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

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

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

|   |   |  Yes oNo x |   |
|--------|--------|------------------------------|--------|

|   |   |  Yes oNo x |   |
|--------|--------|------------------------------|--------|

|   |   |  Yes xNo o |   |
|--------|--------|----------------------|--------|

|   |   | Yes xNo o |   |
|--------|--------|------------------------|--------|

| Large accelerated filer    o      | Accelerated filer                    o |
|-------------------------------------------------------|--------------------------------------------------------------------------------------------------------------------------------------------|
| Non-accelerated filer      o | Smaller reporting company  x                                                                                                     |

----

|   |   |  Yes oNo x |   |
|--------|--------|-------------------------|--------|

----

|   | Financial Statements |
|--------|----------------------|

|   | Exhibits |
|--------|----------|

| Exhibit Designation | Description                                                                                       |
|---------------------|--------------------------------------------------------------------------------------------------------|
| * 3.1               | Certificate of Formation of APM – QIM Futures Fund L.P.                                     |
| * 4.1               | Limited Partnership Agreement of APM – QIM Futures Fund L.P.                                |
| * 10.1              | Agreement with Quantitative Investment Management LLC                                             |
| * 10.2              | Selling Agency Agreement between APM – QIM Futures Fund L.P. and Altegris Investments Inc.  |
| 31.01               | Rule 13a-14(a)/15d-14(a) Certification                                                            |
| 32.02               | Section 1350 Certification                                                                        |

----

| Dated:  August 29, 2013 | ALTEGRIS QIM FUTURES FUND, L.P. |                                                                                                         |
|----------------------------------------|---------------------------------|--------------------------------------------------------------------------------------------------------------|
|                                   |                            |                                                                                                         |   |
|                                   | By:                             | ALTEGRIS PORTFOLIO MANAGEMENT, INC.(d/b/a Altegris Funds) General Partner of Altegris QIM Futures Fund, L.P. |   |
|                                   |                            |                                                                                                         |   |
|                                   | By:                             | /s/ Jon C. Sundt                                                                    |   |
|                                   |                            | Name:  Jon C. Sundt                                                                                |   |
|                                   |                            | Title:  Principal Executive and Principal Financial Officer                                        |   |
|                                   |                            |                                                                                                         |   |

----

----

----

----

|                                                               | PAGES   |
|--------------------------------------------------------------------|---------|
| Affirmation of the Commodity Pool Operator                         | 1       |
| Report s of Independent Registered Public Accounting Firms         | 2-2A    |
| Financial Statements                                               |    |
| Statements of Financial Condition                                  | 3       |
| Condensed Schedules of Investments                                 | 4 - 7   |
| Statements of Operations                                           | 8       |
| Statements of Changes in Partners’ Capital (Net Asset Value) | 9       |
| Notes to Financial Statements                                      | 10 - 23 |

----

----

|   | By:                                                       | /s/ Robert J. Amedeo |   |
|--------|-----------------------------------------------------------|----------------------|--------|
|   | Altegris Portfolio Management, Inc.                       |
|   | Commodity Pool Operator for                               |
|   | Altegris QIM Futures Fund, L.P.                           |
|   | By:  Robert J. Amedeo, Executive Vice President |

----

----

----

| ALTEGRIS QIM FUTURES FUND, L.P.                                                                                                           |   |
|-------------------------------------------------------------------------------------------------------------------------------------------|--------|
| STATEMENTS OF FINANCIAL CONDITION                                                                                                         |   |
| DECEMBER 31, 2012 and DECEMBER 31, 2011                                                                                                   |   |
| _______________                                                                                                                           |   |
|                                                                                                                                      |   |   |   |   |   |   |
|                                                                                                                                      |   | 2012 |   |   | 2011 |   |
| ASSETS                                                                                                                                    |   |   |   |   |   |   |
|     Equity in commodity broker account:                                                                               |   |   |   |   |   |   |
|         Restricted cash                                                                           |   | $ | 7,932,508 |   |   | $ | 3,834,746 |   |
|         Cash                                                                                      |   |   | 4,817,430 |   |   |   | 6,573,863 |   |
|         Restricted foreign currency (cost - $3,454,913 and $2,315,869)                            |   |   | 4,687,677 |   |   |   | 2,317,800 |   |
|                                                                                                                                      |   |   |   |   |   |   |   |   |
|                                                                                                                                      |   |   | 17,437,615 |   |   |   | 12,726,409 |   |
|                                                                                                                                      |   |   |   |   |   |   |   |   |
|     Cash                                                                                                              |   |   | 9,824,680 |   |   |   | 5,822,859 |   |
|     Investment securities at value                                                                                    |   |   |   |   |   |   |   |   |
|       (cost - $114,773,911 and $112,611,968)                                                                |   |   | 114,785,129 |   |   |   | 112,613,673 |   |
|     Interest receivable                                                                                               |   |   | 104,514 |   |   |   | 31,136 |   |
|                                                                                                                                      |   |   |   |   |   |   |   |   |
| Total assets                                                                                                                              |   | $ | 142,151,938 |   |   | $ | 131,194,077 |   |
|                                                                                                                                      |   |   |   |   |   |   |   |   |
| LIABILITIES                                                                                                                               |   |   |   |   |   |   |   |   |
|     Equity in commodity broker account:                                                                               |   |   |   |   |   |   |   |   |
|         Foreign currency (proceeds - $3,013,100 and $2,313,350)                                   |   | $ | 4,088,218 |   |   | $ | 2,315,279 |   |
|         Unrealized loss on open commodity futures contracts                                       |   |   | 965,168 |   |   |   | 1,400,793 |   |
|                                                                                                                                      |   |   |   |   |   |   |   |   |
|                                                                                                                                      |   |   | 5,053,386 |   |   |   | 3,716,072 |   |
|                                                                                                                                      |   |   |   |   |   |   |   |   |
|     Commissions payable                                                                                               |   |   | 63,679 |   |   |   | 77,167 |   |
|     Management fee payable                                                                                            |   |   | 125,815 |   |   |   | 123,145 |   |
|     Administrative fee payable                                                                                        |   |   | 28,617 |   |   |   | 28,226 |   |
|     Service fees payable                                                                                              |   |   | 95,415 |   |   |   | 85,637 |   |
|     Incentive fees payable                                                                                            |   |   | 17,244 |   |   |   | 712,477 |   |
|     Redemptions payable                                                                                               |   |   | 2,487,346 |   |   |   | 1,210,184 |   |
|     Subscriptions received in advance                                                                                 |   |   | 2,489,976 |   |   |   | 2,602,678 |   |
|     Payable to General Partner                                                                                        |   |   | 1,067 |   |   |   | - |   |
|     Other liabilities                                                                                                 |   |   | 198,178 |   |   |   | 225,456 |   |
|                                                                                                                                      |   |   |   |   |   |   |   |   |
|                 Total liabilities                         |   |   | 10,560,723 |   |   |   | 8,781,042 |   |
|                                                                                                                                      |   |   |   |   |   |   |   |   |
|                                                                                                                                      |   |   |   |   |   |   |   |   |
| PARTNERS' CAPITAL (NET ASSET VALUE)                                                                                                       |   |   |   |   |   |   |   |   |
|     General Partner                                                                                                   |   |   | 889 |   |   |   | 864 |   |
|     Limited Partners                                                                                                  |   |   | 131,590,326 |   |   |   | 122,412,171 |   |
|                                                                                                                                      |   |   |   |   |   |   |   |   |
|                 Total partners' capital (Net Asset Value) |   |   | 131,591,215 |   |   |   | 122,413,035 |   |
|                                                                                                                                      |   |   |   |   |   |   |   |   |
| Total liabilities and partners' capital                                                                                                   |   | $ | 142,151,938 |   |   | $ | 131,194,077 |   |

----

| ALTEGRIS QIM FUTURES FUND, L.P.                                   |      |
|-------------------------------------------------------------------|-----------|
| CONDENSED SCHEDULE OF INVESTMENTS                                 |      |
| DECEMBER 31, 2012                                                 |      |
| _______________                                                   |      |
|                                                              |      |   |   |   |   |   |   |   |   |
| INVESTMENT SECURITIES                                             |      |   |   |   |   |   |   |
| Face Value                                                        |      | Maturity Date |  Description |   | Value |   |   | % of Partners' Capital |
|                                                              |      |   |   |   |   |   |   |   |   |
| Fixed Income Investments                                          |      |   |   |   |   |   |   |
|                                                              |      |   |   |   |   |   |   |   |   |
| U.S. Government Agency Bonds and Notes                            |      |   |   |   |   |   |
| $                                                                 | 2,302,000 |   | 1/2/2013 | Federal Farm Credit Bank Disc Note, 0.01% |   | $ | 2,301,999 |   |   |   | 1.75 | % |
|                                                              | 1,000,000 |   | 5/2/2013 | Federal Farm Credit Bank, 0.75% |   |   | 1,002,032 |   |   |   | 0.76 | % |
|                                                              | 2,000,000 |   | 11/20/2013 | Federal Farm Credit Bank, 0.20% |   |   | 2,000,352 |   |   |   | 1.52 | % |
|                                                              | 4,000,000 |   | 1/16/2013 | Federal Home Loan Bank Disc Note, 0.018% |   |   | 3,999,968 |   |   |   | 3.04 | % |
|                                                              | 2,500,000 |   | 1/10/2013 | Federal Home Loan Bank, 0.18% |   |   | 2,500,027 |   |   |   | 1.90 | % |
|                                                              | 2,100,000 |   | 1/29/2013 | Federal Home Loan Bank, 0.375% |   |   | 2,100,386 |   |   |   | 1.59 | % |
|                                                              | 4,250,000 |   | 2/8/2013 | Federal Home Loan Bank, 0.16% |   |   | 4,250,128 |   |   |   | 3.23 | % |
|                                                              | 5,000,000 |   | 10/18/2013 | Federal Home Loan Bank, 0.19% |   |   | 5,000,395 |   |   |   | 3.80 | % |
|                                                              | 2,000,000 |   | 11/15/2013 | Federal Home Loan Bank, 0.29% |   |   | 2,001,910 |   |   |   | 1.52 | % |
|                                                              | 6,000,000 |   | 1/4/2013 | Federal National Mort Assoc Disc Note, 0.009% |   |   | 5,999,994 |   |   |   | 4.56 | % |
|                                                              | 3,200,000 |   | 2/22/2013 | Federal National Mortgage Association, 1.75% |   |   | 3,207,194 |   |   |   | 2.44 | % |
|                                                              | 500,000   |   | 2/26/2013 | Federal National Mortgage Association, 0.75% |   |   | 500,465 |   |   |   | 0.38 | % |
|                                                              | 3,500,000 |   | 5/7/2013 | Federal National Mortgage Association, 1.75% |   |   | 3,519,061 |   |   |   | 2.67 | % |
|                                                              | 4,100,000 |   | 8/20/2013 | Federal National Mortgage Association, 1.25% |   |   | 4,126,970 |   |   |   | 3.14 | % |
|                                                              | 5,000,000 |   | 9/23/2013 | Federal National Mortgage Association, 1.00% |   |   | 5,028,960 |   |   |   | 3.82 | % |
|                                                              | 2,900,000 |   | 12/18/2013 | Federal National Mortgage Association, 0.75% |   |   | 2,916,704 |   |   |   | 2.22 | % |
|                                                              |      |   |   |   |   |   |   |   |   |   |   |   |
| Total U.S. Government Agency Bonds and Notes (cost - $50,448,493) |      |   | 50,456,545 |   |   |   | 38.34 | % |
|                                                              |      |   |   |   |   |   |   |   |   |   |   |   |
| Corporate Notes                                                   |      |   |   |   |   |   |   |   |   |   |
| $                                                                 | 3,450,000 |   | 1/17/2013 | Alpine Securitization Corp Disc Note, 0.17% |   |   | 3,449,454 |   |   |   | 2.62 | % |
|                                                              | 3,300,000 |   | 1/14/2013 | American Honda Finance Corp Disc Note, 0.18% |   |   | 3,299,679 |   |   |   | 2.51 | % |
|                                                              | 5,000,000 |   | 1/2/2013 | Bank of Nova Scotia Disc Note, 0.03% |   |   | 4,999,992 |   |   |   | 3.80 | % |
|                                                              | 2,400,000 |   | 1/22/2013 | Banco del Estado de Chile, NY, 0.20% |   |   | 2,400,000 |   |   |   | 1.82 | % |
|                                                              | 2,500,000 |   | 1/3/2013 | Northern Pines Funding LLC, 0.173% |   |   | 2,499,985 |   |   |   | 1.90 | % |
|                                                              | 2,360,000 |   | 1/4/2013 | General Electric Capital Corp Disc Note, 0.07% |   |   | 2,359,931 |   |   |   | 1.79 | % |
|                                                              | 2,000,000 |   | 1/11/2013 | International Business Machines Corp Disc Note, 0.15% |   |   | 1,999,782 |   |   |   | 1.52 | % |
|                                                              | 3,450,000 |   | 1/7/2013 | National Rural Utilities Cooperative Finance, 0.175% |   |   | 3,449,828 |   |   |   | 2.62 | % |
|                                                              | 2,850,000 |   | 1/2/2013 | NetJets Corp Disc Note, 0.14% |   |   | 2,850,000 |   |   |   | 2.17 | % |
|                                                              | 3,450,000 |   | 1/9/2013 | Norinchukin Bank, 0.17% |   |   | 3,449,396 |   |   |   | 2.62 | % |
|                                                              | 4,000,000 |   | 1/15/2013 | Regency Markets No. 1 LLC, 0.19% |   |   | 3,999,323 |   |   |   | 3.04 | % |
|                                                              | 3,450,000 |   | 1/18/2013 | Royal Bank of Canada, 0.16% |   |   | 3,450,000 |   |   |   | 2.62 | % |
|                                                              | 3,350,000 |   | 1/4/2013 | Sumitomo Trust & Banking Co Disc Note, 0.17% |   |   | 3,350,000 |   |   |   | 2.55 | % |
|                                                              | 4,000,000 |   | 1/4/2013 | Toronto-Dominion Holdings, 0.11% |   |   | 3,999,440 |   |   |   | 3.04 | % |
|                                                              |      |   |   |   |   |   |   |   |   |   |   |   |
| Total Corporate Notes (cost - $45,556,810)                        |      |   | 45,556,810 |   |   |   | 34.62 | % |
|                                                              |      |   |   |   |   |   |   |   |   |   |   |   |
| U.S. Treasury Obligations                                         |      |   |   |   |   |   |   |   |   |
| $                                                                 | 7,000,000 |   | 1/10/2013 | United States Treasury Bill, 0.001% |   |   | 6,999,951 |   |   |   | 5.32 | % |
|                                                              | 2,500,000 |   | 3/15/2013 | United States Treasury Note, 1.375% |   |   | 2,506,348 |   |   |   | 1.90 | % |
|                                                              | 2,000,000 |   | 4/15/2013 | United States Treasury Note, 1.75% |   |   | 2,009,376 |   |   |   | 1.53 | % |
|                                                              | 2,000,000 |   | 5/15/2013 | United States Treasury Note, 1.375% |   |   | 2,009,296 |   |   |   | 1.53 | % |
|                                                              | 200,000   |   | 5/31/2013 | United States Treasury Note, 0.50% |   |   | 200,320 |   |   |   | 0.15 | % |
|                                                              | 3,000,000 |   | 6/15/2013 | United States Treasury Note, 1.125% |   |   | 3,013,593 |   |   |   | 2.29 | % |
|                                                              | 2,000,000 |   | 11/30/2013 | United States Treasury Note, 2.00% |   |   | 2,032,890 |   |   |   | 1.55 | % |
|                                                              |      |   |   |   |   |   |   |   |   |   |   |   |
| Total United States Treasury Obligations (cost - $18,768,608)     |      |   | 18,771,774 |   |   |   | 14.27 | % |
|                                                              |      |   |   |   |   |   |   |   |   |   |   |   |
| Total Investment Securities (cost - $114,773,911)                 |      | $ | 114,785,129 |   |   |   | 87.23 | % |

----

| ALTEGRIS QIM FUTURES FUND, L.P.               |                     |
|-----------------------------------------------|--------------------------|
| CONDENSED SCHEDULE OF INVESTMENTS (continued) |                     |
| DECEMBER 31, 2012                             |                     |
| _______________                               |                     |
|                                          |                     |   |   |   |   |   |   |   |   |   |
|                                          | Range ofExpiration Dates |   | Number ofContracts |   |   | Value |   |   | % of Partners' Capital |
|                                          |                     |   |   |   |   |   |   |   |   |   |
| Long Futures Contracts:                       |                     |   |   |   |   |   |   |   |   |   |
| Agriculture                                   | Feb 13 - Mar 13          |   |   | 66 |   |   | $ | (16,989 | ) |   |   | (0.01 | )% |
| Currencies                                    | Mar 13                   |   |   | 466 |   |   |   | (226,255 | ) |   |   | (0.17 | )% |
| Energy                                        | Feb 13                   |   |   | 23 |   |   |   | 14,803 |   |   |   | 0.01 | % |
| Interest Rates                                | Mar 13                   |   |   | 823 |   |   |   | 1,282,253 |   |   |   | 0.97 | % |
| Metals                                        | Feb 13 - Mar 13          |   |   | 45 |   |   |   | 72,630 |   |   |   | 0.06 | % |
| Stock Indices                                 | Jan 13                   |   |   | 140 |   |   |   | (113,687 | ) |   |   | (0.09 | )% |
|                                          |                     |   |   |   |   |   |   |   |   |   |   |   |   |
| Total Long Futures Contracts                  |                     |   |   | 1,563 |   |   |   | 1,012,755 |   |   |   | 0.77 | % |
|                                          |                     |   |   |   |   |   |   |   |   |   |   |   |   |
| Short Futures Contracts:                      |                     |   |   |   |   |   |   |   |   |   |   |   |   |
| Agriculture                                   | Mar 13                   |   |   | 31 |   |   |   | 6,336 |   |   |   | 0.00 | % |
| Currencies                                    | Mar 13                   |   |   | 179 |   |   |   | (6,124 | ) |   |   | (0.00 | )% |
| Energy                                        | Feb 13                   |   |   | 33 |   |   |   | 41,631 |   |   |   | 0.03 | % |
| Interest Rates                                | Mar 13                   |   |   | 120 |   |   |   | 116,306 |   |   |   | 0.09 | % |
| Metals                                        | Apr 13                   |   |   | 7 |   |   |   | (595 | ) |   |   | (0.00 | )% |
| Stock Indices                                 | Jan 13 - Mar 13          |   |   | 2,449 |   |   |   | (1,478,141 | ) |   |   | (1.12 | )% |
| Treasury Rates                                | Mar 13                   |   |   | 1,748 |   |   |   | (657,336 | ) |   |   | (0.50 | )% |
|                                          |                     |   |   |   |   |   |   |   |   |   |   |   |   |
| Total Short Futures Contracts                 |                     |   |   | 4,567 |   |   |   | (1,977,923 | ) |   |   | (1.50 | )% |
|                                          |                     |   |   |   |   |   |   |   |   |   |   |   |   |
| Total Futures Contracts                       |                     |   |   | 6,130 |   |   | $ | (965,168 | ) |   |   | (0.73 | )% |

----

| ALTEGRIS QIM FUTURES FUND, L.P.                                   |      |
|-------------------------------------------------------------------|-----------|
| CONDENSED SCHEDULE OF INVESTMENTS                                 |      |
| DECEMBER 31, 2011                                                 |      |
| _______________                                                   |      |
|                                                              |      |   |   |   |   |   |   |   |   |
| INVESTMENT SECURITIES                                             |      |   |   |   |   |   |   |
| Face Value                                                        |      | Maturity Date |  Description |   | Value |   |   | % of Partners' Capital |
|                                                              |      |   |   |   |   |   |   |   |   |
| Fixed Income Investments                                          |      |   |   |   |   |   |   |
|                                                              |      |   |   |   |   |   |   |   |   |
| U.S. Government Agency Bonds and Notes                            |      |   |   |   |   |   |
| $                                                                 | 7,625,000 |   | 1/3/2012 | Federal Farm Credit Bank Disc Note, 0.01% |   | $ | 7,624,996 |   |   |   | 6.23 | % |
|                                                              | 2,130,000 |   | 4/4/2013 | Federal Farm Credit Bank, 0.84% |   |   | 2,132,916 |   |   |   | 1.74 | % |
|                                                              | 1,000,000 |   | 5/2/2013 | Federal Farm Credit Bank, 0.75% |   |   | 1,005,515 |   |   |   | 0.82 | % |
|                                                              | 1,500,000 |   | 4/2/2012 | Federal Home Loan Bank, 0.17% |   |   | 1,500,186 |   |   |   | 1.23 | % |
|                                                              | 500,000   |   | 5/18/2012 | Federal Home Loan Bank, 1.125% |   |   | 501,883 |   |   |   | 0.41 | % |
|                                                              | 1,500,000 |   | 7/18/2012 | Federal Home Loan Bank, 0.25% |   |   | 1,500,323 |   |   |   | 1.23 | % |
|                                                              | 2,000,000 |   | 8/22/2012 | Federal Home Loan Bank, 0.18% |   |   | 1,999,268 |   |   |   | 1.63 | % |
|                                                              | 5,100,000 |   | 9/7/2012 | Federal Home Loan Bank, 0.14% |   |   | 5,096,450 |   |   |   | 4.16 | % |
|                                                              | 5,000,000 |   | 9/10/2012 | Federal Home Loan Bank, 0.14% |   |   | 4,996,445 |   |   |   | 4.08 | % |
|                                                              | 2,000,000 |   | 9/14/2012 | Federal Home Loan Bank, 0.20% |   |   | 1,999,372 |   |   |   | 1.63 | % |
|                                                              | 3,500,000 |   | 9/25/2012 | Federal Home Loan Bank, 0.14% |   |   | 3,497,235 |   |   |   | 2.86 | % |
|                                                              | 6,500,000 |   | 10/25/2012 | Federal Home Loan Bank, 0.125% |   |   | 6,493,422 |   |   |   | 5.31 | % |
|                                                              | 4,000,000 |   | 11/16/2012 | Federal Home Loan Bank, 0.50% |   |   | 4,001,564 |   |   |   | 3.27 | % |
|                                                              | 500,000   |   | 4/29/2013 | Federal Home Loan Mortgage Corporation, 0.70% |   |   | 500,147 |   |   |   | 0.41 | % |
|                                                              | 2,350,000 |   | 2/13/2012 | Federal Home Loan Mort Corp Disc Note, 0.02% |   |   | 2,349,946 |   |   |   | 1.92 | % |
|                                                              | 150,000   |   | 4/9/2012 | Federal Home Loan Mort Corp Disc Note, 0.02% |   |   | 149,992 |   |   |   | 0.12 | % |
|                                                              | 3,000,000 |   | 5/29/2012 | Federal Home Loan Mort Corp Disc Note, 0.02% |   |   | 2,999,754 |   |   |   | 2.45 | % |
|                                                              | 3,800,000 |   | 5/1/2012 | Federal National Mort Assoc Disc Note, 0.00% |   |   | 3,799,749 |   |   |   | 3.10 | % |
|                                                              | 2,750,000 |   | 4/20/2012 | Federal National Mortgage Association, 1.875% |   |   | 2,764,583 |   |   |   | 2.26 | % |
|                                                              | 3,000,000 |   | 10/30/2012 | Federal National Mortgage Association, 0.50% |   |   | 3,004,686 |   |   |   | 2.45 | % |
|                                                              |      |   |   |   |   |   |   |   |
| Total U.S. Government Agency Bonds and Notes (cost - $57,916,727) |      |   | 57,918,432 |   |   |   | 47.31 | % |
|                                                              |      |   |   |   |   |   |   |   |   |   |   |   |
| Corporate Notes                                                   |      |   |   |   |   |   |   |   |   |   |
| $                                                                 | 1,800,000 |   | 1/27/2012 | Amsterdam Funding Corp Disc Note, 0.28% |   |   | 1,799,594 |   |   |   | 1.47 | % |
|                                                              | 1,100,000 |   | 1/3/2012 | Argento Variable Funding Corp Disc Note, 0.31% |   |   | 1,099,725 |   |   |   | 0.90 | % |
|                                                              | 500,000   |   | 1/4/2012 | Aspen Funding Corp Disc Note, 0.35% |   |   | 499,877 |   |   |   | 0.41 | % |
|                                                              | 3,100,000 |   | 1/4/2012 | Bank of Montreal Disc Note, 0.12% |   |   | 3,100,000 |   |   |   | 2.53 | % |
|                                                              | 3,000,000 |   | 1/3/2012 | Bank of Nova Scotia Disc Note, 0.03% |   |   | 2,999,990 |   |   |   | 2.45 | % |
|                                                              | 3,000,000 |   | 1/4/2012 | Bank of Tokyo-Mitsubishi UFJ Ltd Disc Note, 0.10% |   |   | 2,999,942 |   |   |   | 2.45 | % |
|                                                              | 3,250,000 |   | 1/9/2012 | Coca-Cola Enterprises Inc Disc Note, 0.05% |   |   | 3,249,887 |   |   |   | 2.65 | % |
|                                                              | 4,000,000 |   | 1/11/2012 | General Electric Capital Corp Disc Note, 0.02% |   |   | 3,999,969 |   |   |   | 3.27 | % |
|                                                              | 2,800,000 |   | 1/13/2012 | Google Inc Disc Note, 0.05% |   |   | 2,799,891 |   |   |   | 2.29 | % |
|                                                              | 2,500,000 |   | 1/6/2012 | Grampian Funding LLC Disc Note, 0.30% |   |   | 2,499,417 |   |   |   | 2.04 | % |
|                                                              | 3,500,000 |   | 1/6/2012 | Mizuho Funding LLC Disc Note, 0.20% |   |   | 3,499,449 |   |   |   | 2.86 | % |
|                                                              | 2,370,000 |   | 1/13/2012 | Mont Blanc Capital Disc Note, 0.34% |   |   | 2,369,348 |   |   |   | 1.93 | % |
|                                                              | 3,700,000 |   | 1/13/2012 | National Australian Bank Disc Note, 0.05% |   |   | 3,700,000 |   |   |   | 3.02 | % |
|                                                              | 350,000   |   | 1/11/2012 | National Bank of Canada Disc Note, 0.09% |   |   | 350,000 |   |   |   | 0.29 | % |
|                                                              | 2,150,000 |   | 1/6/2012 | Netjets Inc Disc Note, 0.06% |   |   | 2,149,896 |   |   |   | 1.76 | % |
|                                                              | 1,450,000 |   | 1/13/2012 | Norinchukin Bank Disc Note, 0.30% |   |   | 1,450,000 |   |   |   | 1.18 | % |
|                                                              | 2,230,000 |   | 1/5/2012 | Pfizer Inc Disc Note, 0.03% |   |   | 2,229,963 |   |   |   | 1.82 | % |
|                                                              | 2,100,000 |   | 1/10/2012 | Shizuoka Bank/New York Disc Note, 0.40% |   |   | 2,100,146 |   |   |   | 1.72 | % |
|                                                              | 2,800,000 |   | 1/6/2012 | State Street Bank & Trust Disc Note, 0.10% |   |   | 2,799,767 |   |   |   | 2.29 | % |
|                                                              | 3,400,000 |   | 1/12/2012 | Sumitomo Trust & Banking Co Disc Note, 0.24% |   |   | 3,399,365 |   |   |   | 2.78 | % |
|                                                              | 3,000,000 |   | 1/6/2012 | Tasman Funding Inc Disc Note, 0.40% |   |   | 2,999,090 |   |   |   | 2.45 | % |
|                                                              | 2,600,000 |   | 1/23/2012 | Toyota Motor Credit Corp Disc Note, 0.04% |   |   | 2,599,925 |   |   |   | 2.12 | % |
|                                                              |      |   |   |   |   |   |   |   |   |   |   |   |
| Total Corporate Notes (cost - $54,695,241)                        |      |   | 54,695,241 |   |   |   | 44.68 | % |
|                                                              |      |   |   |   |   |   |   |   |   |   |   |   |
| Total Investment Securities (cost - $112,611,968)                 |      | $ | 112,613,673 |   |   |   | 91.99 | % |

----

| ALTEGRIS QIM FUTURES FUND, L.P.               |                     |
|-----------------------------------------------|--------------------------|
| CONDENSED SCHEDULE OF INVESTMENTS (continued) |                     |
| DECEMBER 31, 2011                             |                     |
| _______________                               |                     |
|                                          |                     |   |   |   |   |   |   |   |   |   |
|                                          | Range ofExpiration Dates |   | Number of Contracts |   |   | Value |   |   | % of Partners' Capital |
|                                          |                     |   |   |   |   |   |   |   |   |   |
| Long Futures Contracts:                       |                     |   |   |   |   |   |   |   |   |   |
| Agriculture                                   | Feb 12 - Mar 12          |   |   | 23 |   |   | $ | 21,603 |   |   |   | 0.02 | % |
| Currencies                                    | Mar 12                   |   |   | 53 |   |   |   | 33,197 |   |   |   | 0.03 | % |
| Energy                                        | Feb 12                   |   |   | 72 |   |   |   | (39,902 | ) |   |   | (0.03 | )% |
| Interest Rates                                | Mar 12 - Dec 12          |   |   | 180 |   |   |   | 306,344 |   |   |   | 0.25 | % |
| Metals                                        | Feb 12 - Apr 12          |   |   | 24 |   |   |   | (34,134 | ) |   |   | (0.03 | )% |
| Stock Indices                                 | Mar 12                   |   |   | 23 |   |   |   | 4,484 |   |   |   | 0.00 | % |
|                                          |                     |   |   |   |   |   |   |   |   |   |   |   |   |
| Total Long Futures Contracts                  |                     |   |   | 375 |   |   |   | 291,592 |   |   |   | 0.24 | % |
|                                          |                     |   |   |   |   |   |   |   |   |   |   |   |   |
| Short Futures Contracts:                      |                     |   |   |   |   |   |   |   |   |   |   |   |   |
| Agriculture                                   | Mar 12                   |   |   | 132 |   |   |   | (118,140 | ) |   |   | (0.10 | )% |
| Currencies                                    | Mar 12                   |   |   | 141 |   |   |   | (52,983 | ) |   |   | (0.05 | )% |
| Energy                                        | Feb 12                   |   |   | 7 |   |   |   | 7,726 |   |   |   | 0.01 | % |
| Interest Rates                                | Mar 12 - Dec 12          |   |   | 175 |   |   |   | (77,160 | ) |   |   | (0.06 | )% |
| Metals                                        | Mar 12                   |   |   | 12 |   |   |   | (2,880 | ) |   |   | (0.00 | )% |
| Stock Indices                                 | Jan 12 - Mar 12          |   |   | 288 |   |   |   | (248,659 | ) |   |   | (0.20 | )% |
| Treasury Rates                                | Mar 12                   |   |   | 1,541 |   |   |   | (1,200,289 | ) |   |   | (0.98 | )% |
|                                          |                     |   |   |   |   |   |   |   |   |   |   |   |   |
| Total Short Futures Contracts                 |                     |   |   | 2,296 |   |   |   | (1,692,385 | ) |   |   | (1.38 | )% |
|                                          |                     |   |   |   |   |   |   |   |   |   |   |   |   |
| Total Futures Contracts                       |                     |   |   | 2,671 |   |   | $ | (1,400,793 | ) |   |   | (1.14 | )% |

----

| ALTEGRIS QIM FUTURES FUND, L.P.                                                                                                          |   |
|------------------------------------------------------------------------------------------------------------------------------------------|--------|
| STATEMENTS OF OPERATIONS                                                                                                                 |   |
| FOR THE YEARS ENDED DECEMBER 31, 2012, 2011 AND 2010                                                                                     |   |
| _______________                                                                                                                          |   |
|                                                                                                                                     |   |   |   |   |   |   |   |   |   |
|                                                                                                                                     |   | 2012 |   |   | 2011 |   |   | 2010 |   |
| TRADING GAIN (LOSS)                                                                                                                      |   |   |   |   |   |   |   |   |   |
|     Gain (loss) on trading of commodity futures                                                                      |   |   |   |   |   |   |   |   |   |
| Realized                                                                                                                                 |   | $ | 10,393,409 |   |   | $ | 8,596,171 |   |   | $ | 1,070,005 |   |
| Change in unrealized                                                                                                                     |   |   | 435,625 |   |   |   | (2,035,310 | ) |   |   | 357,647 |   |
| Brokerage commissions                                                                                                                    |   |   | (1,916,974 | ) |   |   | (1,941,056 | ) |   |   | (1,178,732 | ) |
|                                                                                                                                     |   |   |   |   |   |   |   |   |   |   |   |   |
|                 Gain from trading futures                |   |   | 8,912,060 |   |   |   | 4,619,805 |   |   |   | 248,920 |   |
|                                                                                                                                     |   |   |   |   |   |   |   |   |   |   |   |   |
|     Gain (loss) on trading of securities                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |
| Realized                                                                                                                                 |   |   | 53,478 |   |   |   | 84,882 |   |   |   | 53,498 |   |
| Change in unrealized                                                                                                                     |   |   | 9,513 |   |   |   | 33,063 |   |   |   | 75 |   |
|                                                                                                                                     |   |   |   |   |   |   |   |   |   |   |   |   |
|                 Gain from trading securities             |   |   | 62,991 |   |   |   | 117,945 |   |   |   | 53,573 |   |
|                                                                                                                                     |   |   |   |   |   |   |   |   |   |   |   |   |
|     Foreign currency gain (loss)                                                                                     |   |   | 52,966 |   |   |   | (20,651 | ) |   |   | (27,069 | ) |
|                                                                                                                                     |   |   |   |   |   |   |   |   |   |   |   |   |
|                 Total trading gain                       |   |   | 9,028,017 |   |   |   | 4,717,099 |   |   |   | 275,424 |   |
|                                                                                                                                     |   |   |   |   |   |   |   |   |   |   |   |   |
| NET INVESTMENT INCOME (LOSS)                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |
|     Income                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |
|         Interest income                                                                          |   |   | 146,654 |   |   |   | 266,259 |   |   |   | 340,113 |   |
|                                                                                                                                     |   |   |   |   |   |   |   |   |   |   |   |   |
|     Expenses                                                                                                         |   |   |   |   |   |   |   |   |   |   |   |   |
| Management fee                                                                                                                           |   |   | 1,454,056 |   |   |   | 1,462,413 |   |   |   | 904,887 |   |
| Service fees                                                                                                                             |   |   | 1,050,901 |   |   |   | 1,040,721 |   |   |   | 682,404 |   |
| Professional fees                                                                                                                        |   |   | 452,460 |   |   |   | 442,183 |   |   |   | 411,791 |   |
| Administrative fee                                                                                                                       |   |   | 329,013 |   |   |   | 338,185 |   |   |   | 213,867 |   |
| Offering costs                                                                                                                           |   |   | 33,970 |   |   |   | 79,863 |   |   |   | 52,918 |   |
| Incentive fees                                                                                                                           |   |   | 4,320,095 |   |   |   | 969,544 |   |   |   | 375,888 |   |
| Organization and initial offering expenses                                                                                               |   |   | 12,800 |   |   |   | 12,800 |   |   |   | 3,200 |   |
| Interest expense                                                                                                                         |   |   | 11,679 |   |   |   | 1,053 |   |   |   | - |   |
| Other expenses                                                                                                                           |   |   | 139,775 |   |   |   | 232,063 |   |   |   | - |   |
|                                                                                                                                     |   |   |   |   |   |   |   |   |   |   |   |   |
|                 Total expenses                           |   |   | 7,804,749 |   |   |   | 4,578,825 |   |   |   | 2,644,955 |   |
|                                                                                                                                     |   |   |   |   |   |   |   |   |   |   |   |   |
|                 Expenses exceeding operating expense cap |   |   | - |   |   |   | - |   |   |   | (72,016 | ) |
|                                                                                                                                     |   |   |   |   |   |   |   |   |   |   |   |   |
|                 Net expenses                             |   |   | 7,804,749 |   |   |   | 4,578,825 |   |   |   | 2,572,939 |   |
|                                                                                                                                     |   |   |   |   |   |   |   |   |   |   |   |   |
|                 Net investment loss                      |   |   | (7,658,095 | ) |   |   | (4,312,566 | ) |   |   | (2,232,826 | ) |
|                                                                                                                                     |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                     |   |   |   |   |   |   |   |   |   |   |   |   |
|                 NET INCOME (LOSS)                        |   | $ | 1,369,922 |   |   | $ | 404,533 |   |   | $ | (1,957,402 | ) |

----

| ALTEGRIS QIM FUTURES FUND, L.P.                              |   |
|--------------------------------------------------------------|--------|
| STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE) |   |
| FOR THE YEARS ENDED DECEMBER 31, 2012, 2011 AND 2010         |   |
| _______________                                              |   |
|                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                         |   |   |   |   | Limited Partners |   |   |   |   |
|                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                         |   |   |   |   |   |   |   |   |   |   | Institutional |   |   | Special |   |   | General |   |
|                                                         |   | Total |   |   | Class A |   |   | Class B |   |   | Interests |   |   | Interests |   |   | Partner |   |
|                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Balances at December 31, 2009                                |   | $ | 23,140,192 |   |   | $ | 13,152,279 |   |   | $ | 4,824,357 |   |   | $ | 3,201,544 |   |   | $ | 1,961,078 |   |   | $ | 934 |   |
|                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Transfers                                                    |   |   | - |   |   |   | 246,464 |   |   |   | (1,070,855 | ) |   |   | 824,391 |   |   |   | - |   |   |   | - |   |
|                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Capital additions                                            |   |   | 111,271,822 |   |   |   | 45,233,746 |   |   |   | 47,112,814 |   |   |   | 18,925,262 |   |   |   | - |   |   |   | - |   |
|                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Capital withdrawals                                          |   |   | (11,590,716 | ) |   |   | (6,208,905 | ) |   |   | (2,260,258 | ) |   |   | (2,166,082 | ) |   |   | (955,471 | ) |   |   | - |   |
|                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| From operations:                                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net investment loss                                          |   |   | (2,232,826 | ) |   |   | (1,401,642 | ) |   |   | (687,279 | ) |   |   | (141,473 | ) |   |   | (2,401 | ) |   |   | (31 | ) |
| Net realized loss from investments                           |   |   | (82,298 | ) |   |   | (228,554 | ) |   |   | 339,822 |   |   |   | (93,322 | ) |   |   | (100,207 | ) |   |   | (37 | ) |
| Net change in unrealized gain (loss) from investments        |   |   | 357,722 |   |   |   | 121,931 |   |   |   | 159,987 |   |   |   | 78,848 |   |   |   | (3,042 | ) |   |   | (2 | ) |
| Net loss                                                     |   |   | (1,957,402 | ) |   |   | (1,508,265 | ) |   |   | (187,470 | ) |   |   | (155,947 | ) |   |   | (105,650 | ) |   |   | (70 | ) |
|                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Balances at December 31, 2010                                |   | $ | 120,863,896 |   |   | $ | 50,915,319 |   |   | $ | 48,418,588 |   |   | $ | 20,629,168 |   |   | $ | 899,957 |   |   | $ | 864 |   |
|                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Balances at December 31, 2010                                |   | $ | 120,863,896 |   |   | $ | 50,915,319 |   |   | $ | 48,418,588 |   |   | $ | 20,629,168 |   |   | $ | 899,957 |   |   | $ | 864 |   |
|                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Transfers                                                    |   |   | - |   |   |   | (220,990 | ) |   |   | (262,792 | ) |   |   | 483,782 |   |   |   | - |   |   |   | - |   |
|                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Capital additions                                            |   |   | 35,359,185 |   |   |   | 15,033,796 |   |   |   | 10,364,722 |   |   |   | 9,960,667 |   |   |   | - |   |   |   | - |   |
|                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Capital withdrawals                                          |   |   | (34,214,579 | ) |   |   | (14,863,403 | ) |   |   | (11,831,149 | ) |   |   | (6,626,199 | ) |   |   | (893,828 | ) |   |   | - |   |
|                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| From operations:                                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net investment loss                                          |   |   | (4,312,566 | ) |   |   | (2,448,856 | ) |   |   | (1,322,778 | ) |   |   | (537,300 | ) |   |   | (3,599 | ) |   |   | (33 | ) |
| Net realized gain from investments                           |   |   | 6,719,346 |   |   |   | 2,762,306 |   |   |   | 2,537,656 |   |   |   | 1,412,866 |   |   |   | 6,471 |   |   |   | 47 |   |
| Net change in unrealized loss from investments               |   |   | (2,002,247 | ) |   |   | (813,722 | ) |   |   | (778,886 | ) |   |   | (400,624 | ) |   |   | (9,001 | ) |   |   | (14 | ) |
| Net income                                                   |   |   | 404,533 |   |   |   | (500,272 | ) |   |   | 435,992 |   |   |   | 474,942 |   |   |   | (6,129 | ) |   |   | - |   |
|                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Balances at December 31, 2011                                |   | $ | 122,413,035 |   |   | $ | 50,364,450 |   |   | $ | 47,125,361 |   |   | $ | 24,922,360 |   |   | $ | - |   |   | $ | 864 |   |
|                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Balances at December 31, 2011                                |   | $ | 122,413,035 |   |   | $ | 50,364,450 |   |   | $ | 47,125,361 |   |   | $ | 24,922,360 |   |   | $ | - |   |   | $ | 864 |   |
|                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Transfers                                                    |   |   | - |   |   |   | (1,576,592 | ) |   |   | 1,556,577 |   |   |   | 20,015 |   |   |   | - |   |   |   | - |   |
|                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Capital additions                                            |   |   | 36,128,183 |   |   |   | 18,718,341 |   |   |   | 11,057,609 |   |   |   | 6,352,233 |   |   |   | - |   |   |   | - |   |
|                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Capital withdrawals                                          |   |   | (28,319,925 | ) |   |   | (12,490,625 | ) |   |   | (11,965,356 | ) |   |   | (3,863,944 | ) |   |   | - |   |   |   | - |   |
|                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| From operations:                                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net investment loss                                          |   |   | (7,658,095 | ) |   |   | (3,856,106 | ) |   |   | (2,494,854 | ) |   |   | (1,307,098 | ) |   |   | - |   |   |   | (37 | ) |
| Net realized gain from investments                           |   |   | 8,582,879 |   |   |   | 3,678,615 |   |   |   | 2,884,888 |   |   |   | 2,019,315 |   |   |   | - |   |   |   | 61 |   |
| Net change in unrealized gain from  investments         |   |   | 445,138 |   |   |   | 178,159 |   |   |   | 203,584 |   |   |   | 63,394 |   |   |   | - |   |   |   | 1 |   |
| Net income                                                   |   |   | 1,369,922 |   |   |   | 668 |   |   |   | 593,618 |   |   |   | 775,611 |   |   |   | - |   |   |   | 25 |   |
|                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Balances at December 31, 2012                                |   | $ | 131,591,215 |   |   | $ | 55,016,242 |   |   | $ | 48,367,809 |   |   | $ | 28,206,275 |   |   | $ | - |   |   | $ | 889 |   |

----

| A. | General Description of the Partnership |
|----|----------------------------------------|

| B. | Methods of Reporting |
|----|----------------------|

| C. | Fair Value |
|----|------------|

----

----

----

| December 31, 2012                                              |   | Level 1 |       |   | Level 2 |   |       | Level 3 |   |   | Balance as ofDecember 31,2012 |   |
|----------------------------------------------------------------|--------|---------|------------|--------|---------|--------|------------|---------|--------|--------|-------------------------------|--------|
|                                                           |   |    |       |   |    |   |       |    |   |   |                          |   |
| Assets                                                         |   |    |       |   |    |   |       |    |   |   |                          |   |
|                                                           |   |    |       |   |    |   |       |    |   |   |                          |   |
|     Futures contracts (1)                  |   | $       | 1,740,253  |   |    | $      | -          |    |   | $      | -                             |   |   | $ | 1,740,253 |   |
|     U.S. Government agency bonds and notes |   |    | 50,456,545 |   |    |   | -          |    |   |   | -                             |   |   |   | 50,456,545 |   |
|     Corporate notes                        |   |    | -          |   |    |   | 45,556,810 |    |   |   | -                             |   |   |   | 45,556,810 |   |
|     U.S. Treasury obligations              |   |    | 18,771,774 |   |    |   | -          |    |   |   | -                             |   |   |   | 18,771,774 |   |
|                                                           |   |    |       |   |    |   |       |    |   |   |                          |   |   |   |   |   |
| Total Assets                                                   |   | $       | 70,968,572 |   |    | $      | 45,556,810 |    |   | $      | -                             |   |   | $ | 116,525,382 |   |
|                                                           |   |    |       |   |    |   |       |    |   |   |                          |   |   |   |   |   |
| Liabilities                                                    |   |    |       |   |    |   |       |    |   |   |                          |   |   |   |   |   |
|                                                           |   |    |       |   |    |   |       |    |   |   |                          |   |   |   |   |   |
|      Futures contracts (1)                 |   | $       | (2,705,421 | )      |    | $      | -          |    |   | $      | -                             |   |   | $ | (2,705,421 | ) |

| December 31, 2011                                              |   | Level 1 |       |   | Level 2 |   |       | Level 3 |   |   | Balance as ofDecember 31,2011 |   |
|----------------------------------------------------------------|--------|---------|------------|--------|---------|--------|------------|---------|--------|--------|-------------------------------|--------|
|                                                           |   |    |       |   |    |   |       |    |   |   |                          |   |
| Assets                                                         |   |    |       |   |    |   |       |    |   |   |                          |   |
|                                                           |   |    |       |   |    |   |       |    |   |   |                          |   |
|     Futures contracts (1)                  |   | $       | 406,872    |   |    | $      | -          |    |   | $      | -                             |   |   | $ | 406,872 |   |
|     U.S. Government agency bonds and notes |   |    | 57,918,432 |   |    |   | -          |    |   |   | -                             |   |   |   | 57,918,432 |   |
|     Corporate notes                        |   |    | -          |   |    |   | 54,695,241 |    |   |   | -                             |   |   |   | 54,695,241 |   |
|                                                           |   |    |       |   |    |   |       |    |   |   |                          |   |   |   |   |   |
|   Total Assets                                            |   | $       | 58,325,304 |   |    | $      | 54,695,241 |    |   | $      | -                             |   |   | $ | 113,020,545 |   |
|                                                           |   |    |       |   |    |   |       |    |   |   |                          |   |   |   |   |   |
| Liabilities                                                    |   |    |       |   |    |   |       |    |   |   |                          |   |   |   |   |   |
|                                                           |   |    |       |   |    |   |       |    |   |   |                          |   |   |   |   |   |
|     Futures contracts (1)                  |   | $       | (1,807,665 | )      |    | $      | -          |    |   | $      | -                             |   |   | $ | (1,807,665 | ) |

----

----

----

----

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|                               |   | Year ended        |      |   | Year ended        |   |      | Year ended        |   |
|------------------------------------|--------|-------------------|-----------|--------|-------------------|--------|-----------|-------------------|--------|
|                               |   | December 31, 2012 |      |   | December 31, 2011 |   |      | December 31, 2010 |   |
| Altegris Futures - Commission fees |   | $                 | 932,086   |   |              | $      | 845,472   |              |   | $ | 380,647 |   |
| Altegris Futures - Brokerage fees  |   |              | 457,524   |   |              |   | 621,604   |              |   |   | 599,578 |   |
| Altegris Investments- Service fees |   |              | 286,599   |   |              |   | 352,331   |              |   |   | 327,300 |   |
| Total                              |   | $                 | 1,676,209 |   |              | $      | 1,819,407 |              |   | $ | 1,307,525 |   |

----

| December 31, 2012 |
|-------------------|

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

| December 31, 2011 |
|-------------------|

|                   |   | Asset       |    |   | Liability   |   |       |       |   |
|------------------------|--------|-------------|---------|--------|-------------|--------|------------|------------|--------|
|                   |   | Derivatives |    |   | Derivatives |   |       | Net        |   |
|                   |   | Fair Value  |    |   | Fair Value  |   |       | Fair Value |   |
|                   |   |        |    |   |        |   |       |       |   |
|  Futures Contacts |   | $           | 406,872 |   |        | $      | (1,807,665 | )          |   | $ | (1,400,793 | ) |

----

| Year Ended December 31, 2012  |
|------------------------------------|
|                               |   |   |   |   | Change in |   |   | Number of |   |
|                               |   | Realized |   |   | Unrealized |   |   | Contracts Closed |   |
|                               |   |   |   |   |   |   |   |   |   |
| Futures Contracts                  |   | $ | 10,393,409 |   |   | $ | 435,625 |   |   |   | 150,019 |   |

|                    |   |     |      |   | Change in  |   |       | Number of        |   |
|-------------------------|--------|----------|-----------|--------|------------|--------|------------|------------------|--------|
|                    |   | Realized |      |   | Unrealized |   |       | Contracts Closed |   |
|                    |   |     |      |   |       |   |       |             |   |
|  Futures Contracts |   | $        | 8,596,171 |   |       | $      | (2,035,310 | )                |   |   | 122,024 |   |

|                    |   |     |      |   | Change in  |   |    | Number of        |   |
|-------------------------|--------|----------|-----------|--------|------------|--------|---------|------------------|--------|
|                    |   | Realized |      |   | Unrealized |   |    | Contracts Closed |   |
|                    |   |     |      |   |       |   |    |             |   |
|  Futures Contracts |   | $        | 1,070,005 |   |       | $      | 357,647 |             |   |   | 56,610 |   |

----

----

|                                 |   | Year ended December 31, 2012 |   |
|--------------------------------------|--------|------------------------------|--------|
|                                 |   |                         |   |
|                                 |   |                         |   |   |   |   |   | Institutional |   |
|                                 |   | Class A                      |   |   | Class B |   |   | Interest |   |
|                                 |   |                         |   |   |   |   |   |   |   |
| Total return for Limited Partners    |   |                         |   |   |   |   |   |   |   |
| Total return prior to incentive fees |   |                         | 3.43   | % |   |   | 5.49 | % |   |   | 6.36 | % |
| Incentive fees                       |   |                         | (3.47  | %) |   |   | (3.56 | %) |   |   | (3.71 | %) |
| Total return after incentive fees    |   |                         | (0.04  | %) |   |   | 1.93 | % |   |   | 2.65 | % |
|                                 |   |                         |   |   |   |   |   |   |   |   |   |   |
| Ratio to average net asset value     |   |                         |   |   |   |   |   |   |   |   |   |   |
| Expenses prior to incentive fees     |   |                         | 4.19   | % |   |   | 2.14 | % |   |   | 1.29 | % |
| Incentive fees                       |   |                         | 3.47   | % |   |   | 3.36 | % |   |   | 3.64 | % |
| Total expenses                       |   |                         | 7.66   | % |   |   | 5.50 | % |   |   | 4.93 | % |
| Net investment loss (1)              |   |                         | (4.07  | %) |   |   | (2.02 | %) |   |   | (1.17 | %) |

|                                  |   | Year ended December 31, 2011 |   |
|---------------------------------------|--------|------------------------------|--------|
|                                  |   |                         |   |
|                                  |   |                         |   |   |   |   |   | Institutional |   |   | Special |   |
|                                  |   | Class A                      |   |   | Class B |   |   | Interest |   |   | Interests (5) |   |
|                                  |   |                         |   |   |   |   |   |   |   |   |   |   |
| Total return for Limited Partners (3) |   |                         |   |   |   |   |   |   |   |   |   |   |
| Total return prior to incentive fees  |   |                         | (0.02  | %) |   |   | 2.02 | % |   |   | 2.83 | % |   |   | (0.68 | %) |
| Incentive fees                        |   |                         | (0.65  | %) |   |   | (0.67 | %) |   |   | (0.98 | %) |   |   | 0.00 | % |
| Total return after incentive fees     |   |                         | (0.67  | %) |   |   | 1.35 | % |   |   | 1.85 | % |   |   | (0.68 | %) |
|                                  |   |                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Ratio to average net asset value      |   |                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Expenses prior to incentive fees      |   |                         | 4.28   | % |   |   | 2.23 | % |   |   | 1.41 | % |   |   | 0.78 | % (2) |
| Incentive fees (3)                    |   |                         | 0.73   | % |   |   | 0.69 | % |   |   | 1.12 | % |   |   | 0.00 | % |
| Total expenses                        |   |                         | 5.01   | % |   |   | 2.92 | % |   |   | 2.53 | % |   |   | 0.78 | % |
| Net investment loss (1)               |   |                         | (4.06  | %) |   |   | (2.02 | %) |   |   | (1.20 | %) |   |   | (0.55 | %) (2) |

----

|                                 |   | Year ended December 31, 2010 |   |
|--------------------------------------|--------|------------------------------|--------|
|                                 |   |                         |   |   |   |   |   |   |   |   |   |   |
|                                 |   |                         |   |   |   |   |   | Institutional |   |   | Special |   |
|                                 |   | Class A                      |   |   | Class B |   |   | Interest |   |   | Interests |   |
|                                 |   |                         |   |   |   |   |   |   |   |   |   |   |
| Total return for Limited Partners    |   |                         |   |   |   |   |   |   |   |   |   |   |
| Total return prior to incentive fees |   |                         | (7.51  | %) |   |   | (5.65 | %) |   |   | (4.84 | %) |   |   | (4.28 | %) |
| Incentive fees                       |   |                         | (0.31  | %) |   |   | (0.36 | %) |   |   | (0.24 | %) |   |   | 0.00 | % |
| Total return after incentive fees    |   |                         | (7.82  | %) |   |   | (6.01 | %) |   |   | (5.08 | %) |   |   | (4.28 | %) |
|                                 |   |                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Ratio to average net asset value     |   |                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Expenses prior to incentive fees     |   |                         | 4.08   | % |   |   | 2.08 | % |   |   | 1.26 | % |   |   | 0.65 | % |
| Incentive fees                       |   |                         | 0.46   | % |   |   | 0.58 | % |   |   | 0.33 | % |   |   | 0.00 | % |
| Total expenses (4)                   |   |                         | 4.54   | % |   |   | 2.66 | % |   |   | 1.59 | % |   |   | 0.65 | % |
| Net investment loss (1)              |   |                         | (3.64  | %) |   |   | (1.65 | %) |   |   | (0.82 | %) |   |   | (0.16 | %) |

----

|   | (1) | Excludes incentive fee. |
|--------|-----|-------------------------|

|   | (2) | Annualized only for Special Interests. |
|--------|-----|----------------------------------------|

|   | (3) | Not annualized. |
|--------|-----|-----------------|

|   | (4) | Total expenses are net of 0.13% effect of voluntary waiver of operating expenses for all interests for the year ended December 31, 2010. |
|--------|-----|------------------------------------------------------------------------------------------------------------------------------------------|

|   | (5) | For the period January 1, 2011 to September 30, 2011. |
|--------|-----|-------------------------------------------------------|

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