2015, 2014 and 2013 there were no Special Limited Partners.

Total management fees earned by the General Partner for the years ended December 31, 2015, 2014 and 2013 are shown on the Statements of Income (Loss) as Management Fee.

B. Administrative Fee

The General Partner receives a monthly administrative fee from the Partnership equal to 0.0275% (0.33% annually) of the Partnership's management fee net asset value attributable to Class A and Class B Interests. For the years ended December 31, 2014, 2013 and 2012, administrative fees for Class A Interests were $57,822, $106,535 and $155,133, respectively, and administrative fees for Class B Interests were $32,566, $73,508 and $133,854, respectively.

-17-

ALTEGRIS QIM FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
 
NOTE 3 - RELATED PARTY TRANSACTIONS (CONTINUED)

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

Altegris Investments, L.L.C. (“Altegris Investments”), an affiliate of the General Partner, is registered as a broker-dealer with the SEC and effective as of December 31, 2014, was converted from an Arkansas corporation (Altegris Investments, Inc.) to a Delaware limited liability company (Altegris Investments, L.L.C.). For the years ended December 31, 2014 and 2013, Altegris Futures, L.L.C. (“Altegris Futures”), an affiliate of the General Partner and an introducing broker registered with the CFTC, was the Partnership’s introducing broker. For the year ended December 31, 2015, Altegris Clearing Solutions, L.L.C. (Altegris Clearing Solutions), and affiliate of the General Partner and an introducing broker registered with the CFTC, was the Partnership’s introducing broker. On December 31, 2014, Altegris Futures was merged with and into Altegris Clearing Solutions and thereafter dissolved. Altegris Clearing Solutions was the surviving entity (Altegris Futures and Altegris Clearing Solutions are referred to collectively as the “introducing broker” of the Partnership).

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

At December 31, 2015 and 2014, respectively, the Partnership had commissions and brokerage fees payable to its introducing broker of $2,993 and $29,423 and service fees payable to Altegris Investments of $5,155 and $7,777, respectively. The following tables show the fees paid to Altegris Investments and its introducing broker for the years ended December 31, 2015, 2014 and 2013, respectively:

   
Year ended
   
Year ended
   
Year ended
 
   
December 31, 2015
   
December 31, 2014
   
December 31, 2013
 
Altegris Clearing Solutions - Brokerage Commission fees
 
$
148,774
   
$
-
   
$
-
 
Altegris Futures - Brokerage Commission fees
   
-
     
423,711
     
870,421
 
Altegris Investments- Service fees
   
70,965
     
126,047
     
221,488
 
Total
 
$
219,739
   
$
549,758
   
$
1,091,909
 

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

-18-

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

NOTE 4 - ADVISORY CONTRACT

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

NOTE 5 - SERVICE FEES

As compensation for the continuing services of the selling agents to the Class A Limited Partners, Class A Interests pay the selling agents an ongoing monthly payment of 0.166% (2% annually) of the net asset value of interests sold by the agents that are outstanding at month-end. As compensation for the continuing services of the selling agents to the Limited Partners holding Institutional Interests, the selling agents may elect the Institutional Interests to pay the selling agents an ongoing monthly payment of 0.0417% (0.50% annually) of the net asset value of Institutional Interests sold by the agents that are outstanding at month-end.  However, there were none for the years ended December 31, 2015, 2014 and 2013. For the years ended December 31, 2015, 2014 and 2013, service fees for Class A Interests were $352,938, $635,258 and $933,931, respectively, and service fees for Institutional Interests were $0, $278 and $787, respectively.

NOTE 6 - BROKERAGE COMMISSIONS

The Partnership pays brokerage commissions to the Clearing Broker for clearing trades on its behalf, which are reflected in the Statements of Income (Loss) as Brokerage Commissions. The Partnership pays to its Clearing Broker a monthly brokerage commission equal to the greater of: (1) actual brokerage commissions, which are based upon trading volume, or (2) a flat rate of 0.125% (1.5% annually) (the “Minimum Amount”) of the Partnership’s management fee net asset value.

If actual brokerage commissions paid to the Clearing Broker are less than the Minimum Amount, the Partnership will pay to the introducing broker, the difference. However, if actual brokerage commissions are greater than the Minimum Amount, the Partnership only pays the actual brokerage commissions.

-19-

ALTEGRIS QIM FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
 
NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS

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

The following presents the fair value of derivative contracts as of December 31, 2015 and 2014.  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.
 
December 31, 2015
 
 
Asset
   
Liability
       
 Type of
 
Derivatives
   
Derivatives
   
Net
 
 Futures Contracts
 
Fair Value
   
Fair Value
   
Fair Value
 
 
                 
 Currencies
 
$
14,059
   
$
(3,752
)
 
$
10,307
 
                         
 Energy
   
-
     
(51,344
)
   
(51,344
)
                         
 Interest Rates
   
15,150
     
(130
)
   
15,020
 
                         
 Metals
   
29,697
     
(2,056
)
   
27,641
 
                         
 Stock Indices
   
52,912
     
(22,016
)
   
30,896
 
                         
 Treasury Rates
   
3,162
     
(5,447
)
   
(2,285
)
 
                       
 
 
$
114,980
   
$
(84,745
)
 
$
30,235
 

-20-

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

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

December 31, 2014

 
 
Asset
   
Liability
       
 Type of
 
Derivatives
   
Derivatives
   
Net
 
 Futures Contracts
 
Fair Value
   
Fair Value
   
Fair Value
 
 
                 
 Currencies
 
$
3,505
   
$
(957
)
 
$
2,548
 
                         
 Energy
   
4,249
     
(7,570
)
   
(3,321
)
                         
 Interest Rates
   
7,949
     
(21,637
)
   
(13,688
)
                         
 Stock Indices
   
33,223
     
(48,359
)
   
(15,136
)
                         
 Treasury Rates
   
1,109
     
(3,098
)
   
(1,989
)
 
                       
 
 
$
50,035
   
$
(81,621
)
 
$
(31,586
)

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 years ended December 31, 2015, 2014 and 2013.

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

Year Ended December 31, 2015

 Type of
       
Change in
 
 Futures Contracts
 
Realized
   
Unrealized
 
 
           
 Currencies
 
$
748,092
   
$
7,759
 
             
.
 
 Energy
   
625,869
     
(48,024
)
                 
 Interest Rates
   
1,091,198
     
28,707
 
                 
 Metals
   
4,887
     
27,641
 
                 
 Stock Indices
   
2,292,699
     
46,033
 
                 
 Treasury Rates
   
918,604
     
(295
)
 
               
 
 
$
5,681,349
   
$
61,821
 

For the year ended December 31, 2015, the number of futures contracts closed was 31,490.

-21-

ALTEGRIS QIM FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
 
NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

Year Ended December 31, 2014

 Type of
       
Change in
 
 Futures Contracts
 
Realized
   
Unrealized
 
 
           
 Currencies
 
$
(483,041
)
 
$
(116,543
)
             
.
 
 Energy
   
457,352
     
82,149
 
                 
 Interest Rates
   
317,944
     
(178,668
)
                 
 Metals
   
(160,543
)
   
(12,848
)
                 
 Stock Indices
   
(4,903,525
)
   
(504,890
)
                 
 Treasury Rates
   
(1,875,726
)
   
(196,057
)
 
               
 
 
$
(6,647,539
)
 
$
(926,857
)

For the year ended December 31, 2014, the number of futures contracts closed was 58,163.

Year Ended December 31, 2013

 Type of
       
Change in
 
 Futures Contracts
 
Realized
   
Unrealized
 
 
           
 Agricultural
 
$
(344,007
)
 
$
10,654
 
                 
 Currencies
   
(103,139
)
   
351,471
 
             
.
 
 Energy
   
(1,156,256
)
   
(141,903
)
                 
 Interest Rates
   
2,270,041
     
(1,233,579
)
                 
 Metals
   
342,812
     
(59,188
)
                 
 Stock Indices
   
(5,133,038
)
   
2,081,580
 
                 
 Treasury Rates
   
(716,886
)
   
851,404
 
 
               
 
 
$
(4,840,473
)
 
$
1,860,439
 

For the year ended December 31, 2013, the number of futures contracts closed was 92,471.

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

-22-

ALTEGRIS QIM FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
 
NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

The following table summarizes the disclosure requirements for offsetting assets and liabilities:
 
Offsetting the Financial Assets and Derivative Assets
                         
                                     
                     
Gross Amounts Not Offset in the Statement of Financial Condition
       
                                     
As of December 31, 2015
                             
Description
 
Gross
Amounts of
Recognized
Assets
   
Gross Amounts
Offset in the
Statement of
Financial Condition
   
Net Amounts
of Assets Presented
in the Statement
of Financial Condition
   
Financial
Instruments
   
Cash Collateral
Received (1)
   
Net Amount
 
Commodity futures contracts
 
$
114,980
   
$
(84,745
)
 
$
30,235
   
$
-
   
$
-
   
$
30,235
 
 
Offsetting the Financial Liabilities and Derivative Liabilities
                   
                     
Gross Amounts Not Offset in the Statement of Financial Condition
       
                                     
As of December 31, 2015
                                   
Description
 
Gross
Amounts of
Recognized
Liabilities
   
Gross Amounts
Offset in the
Statement of
Financial Condition
   
Net Amounts
of Liabilities Presented
in the Statement
of Financial Condition
   
Financial
Instruments
   
Cash Collateral
Pledged (1)
   
Net Amount
 
Commodity futures contracts
 
$
(84,745
)
 
$
84,745
   
$
-
   
$
-
   
$
-
   
$
-
 

Offsetting the Financial Assets and Derivative Assets
                         
                     
Gross Amounts Not Offset in the Statement of Financial Condition
       
                                     
As of December 31, 2014
                                   
Description
 
Gross
Amounts of
Recognized
Assets
   
Gross Amounts
Offset in the
Statement of
Financial Condition
   
Net Amounts
of Assets Presented
in the Statement
of Financial Condition
   
Financial
Instruments
   
Cash Collateral
Received (1)
   
Net Amount
 
Commodity futures contracts
 
$
50,035
   
$
(50,035
)
 
$
-
   
$
-
   
$
-
   
$
-
 

Offsetting the Financial Liabilities and Derivative Liabilities
               
                     
Gross Amounts Not Offset in the Statement of Financial Condition
       
                         
                                     
As of December 31, 2014
                             
Description
 
Gross
Amounts of
Recognized
Liabilities
   
Gross Amounts
Offset in the
Statement of
Financial Condition
   
Net Amounts
of Liabilities Presented
in the Statement
of Financial Condition
   
Financial
Instruments
   
Cash Collateral
Pledged (1)
   
Net Amount
 
Commodity futures contracts
 
$
(81,621
)
 
$
50,035
   
$
(31,586
)
 
$
-
   
$
-
   
$
(31,586
)

(1)
Does not include maintenance margin deposits held at the Clearing Broker of $4,247,966 for 2015 & $1,966,135 for 2014, respectively.
-23-

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

NOTE 8 - FINANCIAL INSTRUMENTS, OFF-BALANCE SHEET RISKSAND UNCERTAINTIES

The Partnership participates in the speculative trading of commodity futures contracts, substantially all of which are subject to margin requirements.  The minimum amount of margin required for each contract is set from time to time in response to various market factors by the respective exchanges.  Further, the Clearing Broker has the right to require margin in excess of the minimum exchange requirement.  Risk arises from changes in the value of these contracts (market risk) and the potential inability of brokers to perform under the terms of their contracts (credit risk).

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

The Partnership also has credit risk because the sole counterparty to all domestic futures contracts is the exchange clearing corporation.  In addition, the Partnership bears the risk of financial failure by the Clearing Broker. The Partnership's policy is to continuously monitor its exposure to market and counterparty risk through the use of a variety of financial position and credit exposure reporting and control procedures.  In addition, the Partnership has a policy of reviewing the credit standing of each clearing broker or counterparty with which it conducts business.

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

NOTE 9 - INDEMNIFICATIONS

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

-24-

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 years ended December 31, 2015, 2014 and 2013. This information has been derived from information presented in the financial statements.

   
Year ended December 31, 2015
 
               
Institutional
 
   
Class A
   
Class B
   
Interest
 
                   
Total return for Limited Partners
                 
  Total return prior to incentive fees
   
14.94
%
   
17.24
%
   
18.20
%
  Incentive fees
   
(0.26
%)
   
(0.33
%)
   
(0.40
%)
Total return after incentive fees
   
14.68
%
   
16.91
%
   
17.80
%
                         
Ratio to average net asset value
                       
  Expenses prior to incentive fees
   
4.87
%
   
2.86
%
   
1.85
%
  Incentive fees
   
0.20
%
   
0.26
%
   
0.21
%
                         
    Total expenses
   
5.07
%
   
3.12
%
   
2.06
%
                         
  Net investment loss (1)
   
(4.78
%)
   
(2.76
%)
   
(1.77
%)

   
Year ended December 31, 2014
 
               
Institutional
 
   
Class A
   
Class B
   
Interest
 
                   
Total return for Limited Partners
                 
  Total return prior to incentive fees
   
(17.14
%)
   
(15.46
%)
   
(14.74
%)
  Incentive fees
   
(0.01
%)
   
(0.01
%)
   
(0.01
%)
Total return after incentive fees
   
(17.15
%)
   
(15.47
%)
   
(14.75
%)
                         
Ratio to average net asset value
                       
  Expenses prior to incentive fees
   
4.41
%
   
2.39
%
   
1.54
%
  Incentive fees
   
0.01
%
   
0.00
%
   
0.01
%
                         
    Total expenses
   
4.42
%
   
2.39
%
   
1.55
%
                         
  Net investment loss (1)
   
(4.31
%)
   
(2.30
%)
   
(1.45
%)

-25-

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

NOTE 10 - FINANCIAL HIGHLIGHTS (CONTINUED)

   
Year ended December 31, 2013
 
               
Institutional
 
   
Class A
   
Class B
   
Interest
 
                   
Total return for Limited Partners
                 
  Total return prior to incentive fees
   
(5.28
%)
   
(3.36
%)
   
(2.56
%)
  Incentive fees
   
(0.08
%)
   
(0.15
%)
   
(0.10
%)
Total return after incentive fees
   
(5.36
%)
   
(3.51
%)
   
(2.66
%)
                         
Ratio to average net asset value
                       
  Expenses prior to incentive fees
   
4.24
%
   
2.23
%
   
1.38
%
  Incentive fees
   
0.07
%
   
0.12
%
   
0.07
%
                         
    Total expenses
   
4.31
%
   
2.35
%
   
1.45
%
                         
  Net investment loss (1)
   
(4.12
%)
   
(2.12
%)
   
(1.26
%)

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

Total return is calculated on a monthly compounded basis.
 

(1) Excludes incentive fee.

NOTE 11 - SUBSEQUENT EVENTS

Management of the Partnership evaluated subsequent events through the date these financial statements were available to be issued.

From January 1, 2016 through March 28, 2016, the Partnership had subscriptions of $1,651,028 and redemptions of $604,202. Management has determined there are no additional matters requiring disclosure.

-26-