0001683168-18-002265.txt : 20180813 0001683168-18-002265.hdr.sgml : 20180813 20180813080319 ACCESSION NUMBER: 0001683168-18-002265 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 50 CONFORMED PERIOD OF REPORT: 20180630 FILED AS OF DATE: 20180813 DATE AS OF CHANGE: 20180813 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Altegris QIM Futures Fund, L.P. CENTRAL INDEX KEY: 0001469317 STANDARD INDUSTRIAL CLASSIFICATION: [6221] IRS NUMBER: 270473854 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-Q SEC ACT: 1934 Act SEC FILE NUMBER: 000-53815 FILM NUMBER: 181010298 BUSINESS ADDRESS: STREET 1: 1200 PROSPECT STREET SUITE 400 CITY: LA JOLLA STATE: CA ZIP: 92037 BUSINESS PHONE: 858.731.8547 MAIL ADDRESS: STREET 1: 1200 PROSPECT STREET SUITE 400 CITY: LA JOLLA STATE: CA ZIP: 92037 FORMER COMPANY: FORMER CONFORMED NAME: APM - QIM Futures Fund, L.P. DATE OF NAME CHANGE: 20090730 10-Q 1 altegrisqim_10q-063018.htm FORM10-Q

Table of Contents

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C.  20549

 


 

FORM 10-Q

 


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

 

For the quarterly period ended June 30, 2018

 

OR

 

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

 

For the transition period from ________ to ___________

 

Commission File Number:  000-53815

 


 

ALTEGRIS QIM FUTURES FUND, L.P.

(Exact name of registrant as specified in its charter)

 


     
DELAWARE   27-0473854

(State or other jurisdiction

of incorporation or organization)

 

(I.R.S. Employer

Identification No.)

 

c/o ALTEGRIS ADVISORS, L.L.C.

1200 Prospect Street, Suite 400

La Jolla, California 92037

(Address of principal executive offices) (zip code)

 

(858) 459-7040

(Registrant’s telephone number, including area code)

 

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

 

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

 

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

 

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

 

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

 

Large accelerated filer  o   Accelerated filer  o     Non-accelerated filer  o     Smaller reporting company   ý
Emerging growth company  o                

 

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. o

 

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

 

 

   
 

 

TABLE OF CONTENTS

 

    Page
     
PART I – FINANCIAL INFORMATION 3
     
Item 1. Financial Statements 3
     
  Statements of Financial Condition 3
     
  Condensed Schedules of Investments 4
     
  Statements of Income (Loss) 8
     
  Statements of Changes in Partners’ Capital (Net Asset Value) 9
     
  Notes to Financial Statements 10
     
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations 25
     
Item 3. Quantitative and Qualitative Disclosures About Market Risk 29
     
Item 4. Controls and Procedures 29
     
     
PART II – OTHER INFORMATION 29
     
Item 1. Legal Proceedings 29
     
Item 1A. Risk Factors 29
     
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds 29
     
Item 3. Defaults Upon Senior Securities 29
     
Item 4. Mine Safety Disclosure 29
     
Item 5. Other Information 29
     
Item 6. Exhibits 30
     
Signatures 31
     
Rule 13a–14(a)/15d–14(a) Certifications  
     
Section 1350 Certifications  

 

 

 

 2 
 

 

PART I – FINANCIAL INFORMATION

 

Item 1:   Financial Statements.

 

ALTEGRIS QIM FUTURES FUND, L.P.

STATEMENTS OF FINANCIAL CONDITION

JUNE 30, 2018 (Unaudited) and DECEMBER 31, 2017 (Audited)

_______________

           

 

   2018   2017 
ASSETS          
Equity in commodity broker account:          
Cash  $2,769,546   $921,512 
Restricted cash   1,153,162    859,249 
Restricted foreign currency (cost - $1,151,712 and $693,564)   1,151,659    688,780 
Net unrealized gain on open futures contracts   25,036    309,752 
Settled variation margin   493,532    106,499 
           
    5,592,935    2,885,792 
           
Cash   291,874    6,312,140 
Investment securities at fair value (cost - $23,582,864 and $23,396,557)   23,582,855    23,396,654 
Interest receivable   2,573    1,157 
           
Total assets  $29,470,237   $32,595,743 
           
LIABILITIES          
Equity in commodity broker account:          
Foreign currency due to broker (proceeds - $998,212 and $691,361)  $998,166   $686,592 
           
Redemptions payable   1,144,362    203,427 
Subscriptions received in advance   100,000    57,000 
Service fees payable   40,797    42,515 
Management fee payable   28,365    31,503 
Brokerage commissions payable   22,367    17,374 
Administrative fee payable   7,154    7,902 
Incentive fees payable   1,384    68,985 
Other liabilities   104,687    130,243 
           
Total liabilities   2,447,282    1,245,541 
           
PARTNERS' CAPITAL (NET ASSET VALUE)          
General Partner   901    942 
Limited Partners   27,022,054    31,349,260 
           
Total partners' capital (Net Asset Value)   27,022,955    31,350,202 
           
Total liabilities and partners' capital  $29,470,237   $32,595,743 

 

See accompanying notes.

 

 3 
 

 

ALTEGRIS QIM FUTURES FUND, L.P.

CONDENSED SCHEDULES OF INVESTMENTS

JUNE 30, 2018 (Unaudited)

_______________

                   

 

INVESTMENT SECURITIES      
Face Value   Maturity Date  Description  Fair Value  % of Partners' Capital
              
Fixed Income Investments      
              
U.S. Government Agency Bonds and Notes      
$3,000,000   7/2/2018  Federal Home Loan Bank Disc Note, 0.00%*  $3,000,000   11.10%
 3,000,000   7/20/2018  Federal Home Loan Bank Disc Note, 1.69%*   2,997,195   11.09%
 3,000,000   7/25/2018  Federal Home Loan Bank Disc Note, 1.72%*   2,996,415   11.09%
 6,034,000   7/2/2018  Federal Home Loan Mortgage Corp Disc Note, 2.66%*   6,033,703   22.33%
          
 Total U.S. Government Agency Bonds and Notes (cost - $15,026,875)   15,027,313   55.61%
                 
Corporate Notes        
$300,000   7/2/2018  Banco del Estado de Chile, 1.91%*  $299,984   1.11%
 706,000   7/13/2018  Banco del Estado de Chile, 1.97%   706,004   2.61%
 707,000   7/13/2018  Bank of Montreal, 2.05%*   706,437   2.62%
 707,000   7/13/2018  Canadian Imperial Holdings, Inc., 1.95%*   706,464   2.62%
 1,000,000   7/2/2018  Cedar Springs Capital Company LLC, 2.03%*   999,944   3.70%
 250,000   7/25/2018  DCAT, LLC, 2.05%*   249,628   0.92%
 708,000   7/3/2018  Exxon Mobil Corp Disc Note, 1.90%*   707,851   2.62%
 470,000   7/5/2018  General Electric Company, 1.91%*   469,851   1.74%
 250,000   7/24/2018  Intercontinental Exchange, Inc., 2.35%*   249,676   0.92%
 705,000   7/16/2018  MetLife Short Term Funding LLC, 2.01%*   704,332   2.61%
 707,000   7/16/2018  PACCAR Financial Corporation, 1.96%*   706,346   2.61%
 708,000   7/3/2018  Sumitomo Mitsui Banking Corporation, 1.90%   707,998   2.62%
 470,000   7/6/2018  Sumitomo Mitsui Trust Bank Ltd., 1.95%   470,001   1.74%
 471,000   7/20/2018  The Chiba Bank Ltd., 2.15%   471,047   1.74%
 400,000   7/2/2018  Victory Receivables Corporation, 1.94%*   399,979   1.48%
          
 Total Corporate Notes (cost - $8,555,989)   8,555,542   31.66%
                 
 Total Investment Securities (cost - $23,582,864)  $23,582,855   87.27%

 

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

 

 

 

See accompanying notes.

 

 4 
 

 

ALTEGRIS QIM FUTURES FUND, L.P.

CONDENSED SCHEDULES OF INVESTMENTS (continued)

JUNE 30, 2018 (Unaudited)

_______________

                   

 

   Range of Expiration Dates  Number of Contracts   Fair Value*   % of Partners' Capital
               
Long Futures Contracts:                 
Currencies  Sep 18   45   $23,024    0.09%
Energy  Jul 18   51    353,393    1.31%
Interest Rates  Sep 18   62    39,354    0.15%
Metals  Aug 18   24    (55,208)   (0.20)%
Stock Indices  Jul 18 - Sep 18   179    (109,750)   (0.42)%
                  
Total Long Futures Contracts      361    250,813    0.93%
                  
Short Futures Contracts:                 
Currencies  Sep 18   30    28,570    0.11%
Energy  Jul 18   3    (316)   0.00%
Interest Rates  Sep 18   10    7,077    0.03%
Metals  Sep 18   32    33,607    0.12%
Stock Indices  Jul 18 - Sep 18   193    322,701    1.19%
Treasury Rates  Sep 18   237    (123,884)   (0.46)%
                  
Total Short Futures Contracts      505    267,755    0.99%
                  
Total Futures Contracts          $518,568    1.92%

 

*Futures include settled variation margin.

 

 

 

See accompanying notes.

 

 5 
 

 

ALTEGRIS QIM FUTURES FUND, L.P.

CONDENSED SCHEDULES OF INVESTMENTS

DECEMBER 31, 2017 (Audited)

_______________

                   

 

INVESTMENT SECURITIES       
Face Value   Maturity Date  Description  Fair Value   % of Partners' Capital
               
Fixed Income Investments       
               
U.S. Government Agency Bonds and Notes       
$12,932,000   1/2/2018  Federal Farm Credit Bank Disc Note, 0.00%  $12,931,623   41.25%
 1,500,000   1/2/2018  Federal Home Loan Bank Disc Note, 0.00%   1,500,000   4.78%
 1,000,000   1/8/2018  Federal Home Loan Bank Disc Note, 0.99%*   999,785   3.19%
          
 Total U.S. Government Agency Bonds and Notes (cost - $15,431,376)   15,431,408   49.22%
                 
Corporate Notes        
$700,000   1/11/2018  American Honda Finance Corporation, 1.43%  $699,637   2.23%
 701,000   1/26/2018  Banco del Estado de Chile, 1.55%   701,000   2.24%
 700,000   1/26/2018  Bank of Montreal, 1.50%*   699,271   2.23%
 701,000   1/26/2018  Canadian Imperial Holdings, Inc., 1.48%   700,279   2.23%
 700,000   1/12/2018  The Coca-Cola Company, 1.32%   699,608   2.23%
 235,000   10/1/2018  DCAT, LLC, 1.68%*   234,868   0.75%
 700,000   1/12/2018  MetLife Short Term Funding LLC, 1.41%   699,601   2.23%
 465,000   1/22/2018  National Rural Utilities Cooperation, 1.62%   464,574   1.48%
 700,000   9/1/2018  PACCAR Financial Corporation, 1.48%*   699,682   2.23%
 700,000   1/5/2018  Sumitomo Mitsui Banking Corporation, 1.37%   699,984   2.23%
 467,000   1/5/2018  Sumitomo Mitsui Trust Bank Ltd., 1.37%   466,989   1.50%
 250,000   1/8/2018  3M Company, 1.49%   249,902   0.80%
 950,000   1/2/2018  Wal-Mart Stores, Inc., 1.24%   949,851   3.03%
          
 Total Corporate Notes (cost - $7,965,181)   7,965,246   25.41%
                 
 Total Investment Securities (cost - $23,396,557)  $23,396,654   74.63%

 

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

 

 

See accompanying notes.

 

 6 
 

 

ALTEGRIS QIM FUTURES FUND, L.P.

CONDENSED SCHEDULES OF INVESTMENTS (continued)

DECEMBER 31, 2017 (Audited)

_______________

                   

 

   Range of Expiration Dates 

Number of

Contracts

   Fair Value*   % of Partners' Capital 
                
Long Futures Contracts:                  
Currencies  Mar 18   81   $96,610    0.31% 
Interest Rates  Mar 18   36    (55,415)   (0.18)%
Metals  Feb 18 - Mar 18   83    316,177    1.01% 
Stock Indices  Jan 18 - Mar 18   96    (5,279)   (0.02)%
Treasury Rates  Mar 18   309    68,158    0.22% 
                   
Total Long Futures Contracts      605    420,251    1.34% 
                   
Short Futures Contracts:                  
Currencies  Mar 18   27    (13,379)   (0.04)%
Energy  Jan 18   33    (44,184)   (0.14)%
Interest Rates  Mar 18   182    22,773    0.07% 
Stock Indices  Mar 18   45    30,790    0.10% 
                   
Total Short Futures Contracts      287    (4,000)   (0.01)%
                   
Total Futures Contracts          $416,251    1.33% 

 

*Futures include settled variation margin.

 

 

 

See accompanying notes.

 

 7 
 

 

ALTEGRIS QIM FUTURES FUND, L.P.

STATEMENTS OF INCOME (LOSS)

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2018 AND 2017 (Unaudited)

_______________

 

   Three Months Ended   Six Months Ended 
   June 30,   June 30, 
   2018   2017   2018   2017 
TRADING GAIN (LOSS)                    
Gain (loss) on trading of futures                    
Net realized  $661,772   $78,032   $(865,306)  $2,820,985 
Net change in unrealized   779,759    (19,594)   102,317    (410,177)
Brokerage Commissions   (104,527)   (122,408)   (217,516)   (239,527)
                     
Net gain (loss) from trading futures   1,337,004    (63,970)   (980,505)   2,171,281 
                     
Gain (loss) on trading of securities                    
Net realized   85    12,875    85    26,014 
Net change in unrealized   495    140    (106)   (419)
                     
Net gain (loss) from trading securities   580    13,015    (21)   25,595 
                     
Gain (loss) on trading of foreign currency                    
Net realized   (5,451)   (9,126)   (11,860)   (12,428)
Net change in unrealized   58    (416)   8    503 
                     
Net gain (loss) from trading foreign currency   (5,393)   (9,542)   (11,852)   (11,925)
Total trading gain (loss)   1,332,191    (60,497)   (992,378)   2,184,951 
                     
NET INVESTMENT INCOME (LOSS)                    
Income                    
Interest income   115,975    41,182    211,242    66,441 
                     
Expenses                    
Service fees   95,582    109,388    193,553    216,314 
Management fee   84,466    98,650    175,559    193,593 
Professional fees   53,703    55,720    108,921    109,422 
Administrative fee   21,253    24,714    44,088    48,727 
Out of pocket fees   6,600    7,500    13,200    15,000 
Interest expense   3,977    3,636    9,066    8,154 
Incentive fees   1,384        1,384    634,174 
Other expenses   15,167    16,585    19,692    20,753 
                     
Total expenses   282,132    316,193    565,463    1,246,137 
                     
Net investment income (loss)   (166,157)   (275,011)   (354,221)   (1,179,696)
                     
                     
NET INCOME (LOSS)  $1,166,034   $(335,508)  $(1,346,599)  $1,005,255 

 

 

 

See accompanying notes.

 

 8 
 

 

ALTEGRIS QIM FUTURES FUND, L.P.

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

FOR THE SIX MONTHS ENDED JUNE 30, 2018 AND 2017 (Unaudited)

_______________

                             

 

       Limited Partners     
                     
               Institutional   General 
   Total   Class A   Class B   Interests   Partner 
                     
Balances at December 31, 2016  $29,444,464   $20,121,489   $7,648,087   $1,673,974   $914 
                          
Capital additions   2,996,808    1,846,808    225,000    925,000     
                          
Capital withdrawals   (1,247,429)   (807,557)   (439,872)        
                          
From operations:                         
Net investment gain (loss)   (1,179,696)   (874,749)   (248,345)   (56,563)   (39)
Net realized gain (loss) from investments (net of brokerage commissions)   2,595,044    1,751,087    663,244    180,634    79 
Net change in unrealized gain (loss) from investments   (410,093)   (267,965)   (97,972)   (44,144)   (12)
Net income (loss)   1,005,255    608,373    316,927    79,927    28 
                          
Balances at June 30, 2017  $32,199,098   $21,769,113   $7,750,142   $2,678,901   $942 
                          
Balances at December 31, 2017  $31,350,202   $21,086,218   $7,726,323   $2,536,719   $942 
                          
Capital additions   479,679    335,441    144,238         
                          
Capital withdrawals   (3,460,327)   (1,952,963)   (610,200)   (897,164)    
                          
From operations:                         
Net investment gain (loss)   (354,221)   (308,527)   (41,885)   (3,795)   (14)
Net realized gain (loss) from investments (net of brokerage commissions)   (1,094,597)   (734,085)   (265,967)   (94,514)   (31)
Net change in unrealized gain (loss) from investments   102,219    71,192    25,939    5,084    4 
Net income (loss)   (1,346,599)   (971,420)   (281,913)   (93,225)   (41)
                          
Balances at June 30, 2018  $27,022,955   $18,497,276   $6,978,448   $1,546,330   $901 

 

 

See accompanying notes.

 

 9 
 

 

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

_______________

 

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

 

A. General Description of the Partnership

 

Altegris QIM Futures Fund, L.P. (“Partnership”) was organized as a Delaware limited partnership in June 2009. The Partnership's general partner is Altegris Advisors, L.L.C. (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 June 30, 2018 and December 31, 2017, and reported amounts of income and expenses for the three and six months ended June 30, 2018 and 2017, respectively. Management believes that the estimates utilized in preparing the Partnership’s financial statements are reasonable; however, actual results could differ from these estimates and it is reasonably possible that the differences could be material.

 

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

 

C. Fair Value

 

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

 

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

 

 

 10 
 

 

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

 

C. Fair Value (continued)

 

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.

 

When available, the fair value of U.S. government agency bonds and notes is 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 June 30, 2018 and December 31, 2017, 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 June 30, 2018 and December 31, 2017, none of the Partnership’s holdings in corporate notes were fair valued using valuation models.

 

 

 11 
 

 

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

 

C. Fair Value (continued)

 

The 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 six month period ended June 30, 2018 and the year ended December 31, 2017.

 

The following table presents information about the Partnership’s assets and liabilities measured at fair value as of June 30, 2018 and December 31, 2017:

 

June 30, 2018  Level 1   Level 2   Level 3   Balance as of June 30, 2018 
                 
Assets                    
                     
Futures contracts (1)  $813,849   $   $   $813,849 
U.S. Government agency bonds and notes       15,027,313        15,027,313 
Corporate notes       8,555,542        8,555,542 
                     
Total Assets  $813,849   $23,582,855   $   $24,396,704 
                     
Liabilities                    
                     
Futures contracts (1)  $(295,281)  $   $   $(295,281)

 

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)

 

(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 period ended June 30, 2018 and the year ended December 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities. For the six month period ended June 30, 2018 and the year ended December 31, 2017, there were no Level 3 securities.

 

 

 

 12 
 

 

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

 

D. Investment Transactions and Investment Income

 

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

 

Gains or losses on futures contracts are realized when contracts are closed. Net unrealized gains or losses on open contracts (the difference between contract trade price and quoted market price) are reflected in the Statements of Financial Condition. Any change in net unrealized gain or loss from the preceding period is reported in the Statements of Income (Loss). Brokerage commissions on futures contracts include other trading fees and are 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 June 30, 2018 and December 31, 2017, the Partnership’s restricted cash balance on the Statements of Financial Condition of $1,153,162 and $859,249, respectively, represents the collateral pledged by the Partnership to satisfy the Clearing Broker’s margin requirements in US Dollars. As of June 30, 2018 and December 31, 2017, the Partnership’s restricted foreign currency balance on the Statements of Financial Condition of $1,151,659 and $688,780, 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 June 30, 2018 and December 31, 2017 are reflected within the Condensed Schedules of Investments.

 

 

 

 13 
 

 

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

 

F. Foreign Currency Transactions

 

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

 

G. Cash

 

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 June 30, 2018 or December 31, 2017. 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 June 30, 2018 and December 31, 2017 or for the three and six months ended June 30, 2018 and 2017.

 

J. Reclassifications

 

Certain amounts in the 2017 financial statements were reclassified to conform to the 2018 presentation.

 

 

 

 

 14 
 

 

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

NOTE 2 - PARTNERS’ CAPITAL

 

A. Capital Accounts and Allocation of Income and Loss

 

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

 

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

 

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

 

B. Subscriptions, Distributions and Redemptions

 

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

 

The Partnership is not required to make distributions, but may do so at the sole discretion of the General Partner. A Limited Partner may request and receive redemption of capital, subject to restrictions set forth in the Agreement. The General Partner may request and receive redemption of capital, subject to the same terms as any Limited Partner. The partners may withdraw their interests on a monthly basis upon at least 15 days’ prior written notice, subject to the discretion of the General Partner. No distributions were made for the six months ended June 30, 2018 and 2017.

 

NOTE 3 - RELATED PARTY TRANSACTIONS

 

A. General Partner Management Fee

 

The General Partner receives a monthly management fee from the Partnership equal to 0.104% (1.25% annually) for Class A and Class B, and 0.0625% (0.75% annually) for Institutional Interests of the Partnership's 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 three and six months ended June 30, 2018 and 2017, there were no Special Limited Partners.

 

Total management fees earned by the General Partner for the three and six months ended June 30, 2018 and 2017 are shown on the Statements of Income (Loss) as Management Fee.

 

B. Administrative Fee

 

The General Partner receives a monthly administrative fee from the Partnership equal to 0.0275% (0.33% annually) of the Partnership's management fee net asset value attributable to Class A and Class B Interests. For the three and six months ended June 30, 2018, administrative fees for Class A Interests were $15,572 and $32,290, respectively, and administrative fees for Class B Interests were $5,681 and $11,798, respectively. For the three and six months ended June 30, 2017, administrative fees for Class A Interests were $18,189 and $35,553, respectively, and administrative fees for Class B Interests were $6,525 and $13,174, respectively.

 

 

 

 15 
 

 

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

NOTE 3 - RELATED PARTY TRANSACTIONS (CONTINUED)

 

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

 

Altegris Investments, L.L.C. (“Altegris Investments”), an affiliate of the General Partner, is registered as a broker-dealer with the SEC and 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 June 30, 2018 and December 31, 2017, the Partnership had charges for brokerage-related services payable to Altegris Clearing Solutions of $17,171 and $12,021, respectively, and service fees payable to Altegris Investments of $4,400 and $5,217, respectively. These amounts are included in brokerage commissions payable and service fees payable on the Statements of Financial Condition, respectively. The amounts shown on the Statements of Financial Condition include fees payable to non-related parties. The following tables show the fees paid to Altegris Investments and Altegris Clearing Solutions for the three and six months ended June 30, 2018 and 2017, respectively:

 

   Three months ended   Six months ended   Three months ended   Six months ended 
   June 30, 2018   June 30, 2018   June 30, 2017   June 30, 2017 
Altegris Clearing Solutions - Brokerage Commission fees  $52,306   $123,111   $54,371   $90,415 
Altegris Investments- Service fees   13,189    27,272    16,739    33,862 
Total  $65,495   $150,383   $71,110   $124,277 

 

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

 

NOTE 4 - ADVISORY CONTRACT

 

The Partnership pays the Advisor a quarterly incentive fee of 30% of the trading profits. However, the quarterly incentive fee is payable only on cumulative profits achieved from commodity trading (as defined in the Agreement), calculated separately for each partner’s interest. The incentive fee is accrued on a monthly basis and paid quarterly. Incentive fees are reflected in the Statements of Income (Loss).

 

 

 

 

 16 
 

 

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

NOTE 5 - SERVICE FEES

 

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 three and six months ended June 30, 2018, service fees for Class A Interests were $95,582 and $193,553, respectively. For the three and six months ended June 30, 2017, service fees for Class A Interests were $109,388 and $216,314, respectively. There were no service fees for Institutional Interests for the three and six months ended June 30, 2018 and 2017.

 

NOTE 6 - BROKERAGE COMMISSIONS AND CHARGES

 

The Partnership is subject to monthly brokerage charges equal to the greater of: (A) actual commissions and expenses paid to the Clearing Broker by the Partnership; or (B) an amount equal to 0.125% of the management fee net asset value of all Limited Partners’ month-end capital account balances (1.50% annually) (the “Minimum Amount”).

 

If actual commissions and expenses paid to the Clearing Broker in a month (in (A) above) are less than the Minimum Amount, the Partnership will pay to the Introducing Broker the difference as payment for brokerage-related services, including, but not limited to, monitoring trade, execution, clearing, custodial and distribution services provided to the Partnership. If actual commissions and expenses paid to the Clearing Broker in a month (in (A) above) are greater than the Minimum Amount, the Partnership pays only the amounts described in (A) above. The Partnership’s payments of brokerage commissions to the Clearing Broker for clearing trades on its behalf, and payments to the Introducing Broker for brokerage-related services, if any, are reflected in the Statements of Income (Loss) as Brokerage Commissions.

 

 NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS

 

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

 

The following presents the fair value of derivative contracts as of June 30, 2018 and December 31, 2017. 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.

 

 

 

 

 17 
 

 

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

 

June 30, 2018
Type of Futured Contracts  Asset Derivatives Fair Value   Liability Derivatives Fair Value   Net Fair Value 
             
Futures Contracts               
                
Currencies  $51,594   $   $51,594 
Energy   353,393    (316)   353,077 
Interest Rates   46,431        46,431 
Metals   33,607    (55,208)   (21,601)
Stock Indices   328,824    (115,873)   212,951 
Treasury Rates       (123,884)   (123,884)
                
   $813,849   $(295,281)  $518,568 

 

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 

 

The following presents the trading results of the Partnership’s derivative trading and information related to the volume of the Partnership’s derivative activity for the three and six months ended June 30, 2018 and 2017.

 

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.

 

Three Months Ended June 30, 2018
Type of      Change in 
Futured Contracts  Realized   Unrealized 
         
Futures Contracts          
Currencies  $299,434   $55,446 
Energy   91,002    333,529 
Interest Rates   382,578    184,066 
Metals   (85,674)   (29,729)
Stock Indices   95,358    56,749 
Treasury Rates   (120,926)   179,698 
           
   $661,772   $779,759 

 

 

 18 
 

 

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

 

For the three months ended June 30, 2018, the number of futures contracts closed was 5,327. These closed contract amounts are representative of the Partnership’s volume of derivative activity during the period.

 

Six Months Ended June 30, 2018
 
Type of      Change in 
Futured Contracts  Realized   Unrealized 
           
Futures Contracts          
Currencies  $481,558   $(31,637)
Energy   215,789    397,261 
Interest Rates   467,923    79,073 
Metals   355,144    (337,778)
Stock Indices   (2,145,897)   187,440 
Treasury Rates   (239,823)   (192,042)
           
   $(865,306)  $102,317 

 

For the six months ended June 30, 2018, the number of futures contracts closed was 10,083. These closed contract amounts are representative of the Partnership’s volume of derivative activity during the period.

 

Three Months Ended June 30, 2017
Type of      Change in 
Futured Contracts  Realized   Unrealized 
         
Futures Contracts          
Currencies  $373,360   $(13,764)
Energy   (309,905)   (92,169)
Interest Rates   (1,793,869)   452,582 
Metals   46,783    5,970 
Stock Indices   1,321,810    (354,608)
Treasury Rates   439,853    (17,605)
           
   $78,032   $(19,594)

 

For the three months ended June 30, 2017, the number of futures contracts closed was 7,561. These closed contract amounts are representative of the Partnership’s volume of derivative activity during the period.

 

 

 

 19 
 

 

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

 

Six Months Ended June 30, 2017
Type of      Change in 
Futured Contracts  Realized   Unrealized 
         
Futures Contracts          
Currencies  $451,866   $25,479 
Energy   (458,241)   (234,751)
Interest Rates   (1,530,413)   (197,572)
Metals   249,781    13,551 
Stock Indices   2,859,086    (219,829)
Treasury Rates   1,248,906    202,945 
           
   $2,820,985   $(410,177)

 

For the six months ended June 30, 2017, the number of futures contracts closed was 15,993. These closed contract amounts are representative of the Partnership’s volume of derivative activity during the period.

 

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

As of June 30, 2018             Gross Amounts Not Offset in the Statements of Financial Condition     
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   196,117    (171,081)   25,036            25,036 

 

Offsetting the Financial Liabilities and Derivative Liabilities

As of June 30, 2018              Gross Amounts Not Offset in the Statements of Financial Condition     
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   (171,081)   171,081                 

 

 

 20 
 

 

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

 

Offsetting the Financial Assets and Derivative Assets

As of December 31, 2017             Gross Amounts Not Offset in the Statements of Financial Condition     
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)   309,752            309,752 

 

Offsetting the Financial Liabilities and Derivative Liabilities

As of December 31, 2017              Gross Amounts Not Offset in the Statements of Financial Condition     
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                 

 

(1) The Partnership posted additional collateral of $2,304,821 for 2018 and $1,548,029 for 2017 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.

 

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

 

The Partnership participates in the speculative trading of commodity futures contracts, substantially all of which are subject to margin requirements. The minimum amount of margin required for each contract is set from time to time in response to various market factors by the respective exchanges 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.

 

 

 21 
 

 

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

NOTE 9 - INDEMNIFICATIONS

 

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

 

NOTE 10 - FINANCIAL HIGHLIGHTS

 

The following information presents the financial highlights of the Partnership for the three and six months ended June 30, 2018 and 2017. This information has been derived from information presented in the financial statements.

 

   Three Months ended June 30, 2018 
   Class A   Class B   Institutional Interest 
             
Total return for Limited Partners (3)               
Total return prior to incentive fees   4.09%    4.61%    4.83% 
Incentive fees   (0.01%)   0.00%    0.00% 
Total return after incentive fees   4.08%    4.61%    4.83% 
                
Ratio to average net asset value               
Expenses prior to incentive fees (2)   4.69%    2.69%    1.79% 
Incentive fees (3)   0.01%    0.00%    0.00% 
                
Total expenses   4.70%    2.69%    1.79% 
                
Net investment loss (1) (2)   (3.07%)   (1.06%)   (0.21%)

 

   Six Months ended June 30, 2018 
   Class A   Class B   Institutional Interest 
             
Total return for Limited Partners (3)               
Total return prior to incentive fees   (4.40%)   (3.45%)   (3.04%)
Incentive fees   (0.01%)   0.00%    0.00% 
Total return after incentive fees   (4.41%)   (3.45%)   (3.04%)
                
Ratio to average net asset value               
Expenses prior to incentive fees (2)   4.58%    2.61%    1.76% 
Incentive fees (3)   0.01%    0.00%    0.00% 
                
Total expenses   4.59%    2.61%    1.76% 
                
Net investment loss (1) (2)   (3.14%)   (1.16%)   (0.33%)

 

 

 

 22 
 

 

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

NOTE 10 -FINANCIAL HIGHLIGHTS (CONTINUED)

 

   Three Months ended June 30, 2017 
   Class A   Class B   Institutional Interest 
             
Total return for Limited Partners (3)               
Total return prior to incentive fees   (1.20%)   (0.71%)   (0.50%)
Incentive fees   0.00%    0.00%    0.00% 
Total return after incentive fees   (1.20%)   (0.71%)   (0.50%)
                
Ratio to average net asset value               
Expenses prior to incentive fees (2)   4.64%    2.58%    1.78% 
Incentive fees (3)   0.00%    0.00%    0.00% 
                
Total expenses   4.64%    2.58%    1.78% 
                
Net investment loss (1) (2)   (4.13%)   (2.08%)   (1.28%)

 

   Six Months ended June 30, 2017 
   Class A   Class B   Institutional Interest 
             
Total return for Limited Partners (3)               
Total return prior to incentive fees   5.17%    6.21%    6.64% 
Incentive fees   (2.12%)   (2.12%)   (2.19%)
Total return after incentive fees   3.05%    4.09%    4.45% 
                
Ratio to average net asset value               
Expenses prior to incentive fees (2)   4.59%    2.55%    1.80% 
Incentive fees (3)   2.01%    2.06%    1.78% 
                
Total expenses   6.60%    4.61%    3.58% 
                
Net investment loss (1) (2)   (4.17%)   (2.13%)   (1.35%)

 

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

 

Total return is calculated on a monthly compounded basis.

 

(1)Excludes incentive fee.
(2)Annualized.
(3)Not annualized.

 

 

 23 
 

 

ALTEGRIS QIM FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

NOTE 11 - SUBSEQUENT EVENTS

 

Management of the Partnership evaluated subsequent events through the date these financial statements were available to be issued, and concluded that no events subsequent to June 30, 2018 have occurred that would require recognition or disclosure, except as noted below.

 

From July 1, 2018 through August 10, 2018, the Partnership had subscriptions of $98,000 and redemptions of $562,465. Management has determined there are no additional matters requiring disclosure.

 

 

 

 

 

 

 

 

 

 

 

 

 

 24 
 

 

PART I – FINANCIAL INFORMATION (continued)

 

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

 

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

 

Liquidity

 

The Partnership’s assets are generally held as cash or cash equivalents, which are used to margin the Partnership’s futures positions and are sold to pay redemptions and expenses as needed. Other than any potential market-imposed limitations on liquidity, the Partnership’s assets are highly liquid and are expected to remain so. Market-imposed limitations, when they occur, can be due to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Partnership’s futures trading. A portion of the Partnership’s assets not used for margin and held with the Custodian are invested in liquid, high quality securities. Through June 30, 2018 the Partnership experienced no meaningful periods of illiquidity in any of the markets traded by the Advisor on behalf of the Partnership.

 

Capital Resources

 

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

 

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

 

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

 

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

 

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

 

Results of Operations

 

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

 

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

 

Performance Summary

 

Three Months Ended June 30, 2018

 

During the second quarter of 2018, the Partnership achieved net realized and unrealized gains of $1,332,191 from its trading activities, net of brokerage commissions of $104,527. The Partnership accrued total expenses of $282,132, including $84,466 in management fees paid to the General Partner, $1,384 in incentive fees, and $149,285 in service and professional fees. The Partnership earned $115,975 in interest income during the second quarter of 2018.  An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the second quarter of 2018 is set forth below.

 

 

 25 
 

 

Second Quarter 2018. The Partnership’s trading advisor, QIM believes that numerous small inefficiencies exist in financial markets that can be exploited through the prudent use of robust analysis and predictive technologies. The trading program currently employs several thousand quantitative trading models that utilize pattern recognition to predict short-term price movements in global futures markets. All models are tested across large data sets that expose them to a wide range of market, economic, and political environments, as well as a wide range of time frames and interactions. Only those models that prove to be the most robust, statistically significant, and conceptually diverse are used in actual trading. The resultant system of models offers what QIM believes to be reliable signals that guide market timing and trade allocation. Second quarter performance of the Partnership as a result of QIM’s trading program is as follows: The Partnership was modestly positive in April of 2018. Gains were driven solely by interest rate trading, which was the only positive performing sector. These gains were substantial enough to outperform losses from all other sectors. Each additional sector detracted slightly from performance. Currencies were the worst performing sector, followed closely by equities, energies, and metals to a lesser degree. The Partnership enjoyed positive returns in May of 2018. Gains were driven primarily by interest rate trading, which was significantly the best performing sector once again. Stock index trading was the worst performing sector, detracting the most from aggregate returns. Currencies and energies posted profits that contributed positively to performance. Metals were slightly negative, but did not meaningfully drag overall performance. The Partnership was positive in June of 2018. Profits were led by equities and energies which were the best performing sectors. Interest rate trading resulted in the most significant losses, giving back some of the gains earned earlier in the quarter. Positions in currencies produced favorable returns but were somewhat offset by moderately negative performance from the metals sector.   

 

Three Months Ended June 30, 2017

 

During the second quarter of 2017, the Partnership incurred net realized and unrealized losses of $60,497 from its trading activities, net of brokerage commissions of $122,408. The Partnership accrued total expenses of $316,193, including $98,650 in management fees paid to the General Partner, $0 in incentive fees, and $165,108 in service and professional fees. The Partnership earned $41,182 in interest income during the second quarter of 2017.  An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the second quarter of 2017 is set forth below.

 

Second Quarter 2017.  The Partnership was slightly negative for the month of April 2017. The worst performing sector was interest rates, followed by energies. The most profitable sector was stock indices with currencies and metals contributing positively. The Partnership sustained losses in early April from long positions in U.S. stock indices. Tensions with North Korea and Syria and the looming French presidential election were among the geopolitical risks overshadowing financial markets and fueling a move out of riskier assets. Despite these early losses in equity indices, the partnership continued to add to those long positions until the last week of the month. The results of the French election on April 23rd were seen as favorable to stability in the European Union. Global stock markets surged higher, pushing the equity sector into the black for the month. Negative performance in the interest rate sector persisted throughout the month. Initially, short German interest rate positions suffered as equity markets came under pressure. The Partnership reversed interest rate positions midmonth, which resulted in further losses as equity markets rallied into month end. Losses in the energy sector occurred late in the month as crude prices broke lower on bearish inventory data. The Partnership was also slightly negative for the month of May 2017. The worst performing sectors were interest rates and energies. The most profitable sectors were currencies and stock indices as well as metals making a positive contribution. The Partnership earned gains in early May with long stock index and short interest rate positions. As the month wore on, simmering political turmoil in the United States began to erode confidence in the ability of the current administration to focus on a meaningful legislative agenda. On May 17th, markets were jolted when a leaked FBI memo suggested that the President may have interfered with an investigation. The S&P suffered its worst day in eight months, while bonds surged higher on the news. Despite any resolution of the issue, the S&P bounced back, returning the stock index sector into the black by month end. As a result of the uncertainty throughout the month, the U.S. Dollar traded lower and the Partnership benefited from long foreign currency positions. Short crude oil positions were profitable early in the month on the lack of any meaningful cuts from OPEC; however, bullish inventory data reversed this trend, pushing the sector negative for the month. The Partnership was nearly flat for the month of June 2017. The best performing sector was currencies, followed by stock indices and metals. The worst performing sector were interest rates and energies. The Partnership produced positive returns through early June, driven by stock index positions and strategic positioning in gold on both the long and short sides. These early gains reversed midmonth when volatility in equity markets dramatically increased following a sharp sell-off in tech stocks. The turbulence in equity markets was then coupled with the FOMC’s decision on June 14th to hike the Fed Funds rate. These conditions, along with steadily declining energy markets, let to profits from short energy positions and losses from short U.S. and German interest rate positions through June 23rd. The final week of the month, the Partnership experience losses in stock index and energy positions, partially offset by gains in short U.S. interest rate positions and long Euro and Pound positions.

 

 

 26 
 

 

Six Months Ended June 30, 2018

 

During the six months ended June 30, 2018, the Partnership incurred net realized and unrealized losses of $992,378 from its trading activities, net of brokerage commissions of $217,516.  The Partnership accrued total expenses of $565,463, including $175,559 in management fees paid to the General Partner, $1,384 in incentive fees, and $302,474 in service and professional fees. The Partnership earned $211,242 in interest income during the six months ended June 30, 2018. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the six months ended June 30, 2018 is set forth below.

 

Second Quarter 2018. The Partnership’s trading advisor, QIM believes that numerous small inefficiencies exist in financial markets that can be exploited through the prudent use of robust analysis and predictive technologies. The trading program currently employs several thousand quantitative trading models that utilize pattern recognition to predict short-term price movements in global futures markets. All models are tested across large data sets that expose them to a wide range of market, economic, and political environments, as well as a wide range of time frames and interactions. Only those models that prove to be the most robust, statistically significant, and conceptually diverse are used in actual trading. The resultant system of models offers what QIM believes to be reliable signals that guide market timing and trade allocation. Second quarter performance of the Partnership as a result of QIM’s trading program is as follows: The Partnership was modestly positive in April of 2018. Gains were driven solely by interest rate trading, which was the only positive performing sector. These gains were substantial enough to outperform losses from all other sectors. Each additional sector detracted slightly from performance. Currencies were the worst performing sector, followed closely by equities, energies, and metals to a lesser degree. The Partnership enjoyed positive returns in May of 2018. Gains were driven primarily by interest rate trading, which was significantly the best performing sector once again. Stock index trading was the worst performing sector, detracting the most from aggregate returns. Currencies and energies posted profits that contributed positively to performance. Metals were slightly negative, but did not meaningfully drag overall performance. The Partnership was positive in June of 2018. Profits were led by equities and energies which were the best performing sectors. Interest rate trading resulted in the most significant losses, giving back some of the gains earned earlier in the quarter. Positions in currencies produced favorable returns but were somewhat offset by moderately negative performance from the metals sector.

 

First Quarter 2018. The Partnership’s trading advisor, QIM believes that numerous small inefficiencies exist in financial markets that can be exploited through the prudent use of robust analysis and predictive technologies. The trading program currently employs several thousand quantitative trading models that utilize pattern recognition to predict short-term price movements in global futures markets. All models are tested across large data sets that expose them to a wide range of market, economic, and political environments, as well as a wide range of time frames and interactions. Only those models that prove to be the most robust, statistically significant, and conceptually diverse are used in actual trading. The resultant system of models offers what QIM believes to be reliable signals that guide market timing and trade allocation. First quarter performance of the Partnership as a result of QIM’s trading program is as follows: The Partnership was negative in January of 2018. Losses were driven primarily by the stock index sector, which was the worst performing sector. Losses from stock indices were somewhat offset by results from the other sectors; however the offsetting performance was insufficient in creating cumulative positive returns. Currencies were the best performing sector, closely followed by metals. Interest rate trading contributed positively to performance ahead of energies which were also positive to a lesser degree. The Partnership suffered losses for the month of February 2018. Losses were driven primarily by the stock index sector, which was significantly the worst performing sector. Currencies were the next underperforming sector detracting from returns, followed by metals which were only slightly negative. Interest rate performance was mixed, and exposures to energy contracts produced insignificant gains that were close to flat. The Partnership enjoyed positive returns for the month of March 2018. Profits were driven primarily by the stock index sector, which was the best performing sector followed by energies. Gains from stock index and energy trading were partially offset by losses in the interest rate sector, which was the worst performing sector. Currencies were mixed, and positions in the metals sector contributed minimal gains.

 

Six Months Ended June 30, 2017

 

During the six months ended June 30, 2017, the Partnership achieved net realized and unrealized gains of $2,184,951 from its trading activities, net of brokerage commissions of $239,527. The Partnership accrued total expenses of $1,246,137, including $193,593 in management fees paid to the General Partner, $634,174 in incentive fees, and $325,736 in service and professional fees. The Partnership earned $66,441 in interest income during the six months ended June 30, 2017. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the six months ended June 30, 2017 is set forth below.

 

 

 

 27 
 

 

Second Quarter 2017.  The Partnership was slightly negative for the month of April 2017. The worst performing sector was interest rates, followed by energies. The most profitable sector was stock indices with currencies and metals contributing positively. The Partnership sustained losses in early April from long positions in U.S. stock indices. Tensions with North Korea and Syria and the looming French presidential election were among the geopolitical risks overshadowing financial markets and fueling a move out of riskier assets. Despite these early losses in equity indices, the partnership continued to add to those long positions until the last week of the month. The results of the French election on April 23rd were seen as favorable to stability in the European Union. Global stock markets surged higher, pushing the equity sector into the black for the month. Negative performance in the interest rate sector persisted throughout the month. Initially, short German interest rate positions suffered as equity markets came under pressure. The Partnership reversed interest rate positions midmonth, which resulted in further losses as equity markets rallied into month end. Losses in the energy sector occurred late in the month as crude prices broke lower on bearish inventory data. The Partnership was also slightly negative for the month of May 2017. The worst performing sectors were interest rates and energies. The most profitable sectors were currencies and stock indices as well as metals making a positive contribution. The Partnership earned gains in early May with long stock index and short interest rate positions. As the month wore on, simmering political turmoil in the United States began to erode confidence in the ability of the current administration to focus on a meaningful legislative agenda. On May 17th, markets were jolted when a leaked FBI memo suggested that the President may have interfered with an investigation. The S&P suffered its worst day in eight months, while bonds surged higher on the news. Despite any resolution of the issue, the S&P bounced back, returning the stock index sector into the black by month end. As a result of the uncertainty throughout the month, the U.S. Dollar traded lower and the Partnership benefited from long foreign currency positions. Short crude oil positions were profitable early in the month on the lack of any meaningful cuts from OPEC; however, bullish inventory data reversed this trend, pushing the sector negative for the month. The Partnership was nearly flat for the month of June 2017. The best performing sector was currencies, followed by stock indices and metals. The worst performing sector were interest rates and energies. The Partnership produced positive returns through early June, driven by stock index positions and strategic positioning in gold on both the long and short sides. These early gains reversed midmonth when volatility in equity markets dramatically increased following a sharp sell-off in tech stocks. The turbulence in equity markets was then coupled with the FOMC’s decision on June 14th to hike the Fed Funds rate. These conditions, along with steadily declining energy markets, let to profits from short energy positions and losses from short U.S. and German interest rate positions through June 23rd. The final week of the month, the Partnership experience losses in stock index and energy positions, partially offset by gains in short U.S. interest rate positions and long Euro and Pound positions.

 

First Quarter 2017.  The Partnership enjoyed net positive performance for the month of January 2017, driven primarily by stock indices, with interest rates and metals contributing modestly. Energies were the worst performing sector and currencies also experienced negative return. As equity prices rebounded from a late December slump, the Partnership’s long equity positions generated strong performance early in January. The Partnership remained net long throughout most of the month as equity markets reached new highs and the Dow broke through the 20,000 level for the first time. The Partnership reversed to short and earned additional gains when markets sold off into month end. After initially sustaining losses on long interest rate positions, the Partnership went short midmonth. A hawkish speech by Federal Reserve Chair Janet Yellen on January 18th led to a selloff in interest rate futures, turning the sector positive for the month. The bulk of the energy sector’s underperformance occurred early in January when short crude oil positions took a hit on record export numbers out of Iraq, which raised concerns about the stability of OPEC’s production agreement. In February 2017, the Partnership experienced a slightly positive net performance gain, driven by gains in interest rates and currencies. The worst performing sector was stock indices, followed by metals and energies. February began with uncertainty, as short U.S. and European stock index positions suffered as markets ground higher on relatively low volatility and little news. The Partnership reversed to long midmonth, which tempered losses as stock indices continued to rise. The Partnership fared much better in the interest rate sector. Initially long U.S. Treasuries, the Partnership reversed in time to benefit from declining rates through the middle of February. These gains were partially offset by a growing long position in European interest rates. Bonds reached their monthly low on the 15th but traded higher into month end, which resulted in profits as European interest rates had become the Partnership’s largest position. End-of-month gains in the sector were driven by the Euro-Bund. For March 2017, the Partnership again ended the month with slightly positive performance, driven by stock indices, metals and currencies, and with interests rates and energies detracting from overall performance. The Partnership initially experienced strong performance as U.S. stock indices surged to all-time highs on the first day of the month. Equity markets then edged lower on concerns of the upcoming presidential election in France and the debate over health care reform in the United States. The Partnership reduced its long positions throughout the month, going net short for a brief period before going long again ahead of a vote in Congress regarding U.S. health care. Initially trading lower on disappointment from Congress’ failure to pass health care legislation, stock indices shrugged off the news and traded higher into month end. Profits in long U.S. and European stock indices were offset in part by losses in long European interest rates. The Partnership reversed interest rate positions midmonth, racking up losses on short European positions as markets traded higher in the second half of March. To its benefit, the Partnership shifted its U.S. interest rate positions from short to long during the month, which limited losses for the sector overall.

 

 

 28 
 

 

Off-Balance Sheet Arrangements

 

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

 

Item 3:  Quantitative and Qualitative Disclosures About Market Risk.

 

Not required.

 

Item 4:  Controls and Procedures.

 

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

 

PART II – OTHER INFORMATION

 

Item 1:  Legal Proceedings.

 

None.

 

Item 1A:  Risk Factors.

 

Not required.

 

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

 

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

 

(b) Not applicable.

 

(c) Limited Partners may redeem some or all of their Interest in the Partnership as of the end of any calendar month upon fifteen (15) days’ prior written notice to the General Partner. The Partnership may declare additional redemption dates upon notice to the Limited Partners.  The redemption by a Limited Partner has no impact on the value of the capital accounts of the remaining Limited Partners. The following table summarizes the redemptions by Limited Partners during the second calendar quarter of 2018:

 

Month  Amount Redeemed 
April 30, 2018  $1,195,597 
May 31, 2018  $211,427 
June 30, 2018  $1,144,362 

 

Item 3:  Defaults Upon Senior Securities.

 

(a) None.

 

(b) None.

 

 

Item 4:  Mine Safety Disclosure.

 

Not applicable.

 

Item 5:  Other Information.

 

(a) None.

 

(b) Not applicable.

 

 

 

 29 
 

 

Item 6:  Exhibits.

 

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

 

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

 

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

 

Exhibit Number Description of Document
3.01 Amendment to the Certificate of Formation of APM – QIM Futures Fund, L.P., changing the registrant’s name to Altegris QIM Futures Fund, L.P.

 

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

 

Exhibit Number Description of Document
4.1 Second Amended and Restated Agreement of Limited Partnership of Altegris QIM Futures Fund, L.P.

 

The following exhibits are included herewith.

 

Exhibit Number Description of Document
31.1 Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer
31.2 Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer
32 Section 1350 Certificationof Principal Executive Officer and Principal Financial Officer

 

 

 

 

 

 30 
 

 

SIGNATURES

 

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

 

Dated: August 13, 2018

 

ALTEGRIS QIM FUTURES FUND, L.P.

 

By:  ALTEGRIS ADVISORS, L.L.C.,
    its general partner

 

 

/s/ Martin Beaulieu                                                     

 
Martin Beaulieu, Principal Executive Officer and Principal Financial Officer  

 

 

 

 

 

 

 

 

 31 

 

EX-31.1 2 altegrisqim_10q-ex3101.htm CERTIFICATION

Exhibit 31.1

 

RULE 13a-14(a)/15d-14(a)

CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER

 

I, Martin Beaulieu, certify that:

 

1.  I have reviewed this quarterly report on Form 10-Q of Altegris QIM Futures Fund, L.P.;

 

2.  Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3.  Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

 

4.  The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

 

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

 

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the Partnership’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5.  The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

 

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date: August 13, 2018

 

 

/s/ Martin Beaulieu                                                     

Martin Beaulieu

Principal Executive Officer and Principal Financial Officer

Altegris Advisors, L.L.C.

General Partner of Altegris QIM Futures Fund, L.P.

 

EX-31.2 3 altegrisqim_10q-ex3102.htm CERTIFICATION

Exhibit 31.2

 

RULE 13a-14(a)/15d-14(a)

CERTIFICATION OF PRINCIPAL FINANCIAL OFFICER

 

I, Martin Beaulieu, certify that:

 

1.  I have reviewed this quarterly report on Form 10-Q of Altegris QIM Futures Fund, L.P.;

 

2.  Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3.  Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

 

4.  The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

 

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

 

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the Partnership’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5.  The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

 

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date: August 13, 2018

 

 

/s/ Martin Beaulieu                                              

Martin Beaulieu

Principal Executive Officer and Principal Financial Officer

Altegris Advisors, L.L.C.

General Partner of Altegris QIM Futures Fund, L.P.

 

 

EX-32 4 altegrisqim_10q-ex32.htm CERTIFICATION

Exhibit 32

 

CERTIFICATION

PURSUANT TO

SECTION 1350 OF CHAPTER 63 OF TITLE 18 OF THE UNITED STATES CODE

 

I, Martin Beaulieu, the Principal Executive Officer of Altegris Advisors, L.L.C., the General Partner of Altegris QIM Futures Fund, L.P. (the “Partnership”), certify that (i) the Quarterly Report of the Partnership on Form 10-Q for the period ending June 30, 2018 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 and (ii) the information contained in such Quarterly Report fairly presents, in all material respects, the financial condition and results of operations of the Partnership.

 

 

Date: August 13, 2018

 

 

/s/ Martin Beaulieu                                                     

Martin Beaulieu

Principal Executive Officer and Principal Financial Officer

Altegris Advisors, L.L.C.

General Partner of Altegris QIM Futures Fund, L.P.

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Document and Entity Information
6 Months Ended
Jun. 30, 2018
USD ($)
shares
Document And Entity Information  
Entity Registrant Name Altegris QIM Futures Fund, L.P.
Entity Central Index Key 0001469317
Document Type 10-Q
Document Period End Date Jun. 30, 2018
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 Q2
Document Fiscal Year Focus 2018
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STATEMENTS OF FINANCIAL CONDITION (Unaudited) - USD ($)
Jun. 30, 2018
Dec. 31, 2017
Assets: Equity in commodity broker account:    
Cash $ 2,769,546 $ 921,512
Restricted Cash 1,153,162 859,249
Restricted foreign currency (cost - $1,151,712 and $693,564) 1,151,659 688,780
Net unrealized gain on open futures contracts 25,036 309,752
Settled variation margin 493,532 106,499
Total equity in commodity broker account 5,592,935 2,885,792
Cash 291,874 6,312,140
Investment securities at fair value (cost - $23,582,864 and $23,396,557) 23,582,855 23,396,654
Interest receivable 2,573 1,157
Total assets 29,470,237 32,595,743
Liabilities: Equity in commodity broker account:    
Foreign currency due to broker (proceeds - $998,212 and $691,361) 998,166 686,592
Redemptions payable 1,144,362 203,427
Subscriptions received in advance 100,000 57,000
Service fees payable 40,797 42,515
Management fee payable 28,365 31,503
Brokerage Commissions payable 22,367 17,374
Administrative fee payable 7,154 7,902
Incentive fees payable 1,384 68,985
Other liabilities 104,687 130,243
Total liabilities 2,447,282 1,245,541
PARTNERS' CAPITAL (NET ASSET VALUE)    
General Partner 901 942
Limited Partners 27,022,054 31,349,260
Total partners' capital (Net Asset Value) 27,022,955 31,350,202
Total liabilities and partners' capital $ 29,470,237 $ 32,595,743
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STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($)
Jun. 30, 2018
Dec. 31, 2017
Statement of Financial Position [Abstract]    
Cost of restricted foreign currency $ 1,151,712 $ 693,564
Investment securities at cost 23,582,864 23,396,557
Proceeds of foreign currency liabilities in commodity broker account $ 998,212 $ 691,361
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CONDENSED SCHEDULE OF INVESTMENTS - Fixed Income Investments (Unaudited) - USD ($)
6 Months Ended 12 Months Ended
Jun. 30, 2018
Dec. 31, 2017
Fair Value $ 23,582,855 $ 23,396,654
At Cost 23,582,864 23,396,557
Fixed Income Investments [Member]    
Fair Value $ 23,582,855 $ 23,396,654
% of Partners Capital 87.27% 74.63%
At Cost $ 23,582,864 $ 23,396,557
Fixed Income Investments [Member] | US Government Agency Bonds and Notes [Member]    
Fair Value $ 15,027,313  
% of Partners Capital 55.61%  
At Cost $ 15,026,875  
Fixed Income Investments [Member] | US Government Agency Bonds and Notes [Member] | Federal Home Loan Bank Disc Note, 0.00% [Member]    
Face Value 3,000,000  
Fair Value $ 3,000,000  
% of Partners Capital 11.10%  
Maturity Date Jul. 02, 2018  
Interest Rate/Yield 0.00%  
Fixed Income Investments [Member] | US Government Agency Bonds and Notes [Member] | Federal Home Loan Bank Disc Note, 1.69% [Member]    
Face Value $ 3,000,000  
Fair Value $ 2,997,195  
% of Partners Capital 11.09%  
Maturity Date Jul. 20, 2018  
Interest Rate/Yield 1.69%  
Fixed Income Investments [Member] | US Government Agency Bonds and Notes [Member] | Federal Home Loan Bank Disc Note, 1.72% [Member]    
Face Value $ 3,000,000  
Fair Value $ 2,996,415  
% of Partners Capital 11.09%  
Maturity Date Jul. 25, 2018  
Interest Rate/Yield 1.72%  
Fixed Income Investments [Member] | US Government Agency Bonds and Notes [Member] | Federal Home Loan Mortgage Corp Disc Note, 2.66% [Member]    
Face Value $ 6,034,000  
Fair Value $ 6,033,703  
% of Partners Capital 22.33%  
Maturity Date Jul. 02, 2018  
Interest Rate/Yield 2.66%  
Fixed Income Investments [Member] | Corporate Notes [Member]    
Fair Value $ 8,555,542 $ 7,965,246
% of Partners Capital 31.66% 25.41%
At Cost $ 8,555,989 $ 7,965,181
Fixed Income Investments [Member] | Corporate Notes [Member] | Banco del Estado de Chile, 1.91% [Member]    
Face Value 300,000  
Fair Value $ 299,984  
% of Partners Capital 1.11%  
Maturity Date Jul. 02, 2018  
Interest Rate/Yield 1.91%  
Fixed Income Investments [Member] | Corporate Notes [Member] | Banco del Estado de Chile, 1.97% [Member]    
Face Value $ 706,000  
Fair Value $ 706,004  
% of Partners Capital 2.61%  
Maturity Date Jul. 13, 2018  
Interest Rate/Yield 1.97%  
Fixed Income Investments [Member] | Corporate Notes [Member] | Bank of Montreal, 2.05% [Member]    
Face Value $ 707,000  
Fair Value $ 706,437  
% of Partners Capital 2.62%  
Maturity Date Jul. 13, 2018  
Interest Rate/Yield 2.05%  
Fixed Income Investments [Member] | Corporate Notes [Member] | Canadian Imperial Holdings, Inc., 1.95% [Member]    
Face Value $ 707,000  
Fair Value $ 706,464  
% of Partners Capital 2.62%  
Maturity Date Jul. 13, 2018  
Interest Rate/Yield 1.95%  
Fixed Income Investments [Member] | Corporate Notes [Member] | Cedar Springs Capital Company LLC, 2.03% [Member]    
Face Value $ 1,000,000  
Fair Value $ 999,944  
% of Partners Capital 3.70%  
Maturity Date Jul. 02, 2018  
Interest Rate/Yield 2.03%  
Fixed Income Investments [Member] | Corporate Notes [Member] | DCAT, LLC, 2.05% [Member]    
Face Value $ 250,000  
Fair Value $ 249,628  
% of Partners Capital 0.92%  
Maturity Date Jul. 25, 2018  
Interest Rate/Yield 2.05%  
Fixed Income Investments [Member] | Corporate Notes [Member] | Exxon Mobil Corp Disc Note, 1.90% [Member]    
Face Value $ 708,000  
Fair Value $ 707,851  
% of Partners Capital 2.62%  
Maturity Date Jul. 03, 2018  
Interest Rate/Yield 1.90%  
Fixed Income Investments [Member] | Corporate Notes [Member] | General Electric Company, 1.91% [Member]    
Face Value $ 470,000  
Fair Value $ 469,851  
% of Partners Capital 1.74%  
Maturity Date Jul. 05, 2018  
Interest Rate/Yield 1.91%  
Fixed Income Investments [Member] | Corporate Notes [Member] | Intercontinental Exchange, Inc., 2.35% [Member]    
Face Value $ 250,000  
Fair Value $ 249,676  
% of Partners Capital 0.92%  
Maturity Date Jul. 24, 2018  
Interest Rate/Yield 2.35%  
Fixed Income Investments [Member] | Corporate Notes [Member] | MetLife Short Term Funding LLC, 2.01% [Member]    
Face Value $ 705,000  
Fair Value $ 704,332  
% of Partners Capital 2.61%  
Maturity Date Jul. 16, 2018  
Interest Rate/Yield 2.01%  
Fixed Income Investments [Member] | Corporate Notes [Member] | PACCAR Financial Corporation, 1.96% [Member]    
Face Value $ 707,000  
Fair Value $ 706,346  
% of Partners Capital 2.61%  
Maturity Date Jul. 16, 2018  
Interest Rate/Yield 1.96%  
Fixed Income Investments [Member] | Corporate Notes [Member] | Sumitomo Mitsui Banking Corporation, 1.90% [Member]    
Face Value $ 708,000  
Fair Value $ 707,998  
% of Partners Capital 2.62%  
Maturity Date Jul. 03, 2018  
Interest Rate/Yield 1.90%  
Fixed Income Investments [Member] | Corporate Notes [Member] | Sumitomo Mitsui Trust Bank Ltd., 1.95% [Member]    
Face Value $ 470,000  
Fair Value $ 470,001  
% of Partners Capital 1.74%  
Maturity Date Jul. 06, 2018  
Interest Rate/Yield 1.95%  
Fixed Income Investments [Member] | Corporate Notes [Member] | The Chiba Bank Ltd., 2.15% [Member]    
Face Value $ 471,000  
Fair Value $ 471,047  
% of Partners Capital 1.74%  
Maturity Date Jul. 20, 2018  
Interest Rate/Yield 2.15%  
Fixed Income Investments [Member] | Corporate Notes [Member] | Victory Receivables Corporation, 1.94% [Member]    
Face Value $ 400,000  
Fair Value $ 399,979  
% of Partners Capital 1.48%  
Maturity Date Jul. 02, 2018  
Interest Rate/Yield 1.94%  
Fixed Income Investments [Member] | Corporate Notes [Member] | American Honda Finance Corporation, 1.43% [Member]    
Face Value   700,000
Fair 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% [Member]    
Face Value   $ 701,000
Fair Value   $ 701,000
% of Partners Capital   2.24%
Maturity Date   Jan. 26, 2018
Interest Rate/Yield   1.55%
Fixed Income Investments [Member] | Corporate Notes [Member] | Bank of Montreal, 1.50% [Member]    
Face Value   $ 700,000
Fair Value   $ 699,271
% of Partners Capital   2.23%
Maturity Date   Jan. 26, 2018
Interest Rate/Yield   1.50%
Fixed Income Investments [Member] | Corporate Notes [Member] | Canadian Imperial Holdings, Inc., 1.48% [Member]    
Face Value   $ 701,000
Fair Value   $ 700,279
% of Partners Capital   2.23%
Maturity Date   Jan. 26, 2018
Interest Rate/Yield   1.48%
Fixed Income Investments [Member] | Corporate Notes [Member] | The Coca-Cola Company, 1.32% [Member]    
Face Value   $ 700,000
Fair 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
Fair Value   $ 234,868
% of Partners Capital   0.75%
Maturity Date   Oct. 01, 2018
Interest Rate/Yield   1.68%
Fixed Income Investments [Member] | Corporate Notes [Member] | MetLife Short Term Funding LLC, 1.41% [Member]    
Face Value   $ 700,000
Fair Value   $ 699,601
% of Partners Capital   2.23%
Maturity Date   Jan. 12, 2018
Interest Rate/Yield   1.41%
Fixed Income Investments [Member] | Corporate Notes [Member] | National Rural Utilities Cooperation, 1.62% [Member]    
Face Value   $ 465,000
Fair 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 Corportion, 1.48% [Member]    
Face Value   $ 700,000
Fair Value   $ 699,682
% of Partners Capital   2.23%
Maturity Date   Sep. 01, 2018
Interest Rate/Yield   1.48%
Fixed Income Investments [Member] | Corporate Notes [Member] | Sumitomo Mitsui Banking Corporation, 1.37% [Member]    
Face Value   $ 700,000
Fair Value   $ 699,984
% of Partners Capital   2.23%
Maturity Date   Jan. 05, 2018
Interest Rate/Yield   1.37%
Fixed Income Investments [Member] | Corporate Notes [Member] | Sumitomo Mitsui Trust Bank Ltd., 1.37% [Member]    
Face Value   $ 467,000
Fair Value   $ 466,989
% of Partners Capital   1.50%
Maturity Date   Jan. 05, 2018
Interest Rate/Yield   1.37%
Fixed Income Investments [Member] | Corporate Notes [Member] | 3M Company, 1.49% [Member]    
Face Value   $ 250,000
Fair Value   $ 249,902
% of Partners Capital   0.80%
Maturity Date   Jan. 08, 2018
Interest Rate/Yield   1.49%
Fixed Income Investments [Member] | Corporate Notes [Member] | Wal-Mart Stores, Inc., 1.24% [Member]    
Face Value   $ 950,000
Fair Value   $ 949,851
% of Partners Capital   3.03%
Maturity Date   Jan. 02, 2018
Interest Rate/Yield   1.24%
Fixed Income Investments [Member] | U.S. Government Agency Bonds and Notes [Member]    
Fair Value   $ 15,431,408
% of Partners Capital   49.22%
At Cost   $ 15,431,376
Fixed Income Investments [Member] | U.S. Government Agency Bonds and Notes [Member] | Federal Farm Credit Bank Disc Note, 0.00% [Member]    
Face Value   12,932,000
Fair Value   $ 12,931,623
% of Partners Capital   41.25%
Maturity Date   Jan. 02, 2018
Interest Rate/Yield   0.00%
Fixed Income Investments [Member] | U.S. Government Agency Bonds and Notes [Member] | Federal Home Loan Bank Disc Note, 0.00% [Member]    
Face Value   $ 1,500,000
Fair Value   $ 1,500,000
% of Partners Capital   4.78%
Maturity Date   Jan. 02, 2018
Interest Rate/Yield   0.00%
Fixed Income Investments [Member] | U.S. Government Agency Bonds and Notes [Member] | Federal Home Loan Bank Disc Note, 0.99% [Member]    
Face Value   $ 1,000,000
Fair Value   $ 999,785
% of Partners Capital   3.19%
Maturity Date   Jan. 08, 2018
Interest Rate/Yield   0.99%
XML 15 R5.htm IDEA: XBRL DOCUMENT v3.10.0.1
CONDENSED SCHEDULE OF INVESTMENTS - Futures Contracts
6 Months Ended 12 Months Ended
Jun. 30, 2018
USD ($)
NumberOfContracts
Dec. 31, 2017
USD ($)
NumberOfContracts
Fair Value $ 23,582,855 $ 23,396,654
Futures Contracts [Member]    
Fair Value $ 518,568 $ 416,251
% of Partners Capital 1.92% 1.33%
Futures Contracts [Member] | Long Futures Contracts [Member]    
Number of Contracts | NumberOfContracts 361 605
Fair Value $ 250,813 $ 420,251
% of Partners Capital 0.93% 1.34%
Futures Contracts [Member] | Long Futures Contracts [Member] | Currencies [Member]    
Number of Contracts | NumberOfContracts 45 81
Fair Value $ 23,024 $ 96,610
% of Partners Capital 0.09% 0.31%
Expiration Dates Sep. 30, 2018 Mar. 31, 2018
Futures Contracts [Member] | Long Futures Contracts [Member] | Energy [Member]    
Number of Contracts | NumberOfContracts 51  
Fair Value $ 353,393  
% of Partners Capital 1.31%  
Expiration Dates Jul. 31, 2018  
Futures Contracts [Member] | Long Futures Contracts [Member] | Interest Rates [Member]    
Number of Contracts | NumberOfContracts 62 36
Fair Value $ 39,354 $ (55,415)
% of Partners Capital 0.15% (0.18%)
Expiration Dates Sep. 30, 2018 Mar. 31, 2018
Futures Contracts [Member] | Long Futures Contracts [Member] | Metals [Member]    
Number of Contracts | NumberOfContracts 24 83
Fair Value $ (55,208) $ 316,177
% of Partners Capital (0.20%) 1.01%
Expiration Dates, Lower Range   Feb. 01, 2018
Expiration Dates, Upper Range   Mar. 31, 2018
Expiration Dates Aug. 31, 2018  
Futures Contracts [Member] | Long Futures Contracts [Member] | Stock Indices [Member]    
Number of Contracts | NumberOfContracts 179 96
Fair Value $ (109,750) $ (5,279)
% of Partners Capital (0.42%) (0.02%)
Expiration Dates, Lower Range Jul. 01, 2018 Jan. 01, 2018
Expiration Dates, Upper Range Sep. 30, 2018 Mar. 31, 2018
Futures Contracts [Member] | Long Futures Contracts [Member] | Treasury Rates [Member]    
Number of Contracts | NumberOfContracts   309
Fair Value   $ 68,158
% of Partners Capital   0.22%
Expiration Dates   Mar. 31, 2018
Futures Contracts [Member] | Short Futures Contracts [Member]    
Number of Contracts | NumberOfContracts 505 287
Fair Value $ 267,755 $ (4,000)
% of Partners Capital 0.99% (0.01%)
Futures Contracts [Member] | Short Futures Contracts [Member] | Currencies [Member]    
Number of Contracts | NumberOfContracts 30 27
Fair Value $ 28,570 $ (13,379)
% of Partners Capital 0.11% (0.04%)
Expiration Dates Sep. 30, 2018 Mar. 31, 2018
Futures Contracts [Member] | Short Futures Contracts [Member] | Energy [Member]    
Number of Contracts | NumberOfContracts 3 33
Fair Value $ (316) $ (44,184)
% of Partners Capital 0.00% (0.14%)
Expiration Dates Jul. 31, 2018 Jan. 31, 2018
Futures Contracts [Member] | Short Futures Contracts [Member] | Interest Rates [Member]    
Number of Contracts | NumberOfContracts 10 182
Fair Value $ 7,077 $ 22,773
% of Partners Capital 0.03% 0.07%
Expiration Dates Sep. 30, 2018 Mar. 31, 2018
Futures Contracts [Member] | Short Futures Contracts [Member] | Metals [Member]    
Number of Contracts | NumberOfContracts 32  
Fair Value $ 33,607  
% of Partners Capital 0.12%  
Expiration Dates Sep. 30, 2018  
Futures Contracts [Member] | Short Futures Contracts [Member] | Stock Indices [Member]    
Number of Contracts | NumberOfContracts 193 45
Fair Value $ 322,701 $ 30,790
% of Partners Capital 1.19% 0.10%
Expiration Dates, Lower Range Jul. 01, 2018  
Expiration Dates, Upper Range Sep. 30, 2018  
Expiration Dates   Mar. 31, 2018
Futures Contracts [Member] | Short Futures Contracts [Member] | Treasury Rates [Member]    
Number of Contracts | NumberOfContracts 237  
Fair Value $ (123,884)  
% of Partners Capital (0.46%)  
Expiration Dates Sep. 30, 2018  
XML 16 R6.htm IDEA: XBRL DOCUMENT v3.10.0.1
STATEMENTS OF INCOME (LOSS) (Unaudited) - USD ($)
3 Months Ended 6 Months Ended
Jun. 30, 2018
Jun. 30, 2017
Jun. 30, 2018
Jun. 30, 2017
Gain (loss) on trading of futures        
Net realized $ 661,772 $ 78,032 $ (865,306) $ 2,820,985
Net change in unrealized 779,759 (19,594) 102,317 (410,177)
Brokerage Commissions (104,527) (122,408) (217,516) (239,527)
Net gain (loss) from trading futures 1,337,004 (63,970) (980,505) 2,171,281
Gain (loss) on trading of securities        
Net realized 85 12,875 85 26,014
Net change in unrealized 495 140 (106) (419)
Net gain (loss) from trading securities 580 13,015 (21) 25,595
Gain (loss) on trading of foreign currency        
Net realized (5,451) (9,126) (11,860) (12,428)
Net change in unrealized 58 (416) 8 503
Net gain (loss) from trading foreign currency (5,393) (9,542) (11,852) (11,925)
Total trading gain (loss) 1,332,191 (60,497) (992,378) 2,184,951
Income        
Interest income 115,975 41,182 211,242 66,441
Expenses        
Service fees 95,582 109,388 193,553 216,314
Management fee 84,466 98,650 175,559 193,593
Professional fees 53,703 55,720 108,921 109,422
Administrative fee 21,253 24,714 44,088 48,727
Out of pocket fees 6,600 7,500 13,200 15,000
Interest expense 3,977 3,636 9,066 8,154
Incentive fees 1,384 0 1,384 634,174
Other expenses 15,167 16,585 19,692 20,753
Total expenses 282,132 316,193 565,463 1,246,137
Net investment income (loss) (166,157) (275,011) (354,221) (1,179,696)
NET INCOME (LOSS) $ 1,166,034 $ (335,508) $ (1,346,599) $ 1,005,255
XML 17 R7.htm IDEA: XBRL DOCUMENT v3.10.0.1
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE) (Unaudited) - USD ($)
Total
Class A [Member]
Class B [Member]
Institutional Interests [Member]
General Partner [Member]
Balances at Dec. 31, 2016 $ 29,444,464 $ 20,121,489 $ 7,648,087 $ 1,673,974 $ 914
Capital additions 2,996,808 1,846,808 225,000 925,000 0
Capital withdrawals (1,247,429) (807,557) (439,872) 0 0
Net investment gain (loss) (1,179,696) (874,749) (248,345) (56,563) (39)
Net realized gain (loss) from investments (net of brokerage commissions) 2,595,044 1,751,087 663,244 180,634 79
Net change in unrealized gain (loss) from investments (410,093) (267,965) (97,972) (44,144) (12)
Net income (loss) 1,005,255 608,373 316,927 79,927 28
Balances at Jun. 30, 2017 32,199,098 21,769,113 7,750,142 2,678,901 942
Balances at Dec. 31, 2017 31,350,202 21,086,218 7,726,323 2,536,719 942
Capital additions 479,679 335,441 144,238 0 0
Capital withdrawals (3,460,327) (1,952,963) (610,200) (897,164) 0
Net investment gain (loss) (354,221) (308,527) (41,885) (3,795) (14)
Net realized gain (loss) from investments (net of brokerage commissions) (1,094,597) (734,085) (265,967) (94,514) (31)
Net change in unrealized gain (loss) from investments 102,219 71,192 25,939 5,084 4
Net income (loss) (1,346,599) (971,420) (281,913) (93,225) (41)
Balances at Jun. 30, 2018 $ 27,022,955 $ 18,497,276 $ 6,978,448 $ 1,546,330 $ 901
XML 18 R8.htm IDEA: XBRL DOCUMENT v3.10.0.1
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
6 Months Ended
Jun. 30, 2018
Organization, Consolidation and Presentation of Financial Statements [Abstract]  
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

 

A. General Description of the Partnership

 

Altegris QIM Futures Fund, L.P. (“Partnership”) was organized as a Delaware limited partnership in June 2009. The Partnership's general partner is Altegris Advisors, L.L.C. (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 June 30, 2018 and December 31, 2017, and reported amounts of income and expenses for the three and six months ended June 30, 2018 and 2017, respectively. Management believes that the estimates utilized in preparing the Partnership’s financial statements are reasonable; however, actual results could differ from these estimates and it is reasonably possible that the differences could be material.

 

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

 

C. Fair Value

 

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

 

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.

 

When available, the fair value of U.S. government agency bonds and notes is 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 June 30, 2018 and December 31, 2017, 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 June 30, 2018 and December 31, 2017, 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 six month period ended June 30, 2018 and the year ended December 31, 2017.

 

The following table presents information about the Partnership’s assets and liabilities measured at fair value as of June 30, 2018 and December 31, 2017:

 

June 30, 2018   Level 1     Level 2     Level 3     Balance as of June 30, 2018  
                         
Assets                                
                                 
Futures contracts (1)   $ 813,849     $     $     $ 813,849  
U.S. Government agency bonds and notes           15,027,313             15,027,313  
Corporate notes           8,555,542             8,555,542  
                                 
Total Assets   $ 813,849     $ 23,582,855     $     $ 24,396,704  
                                 
Liabilities                                
                                 
Futures contracts (1)   $ (295,281 )   $     $     $ (295,281 )

 

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 )

 

(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 period ended June 30, 2018 and the year ended December 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities. For the six month period ended June 30, 2018 and the year ended December 31, 2017, 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 June 30, 2018 and December 31, 2017, the Partnership’s restricted cash balance on the Statements of Financial Condition of $1,153,162 and $859,249, respectively, represents the collateral pledged by the Partnership to satisfy the Clearing Broker’s margin requirements in US Dollars. As of June 30, 2018 and December 31, 2017, the Partnership’s restricted foreign currency balance on the Statements of Financial Condition of $1,151,659 and $688,780, 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 June 30, 2018 and December 31, 2017 are reflected within the Condensed Schedules of Investments.

 

F. Foreign Currency Transactions

 

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

 

G. Cash

 

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 June 30, 2018 or December 31, 2017. 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 June 30, 2018 and December 31, 2017 or for the three and six months ended June 30, 2018 and 2017.

 

J. Reclassifications

 

Certain amounts in the 2017 financial statements were reclassified to conform to the 2018 presentation.

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2. PARTNERS CAPITAL
6 Months Ended
Jun. 30, 2018
Equity [Abstract]  
PARTNERS' CAPITAL

NOTE 2 - PARTNERS’ CAPITAL

 

A. Capital Accounts and Allocation of Income and Loss

 

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

 

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

 

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

 

B. Subscriptions, Distributions and Redemptions

 

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

 

The Partnership is not required to make distributions, but may do so at the sole discretion of the General Partner. A Limited Partner may request and receive redemption of capital, subject to restrictions set forth in the Agreement. The General Partner may request and receive redemption of capital, subject to the same terms as any Limited Partner. The partners may withdraw their interests on a monthly basis upon at least 15 days’ prior written notice, subject to the discretion of the General Partner. No distributions were made for the six months ended June 30, 2018 and 2017.

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3. RELATED PARTY TRANSACTIONS
6 Months Ended
Jun. 30, 2018
Related Party Transactions [Abstract]  
RELATED PARTY TRANSACTIONS

NOTE 3 - RELATED PARTY TRANSACTIONS

 

A. General Partner Management Fee

 

The General Partner receives a monthly management fee from the Partnership equal to 0.104% (1.25% annually) for Class A and Class B, and 0.0625% (0.75% annually) for Institutional Interests of the Partnership's 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 three and six months ended June 30, 2018 and 2017, there were no Special Limited Partners.

 

Total management fees earned by the General Partner for the three and six months ended June 30, 2018 and 2017 are shown on the Statements of Income (Loss) as Management Fee.

 

B. Administrative Fee

 

The General Partner receives a monthly administrative fee from the Partnership equal to 0.0275% (0.33% annually) of the Partnership's management fee net asset value attributable to Class A and Class B Interests. For the three and six months ended June 30, 2018, administrative fees for Class A Interests were $15,572 and $32,290, respectively, and administrative fees for Class B Interests were $5,681 and $11,798, respectively. For the three and six months ended June 30, 2017, administrative fees for Class A Interests were $18,189 and $35,553, respectively, and administrative fees for Class B Interests were $6,525 and $13,174, 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 June 30, 2018 and December 31, 2017, the Partnership had charges for brokerage-related services payable to Altegris Clearing Solutions of $17,171 and $12,021, respectively, and service fees payable to Altegris Investments of $4,400 and $5,217, respectively. These amounts are included in brokerage commissions payable and service fees payable on the Statements of Financial Condition, respectively. The amounts shown on the Statements of Financial Condition include fees payable to non-related parties. The following tables show the fees paid to Altegris Investments and Altegris Clearing Solutions for the three and six months ended June 30, 2018 and 2017, respectively:

 

    Three months ended     Six months ended     Three months ended     Six months ended  
    June 30, 2018     June 30, 2018     June 30, 2017     June 30, 2017  
Altegris Clearing Solutions - Brokerage Commission fees   $ 52,306     $ 123,111     $ 54,371     $ 90,415  
Altegris Investments- Service fees     13,189       27,272       16,739       33,862  
Total   $ 65,495     $ 150,383     $ 71,110     $ 124,277  

 

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.

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4. ADVISORY CONTRACT
6 Months Ended
Jun. 30, 2018
Advisory Contract  
ADVISORY CONTRACT

NOTE 4 - ADVISORY CONTRACT

 

The Partnership pays the Advisor a quarterly incentive fee of 30% of the trading profits.  However, the quarterly incentive fee is payable only on cumulative profits achieved from commodity trading (as defined in the Agreement), calculated separately for each partner’s interest. The incentive fee is accrued on a monthly basis and paid quarterly. Incentive fees are reflected in the Statements of Income (Loss).

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5. SERVICE FEES
6 Months Ended
Jun. 30, 2018
Service Fees  
SERVICE FEES

NOTE 5 - SERVICE FEES

 

As compensation for the continuing services of the selling agents to the Class A Limited Partners, Class A Interests pay the selling agents an ongoing monthly payment of 0.166% (2% annually) of the net asset value of interests sold by the agents that are outstanding at month-end. As compensation for the continuing services of the selling agents to the Limited Partners holding Institutional Interests, the selling agents may elect the Institutional Interests to pay the selling agents an ongoing monthly payment of 0.0417% (0.50% annually) of the net asset value of Institutional Interests sold by the agents that are outstanding at month-end. For the three and six months ended June 30, 2018, service fees for Class A Interests were $95,582 and $193,553, respectively. For the three and six months ended June 30, 2017, service fees for Class A Interests were $109,388 and $216,314, respectively. There were no service fees for Institutional Interests for the three and six months ended June 30, 2018 and 2017.

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6. BROKERAGE COMMISSIONS AND CHARGES
6 Months Ended
Jun. 30, 2018
Brokers and Dealers [Abstract]  
BROKERAGE COMMISSIONS AND CHARGES

NOTE 6 - BROKERAGE COMMISSIONS AND CHARGES

 

The Partnership is subject to monthly brokerage charges equal to the greater of: (A) actual commissions and expenses paid to the Clearing Broker by the Partnership; or (B) an amount equal to 0.125% of the management fee net asset value of all Limited Partners’ month-end capital account balances (1.50% annually) (the “Minimum Amount”).

 

If actual commissions and expenses paid to the Clearing Broker in a month (in (A) above) are less than the Minimum Amount, the Partnership will pay to the Introducing Broker the difference as payment for brokerage-related services, including, but not limited to, monitoring trade, execution, clearing, custodial and distribution services provided to the Partnership. If actual commissions and expenses paid to the Clearing Broker in a month (in (A) above) are greater than the Minimum Amount, the Partnership pays only the amounts described in (A) above. The Partnership’s payments of brokerage commissions to the Clearing Broker for clearing trades on its behalf, and payments to the Introducing Broker for brokerage-related services, if any, are reflected in the Statements of Income (Loss) as Brokerage Commissions.

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7. FINANCIAL DERIVATIVE INSTRUMENTS
6 Months Ended
Jun. 30, 2018
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
FINANCIAL DERIVATIVE INSTRUMENTS

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS

 

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

 

The following presents the fair value of derivative contracts as of June 30, 2018 and December 31, 2017. 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.

 

June 30, 2018
Type of Futured Contracts   Asset Derivatives Fair Value     Liability Derivatives Fair Value     Net Fair Value  
                   
Futures Contracts                        
                         
Currencies   $ 51,594     $     $ 51,594  
Energy     353,393       (316 )     353,077  
Interest Rates     46,431             46,431  
Metals     33,607       (55,208 )     (21,601 )
Stock Indices     328,824       (115,873 )     212,951  
Treasury Rates           (123,884 )     (123,884 )
                         
    $ 813,849     $ (295,281 )   $ 518,568  

 

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  

 

The following presents the trading results of the Partnership’s derivative trading and information related to the volume of the Partnership’s derivative activity for the three and six months ended June 30, 2018 and 2017.

 

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.

 

Three Months Ended June 30, 2018
Type of         Change in  
Futured Contracts   Realized     Unrealized  
             
Futures Contracts                
Currencies   $ 299,434     $ 55,446  
Energy     91,002       333,529  
Interest Rates     382,578       184,066  
Metals     (85,674 )     (29,729 )
Stock Indices     95,358       56,749  
Treasury Rates     (120,926 )     179,698  
                 
    $ 661,772     $ 779,759  

 

For the three months ended June 30, 2018, the number of futures contracts closed was 5,327. These closed contract amounts are representative of the Partnership’s volume of derivative activity during the period.

 

Six Months Ended June 30, 2018
 
Type of         Change in  
Futured Contracts   Realized     Unrealized  
                 
Futures Contracts                
Currencies   $ 481,558     $ (31,637 )
Energy     215,789       397,261  
Interest Rates     467,923       79,073  
Metals     355,144       (337,778 )
Stock Indices     (2,145,897 )     187,440  
Treasury Rates     (239,823 )     (192,042 )
                 
    $ (865,306 )   $ 102,317  

 

For the six months ended June 30, 2018, the number of futures contracts closed was 10,083. These closed contract amounts are representative of the Partnership’s volume of derivative activity during the period.

 

Three Months Ended June 30, 2017
Type of         Change in  
Futured Contracts   Realized     Unrealized  
             
Futures Contracts                
Currencies   $ 373,360     $ (13,764 )
Energy     (309,905 )     (92,169 )
Interest Rates     (1,793,869 )     452,582  
Metals     46,783       5,970  
Stock Indices     1,321,810       (354,608 )
Treasury Rates     439,853       (17,605 )
                 
    $ 78,032     $ (19,594 )

 

For the three months ended June 30, 2017, the number of futures contracts closed was 7,561. These closed contract amounts are representative of the Partnership’s volume of derivative activity during the period.

 

Six Months Ended June 30, 2017
Type of         Change in  
Futured Contracts   Realized     Unrealized  
             
Futures Contracts                
Currencies   $ 451,866     $ 25,479  
Energy     (458,241 )     (234,751 )
Interest Rates     (1,530,413 )     (197,572 )
Metals     249,781       13,551  
Stock Indices     2,859,086       (219,829 )
Treasury Rates     1,248,906       202,945  
                 
    $ 2,820,985     $ (410,177 )

 

For the six months ended June 30, 2017, the number of futures contracts closed was 15,993. These closed contract amounts are representative of the Partnership’s volume of derivative activity during the period.

 

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

As of June 30, 2018                     Gross Amounts Not Offset in the Statements of Financial Condition        
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     196,117       (171,081 )     25,036                   25,036  
                                                 

 

Offsetting the Financial Liabilities and Derivative Liabilities

As of June 30, 2018                     Gross Amounts Not Offset in the Statements of Financial Condition        
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     (171,081 )     171,081                          
                                                 

 

Offsetting the Financial Assets and Derivative Assets

As of December 31, 2017                     Gross Amounts Not Offset in the Statements of Financial Condition        
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 )     309,752                   309,752  
                                                 

 

Offsetting the Financial Liabilities and Derivative Liabilities

As of December 31, 2017                     Gross Amounts Not Offset in the Statements of Financial Condition        
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                          
                                                 

 

(1) The Partnership posted additional collateral of $2,304,821 for 2018 and $1,548,029 for 2017 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.

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8. FINANCIAL INSTRUMENTS, OFF-BALANCE SHEET RISKS AND UNCERTAINTIES
6 Months Ended
Jun. 30, 2018
Investments, All Other Investments [Abstract]  
FINANCIAL INSTRUMENTS, OFF-BALANCE SHEET RISKS AND UNCERTAINTIES

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

 

The Partnership participates in the speculative trading of commodity futures contracts, substantially all of which are subject to margin requirements. The minimum amount of margin required for each contract is set from time to time in response to various market factors by the respective exchanges 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.

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9. INDEMNIFICATIONS
6 Months Ended
Jun. 30, 2018
Commitments and Contingencies Disclosure [Abstract]  
INDEMNIFICATIONS

NOTE 9 - INDEMNIFICATIONS

 

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

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10. FINANCIAL HIGHLIGHTS
6 Months Ended
Jun. 30, 2018
Quarterly Financial Information Disclosure [Abstract]  
FINANCIAL HIGHLIGHTS

NOTE 10 - FINANCIAL HIGHLIGHTS

 

The following information presents the financial highlights of the Partnership for the three and six months ended June 30, 2018 and 2017. This information has been derived from information presented in the financial statements.

 

    Three Months ended June 30, 2018  
    Class A     Class B     Institutional Interest  
                   
Total return for Limited Partners (3)                        
Total return prior to incentive fees     4.09%       4.61%       4.83%  
Incentive fees     (0.01% )     0.00%       0.00%  
Total return after incentive fees     4.08%       4.61%       4.83%  
                         
Ratio to average net asset value                        
Expenses prior to incentive fees (2)     4.69%       2.69%       1.79%  
Incentive fees (3)     0.01%       0.00%       0.00%  
                         
Total expenses     4.70%       2.69%       1.79%  
                         
Net investment loss (1) (2)     (3.07% )     (1.06% )     (0.21% )

 

    Six Months ended June 30, 2018  
    Class A     Class B     Institutional Interest  
                   
Total return for Limited Partners (3)                        
Total return prior to incentive fees     (4.40% )     (3.45% )     (3.04% )
Incentive fees     (0.01% )     0.00%       0.00%  
Total return after incentive fees     (4.41% )     (3.45% )     (3.04% )
                         
Ratio to average net asset value                        
Expenses prior to incentive fees (2)     4.58%       2.61%       1.76%  
Incentive fees (3)     0.01%       0.00%       0.00%  
                         
Total expenses     4.59%       2.61%       1.76%  
                         
Net investment loss (1) (2)     (3.14% )     (1.16% )     (0.33% )

 

 

    Three Months ended June 30, 2017  
    Class A     Class B     Institutional Interest  
                   
Total return for Limited Partners (3)                        
Total return prior to incentive fees     (1.20% )     (0.71% )     (0.50% )
Incentive fees     0.00%       0.00%       0.00%  
Total return after incentive fees     (1.20% )     (0.71% )     (0.50% )
                         
Ratio to average net asset value                        
Expenses prior to incentive fees (2)     4.64%       2.58%       1.78%  
Incentive fees (3)     0.00%       0.00%       0.00%  
                         
Total expenses     4.64%       2.58%       1.78%  
                         
Net investment loss (1) (2)     (4.13% )     (2.08% )     (1.28% )

 

    Six Months ended June 30, 2017  
    Class A     Class B     Institutional Interest  
                   
Total return for Limited Partners (3)                        
Total return prior to incentive fees     5.17%       6.21%       6.64%  
Incentive fees     (2.12% )     (2.12% )     (2.19% )
Total return after incentive fees     3.05%       4.09%       4.45%  
                         
Ratio to average net asset value                        
Expenses prior to incentive fees (2)     4.59%       2.55%       1.80%  
Incentive fees (3)     2.01%       2.06%       1.78%  
                         
Total expenses     6.60%       4.61%       3.58%  
                         
Net investment loss (1) (2)     (4.17% )     (2.13% )     (1.35% )

 

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

 

Total return is calculated on a monthly compounded basis.

 

  (1) Excludes incentive fee.

 

  (2) Annualized.

 

  (3) Not annualized.
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11. SUBSEQUENT EVENTS
6 Months Ended
Jun. 30, 2018
Subsequent Events [Abstract]  
SUBSEQUENT EVENTS

NOTE 11 - 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 June 30, 2018 have occurred that would require recognition or disclosure, except as noted below.

 

From July 1, 2018 through August 10, 2018, the Partnership had subscriptions of $98,000 and redemptions of $562,465. Management has determined there are no additional matters requiring disclosure.

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1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (Policies)
6 Months Ended
Jun. 30, 2018
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 June 30, 2018 and December 31, 2017, and reported amounts of income and expenses for the three and six months ended June 30, 2018 and 2017, respectively. Management believes that the estimates utilized in preparing the Partnership’s financial statements are reasonable; however, actual results could differ from these estimates and it is reasonably possible that the differences could be material.

 

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

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.

 

When available, the fair value of U.S. government agency bonds and notes is 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 June 30, 2018 and December 31, 2017, 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 June 30, 2018 and December 31, 2017, 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 six month period ended June 30, 2018 and the year ended December 31, 2017.

 

The following table presents information about the Partnership’s assets and liabilities measured at fair value as of June 30, 2018 and December 31, 2017:

 

June 30, 2018   Level 1     Level 2     Level 3     Balance as of June 30, 2018  
                         
Assets                                
                                 
Futures contracts (1)   $ 813,849     $     $     $ 813,849  
U.S. Government agency bonds and notes           15,027,313             15,027,313  
Corporate notes           8,555,542             8,555,542  
                                 
Total Assets   $ 813,849     $ 23,582,855     $     $ 24,396,704  
                                 
Liabilities                                
                                 
Futures contracts (1)   $ (295,281 )   $     $     $ (295,281 )

 

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 )

 

(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 period ended June 30, 2018 and the year ended December 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities. For the six month period ended June 30, 2018 and the year ended December 31, 2017, 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 June 30, 2018 and December 31, 2017, the Partnership’s restricted cash balance on the Statements of Financial Condition of $1,153,162 and $859,249, respectively, represents the collateral pledged by the Partnership to satisfy the Clearing Broker’s margin requirements in US Dollars. As of June 30, 2018 and December 31, 2017, the Partnership’s restricted foreign currency balance on the Statements of Financial Condition of $1,151,659 and $688,780, 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 June 30, 2018 and December 31, 2017 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 period. 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 June 30, 2018 or December 31, 2017. 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 June 30, 2018 and December 31, 2017 or for the three and six months ended June 30, 2018 and 2017.

Reclassifications

J. Reclassifications

 

Certain amounts in the 2017 financial statements were reclassified to conform to the 2018 presentation.

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1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (Tables)
6 Months Ended
Jun. 30, 2018
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 June 30, 2018 and December 31, 2017:

 

June 30, 2018   Level 1     Level 2     Level 3     Balance as of June 30, 2018  
                         
Assets                                
                                 
Futures contracts (1)   $ 813,849     $     $     $ 813,849  
U.S. Government agency bonds and notes           15,027,313             15,027,313  
Corporate notes           8,555,542             8,555,542  
                                 
Total Assets   $ 813,849     $ 23,582,855     $     $ 24,396,704  
                                 
Liabilities                                
                                 
Futures contracts (1)   $ (295,281 )   $     $     $ (295,281 )

 

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 )

 

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

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3. RELATED PARTY TRANSACTIONS (Tables)
6 Months Ended
Jun. 30, 2018
Related Party Transactions [Abstract]  
Fees paid to Altegris Investments and Altegris Clearing Solutions
    Three months ended     Six months ended     Three months ended     Six months ended  
    June 30, 2018     June 30, 2018     June 30, 2017     June 30, 2017  
Altegris Clearing Solutions - Brokerage Commission fees   $ 52,306     $ 123,111     $ 54,371     $ 90,415  
Altegris Investments- Service fees     13,189       27,272       16,739       33,862  
Total   $ 65,495     $ 150,383     $ 71,110     $ 124,277  
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7. FINANCIAL DERIVATIVE INSTRUMENTS (Tables)
6 Months Ended
Jun. 30, 2018
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Fair value of derivative contracts
June 30, 2018
Type of Futured Contracts   Asset Derivatives Fair Value     Liability Derivatives Fair Value     Net Fair Value  
                   
Futures Contracts                        
                         
Currencies   $ 51,594     $     $ 51,594  
Energy     353,393       (316 )     353,077  
Interest Rates     46,431             46,431  
Metals     33,607       (55,208 )     (21,601 )
Stock Indices     328,824       (115,873 )     212,951  
Treasury Rates           (123,884 )     (123,884 )
                         
    $ 813,849     $ (295,281 )   $ 518,568  

 

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  
Schedule of realized and unrealized gain (loss) on derivatives
Three Months Ended June 30, 2018
Type of         Change in  
Futured Contracts   Realized     Unrealized  
             
Futures Contracts                
Currencies   $ 299,434     $ 55,446  
Energy     91,002       333,529  
Interest Rates     382,578       184,066  
Metals     (85,674 )     (29,729 )
Stock Indices     95,358       56,749  
Treasury Rates     (120,926 )     179,698  
                 
    $ 661,772     $ 779,759  

 

Six Months Ended June 30, 2018
 
Type of         Change in  
Futured Contracts   Realized     Unrealized  
                 
Futures Contracts                
Currencies   $ 481,558     $ (31,637 )
Energy     215,789       397,261  
Interest Rates     467,923       79,073  
Metals     355,144       (337,778 )
Stock Indices     (2,145,897 )     187,440  
Treasury Rates     (239,823 )     (192,042 )
                 
    $ (865,306 )   $ 102,317  

  

Three Months Ended June 30, 2017
Type of         Change in  
Futured Contracts   Realized     Unrealized  
             
Futures Contracts                
Currencies   $ 373,360     $ (13,764 )
Energy     (309,905 )     (92,169 )
Interest Rates     (1,793,869 )     452,582  
Metals     46,783       5,970  
Stock Indices     1,321,810       (354,608 )
Treasury Rates     439,853       (17,605 )
                 
    $ 78,032     $ (19,594 )

  

Six Months Ended June 30, 2017
Type of         Change in  
Futured Contracts   Realized     Unrealized  
             
Futures Contracts                
Currencies   $ 451,866     $ 25,479  
Energy     (458,241 )     (234,751 )
Interest Rates     (1,530,413 )     (197,572 )
Metals     249,781       13,551  
Stock Indices     2,859,086       (219,829 )
Treasury Rates     1,248,906       202,945  
                 
    $ 2,820,985     $ (410,177 )
Schedule of Offsetting Assets

Offsetting the Financial Assets and Derivative Assets

As of June 30, 2018                     Gross Amounts Not Offset in the Statements of Financial Condition        
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     196,117       (171,081 )     25,036                   25,036  

 

Offsetting the Financial Assets and Derivative Assets

As of December 31, 2017                     Gross Amounts Not Offset in the Statements of Financial Condition        
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 )     309,752                   309,752  

Schedule of Offsetting Liabilities

Offsetting the Financial Liabilities and Derivative Liabilities

As of June 30, 2018                     Gross Amounts Not Offset in the Statements of Financial Condition        
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     (171,081 )     171,081                          

 

Offsetting the Financial Liabilities and Derivative Liabilities

As of December 31, 2017                     Gross Amounts Not Offset in the Statements of Financial Condition        
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                          
                                                 

 

(1) The Partnership posted additional collateral of $2,304,821 for 2018 and $1,548,029 for 2017 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.

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10. FINANCIAL HIGHLIGHTS (Tables)
6 Months Ended
Jun. 30, 2018
Quarterly Financial Information Disclosure [Abstract]  
Financial highlights of the Partnership
    Three Months ended June 30, 2018  
    Class A     Class B     Institutional Interest  
                   
Total return for Limited Partners (3)                        
Total return prior to incentive fees     4.09%       4.61%       4.83%  
Incentive fees     (0.01% )     0.00%       0.00%  
Total return after incentive fees     4.08%       4.61%       4.83%  
                         
Ratio to average net asset value                        
Expenses prior to incentive fees (2)     4.69%       2.69%       1.79%  
Incentive fees (3)     0.01%       0.00%       0.00%  
                         
Total expenses     4.70%       2.69%       1.79%  
                         
Net investment loss (1) (2)     (3.07% )     (1.06% )     (0.21% )

 

    Six Months ended June 30, 2018  
    Class A     Class B     Institutional Interest  
                   
Total return for Limited Partners (3)                        
Total return prior to incentive fees     (4.40% )     (3.45% )     (3.04% )
Incentive fees     (0.01% )     0.00%       0.00%  
Total return after incentive fees     (4.41% )     (3.45% )     (3.04% )
                         
Ratio to average net asset value                        
Expenses prior to incentive fees (2)     4.58%       2.61%       1.76%  
Incentive fees (3)     0.01%       0.00%       0.00%  
                         
Total expenses     4.59%       2.61%       1.76%  
                         
Net investment loss (1) (2)     (3.14% )     (1.16% )     (0.33% )

 

 

    Three Months ended June 30, 2017  
    Class A     Class B     Institutional Interest  
                   
Total return for Limited Partners (3)                        
Total return prior to incentive fees     (1.20% )     (0.71% )     (0.50% )
Incentive fees     0.00%       0.00%       0.00%  
Total return after incentive fees     (1.20% )     (0.71% )     (0.50% )
                         
Ratio to average net asset value                        
Expenses prior to incentive fees (2)     4.64%       2.58%       1.78%  
Incentive fees (3)     0.00%       0.00%       0.00%  
                         
Total expenses     4.64%       2.58%       1.78%  
                         
Net investment loss (1) (2)     (4.13% )     (2.08% )     (1.28% )

 

    Six Months ended June 30, 2017  
    Class A     Class B     Institutional Interest  
                   
Total return for Limited Partners (3)                        
Total return prior to incentive fees     5.17%       6.21%       6.64%  
Incentive fees     (2.12% )     (2.12% )     (2.19% )
Total return after incentive fees     3.05%       4.09%       4.45%  
                         
Ratio to average net asset value                        
Expenses prior to incentive fees (2)     4.59%       2.55%       1.80%  
Incentive fees (3)     2.01%       2.06%       1.78%  
                         
Total expenses     6.60%       4.61%       3.58%  
                         
Net investment loss (1) (2)     (4.17% )     (2.13% )     (1.35% )

 

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

 

Total return is calculated on a monthly compounded basis.

 

  (1) Excludes incentive fee.

 

  (2) Annualized.

 

  (3) Not annualized.
XML 34 R24.htm IDEA: XBRL DOCUMENT v3.10.0.1
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (Details) - USD ($)
Jun. 30, 2018
Dec. 31, 2017
Futures contracts $ 813,849 $ 555,830
U.S. Government agency bonds and notes 15,027,313 15,431,408
Corporate notes 8,555,542 7,965,246
Total Assets 24,396,704 23,952,484
Futures Contracts (295,281) (139,579)
Level 1 [Member]    
Futures contracts 813,849 555,830
U.S. Government agency bonds and notes 0 0
Corporate notes 0 0
Total Assets 813,849 555,830
Futures Contracts (295,281) (139,579)
Level 2 [Member]    
Futures contracts 0 0
U.S. Government agency bonds and notes 15,027,313 15,431,408
Corporate notes 8,555,542 7,965,246
Total Assets 23,582,855 23,396,654
Futures Contracts 0 0
Level 3 [Member]    
Futures contracts 0 0
U.S. Government agency bonds and notes 0 0
Corporate notes 0 0
Total Assets 0 0
Futures Contracts $ 0 $ 0
XML 35 R25.htm IDEA: XBRL DOCUMENT v3.10.0.1
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (Details Narrative) - USD ($)
3 Months Ended 6 Months Ended 12 Months Ended
Jun. 30, 2018
Jun. 30, 2017
Jun. 30, 2018
Jun. 30, 2017
Dec. 31, 2017
Organization, Consolidation and Presentation of Financial Statements [Abstract]          
Transfers between Level 1 and Level 2 assets and liabilities $ 0   $ 0   $ 0
Level 3 Securities 0   0   0
Restricted Cash 1,153,162   1,153,162   859,249
Restricted foreign currency 1,151,659   1,151,659   688,780
Liability for unrecognized tax benefits     0   $ 0
Recognized interest expense or penalties $ 0 $ 0 $ 0 $ 0  
XML 36 R26.htm IDEA: XBRL DOCUMENT v3.10.0.1
3. RELATED PARTY TRANSACTIONS - Fees paid to related parties (Details) - USD ($)
3 Months Ended 6 Months Ended
Jun. 30, 2018
Jun. 30, 2017
Jun. 30, 2018
Jun. 30, 2017
Related Party Transactions [Abstract]        
Altegris Clearing Solutions - Brokerage Commission fees $ 52,306 $ 123,111 $ 54,371 $ 90,415
Altegris Investments - Service fees 13,189 27,272 16,739 33,862
Brokerage-related services expense $ 65,495 $ 150,383 $ 71,110 $ 124,277
XML 37 R27.htm IDEA: XBRL DOCUMENT v3.10.0.1
3. RELATED PARTY TRANSACTIONS (Details Narrative) - USD ($)
3 Months Ended 6 Months Ended
Jun. 30, 2018
Jun. 30, 2017
Jun. 30, 2018
Jun. 30, 2017
Dec. 31, 2017
Partnership Monthly Brokerage Charges     0.125%    
Partnership Annual Brokerage Charges     1.50%    
Administrative fee $ 21,253 $ 24,714 $ 44,088 $ 48,727  
Commissions and Brokerage fees payable 22,367   22,367   $ 17,374
Service fees payable 40,797   40,797   42,515
Altegris Clearing Solutions [Member]          
Commissions and Brokerage fees payable 17,171   17,171   12,021
Altegris Investments [Member]          
Service fees payable 4,400   $ 4,400   $ 5,217
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 15,572 18,189 $ 32,290 35,553  
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 $ 5,681 $ 6,525 $ 11,798 $ 13,174  
Institutional Interests [Member]          
Monthly Management Fee     0.0625%    
Annual Management Fee     0.75%    
XML 38 R28.htm IDEA: XBRL DOCUMENT v3.10.0.1
4. ADVISORY CONTRACT (Details Narrative)
6 Months Ended
Jun. 30, 2018
Advisory Contract  
Advisor quarterly incentive fee, percent of trading profits 30.00%
XML 39 R29.htm IDEA: XBRL DOCUMENT v3.10.0.1
5. SERVICE FEES (Details Narrative) - USD ($)
3 Months Ended 6 Months Ended
Jun. 30, 2018
Jun. 30, 2017
Jun. 30, 2018
Jun. 30, 2017
Service fees $ 95,582 $ 109,388 $ 193,553 $ 216,314
Class A [Member]        
Ongoing Sales Service Fees     0.166%  
Annual Sales Service Fees     2.00%  
Service fees 95,582 109,388 $ 193,553 216,314
Institutional Interests [Member]        
Ongoing Sales Service Fees     0.0417%  
Annual Sales Service Fees     0.50%  
Service fees $ 0 $ 0 $ 0 $ 0
XML 40 R30.htm IDEA: XBRL DOCUMENT v3.10.0.1
7. FINANCIAL DERIVATIVE INSTRUMENTS (Details - Fair Value) - Futures Contracts [Member] - USD ($)
Jun. 30, 2018
Dec. 31, 2017
Asset Derivatives Fair Value, Futures Contracts $ 813,849 $ 555,830
Liability Derivatives Fair Value, Futures Contracts (295,281) (139,579)
Net Fair Value, Futures Contracts 518,568 416,251
Currencies [Member]    
Asset Derivatives Fair Value, Futures Contracts 51,594 96,610
Liability Derivatives Fair Value, Futures Contracts 0 (13,379)
Net Fair Value, Futures Contracts 51,594 83,231
Energy [Member]    
Asset Derivatives Fair Value, Futures Contracts 353,393 0
Liability Derivatives Fair Value, Futures Contracts (316) (44,184)
Net Fair Value, Futures Contracts 353,077 (44,184)
Interest Rates [Member]    
Asset Derivatives Fair Value, Futures Contracts 46,431 24,531
Liability Derivatives Fair Value, Futures Contracts 0 (57,173)
Net Fair Value, Futures Contracts 46,431 (32,642)
Metals [Member]    
Asset Derivatives Fair Value, Futures Contracts 33,607 316,177
Liability Derivatives Fair Value, Futures Contracts (55,208) 0
Net Fair Value, Futures Contracts (21,601) 316,177
Stock Indices [Member]    
Asset Derivatives Fair Value, Futures Contracts 328,824 50,354
Liability Derivatives Fair Value, Futures Contracts (115,873) (24,843)
Net Fair Value, Futures Contracts 212,951 25,511
Treasury Rates [Member]    
Asset Derivatives Fair Value, Futures Contracts 0 68,158
Liability Derivatives Fair Value, Futures Contracts (123,884) 0
Net Fair Value, Futures Contracts $ (123,884) $ 68,158
XML 41 R31.htm IDEA: XBRL DOCUMENT v3.10.0.1
7. FINANCIAL DERIVATIVE INSTRUMENTS (Details - Trading results) - USD ($)
3 Months Ended 6 Months Ended
Jun. 30, 2018
Jun. 30, 2017
Jun. 30, 2018
Jun. 30, 2017
Realized, Futures Contracts $ 661,772 $ 78,032 $ (865,306) $ 2,820,985
Change in Unrealized, Futures Contracts 779,759 (19,594) 102,317 (410,177)
Futures Contracts [Member]        
Realized, Futures Contracts 661,772 78,032 (865,306) 2,820,985
Change in Unrealized, Futures Contracts 779,759 (19,594) 102,317 (410,177)
Futures Contracts [Member] | Currencies [Member]        
Realized, Futures Contracts 299,434 373,360 481,558 451,866
Change in Unrealized, Futures Contracts 55,446 (13,764) (31,637) 25,479
Futures Contracts [Member] | Energy [Member]        
Realized, Futures Contracts 91,002 (309,905) 215,789 (458,241)
Change in Unrealized, Futures Contracts 333,529 (92,169) 397,261 (234,751)
Futures Contracts [Member] | Interest Rates [Member]        
Realized, Futures Contracts 382,578 (1,793,869) 467,923 (1,530,413)
Change in Unrealized, Futures Contracts 184,066 452,582 79,073 (197,572)
Futures Contracts [Member] | Metals [Member]        
Realized, Futures Contracts (85,674) 46,783 355,144 249,781
Change in Unrealized, Futures Contracts (29,729) 5,970 (337,778) 13,551
Futures Contracts [Member] | Stock Indices [Member]        
Realized, Futures Contracts 95,358 1,321,810 (2,145,897) 2,859,086
Change in Unrealized, Futures Contracts 56,749 (354,608) 187,440 (219,829)
Futures Contracts [Member] | Treasury Rates [Member]        
Realized, Futures Contracts (120,926) 439,853 (239,823) 1,248,906
Change in Unrealized, Futures Contracts $ 179,698 $ (17,605) $ (192,042) $ 202,945
XML 42 R32.htm IDEA: XBRL DOCUMENT v3.10.0.1
7. FINANCIAL DERIVATIVE INSTRUMENTS - Offsetting Assets and Liabilities (Details) - Futures Contracts [Member] - USD ($)
Jun. 30, 2018
Dec. 31, 2017
Gross Amounts of Recognized Assets $ 196,117 $ 380,608
Gross Amounts Offset in the Statement of Financial Condition (171,081) (70,856)
Net Amounts of Assets Presented in the Statement of Financial Condition 25,036 309,752
Gross Amounts Not Offset in the Statement of Financial Condition    
Financial Instruments 0 0
Cash Collateral Received 0 0
Net Amount 25,036 309,752
Offsetting the Financial Liabilities and Derivative Liabilities    
Gross Amounts of Recognized Liabilities (171,081) (70,856)
Gross Amounts Offset in the Statement of Financial Condition 171,081 70,856
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
XML 43 R33.htm IDEA: XBRL DOCUMENT v3.10.0.1
7. FINANCIAL DERIVATIVE INSTRUMENTS (Details Narrative)
3 Months Ended 6 Months Ended
Jun. 30, 2018
USD ($)
Integer
Jun. 30, 2017
Integer
Jun. 30, 2018
USD ($)
Integer
Jun. 30, 2017
Integer
Dec. 31, 2017
USD ($)
Derivative Instruments and Hedging Activities Disclosure [Abstract]          
Additional collateral held at the Clearing Broker | $ $ 2,304,821   $ 2,304,821   $ 1,548,029
Futures contracts closed during period | Integer 5,327 7,561 10,083 15,993  
XML 44 R34.htm IDEA: XBRL DOCUMENT v3.10.0.1
10. FINANCIAL HIGHLIGHTS - Financial highlights of the Partnership (Details)
3 Months Ended 6 Months Ended
Jun. 30, 2018
Jun. 30, 2017
Jun. 30, 2018
Jun. 30, 2017
Class A [Member]        
Total return for Limited Partners        
Total return prior to incentive fees 4.09% (120.00%) (440.00%) 5.17%
Incentive fees (1.00%) 0.00% (1.00%) (212.00%)
Total return after incentive fees 4.08% (120.00%) (441.00%) 3.05%
Ratio to average net asset value        
Expenses prior to incentive fees 4.69% 4.64% 4.58% 4.59%
Incentive fees 0.01% 0.00% 0.01% 2.01%
Total expenses 4.70% 4.64% 4.59% 6.60%
Net investment loss (307.00%) (413.00%) (314.00%) (417.00%)
Class B [Member]        
Total return for Limited Partners        
Total return prior to incentive fees 4.61% (71.00%) (345.00%) 6.21%
Incentive fees 0.00% 0.00% 0.00% (212.00%)
Total return after incentive fees 4.61% (71.00%) (345.00%) 4.09%
Ratio to average net asset value        
Expenses prior to incentive fees 2.69% 2.58% 2.61% 2.55%
Incentive fees 0.00% 0.00% 0.00% 2.06%
Total expenses 2.69% 2.58% 2.61% 4.61%
Net investment loss (106.00%) (208.00%) (116.00%) (213.00%)
Institutional Interests [Member]        
Total return for Limited Partners        
Total return prior to incentive fees 4.83% (50.00%) (304.00%) 6.64%
Incentive fees 0.00% 0.00% 0.00% (219.00%)
Total return after incentive fees 4.83% (50.00%) (304.00%) 4.45%
Ratio to average net asset value        
Expenses prior to incentive fees 1.79% 1.78% 1.76% 1.80%
Incentive fees 0.00% 0.00% 0.00% 1.78%
Total expenses 1.79% 1.78% 1.76% 3.58%
Net investment loss (21.00%) (128.00%) (33.00%) (135.00%)
XML 45 R35.htm IDEA: XBRL DOCUMENT v3.10.0.1
11. SUBSEQUENT EVENTS (Details Narrative)
1 Months Ended
Aug. 10, 2018
USD ($)
Subsequent Events [Abstract]  
Partnership subscriptions $ 98,000
Partnership redemptions $ 562,465
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