-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, LUdV8I686Wzzj6XSS5I1bdWn8w/qZh/SOdmIs/Ad3OXp8Qp9IPiBf4OhQxFLnJJD /DUxQuy/sBphyvdqDjuVZg== 0000701286-96-000008.txt : 19961108 0000701286-96-000008.hdr.sgml : 19961108 ACCESSION NUMBER: 0000701286-96-000008 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 19960930 FILED AS OF DATE: 19961107 SROS: NONE FILER: COMPANY DATA: COMPANY CONFORMED NAME: WITTER DEAN SELECT FUTURES FUND LP CENTRAL INDEX KEY: 0000873799 STANDARD INDUSTRIAL CLASSIFICATION: SECURITY BROKERS, DEALERS & FLOTATION COMPANIES [6211] IRS NUMBER: 133619290 STATE OF INCORPORATION: NY FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-Q SEC ACT: 1934 Act SEC FILE NUMBER: 000-19511 FILM NUMBER: 96655712 BUSINESS ADDRESS: STREET 1: TWO WORLD TRADE CNTR - 62ND FLR STREET 2: C/O DEMETER MANAGEMENT CORP CITY: NEW YORK STATE: NY ZIP: 10048 BUSINESS PHONE: 2123928899 MAIL ADDRESS: STREET 1: C/O DEMETER MANAGEMENT CORP STREET 2: TWO WORLD TRADE CENTER CITY: NEW YORK STATE: NY ZIP: 10048 10-Q 1 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 period ended September 30, 1996 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 33-42360 DEAN WITTER SELECT FUTURES FUND L.P. (Exact name of registrant as specified in its charter) Delaware 13-3619290 (State or other jurisdiction of (I.R.S. Employer Incorporation or organization) Identification No.) c/o Demeter Management Corp. Two World Trade Center, New York, NY 62 Fl. 10048 (Address of principal executive offices) (Zip Code) Registrant's telephone number, including area code (212) 392-5454 (Former name, former address, and former fiscal year, if changed since last report) Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes X No DEAN WITTER SELECT FUTURES FUND L.P. INDEX TO QUARTERLY REPORT ON FORM 10-Q September 30, 1996
PART I. FINANCIAL INFORMATION Item 1. Financial Statements Statements of Financial Condition September 30, 1996 (Unaudited) and December 31, 1995.......2 Statements of Operations for the Quarters Ended September 30, 1996 and 1995 (Unaudited)....................3 Statements of Operations for the Nine Months Ended September 30, 1996 and 1995 (Unaudited)....................4 Statements of Changes in Partners' Capital for the Nine Months Ended September 30, 1996 and 1995 (Unaudited).................................................5 Statements of Cash Flows for the Nine Months Ended September 30, 1996 and 1995 (Unaudited)....................6 Notes to Financial Statements............................7-13 Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations............................................14-19 PART II. OTHER INFORMATION Item 6. Exhibits and Reports on Form 8-K...................... 20
DEAN WITTER SELECT FUTURES FUND L.P. STATEMENTS OF FINANCIAL CONDITION
September 30, December 31, 1996 1995 $ $ (Unaudited) ASSETS Equity in Commodity futures trading accounts: Cash 130,470,938 161,132,662 Net unrealized gain on open contracts 10,493,357 17,428,211 Net option premiums - 17,020 Total Trading Equity 140,964,295 178,577,893 Receivable from DWR 826,332 172,749 Interest receivable (DWR) 464,190 592,357 Total Assets 142,254,817 179,342,999 LIABILITIES AND PARTNERS' CAPITAL Liabilities Redemptions payable 2,753,138 1,551,357 Accrued brokerage commissions (DWR) 627,474 664,318 Accrued management fees 353,571 446,105 Accrued administrative expenses 133,331 164,267 Accrued transaction fees and costs 65,717 70,692 Total Liabilities 3,933,231 2,896,739 Partners' Capital Limited Partners (81,068.483 and 93,318.367 Units, respectively) 136,087,660 173,965,425 General Partner (1,330.767 Units) 2,233,926 2,480,835 Total Partners' Capital 138,321,586 176,446,260 Total Liabilities and Partners' Capital 142,254,817 179,342,999 NET ASSET VALUE PER UNIT 1,678.68 1,864.21 The accompanying footnotes are an integral part of these financial statements.
DEAN WITTER SELECT FUTURES FUND L.P. STATEMENTS OF OPERATIONS (Unaudited)
For the Quarters Ended September 30, 1996 1995 $ $ REVENUES Trading profit (loss): Realized (1,501,598) (23,096,586) Net change in unrealized 5,631,814 (20,256,393) Total Trading Results 4,130,216 (43,352,979) Interest Income (DWR) 1,445,079 2,141,061 Total Revenues 5,575,295 (41,211,918) EXPENSES Brokerage commissions (DWR) 2,394,721 3,461,943 Management fees 1,056,305 1,378,315 Transaction fees and costs 232,388 360,150 Administrative expenses 32,000 42,000 Incentive fees - 172,663 Total Expenses 3,715,414 5,415,071 NET INCOME (LOSS) 1,859,881 (46,626,989) NET INCOME (LOSS) ALLOCATION Limited Partners 1,829,258 (46,002,667) General Partner 30,623 (624,322) NET INCOME (LOSS) PER UNIT Limited Partners 23.02 (469.15) General Partner 23.02 (469.15) The accompanying footnotes are an integral part of these financial statements. /TABLE DEAN WITTER SELECT FUTURES FUND L.P. STATEMENTS OF OPERATIONS (Unaudited)
For the Nine Months Ended September 30, 1996 1995 $ $ REVENUES Trading profit (loss): Realized (2,908,270) 67,659,589 Net change in unrealized (6,934,854) (23,598,867) Total Trading Results (9,843,124) 44,060,722 Interest Income (DWR) 4,587,417 6,206,640 Total Revenues (5,255,707) 50,267,362 EXPENSES Brokerage commissions (DWR) 8,555,956 11,298,173 Management fees 3,375,378 4,369,357 Transaction fees and costs 686,894 1,236,654 Administrative expenses 87,000 106,000 Incentive fees (172,663) 8,707,048 Total Expenses 12,532,565 25,717,232 NET INCOME (LOSS) (17,788,272) 24,550,130 NET INCOME (LOSS) ALLOCATION Limited Partners (17,541,363) 24,279,759 General Partner (246,909) 270,371 NET INCOME (LOSS) PER UNIT Limited Partners (185.53) 203.17 General Partner (185.53) 203.17 The accompanying footnotes are an integral part of these financial statements. /TABLE DEAN WITTER SELECT FUTURES FUND L.P. STATEMENTS OF CHANGES IN PARTNERS' CAPITAL For the Nine Months Ended September 30, 1996 and 1995 (Unaudited)
Units of Partnership Limited General Interest Partners Partner Total Partners' Capital December 31, 1994 111,526.087 $166,182,436 $2,006,892 $168,189,328 Net Income - 24,279,759 270,371 24,550,130 Redemptions (13,786.645) (25,483,771) - (25,483,771) Partners' Capital September 30, 1995 97,739.442 $164,978,424 $2,277,263 $167,255,687 Partners' Capital December 31, 1995 94,649.134 $173,965,425 $2,480,835 $176,446,260 Net Loss - (17,541,363) (246,909) (17,788,272) Redemptions (12,249.884) (20,336,402) - (20,336,402) Partners' Capital September 30, 1996 82,399.250 $136,087,660 $2,233,926 $138,321,586 The accompanying footnotes are an integral part of these financial statements.
DEAN WITTER SELECT FUTURES FUND L.P. STATEMENTS OF CASH FLOWS (Unaudited)
For the Nine Months Ended September 30, 1996 1995 $ $ CASH FLOWS FROM OPERATING ACTIVITIES Net income (loss) (17,788,272) 24,550,130 Noncash item included in net income (loss): Net change in unrealized 6,934,854 23,598,867 (Increase) decrease in operating assets: Net option premiums 17,020 58,550 Receivable from DWR (653,583) (221,926) Interest receivable (DWR) 128,167 32,428 Increase (decrease) in operating liabilities: Accrued brokerage commissions (DWR) (36,844) (297,073) Accrued management fees (92,534) (4,599) Accrued administrative expenses (30,936) 19,142 Accrued transaction fees and costs (4,975) 65,367 Net cash provided by (used for) operating activities (11,527,103) 47,800,886 CASH FLOWS FROM FINANCING ACTIVITIES Increase (decrease) in redemptions payable 1,201,781 (1,025,872) Redemptions of units (20,336,402) (25,483,771) Net cash used for financing activities (19,134,621) (26,509,643) Net increase (decrease) in cash (30,661,724) 21,291,243 Balance at beginning of period 161,132,662 147,127,130 Balance at end of period 130,470,938 168,418,373 The accompanying footnotes are an integral part of these financial statements.
DEAN WITTER SELECT FUTURES FUND L.P. NOTES TO FINANCIAL STATEMENTS (UNAUDITED) The financial statements include, in the opinion of management, all adjustments necessary for a fair presentation of the results of operations and financial condition. The financial statements and condensed notes herein should be read in conjunction with the Partnership's December 31, 1995 Annual Report on Form 10-K. 1. Organization Dean Witter Select Futures Fund L.P. (the "Partnership") is a limited partnership organized to engage in the speculative trading of commodity futures contracts, commodity options contracts and forward contracts on foreign currencies. The General Partner for the Partnership is Demeter Management Corporation (the "General Partner"). The commodity broker is Dean Witter Reynolds Inc. ("DWR"). Both the General Partner and DWR are wholly owned subsidiaries of Dean Witter, Discover & Co. The General Partner has retained EMC Capital Management, Inc., Rabar Market Research, Inc. and Sunrise Capital Management, Inc. as the trading advisors of the Partnership. 2. Summary of Significant Accounting Policies Through to August 31, 1996, the Partnership accrued brokerage commissions on a half-turn basis at 80% of DWR's published non- member rates, to a maximum of 3/4 of 1% per month of the Net Assets allocated to each trading advisor as defined in the Limited Partnership Agreement. Transaction fees and costs were accrued on DEAN WITTER SELECT FUTURES FUND L.P. STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (CONTINUED) a half-turn basis. Such transaction fees and costs, exclusive of "give-up" fees, were capped at 1/12 of 1% per month of the Net Assets allocated to each trading advisor. Effective September 1, 1996, maximum total brokerage commissions and transaction fees chargeable to the Partnership are capped at 13/20 of 1% per month of adjusted Net Assets as defined in the Limited Partnership Agreement. Transaction fees and costs are no longer capped separately. 3. Related Party Transactions The Partnership's cash is on deposit with DWR in commodity trading accounts to meet margin requirements as needed. DWR pays interest on these funds based on current 13-week U.S. Treasury Bill rates. Brokerage expenses incurred by the Partnership are paid to DWR. 4. Financial Instruments The Partnership trades futures, options and forward contracts in interest rates, stock indices, commodities, currencies, petroleum and precious metals. Futures and forwards represent contracts for delayed delivery of an instrument at a specified date and price. Risk arises from changes in the value of these contracts and the potential inability of counterparties to perform under the terms of the contracts. There are numerous factors which may significantly influence the market value of these contracts, including interest rate volatility. At September 30, 1996, open contracts were: DEAN WITTER SELECT FUTURES FUND L.P. STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (CONTINUED) Contract or Notional Amount $ Exchange-Traded Contracts Financial Futures: Commitments to Purchase 214,178,000 Commitments to Sell 182,572,000 Commodity Futures: Commitments to Purchase 52,810,000 Commitments to Sell 129,570,000 Foreign Futures: Commitments to Purchase 569,714,000 Commitments to Sell 71,564,000 Off-Exchange-Traded Forward Currency Contracts Commitments to Purchase 671,000 Commitments to Sell 612,000 A portion of the amounts indicated as off-balance-sheet risk in forward currency contracts is due to offsetting forward commitments to purchase and to sell the same currency on the same date in the future. These commitments are economically offsetting, but are not offset in the forward market until the settlement date. The net unrealized gain on open contracts is reported as a component of "Equity in Commodity futures trading accounts" on the Statement of Financial Condition and totaled $10,493,357 at September 30, 1996. Of this amount, $10,495,055 was related to exchange-traded futures contracts and ($1,698) related to off-exchange-traded forward currency contracts. DEAN WITTER SELECT FUTURES FUND L.P. STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (CONTINUED) Exchange-traded futures contracts held by the Partnership at September 30, 1996 mature through September 1997. Off-exchange- traded forward currency contracts held at September 30, 1996 mature through October 1996. The contract amounts in the above table represent the Partnership's extent of involvement in the particular class of financial instrument, but not the credit risk associated with counterparty nonperformance. The credit risk associated with these instruments is limited to the amounts reflected in the Partnership's Statements of Financial Condition. The Partnership also has credit risk because DWR acts as the futures commission merchant or the sole counterparty, with respect to most of the Partnership's assets. Exchange-traded futures and options contracts are marked to market on a daily basis, with variations in value settled on a daily basis. DWR, as the futures commission merchant for all of the Partnership's exchange-traded futures and option contracts, is required pursuant to regulations of the Commodity Futures Trading Commission to segregate from its own assets and for the sole benefit of its commodity customers all funds held by DWR with respect to exchange-traded futures and options contracts including an amount equal to the net unrealized gain on all open futures and options contracts, which funds totaled $140,965,993 at September 30, 1996. With respect to the Partnership's off-exchange traded forward currency contracts, there are no daily settlements of variations in value nor is there any DEAN WITTER SELECT FUTURES FUND L.P. STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (CONTINUED) requirement that an amount equal to the net unrealized gain on open forward contracts be segregated. With respect to those off- exchange-traded forward currency contracts, the Partnership is at risk to the ability of DWR, the counterparty on all such contracts, to perform. For the nine months ended September 30, 1996 the average fair value of financial instruments held for trading purposes was as follows: Assets Liabilities $ $ Exchange-Traded Contracts Financial Futures 290,761,000 290,340,000 Commodity Futures 111,436,000 40,808,000 Options on Commodity Futures 2,581,000 89,000 Foreign Futures 462,741,000 122,771,000 Off-Exchange-Traded Forward Currency Contracts 11,966,000 26,336,000 5. Legal Matters On September 6, 10, and 20, 1996, similar purported class actions were filed in the Superior Court of the State of California, County of Los Angeles, on behalf of all purchasers of interests in limited partnership commodity pools sold by DWR. Named defendants include DWR, the General Partner, Dean Witter Futures and Currency Management Inc., Dean Witter, Discover & Co. (all such parties referred to hereafter as the "Dean Witter Parties"), the Partnership, certain other limited partnership commodity pools of which Demeter is the general partner, and certain trading advisors DEAN WITTER SELECT FUTURES FUND L.P. STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (CONTINUED) to those pools. Also, on September 18 and 20, 1996 similar purported class actions were filed in the Supreme Court of the State of New York, New York County, against the Dean Witter Parties and certain trading advisors on behalf of all purchasers of interests in various limited partnership commodity pools sold by DWR. Generally, these complaints allege, among other things, that the defendants committed fraud, deceit, misrepresentation, breach of fiduciary duty, fraudulent and unfair business practices, unjust enrichment, and conversion in connection with the sale and operation of the various limited partnership commodity pools. The complaints seek unspecified amounts of compensatory and punitive damages and other relief. It is possible that additional similar actions may be filed and that, in the course of these actions, other parties could be added as defendants. The Dean Witter Parties believe that they and the Partnership have strong defenses to, and they will vigorously contest, the actions. Although the ultimate outcome of legal proceedings cannot be predicted with certainty, it is the opinion of management of the Dean Witter Parties that the resolution of the actions will not have a material adverse effect on the financial condition or the results of operations of any of the Dean Witter Parties or the Partnership. DEAN WITTER SELECT FUTURES FUND L.P. STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (CONCLUDED) 6. Subsequent Event The General Partner has determined to reopen the Partnership for additional investment and has registered with the Securities and Exchange Commission 60,000 Units to be offered to investors for a limited time in a public offering with a scheduled first closing on December 2, 1996. Item 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS Liquidity - The Partnership's assets are on deposit in separate commodity interest trading accounts with DWR, and are used by the Partnership as margin to engage in commodity futures, forward contracts, forward contracts on foreign currencies and other commodity interest trading. DWR holds such assets in either designated depositories or in securities approved by the Commodity Futures Trading Commission for investment of customer funds. The Partnership's assets held by DWR may be used as margin solely for the Partnership's trading. Since the Partnership's sole purpose is to trade in commodity futures contracts, forward contracts on foreign currencies and other commodity interests, it is expected that the Partnership will continue to own such liquid assets for margin purposes. The Partnership's investment in commodity futures and forward contracts and other commodity interests may be illiquid. If the price of the futures contract for a particular commodity has increased or decreased by an amount equal to the "daily limit", positions in the commodity can neither be taken nor liquidated unless traders are willing to effect trades at or within the limit. Commodity futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. Such market conditions could prevent the Partnership from promptly liquidating its commodity futures positions. There is no limitation on daily price moves in trading forward contracts on foreign currency. The markets for some world currencies have low trading volume and are illiquid, which may prevent the Partnership from trading in potentially profitable markets or prevent the Partnership from promptly liquidating unfavorable positions in such markets and subjecting it to substantial losses. Either of these market conditions could result in restrictions on redemptions. Capital Resources. The Partnership does not have, nor does it expect to have, any capital assets. Redemptions and sales of additional Units in the future will impact the amount of funds available for investments in commodity futures and forward contracts and other commodity interests. As redemptions are at the discretion of Limited Partners, it is not possible to estimate the amount and therefore, the impact of future redemptions. Results of Operations For the Quarter and Nine Months Ended September 30, 1996 For the quarter ended September 30, 1996, the Partnership's total trading revenues including interest income were $5,575,295. During the third quarter, the Partnership posted an increase in Net Asset Value per Unit. The most significant trading gains were recorded in the financial futures markets from long Australian, Japanese and European bond futures positions as international bond futures prices moved steadily higher between July and September. Additional gains were recorded in the energy markets from long crude and heating oil futures positions as prices trended higher throughout the quarter. These gains were partially offset by losses experienced in the currency markets during August from previously established short Australian dollar positions as its value reversed higher relative to the U.S. dollar. Additional losses were recorded from transactions involving the Swiss franc as its value moved without consistent direction during August and the first half of September. Gains recorded from short Japanese yen positions as its value decreased versus the U.S dollar helped to mitigate currency losses for the quarter. In other markets, smaller trading losses were recorded in soft commodities, soybean products and copper futures as prices moved in a trendless volatile pattern for a majority of the quarter. Total expenses for the quarter were $3,715,414, resulting in net income of $1,859,881. The value of an individual Unit in the Partnership increased from $1,655.66 at June 30, 1996 to $1,678.68 at September 30, 1996. For the nine months ended September 30, 1996, the Partnership's total trading losses net of interest income were $5,255,707. During the first nine months, the Partnership posted a decrease in Net Asset Value per Unit. The most significant losses were experienced in financial futures trading from long U.S. interest rate futures positions during February, as the previous upward price trend that was profitable in late 1995 and January 1996, reversed sharply lower. Additional losses were recorded due to trendless price movement in Japanese bond futures from March through June, in U.S. bond futures between June and September and in global stock index futures for a majority of the second and third quarters. In soft commodities, losses were experienced from choppy price movement in coffee and sugar futures throughout the year. In currency trading, inconsistent movement in the value of the British pound during the first nine months of the year and in the value of the Swiss franc during August and early September resulted in small trading losses. These losses were partially offset by gains recorded from short Japanese yen positions as the value of the yen declined relative to the U.S. dollar. Gains recorded from long crude and heating oil futures positions, as prices trended higher during the third quarter, also helped to offset a portion of overall Partnership losses during the first nine months. Total expenses for the period were $12,532,565, resulting in a net loss of $17,788,272. The value of an individual Unit in the Partnership decreased from $1,864.21 at December 31, 1995 to $1,678.68 at September 30, 1996. For the Quarter and Nine Months Ended September 30, 1995 For the Quarter Ended September 30, 1995, the Partnership's total trading losses net of interest income were $41,211,918. During the third quarter, the Partnership posted a decrease in Net Asset Value per Unit as a result of losses across a majority of the futures market sectors in which the Partnership participates. The most significant losses resulted from trading in metals, energies and global interest rate futures as trendless price movement prevailed across a majority of markets in each of these sectors for much of the third quarter. Additional losses were recorded in soft commodities and agricultural futures as a result of price break- outs followed by choppy and short-term volatile movement. Profits from currencies trading, primarily as a result of a declining trend in the value of the Japanese yen relative to the U.S. dollar, offset a portion of losses in other market sectors. Total expenses for the period were $5,415,071, resulting in a net loss of $46,626,989. The value of an individual Unit in the Partnership decreased from $2,180.39 at June 30, 1995 to $1,711.24 at September 30, 1995. For the nine months ended September 30, 1995, the Partnership's total trading revenue including interest income was $50,267,362. During the first nine months of the year, the Partnership posted an increase in Net Asset Value per Unit. The most significant profits for this period resulted from trading in global interest rate futures, as prices in U.S. and Japanese bond futures contracts trended higher in the first half of 1995, and in currencies, primarily as a result of trending movement in the value of the Japanese yen throughout the first nine months of the year and in major European currencies in the year's first quarter. Additional profits were recorded from trading in global stock index futures as U.S. prices trended higher while Japanese prices trended lower. Losses across a majority of domestic commodities, including energies, metals and soft commodities, resulting from trendless price movement for much of 1995, offset a portion of the profits in other sectors. Total expenses for the period were $25,717,232, resulting in net income of $24,550,130. The value of an individual Unit in the Partnership increased from $1,508.07 at December 31, 1994 to $1,711.24 at September 30, 1995. PART II. OTHER INFORMATION Item 6. Exhibits and Reports on Form 8-K A) Exhibits - None. B) Reports on Form 8-K. - None. SIGNATURE Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Dean Witter Select Futures Fund L.P. (Registrant) By: Demeter Management Corporation (General Partner) November 7, 1996 By:/s/ Patti L. Behnke Patti L. Behnke Chief Financial Officer The General Partner which signed the above is the only party authorized to act for the Registrant. The Registrant has no principal executive officer, principal financial officer, controller, or principal accounting officer and has no Board of Directors. EX-27 2
5 The schedule contains summary financial information extracted from Dean Witter Select Futures Fund L.P. and is qualified in its entirety by references to such financial instruments. 9-MOS SEP-30-1996 SEP-30-1996 130,470,938 0 1,290,522 0 0 0 0 0 142,254,817 0 0 0 0 0 0 142,254,817 0 (5,255,707) 0 0 12,532,565 0 0 (17,788,272) 0 (17,788,272) 0 0 0 (17,788,272) 0 0 Receivables include interest receivable of $464,190 and receivable from DWR of $826,332. In addition to cash and receivables, total assets include net unrealized gain on open contracts of $10,493,357. Liabilities include redemptions payable of $2,753,138, accrued brokerage commissions of $627,474, accrued management fees of $353,571, accrued administrative expenses of $133,331 and accrued transaction fees and costs of $65,717. Total revenues includes realized trading revenue of $(2,908,270), net change in unrealized of $(6,934,854) and interest income of $4,587,417.
-----END PRIVACY-ENHANCED MESSAGE-----