---

---

---

FINANCIAL STATEMENTS

MARCH 31, 2016

ALTEGRIS QIM FUTURES FUND, L.P.

 

____________

 

TABLE OF CONTENTS

____________

 

		2016				2015
ASSETS
Equity in commodity broker account:
Cash		$	3,998,911			$	1,865,463
Restricted cash			4,057,620				2,359,911
Restricted foreign currency (cost - $3,251,555 and $2,767,713)			3,288,247				1,888,055
Unrealized gain on open commodity futures contracts			-				30,235
			11,344,778				6,143,664
Cash			8,963,510				10,250,155
Investment securities at fair value
(cost - $10,307,503 and $10,297,864)			10,308,571				10,297,508
Interest receivable			169				1,064
Total assets		$	30,617,028			$	26,692,391
Equity in commodity broker account:
Foreign currency due to broker (proceeds - $3,340,493 and $2,768,014)		$	3,378,188			$	1,888,260
Unrealized loss on open commodity futures contracts			203,414				-
			3,581,602				1,888,260
Subscriptions received in advance			453,114				329,557
Incentive fees payable			161,908				23,564
Redemptions payable			136,457				584,501
Audit fee payable			93,479				81,564
Service fees payable			35,020				31,459
Management fee payable			28,072				25,461
Brokerage commissions payable			18,008				5,645
Administrative fee payable			7,143				6,475
Other liabilities			43,067				45,620
Total liabilities			4,557,870				3,022,106
PARTNERS' CAPITAL (NET ASSET VALUE)
General Partner			855				802
Limited Partners			26,058,303				23,669,483
Total partners' capital (Net Asset Value)			26,059,158				23,670,285
Total liabilities and partners' capital		$	30,617,028			$	26,692,391

INVESTMENT SECURITIES
Face Value			Maturity Date		Description		Fair Value				% of Partners' Capital
Fixed Income Investments
U.S. Government Agency Bonds and Notes
$	774,000		4/1/2016		Federal Farm Credit Bank Disc Note, 0.15%*		$	774,000				2.97	%
	700,000		4/12/2016		Federal Home Loan Bank Disc Note, 0.19%*			699,955				2.69	%
	1,000,000		4/13/2016		Federal Home Loan Bank Disc Note, 0.19%*			999,930				3.84	%
	1,250,000		4/20/2016		Federal Home Loan Bank Disc Note, 0.20%*			1,249,861				4.80	%
	500,000		4/22/2016		Federal Home Loan Bank Disc Note, 0.20%*			499,938				1.92	%
	350,000		4/26/2016		Federal Home Loan Bank Disc Note, 0.20%*			349,949				1.34	%
	350,000		4/27/2016		Federal Home Loan Bank Disc Note, 0.20%*			349,947				1.34	%
	250,000		5/11/2016		Federal Home Loan Bank Disc Note, 0.25%*			249,928				0.96	%
	450,000		8/9/2016		Federal Home Loan Bank Disc Note, 0.40%*			449,350				1.72	%
	300,000		8/19/2016		Federal Home Loan Bank Disc Note, 0.40%*			299,533				1.15	%
	500,000		9/16/2016		Federal Home Loan Bank Disc Note, 0.42%*			498,833				1.91	%
	400,000		8/12/2016		Federal Home Loan Mort Corp Disc Note, 0.40%*			399,409				1.53	%
	500,000		9/23/2016		Federal Home Loan Mort Corp Disc Note, 0.42%*			498,979				1.92	%
Total U.S. Government Agency Bonds and Notes (cost - $7,318,782)								7,319,612				28.09	%
U.S. Treasury Obligations
$	400,000		9/1/2016		United States Treasury Bill, 0.35%*			399,404				1.53	%
Total United States Treasury Obligations (cost - $399,166)								399,404				1.53	%
Corporate Notes
$	300,000		4/12/2016		Apple Inc., 0.00%*			299,925				1.15	%
	300,000		4/15/2016		Banco del Estado de Chile, NY, 0.39%			300,000				1.15	%
	210,000		4/8/2016		DCAT LLC, 0.00%*			209,918				0.81	%
	300,000		4/8/2016		Gotham Funding Corp Disc Note, 0.00%*			299,888				1.15	%
	300,000		4/8/2016		Norinchukin Bank Disc Note, 0.40%			300,000				1.15	%
	300,000		4/24/2016		Sumitomo Mutsui Trust & Banking Co, 0.40%			300,000				1.15	%
	300,000		4/24/2016		Sumitomo Mutsui Trust & Banking Co (USA), 0.40%			300,000				1.15	%
	280,000		4/18/2016		Toyota Motor Credit Corp Disc Note, 0.00%*			279,933				1.08	%
	300,000		4/8/2016		Working Capital Management Co LP Disc Note, 0.00%*			299,891				1.15	%
Total Corporate Notes (cost - $2,589,555)								2,589,555				9.94	%
Total Investment Securities (cost - $10,307,503)							$	10,308,571				39.56	%

	Range of Expiration Dates		Number of Contracts				Fair Value				% of Partners' Capital
Long Futures Contracts:
Currencies	Jun 16			62			$	47,703				0.18	%
Energy	Apr 16			1				578				0.00	%
Interest Rates	Jun 16			2				2,993				0.01	%
Metals	May 16 - Jun 16			47				48,668				0.19	%
Total Long Futures Contracts				112				99,942				0.38	%
Short Futures Contracts:
Currencies	Jun 16			2				299				0.00	%
Energy	Apr 16			18				20,926				0.08	%
Interest Rates	Jun 16			107				(55,053	)			(0.21	)%
Stock Indices	Apr 16 - Jun 16			377				(253,497	)			(0.97	)%
Treasury Rates	Jun 16			56				(16,031	)			(0.06	)%
Total Short Futures Contracts				560				(303,356	)			(1.16	)%
Total Futures Contracts				672			$	(203,414	)			(0.78	)%

INVESTMENT SECURITIES
Face Value			Maturity Date		Description		Fair Value				% of Partners' Capital
Fixed Income Investments
U.S. Government Agency Bonds and Notes
$	1,000,000		1/4/2016		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	%

	Range of Expiration Dates		Number of Contracts				Fair 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	%

		2016				2015
TRADING GAIN (LOSS)
Gain (loss) on trading of commodity futures
Realized		$	2,221,400			$	252,151
Change in unrealized			(233,649	)			135,009
Brokerage Commissions			(96,217	)			(142,541	)
Gain (loss) from trading futures			1,891,534				244,619
Gain (loss) on trading of securities
Realized			2,110				3,028
Change in unrealized			1,424				5,165
Gain (loss) from trading securities			3,534				8,193
Gain (loss) on trading of foreign currency
Realized			(10,019	)			1,428
Change in unrealized			(1,099	)			(141	)
Gain (loss) from trading foreign currency			(11,118	)			1,287
Total trading gains (losses)			1,883,950				254,099
NET INVESTMENT INCOME (LOSS)
Income
Interest income			9,251				9,441
Expenses
Incentive fees			161,908				424
Service fees			85,319				105,070
Management fee			78,272				113,148
Professional fees			59,407				60,457
Administrative fee			19,908				27,639
Interest expense			7,708				33
Other expenses			11,838				35,998
Total expenses			424,360				342,769
Net investment loss			(415,109	)			(333,328	)
NET INCOME (LOSS)		$	1,468,841			$	(79,229	)

						Limited Partners
														Institutional				General
		Total				Class A				Class B				Interests				Partner
Balances at December 31, 2014		$	40,347,727			$	22,069,532			$	13,349,109			$	4,928,388			$	698
Transfers			-				-				-				-				-
Capital additions			249,508				15,000				234,508				-				-
Capital withdrawals			(10,798,644	)			(3,993,907	)			(3,176,139	)			(3,628,598	)			-
From operations:
Net investment loss			(333,328	)			(236,741	)			(77,818	)			(18,761	)			(8	)
Net realized gain (loss) from investments (net of brokerage commissions and fx)			114,066				64,135				34,029				15,900				2
Net change in unrealized gain (loss) from investments			140,033				77,176				45,230				17,625				2
Net income (loss)			(79,229	)			(95,430	)			1,441				14,764				(4	)
Balances at March 31, 2015		$	29,719,362			$	17,995,195			$	10,408,919			$	1,314,554			$	694
Balances at December 31, 2015		$	23,670,285			$	15,294,712			$	6,924,210			$	1,450,561			$	802
Transfers			-				-				-				-				-
Capital additions			1,651,028				1,651,028				-				-				-
Capital withdrawals			(730,996	)			(643,137	)			(87,859	)			-				-
From operations:
Net investment loss			(415,109	)			(303,390	)			(91,799	)			(19,910	)			(10	)
Net realized gain (loss) from investments (net of brokerage commissions and fx)			2,117,274				1,383,432				606,179				127,593				70
Net change in unrealized gain (loss) from investments			(233,324	)			(155,176	)			(64,567	)			(13,574	)			(7	)
Net income (loss)			1,468,841				924,866				449,813				94,109				53
Balances at March 31, 2016		$	26,059,158			$	17,227,469			$	7,286,164			$	1,544,670			$	855

See accompanying notes.

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

A.	General Description of the Partnership

Altegris QIM Futures Fund, L.P. (“Partnership”) was organized as a Delaware limited partnership in June 2009. The Partnership's general partner is Altegris Advisors, L.L.C. (“Advisors” or the "General Partner"). The Partnership speculatively trades commodity futures contracts, and may trade options on futures contracts, forward currency contracts and other commodity interests. The objective of the Partnership’s business is appreciation of its assets. It is subject to the regulations of the Commodity Futures Trading Commission (the “CFTC”), an agency of the United States (“U.S.”) government that regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of commodity exchanges and futures commission merchants (brokers) through which the Partnership trades.

B.	Method of Reporting

The Partnership’s financial statements are presented in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”). Therefore, the Partnership follows the accounting and reporting guidelines for investment companies. The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported fair value of assets and liabilities, disclosures of contingent assets and liabilities as of March 31, 2016 and December 31, 2015, and reported amounts of income and expenses for the three months ended March 31, 2016 and 2015, respectively. Management believes that the estimates utilized in preparing the Partnership’s financial statements are reasonable; however, actual results could differ from these estimates and it is reasonably possible that the differences could be material.

The financial information included herein is unaudited; however, such financial information reflects all adjustments which are, in the opinion of management, necessary for the fair presentation of the financial statements for the interim period.

C.	Fair Value

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

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

 

C.	Fair Value (continued)

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

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

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

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

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

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

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

C. Fair Value (continued)

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

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

The fair value of U.S. government agency bonds and notes is generally based on quoted prices in active markets. When quoted prices are not available, fair value is determined based on a valuation model that uses inputs 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 March 31, 2016 and December 31, 2015, 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 March 31, 2016 and December 31, 2015, none of the Partnership’s holdings in corporate notes were fair valued using valuation models.

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

C. Fair Value (continued)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

There were no changes in the Partnership’s valuation methodology during the period ended March 31, 2016 and the year ended December 31, 2015.

The following table presents information about the Partnership’s assets and liabilities measured at fair value as of March 31, 2016 and December 31, 2015:

 

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

For the three months ended March 31, 2016 and the year ended December 31, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities. For the three months ended March 31, 2016 and the year ended December 31, 2015, there were no Level 3 securities.

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

D. Investment Transactions and Investment Income

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

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

Net realized gains and losses from foreign currency related transactions represent gains and losses from sales of foreign currencies, 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.

J.P. Morgan Chase Bank, N.A. (the “Custodian”) is the Partnership’s custodian. SG Americas Securities, LLC (the “Clearing Broker”) is the Partnership’s commodity broker. A portion of the Partnership’s assets are held as initial margin or option premiums (in cash or Treasury securities) in the Partnership’s brokerage accounts at the Clearing Broker. The Partnership’s assets not deposited at the Clearing Broker are deposited with either the Custodian or held in bank cash accounts at Northern Trust Company (and used to pay Partnership operating expenses). For the Partnership’s cash deposited at the Custodian, the Partnership receives cash management services from J.P. Morgan Investment Management Inc. (“JPMIM”).

 

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

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

E. Futures Contracts (continued)

contracts. Due to broker amounts on the Statements of Financial Condition represent the amount of any short fall in the Partnership’s required cash margin. The Partnership recognizes a realized gain or loss when the contract is closed.

There are several risks in connection with the use of futures contracts as an investment option. The change in value of futures contracts primarily corresponds with the value of their underlying instruments. In addition, there is the risk that the Partnership may not be able to enter into a closing transaction because of an illiquid secondary market. Open positions in futures contracts at March 31, 2016 and December 31, 2015 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

 

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

 

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

 

H. Offering Costs

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

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

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

I. Income Taxes (continued)

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 appeals or litigation processes, based on the technical merits of the position. The tax benefit recognized is measured as the largest amount of benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. De-recognition of a tax benefit previously recognized results in the Partnership recording a tax liability that reduces ending partners’ capital. Based on its analysis, the Partnership has determined that it has not incurred any liability for unrecognized tax benefits as of March 31, 2016 or December 31, 2015. 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 2012.

The Partnership recognizes interest and penalties related to unrecognized tax benefits in interest expense and other expenses, respectively. No interest expense or penalties have been recognized as of March 31, 2016 and December 31, 2015 or for the three months ended March 31, 2016 and 2015.

 

J. Reclassifications

Certain amounts in the 2015 financial statements were reclassified to conform to the 2016 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.

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 2 - PARTNERS’ CAPITAL (CONTINUED)

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

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.

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 three months ended March 31, 2016 and 2015.

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 three months ended March 31, 2016 and 2015, there were no Special Limited Partners.

Total management fees earned by the General Partner for the three months ended March 31, 2016 and 2015 are shown on the Statements of Income (Loss) as Management Fee.

B. Administrative Fee

The General Partner receives a monthly administrative fee from the Partnership equal to 0.0275% (0.33% annually) of the Partnership's management fee net asset value attributable to Class A and Class B Interests. For the three months ended March 31, 2016 and 2015, administrative fees for Class A Interests were $13,946 and $17,401, respectively, and administrative fees for Class B Interests were $5,962 and $10,238, respectively.

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 3 - RELATED PARTY TRANSACTIONS (CONTINUED)

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

Altegris Investments, L.L.C. (“Altegris Investments”), an affiliate of the General Partner, is registered as a broker-dealer with the SEC and 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 year ended December 31, 2015, Altegris Clearing Solutions, L.L.C. (Altegris Clearing Solutions), an 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 Clearing Solutions is referred to 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 March 31, 2016 and December 31, 2015, respectively, the Partnership had charges for brokerage-related services payable to Altegris Clearing Solutions of $14,294 and $2,993 and service fees payable to Altegris Investments of $5,197 and $5,155, respectively. The following tables show the fees paid to Altegris Investments and Altegris Clearing Solutions for the three months ended March 31, 2016 and 2015, respectively:

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.

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 three months ended March 31, 2016 and 2015. For the three months ended March 31, 2016 and 2015, service fees for Class A Interests were $85,319 and $105,070, respectively.

NOTE 6 - BROKERAGE COMMISSIONS AND CHARGES

The Partnership is subject to monthly brokerage charges equal to the greater of: (A) actual commissions and expenses paid to the Clearing Broker by the Partnership; or (B) an amount equal to 0.125% of the management fee net asset value of all Limited Partners’ month-end capital account balances (1.50% annually) (the “Minimum Amount”). If actual commissions and expenses paid to the Clearing Broker in a month (in (A) above) are less than the Minimum Amount, the Partnership will pay to the Introducing Broker the difference as payment for brokerage-related services, including, but not limited to, monitoring trade, execution, clearing, custodial and distribution services provided to the Partnership. If actual commissions and expenses paid to the Clearing Broker in a month (in (A) above) are greater than the Minimum Amount, the Partnership pays only the amounts described in (A) above. The Partnership’s payments of brokerage commissions to the Clearing Broker for clearing trades on its behalf, and payments to the Introducing Broker for brokerage-related services, if any, are reflected in the Statements of Income (Loss) as Brokerage Commissions.

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 March 31, 2016 and December 31, 2015. 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.

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

The following presents the trading results of the Partnership’s derivative trading and information related to the volume of the Partnership’s derivative activity for the three months ended March 31, 2016 and 2015.

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.

For the three months ended March 31, 2016, the number of futures contracts closed was 5,717.

For the three months ended March 31, 2015, the number of futures contracts closed was 7,398.

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

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

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

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

 

(1)

The Partnership posted additional collateral of $7,142,453 for 2016 & $4,247,966 for 2015, respectively, with the Clearing Broker. The Partnership may post collateral due to a variety of factors that may include, without limitation, initial margin or other requirements that are based on notional amounts which may exceed the fair value of the derivative contract.

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

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

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

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

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

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

NOTE 9 - INDEMNIFICATIONS

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

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 10 - FINANCIAL HIGHLIGHTS

The following information presents the financial highlights of the Partnership for the three months ended March 31, 2016 and 2015. This information has been derived from information presented in the financial statements.