UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-K/A
(Amendment No. 1)
(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, 2012
or
| o | 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 | 27-0473854 | |
| (State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) |
c/o ALTEGRIS PORTFOLIO MANAGEMENT, INC.
1202 Bergen Parkway, Suite 212
Evergreen, Colorado 80439
(Address of principal executive offices) (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 oNo 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 oNo 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 xNo o |
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).
Yes xNo o |
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 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. o
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 o | Accelerated filer o |
Non-accelerated filer o | 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 oNo 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.
2
Explanatory Note:
The sole purpose of this filing is to include the report of Spicer Jefferies LLP of its audit for Fiscal Year 2010 and the 13a-14(a)/15d-14(a) Certification of Principal Executive and Principal Financial Officer inadvertently omitted from Registrant's Annual Report for the fiscal year ended December 31, 2012 on Form 10-K filed with the Securities and Exchange Commission on April 1, 2013. No other changes have been made to the Form 10-K, and information reported as of a particular date has not been updated.
PART IV
ITEM 8: FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
Financial statements required by this item are included herewith following the Signatures hereto 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.
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 report.
| Exhibit Designation | Description |
| * 3.1 | Certificate of Formation of APM – QIM Futures Fund L.P. |
| * 4.1 | Limited Partnership Agreement of APM – QIM Futures Fund L.P. |
| * 10.1 | Agreement with Quantitative Investment Management LLC |
| * 10.2 | Selling Agency Agreement between APM – QIM Futures Fund L.P. and Altegris Investments Inc. |
| 31.01 | Rule 13a-14(a)/15d-14(a) Certification |
| 32.02 | Section 1350 Certification |
* This exhibit is incorporated by reference to the exhibit of the same number and description 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.
3
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: August 29, 2013 | ALTEGRIS QIM FUTURES FUND, L.P. | ||
| By: | ALTEGRIS PORTFOLIO MANAGEMENT, INC. (d/b/a Altegris Funds) General Partner of Altegris QIM Futures Fund, L.P. | ||
| By: | /s/ Jon C. Sundt | ||
| Name: Jon C. Sundt | |||
| Title: Principal Executive and Principal Financial Officer | |||
4
ALTEGRIS QIM FUTURES FUND, L.P.
FINANCIAL STATEMENTS
FOR THE YEARS ENDED DECEMBER 31, 2012, 2011 AND 2010
ALTEGRIS QIM FUTURES FUND, L.P.
TABLE OF CONTENTS
| PAGES | |
Affirmation of the Commodity Pool Operator | 1 |
Report s of Independent Registered Public Accounting Firms | 2-2A |
Financial Statements | |
Statements of Financial Condition | 3 |
Condensed Schedules of Investments | 4 - 7 |
Statements of Operations | 8 |
Statements of Changes in Partners’ Capital (Net Asset Value) | 9 |
Notes to Financial Statements | 10 - 23 |
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, 2012, 2011 and 2010 is accurate and complete.
| By: | /s/ Robert J. Amedeo | ||
| Altegris Portfolio Management, Inc. | |||
| Commodity Pool Operator for | |||
| Altegris QIM Futures Fund, L.P. | |||
| By: Robert J. Amedeo, Executive Vice President | |||
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of
Altegris QIM Futures Fund, L.P.
We have audited the accompanying statements of operations and changes in partners' capital for the year ended December 31, 2010 of Altegris QIM Futures Fund, L.P. ("the Partnership"). These financial statements are the responsibility of the Partnership's management. Our responsibility is to express an opinion on these financial statements based on our audit.
We conducted our audit in accordance with standards of 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 are free of material misstatement. The Partnership is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audit 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 includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluation the overall financial statement presentation. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in all material respects, the results of operations and changes in partners' capital of Altegris QIM Futures Fund, L.P. for the year ended December 31, 2010 in conformity with accounting principles generally accepted in the United States of America.
/s/ Spicer Jeffries LLP
Greenwood Village, Colorado
March 25, 2011
-2A-
| ALTEGRIS QIM FUTURES FUND, L.P. | ||||||||
| STATEMENTS OF FINANCIAL CONDITION | ||||||||
| DECEMBER 31, 2012 and DECEMBER 31, 2011 | ||||||||
| _______________ | ||||||||
| 2012 | 2011 | |||||||
| ASSETS | ||||||||
| Equity in commodity broker account: | ||||||||
Restricted cash | $ | 7,932,508 | $ | 3,834,746 | ||||
Cash | 4,817,430 | 6,573,863 | ||||||
Restricted foreign currency (cost - $3,454,913 and $2,315,869) | 4,687,677 | 2,317,800 | ||||||
17,437,615 | 12,726,409 | |||||||
Cash | 9,824,680 | 5,822,859 | ||||||
Investment securities at value | ||||||||
(cost - $114,773,911 and $112,611,968) | 114,785,129 | 112,613,673 | ||||||
Interest receivable | 104,514 | 31,136 | ||||||
Total assets | $ | 142,151,938 | $ | 131,194,077 | ||||
LIABILITIES | ||||||||
Equity in commodity broker account: | ||||||||
Foreign currency (proceeds - $3,013,100 and $2,313,350) | $ | 4,088,218 | $ | 2,315,279 | ||||
Unrealized loss on open commodity futures contracts | 965,168 | 1,400,793 | ||||||
5,053,386 | 3,716,072 | |||||||
Commissions payable | 63,679 | 77,167 | ||||||
Management fee payable | 125,815 | 123,145 | ||||||
Administrative fee payable | 28,617 | 28,226 | ||||||
Service fees payable | 95,415 | 85,637 | ||||||
Incentive fees payable | 17,244 | 712,477 | ||||||
Redemptions payable | 2,487,346 | 1,210,184 | ||||||
Subscriptions received in advance | 2,489,976 | 2,602,678 | ||||||
Payable to General Partner | 1,067 | - | ||||||
Other liabilities | 198,178 | 225,456 | ||||||
Total liabilities | 10,560,723 | 8,781,042 | ||||||
PARTNERS' CAPITAL (NET ASSET VALUE) | ||||||||
General Partner | 889 | 864 | ||||||
Limited Partners | 131,590,326 | 122,412,171 | ||||||
Total partners' capital (Net Asset Value) | 131,591,215 | 122,413,035 | ||||||
Total liabilities and partners' capital | $ | 142,151,938 | $ | 131,194,077 | ||||
See accompanying notes.
-3-
| ALTEGRIS QIM FUTURES FUND, L.P. | ||||||||||||
| CONDENSED SCHEDULE OF INVESTMENTS | ||||||||||||
| DECEMBER 31, 2012 | ||||||||||||
| _______________ | ||||||||||||
| INVESTMENT SECURITIES | ||||||||||||
| Face Value | Maturity Date | Description | Value | % of Partners' Capital | ||||||||
| Fixed Income Investments | ||||||||||||
| U.S. Government Agency Bonds and Notes | ||||||||||||
$ | 2,302,000 | 1/2/2013 | Federal Farm Credit Bank Disc Note, 0.01% | $ | 2,301,999 | 1.75 | % | |||||
1,000,000 | 5/2/2013 | Federal Farm Credit Bank, 0.75% | 1,002,032 | 0.76 | % | |||||||
2,000,000 | 11/20/2013 | Federal Farm Credit Bank, 0.20% | 2,000,352 | 1.52 | % | |||||||
4,000,000 | 1/16/2013 | Federal Home Loan Bank Disc Note, 0.018% | 3,999,968 | 3.04 | % | |||||||
2,500,000 | 1/10/2013 | Federal Home Loan Bank, 0.18% | 2,500,027 | 1.90 | % | |||||||
2,100,000 | 1/29/2013 | Federal Home Loan Bank, 0.375% | 2,100,386 | 1.59 | % | |||||||
4,250,000 | 2/8/2013 | Federal Home Loan Bank, 0.16% | 4,250,128 | 3.23 | % | |||||||
5,000,000 | 10/18/2013 | Federal Home Loan Bank, 0.19% | 5,000,395 | 3.80 | % | |||||||
2,000,000 | 11/15/2013 | Federal Home Loan Bank, 0.29% | 2,001,910 | 1.52 | % | |||||||
6,000,000 | 1/4/2013 | Federal National Mort Assoc Disc Note, 0.009% | 5,999,994 | 4.56 | % | |||||||
3,200,000 | 2/22/2013 | Federal National Mortgage Association, 1.75% | 3,207,194 | 2.44 | % | |||||||
500,000 | 2/26/2013 | Federal National Mortgage Association, 0.75% | 500,465 | 0.38 | % | |||||||
3,500,000 | 5/7/2013 | Federal National Mortgage Association, 1.75% | 3,519,061 | 2.67 | % | |||||||
4,100,000 | 8/20/2013 | Federal National Mortgage Association, 1.25% | 4,126,970 | 3.14 | % | |||||||
5,000,000 | 9/23/2013 | Federal National Mortgage Association, 1.00% | 5,028,960 | 3.82 | % | |||||||
2,900,000 | 12/18/2013 | Federal National Mortgage Association, 0.75% | 2,916,704 | 2.22 | % | |||||||
Total U.S. Government Agency Bonds and Notes (cost - $50,448,493) | 50,456,545 | 38.34 | % | |||||||||
Corporate Notes | ||||||||||||
$ | 3,450,000 | 1/17/2013 | Alpine Securitization Corp Disc Note, 0.17% | 3,449,454 | 2.62 | % | ||||||
3,300,000 | 1/14/2013 | American Honda Finance Corp Disc Note, 0.18% | 3,299,679 | 2.51 | % | |||||||
5,000,000 | 1/2/2013 | Bank of Nova Scotia Disc Note, 0.03% | 4,999,992 | 3.80 | % | |||||||
2,400,000 | 1/22/2013 | Banco del Estado de Chile, NY, 0.20% | 2,400,000 | 1.82 | % | |||||||
2,500,000 | 1/3/2013 | Northern Pines Funding LLC, 0.173% | 2,499,985 | 1.90 | % | |||||||
2,360,000 | 1/4/2013 | General Electric Capital Corp Disc Note, 0.07% | 2,359,931 | 1.79 | % | |||||||
2,000,000 | 1/11/2013 | International Business Machines Corp Disc Note, 0.15% | 1,999,782 | 1.52 | % | |||||||
3,450,000 | 1/7/2013 | National Rural Utilities Cooperative Finance, 0.175% | 3,449,828 | 2.62 | % | |||||||
2,850,000 | 1/2/2013 | NetJets Corp Disc Note, 0.14% | 2,850,000 | 2.17 | % | |||||||
3,450,000 | 1/9/2013 | Norinchukin Bank, 0.17% | 3,449,396 | 2.62 | % | |||||||
4,000,000 | 1/15/2013 | Regency Markets No. 1 LLC, 0.19% | 3,999,323 | 3.04 | % | |||||||
3,450,000 | 1/18/2013 | Royal Bank of Canada, 0.16% | 3,450,000 | 2.62 | % | |||||||
3,350,000 | 1/4/2013 | Sumitomo Trust & Banking Co Disc Note, 0.17% | 3,350,000 | 2.55 | % | |||||||
4,000,000 | 1/4/2013 | Toronto-Dominion Holdings, 0.11% | 3,999,440 | 3.04 | % | |||||||
Total Corporate Notes (cost - $45,556,810) | 45,556,810 | 34.62 | % | |||||||||
U.S. Treasury Obligations | ||||||||||||
$ | 7,000,000 | 1/10/2013 | United States Treasury Bill, 0.001% | 6,999,951 | 5.32 | % | ||||||
2,500,000 | 3/15/2013 | United States Treasury Note, 1.375% | 2,506,348 | 1.90 | % | |||||||
2,000,000 | 4/15/2013 | United States Treasury Note, 1.75% | 2,009,376 | 1.53 | % | |||||||
2,000,000 | 5/15/2013 | United States Treasury Note, 1.375% | 2,009,296 | 1.53 | % | |||||||
200,000 | 5/31/2013 | United States Treasury Note, 0.50% | 200,320 | 0.15 | % | |||||||
3,000,000 | 6/15/2013 | United States Treasury Note, 1.125% | 3,013,593 | 2.29 | % | |||||||
2,000,000 | 11/30/2013 | United States Treasury Note, 2.00% | 2,032,890 | 1.55 | % | |||||||
Total United States Treasury Obligations (cost - $18,768,608) | 18,771,774 | 14.27 | % | |||||||||
Total Investment Securities (cost - $114,773,911) | $ | 114,785,129 | 87.23 | % | ||||||||
See accompanying notes.
-4-
| ALTEGRIS QIM FUTURES FUND, L.P. | |||||||||||||
| CONDENSED SCHEDULE OF INVESTMENTS (continued) | |||||||||||||
| DECEMBER 31, 2012 | |||||||||||||
| _______________ | |||||||||||||
Range of Expiration Dates | Number of Contracts | Value | % of Partners' Capital | ||||||||||
| Long Futures Contracts: | |||||||||||||
Agriculture | Feb 13 - Mar 13 | 66 | $ | (16,989 | ) | (0.01 | )% | ||||||
Currencies | Mar 13 | 466 | (226,255 | ) | (0.17 | )% | |||||||
Energy | Feb 13 | 23 | 14,803 | 0.01 | % | ||||||||
Interest Rates | Mar 13 | 823 | 1,282,253 | 0.97 | % | ||||||||
Metals | Feb 13 - Mar 13 | 45 | 72,630 | 0.06 | % | ||||||||
Stock Indices | Jan 13 | 140 | (113,687 | ) | (0.09 | )% | |||||||
Total Long Futures Contracts | 1,563 | 1,012,755 | 0.77 | % | |||||||||
Short Futures Contracts: | |||||||||||||
Agriculture | Mar 13 | 31 | 6,336 | 0.00 | % | ||||||||
Currencies | Mar 13 | 179 | (6,124 | ) | (0.00 | )% | |||||||
Energy | Feb 13 | 33 | 41,631 | 0.03 | % | ||||||||
Interest Rates | Mar 13 | 120 | 116,306 | 0.09 | % | ||||||||
Metals | Apr 13 | 7 | (595 | ) | (0.00 | )% | |||||||
Stock Indices | Jan 13 - Mar 13 | 2,449 | (1,478,141 | ) | (1.12 | )% | |||||||
Treasury Rates | Mar 13 | 1,748 | (657,336 | ) | (0.50 | )% | |||||||
Total Short Futures Contracts | 4,567 | (1,977,923 | ) | (1.50 | )% | ||||||||
Total Futures Contracts | 6,130 | $ | (965,168 | ) | (0.73 | )% | |||||||
See accompanying notes.
-5-
| ALTEGRIS QIM FUTURES FUND, L.P. | ||||||||||||
| CONDENSED SCHEDULE OF INVESTMENTS | ||||||||||||
| DECEMBER 31, 2011 | ||||||||||||
| _______________ | ||||||||||||
| INVESTMENT SECURITIES | ||||||||||||
| Face Value | Maturity Date | Description | Value | % of Partners' Capital | ||||||||
| Fixed Income Investments | ||||||||||||
| U.S. Government Agency Bonds and Notes | ||||||||||||
$ | 7,625,000 | 1/3/2012 | Federal Farm Credit Bank Disc Note, 0.01% | $ | 7,624,996 | 6.23 | % | |||||
2,130,000 | 4/4/2013 | Federal Farm Credit Bank, 0.84% | 2,132,916 | 1.74 | % | |||||||
1,000,000 | 5/2/2013 | Federal Farm Credit Bank, 0.75% | 1,005,515 | 0.82 | % | |||||||
1,500,000 | 4/2/2012 | Federal Home Loan Bank, 0.17% | 1,500,186 | 1.23 | % | |||||||
500,000 | 5/18/2012 | Federal Home Loan Bank, 1.125% | 501,883 | 0.41 | % | |||||||
1,500,000 | 7/18/2012 | Federal Home Loan Bank, 0.25% | 1,500,323 | 1.23 | % | |||||||
2,000,000 | 8/22/2012 | Federal Home Loan Bank, 0.18% | 1,999,268 | 1.63 | % | |||||||
5,100,000 | 9/7/2012 | Federal Home Loan Bank, 0.14% | 5,096,450 | 4.16 | % | |||||||
5,000,000 | 9/10/2012 | Federal Home Loan Bank, 0.14% | 4,996,445 | 4.08 | % | |||||||
2,000,000 | 9/14/2012 | Federal Home Loan Bank, 0.20% | 1,999,372 | 1.63 | % | |||||||
3,500,000 | 9/25/2012 | Federal Home Loan Bank, 0.14% | 3,497,235 | 2.86 | % | |||||||
6,500,000 | 10/25/2012 | Federal Home Loan Bank, 0.125% | 6,493,422 | 5.31 | % | |||||||
4,000,000 | 11/16/2012 | Federal Home Loan Bank, 0.50% | 4,001,564 | 3.27 | % | |||||||
500,000 | 4/29/2013 | Federal Home Loan Mortgage Corporation, 0.70% | 500,147 | 0.41 | % | |||||||
2,350,000 | 2/13/2012 | Federal Home Loan Mort Corp Disc Note, 0.02% | 2,349,946 | 1.92 | % | |||||||
150,000 | 4/9/2012 | Federal Home Loan Mort Corp Disc Note, 0.02% | 149,992 | 0.12 | % | |||||||
3,000,000 | 5/29/2012 | Federal Home Loan Mort Corp Disc Note, 0.02% | 2,999,754 | 2.45 | % | |||||||
3,800,000 | 5/1/2012 | Federal National Mort Assoc Disc Note, 0.00% | 3,799,749 | 3.10 | % | |||||||
2,750,000 | 4/20/2012 | Federal National Mortgage Association, 1.875% | 2,764,583 | 2.26 | % | |||||||
3,000,000 | 10/30/2012 | Federal National Mortgage Association, 0.50% | 3,004,686 | 2.45 | % | |||||||
Total U.S. Government Agency Bonds and Notes (cost - $57,916,727) | 57,918,432 | 47.31 | % | |||||||||
Corporate Notes | ||||||||||||
$ | 1,800,000 | 1/27/2012 | Amsterdam Funding Corp Disc Note, 0.28% | 1,799,594 | 1.47 | % | ||||||
1,100,000 | 1/3/2012 | Argento Variable Funding Corp Disc Note, 0.31% | 1,099,725 | 0.90 | % | |||||||
500,000 | 1/4/2012 | Aspen Funding Corp Disc Note, 0.35% | 499,877 | 0.41 | % | |||||||
3,100,000 | 1/4/2012 | Bank of Montreal Disc Note, 0.12% | 3,100,000 | 2.53 | % | |||||||
3,000,000 | 1/3/2012 | Bank of Nova Scotia Disc Note, 0.03% | 2,999,990 | 2.45 | % | |||||||
3,000,000 | 1/4/2012 | Bank of Tokyo-Mitsubishi UFJ Ltd Disc Note, 0.10% | 2,999,942 | 2.45 | % | |||||||
3,250,000 | 1/9/2012 | Coca-Cola Enterprises Inc Disc Note, 0.05% | 3,249,887 | 2.65 | % | |||||||
4,000,000 | 1/11/2012 | General Electric Capital Corp Disc Note, 0.02% | 3,999,969 | 3.27 | % | |||||||
2,800,000 | 1/13/2012 | Google Inc Disc Note, 0.05% | 2,799,891 | 2.29 | % | |||||||
2,500,000 | 1/6/2012 | Grampian Funding LLC Disc Note, 0.30% | 2,499,417 | 2.04 | % | |||||||
3,500,000 | 1/6/2012 | Mizuho Funding LLC Disc Note, 0.20% | 3,499,449 | 2.86 | % | |||||||
2,370,000 | 1/13/2012 | Mont Blanc Capital Disc Note, 0.34% | 2,369,348 | 1.93 | % | |||||||
3,700,000 | 1/13/2012 | National Australian Bank Disc Note, 0.05% | 3,700,000 | 3.02 | % | |||||||
350,000 | 1/11/2012 | National Bank of Canada Disc Note, 0.09% | 350,000 | 0.29 | % | |||||||
2,150,000 | 1/6/2012 | Netjets Inc Disc Note, 0.06% | 2,149,896 | 1.76 | % | |||||||
1,450,000 | 1/13/2012 | Norinchukin Bank Disc Note, 0.30% | 1,450,000 | 1.18 | % | |||||||
2,230,000 | 1/5/2012 | Pfizer Inc Disc Note, 0.03% | 2,229,963 | 1.82 | % | |||||||
2,100,000 | 1/10/2012 | Shizuoka Bank/New York Disc Note, 0.40% | 2,100,146 | 1.72 | % | |||||||
2,800,000 | 1/6/2012 | State Street Bank & Trust Disc Note, 0.10% | 2,799,767 | 2.29 | % | |||||||
3,400,000 | 1/12/2012 | Sumitomo Trust & Banking Co Disc Note, 0.24% | 3,399,365 | 2.78 | % | |||||||
3,000,000 | 1/6/2012 | Tasman Funding Inc Disc Note, 0.40% | 2,999,090 | 2.45 | % | |||||||
2,600,000 | 1/23/2012 | Toyota Motor Credit Corp Disc Note, 0.04% | 2,599,925 | 2.12 | % | |||||||
Total Corporate Notes (cost - $54,695,241) | 54,695,241 | 44.68 | % | |||||||||
Total Investment Securities (cost - $112,611,968) | $ | 112,613,673 | 91.99 | % | ||||||||
See accompanying notes.
-6-
| ALTEGRIS QIM FUTURES FUND, L.P. | |||||||||||||
| CONDENSED SCHEDULE OF INVESTMENTS (continued) | |||||||||||||
| DECEMBER 31, 2011 | |||||||||||||
| _______________ | |||||||||||||
Range of Expiration Dates | Number of Contracts | Value | % of Partners' Capital | ||||||||||
| Long Futures Contracts: | |||||||||||||
Agriculture | Feb 12 - Mar 12 | 23 | $ | 21,603 | 0.02 | % | |||||||
Currencies | Mar 12 | 53 | 33,197 | 0.03 | % | ||||||||
Energy | Feb 12 | 72 | (39,902 | ) | (0.03 | )% | |||||||
Interest Rates | Mar 12 - Dec 12 | 180 | 306,344 | 0.25 | % | ||||||||
Metals | Feb 12 - Apr 12 | 24 | (34,134 | ) | (0.03 | )% | |||||||
Stock Indices | Mar 12 | 23 | 4,484 | 0.00 | % | ||||||||
Total Long Futures Contracts | 375 | 291,592 | 0.24 | % | |||||||||
Short Futures Contracts: | |||||||||||||
Agriculture | Mar 12 | 132 | (118,140 | ) | (0.10 | )% | |||||||
Currencies | Mar 12 | 141 | (52,983 | ) | (0.05 | )% | |||||||
Energy | Feb 12 | 7 | 7,726 | 0.01 | % | ||||||||
Interest Rates | Mar 12 - Dec 12 | 175 | (77,160 | ) | (0.06 | )% | |||||||
Metals | Mar 12 | 12 | (2,880 | ) | (0.00 | )% | |||||||
Stock Indices | Jan 12 - Mar 12 | 288 | (248,659 | ) | (0.20 | )% | |||||||
Treasury Rates | Mar 12 | 1,541 | (1,200,289 | ) | (0.98 | )% | |||||||
Total Short Futures Contracts | 2,296 | (1,692,385 | ) | (1.38 | )% | ||||||||
Total Futures Contracts | 2,671 | $ | (1,400,793 | ) | (1.14 | )% | |||||||
See accompanying notes.
-7-
| ALTEGRIS QIM FUTURES FUND, L.P. | ||||||||||||
| STATEMENTS OF OPERATIONS | ||||||||||||
| FOR THE YEARS ENDED DECEMBER 31, 2012, 2011 AND 2010 | ||||||||||||
| _______________ | ||||||||||||
| 2012 | 2011 | 2010 | ||||||||||
| TRADING GAIN (LOSS) | ||||||||||||
| Gain (loss) on trading of commodity futures | ||||||||||||
Realized | $ | 10,393,409 | $ | 8,596,171 | $ | 1,070,005 | ||||||
Change in unrealized | 435,625 | (2,035,310 | ) | 357,647 | ||||||||
Brokerage commissions | (1,916,974 | ) | (1,941,056 | ) | (1,178,732 | ) | ||||||
Gain from trading futures | 8,912,060 | 4,619,805 | 248,920 | |||||||||
Gain (loss) on trading of securities | ||||||||||||
Realized | 53,478 | 84,882 | 53,498 | |||||||||
Change in unrealized | 9,513 | 33,063 | 75 | |||||||||
Gain from trading securities | 62,991 | 117,945 | 53,573 | |||||||||
Foreign currency gain (loss) | 52,966 | (20,651 | ) | (27,069 | ) | |||||||
Total trading gain | 9,028,017 | 4,717,099 | 275,424 | |||||||||
NET INVESTMENT INCOME (LOSS) | ||||||||||||
Income | ||||||||||||
Interest income | 146,654 | 266,259 | 340,113 | |||||||||
Expenses | ||||||||||||
Management fee | 1,454,056 | 1,462,413 | 904,887 | |||||||||
Service fees | 1,050,901 | 1,040,721 | 682,404 | |||||||||
Professional fees | 452,460 | 442,183 | 411,791 | |||||||||
Administrative fee | 329,013 | 338,185 | 213,867 | |||||||||
Offering costs | 33,970 | 79,863 | 52,918 | |||||||||
Incentive fees | 4,320,095 | 969,544 | 375,888 | |||||||||
Organization and initial offering expenses | 12,800 | 12,800 | 3,200 | |||||||||
Interest expense | 11,679 | 1,053 | - | |||||||||
Other expenses | 139,775 | 232,063 | - | |||||||||
Total expenses | 7,804,749 | 4,578,825 | 2,644,955 | |||||||||
Expenses exceeding operating expense cap | - | - | (72,016 | ) | ||||||||
Net expenses | 7,804,749 | 4,578,825 | 2,572,939 | |||||||||
Net investment loss | (7,658,095 | ) | (4,312,566 | ) | (2,232,826 | ) | ||||||
NET INCOME (LOSS) | $ | 1,369,922 | $ | 404,533 | $ | (1,957,402 | ) | |||||
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, 2012, 2011 AND 2010 | ||||||||||||||||||||||||
| _______________ | ||||||||||||||||||||||||
| Limited Partners | ||||||||||||||||||||||||
| Institutional | Special | General | ||||||||||||||||||||||
| Total | Class A | Class B | Interests | Interests | Partner | |||||||||||||||||||
Balances at December 31, 2009 | $ | 23,140,192 | $ | 13,152,279 | $ | 4,824,357 | $ | 3,201,544 | $ | 1,961,078 | $ | 934 | ||||||||||||
Transfers | - | 246,464 | (1,070,855 | ) | 824,391 | - | - | |||||||||||||||||
Capital additions | 111,271,822 | 45,233,746 | 47,112,814 | 18,925,262 | - | - | ||||||||||||||||||
Capital withdrawals | (11,590,716 | ) | (6,208,905 | ) | (2,260,258 | ) | (2,166,082 | ) | (955,471 | ) | - | |||||||||||||
From operations: | ||||||||||||||||||||||||
Net investment loss | (2,232,826 | ) | (1,401,642 | ) | (687,279 | ) | (141,473 | ) | (2,401 | ) | (31 | ) | ||||||||||||
Net realized loss from investments | (82,298 | ) | (228,554 | ) | 339,822 | (93,322 | ) | (100,207 | ) | (37 | ) | |||||||||||||
Net change in unrealized gain (loss) from investments | 357,722 | 121,931 | 159,987 | 78,848 | (3,042 | ) | (2 | ) | ||||||||||||||||
Net loss | (1,957,402 | ) | (1,508,265 | ) | (187,470 | ) | (155,947 | ) | (105,650 | ) | (70 | ) | ||||||||||||
Balances at December 31, 2010 | $ | 120,863,896 | $ | 50,915,319 | $ | 48,418,588 | $ | 20,629,168 | $ | 899,957 | $ | 864 | ||||||||||||
Balances at December 31, 2010 | $ | 120,863,896 | $ | 50,915,319 | $ | 48,418,588 | $ | 20,629,168 | $ | 899,957 | $ | 864 | ||||||||||||
Transfers | - | (220,990 | ) | (262,792 | ) | 483,782 | - | - | ||||||||||||||||
Capital additions | 35,359,185 | 15,033,796 | 10,364,722 | 9,960,667 | - | - | ||||||||||||||||||
Capital withdrawals | (34,214,579 | ) | (14,863,403 | ) | (11,831,149 | ) | (6,626,199 | ) | (893,828 | ) | - | |||||||||||||
From operations: | ||||||||||||||||||||||||
Net investment loss | (4,312,566 | ) | (2,448,856 | ) | (1,322,778 | ) | (537,300 | ) | (3,599 | ) | (33 | ) | ||||||||||||
Net realized gain from investments | 6,719,346 | 2,762,306 | 2,537,656 | 1,412,866 | 6,471 | 47 | ||||||||||||||||||
Net change in unrealized loss from investments | (2,002,247 | ) | (813,722 | ) | (778,886 | ) | (400,624 | ) | (9,001 | ) | (14 | ) | ||||||||||||
Net income | 404,533 | (500,272 | ) | 435,992 | 474,942 | (6,129 | ) | - | ||||||||||||||||
Balances at December 31, 2011 | $ | 122,413,035 | $ | 50,364,450 | $ | 47,125,361 | $ | 24,922,360 | $ | - | $ | 864 | ||||||||||||
Balances at December 31, 2011 | $ | 122,413,035 | $ | 50,364,450 | $ | 47,125,361 | $ | 24,922,360 | $ | - | $ | 864 | ||||||||||||
Transfers | - | (1,576,592 | ) | 1,556,577 | 20,015 | - | - | |||||||||||||||||
Capital additions | 36,128,183 | 18,718,341 | 11,057,609 | 6,352,233 | - | - | ||||||||||||||||||
Capital withdrawals | (28,319,925 | ) | (12,490,625 | ) | (11,965,356 | ) | (3,863,944 | ) | - | - | ||||||||||||||
From operations: | ||||||||||||||||||||||||
Net investment loss | (7,658,095 | ) | (3,856,106 | ) | (2,494,854 | ) | (1,307,098 | ) | - | (37 | ) | |||||||||||||
Net realized gain from investments | 8,582,879 | 3,678,615 | 2,884,888 | 2,019,315 | - | 61 | ||||||||||||||||||
Net change in unrealized gain from investments | 445,138 | 178,159 | 203,584 | 63,394 | - | 1 | ||||||||||||||||||
Net income | 1,369,922 | 668 | 593,618 | 775,611 | - | 25 | ||||||||||||||||||
Balances at December 31, 2012 | $ | 131,591,215 | $ | 55,016,242 | $ | 48,367,809 | $ | 28,206,275 | $ | - | $ | 889 | ||||||||||||
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 Portfolio Management, Inc. (d/b/a Altegris Funds) ("General Partner"). The Partnership speculatively trades commodity futures contracts, and may trade options on futures contracts, forward contracts and other commodity interests. The objective of the Partnership’s business is appreciation of its assets. It is subject to the regulations of the Commodity Futures Trading Commission (the “CFTC”), an agency of the United States (“U.S.”) government that regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of commodity exchanges and Futures Commission Merchants (brokers) through which the Partnership trades.
| B. | Methods of Reporting |
The Partnership’s financial statements are presented in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported fair value of assets and liabilities, disclosures of contingent assets and liabilities as of December 31, 2012 and 2011, and reported amounts of income and expenses for the years ended December 31, 2012, 2011 and 2010, 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.
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.
-10-
ALTEGRIS QIM FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
C. Fair Value (continued)
Unobservable inputs reflect the Partnership’s assumption about the inputs market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The fair value hierarchy is categorized into three levels based on the inputs as follows:
Level 1 - Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that the Partnership has the ability to access.
Level 2 - Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3 - Valuations based on inputs that are unobservable.
The availability of valuation techniques and observable inputs can vary among assets and liabilities and is affected by a wide variety of factors, including the type of asset or liability, whether the asset or liability is new and not yet established in the marketplace, and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Those estimated values do not necessarily represent the amounts that may be ultimately realized due to the occurrence of future circumstances that cannot be reasonably determined. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the asset or liability existed. Accordingly, the degree of judgment exercised by the Partnership in determining fair value is greatest for assets and liabilities categorized in Level 3. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined by the lowest level input that is significant to the fair value measurement.
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.
-11-
ALTEGRIS QIM FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
C. Fair Value (continued)
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.
The fair value of U.S. government agency bonds and notes is generally based on quoted prices in active markets. When quoted prices are not available, fair value is determined based on a valuation model that uses inputs which include interest-rate yield curves, cross-currency-basis index spreads, and country credit spreads similar to the bond in terms of issue, maturity and seniority. U.S. government agency bonds and notes are generally categorized in Levels 1 or 2 of the fair value hierarchy. No U.S. government agency bonds and notes were fair valued using valuation models as of December 31, 2012 and 2011.
The fair value of U.S. treasury obligations is generally based on quoted prices in active markets. U.S. treasury obligations are generally categorized in Level 1 of the fair value hierarchy.
The fair value of corporate notes is determined using recently executed transactions, market price quotations (where observable), notes spreads or credit default swap spreads. The spread data used are for the same maturity as that of the notes. If the spread data does not reference the issuer, data that references a comparable issuer is used. When observable price quotations are not available, fair value is determined based on cash flow models with yield curves, notes, or single-name credit default swap spreads and recovery rates based on collateral values as key inputs. These valuation methods represent both a market and income approach to fair value measurement. Corporate notes are generally categorized in Level 2 of the fair value hierarchy; however, in instances where significant inputs are unobservable, they are categorized in Level 3 of the hierarchy. No corporate notes were fair valued using valuation models as of December 31, 2012 and 2011.
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, 2012 and 2011.
-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 following table presents information about the Partnership’s assets and liabilities measured at fair value as of December 31, 2012 and December 31, 2011:
| December 31, 2012 | Level 1 | Level 2 | Level 3 | Balance as of December 31, 2012 | ||||||||||||
| Assets | ||||||||||||||||
Futures contracts (1) | $ | 1,740,253 | $ | - | $ | - | $ | 1,740,253 | ||||||||
U.S. Government agency bonds and notes | 50,456,545 | - | - | 50,456,545 | ||||||||||||
Corporate notes | - | 45,556,810 | - | 45,556,810 | ||||||||||||
U.S. Treasury obligations | 18,771,774 | - | - | 18,771,774 | ||||||||||||
Total Assets | $ | 70,968,572 | $ | 45,556,810 | $ | - | $ | 116,525,382 | ||||||||
Liabilities | ||||||||||||||||
Futures contracts (1) | $ | (2,705,421 | ) | $ | - | $ | - | $ | (2,705,421 | ) | ||||||
| December 31, 2011 | Level 1 | Level 2 | Level 3 | Balance as of December 31, 2011 | ||||||||||||
| Assets | ||||||||||||||||
Futures contracts (1) | $ | 406,872 | $ | - | $ | - | $ | 406,872 | ||||||||
U.S. Government agency bonds and notes | 57,918,432 | - | - | 57,918,432 | ||||||||||||
Corporate notes | - | 54,695,241 | - | 54,695,241 | ||||||||||||
Total Assets | $ | 58,325,304 | $ | 54,695,241 | $ | - | $ | 113,020,545 | ||||||||
Liabilities | ||||||||||||||||
Futures contracts (1) | $ | (1,807,665 | ) | $ | - | $ | - | $ | (1,807,665 | ) | ||||||
(1) See Note 7. "Financial Derivative Instruments" for the fair value in each type of contracts within this category.
For the years ended December 31, 2012 and 2011, there were no transfers between Level 1 and Level 2 assets and liabilities. For the years ended December 31, 2012 and 2011, 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 identified cost method. Change in net unrealized gain or loss from the preceding period is reported in the Statements of Operations. Brokerage commissions and other trading fees are reflected as an adjustment to cost or proceeds at the time of the transaction. Interest income is recorded on an accrual basis.
Gains or losses on futures contracts are realized when contracts are closed. Net unrealized gains or losses on open contracts (the difference between contract trade price and quoted market price) are reflected in the Statements of Financial Condition. Any change in net unrealized gain or loss from the preceding period is reported in the Statements of Operations. Brokerage commissions on futures contracts include other trading fees and are incurred as an expense when contracts are opened.
E. Futures Contracts
The Partnership may invest 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. 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 December 31, 2012 and 2011 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 Statement of Operations.
-14-
ALTEGRIS QIM FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
G. Cash
Restricted cash is held as margin collateral for futures transactions.
The Partnership maintains a custody account with a major financial institution. At times, the Partnership’s cash balance could exceed the insured amount under the Federal Deposit Insurance Corporation (“FDIC”). The FDIC temporarily increased its limit to $250,000 until December 31, 2013. The Partnership has not experienced any losses in such accounts and believes it is not subject to any significant counterparty risk related to its cash account.
H. 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 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, 2012 and 2011. However, the Partnership’s conclusions may be subject to review and adjustment at a later date based on factors including, but not limited to, on-going analyses of and changes to tax laws, regulations and interpretations thereof.
The Partnership recognizes interest and penalties related to unrecognized tax benefits in interest expense and other expenses, respectively. No interest expense or penalties have been recognized for the years ended December 31, 2012, 2011 and 2010.
The Partnership is subject to income tax examinations by major taxing authorities for all tax years since its inception.
-15-
ALTEGRIS QIM FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
J. Reclassifications
Certain amounts in the 2011 and 2010 financial statements were reclassified to conform to the 2012 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, Special Interests, Class A Interests, Class B Interests and Institutional Interests (collectively referred to as “Interests”). Income or loss (prior to management fees, administrative fees, service fees and incentive fees) is allocated pro rata among the partners based on their respective capital accounts as of the end of each month in which the items accrue, pursuant to the terms of the Partnership’s agreement of limited partnership, as may be amended and restated from time to time (the “Agreement”). Special Interests, Class A Interests, Class B Interests and Institutional Interests are then charged with their applicable management fee, administrative fee, service fee and incentive fee in accordance with the Agreement. Class A Interests, Class B Interests and Institutional Interests were first issued by the Partnership on October 1, 2009.
No limited partner of the Partnership (each, a “Limited Partner” and collectively the “Limited Partners”) shall be liable for any debts or liabilities of the Partnership or any losses thereof in excess of such Limited Partner's capital contributions, except as may be required by law.
B. Subscriptions, Distributions and Redemptions
Investments in the Partnership are made by subscription agreement, subject to acceptance by the General Partner.
The Partnership is not required to make distributions, but may do so at the sole discretion of the General Partner. The General Partner may request and receive redemption of capital, subject to the same terms as any Limited Partner.
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.
-16-
ALTEGRIS QIM FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
NOTE 3 - RELATED PARTY TRANSACTIONS
A. General Partner Management Fee
The General Partner receives a monthly management fee from the Partnership equal to 0.104% (1.25% annually) for Class A and Class B, 0.0625% (0.75% annually) for Institutional Interests, and 0.0208% (0.25% annually) for Special Interests of the Partnership's management fee net asset value. The General Partner may declare any Limited Partner a “Special Limited Partner” and the management fees or incentive fees charged to any such partner may be different than those charged to other Limited Partners.
Total management fees earned by the General Partner for the years ended December 31, 2012, 2011 and 2010 are shown on the Statements of Operations as Management Fee.
B. Administrative Fee
The General Partner receives a monthly administrative fee from the Partnership equal to 0.0275% (0.33% annually) of the Partnership's management fee net asset valu attributable to Class A and Class B Interests. Total administrative fees for the years ended December 31, 2012, 2011 and 2010 are shown on the Statements of Operations as Administrative Fee.
C. Operating Expenses
The General Partner limited the operating expenses paid by the Partnership (excluding the fixed administrative fee paid by Class A and B Interests) to 0.50% of the average month-end capital account balances of all Interests (the Operating Expense Cap).
D. Altegris Investments, Inc. and Altegris Futures, L.L.C.
Altegris Investments, Inc. (“Altegris Investments”), an affiliate of the General Partner, is registered as a broker-dealer with the Securities Exchange Commission. Beginning January 1, 2011, Altegris Futures, L.L.C. (“Altegris Futures”), an affiliate of the General Partner and an introducing broker registered with the CFTC, became the Partnership’s introducing broker. Prior to January 1, 2011, Altegris Investments served as the Partnership’s introducing broker. Altegris Investments has entered into a selling agreement with the Partnership whereby it receives 2% per annum as continuing compensation for Class A Interests sold by Altegris Investments that are outstanding at month end. Altegris Futures, as the Partnership’s introducing broker, receives a portion of the commodity brokerage commissions paid by the Partnership to J.P. Morgan Securities, LLC, the Partnership’s commodity broker (the “Clearing Broker”) and interest income retained by the Clearing Broker. Additionally, the Partnership pays to its clearing brokers and Altegris Futures, at a minimum, brokerage charges at a monthly flat rate of 0.125% (1.5% annually) of the Partnership’s management fee net asset value. Brokerage charges may exceed the flat rate described above, depending on commission and trading volume levels, which may vary.
-17-
ALTEGRIS QIM FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
NOTE 3 - RELATED PARTY TRANSACTIONS (CONTINUED)
D. Altegris Investments, Inc. and Altegris Futures, L.L.C. (continued)
At December 31, 2012 and 2011, respectively, the Partnership had commissions and brokerage fees payable to Altegris Futures of $101,419 and $129,476 and service fees payable to Altegris Investments of $25,089 and $27,698, respectively. The following tables show the fees paid to Altegris Investments and Altegris Futures for the years ended December 31, 2012, 2011 and 2010, respectively:
| Year ended | Year ended | Year ended | ||||||||||
| December 31, 2012 | December 31, 2011 | December 31, 2010 | ||||||||||
Altegris Futures - Commission fees | $ | 932,086 | $ | 845,472 | $ | 380,647 | ||||||
Altegris Futures - Brokerage fees | 457,524 | 621,604 | 599,578 | |||||||||
Altegris Investments- Service fees | 286,599 | 352,331 | 327,300 | |||||||||
Total | $ | 1,676,209 | $ | 1,819,407 | $ | 1,307,525 | ||||||
The amounts above are included in Brokerage Commissions and Service Fees on the Statement of Operations, respectively. The amounts shown on the Statement of Operations include fees paid to nonrelated parties.
NOTE 4 - ADVISORY CONTRACT
The Partnership’s trading activities are conducted pursuant to an advisory contract with Quantitative Investment Management LLC (QIM) (“Advisor”). The Partnership pays the Advisor a quarterly incentive fee of 30% of the trading profits. However, the quarterly incentive fee is payable only on cumulative profits, 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 Operations.
NOTE 5 - SERVICE FEES
Class A Interests pay selling agents an ongoing monthly payment of 0.166% of the month-end net asset value (2% annually) of the value of Interests sold by them which are outstanding at month-end as compensation for their continuing services to such Class A Limited Partners. Institutional Interests may pay selling agents, if the selling agent so elects, an ongoing monthly payment of 0.0417% (0.50% annually) of the value of Institutional Interests sold by them which are outstanding at month-end as compensation for their continuing services to such Limited Partners holding Institutional Interests. Total service fees for the years ended December 31, 2012, 2011 and 2010 are shown on the Statement of Operations as Service Fees.
NOTE 6 - BROKERAGE AGREEMENT
The Partnership pays brokerage commissions to the Clearing Broker for clearing trades on its behalf, which are reflected in the Statements of Operations as Brokerage Commissions.
-18-
ALTEGRIS QIM FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS
The Partnership engages in futures contracts for the purpose of achieving capital appreciation. None of the Partnership’s derivative instruments are designated as hedging instruments, as defined in the Derivatives and Hedging Topic of the Accounting Standards Codification, nor are they used for other risk management purposes. The Advisor and General Partner actively assess, manage and monitor risk exposure on derivatives on a contract basis, a sector basis (e.g., interest rate derivatives, agricultural derivatives, etc.), and on an overall basis in accordance with established risk parameters. Due to the speculative nature of the Partnership’s derivative trading activity, the Partnership is subject to the risk of substantial losses from derivatives trading.
The following presents the fair value of derivative contracts as of December 31, 2012 and 2011. The fair value of derivative contracts is presented as an asset if in a gain position and a liability if in a loss position. Fair value is presented on a gross basis in the table below even though the derivative contracts qualify for net presentation in the Statements of Financial Condition.
| December 31, 2012 |
| Asset | Liability | |||||||||||
| Derivatives | Derivatives | Net | ||||||||||
| Fair Value | Fair Value | Fair Value | ||||||||||
Futures Contacts | $ | 1,740,253 | $ | (2,705,421 | ) | $ | (965,168 | ) | ||||
| December 31, 2011 |
| Asset | Liability | |||||||||||
| Derivatives | Derivatives | Net | ||||||||||
| Fair Value | Fair Value | Fair Value | ||||||||||
Futures Contacts | $ | 406,872 | $ | (1,807,665 | ) | $ | (1,400,793 | ) | ||||
-19-
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 years ended December 31, 2012, 2011 and 2010.
The below captions of “Realized” and “Change in Unrealized” correspond to the captions in the Statements of Operations.
Year Ended December 31, 2012 | ||||||||||||
| Change in | Number of | |||||||||||
| Realized | Unrealized | Contracts Closed | ||||||||||
Futures Contracts | $ | 10,393,409 | $ | 435,625 | 150,019 | |||||||
Year Ended December 31, 2011
| Change in | Number of | |||||||||||
| Realized | Unrealized | Contracts Closed | ||||||||||
Futures Contracts | $ | 8,596,171 | $ | (2,035,310 | ) | 122,024 | ||||||
Year Ended December 31, 2010
| Change in | Number of | |||||||||||
| Realized | Unrealized | Contracts Closed | ||||||||||
Futures Contracts | $ | 1,070,005 | $ | 357,647 | 56,610 | |||||||
-20-
ALTEGRIS QIM FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
NOTE 8 - FINANCIAL INSTRUMENTS, OFF-BALANCE SHEET RISKS AND UNCERTAINTIES
The Partnership participates in the speculative trading of commodity futures contracts, substantially all of which are subject to margin requirements. The minimum amount of margin required for each contract is set from time to time in response to various market factors by the respective exchanges. Further, the Clearing Broker has the right to require margin in excess of the minimum exchange requirement. Risk arises from changes in the value of these contracts (market risk) and the potential inability of brokers to perform under the terms of their contracts (credit risk).
All of the contracts currently traded by the Partnership are exchange traded. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over-the-counter transactions because, in over-the-counter transactions, the Partnership must rely solely on the credit of its respective individual counterparties. However, in the future, if the Partnership were to enter into non-exchange traded contracts, it would be subject to the credit risk associated with counterparty non-performance. The credit risk from counterparty non-performance associated with such instruments is the net unrealized gain, if any.
The Partnership also has credit risk because the sole counterparty to all domestic futures contracts is the exchange clearing corporation. In addition, the Partnership bears the risk of financial failure by the Clearing Broker. The Partnership's policy is to continuously monitor its exposure to market and counterparty risk through the use of a variety of financial, position and credit exposure reporting and control procedures. In addition, the Partnership has a policy of reviewing the credit standing of each clearing broker or counterparty with which it conducts business.
JPMorgan Chase Bank, N.A. (“Custodian”) is the Partnership’s custodian. The Partnership has cash deposited with the Custodian. For cash not held with the Clearing Broker, the Partnership receives cash management services from an affiliate of the Custodian, J.P. Morgan Investment Management Inc. (“JPMIM”). The Partnership has a substantial portion of its assets on deposit with the Custodian in U.S. government agency bonds and notes and corporate notes. Risks arise from investments in bonds and notes due to possible illiquidity and the potential for default by the issuer or counterparty. Such instruments are also sensitive to changes in interest rates and economic conditions.
NOTE 9 - INDEMNIFICATIONS
In the normal course of business, the Partnership enters into contracts and agreements that contain a variety of representations and warranties and which provide general indemnifications. The Partnership’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Partnership that have not yet occurred. The Partnership expects the risk of any future obligation under these indemnifications to be remote.
-21-
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, 2012, 2011 and 2010. This information has been derived from information presented in the financial statements.
| Year ended December 31, 2012 | ||||||||||||
| Institutional | ||||||||||||
| Class A | Class B | Interest | ||||||||||
| Total return for Limited Partners | ||||||||||||
| Total return prior to incentive fees | 3.43 | % | 5.49 | % | 6.36 | % | ||||||
| Incentive fees | (3.47 | %) | (3.56 | %) | (3.71 | %) | ||||||
| Total return after incentive fees | (0.04 | %) | 1.93 | % | 2.65 | % | ||||||
| Ratio to average net asset value | ||||||||||||
| Expenses prior to incentive fees | 4.19 | % | 2.14 | % | 1.29 | % | ||||||
| Incentive fees | 3.47 | % | 3.36 | % | 3.64 | % | ||||||
| Total expenses | 7.66 | % | 5.50 | % | 4.93 | % | ||||||
| Net investment loss (1) | (4.07 | %) | (2.02 | %) | (1.17 | %) | ||||||
| Year ended December 31, 2011 | ||||||||||||||||
| Institutional | Special | |||||||||||||||
| Class A | Class B | Interest | Interests (5) | |||||||||||||
| Total return for Limited Partners (3) | ||||||||||||||||
| Total return prior to incentive fees | (0.02 | %) | 2.02 | % | 2.83 | % | (0.68 | %) | ||||||||
| Incentive fees | (0.65 | %) | (0.67 | %) | (0.98 | %) | 0.00 | % | ||||||||
| Total return after incentive fees | (0.67 | %) | 1.35 | % | 1.85 | % | (0.68 | %) | ||||||||
| Ratio to average net asset value | ||||||||||||||||
| Expenses prior to incentive fees | 4.28 | % | 2.23 | % | 1.41 | % | 0.78 | % (2) | ||||||||
| Incentive fees (3) | 0.73 | % | 0.69 | % | 1.12 | % | 0.00 | % | ||||||||
| Total expenses | 5.01 | % | 2.92 | % | 2.53 | % | 0.78 | % | ||||||||
| Net investment loss (1) | (4.06 | %) | (2.02 | %) | (1.20 | %) | (0.55 | %) (2) | ||||||||
-22-
ALTEGRIS QIM FUTURES FUND, L.P
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
NOTE 10 - FINANCIAL HIGHLIGHTS (CONTINUED)
| Year ended December 31, 2010 | ||||||||||||||||
| Institutional | Special | |||||||||||||||
| Class A | Class B | Interest | Interests | |||||||||||||
| Total return for Limited Partners | ||||||||||||||||
| Total return prior to incentive fees | (7.51 | %) | (5.65 | %) | (4.84 | %) | (4.28 | %) | ||||||||
| Incentive fees | (0.31 | %) | (0.36 | %) | (0.24 | %) | 0.00 | % | ||||||||
| Total return after incentive fees | (7.82 | %) | (6.01 | %) | (5.08 | %) | (4.28 | %) | ||||||||
| Ratio to average net asset value | ||||||||||||||||
| Expenses prior to incentive fees | 4.08 | % | 2.08 | % | 1.26 | % | 0.65 | % | ||||||||
| Incentive fees | 0.46 | % | 0.58 | % | 0.33 | % | 0.00 | % | ||||||||
| Total expenses (4) | 4.54 | % | 2.66 | % | 1.59 | % | 0.65 | % | ||||||||
| Net investment loss (1) | (3.64 | %) | (1.65 | %) | (0.82 | %) | (0.16 | %) | ||||||||
Total return and the ratios to average net asset value are calculated for each class of Limited Partners’ capital taken as a whole. An individual Limited Partner’s total return and ratios may vary from the above returns and ratios due to the timing of their contributions and withdrawals and differing fee structures.
Total return is calculated on a monthly compounded basis.
| (1) | Excludes incentive fee. |
| (2) | Annualized only for Special Interests. |
| (3) | Not annualized. |
| (4) | Total expenses are net of 0.13% effect of voluntary waiver of operating expenses for all interests for the year ended December 31, 2010. |
| (5) | For the period January 1, 2011 to September 30, 2011. |
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, 2013 through March 22, 2013, the Partnership had subscriptions of $8,154,867 and redemptions of $4,855,253. Management has determined there are no additional matters requiring disclosure.
-23-