Altegris QIM Futures Fund 10-Q 2013 Q1 Quarterly report

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C.  20549

FORM 10-Q

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

For the quarterly period ended March 31, 2013

OR

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

For the transition period from ________ to ___________

Commission file number: 000-53815

ALTEGRIS  QIM FUTURES FUND, L.P.

(Exact name of registrant as specified in its charter)

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

c/o ALTEGRIS PORTFOLIO MANAGEMENT, INC.

1202 Bergen Parkway, Suite 212

Evergreen, Colorado 80439

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

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

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, or a non-accelerated filer, or a smaller reporting company.  See definition of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.

      Large accelerated filer  [   ] Accelerated filer  [   ] Non-accelerated filer  [   ] Smaller reporting company  [X]

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes  [   ]No  [X]

TABLE OF CONTENTS
		Page
PART I – FINANCIAL INFORMATION		1
1Item 1.	Financial Statements	1
	Statements of Financial Condition	1
	Condensed Schedules of Investments	2
	Statements of Income (Loss)	6
	Statements of Changes in Partners’ Capital (Net Asset Value)	7
	Notes to Financial Statements	8
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	22
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	23
Item 4.	Controls and Procedures	23
PART II – OTHER INFORMATION		24
Item 1.	Legal Proceedings	24
Item 1A.	Risk Factors	24
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	24
Item 3.	Defaults Upon Senior Securities	24
Item 4.	Mine Safety Disclosure	24
Item 5.	Other Information	24
Item 6.	Exhibits	24
Signatures		26
Rule 13a–14(a)/15d–14(a) Certifications		27
Section 1350 Certifications		28

PART I – FINANCIAL INFORMATION

Item 1:   Financial Statements.

ALTEGRIS QIM FUTURES FUND, L.P.

STATEMENTS OF FINANCIAL CONDITION

MARCH 31, 2013 (Unaudited) and DECEMBER 31, 2012 (Audited)

	2013		2012
ASSETS
Equity in commodity broker account:
Restricted cash	$	1,876,052	$	7,932,508
Cash		6,100,265		4,817,430
Restricted foreign currency (cost - $2,409,355 and $3,454,913)		2,216,931		4,687,677
		10,193,248		17,437,615
Cash		7,275,221		9,824,680
Investment securities at value
(cost - $114,793,772 and $114,773,911)		114,804,952		114,785,129
Interest receivable		132,649		104,514
Total assets	$	132,406,070	$	142,151,938
LIABILITIES
Equity in commodity broker account:
Foreign currency (proceeds - $4,574,719 and $3,013,100)	$	4,209,358	$	4,088,218
Unrealized loss on open commodity futures contracts		485,202		965,168
		4,694,560		5,053,386
Brokerage Commissions payable		84,122		63,679
Management fee payable		123,859		125,815
Administrative fee payable		28,092		28,617
Service fees payable		87,569		95,415
Incentive fees payable		-		17,244
Redemptions payable		2,812,960		2,487,346
Subscriptions received in advance		724,699		2,489,976
Payable to General Partner		1,067		1,067
Other liabilities		183,677		198,178
Total liabilities		8,740,605		10,560,723
PARTNERS' CAPITAL (NET ASSET VALUE)
General Partner		829		889
Limited Partners		123,664,636		131,590,326
Total partners' capital (Net Asset Value)		123,665,465		131,591,215
Total liabilities and partners' capital	$	132,406,070	$	142,151,938

See accompanying notes.

-1-

ALTEGRIS QIM FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

MARCH 31, 2013 (Unaudited)

INVESTMENT SECURITIES
Face Value		Maturity Date	Description	Value		% of Partners' Capital
Fixed Income Investments
U.S. Government Agency Bonds and Notes
$	7,257,000	4/1/2013	Federal Farm Credit Bank Disc Note, 0.013%	$	7,257,000		5.87	%
	1,000,000	5/2/2013	Federal Farm Credit Bank, 0.75%		1,000,550		0.81	%
	2,000,000	11/20/2013	Federal Farm Credit Bank, 0.20%		2,000,412		1.62	%
	5,750,000	1/17/2014	Federal Farm Credit Bank, 0.15%		5,748,764		4.65	%
	5,000,000	10/18/2013	Federal Home Loan Bank, 0.19%		5,000,995		4.04	%
	2,000,000	11/15/2013	Federal Home Loan Bank, 0.29%		2,001,552		1.62	%
	4,500,000	4/9/2013	Federal Home Loan Mort Corp Disc Note, 0.013%		4,499,982		3.64	%
	4,000,000	4/1/2013	Federal National Mort Assoc Disc Note, 0.00%		4,000,000		3.23	%
	3,500,000	5/7/2013	Federal National Mortgage Association, 1.75%		3,505,757		2.84	%
	4,100,000	8/20/2013	Federal National Mortgage Association, 1.25%		4,117,327		3.33	%
	5,000,000	9/23/2013	Federal National Mortgage Association, 1.00%		5,020,285		4.06	%
	6,900,000	12/18/2013	Federal National Mortgage Association, 0.75%		6,930,256		5.60	%
Total U.S. Government Agency Bonds and Notes (cost - $51,073,812)					51,082,880		41.31	%
Corporate Notes
$	3,450,000	4/17/2013	Banco del Estado de Chile, NY, 0.18%		3,450,000		2.79	%
	3,450,000	4/11/2013	Bank of Montreal, 0.18%		3,450,000		2.79	%
	5,250,000	4/1/2013	Bank of Nova Scotia Disc Note, 0.107%		5,250,000		4.25	%
	1,750,000	4/5/2013	Cancara Asset Securitisation LLC, 0.217%		1,749,746		1.41	%
	3,450,000	4/19/2013	Coca-Cola Enterprises, Inc Disc Note, 0.073%		3,449,741		2.79	%
	3,500,000	4/3/2013	Chevron Corp Disc Note, 0.144%		3,499,825		2.83	%
	3,450,000	4/15/2013	Norinchukin Bank, 0.27%		3,450,172		2.79	%
	3,450,000	4/11/2013	Northern Pines Funding LLC, 0.181%		3,449,425		2.79	%
	2,350,000	4/11/2013	Pfizer, Inc Disc Note, 0.043%		2,349,871		1.90	%
	2,450,000	4/24/2013	Regency Markets No. 1 LLC, 0.197%		2,449,657		1.98	%
	2,300,000	4/4/2013	Shizuoka Bank, NY, 0.20%		2,300,000		1.86	%
	3,450,000	4/19/2013	Sumitomo Trust & Banking Co Disc Note, 0.18%		3,450,000		2.79	%
	2,000,000	4/18/2013	Toronto-Dominion Holdings, 0.147%		1,999,738		1.62	%
	3,450,000	4/10/2013	Wal-Mart Stores, Inc Disc Note, 0.043%		3,449,819		2.79	%
Total Corporate Notes (cost - $43,747,994)					43,747,994		35.38	%
U.S. Treasury Obligations
$	4,700,000	4/4/2013	United States Treasury Bill, 0.075%		4,699,991		3.80	%
	2,500,000	4/18/2013	United States Treasury Bill, 0.036%		2,499,955		2.02	%
	2,000,000	4/15/2013	United States Treasury Note, 1.75%		2,001,250		1.62	%
	2,000,000	5/15/2013	United States Treasury Note, 1.375%		2,003,046		1.62	%
	200,000	5/31/2013	United States Treasury Note, 0.50%		200,148		0.16	%
	3,000,000	6/15/2013	United States Treasury Note, 1.125%		3,006,327		2.43	%
	2,000,000	11/30/2013	United States Treasury Note, 2.00%		2,024,532		1.64	%
	3,500,000	4/15/2014	United States Treasury Note, 1.25%		3,538,829		2.86	%
Total United States Treasury Obligations (cost - $19,971,966)					19,974,078		16.15	%
Total Investment Securities (cost - $114,793,772)				$	114,804,952		92.84	%

See accompanying notes.

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ALTEGRIS QIM FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS (continued)

MARCH 31, 2013 (Unaudited)

	Range of Expiration Dates	Number of Contracts		Value			% of Partners' Capital
Long Futures Contracts:
Agriculture	May 13		51	$	(71,005	)		(0.06	)%
Currencies	Jun 13		325		(17,942	)		(0.01	)%
Energy	Apr 13		93		96,743			0.08	%
Interest Rates	Jun 13		20		(10,241	)		(0.01	)%
Stock Indices	Apr 13 - Jun 13		90		(40,778	)		(0.03	)%
Treasury Rates	Jun 13		540		25,016			0.02	%
Total Long Futures Contracts			1,119		(18,207	)		(0.01	)%
Short Futures Contracts:
Agriculture	Apr 13 - Jun 13		27		26,708			0.02	%
Currencies	Jun 13		154		(30,728	)		(0.02	)%
Energy	Apr 13  - May 13		41		(22,100	)		(0.02	)%
Interest Rates	Jun 13		366		(69,204	)		(0.06	)%
Metals	May 13 - Jun 13		33		35,244			0.03	%
Stock Indices	Apr 13 - Jun 13		778		(403,760	)		(0.33	)%
Treasury Rates	Jun 13		4		(3,155	)		(0.00	)%
Total Short Futures Contracts			1,403		(466,995	)		(0.38	)%
Total Futures Contracts			2,522	$	(485,202	)		(0.39	)%

See accompanying notes.

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ALTEGRIS QIM FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

DECEMBER 31, 2012 (Audited)

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.

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ALTEGRIS QIM FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS (continued)

DECEMBER 31, 2012 (Audited)

	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.

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ALTEGRIS QIM FUTURES FUND, L.P.

STATEMENTS OF INCOME (LOSS)

FOR THE THREE MONTHS ENDED MARCH 31, 2013 AND 2012 (Unaudited)

	2013			2012
TRADING GAIN (LOSS)
Gain (loss) on trading of commodity futures
Realized	$	(7,907,125	)	$	(6,256,977	)
Change in unrealized		479,966			357,207
Brokerage Commissions		(496,306	)		(457,405	)
Loss from trading futures		(7,923,465	)		(6,357,175	)
Gain (loss) on trading of securities
Realized		12,507			15,233
Change in unrealized		(38	)		5,094
Gain from trading securities		12,469			20,327
Gain (loss) on trading of foreign currency
Realized		122,833			(1,361	)
Change in unrealized		15,291			(2	)
Gain (loss) from trading foreign currency		138,124			(1,363	)
Total trading loss		(7,772,872	)		(6,338,211	)
NET INVESTMENT INCOME (LOSS)
Income
Interest income		37,834			35,433
Expenses
Management fee		378,260			349,256
Service fees		267,261			243,687
Professional fees		113,543			103,187
Administrative fee		85,872			79,565
Offering costs		1,084			19,888
Incentive fees		-			8,681
Organization and initial offering expenses		3,200			3,200
Interest expense		8,022			1,162
Other expenses		29,568			30,330
Total expenses		886,810			838,956
Net investment loss		(848,976	)		(803,523	)
NET LOSS	$	(8,621,848	)	$	(7,141,734	)

See accompanying notes.

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ALTEGRIS QIM FUTURES FUND, L.P.

STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)

FOR THE THREE MONTHS ENDED MARCH 31, 2013 AND 2012 (Unaudited)

				Limited Partners
	Total			Class A			Class B			Institutional Interests			General Partner
Balances at December 31, 2011	$	122,413,035		$	50,364,450		$	47,125,361		$	24,922,360		$	864
Transfers		-			(1,452,789	)		1,452,789			-			-
Capital additions		9,737,340			5,201,807			2,468,300			2,067,233			-
Capital withdrawals		(7,665,338	)		(3,300,956	)		(4,364,382	)		-			-
From operations:
Net investment loss		(803,523	)		(493,411	)		(235,446	)		(74,658	)		(8	)
Net realized loss from investments		(6,700,510	)		(2,682,530	)		(2,649,756	)		(1,368,177	)		(47	)
Net change in unrealized gain from investments		362,299			138,088			155,643			68,565			3
Net loss		(7,141,734	)		(3,037,853	)		(2,729,559	)		(1,374,270	)		(52	)
Balances at March 31, 2012	$	117,343,303		$	47,774,659		$	43,952,509		$	25,615,323		$	812
Balances at December 31, 2012	$	131,591,215		$	55,016,242		$	48,367,809		$	28,206,275		$	889
Transfers		-			(321,697	)		321,697			-			-
Capital additions		8,154,867			3,374,979			3,229,888			1,550,000			-
Capital withdrawals		(7,458,769	)		(3,481,910	)		(3,016,050	)		(960,809	)		-
From operations:
Net investment loss		(848,976	)		(531,797	)		(238,941	)		(78,230	)		(8	)
Net realized loss from investments		(8,268,091	)		(3,427,927	)		(3,084,301	)		(1,755,808	)		(55	)
Net change in unrealized gain from investments		495,219			207,487			185,816			101,913			3
Net loss		(8,621,848	)		(3,752,237	)		(3,137,426	)		(1,732,125	)		(60	)
Balances at March 31, 2013	$	123,665,465		$	50,835,377		$	45,765,918		$	27,063,341		$	829

See accompanying notes.

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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 March 31, 2013 and December 31, 2012, and reported amounts of income and expenses for the periods ended March 31, 2013 and 2012, respectively.  Management believes that the estimates utilized in preparing the Partnership’s financial statements are reasonable; however, actual results could differ from these estimates and it is reasonably possible that the differences could be material.

The accompanying unaudited condensed financial statements have been prepared in accordance with Rule 10-01 of Regulation S-X promulgated by the U.S. Securities and Exchange Commission (the “SEC”) and, therefore, do not include all information and footnote disclosure required under U.S. generally accepted accounting principles.  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 condensed financial statements for the interim period.

C. Fair Value

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

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ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

C. Fair Value (continued)

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

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

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

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

Level 3 - Valuations based on inputs that are unobservable.

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

-9-

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

C. Fair Value (continued)

Fair value is a market-based measure considered from the perspective of a market participant rather than an entity-specific measure. Therefore, even when market assumptions are not readily available, the Partnership’s own assumptions are set to reflect those that market participants would use in pricing the asset or liability at the measurement date. The Partnership uses prices and inputs that are current as of the measurement date, including 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 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 March 31, 2013 or December 31, 2012.

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 March 31, 2013 or December 31, 2012.

-10-

ALTEGRIS QIM FUTURES FUND, L.P

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

C. Fair Value (continued)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. There were no changes in the Partnership’s valuation methodology during the periods ended March 31, 2013 and December 31, 2012.

The following table presents information about the Partnership’s assets and liabilities measured at fair value as of March 31, 2013 and December 31, 2012:

								Balance as of
March 31, 2013	Level 1			Level 2		Level 3		March 31, 2013
Assets
Futures contracts (1)	$	339,029		$	-	$	-	$	339,029
U.S. Government agency bonds and notes		51,082,880			-		-		51,082,880
Corporate notes		-			43,747,994		-		43,747,994
U.S. Treasury obligations		19,974,078			-		-		19,974,078
Total Assets	$	71,395,987		$	43,747,994	$	-	$	115,143,981
Liabilities
Futures contracts (1)	$	(824,231	)	$	-	$	-	$	(824,231	)

								Balance as of
December 31, 2012	Level 1			Level 2		Level 3		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	)

(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, 2013 and the year ended December 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities. For the three months ended March 31, 2013 and the year ended December 31, 2012, there were no Level 3 securities.

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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 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 foreign currency forward contracts, 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.

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 March 31, 2013 and December 31, 2012 are reflected within the Condensed Schedules of Investments.

-12-

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

F. Foreign Currency Transactions

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

G. Cash

Restricted cash is held as maintenance margin deposits 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 March 31, 2013 and December 31, 2012.  However, the Partnership’s

-13-

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

I. Income Taxes (continued)

conclusions may be subject to review and adjustment at a later date based on factors including, but not limited to, on-going analyses of and changes to tax laws, regulations and interpretations thereof. 

The Partnership recognizes interest and penalties related to unrecognized tax benefits in interest expense and other expenses, respectively.  No interest expense or penalties have been recognized as of March 31, 2013 and December 31, 2012 and for the three months ended March 31, 2013 and 2012.

The Partnership is subject to income tax examinations by major taxing authorities for all tax years since its inception. 

J. Reclassifications

Certain amounts in the 2012 financial statements were reclassified to conform to the 2013 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 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.

-14-

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 2 - PARTNERS’ CAPITAL (CONTINUED)

B. Subscriptions, Distributions and Redemptions (continued)

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. No distributions were made for the three months ended March 31, 2013 and 2012.

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.

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 three months ended March 31, 2013 and 2012 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, 2013, administrative fees for Class A and Class B Interests were $45,130 and $40,742, respectively.  For the three months ended March 31, 2012, administrative fees for Class A and Class B Interests were $40,870 and $38,695, respectively.

-15-

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 3 - RELATED PARTY TRANSACTIONS (CONTINUED)

C. Altegris Investments, Inc. and Altegris Futures, L.L.C.

Altegris Investments, Inc. (“Altegris Investments”), an affiliate of the General Partner, is registered as a broker-dealer with the 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.

At March 31, 2013 and December 31, 2012, respectively, the Partnership had commissions and brokerage fees payable to Altegris Futures of $146,175 and $101,419 and service fees payable to Altegris Investments of $22,149 and $25,089, respectively. The following tables show the fees paid to Altegris Investments and Altegris Futures for the three months ended March 31, 2013 and 2012, respectively:

	Three months ended		Three months ended
	March 31, 2013		March 31, 2012
Altegris Futures - Brokerage Commission fees	$	406,623	$	340,994
Altegris Investments- Service fees		69,013		68,689
Total	$	475,636	$	409,683

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.

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).

-16-

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

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. For the three months ended March 31, 2013, service fees for Class A and Institutional Interests were $267,138 and $123, respectively.  For the three months ended March 31, 2012, service fees for Class A and Institutional Interests were $243,050 and $637, respectively.

NOTE 6 - BROKERAGE COMMISSIONS

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

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

However, if actual brokerage commissions are greater than the Minimum Amount, the Partnership only pays the actual brokerage commissions.

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.

-17-

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

The following presents the fair value of derivative contracts as of March 31, 2013 and December 31, 2012.  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.

March 31, 2013

	Asset		Liability
	Derivatives		Derivatives			Net
	Fair Value		Fair Value			Fair Value
Futures Contacts	$	339,029	$	(824,231	)	$	(485,202	)

December 31, 2012

	Asset		Liability
	Derivatives		Derivatives			Net
	Fair Value		Fair Value			Fair Value
Futures Contacts	$	1,740,253	$	(2,705,421	)	$	(965,168	)

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, 2013 and 2012.

The below captions of “Realized” and “Change in Unrealized” correspond to the captions in the Statements of Income (Loss).

Three Months Ended March 31, 2013

				Change in		Number of
	Realized			Unrealized		Contracts Closed
Futures Contracts	$	(7,907,125	)	$	479,966		39,754

Three Months Ended March 31, 2012

				Change in		Number of
	Realized			Unrealized		Contracts Closed
Futures Contracts	$	(6,256,977	)	$	357,207		34,739

-18-

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

Effective January 1, 2013, the Partnership adopted Accounting Standards Update 2011-11, Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities (the “ASU,” “ASU 2011-11”).  The amendments to this standard require an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position.

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) upon the dissolution, winding-up, liquidation or merger of the Partnership, (ii) failure to maintain initial margin or failure to make timely payment of additional variation margin, (iii) failure to pay the premium on any option purchased, (iv) upon the commencement of bankruptcy, insolvency or similar proceeding for the protection of creditors against the Partnership, (v) the Clearing Broker determines, at its discretion, that the risk in the Partnership’s account must be reduced for protection of the Clearing Broker, or (vi) if the Partnership’s registration status is suspended or is pending suspension.

The following table summarizes the disclosure requirements of ASU 2011-11:

Offsetting the Financial Assets and Derivative Assets  

	Gross Amounts Not Offset in the Statement of Financial Condition
As of March 31, 2013

Description	Gross  Amounts of  Recognized  Assets		Gross Amounts  Offset in the  Statement of  Financial Condition			Net Amounts  of Assets Presented in the Statement of Financial Condition		Financial Instruments		Cash Collateral  Received(1)		Net Amount
Commodity futures contracts	$	339,029	$	(339,029	)	$	—	$	—	$	—	$	—

Offsetting the Financial Liabilities and Derivative Liabilities  

	Gross Amounts Not Offset in the Statement of Financial Condition
As of March 31, 2013

Description	Gross Amounts of Recognized Liabilities			Gross Amounts Offset in the Statement of Financial Condition		Net Amounts of Liabilities Presented in the Statement of Financial Condition			Financial Instruments		Cash Collateral Pledged(1)		Net Amount
Commodity futures contracts	$	(824,231	)	$	339,029	$	(485,202	)	$	—	$	—	$	(485,202	)

Offsetting the Financial Assets and Derivative Assets  

	Gross Amounts Not Offset in the Statement of Financial Condition
As of December 31, 2012

Description	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Financial Condition			Net Amounts of Assets Presented in the Statement of Financial Condition		Financial Instruments		Cash Collateral Received(1)		Net Amount
Commodity futures contracts	$	1,740,253	$	(1,740,253	)	$	—	$	—	$	—	$	—

Offsetting the Financial Liabilities and Derivative Liabilities  

	Gross Amounts Not Offset in the Statement of Financial Condition
As of December 31, 2012

Description	Gross Amounts of Recognized Liabilities			Gross Amounts Offset in the Statement of Financial Condition		Net Amounts of Liabilities Presented in the Statement of Financial Condition			Financial Instruments		Cash Collateral Pledged(1)		Net Amount
Commodity futures contracts	$	(2,705,421	)	$	1,740,253	$	(965,168	)	$	—	$	—	$	(965,168	)

(1) Does not include maintenance margin deposits held at the Clearing Broker of $4,092,983 for 2013 & $12,620,185 for 2012, respectively.

-19-

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.

-20-

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, 2013 and 2012. This information has been derived from information presented in the financial statements.

	Three Months ended March 31, 2013
							Institutional
	Class A			Class B			Interest
Total return for Limited Partners (3)
Total return prior to incentive fees		(6.71	%)		(6.25	%)		(6.05	%)
Incentive fees		0.00	%		0.00	%		0.00	%
Total return after incentive fees		(6.71	%)		(6.25	%)		(6.05	%)
Ratio to average net asset value
Expenses prior to incentive fees (2)		4.13	%		2.13	%		1.25	%
Incentive fees (3)		0.00	%		0.00	%		0.00	%
Total expenses		4.13	%		2.13	%		1.25	%
Net investment loss (1) (2)		(4.02	%)		(2.01	%)		(1.13	%)
	Three Months ended March 31, 2012
							Institutional
	Class A			Class B			Interest
Total return for Limited Partners (3)
Total return prior to incentive fees		(6.02	%)		(5.55	%)		(5.36	%)
Incentive fees		(0.01	%)		(0.01	%)		0.00	%
Total return after incentive fees		(6.03	%)		(5.56	%)		(5.36	%)
Ratio to average net asset value
Expenses prior to incentive fees (2)		4.09	%		2.12	%		1.31	%
Incentive fees (3)		0.01	%		0.01	%		0.00	%
Total expenses		4.10	%		2.13	%		1.31	%
Net investment loss (1) (2)		(3.97	%)		(2.00	%)		(1.19	%)

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.

(3) Not annualized.

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ALTEGRIS QIM FUTURES FUND, L.P

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 11 - SUBSEQUENT EVENTS

Management of the Partnership evaluated subsequent events through the date these financial statements were available to be issued. From April 1, 2013 through May 15, 2013, the Partnership had subscriptions of $2,148,009 and redemptions of $5,231,097. Management has determined there are no additional matters requiring disclosure.

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ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

PART I – FINANCIAL INFORMATION (continued)

Item 2:   Management’s Discussion and Analysis of Financial Condition and Results of Operations.

Reference is made to “Item 1: Financial Statements.” The information contained therein is essential to, and should be read in conjunction with, the following analysis.

Liquidity

The Partnership’s assets are generally held as cash or cash equivalents, which are used to margin the Partnership’s futures positions and are sold to pay redemptions and expenses as needed.  Other than any potential market-imposed limitations on liquidity, the Partnership’s assets are highly liquid and are expected to remain so.  Market-imposed limitations, when they occur, can be due to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Partnership’s futures trading.  A portion of the Partnership’s assets not used for margin and held with the Custodian, are invested in liquid, high quality securities.  Through March 31, 2013 the Partnership experienced no meaningful periods of illiquidity in any of the markets traded by the Advisor on behalf of the Partnership.

Capital Resources

The Partnership raises additional capital only through the sale of Interests and capital is increased through trading profits (if any) and interest income.  The Partnership does not engage in borrowing.

The amount of capital raised for the Partnership should not have a significant impact on its operations, as the Partnership has no significant capital expenditure or working capital requirements other than for capital to pay trading losses, brokerage commissions and expenses.  Within broad ranges of capitalization, the Partnership’s trading positions should increase or decrease in approximate proportion to the size of the Partnership.

The Partnership participates in the speculative trading of commodity futures contracts and may trade options on futures contracts and forward contracts, substantially all of which are subject to margin requirements.  The minimum amount of margin required for each contract is set from time to time in response to various market factors by the respective exchanges.  Further, the Partnership’s futures commission merchants and brokers may require margin in excess of minimum exchange requirements.

All of the futures contracts currently traded by the Advisor on behalf of the Partnership are exchange-traded.  The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over-the-counter transactions because, in over-the-counter transactions, the Partnership must rely solely on the credit of its trading counterparties, whereas exchange-traded contracts are generally, but not universally, backed by the collective credit of the members of the exchange.  In the future, the Partnership anticipates that it will enter into non-exchange-traded foreign currency contracts and be subject to the credit risk associated with counterparty non-performance.

The Partnership bears the risk of financial failure by the Clearing Broker and/or other clearing brokers or counterparties with which the Partnership trades. 

Results of Operations

Performance Summary

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

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Results of Operations

Due to the nature of the Partnership’s trading, the results of operations for the interim period presented should not be considered indicative of the results that may be expected for the entire year.

Three Months Ended March 31, 2013

During the first quarter of 2013, the Partnership achieved net realized and unrealized losses of $7,772,872 from its trading activities, net of brokerage commissions of $496,306.  The Partnership accrued total expenses of $886,810, including $378,260 in management fees paid to the General Partner, and $380,804  in service and professional fees.  The Partnership earned $37,834 in interest income during the first quarter of 2013.  An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the first quarter of 2013 is set forth below.

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

Three Months Ended March 31, 2012

During the first quarter of 2012, the Partnership incurred net realized and unrealized losses of $6,338,211 from its trading activities, net of brokerage commissions of $457,405.  The Partnership accrued total expenses of $838,956, including $349,256 in management fees paid to the General Partner, and $346,874 in service and professional fees.  The Partnership earned $35,433 in interest income during the first quarter of 2012.  An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the first quarter of 2012 is set forth below.

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

Off-Balance Sheet Arrangements

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

Item 3:   Quantitative and Qualitative Disclosures About Market Risk.

Not required.

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Item 4:   Controls and Procedures.

The General Partner, with the participation of the General Partner’s principal executive officer and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Partnership as of the end of the period covered by this quarterly report, and, based on their evaluation, has concluded that these disclosure controls and procedures are effective.  There were no significant changes in the General Partner’s internal controls over financial reporting with respect to the Partnership or in other factors applicable to the Partnership that could significantly affect these controls subsequent to the date of the evaluation.

PART II – OTHER INFORMATION

Item 1:   Legal Proceedings.

None.

Item 1A:  Risk Factors.

Not Required.

Item 2:  Unregistered Sales of Equity Securities and Use of Proceeds.

(a) The requested information has been previously reported on Form 8-K.

(b) Not applicable.

(c) Limited Partners may redeem some or all of their Interest in the Partnership as of the end of any calendar month upon fifteen (15) days’ prior written notice to the General Partner.  The Partnership may declare additional redemption dates upon notice to the Limited Partners.  The redemption by a Limited Partner has no impact on the value of the capital accounts of the remaining Limited Partners.  The following table summarizes the redemptions by Limited Partners during the first calendar quarter of 2013:

Month	Amount Redeemed
January 31, 2013		$	1,159,913
February 28, 2013		$	3,695,348
March 31, 2013		$	2,603,508

Item 3:  Defaults Upon Senior Securities.

(a) None.

(b) None.

Item 4:  Mine Safety Disclosure.

Not applicable.

Item 5:  Other Information.

(a) None.

(b) Not applicable.

Item 6: Exhibits.

The following exhibits are incorporated herein by reference from the exhibits of the same numbers and descriptions filed with the registrant’s Registration Statement on Form 10 (File No. 000-53815) filed on November 2, 2009.

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Exhibit Number	Description of Document
3.1	Certificate of Formation of APM – QIM Futures Fund, L.P.
4.1	Limited Partnership Agreement of APM – QIM Futures Fund, L.P.
10.1	Agreement with Quantitative Investment Management LLC
10.2	Selling Agency Agreement between APM – QIM Futures Fund, L.P. and Altegris Investments Inc.

The following exhibits are incorporated herein by reference from the exhibits of the same numbers and descriptions filed with the registrant’s Current Report on Form 8-K (File No. 000-53815) filed on August 5, 2010.

Exhibit Number	Description of Document
3.01	Amendment to the Certificate of Formation of APM – QIM Futures Fund, L.P., changing the registrant’s name to Altegris QIM Futures Fund, L.P.
3.02	First Amended and Restated Agreement of Limited Partnership of Altegris QIM Futures Fund, L.P.

The following exhibits are included herewith.

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

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SIGNATURES

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

Dated: May 15, 2013

ALTEGRIS QIM FUTURES FUND, L.P.

By:	ALTEGRIS PORTFOLIO MANAGEMENT, INC.
		(d/b/a Altegris Funds), its general partner

/s/ Jon C. Sundt

Jon C. Sundt, President

(principal executive officer and principal financial officer)

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