Document and Entity Information
Document and Entity Information | 12 Months Ended |
Dec. 31, 2017USD ($)shares | |
Document And Entity Information | |
Entity Registrant Name | Altegris QIM Futures Fund, L.P. |
Entity Central Index Key | 1,469,317 |
Document Type | 10-K |
Document Period End Date | Dec. 31, 2017 |
Amendment Flag | false |
Current Fiscal Year End Date | --12-31 |
Is Entity a Well-known Seasoned Issuer? | No |
Is Entity a Voluntary Filer? | No |
Is Entity's Reporting Status Current? | Yes |
Entity Filer Category | Smaller Reporting Company |
Entity Public Float | $ | $ 0 |
Entity Common Stock, Shares Outstanding | shares | 0 |
Document Fiscal Period Focus | FY |
Document Fiscal Year Focus | 2,017 |
STATEMENTS OF FINANCIAL CONDITI
STATEMENTS OF FINANCIAL CONDITION - USD ($) | Dec. 31, 2017 | Dec. 31, 2016 |
Assets: Equity in commodity broker account: | ||
Cash | $ 921,512 | $ 2,375,064 |
Restricted Cash | 859,249 | 3,040,054 |
Restricted foreign currency (cost - $693,564 and $0) | 688,780 | 0 |
Net unrealized gain on open futures contracts | 309,752 | 279,170 |
Settled variation margin | 106,499 | 0 |
Total equity in commodity broker account | 2,885,792 | 5,694,288 |
Cash | 6,312,140 | 5,584,068 |
Investment securities at value (cost - $23,396,557 and $19,477,698) | 23,396,654 | 19,477,549 |
Interest receivable | 1,157 | 500 |
Total assets | 32,595,743 | 30,756,405 |
Liabilities: Equity in commodity broker account: | ||
Foreign currency due to broker (proceeds - $691,361 and $59,757) | 686,592 | 60,524 |
Settled variation margin | 0 | 126,900 |
Total liability equity in commodity broker account | 686,592 | 187,424 |
Redemptions payable | 203,427 | 242,614 |
Incentive fees payable | 68,985 | 518,507 |
Subscriptions received in advance | 57,000 | 117,000 |
Service fees payable | 42,515 | 40,518 |
Management fee payable | 31,503 | 29,369 |
Brokerage Commissions payable | 17,374 | 14,859 |
Administrative fee payable | 7,902 | 7,485 |
Other liabilities | 130,243 | 154,165 |
Total liabilities | 1,245,541 | 1,311,941 |
PARTNERS' CAPITAL (NET ASSET VALUE) | ||
General Partner | 942 | 914 |
Limited Partners | 31,349,260 | 29,443,550 |
Total partners' capital (Net Asset Value) | 31,350,202 | 29,444,464 |
Total liabilities and partners' capital | $ 32,595,743 | $ 30,756,405 |
STATEMENTS OF FINANCIAL CONDIT3
STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) | Dec. 31, 2017 | Dec. 31, 2016 |
Statement of Financial Position [Abstract] | ||
Cost of restricted foreign currency | $ 693,564 | $ 0 |
Investment securities at cost | 23,396,557 | 19,477,698 |
Proceeds of foreign currency liabilities in commodity broker account | $ 691,361 | $ 59,757 |
CONDENSED SCHEDULE OF INVESTMEN
CONDENSED SCHEDULE OF INVESTMENTS - Fixed Income Investments (Unaudited) - USD ($) | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | ||
Value | $ 23,396,654 | $ 19,477,549 | |
At Cost | 23,396,557 | 19,477,698 | |
Fixed Income Investments [Member] | |||
Value | $ 23,396,654 | $ 19,477,549 | |
% of Partners Capital | 74.63% | 66.15% | |
At Cost | $ 23,396,557 | $ 19,477,698 | |
Fixed Income Investments [Member] | US Government Agency Bonds and Notes [Member] | Federal Farm Credit Bank Disc Note, 0.00% [Member] | |||
Face Value | 12,932,000 | ||
Value | $ 12,931,623 | ||
% of Partners Capital | 41.25% | ||
Maturity Date | Jan. 2, 2018 | ||
Interest Rate/Yield | [1] | 0.00% | |
Fixed Income Investments [Member] | US Government Agency Bonds and Notes [Member] | Federal Home Loan Bank Disc Note, 0.00% [Member] | |||
Face Value | $ 1,500,000 | ||
Value | $ 1,500,000 | ||
% of Partners Capital | 4.78% | ||
Maturity Date | Jan. 2, 2018 | ||
Interest Rate/Yield | [1] | 0.00% | |
Fixed Income Investments [Member] | US Government Agency Bonds and Notes [Member] | Federal Home Loan Bank Disc Note, 0.99% | |||
Face Value | $ 1,000,000 | ||
Value | $ 999,785 | ||
% of Partners Capital | 3.19% | ||
Maturity Date | Jan. 8, 2018 | ||
Interest Rate/Yield | [1] | 0.99% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | |||
Value | $ 7,965,246 | $ 8,247,751 | |
% of Partners Capital | 25.41% | 28.01% | |
At Cost | $ 7,965,181 | $ 8,247,751 | |
Fixed Income Investments [Member] | Corporate Notes [Member] | American Honda Finance Corporation, 1.43% | |||
Face Value | 700,000 | ||
Value | $ 699,637 | ||
% of Partners Capital | 2.23% | ||
Maturity Date | Jan. 11, 2018 | ||
Interest Rate/Yield | 1.43% | ||
Fixed Income Investments [Member] | Corporate Notes [Member] | Banco del Estado de Chile, 1.55% | |||
Face Value | $ 701,000 | ||
Value | $ 701,000 | ||
% of Partners Capital | 2.24% | ||
Maturity Date | Jan. 26, 2018 | ||
Interest Rate/Yield | [1] | 1.55% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | Bank of Montreal, 1.50% [Member] | |||
Face Value | $ 700,000 | ||
Value | $ 699,271 | ||
% of Partners Capital | 2.23% | ||
Maturity Date | Jan. 26, 2018 | ||
Interest Rate/Yield | [1] | 1.50% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | Canadian Imperial Holdings, Inc., 1.48% [Member] | |||
Face Value | $ 701,000 | ||
Value | $ 700,279 | ||
% of Partners Capital | 2.23% | ||
Maturity Date | Jan. 26, 2018 | ||
Interest Rate/Yield | [1] | 1.48% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | The Coca-Cola Company, 1.32% [Member] | |||
Face Value | $ 700,000 | ||
Value | $ 699,608 | ||
% of Partners Capital | 2.23% | ||
Maturity Date | Jan. 12, 2018 | ||
Interest Rate/Yield | 1.32% | ||
Fixed Income Investments [Member] | Corporate Notes [Member] | DCAT, LLC, 1.68% [Member] | |||
Face Value | $ 235,000 | ||
Value | $ 234,868 | ||
% of Partners Capital | 0.75% | ||
Maturity Date | Oct. 1, 2018 | ||
Interest Rate/Yield | [1] | 1.68% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | MetLife Short Term Funding, LLC, 1.41% [Member] | |||
Face Value | $ 700,000 | ||
Value | $ 699,601 | ||
% of Partners Capital | 2.23% | ||
Maturity Date | Jan. 12, 2018 | ||
Interest Rate/Yield | [1] | 1.41% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | National Rural Utilities Cooperation, 1.62% [Member] | |||
Face Value | $ 465,000 | ||
Value | $ 464,574 | ||
% of Partners Capital | 1.48% | ||
Maturity Date | Jan. 22, 2018 | ||
Interest Rate/Yield | 1.62% | ||
Fixed Income Investments [Member] | Corporate Notes [Member] | PACCAR Financial Corporation, 1.48% [Member] | |||
Face Value | $ 700,000 | ||
Value | $ 699,682 | ||
% of Partners Capital | 2.23% | ||
Maturity Date | Sep. 1, 2018 | ||
Interest Rate/Yield | 1.48% | ||
Fixed Income Investments [Member] | Corporate Notes [Member] | Sumitomo Mitsui Banking Corporation, 1.37% [Member] | |||
Face Value | $ 700,000 | ||
Value | $ 699,984 | ||
% of Partners Capital | 2.23% | ||
Maturity Date | Jan. 5, 2018 | ||
Interest Rate/Yield | [1] | 1.37% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | Sumitomo Mitsui Trust Bank Ltd., 1.37% [Member] | |||
Face Value | $ 467,000 | ||
Value | $ 466,989 | ||
% of Partners Capital | 1.50% | ||
Maturity Date | Jan. 5, 2018 | ||
Interest Rate/Yield | [1] | 1.37% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | 3M Company, 1.49% [Member] | |||
Face Value | $ 250,000 | ||
Value | $ 249,902 | ||
% of Partners Capital | 0.80% | ||
Maturity Date | Jan. 8, 2018 | ||
Interest Rate/Yield | 1.49% | ||
Fixed Income Investments [Member] | Corporate Notes [Member] | Walmart Stores, Inc., 1.24% [Member] | |||
Face Value | $ 950,000 | ||
Value | $ 949,851 | ||
% of Partners Capital | 3.03% | ||
Maturity Date | Jan. 2, 2018 | ||
Interest Rate/Yield | [1] | 1.24% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | Apple Inc., 0.55% [Member] | |||
Face Value | 580,000 | ||
Value | $ 579,800 | ||
% of Partners Capital | 1.97% | ||
Maturity Date | Jan. 3, 2017 | ||
Interest Rate/Yield | 0.55% | ||
Fixed Income Investments [Member] | Corporate Notes [Member] | Banco del Estado de Chile, NY, 0.67% [Member] | |||
Face Value | $ 550,000 | ||
Value | $ 550,000 | ||
% of Partners Capital | 1.87% | ||
Maturity Date | Jan. 6, 2017 | ||
Interest Rate/Yield | 0.67% | ||
Fixed Income Investments [Member] | Corporate Notes [Member] | DCAT LLC, 0.90% [Member] | |||
Face Value | $ 385,000 | ||
Value | $ 384,772 | ||
% of Partners Capital | 1.30% | ||
Maturity Date | Jan. 11, 2017 | ||
Interest Rate/Yield | 0.90% | ||
Fixed Income Investments [Member] | Corporate Notes [Member] | Exxon Mobile Corp Disc Note, 0.48% [Member] | |||
Face Value | $ 580,000 | ||
Value | $ 579,780 | ||
% of Partners Capital | 1.97% | ||
Maturity Date | Jan. 6, 2017 | ||
Interest Rate/Yield | 0.48% | ||
Fixed Income Investments [Member] | Corporate Notes [Member] | GE Capital Treasury Services (U.S.) LLC, 0.61% [Member] | |||
Face Value | $ 800,000 | ||
Value | $ 799,947 | ||
% of Partners Capital | 2.71% | ||
Maturity Date | Jan. 3, 2017 | ||
Interest Rate/Yield | 0.61% | ||
Fixed Income Investments [Member] | Corporate Notes [Member] | MetLife Short Term Funding LLC, 0.59% [Member] | |||
Face Value | $ 580,000 | ||
Value | $ 579,696 | ||
% of Partners Capital | 1.97% | ||
Maturity Date | Jan. 13, 2017 | ||
Interest Rate/Yield | 0.59% | ||
Fixed Income Investments [Member] | Corporate Notes [Member] | National Rural Utilities Cooperative Finance Corp, 0.50% [Member] | |||
Face Value | $ 385,000 | ||
Value | $ 384,795 | ||
% of Partners Capital | 1.31% | ||
Maturity Date | Jan. 13, 2017 | ||
Interest Rate/Yield | 0.50% | ||
Fixed Income Investments [Member] | Corporate Notes [Member] | PACCAR Financial Corp Disc Note, 0.61% [Member] | |||
Face Value | $ 580,000 | ||
Value | $ 579,743 | ||
% of Partners Capital | 1.97% | ||
Maturity Date | Jan. 4, 2017 | ||
Interest Rate/Yield | 0.61% | ||
Fixed Income Investments [Member] | Corporate Notes [Member] | Sumitomo Mutsui Trust Bank Ltd., 0.67% [Member] | |||
Face Value | $ 580,000 | ||
Value | $ 580,000 | ||
% of Partners Capital | 1.97% | ||
Maturity Date | Jan. 11, 2017 | ||
Interest Rate/Yield | 0.67% | ||
Fixed Income Investments [Member] | Corporate Notes [Member] | The Chiba Bank Ltd., 0.71% [Member] | |||
Face Value | $ 385,000 | ||
Value | $ 385,000 | ||
% of Partners Capital | 1.31% | ||
Maturity Date | Jan. 5, 2017 | ||
Interest Rate/Yield | 0.71% | ||
Fixed Income Investments [Member] | Corporate Notes [Member] | Thunder Bay Funding LLC, 0.00% [Member] | |||
Face Value | $ 500,000 | ||
Value | $ 499,972 | ||
% of Partners Capital | 1.70% | ||
Maturity Date | Jan. 3, 2017 | ||
Interest Rate/Yield | 0.00% | ||
Fixed Income Investments [Member] | Corporate Notes [Member] | The Toronto-Dominion Bank Corp Disc Note, 0.57% [Member] | |||
Face Value | $ 800,000 | ||
Value | $ 800,000 | ||
% of Partners Capital | 2.72% | ||
Maturity Date | Jan. 3, 2017 | ||
Interest Rate/Yield | 0.57% | ||
Fixed Income Investments [Member] | Corporate Notes [Member] | Victory Receivables Corp Disc Note, 0.74% [Member] | |||
Face Value | $ 580,000 | ||
Value | $ 579,613 | ||
% of Partners Capital | 1.97% | ||
Maturity Date | Jan. 19, 2017 | ||
Interest Rate/Yield | 0.74% | ||
Fixed Income Investments [Member] | Corporate Notes [Member] | Wal-Mart Stores Inc., 0.57% [Member] | |||
Face Value | $ 580,000 | ||
Value | $ 579,887 | ||
% of Partners Capital | 1.97% | ||
Maturity Date | Jan. 11, 2017 | ||
Interest Rate/Yield | 0.57% | ||
Fixed Income Investments [Member] | Corporate Notes [Member] | Working Capital Management Co LP Disc Note, 0.85% [Member] | |||
Face Value | $ 385,000 | ||
Value | $ 384,746 | ||
% of Partners Capital | 1.30% | ||
Maturity Date | Jan. 17, 2017 | ||
Interest Rate/Yield | 0.85% | ||
Fixed Income Investments [Member] | U.S. Government Agency Bonds and Notes [Member] | |||
Value | $ 11,229,798 | ||
% of Partners Capital | 38.14% | ||
At Cost | $ 11,229,947 | ||
Fixed Income Investments [Member] | U.S. Government Agency Bonds and Notes [Member] | Federal Home Loan Bank Disc Note, 0.33% [Member] | |||
Face Value | 1,000,000 | ||
Value | $ 999,768 | ||
% of Partners Capital | 3.39% | ||
Maturity Date | Jan. 25, 2017 | ||
Interest Rate/Yield | [1] | 0.33% | |
Fixed Income Investments [Member] | U.S. Government Agency Bonds and Notes [Member] | Federal Home Loan Bank Disc Note, 0.45% [Member] | |||
Face Value | $ 1,000,000 | ||
Value | $ 999,597 | ||
% of Partners Capital | 3.39% | ||
Maturity Date | Feb. 1, 2017 | ||
Interest Rate/Yield | [1] | 0.45% | |
Fixed Income Investments [Member] | U.S. Government Agency Bonds and Notes [Member] | Federal Home Loan Bank Disc Note, 0.47% [Member] | |||
Face Value | $ 500,000 | ||
Value | $ 499,708 | ||
% of Partners Capital | 1.70% | ||
Maturity Date | Feb. 14, 2017 | ||
Interest Rate/Yield | [1] | 0.47% | |
Fixed Income Investments [Member] | U.S. Government Agency Bonds and Notes [Member] | Federal Home Loan Bank Disc Note, 0.47% [Member] | |||
Face Value | $ 250,000 | ||
Value | $ 249,851 | ||
% of Partners Capital | 0.85% | ||
Maturity Date | Feb. 15, 2017 | ||
Interest Rate/Yield | [1] | 0.47% | |
Fixed Income Investments [Member] | U.S. Government Agency Bonds and Notes [Member] | Federal Home Loan Bank Disc Note, 0.50% [Member] | |||
Face Value | $ 500,000 | ||
Value | $ 499,524 | ||
% of Partners Capital | 1.70% | ||
Maturity Date | Mar. 10, 2017 | ||
Interest Rate/Yield | [1] | 0.50% | |
Fixed Income Investments [Member] | U.S. Government Agency Bonds and Notes [Member] | Federal Home Loan Bank Disc Note, 0.50% [Member] | |||
Face Value | $ 300,000 | ||
Value | $ 299,653 | ||
% of Partners Capital | 1.02% | ||
Maturity Date | Mar. 24, 2017 | ||
Interest Rate/Yield | [1] | 0.50% | |
Fixed Income Investments [Member] | U.S. Government Agency Bonds and Notes [Member] | Federal Home Loan Bank Disc Note, 0.54% [Member] | |||
Face Value | $ 500,000 | ||
Value | $ 499,084 | ||
% of Partners Capital | 1.69% | ||
Maturity Date | May 3, 2017 | ||
Interest Rate/Yield | [1] | 0.54% | |
Fixed Income Investments [Member] | U.S. Government Agency Bonds and Notes [Member] | Federal Home Loan Mortgage Corp. Disc Note, 0.00% [Member] | |||
Face Value | $ 6,733,000 | ||
Value | $ 6,732,832 | ||
% of Partners Capital | 22.87% | ||
Maturity Date | Jan. 3, 2017 | ||
Interest Rate/Yield | [1] | 0.00% | |
Fixed Income Investments [Member] | U.S. Government Agency Bonds and Notes [Member] | Federal Home Loan Mortgage Corp Disc Note, 0.46% [Member] | |||
Face Value | $ 450,000 | ||
Value | $ 449,781 | ||
% of Partners Capital | 1.53% | ||
Maturity Date | Feb. 7, 2017 | ||
Interest Rate/Yield | [1] | 0.46% | |
[1] | The rate reported is the effective yield at time of purchase. |
CONDENSED SCHEDULE OF INVESTME5
CONDENSED SCHEDULE OF INVESTMENTS - Futures Contracts | 12 Months Ended | |
Dec. 31, 2017USD ($)NumberOfContracts | Dec. 31, 2016USD ($)NumberOfContracts | |
Value | $ 23,396,654 | $ 19,477,549 |
Futures Contracts [Member] | ||
Value | $ 416,251 | $ 152,270 |
% of Partners Capital | 1.33% | 0.52% |
Futures Contracts [Member] | Long Futures Contracts [Member] | ||
Number of Contracts | NumberOfContracts | 605 | 818 |
Value | $ 420,251 | $ 275,830 |
% of Partners Capital | 1.34% | 0.94% |
Futures Contracts [Member] | Long Futures Contracts [Member] | Currencies [Member] | ||
Number of Contracts | NumberOfContracts | 81 | |
Value | $ 96,610 | |
% of Partners Capital | 0.31% | |
Expiration Dates | Mar. 31, 2018 | |
Futures Contracts [Member] | Long Futures Contracts [Member] | Interest Rates [Member] | ||
Number of Contracts | NumberOfContracts | 36 | 222 |
Value | $ (55,415) | $ 241,292 |
% of Partners Capital | (0.18%) | 0.82% |
Expiration Dates | Mar. 31, 2018 | Mar. 31, 2017 |
Futures Contracts [Member] | Long Futures Contracts [Member] | Metals [Member] | ||
Number of Contracts | NumberOfContracts | 83 | 25 |
Value | $ 316,177 | $ (522) |
% of Partners Capital | 1.01% | 0.00% |
Expiration Dates, Lower Range | Feb. 1, 2018 | Feb. 1, 2017 |
Expiration Dates, Upper Range | Mar. 31, 2018 | Mar. 31, 2017 |
Futures Contracts [Member] | Long Futures Contracts [Member] | Stock Indices [Member] | ||
Number of Contracts | NumberOfContracts | 96 | 524 |
Value | $ (5,279) | $ (19,664) |
% of Partners Capital | (0.02%) | (0.07%) |
Expiration Dates, Lower Range | Jan. 1, 2018 | Jan. 1, 2017 |
Expiration Dates, Upper Range | Mar. 31, 2018 | Mar. 31, 2017 |
Futures Contracts [Member] | Long Futures Contracts [Member] | Treasury Rates [Member] | ||
Number of Contracts | NumberOfContracts | 309 | |
Value | $ 68,158 | |
% of Partners Capital | 0.22% | |
Expiration Dates | Mar. 31, 2018 | |
Futures Contracts [Member] | Long Futures Contracts [Member] | Energy [Member] | ||
Number of Contracts | NumberOfContracts | 47 | |
Value | $ 54,724 | |
% of Partners Capital | 0.19% | |
Expiration Dates | Jan. 31, 2017 | |
Futures Contracts [Member] | Short Futures Contracts [Member] | ||
Number of Contracts | NumberOfContracts | 287 | 208 |
Value | $ (4,000) | $ (123,560) |
% of Partners Capital | (0.01%) | (0.42%) |
Futures Contracts [Member] | Short Futures Contracts [Member] | Currencies [Member] | ||
Number of Contracts | NumberOfContracts | 27 | 34 |
Value | $ (13,379) | $ (21,892) |
% of Partners Capital | (0.04%) | (0.08%) |
Expiration Dates | Mar. 31, 2018 | Mar. 31, 2017 |
Futures Contracts [Member] | Short Futures Contracts [Member] | Interest Rates [Member] | ||
Number of Contracts | NumberOfContracts | 182 | 51 |
Value | $ 22,773 | $ (47,917) |
% of Partners Capital | 0.07% | (0.16%) |
Expiration Dates | Mar. 31, 2018 | Mar. 31, 2017 |
Futures Contracts [Member] | Short Futures Contracts [Member] | Stock Indices [Member] | ||
Number of Contracts | NumberOfContracts | 45 | 9 |
Value | $ 30,790 | $ (15,872) |
% of Partners Capital | 0.10% | (0.05%) |
Expiration Dates, Lower Range | Jan. 1, 2017 | |
Expiration Dates, Upper Range | Mar. 31, 2017 | |
Expiration Dates | Mar. 31, 2018 | |
Futures Contracts [Member] | Short Futures Contracts [Member] | Treasury Rates [Member] | ||
Number of Contracts | NumberOfContracts | 114 | |
Value | $ (37,879) | |
% of Partners Capital | (0.13%) | |
Expiration Dates | Mar. 31, 2017 | |
Futures Contracts [Member] | Short Futures Contracts [Member] | Energy [Member] | ||
Number of Contracts | NumberOfContracts | 33 | |
Value | $ (44,184) | |
% of Partners Capital | (0.14%) | |
Expiration Dates | Jan. 31, 2018 |
STATEMENTS OF INCOME (LOSS)
STATEMENTS OF INCOME (LOSS) - USD ($) | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Gain (loss) on trading of commodity futures | |||
Net realized | $ 3,068,028 | $ 5,870,954 | $ 5,681,349 |
Net change in unrealized | 263,981 | 122,035 | 61,821 |
Brokerage Commissions | (481,792) | (409,189) | (437,363) |
Net gain (loss) from trading futures | 2,850,217 | 5,583,800 | 5,305,807 |
Gain (loss) on trading of securities | |||
Net realized | 26,042 | 16,058 | 6,600 |
Net change in unrealized | 246 | 207 | 5,281 |
Net gain (loss) from trading securities | 26,288 | 16,265 | 11,881 |
Gain (loss) on trading of foreign currency | |||
Net realized | (45,132) | (2,455) | (13,351) |
Net change in unrealized | 752 | (863) | (7) |
Net gain (loss) from trading foreign currency | (44,380) | (3,318) | (13,358) |
Total trading gain (loss) | 2,832,125 | 5,596,747 | 5,304,330 |
Income | |||
Interest income | 218,658 | 46,173 | 27,968 |
Expenses | |||
Incentive fees | 704,344 | 1,106,228 | 68,417 |
Service fees | 433,956 | 369,560 | 352,938 |
Management fee | 389,011 | 333,163 | 358,619 |
Professional fees | 211,493 | 212,158 | 242,617 |
Administrative fee | 97,756 | 84,855 | 90,388 |
Interest expense | 24,194 | 40,328 | 21,042 |
Out of pocket fees | 21,200 | 15,102 | 70,500 |
Other expenses | 52,309 | 55,763 | 79,784 |
Total expenses | 1,934,263 | 2,217,157 | 1,284,305 |
Net investment income (loss) | (1,715,605) | (2,170,984) | (1,256,337) |
NET INCOME (LOSS) | $ 1,116,520 | $ 3,425,763 | $ 4,047,993 |
STATEMENTS OF CHANGES IN PARTNE
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE) - USD ($) | Total | Class A [Member] | Class B [Member] | Institutional Interests [Member] | General Partner [Member] |
Balances at Dec. 31, 2014 | $ 40,347,727 | $ 22,069,532 | $ 13,349,109 | $ 4,928,388 | $ 698 |
Capital additions | 628,076 | 393,567 | 234,509 | ||
Capital withdrawals | (21,353,511) | (9,466,080) | (8,169,736) | (3,717,695) | |
Net investment gain (loss) | (1,256,337) | (898,700) | (310,310) | (47,290) | (37) |
Net realized gain (loss) from investments (net of brokerage commissions) | 5,237,235 | 3,173,196 | 1,788,619 | 275,278 | 142 |
Net change in unrealized gain (loss) from investments | 67,095 | 23,197 | 32,019 | 11,880 | (1) |
Net income (loss) | 4,047,993 | 2,297,693 | 1,510,328 | 239,868 | 104 |
Balances at Dec. 31, 2015 | 23,670,285 | 15,294,712 | 6,924,210 | 1,450,561 | 802 |
Capital additions | 4,082,682 | 3,916,689 | 165,993 | ||
Capital withdrawals | (1,734,266) | (1,259,807) | (474,459) | ||
Net investment gain (loss) | (2,170,984) | (1,579,463) | (490,710) | (100,744) | (67) |
Net realized gain (loss) from investments (net of brokerage commissions) | 5,475,368 | 3,666,412 | 1,491,321 | 317,460 | 175 |
Net change in unrealized gain (loss) from investments | 121,379 | 82,946 | 31,732 | 6,697 | 4 |
Net income (loss) | 3,425,763 | 2,169,895 | 1,032,343 | 223,413 | 112 |
Balances at Dec. 31, 2016 | 29,444,464 | 20,121,489 | 7,648,087 | 1,673,974 | 914 |
Capital additions | 4,760,748 | 3,096,648 | 739,100 | 925,000 | |
Capital withdrawals | (3,971,530) | (2,746,440) | (1,052,817) | (172,273) | |
Net investment gain (loss) | (1,715,605) | (1,311,939) | (327,796) | (75,813) | (57) |
Net realized gain (loss) from investments (net of brokerage commissions) | 2,567,146 | 1,740,295 | 652,948 | 173,825 | 78 |
Net change in unrealized gain (loss) from investments | 264,979 | 186,165 | 66,801 | 12,006 | 7 |
Net income (loss) | 1,116,520 | 614,521 | 391,953 | 110,018 | 28 |
Balances at Dec. 31, 2017 | $ 31,350,202 | $ 21,086,218 | $ 7,726,323 | $ 2,536,719 | $ 942 |
1. ORGANIZATION AND SIGNIFICANT
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES | 12 Months Ended |
Dec. 31, 2017 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES | A. General Description of the Partnership Altegris QIM Futures Fund, L.P. (“Partnership”) was organized as a Delaware limited partnership in June 2009. The Partnership's general partner is Altegris Advisors, L.L.C. (the "General Partner"). The General Partner has overall responsibility for the management, operation and administration of the Partnership, including the selection of its commodity trading adviser. The Partnership’s trading activities are conducted pursuant to an advisory contract with Quantitative Investment Management LLC (the “Advisor”). The Partnership speculatively trades commodity futures contracts, and may trade options on futures contracts, forward currency contracts and other commodity interests. The objective of the Partnership’s business is appreciation of its assets. It is subject to the regulations of the Commodity Futures Trading Commission (the “CFTC”), an agency of the United States (“U.S.”) government that regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of commodity exchanges and futures commission merchants (brokers) through which the Partnership trades. B. Method of Reporting The Partnership’s financial statements are presented in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”). Therefore, the Partnership follows the accounting and reporting guidelines for investment companies. The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported fair value of assets and liabilities, disclosures of contingent assets and liabilities as of December 31 2017 and 2016, and reported amounts of income and expenses for the years ended December 31, 2017, 2016 and 2015, respectively. Management believes that the estimates utilized in preparing the Partnership’s financial statements are reasonable; however, actual results could differ from these estimates and it is reasonably possible that the differences could be material. 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. Unobservable inputs reflect the Partnership’s assumption about the inputs market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The fair value hierarchy is categorized into three levels based on the inputs as follows: Level 1 – Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Partnership has the ability to access at the measurement date; Level 2 – Quoted prices which are not active, or inputs that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and Level 3 – Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity). The availability of valuation techniques and observable inputs can vary among assets and liabilities and is affected by a wide variety of factors, including the type of asset or liability, whether the asset or liability is new and not yet established in the marketplace, and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Those estimated values do not necessarily represent the amounts that may be ultimately realized due to the occurrence of future circumstances that cannot be reasonably determined. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the asset or liability existed. Accordingly, the degree of judgment exercised by the Partnership in determining fair value is greatest for assets and liabilities categorized in Level 3. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined by the lowest level input that is significant to the fair value measurement. 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 that 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 Level I or Level 2 of the fair value hierarchy. As of December 31, 2017 and 2016, none of the Partnership’s holdings in U.S. government agency bonds and notes were fair valued using valuation models. The fair value of U.S. treasury obligations is generally based on quoted prices. U.S. treasury obligations are categorized in Level 2 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, bond, or single-name credit default swap spreads and recovery rates based on collateral values as key inputs. These valuation methods represent both a market and income approach to fair value measurement. Corporate notes are categorized in Level 2 of the fair value hierarchy; however, in instances where significant inputs are unobservable, they are categorized in Level 3 of the hierarchy. As of December 31, 2017 and 2016, none of the Partnership’s holdings in corporate notes were fair valued using valuation models. 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, 2017 and 2016. The following table presents information about the Partnership’s assets and liabilities measured at fair value as of December 31, 2017 and December 31, 2016: December 31, 2017 Level 1 Level 2 Level 3 Balance as of December 31, 2017 Assets Futures contracts (1) $ 555,830 $ – $ – $ 555,830 U.S. Government agency bonds and notes – 15,431,408 – 15,431,408 Corporate notes – 7,965,246 – 7,965,246 Total Assets $ 555,830 $ 23,396,654 $ – $ 23,952,484 Liabilities Futures contracts (1) $ (139,579 ) $ – $ – $ (139,579 ) December 31, 2016 Level 1 Level 2 Level 3 Balance as of December 31, 2016 Assets Futures contracts (1) $ 390,796 $ – $ – $ 390,796 U.S. Government agency bonds and notes – 11,229,798 – 11,229,798 Corporate notes – 8,247,751 – 8,247,751 Total Assets $ 390,796 $ 19,477,549 $ – $ 19,868,345 Liabilities Futures contracts (1) $ (238,526 ) $ – $ – $ (238,526 ) (1) See Note 7. "Financial Derivative Instruments" for the fair value in each type of contracts within this category. The Partnership’s policy is to recognize any transfers between Level 1 and Level 2 assets as of the Partnership’s fiscal year-end. For the years ended December 31, 2017 and 2016, there were no transfers between Level 1 and Level 2 assets and liabilities. For the years ended December 31, 2017 and 2016, there were no Level 3 securities. D. Investment Transactions and Investment Income Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from security transactions are determined using the specific identification cost method. Change in net unrealized gain or loss from the preceding period is reported in the Statements of Income (Loss). Brokerage commissions on securities and other trading fees are reflected as an adjustment to cost or proceeds at the time of the transaction. Interest income is recorded on an accrual basis. Gains or losses on futures contracts are realized when contracts are closed. Net unrealized gains or losses on open contracts (the difference between contract trade price and quoted market price) are reflected in the Statements of Financial Condition. Any change in net unrealized gain or loss from the preceding period is reported in the Statements of Income (Loss). Brokerage commissions on futures contracts include other trading fees and are 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, 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 gain (loss) on other assets and other liabilities denominated in foreign currency arise from changes in the value of assets, other than investments in securities, and liabilities at fiscal year-end, resulting from changes in the exchange rates. J.P. Morgan Chase Bank, N.A. (the “Custodian”) is the Partnership’s custodian. SG Americas Securities, LLC (the “Clearing Broker”) is the Partnership’s commodity broker. A portion of the Partnership’s assets are held as initial margin or option premiums (in cash or Treasury securities) in the Partnership’s brokerage accounts at the Clearing Broker. The Clearing Broker may convert the Partnership’s cash in U.S. dollar to foreign currency to facilitate the Partnership’s commodity trading activities. At times, the Partnership may carry foreign cash on loan with the Clearing Broker. Any net foreign currency on loan will be recognized in Foreign Currency Due to Broker on the Statements of Financial Condition. The Partnership’s Clearing Broker holds margin balances in a single currency, in which all margin requirements can be satisfied in U.S. dollars. Foreign currency balances can also be used to satisfy margin requirements. As of December 31, 2017 and 2016, the Partnership’s restricted cash balance on the Statements of Financial Condition of $859,249 and $3,040,054, respectively, represents the collateral pledged by the Partnership to satisfy the Clearing Broker’s margin requirements in US Dollars. As of December 31, 2017 and December 31, 2016, the Partnership’s restricted foreign currency balance on the Statements of Financial Condition of $688,780 and $0, respectively, represents the collateral pledged by the Partnership to satisfy the Clearing Broker’s margin requirements in foreign currency. The Partnership’s assets not deposited at the Clearing Broker are deposited with either the Custodian or held in bank cash accounts at Northern Trust Company (and used to pay Partnership operating expenses). For the Partnership’s cash deposited at the Custodian, the Partnership receives cash management services from J.P. Morgan Investment Management Inc. (“JPMIM”). E. Futures Contracts The Partnership engages in futures contracts as part of its investment strategy. Upon entering into a futures contract, the Partnership is required to deposit with the broker an amount of cash or cash equivalents equal to a certain percentage of the contract amount. This is known as the “initial margin.” Subsequent payments (“variation margin”) are made or received by the Partnership each day, depending on the daily fluctuations in the value of the contract, and are included in unrealized gain (loss) on futures contracts. Due to broker amounts on the Statements of Financial Condition represent the amount of any short fall in the Partnership’s required cash margin. The Partnership recognizes a realized gain or loss when the contract is closed. There are several risks in connection with the use of futures contracts as an investment option. The change in value of futures contracts primarily corresponds with the value of their underlying instruments. In addition, there is the risk that the Partnership may not be able to enter into a closing transaction because of an illiquid secondary market. Open positions in futures contracts at December 31, 2017 and 2016 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 year. Gains and losses resulting from the translation to U.S. dollars are reported in the Statements of Income (Loss). G. Cash The Partnership maintains a custody account with JPMorgan Chase Bank, N.A. At times, the Partnership’s cash balance could exceed the insured amount under the Federal Deposit Insurance Corporation (“FDIC”). The Partnership has not experienced any losses in such accounts and believes it is not subject to any significant counterparty risk related to its cash account. Both restricted cash and restricted foreign currency are held as margin collateral deposits for futures transactions. H. Offering Costs Offering costs incurred in connection with the ongoing offering of the Partnership’s interests are borne by the Partnership. These costs include, but are not limited to, legal fees pertaining to updating the Partnership’s offering documents and materials, accounting and printing costs. These costs are charged as an expense when incurred. Offering costs are included in other expenses on the Statements of Income (Loss). I. Income Taxes The Partnership is treated as a partnership for U.S. federal income tax purposes. As such, the partners are individually liable for their own distributable share of taxable income or loss. No provision has been made in the accompanying financial statements for U.S., federal, state, or local income taxes. 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, 2017, 2016 and 2015. However, the Partnership’s conclusions may be subject to review and adjustment at a later date based on factors including, but not limited to, on-going analyses of and changes to tax laws, regulations and interpretations thereof. The Partnership is subject to income tax examinations by major taxing authorities for all tax years since 2014. The Partnership recognizes interest and penalties related to unrecognized tax benefits in interest expense and other expenses, respectively. No interest expense or penalties have been recognized as of and the years ended December 31, 2017, 2016 and 2015. J. Reclassifications Certain amounts in the 2016 financial statements were reclassified to conform to the 2017 presentation. |
2. PARTNERS CAPITAL
2. PARTNERS CAPITAL | 12 Months Ended |
Dec. 31, 2017 | |
Equity [Abstract] | |
PARTNERS' CAPITAL | A. Capital Accounts and Allocation of Income and Loss The Partnership accounts for subscriptions and redemptions on a per partner capital account basis. The Partnership consists of the General Partner’s Interest, Class A Interests, Class B Interests and Institutional Interests (collectively referred to as “Interests”). Income or loss (prior to management fees, administrative fees, service fees and incentive fees) is allocated pro rata among the Limited Partners (each, a “Limited Partner” and collectively the “Limited Partners”) based on their respective capital accounts as of the end of each month in which the items accrue, pursuant to the terms of the Partnership’s Agreement of Limited Partnership (the “Agreement”), as may be amended and restated from time to time. 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. B. Subscriptions, Distributions and Redemptions No Limited Partner of the Partnership shall be liable for any debts or liabilities of the Partnership or any losses thereof in excess of such Limited Partner's capital contributions, except as may be required by law. Investments in the Partnership are made by subscription agreement, subject to acceptance by the General Partner. The Partnership is not required to make distributions, but may do so at the sole discretion of the General Partner. A Limited Partner may request and receive redemption of capital, subject to restrictions set forth in the Agreement. The General Partner may request and receive redemption of capital, subject to the same terms as any Limited Partner. The partners may withdraw their interests on a monthly basis upon at least 15 days’ prior written notice, subject to the discretion of the General Partner. No distributions were made for the years ended December 31, 2017, 2016 and 2015. |
3. RELATED PARTY TRANSACTIONS
3. RELATED PARTY TRANSACTIONS | 12 Months Ended |
Dec. 31, 2017 | |
Related Party Transactions [Abstract] | |
RELATED PARTY TRANSACTIONS | A. General Partner Management Fee The General Partner receives a monthly management fee from the Partnership equal to 0.104% (1.25% annually) for Class A and Class B, and 0.0625% (0.75% annually) for Institutional Interests of the Partnership's net asset value apportioned to each Partner’s capital account at the beginning of the month, before deduction of any accrued incentive fees related to the current quarter (the “management fee net asset value”). The General Partner may declare any Limited Partner a “Special Limited Partner” and the management fees or incentive fees charged to any such partner may be different than those charged to other Limited Partners. For the years ended December 31, 2017, 2016 and 2015, there were no Special Limited Partners. Total management fees earned by the General Partner for the years ended December 31, 2017, 2016 and 2015 are shown on the Statements of Income (Loss) as Management Fee. B. Administrative Fee The General Partner receives a monthly administrative fee from the Partnership equal to 0.0275% (0.33% annually) of the Partnership's management fee net asset value attributable to Class A and Class B Interests. For the years ended December 31, 2017, 2016 and 2015, administrative fees for Class A Interests were $71,570, $60,546 and $57,822, respectively, and administrative fees for Class B Interests were $26,186, $24,309 and $32,566, respectively. C. Altegris Investments, L.L.C. and Altegris Clearing Solutions, L.L.C. Altegris Investments, L.L.C. (“Altegris Investments”), an affiliate of the General Partner, is registered as a broker-dealer with the SEC and a Delaware limited liability company. Altegris Clearing Solutions, L.L.C. (Altegris Clearing Solutions), an affiliate of the General Partner and an introducing broker registered with the CFTC, is 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. The Partnership’s introducing broker receives a portion of the commodity brokerage commissions paid by the Partnership to the Clearing Broker and interest income retained by the Clearing Broker. Additionally, the Partnership pays to its clearing brokers and its introducing broker, at a minimum, brokerage charges at a flat rate of 0.125% (1.5% annually) of the Partnership’s management fee net asset value. Brokerage charges may exceed the flat rate described above, depending on commission and trading volume levels, which may vary. At December 31, 2017, 2016 and 2015, respectively, the Partnership had charges for brokerage-related services payable to Altegris Clearing Solutions of $12,021, $8,703 and $2,993, respectively, and service fees payable to Altegris Investments of $5,217, $5,432 and $5,155, respectively. The following tables show the fees paid to Altegris Investments and Altegris Clearing Solutions for the years ended December 31, 2017, 2016 and 2015, respectively: Year ended December 31, 2017 Year ended December 31, 2016 Year ended December 31, 2015 Altegris Clearing Solutions - Brokerage Commission fees $ 206,296 $ 195,287 $ 148,774 Altegris Investments - Service fees 65,990 62,873 70,965 Total $ 272,286 $ 258,160 $ 219,739 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. |
4. ADVISORY CONTRACT
4. ADVISORY CONTRACT | 12 Months Ended |
Dec. 31, 2017 | |
Advisory Contract | |
ADVISORY CONTRACT |
5. SERVICE FEES
5. SERVICE FEES | 12 Months Ended |
Dec. 31, 2017 | |
Service Fees | |
SERVICE FEES | As compensation for the continuing services of the selling agents to the Class A Limited Partners, Class A Interests pay the selling agents an ongoing monthly payment of 0.166% (2% annually) of the net asset value of interests sold by the agents that are outstanding at month-end. As compensation for the continuing services of the selling agents to the Limited Partners holding Institutional Interests, the selling agents may elect the Institutional Interests to pay the selling agents an ongoing monthly payment of 0.0417% (0.50% annually) of the net asset value of Institutional Interests sold by the agents that are outstanding at month-end. For the years ended December 31, 2017, 2016 and 2015, service fees for Class A Interests were $433,670, $369,560 and $352,938, respectively and service fees for Institutional Interests were $286, $0 and $0, respectively. |
6. BROKERAGE COMMISSIONS
6. BROKERAGE COMMISSIONS | 12 Months Ended |
Dec. 31, 2017 | |
Brokers and Dealers [Abstract] | |
BROKERAGE COMMISSIONS | The Partnership is subject to monthly brokerage charges equal to the greater of: (A) actual commissions and expenses paid to the Clearing Broker by the Partnership; or (B) an amount equal to 0.125% of the management fee net asset value of all Limited Partners’ month-end capital account balances (1.50% annually) (the “Minimum Amount”). If actual commissions and expenses paid to the Clearing Broker in a month (in (A) above) are less than the Minimum Amount, the Partnership will pay to the Introducing Broker the difference as payment for brokerage-related services, including, but not limited to, monitoring trade, execution, clearing, custodial and distribution services provided to the Partnership. If actual commissions and expenses paid to the Clearing Broker in a month (in (A) above) are greater than the Minimum Amount, the Partnership pays only the amounts described in (A) above. The Partnership’s payments of brokerage commissions to the Clearing Broker for clearing trades on its behalf, and payments to the Introducing Broker for brokerage-related services, if any, are reflected in the Statements of Income (Loss) as Brokerage Commissions. |
7. FINANCIAL DERIVATIVE INSTRUM
7. FINANCIAL DERIVATIVE INSTRUMENTS | 12 Months Ended |
Dec. 31, 2017 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
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 The following presents the fair value of derivative contracts as of December 31, 2017 and 2016. 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, 2017 Type of Futured Contracts Asset Derivatives Fair Value Liability Derivatives Fair Value Net Fair Value Futures Contracts Currencies $ 96,610 $ (13,379 ) $ 83,231 Energy – (44,184 ) (44,184 ) Interest Rates 24,531 (57,173 ) (32,642 ) Metals 316,177 – 316,177 Stock Indices 50,354 (24,843 ) 25,511 Treasury Rates 68,158 – 68,158 $ 555,830 $ (139,579 ) $ 416,251 December 31, 2016 Type of Futured Contracts Asset Derivatives Fair Value Liability Derivatives Fair Value Net Fair Value Futures Contracts Currencies $ 1,929 $ (23,821 ) $ (21,892 ) Energy 54,724 – 54,724 Interest Rates 241,292 (47,917 ) 193,375 Metals 12,679 (13,201 ) (522 ) Stock Indices 80,172 (115,708 ) (35,536 ) Treasury Rates – (37,879 ) (37,879 ) $ 390,796 $ (238,526 ) $ 152,270 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, 2017, 2016 and 2015. The below captions of “Realized” and “Change in Unrealized” correspond to the captions in the Statements of Income (Loss) for gain (loss) on trading derivatives contracts. Year Ended December 31, 2017 Type of Change in Futured Contracts Realized Unrealized Futures Contracts Currencies $ 326,170 $ 105,123 Energy (611,908 ) (98,908 ) Interest Rates (2,743,714 ) (226,017 ) Metals 167,794 316,699 Stock Indices 5,200,885 61,047 Treasury Rates 728,801 106,037 $ 3,068,028 $ 263,981 For the year ended December 31, 2017, the number of futures contracts closed was 29,414. These closed contract amounts are representative of the Partnership’s volume of derivative activity during the year. Year Ended December 31, 2016 Type of Change in Futured Contracts Realized Unrealized Futures Contracts Currencies $ 23,606 $ (32,199 ) Energy (544,703 ) 106,068 Interest Rates 799,159 178,356 Metals 56,472 (28,163 ) Stock Indices 5,426,982 (66,432 ) Treasury Rates 109,438 (35,595 ) $ 5,870,954 $ 122,035 For the year ended December 31, 2016, the number of futures contracts closed was 22,156. These closed contract amounts are representative of the Partnership’s volume of derivative activity during the year. Year Ended December 31, 2015 Type of Change in Futured Contracts Realized Unrealized Futures Contracts Currencies $ 748,092 $ 7,759 Energy 625,869 (48,024 ) Interest Rates 1,091,198 28,707 Metals 4,887 27,641 Stock Indices 2,292,699 46,033 Treasury Rates 918,604 (295 ) $ 5,681,349 $ 61,821 For the year ended December 31, 2015, the number of futures contracts closed was 31,490. These closed contract amounts are representative of the Partnership’s volume of derivative activity during the year. With respect to futures contracts and options on futures contracts, the Partnership has entered into an agreement with the Clearing Broker which grants the Clearing Broker the right to offset recognized derivative assets and derivative liabilities if certain conditions exist, which would require the Clearing Broker to liquidate the Partnership’s positions. These events include the following: (i) the Clearing Broker is directed or required by a regulatory or self-regulatory organization, (ii) the Clearing Broker determines, at its discretion, that the risk in the Partnership’s account must be reduced for protection of the Clearing Broker, (iii) upon the Partnership’s breach or failure to perform on its contractual agreements with the Clearing Broker, (iv) upon the commencement of bankruptcy, insolvency or similar proceeding for the protection of creditors against the Partnership, or (v) upon the dissolution, winding-up, liquidation or merger of the Partnership. The following table summarizes the disclosure requirements for offsetting assets and liabilities: Offsetting the Financial Assets and Derivative Assets Gross Amounts Not Offset in the Statements of Financial Condition As of December 31, 2017 Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Assets Presented in the Statements of Financial Condition Financial Instruments Cash Collateral Received (1) Net Amount Futures Contracts 380,608 70,856 451,464 – – 451,464 Offsetting the Financial Liabilities and Derivative Liabilities Gross Amounts Not Offset in the Statements of Financial Condition As of December 31, 2017 Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Liabilities Presented in the Statements of Financial Condition Financial Instruments Cash Collateral Pledged (1) Net Amount Futures Contracts (70,856 ) 70,856 – – – – Offsetting the Financial Assets and Derivative Assets Gross Amounts Not Offset in the Statements of Financial Condition As of December 31, 2016 Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Assets Presented in the Statements of Financial Condition Financial Instruments Cash Collateral Received (1) Net Amount Futures Contracts 357,852 (78,682 ) 279,170 – – 279,170 Offsetting the Financial Liabilities and Derivative Liabilities Gross Amounts Not Offset in the Statements of Financial Condition As of December 31, 2016 Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Liabilities Presented in the Statements of Financial Condition Financial Instruments Cash Collateral Pledged (1) Net Amount Futures Contracts (78,682 ) 78,682 – – – – (1) The Partnership posted additional collateral of $1,548,029 for 2017 and $3,040,054 for 2016 with the Clearing Broker. The Partnership may post collateral due to a variety of factors that may include, without limitation, initial margin or other requirements that are based on notional amounts which may exceed the fair value of the derivative contract. |
8. FINANCIAL INSTRUMENTS, OFF-B
8. FINANCIAL INSTRUMENTS, OFF-BALANCE SHEET RISKS AND UNCERTAINTIES | 12 Months Ended |
Dec. 31, 2017 | |
Investments, All Other Investments [Abstract] | |
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 and interbank market makers. 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 or interbank market makers to perform under the terms of their contracts (credit risk). All of the contracts currently traded by the Partnership are exchange traded. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over-the-counter transactions because, in over-the-counter transactions, the Partnership must rely solely on the credit of its respective individual counterparties. However, in the future, if the Partnership were to enter into non-exchange traded contracts, it would be subject to the credit risk associated with counterparty non-performance. The credit risk from counterparty non-performance associated with such instruments is the net unrealized gain, if any. The Partnership also has credit risk because the sole counterparty to all domestic futures contracts is the exchange clearing corporation. In addition, the Partnership bears the risk of financial failure by the Clearing Broker. The Partnership's policy is to continuously monitor its exposure to market and counterparty risk through the use of a variety of financial position and credit exposure reporting and control procedures. In addition, the Partnership has a policy of reviewing the credit standing of each clearing broker or counterparty with which it conducts business. The Partnership has a substantial portion of its assets on deposit with the Custodian in U.S. government agency bonds and notes and corporate notes. Risks arise from investments in bonds and notes due to possible illiquidity and the potential for default by the issuer or counterparty. Such instruments are also sensitive to changes in interest rates and economic conditions. |
9. INDEMNIFICATIONS
9. INDEMNIFICATIONS | 12 Months Ended |
Dec. 31, 2017 | |
Commitments and Contingencies Disclosure [Abstract] | |
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. |
10. FINANCIAL HIGHLIGHTS
10. FINANCIAL HIGHLIGHTS | 12 Months Ended |
Dec. 31, 2017 | |
Quarterly Financial Information Disclosure [Abstract] | |
FINANCIAL HIGHLIGHTS | The following information presents the financial highlights of the Partnership for the years ended December 31, 2017, 2016 and 2015. This information has been derived from information presented in the financial statements. Year ended December 31, 2017 Class A Class B Institutional Interest Total return for Limited Partners Total return prior to incentive fees 5.36% 7.44% 8.31% Incentive fees (2.31% ) (2.32% ) (2.57% ) Total return after incentive fees 3.05% 5.12% 5.74% Ratio to average net asset value Expenses prior to incentive fees 4.58% 2.54% 1.75% Incentive fees 2.20% 2.27% 2.05% Total expenses 6.78% 4.81% 3.80% Net investment loss (1) (3.88% ) (1.87% ) (1.07% ) Year ended December 31, 2016 Class A Class B Institutional Interest Total return for Limited Partners Total return prior to incentive fees 17.21% 19.52% 20.44% Incentive fees (4.25% ) (4.40% ) (5.04% ) Total return after incentive fees 12.96% 15.12% 15.40% Ratio to average net asset value Expenses prior to incentive fees 4.81% 2.76% 1.93% Incentive fees 4.02% 4.05% 4.66% Total expenses 8.83% 6.81% 6.59% Net investment loss (1) (4.64% ) (2.59% ) (1.76% ) Year ended December 31, 2015 Institutional Class A Class B Interest Total return for Limited Partners Total return prior to incentive fees 14.94% 17.24% 18.20% Incentive fees (0.26% ) (0.33% ) (0.40% ) Total return after incentive fees 14.68% 16.91% 17.80% Ratio to average net asset value Expenses prior to incentive fees 4.87% 2.86% 1.85% Incentive fees 0.20% 0.26% 0.21% Total expenses 5.07% 3.12% 2.06% Net investment loss (1) (4.78% ) (2.76% ) (1.77% ) 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. |
11. SUBSEQUENT EVENTS
11. SUBSEQUENT EVENTS | 12 Months Ended |
Dec. 31, 2017 | |
Subsequent Events [Abstract] | |
SUBSEQUENT EVENTS | Management of the Partnership evaluated subsequent events through the date these financial statements were available to be issued, and concluded that no events subsequent to December 31, 2017 have occurred that would require recognition or disclosure, except as noted below. From January 1, 2018 through March 28, 2018, the Partnership had subscriptions of $315,679 and redemptions of $816,947. Management has determined there are no additional matters requiring disclosure. |
1. ORGANIZATION AND SIGNIFICA19
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (Policies) | 12 Months Ended |
Dec. 31, 2017 | |
Accounting Policies [Abstract] | |
General Description of the Partnership | A. General Description of the Partnership Altegris QIM Futures Fund, L.P. (“Partnership”) was organized as a Delaware limited partnership in June 2009. The Partnership's general partner is Altegris Advisors, L.L.C. (the "General Partner"). The General Partner has overall responsibility for the management, operation and administration of the Partnership, including the selection of its commodity trading adviser. The Partnership’s trading activities are conducted pursuant to an advisory contract with Quantitative Investment Management LLC (the “Advisor”). The Partnership speculatively trades commodity futures contracts, and may trade options on futures contracts, forward currency contracts and other commodity interests. The objective of the Partnership’s business is appreciation of its assets. It is subject to the regulations of the Commodity Futures Trading Commission (the “CFTC”), an agency of the United States (“U.S.”) government that regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of commodity exchanges and futures commission merchants (brokers) through which the Partnership trades. |
Methods of Reporting | B. Method of Reporting The Partnership’s financial statements are presented in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”). Therefore, the Partnership follows the accounting and reporting guidelines for investment companies. The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported fair value of assets and liabilities, disclosures of contingent assets and liabilities as of December 31 2017 and 2016, and reported amounts of income and expenses for the years ended December 31, 2017, 2016 and 2015, respectively. Management believes that the estimates utilized in preparing the Partnership’s financial statements are reasonable; however, actual results could differ from these estimates and it is reasonably possible that the differences could be material. |
Fair Value | 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. Unobservable inputs reflect the Partnership’s assumption about the inputs market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The fair value hierarchy is categorized into three levels based on the inputs as follows: Level 1 – Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Partnership has the ability to access at the measurement date; Level 2 – Quoted prices which are not active, or inputs that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and Level 3 – Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity). The availability of valuation techniques and observable inputs can vary among assets and liabilities and is affected by a wide variety of factors, including the type of asset or liability, whether the asset or liability is new and not yet established in the marketplace, and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Those estimated values do not necessarily represent the amounts that may be ultimately realized due to the occurrence of future circumstances that cannot be reasonably determined. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the asset or liability existed. Accordingly, the degree of judgment exercised by the Partnership in determining fair value is greatest for assets and liabilities categorized in Level 3. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined by the lowest level input that is significant to the fair value measurement. 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 that 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 Level I or Level 2 of the fair value hierarchy. As of December 31, 2017 and 2016, none of the Partnership’s holdings in U.S. government agency bonds and notes were fair valued using valuation models. The fair value of U.S. treasury obligations is generally based on quoted prices. U.S. treasury obligations are categorized in Level 2 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, bond, or single-name credit default swap spreads and recovery rates based on collateral values as key inputs. These valuation methods represent both a market and income approach to fair value measurement. Corporate notes are categorized in Level 2 of the fair value hierarchy; however, in instances where significant inputs are unobservable, they are categorized in Level 3 of the hierarchy. As of December 31, 2017 and 2016, none of the Partnership’s holdings in corporate notes were fair valued using valuation models. 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, 2017 and 2016. The following table presents information about the Partnership’s assets and liabilities measured at fair value as of December 31, 2017 and December 31, 2016: December 31, 2017 Level 1 Level 2 Level 3 Balance as of December 31, 2017 Assets Futures contracts (1) $ 555,830 $ – $ – $ 555,830 U.S. Government agency bonds and notes – 15,431,408 – 15,431,408 Corporate notes – 7,965,246 – 7,965,246 Total Assets $ 555,830 $ 23,396,654 $ – $ 23,952,484 Liabilities Futures contracts (1) $ (139,579 ) $ – $ – $ (139,579 ) December 31, 2016 Level 1 Level 2 Level 3 Balance as of December 31, 2016 Assets Futures contracts (1) $ 390,796 $ – $ – $ 390,796 U.S. Government agency bonds and notes – 11,229,798 – 11,229,798 Corporate notes – 8,247,751 – 8,247,751 Total Assets $ 390,796 $ 19,477,549 $ – $ 19,868,345 Liabilities Futures contracts (1) $ (238,526 ) $ – $ – $ (238,526 ) (1) See Note 7. "Financial Derivative Instruments" for the fair value in each type of contracts within this category. The Partnership’s policy is to recognize any transfers between Level 1 and Level 2 assets as of the Partnership’s fiscal year-end. For the years ended December 31, 2017 and 2016, there were no transfers between Level 1 and Level 2 assets and liabilities. For the years ended December 31, 2017 and 2016, there were no Level 3 securities. |
Investment Transactions and Investment Income | D. Investment Transactions and Investment Income Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from security transactions are determined using the specific identification cost method. Change in net unrealized gain or loss from the preceding period is reported in the Statements of Income (Loss). Brokerage commissions on securities and other trading fees are reflected as an adjustment to cost or proceeds at the time of the transaction. Interest income is recorded on an accrual basis. Gains or losses on futures contracts are realized when contracts are closed. Net unrealized gains or losses on open contracts (the difference between contract trade price and quoted market price) are reflected in the Statements of Financial Condition. Any change in net unrealized gain or loss from the preceding period is reported in the Statements of Income (Loss). Brokerage commissions on futures contracts include other trading fees and are 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, 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 gain (loss) on other assets and other liabilities denominated in foreign currency arise from changes in the value of assets, other than investments in securities, and liabilities at fiscal year-end, resulting from changes in the exchange rates. J.P. Morgan Chase Bank, N.A. (the “Custodian”) is the Partnership’s custodian. SG Americas Securities, LLC (the “Clearing Broker”) is the Partnership’s commodity broker. A portion of the Partnership’s assets are held as initial margin or option premiums (in cash or Treasury securities) in the Partnership’s brokerage accounts at the Clearing Broker. The Clearing Broker may convert the Partnership’s cash in U.S. dollar to foreign currency to facilitate the Partnership’s commodity trading activities. At times, the Partnership may carry foreign cash on loan with the Clearing Broker. Any net foreign currency on loan will be recognized in Foreign Currency Due to Broker on the Statements of Financial Condition. The Partnership’s Clearing Broker holds margin balances in a single currency, in which all margin requirements can be satisfied in U.S. dollars. Foreign currency balances can also be used to satisfy margin requirements. As of December 31, 2017 and 2016, the Partnership’s restricted cash balance on the Statements of Financial Condition of $859,249 and $3,040,054, respectively, represents the collateral pledged by the Partnership to satisfy the Clearing Broker’s margin requirements in US Dollars. As of December 31, 2017 and December 31, 2016, the Partnership’s restricted foreign currency balance on the Statements of Financial Condition of $688,780 and $0, respectively, represents the collateral pledged by the Partnership to satisfy the Clearing Broker’s margin requirements in foreign currency. The Partnership’s assets not deposited at the Clearing Broker are deposited with either the Custodian or held in bank cash accounts at Northern Trust Company (and used to pay Partnership operating expenses). For the Partnership’s cash deposited at the Custodian, the Partnership receives cash management services from J.P. Morgan Investment Management Inc. (“JPMIM”). |
Futures Contracts | E. Futures Contracts The Partnership engages in futures contracts as part of its investment strategy. Upon entering into a futures contract, the Partnership is required to deposit with the broker an amount of cash or cash equivalents equal to a certain percentage of the contract amount. This is known as the “initial margin.” Subsequent payments (“variation margin”) are made or received by the Partnership each day, depending on the daily fluctuations in the value of the contract, and are included in unrealized gain (loss) on futures contracts. Due to broker amounts on the Statements of Financial Condition represent the amount of any short fall in the Partnership’s required cash margin. The Partnership recognizes a realized gain or loss when the contract is closed. 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, 2017 and 2016 are reflected within the Condensed Schedules of Investments. |
Foreign Currency Transactions | 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 year. Gains and losses resulting from the translation to U.S. dollars are reported in the Statements of Income (Loss). |
Cash | G. Cash The Partnership maintains a custody account with JPMorgan Chase Bank, N.A. At times, the Partnership’s cash balance could exceed the insured amount under the Federal Deposit Insurance Corporation (“FDIC”). The Partnership has not experienced any losses in such accounts and believes it is not subject to any significant counterparty risk related to its cash account. Both restricted cash and restricted foreign currency are held as margin collateral deposits for futures transactions. |
Offering Costs | 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. Offering costs are included in other expenses on the Statements of Income (Loss). |
Income Taxes | I. Income Taxes The Partnership is treated as a partnership for U.S. federal income tax purposes. As such, the partners are individually liable for their own distributable share of taxable income or loss. No provision has been made in the accompanying financial statements for U.S., federal, state, or local income taxes. 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, 2017, 2016 and 2015. However, the Partnership’s conclusions may be subject to review and adjustment at a later date based on factors including, but not limited to, on-going analyses of and changes to tax laws, regulations and interpretations thereof. The Partnership is subject to income tax examinations by major taxing authorities for all tax years since 2014. The Partnership recognizes interest and penalties related to unrecognized tax benefits in interest expense and other expenses, respectively. No interest expense or penalties have been recognized as of and the years ended December 31, 2017, 2016 and 2015. |
Reclassifications | J. Reclassifications Certain amounts in the 2016 financial statements were reclassified to conform to the 2017 presentation. |
1. ORGANIZATION AND SIGNIFICA20
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Accounting Policies [Abstract] | |
Partnership's assets and liabilities measured at fair value | The following table presents information about the Partnership’s assets and liabilities measured at fair value as of December 31, 2017 and December 31, 2016: December 31, 2017 Level 1 Level 2 Level 3 Balance as of December 31, 2017 Assets Futures contracts (1) $ 555,830 $ – $ – $ 555,830 U.S. Government agency bonds and notes – 15,431,408 – 15,431,408 Corporate notes – 7,965,246 – 7,965,246 Total Assets $ 555,830 $ 23,396,654 $ – $ 23,952,484 Liabilities Futures contracts (1) $ (139,579 ) $ – $ – $ (139,579 ) December 31, 2016 Level 1 Level 2 Level 3 Balance as of December 31, 2016 Assets Futures contracts (1) $ 390,796 $ – $ – $ 390,796 U.S. Government agency bonds and notes – 11,229,798 – 11,229,798 Corporate notes – 8,247,751 – 8,247,751 Total Assets $ 390,796 $ 19,477,549 $ – $ 19,868,345 Liabilities Futures contracts (1) $ (238,526 ) $ – $ – $ (238,526 ) (1) See Note 7. "Financial Derivative Instruments" for the fair value in each type of contracts within this category. |
3. RELATED PARTY TRANSACTIONS (
3. RELATED PARTY TRANSACTIONS (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Related Party Transactions Tables | |
Fees paid to Altegris Investments and Altegris Clearing Solutions | Year ended December 31, 2017 Year ended December 31, 2016 Year ended December 31, 2015 Altegris Clearing Solutions - Brokerage Commission fees $ 206,296 $ 195,287 $ 148,774 Altegris Investments - Service fees 65,990 62,873 70,965 Total $ 272,286 $ 258,160 $ 219,739 |
7. FINANCIAL DERIVATIVE INSTR22
7. FINANCIAL DERIVATIVE INSTRUMENTS (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Fair value of derivative contracts | December 31, 2017 Type of Futured Contracts Asset Derivatives Fair Value Liability Derivatives Fair Value Net Fair Value Futures Contracts Currencies $ 96,610 $ (13,379 ) $ 83,231 Energy – (44,184 ) (44,184 ) Interest Rates 24,531 (57,173 ) (32,642 ) Metals 316,177 – 316,177 Stock Indices 50,354 (24,843 ) 25,511 Treasury Rates 68,158 – 68,158 $ 555,830 $ (139,579 ) $ 416,251 December 31, 2016 Type of Futured Contracts Asset Derivatives Fair Value Liability Derivatives Fair Value Net Fair Value Futures Contracts Currencies $ 1,929 $ (23,821 ) $ (21,892 ) Energy 54,724 – 54,724 Interest Rates 241,292 (47,917 ) 193,375 Metals 12,679 (13,201 ) (522 ) Stock Indices 80,172 (115,708 ) (35,536 ) Treasury Rates – (37,879 ) (37,879 ) $ 390,796 $ (238,526 ) $ 152,270 |
Schedule of realized and unrealized gain (loss) on derivatives | The below captions of “Realized” and “Change in Unrealized” correspond to the captions in the Statements of Income (Loss) for gain (loss) on trading derivatives contracts. Year Ended December 31, 2017 Type of Change in Futured Contracts Realized Unrealized Futures Contracts Currencies $ 326,170 $ 105,123 Energy (611,908 ) (98,908 ) Interest Rates (2,743,714 ) (226,017 ) Metals 167,794 316,699 Stock Indices 5,200,885 61,047 Treasury Rates 728,801 106,037 $ 3,068,028 $ 263,981 Year Ended December 31, 2016 Type of Change in Futured Contracts Realized Unrealized Futures Contracts Currencies $ 23,606 $ (32,199 ) Energy (544,703 ) 106,068 Interest Rates 799,159 178,356 Metals 56,472 (28,163 ) Stock Indices 5,426,982 (66,432 ) Treasury Rates 109,438 (35,595 ) $ 5,870,954 $ 122,035 Year Ended December 31, 2015 Type of Change in Futured Contracts Realized Unrealized Futures Contracts Currencies $ 748,092 $ 7,759 Energy 625,869 (48,024 ) Interest Rates 1,091,198 28,707 Metals 4,887 27,641 Stock Indices 2,292,699 46,033 Treasury Rates 918,604 (295 ) $ 5,681,349 $ 61,821 |
Schedule of Offsetting Assets | Offsetting the Financial Assets and Derivative Assets Gross Amounts Not Offset in the Statements of Financial Condition As of December 31, 2017 Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Assets Presented in the Statements of Financial Condition Financial Instruments Cash Collateral Received (1) Net Amount Futures Contracts 380,608 70,856 451,464 – – 451,464 Offsetting the Financial Assets and Derivative Assets Gross Amounts Not Offset in the Statements of Financial Condition As of December 31, 2016 Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Assets Presented in the Statements of Financial Condition Financial Instruments Cash Collateral Received (1) Net Amount Futures Contracts 357,852 (78,682 ) 279,170 – – 279,170 |
Schedule of Offsetting Liabilities | Offsetting the Financial Liabilities and Derivative Liabilities Gross Amounts Not Offset in the Statements of Financial Condition As of December 31, 2017 Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Liabilities Presented in the Statements of Financial Condition Financial Instruments Cash Collateral Pledged (1) Net Amount Futures Contracts (70,856 ) 70,856 – – – – Offsetting the Financial Liabilities and Derivative Liabilities Gross Amounts Not Offset in the Statements of Financial Condition As of December 31, 2016 Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Liabilities Presented in the Statements of Financial Condition Financial Instruments Cash Collateral Pledged (1) Net Amount Futures Contracts (78,682 ) 78,682 – – – – |
10. FINANCIAL HIGHLIGHTS (Table
10. FINANCIAL HIGHLIGHTS (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Quarterly Financial Information Disclosure [Abstract] | |
Financial highlights of the Partnership | The following information presents the financial highlights of the Partnership for the years ended December 31, 2017, 2016 and 2015. This information has been derived from information presented in the financial statements. Year ended December 31, 2017 Class A Class B Institutional Interest Total return for Limited Partners Total return prior to incentive fees 5.36% 7.44% 8.31% Incentive fees (2.31% ) (2.32% ) (2.57% ) Total return after incentive fees 3.05% 5.12% 5.74% Ratio to average net asset value Expenses prior to incentive fees 4.58% 2.54% 1.75% Incentive fees 2.20% 2.27% 2.05% Total expenses 6.78% 4.81% 3.80% Net investment loss (1) (3.88% ) (1.87% ) (1.07% ) Year ended December 31, 2016 Class A Class B Institutional Interest Total return for Limited Partners Total return prior to incentive fees 17.21% 19.52% 20.44% Incentive fees (4.25% ) (4.40% ) (5.04% ) Total return after incentive fees 12.96% 15.12% 15.40% Ratio to average net asset value Expenses prior to incentive fees 4.81% 2.76% 1.93% Incentive fees 4.02% 4.05% 4.66% Total expenses 8.83% 6.81% 6.59% Net investment loss (1) (4.64% ) (2.59% ) (1.76% ) Year ended December 31, 2015 Institutional Class A Class B Interest Total return for Limited Partners Total return prior to incentive fees 14.94% 17.24% 18.20% Incentive fees (0.26% ) (0.33% ) (0.40% ) Total return after incentive fees 14.68% 16.91% 17.80% Ratio to average net asset value Expenses prior to incentive fees 4.87% 2.86% 1.85% Incentive fees 0.20% 0.26% 0.21% Total expenses 5.07% 3.12% 2.06% Net investment loss (1) (4.78% ) (2.76% ) (1.77% ) |
1. ORGANIZATION AND SIGNIFICA24
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES - Partnership's assets and liabilities at fair value (Details) - USD ($) | Dec. 31, 2017 | Dec. 31, 2016 | ||
Futures contracts | [1] | $ 555,830 | $ 390,796 | |
U.S. Government agency bonds and notes | 15,431,408 | 11,229,798 | ||
Corporate notes | 7,965,246 | 8,247,751 | ||
Total Assets | 23,952,484 | 19,868,345 | ||
Futures Contracts | [1] | (139,579) | (238,526) | |
Level 1 [Member] | ||||
Futures contracts | [1] | 555,830 | 390,796 | |
U.S. Government agency bonds and notes | 0 | 0 | ||
Corporate notes | 0 | 0 | ||
Total Assets | 555,830 | 390,796 | ||
Futures Contracts | [1] | (139,579) | (238,526) | |
Level 2 [Member] | ||||
Futures contracts | [1] | 0 | 0 | |
U.S. Government agency bonds and notes | 15,431,408 | 11,229,798 | ||
Corporate notes | 7,965,246 | 8,247,751 | ||
Total Assets | 23,396,654 | 19,477,549 | ||
Futures Contracts | 0 | 0 | [1] | |
Level 3 [Member] | ||||
Futures contracts | [1] | 0 | 0 | |
U.S. Government agency bonds and notes | 0 | 0 | ||
Corporate notes | 0 | 0 | ||
Total Assets | 0 | 0 | ||
Futures Contracts | $ 0 | $ 0 | [1] | |
[1] | See Note 7. "Financial Derivative Instruments" for the fair value in each type of contracts within this category. |
1. ORGANIZATION AND SIGNIFICA25
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (Details Narrative) - USD ($) | 12 Months Ended | |
Dec. 31, 2017 | Dec. 31, 2016 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ||
Transfers between Level 1 and Level 2 assets and liabilities | $ 0 | $ 0 |
Level 3 Securities | 0 | 0 |
Restricted cash | 688,780 | 0 |
Liability for unrecognized tax benefits | 0 | 0 |
Recognized interest expense or penalties | $ 0 | $ 0 |
3. RELATED PARTY TRANSACTIONS -
3. RELATED PARTY TRANSACTIONS - Fees paid to related parties (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Notes to Financial Statements | |||
Altegris Clearing Solutions - Brokerage Commission fees | $ 206,296 | $ 195,287 | $ 148,774 |
Altegris Investments - Service fees | 65,990 | 62,873 | 70,965 |
Brokerage-related services expense | $ 272,286 | $ 258,160 | $ 219,739 |
3. RELATED PARTY TRANSACTIONS27
3. RELATED PARTY TRANSACTIONS (Details Narrative) - USD ($) | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Administrative fee | $ 97,756 | $ 84,855 | $ 90,388 |
Commissions and Brokerage fees payable | 17,374 | 14,859 | |
Service fees payable | 42,515 | 40,518 | |
Altegris Clearing Solutions [Member] | |||
Commissions and Brokerage fees payable | 12,021 | 8,703 | 2,993 |
Altegris Investments [Member] | |||
Service fees payable | $ 5,217 | 5,432 | 5,155 |
Class A [Member] | |||
Monthly Management Fee | 0.104% | ||
Annual Management Fee | 1.25% | ||
Monthly Administrative Fee | 0.0275% | ||
Annual Administrative Fee | 0.33% | ||
Administrative fee | $ 71,570 | 60,546 | 57,822 |
Compensation for interests sold by Altegris Investments that are outstanding at month end | 2.00% | ||
Class B [Member] | |||
Monthly Management Fee | 0.104% | ||
Annual Management Fee | 1.25% | ||
Monthly Administrative Fee | 0.0275% | ||
Annual Administrative Fee | 0.33% | ||
Administrative fee | $ 26,186 | $ 24,309 | $ 32,566 |
Institutional Interests [Member] | |||
Monthly Management Fee | 0.0625% | ||
Annual Management Fee | 0.75% |
4. ADVISORY CONTRACT (Details N
4. ADVISORY CONTRACT (Details Narrative) | 12 Months Ended |
Dec. 31, 2017 | |
Advisory Contract | |
Advisor quarterly incentive fee, percent of trading profits | 30.00% |
5. SERVICE FEES (Details Narrat
5. SERVICE FEES (Details Narrative) - USD ($) | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Service fees | $ 433,956 | $ 369,560 | $ 352,938 |
Class A [Member] | |||
Ongoing Sales Service Fees | 0.166% | ||
Annual Sales Service Fees | 2.00% | ||
Service fees | $ 433,670 | 369,560 | 352,938 |
Institutional Interests [Member] | |||
Ongoing Sales Service Fees | 0.0417% | ||
Annual Sales Service Fees | 0.50% | ||
Service fees | $ 286 | $ 0 | $ 0 |
7. FINANCIAL DERIVATIVE INSTR30
7. FINANCIAL DERIVATIVE INSTRUMENTS - Fair value of derivative contracts (Details) - Futures Contracts [Member] - USD ($) | Dec. 31, 2017 | Dec. 31, 2016 |
Asset Derivatives Fair Value, Futures Contracts | $ 380,608 | $ 357,852 |
Liability Derivatives Fair Value, Futures Contracts | (70,856) | (78,682) |
Net Fair Value, Futures Contracts | 416,251 | 152,270 |
Currencies [Member] | ||
Asset Derivatives Fair Value, Futures Contracts | 96,610 | 1,929 |
Liability Derivatives Fair Value, Futures Contracts | (13,379) | (23,821) |
Net Fair Value, Futures Contracts | 83,231 | (21,892) |
Energy [Member] | ||
Asset Derivatives Fair Value, Futures Contracts | 0 | 54,724 |
Liability Derivatives Fair Value, Futures Contracts | (44,184) | 0 |
Net Fair Value, Futures Contracts | (44,184) | 54,724 |
Interest Rates [Member] | ||
Asset Derivatives Fair Value, Futures Contracts | 24,531 | 241,292 |
Liability Derivatives Fair Value, Futures Contracts | (57,173) | (47,917) |
Net Fair Value, Futures Contracts | (32,642) | 193,375 |
Metals [Member] | ||
Asset Derivatives Fair Value, Futures Contracts | 316,177 | 12,679 |
Liability Derivatives Fair Value, Futures Contracts | 0 | (13,201) |
Net Fair Value, Futures Contracts | 316,177 | (522) |
Stock Indices [Member] | ||
Asset Derivatives Fair Value, Futures Contracts | 50,354 | 80,172 |
Liability Derivatives Fair Value, Futures Contracts | (24,843) | (115,708) |
Net Fair Value, Futures Contracts | 25,511 | (35,536) |
Treasury Rates [Member] | ||
Asset Derivatives Fair Value, Futures Contracts | 68,158 | 0 |
Liability Derivatives Fair Value, Futures Contracts | 0 | (37,879) |
Net Fair Value, Futures Contracts | $ 68,158 | $ (37,879) |
7. FINANCIAL DERIVATIVE INSTR31
7. FINANCIAL DERIVATIVE INSTRUMENTS - Trading results of the Partnership's derivative trading (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Realized, Futures Contracts | $ 3,068,028 | $ 5,870,954 | $ 5,681,349 |
Change in Unrealized, Futures Contracts | 263,981 | 122,035 | 61,821 |
Futures Contracts [Member] | |||
Realized, Futures Contracts | 3,068,028 | 5,870,954 | 5,681,349 |
Change in Unrealized, Futures Contracts | 263,981 | 122,035 | 61,821 |
Futures Contracts [Member] | Currencies [Member] | |||
Realized, Futures Contracts | 326,170 | 23,606 | 748,092 |
Change in Unrealized, Futures Contracts | 105,123 | (32,199) | 7,759 |
Futures Contracts [Member] | Energy [Member] | |||
Realized, Futures Contracts | (611,908) | (544,703) | 625,869 |
Change in Unrealized, Futures Contracts | (98,908) | 106,068 | (48,024) |
Futures Contracts [Member] | Interest Rates [Member] | |||
Realized, Futures Contracts | (2,743,714) | 799,159 | 1,091,198 |
Change in Unrealized, Futures Contracts | (226,017) | 178,356 | 28,707 |
Futures Contracts [Member] | Metals [Member] | |||
Realized, Futures Contracts | 167,794 | 56,472 | 4,887 |
Change in Unrealized, Futures Contracts | 316,699 | (28,163) | 27,641 |
Futures Contracts [Member] | Stock Indices [Member] | |||
Realized, Futures Contracts | 5,200,885 | 5,426,982 | 2,292,699 |
Change in Unrealized, Futures Contracts | 61,047 | (66,432) | 46,033 |
Futures Contracts [Member] | Treasury Rates [Member] | |||
Realized, Futures Contracts | 728,801 | 109,438 | 918,604 |
Change in Unrealized, Futures Contracts | $ 106,037 | $ (35,595) | $ (295) |
7. FINANCIAL DERIVATIVE INSTR32
7. FINANCIAL DERIVATIVE INSTRUMENTS - Offsetting Assets and Liabilities (Details) - Futures Contracts [Member] - USD ($) | Dec. 31, 2017 | Dec. 31, 2016 |
Gross Amounts of Recognized Assets | $ 380,608 | $ 357,852 |
Gross Amounts Offset in the Statement of Financial Condition | 70,856 | (76,682) |
Net Amounts of Assets Presented in the Statement of Financial Condition | 451,464 | 279,170 |
Gross Amounts Not Offset in the Statement of Financial Condition | ||
Financial Instruments | 0 | 0 |
Cash Collateral Received | 0 | 0 |
Net Amount | 416,251 | 152,570 |
Offsetting the Financial Liabilities and Derivative Liabilities | ||
Gross Amounts of Recognized Liabilities | (70,856) | (78,682) |
Gross Amounts Offset in the Statement of Financial Condition | 70,856 | 78,682 |
Net Amounts of Liabilities Presented in the Statement of Financial Condition | 0 | 0 |
Gross Amounts Not Offset in the Statement of Financial Condition | ||
Financial Instruments | 0 | 0 |
Cash Collateral Pledged | 0 | 0 |
Net Amount | $ 0 | $ 0 |
7. FINANCIAL DERIVATIVE INSTR33
7. FINANCIAL DERIVATIVE INSTRUMENTS (Details Narrative) | 12 Months Ended | ||
Dec. 31, 2017USD ($)NumberOfContracts | Dec. 31, 2016USD ($)NumberOfContracts | Dec. 31, 2015NumberOfContracts | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||
Additional collateral held at the Clearing Broker | $ | $ 1,548,029 | $ 3,040,054 | |
Futures contracts closed during period | NumberOfContracts | 29,414 | 22,156 | 31,490 |
10. FINANCIAL HIGHLIGHTS - Fina
10. FINANCIAL HIGHLIGHTS - Financial highlights of the Partnership (Details) | 12 Months Ended | |||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | ||
Class A [Member] | ||||
Total return for Limited Partners | ||||
Total return prior to incentive fees | 5.36% | 17.21% | 14.94% | |
Incentive fees | (2.31%) | (4.25%) | (0.26%) | |
Total return after incentive fees | 3.05% | 12.96% | 14.68% | |
Ratio to average net asset value | ||||
Expenses prior to incentive fees | 4.58% | 4.81% | 4.87% | |
Incentive fees | 2.20% | 4.02% | 0.20% | |
Total expenses | 6.78% | 8.83% | 5.07% | |
Net investment loss | [1] | (3.88%) | (4.64%) | (4.78%) |
Class B [Member] | ||||
Total return for Limited Partners | ||||
Total return prior to incentive fees | 7.44% | 19.52% | 17.24% | |
Incentive fees | (2.32%) | (4.40%) | (0.33%) | |
Total return after incentive fees | 5.12% | 15.12% | 16.91% | |
Ratio to average net asset value | ||||
Expenses prior to incentive fees | 2.54% | 2.76% | 2.86% | |
Incentive fees | 2.27% | 4.05% | 0.26% | |
Total expenses | 4.81% | 6.81% | 3.12% | |
Net investment loss | [1] | (1.87%) | (2.59%) | (2.76%) |
Institutional Interests [Member] | ||||
Total return for Limited Partners | ||||
Total return prior to incentive fees | 8.31% | 20.44% | 18.20% | |
Incentive fees | (2.57%) | (5.04%) | (0.40%) | |
Total return after incentive fees | 5.74% | 15.40% | 17.80% | |
Ratio to average net asset value | ||||
Expenses prior to incentive fees | 1.75% | 1.93% | 1.85% | |
Incentive fees | 2.05% | 4.66% | 0.21% | |
Total expenses | 3.80% | 6.59% | 2.06% | |
Net investment loss | [1] | (1.07%) | (1.76%) | (1.77%) |
[1] | Excludes incentive fee. |
11. SUBSEQUENT EVENTS (Details
11. SUBSEQUENT EVENTS (Details Narrative) | 3 Months Ended |
Mar. 28, 2018USD ($) | |
Subsequent Events [Abstract] | |
Partnership subscriptions | $ 315,679 |
Partnership redemptions | $ 816,947 |