-----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, OAVYFq6/iOhLQVVmHX2uLArl96jLCOtSL4u8kvT6kpq0/vmK0xLeXWAqEmMa5X+I b3ryU9uUCh9JMpYqsFgReg== /in/edgar/work/20000814/0000873799-00-000010/0000873799-00-000010.txt : 20000921 0000873799-00-000010.hdr.sgml : 20000921 ACCESSION NUMBER: 0000873799-00-000010 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20000630 FILED AS OF DATE: 20000814 FILER: COMPANY DATA: COMPANY CONFORMED NAME: MORGAN STANLEY DEAN WITTER SPECTRUM SELECT LP CENTRAL INDEX KEY: 0000873799 STANDARD INDUSTRIAL CLASSIFICATION: [6798 ] IRS NUMBER: 133619290 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-Q SEC ACT: SEC FILE NUMBER: 000-19511 FILM NUMBER: 700515 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 FORMER COMPANY: FORMER CONFORMED NAME: DEAN WITTER SPECTRUM SELECT LP DATE OF NAME CHANGE: 19980507 FORMER COMPANY: FORMER CONFORMED NAME: WITTER DEAN SELECT FUTURES FUND LP DATE OF NAME CHANGE: 19930328 10-Q 1 0001.txt UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q [X] Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 For the quarterly period ended June 30, 2000 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 0-19511 MORGAN STANLEY DEAN WITTER SPECTRUM SELECT 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 Corporation Two World Trade Center, 62 Fl., New York, NY 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__________ MORGAN STANLEY DEAN WITTER SPECTRUM SELECT L.P. INDEX TO QUARTERLY REPORT ON FORM 10-Q June 30, 2000
PART I. FINANCIAL INFORMATION Item 1. Financial Statements Statements of Financial Condition June 30, 2000 (Unaudited) and December 31, 1999..........2 Statements of Operations for the Quarters Ended June 30, 2000 and 1999 (Unaudited).......................3 Statements of Operations for the Six Months Ended June 30, 2000 and 1999 (Unaudited)...................... 4 Statements of Changes in Partners' Capital for the Six Months Ended June 30, 2000 and 1999 (Unaudited)............................................. 5 Statements of Cash Flows for the Six Months Ended June 30, 2000 and 1999 (Unaudited).......................6 Notes to Financial Statements (Unaudited).............7- 12 Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations.....13-23 Item 3. Quantitative and Qualitative Disclosures about Market Risk.......................................23-35 Part II. OTHER INFORMATION Item 1. Legal Proceedings....................................36 Item 2. Changes in Securities and Use of Proceeds........ 36-38 Item 5. Other Information................................... 39 Item 6. Exhibits and Reports on Form 8-K..................39-40
PART I. FINANCIAL INFORMATION Item 1. Financial Statements MORGAN STANLEY DEAN WITTER SPECTRUM SELECT L.P. STATEMENTS OF FINANCIAL CONDITION
June 30, December 31, 2000 1999 $ $ (Unaudited) ASSETS Equity in futures interests trading accounts: Cash 196,194,313 207,251,012 Net unrealized gain (loss) on open contracts(505,618) 6, 887,064 Net option premiums _______-___ 776,380 Total Trading Equity 195,688,695 214,914,456 Subscriptions receivable 2,172,972 3,730,051 Interest receivable (DWR) 775,245 722,305 Total Assets 198,636,912 219,366,812 LIABILITIES AND PARTNERS' CAPITAL Liabilities Redemptions payable 3,138,459 3,764,242 Accrued brokerage fees (DWR) 1,230,552 1,270,975 Accrued management fees 509,194 525,921 Total Liabilities 4,878,205 5,561,138 Partners' Capital Limited Partners (9,458,095.666 and 9,583,810.732 Units, respectively) 191,569,662 210,877,519 General Partner (108,076.600 and 133,076.700 Units, respectively) 2,189,045 2,928,155 Total Partners' Capital 193,758,707 213,805,674 Total Liabilities and Partners' Capital 198,636,912 219,3 66,812 NET ASSET VALUE PER UNIT 20.25 22.00 The accompanying notes are an integral part of these financial statements.
MORGAN STANLEY DEAN WITTER SPECTRUM SELECT L.P. STATEMENTS OF OPERATIONS (Unaudited)
For the Quarters Ended June 30, 2000 1999 $ $ REVENUES Trading profit (loss): Realized (8,288,499) (2,404,548) Net change in unrealized (2,601,727) 4,846,371 Total Trading Results (10,890,226) 2,441,823 Interest Income (DWR) 2,370,198 1,854,465 Total Revenues (8,520,028) 4,296,288 EXPENSES Brokerage fees (DWR) 3,734,146 3,834,038 Management fees 1,545,164 1,586,497 Total Expenses 5,279,310 5,420,535 NET LOSS (13,799,338) (1,124,247) NET LOSS ALLOCATION Limited Partners (13,609,470) (1,108,526) General Partner (189,868) (15,721) NET LOSS PER UNIT Limited Partners (2.07) (.12) General Partner (2.07) (.12) The accompanying notes are an integral part of these financial statements.
MORGAN STANLEY DEAN WITTER SPECTRUM SELECT L.P. STATEMENTS OF OPERATIONS (Unaudited)
For the Six Months Ended June 30, 2000 1999 $ $ REVENUES Trading profit (loss): Realized (3,377,514) 3,393,720 Net change in unrealized (7,392,682) 2,189,977 Total Trading Results (10,770,196) 5,583,697 Interest Income (DWR) 4,655,147 3,581,033 Total Revenues (6,115,049) 9,164,730 EXPENSES Brokerage fees (DWR) 7,654,116 7,497,645 Management fees 3,167,219 3,102,472 Total Expenses 10,821,335 10,600,117 NET LOSS (16,936,384) (1,435,387) NET LOSS ALLOCATION Limited Partners (16,703,524) (1,414,495) General Partner (232,860) (20,892) NET LOSS PER UNIT Limited Partners (1.75) (.16) General Partner (1.75) (.16) The accompanying notes are an integral part of these financial statements.
MORGAN STANLEY DEAN WITTER SPECTRUM SELECT L.P. STATEMENTS OF CHANGES IN PARTNERS' CAPITAL For the Six Months Ended June 30, 2000 and 1999 (Unaudited)
Units of Partnership Limited General Interest Partners Partner Total Partners' Capital, December 31, 1998 8,407,766.751 $196,915,644 $3,166,872 $20 0,082,516 Offering of Units 1,055,346.328 25,160,601 - - 25,160,601 Net Loss - - (1,414,495) (20,892) (1,435,387) Redemptions (383,100.270) (9,153,045) - - (9,153,045) Partners' Capital, June 30, 1999 9,080,012.809 $211,508,705 $3,14 5,980 $214,654,685 Partners' Capital, December 31, 19999,716,887.432 $210,877,519 $2,928,155 $213, 805,674 Offering of Units 845,703.722 18,238,832 - - 18,238,832 Net Loss - - (16,703,524) (232,860) (16,936,384) Redemptions (996,418.888) (20,843,165) (506,250) (21,349,415) Partners' Capital, June 30, 2000 9,566,172.266 $191,569,662 $2,189,045 $193,758,707 The accompanying notes are an integral part of these financial statements.
page> MORGAN STANLEY DEAN WITTER SPECTRUM SELECT L.P. STATEMENTS OF CASH FLOWS (Unaudited)
For the Six Months Ended June 30, 2000 1999 $ $ CASH FLOWS FROM OPERATING ACTIVITIES Net loss (16,936,384) (1,435,387) Noncash item included in net loss: Net change in unrealized 7,392,682 ( 2,189,977) (Increase) decrease in operating assets: Net option premiums 776,380 ( 406,376) Interest receivable (DWR) (52,940) (22,867) Increase (decrease) in operating liabilities: Accrued brokerage fees (DWR) (40,423) 109,218 Accrued management fees (16,727) 45,194 Net cash used for operating activities (8,877,412) (3,900,195) CASH FLOWS FROM FINANCING ACTIVITIES Offering of Units 18,238,832 2 5,160,601 Decrease in subscriptions receivable 1,557,079 1,849,146 Increase (decrease) in redemptions payable(625,783) 57,576 Redemptions of Units (21,349,415) ( 9,153,045) Net cash provided by (used for) financing activities (2 ,179,287) 17,914,278 Net increase (decrease) in cash (11,056,699) 1 4,014,083 Balance at beginning of period 207,251,012 187,619,419 Balance at end of period 196,194,313 201,633,502 The accompanying notes are an integral part of these financial statements.
MORGAN STANLEY DEAN WITTER SPECTRUM SELECT 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 of Morgan Stanley Dean Witter Spectrum Select L.P. (the "Partnership"). The financial statements and condensed notes herein should be read in conjunction with the Partnership's December 31, 1999 Annual Report on Form 10-K. 1. Organization Morgan Stanley Dean Witter Spectrum Select L.P. is a Delaware limited partnership organized to engage primarily in the speculative trading of futures and forward contracts, options on futures contracts, physical commodities and other commodity interests, including, but not limited to foreign currencies, financial instruments, metals, energy and agricultural products (collectively, "futures interests"). The Partnership is one of the Morgan Stanley Dean Witter Spectrum Series of funds, comprised of the Partnership, Morgan Stanley Dean Witter Spectrum Commodity L.P., Morgan Stanley Dean Witter Spectrum Currency L.P., Morgan Stanley Dean Witter Spectrum Global Balanced L.P., Morgan Stanley Dean Witter Spectrum Strategic L.P. and Morgan Stanley Dean Witter Spectrum Technical L.P. MORGAN STANLEY DEAN WITTER SPECTRUM SELECT L.P. NOTES TO FINANCIAL STATEMENTS - (CONTINUED) The general partner is Demeter Management Corporation ("Demeter"). The non-clearing commodity broker is Dean Witter Reynolds, Inc. ("DWR") and an unaffiliated clearing commodity broker, Carr Futures Inc. ("Carr"), provides clearing and execution services. Both Demeter and DWR are wholly-owned subsidiaries of Morgan Stanley Dean Witter & Co. The trading advisors to the Partnership are EMC Capital Management, Inc., Rabar Market Research, Inc. and Sunrise Capital Management, Inc. (collectively, the "Trading Advisors"). 2. Related Party Transactions The Partnership's cash is on deposit with DWR and Carr in futures interests trading accounts to meet margin requirements as needed. DWR pays interest on these funds based on a prevailing rate on U.S. Treasury bills. Brokerage expenses incurred by the Partnership are paid to DWR. 3. Financial Instruments The Partnership trades futures and forward contracts, options on futures contracts, physical commodities and other commodity interests, including, but not limited to foreign currencies, financial instruments, metals, energy and agricultural products. MORGAN STANLEY DEAN WITTER SPECTRUM SELECT L.P. NOTES TO FINANCIAL STATEMENTS - (CONTINUED) 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. In June 1998, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standard ("SFAS") No. 133, "Accounting for Derivative Instruments and Hedging Activities" effective for fiscal years beginning after June 15, 1999. In June 1999, the FASB issued SFAS No. 137, "Accounting for Derivative Instruments and Hedging Activities - Deferral of the Effective Date of SFAS No. 133," which defers the required implementation of SFAS No. 133 until fiscal years beginning after June 15, 2000. However, the Partnership had previously elected to adopt the provisions of SFAS No. 133 beginning with the fiscal year ended December 31, 1998. SFAS No. 133 supersedes SFAS No. 119 and No. 105, which required the disclosure of average aggregate fair values and contract/notional values, respectively, of derivative financial instruments for an entity which carries MORGAN STANLEY DEAN WITTER SPECTRUM SELECT L.P. NOTES TO FINANCIAL STATEMENTS - (CONTINUED) its assets at fair value. The application of SFAS No. 133 does not have a significant effect on the Partnership's financial statements. The net unrealized gain (loss) on open contracts is reported as a component of "Equity in futures interests trading accounts" on the statements of financial condition and totaled $(505,618) and $6,887,064 at June 30, 2000 and December 31, 1999, respectively. Of the $505,618 net unrealized loss on open contracts at June 30, 2000, $922,902 related to exchange-traded futures and futures- styled option contracts and $(1,428,520) related to off-exchange- traded forward currency contracts. Of the $6,887,064 net unrealized gain on open contracts at December 31, 1999, $6,935,040 related to exchange-traded futures and futures-styled options contracts and $(47,976) related to off- exchange-traded forward currency contracts. Exchange-traded futures and futures-styled options contracts held by the Partnership at June 30, 2000 and December 31, 1999 mature through June 2001 and December 2000, respectively. Off-exchange- traded forward currency contracts held by the Partnership at June MORGAN STANLEY DEAN WITTER SPECTRUM SELECT L.P. NOTES TO FINANCIAL STATEMENTS - (CONTINUED) 30, 2000 and December 31, 1999 mature through September 2000 and March 2000, respectively. The Partnership has credit risk associated with counterparty non- performance. The credit risk associated with the instruments in which the Partnership is involved is limited to the amounts reflected in the Partnership's statements of financial condition. The Partnership also has credit risk because DWR and Carr act as the futures commission merchants or the counterparties, with respect to most of the Partnership's assets. Exchange-traded futures and futures-styled options contracts are marked to market on a daily basis, with variations in value settled on a daily basis. Each of DWR and Carr, as a futures commission merchant for the Partnership's exchange-traded futures and futures-styled options contracts, are required, pursuant to regulations of the Commodity Futures Trading Commission ("CFTC"), to segregate from their own assets, and for the sole benefit of their commodity customers, all funds held by them with respect to exchange-traded futures and futures-styled options contracts, including an amount equal to the net unrealized gain (loss) on all open futures and futures-styled options contracts, which funds, in the aggregate, MORGAN STANLEY DEAN WITTER SPECTRUM SELECT L.P. NOTES TO FINANCIAL STATEMENTS - (CONCLUDED) totaled $197,117,215 and $214,186,052 at June 30, 2000 and December 31, 1999, respectively. 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 requirement that an amount equal to the net unrealized gain (loss) on forward contracts be segregated. With respect to those off-exchange-traded forward currency contracts, the Partnership is at risk to the ability of Carr, the sole counterparty on all of such contracts, to perform. The Partnership has a netting agreement with Carr. This agreement, which seeks to reduce both the Partnership's and Carr's exposure on off-exchange-traded forward currency contracts, should materially decrease the Partnership's credit risk in the event of Carr's bankruptcy or insolvency. Carr's parent, Credit Agricole Indosuez, has guaranteed to the Partnership payment of the net liquidating value of the transactions in the Partnership's account with Carr (including foreign currency contracts). Item 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS Liquidity - The Partnership deposits its assets with DWR as non- clearing broker and Carr as clearing broker in separate futures trading accounts established for each Trading Advisor, which assets are used as margin to engage in trading. The assets are held in either non-interest-bearing bank accounts or in securities and instruments permitted by the CFTC for investment of customer segregated or secured funds. The Partnership's assets held by the commodity brokers may be used as margin solely for the Partnership's trading. Since the Partnership's sole purpose is to trade in futures, forwards and options, it is expected that the Partnership will continue to own such liquid assets for margin purposes. The Partnership's investment in futures, forwards and options may, from time to time, be illiquid. Most U.S. futures exchanges limit fluctuations in prices during a single day by regulations referred to as "daily price fluctuations limits" or "daily limits". Trades may not be executed at prices beyond the daily limit. If the price for a particular futures or options contract has increased or decreased by an amount equal to the daily limit, positions in that futures or options contract can neither be taken nor liquidated unless traders are willing to effect trades at or within the limit. Futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. These market conditions could prevent the Partnership from promptly liquidating its futures or options contracts and result in restrictions on redemptions. 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. The Partnership has never had illiquidity affect a material portion of its assets. Capital Resources - The Partnership does not have, or expect to have, any capital assets. Redemptions, exchanges and sales of additional units of limited partnership interest ("Unit(s)") in the future will affect the amount of funds available for investment in futures interests in subsequent periods. It is not possible to estimate the amount and therefore, the impact of future redemptions of Units. Results of Operations General. The Partnership's results depend on its Trading Advisors and the ability of each Trading Advisor's trading programs to take advantage of price movements or other profit opportunities in the futures, forwards and options markets. The following presents a summary of the Partnership's operations for the quarter and six months ended June 30, 2000 and 1999, respectively, and a general discussion of its trading activities during each period. It is important to note, however, that the Trading Advisors trade in various markets at different times and that prior activity in a particular market does not mean that such market will be actively traded by the Trading Advisors or will be profitable in the future. Consequently, the results of operations of the Partnership are difficult to discuss other than in the context of its Trading Advisors' trading activities on behalf of the Partnership as a whole and how the Partnership has performed in the past. For the Quarter and Six Months Ended June 30, 2000 For the quarter ended June 30, 2000, the Partnership recorded total trading losses net of interest income of $8,520,028 and posted a decrease in Net Asset Value per Unit. The most significant losses of approximately 3.1% were recorded in the global stock index futures markets primarily during April from long positions in S&P 500 and NASDAQ 100 Index futures as domestic equity prices declined following the release of an unexpected jump in the Consumer Price Index. Fears of inflation and concerns that the Federal Reserve needed to raise interest rates more aggressively further panicked an already weary market and forced equity prices lower. In the global interest rate futures markets, losses of approximately 2.8% were incurred primarily during April from long positions in U.S. interest rate futures as prices declined amid fears of higher interest rates and a late month bounce in equity prices. In the metals markets, losses of approximately 2.1% were experienced primarily from long positions in nickel and copper futures as most base metals prices moved lower in late May amid technically based selling. In the agricultural markets, losses of approximately 0.9% were recorded primarily during April and May from long corn and soybean futures positions as prices moved lower due to forecasts for heavy rain in the U.S. corn and soy growing regions. In the currency markets, losses of approximately 0.4% were recorded primarily during April from long positions in the Japanese yen as the value of the yen weakened versus the U.S. dollar amid fears of additional Bank of Japan intervention. Losses were also recorded from short positions in the Japanese yen as the value of the U.S. dollar weakened versus the yen during May and June due primarily to the perception that interest rates in the U.S. may have topped out and that economic growth may finally be slowing. These losses were partially offset by gains of approximately 3.5% recorded primarily during May in the energy markets from long positions in natural gas futures as prices continued their upward trend, as data released by the American Gas Association further confirmed fears that inventory levels remain low. Adding to supply concerns were fears that the U.S. demand will outstrip production this summer, when inventories are typically refilled for the winter. In the soft commodities markets, gains of approximately 0.4% were recorded from long positions in sugar futures as sugar prices trended higher due to strong demand and declining production from Brazil. Total expenses for the three months ended June 30, 2000 were $5,729,310, resulting in a net loss of $13,799,338. The value of a Unit decreased from $21.68 at March 31, 2000 to $20.25 at June 30, 2000. For the six months ended June 30, 2000, the Partnership recorded total trading losses net of interest income of $6,115,049 and posted a decrease in Net Asset Value per Unit. The most significant losses of approximately 4.6% were recorded in the global interest rate futures markets during April from long positions in U.S. interest rate futures as prices declined amid fears of higher interest rates and a late month bounce in equity prices. In the global stock index futures markets, losses of approximately 3.5% were incurred from long positions in Hang Seng Index futures as most global equity prices reversed lower in early January amid fears of interest rate hikes. During April, Japanese equity prices, particularly technology issues, declined sharply following the downward move of U.S. stock prices thus resulting in losses for long Nikkei Index futures positions. Additional losses were experienced primarily during April from long positions in U.S. stock indices as domestic equity prices declined following the release of an unexpected jump in the Consumer Price Index. In the metals markets, losses of approximately 3.1% were experienced from long positions in copper and aluminum futures as prices reversed lower in February. During May, most base metals prices declined amid technically based selling, thus resulting in additional losses in these markets. In the agricultural markets, losses of approximately 1.1% were recorded primarily during April and May from long corn and soybean futures positions as prices moved lower due to forecasts for heavy rain in the U.S. corn and soy growing regions. These losses were partially offset by gains of approximately 5.2% were recorded primarily during May in the energy markets from long positions in natural gas futures as prices continued their upward trend, as data released by the American Gas Association further confirmed fears that inventory levels remain low. Adding to supply concerns were fears that the U.S. demand will outstrip production this summer, when inventories are typically refilled for the winter. Additional gains were recorded primarily during January and February from long futures positions in crude oil and its refined products as oil prices increased on concerns about future output levels from the world's leading producer countries amid dwindling stockpiles and increasing demand. In the currency markets, gains of approximately 1.2% were recorded primarily during January and March from short positions in the euro and the Swiss franc as the values of these currencies weakened versus the U.S. dollar due to skepticism about Europe's economic outlook. Additional gains were recorded during April from short positions in the euro as its value dropped versus the U.S. dollar due to the European Central Bank's ("ECB") passive stance towards its currency and increasing concern that the ECB should be more aggressive in combating inflation. In the soft commodities markets, gains of approximately 0.3% were recorded from long positions in sugar futures as sugar prices trended higher due to strong demand and declining production from Brazil. Total expenses for the six months ended June 30, 2000 were $10,821,335, resulting in a net loss of $16,936,384. The value of a Unit decreased from $22.00 at December 31, 1999 to $20.25 at June 30, 2000. For the Quarter and Six Months Ended June 30, 1999 For the quarter ended June 30, 1999, the Partnership recorded total trading revenues including interest income of $4,296,288 and, after expenses, posted a decrease in Net Asset Value per Unit. The most significant net trading losses of approximately 1.7% were recorded in the metals markets primarily from long silver futures positions during May as prices moved lower on the Silver Institute's report which indicated a drop in fabrication demand last year and a jump in government sales. Losses were also experienced from long positions in copper futures during May as the prices of most base metals fell significantly amid large supply, low demand and the unlikely possibility of a production cut. In the currency markets, losses of approximately 0.5% were experienced primarily from trading the British pound as its value moved in a choppy pattern versus the U.S. dollar as positive economic data that supported recovery hopes in the U.K. drove the pound higher, only for it to retreat when the Bank of England stated that it might cut interest rates to stem any undesirable appreciation of the pound. Smaller losses of approximately 0.4% were recorded in the agricultural markets primarily from trading corn and soybean meal futures as prices in these markets moved in a trendless manner throughout the quarter on inconsistencies in reports of supply levels, global demand and weather conditions in key growing regions. A majority of the Partnership's overall losses for the quarter was offset by gains of approximately 4.5% in the global interest rate futures markets primarily from short positions in European interest rate futures during April and June as prices declined due to dampened sentiment regarding the European Monetary Union and fears of an interest rate hike in the U.S. Additional profits were recorded from short positions in U.S. interest rate futures as domestic bond prices moved lower during May and June amid fears of a tighter Federal Reserve monetary policy and a higher-than-expected rise in the Consumer Price Index. Total expenses for the three months ended June 30, 1999 were $5,420,535, resulting in a net loss of $1,124,247. The value of a Unit decreased from $23.76 at March 31, 1999 to $23.64 at June 30, 1999. For the six months ended June 30, 1999, the Partnership recorded total trading revenues including interest income of $9,164,730 and, after expenses, posted a decrease in Net Asset Value per Unit. The most significant net trading losses of approximately 2.1% were experienced in the metals markets particularly during the month of March from long silver futures positions as prices declined during mid-month after Berkshire Hathaway's annual report failed to provide any new information on the company's silver positions. In the global stock index futures market, losses of approximately 0.4% were recorded primarily from long positions in European stock index futures as prices moved lower during January and early February amid skepticism regarding the stability of emerging market economies. Prices in these markets continued to decline during May and June amid fears of higher interest rates in the U.S. A majority of the Partnership's overall losses for the year was offset by gains of approximately 3.1% recorded in the global interest rate futures markets primarily from short positions in European bond futures during April and June as prices declined due to dampened sentiment regarding the European Monetary Union and fears of an interest rate hike in the U.S. Additional profits were recorded during the first half of the year from short positions in U.S. interest rate futures as domestic bond prices moved lower during February on strong economic data, as well as during May and June amid fears of a tighter Federal Reserve monetary policy and a higher- than-expected rise in the Consumer Price Index. In the energy markets, gains of approximately 1.1% were recorded primarily from long positions in crude oil futures as prices moved considerably higher during March, April and June. The substantial recovery in oil prices during the first half of the year was largely attributed to the news of a decline in inventory levels that resulted from an agreement reached by both OPEC and non-OPEC countries to cut total output. Additional profits of approximately 0.5% were recorded in the currency markets primarily from short positions in the Swiss franc and the European common currency as the value of the franc and euro declined versus the U.S. dollar throughout most of the year. The weakness in these European currencies relative to the U.S. dollar was largely attributed to concerns regarding European economic growth and potentially widening interest rate differentials between Europe and the U.S. Investors also sold francs and euros for dollars during the first half of the year in response to the crisis in Yugoslavia on the rationale that the United States was the safest place to invest during the crisis in Kosovo. Smaller gains of approximately 0.4% were recorded in the agricultural markets primarily during January, February, May and June from short futures positions in soybean oil and soybeans as prices trended steadily lower amid a healthy South American crop, fears that Brazil will flood the market in an effort to aid their ailing economy and on a bearish USDA supply-demand report. Total expenses for the six months ended June 30, 1999 were $10,600,117, resulting in a net loss of $1,435,387. The value of a Unit decreased from $23.80 at December 31, 1998 to $23.64 at June 30, 1999. Item 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK Introduction The Partnership is a commodity pool involved in the speculative trading of futures interests. The market-sensitive instruments held by the Partnership are acquired for speculative trading purposes only and, as a result, all or substantially all of the Partnership's assets are at risk of trading loss. Unlike an operating company, the risk of market-sensitive instruments is central, not incidental, to the Partnership's main business activities. The futures interests traded by the Partnership involve varying degrees of market risk. Market risk is often dependent upon changes in the level or volatility of interest rates, exchange rates, and prices of financial instruments and commodities. Fluctuations in market risk based upon these factors result in frequent changes in the fair value of the Partnership's open positions, and, consequently, in its earnings and cash flow. The Partnership's total market risk is influenced by a wide variety of factors, including the diversification among the Partnership's open positions, the volatility present within the markets, and the liquidity of the markets. At different times, each of these factors may act to increase or decrease the market risk associated with the Partnership. The Partnership's past performance is not necessarily indicative of its future results. Any attempt to numerically quantify the Partnership's market risk is limited by the uncertainty of its speculative trading. The Partnership's speculative trading may cause future losses and volatility (i.e. "risk of ruin") that far exceed the Partnership's experiences to date or any reasonable expectations based upon historical changes in market value. Quantifying the Partnership's Trading Value at Risk The following quantitative disclosures regarding the Partnership's market risk exposures contain "forward-looking statements" within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact. The Partnership accounts for open positions using mark-to-market accounting principles. Any loss in the market value of the Partnership's open positions is directly reflected in the Partnership's earnings, whether realized or unrealized, and cash flow. Profits and losses on open positions of exchange-traded futures interests are settled daily through variation margin. The Partnership's risk exposure in the market sectors traded by the Trading Advisors is estimated below in terms of Value at Risk ("VaR"). The VaR model used by the Partnership includes many variables that could change the market value of the Partnership's trading portfolio. The Partnership estimates VaR using a model based upon historical simulation with a confidence level of 99%. Historical simulation involves constructing a distribution of hypothetical daily changes in the value of a trading portfolio. The VaR model takes into account linear exposures to price and interest rate risk. Market risks that are incorporated in the VaR model include equity and commodity prices, interest rates, foreign exchange rates, and correlation among these variables. The hypothetical changes in portfolio value are based on daily percentage changes observed in key market indices or other market factors ("market risk factors") to which the portfolio is sensitive. The historical observation period of the Partnership's VaR is approximately four years. The one-day 99% confidence level of the Partnership's VaR corresponds to the negative change in portfolio value that, based on observed market risk factors, would have been exceeded once in 100 trading days. VaR models, including the Partnership's, are continuously evolving as trading portfolios become more diverse and modeling techniques and systems capabilities improve. Please note that the VaR model is used to numerically quantify market risk for historic reporting purposes only and is not utilized by either Demeter or the Trading Advisors in their daily risk management activities. The Partnership's Value at Risk in Different Market Sectors The following tables indicate the VaR associated with the Partnership's open positions as a percentage of total Net Assets by primary market risk category as of June 30, 2000 and 1999. At June 30, 2000 and 1999, the Partnership's total capitalization was approximately $194 million and $214 million, respectively. Primary Market June 30, 2000 June 30, 1999 Risk Category Value at Risk Value at Risk Currency (0.36)% (1.52)% Interest Rate (0.87) (1.61) Equity (0.22) (0.82) Commodity (1.45) (0.86) Aggregate Value at Risk (1.68)% (2.83)% Aggregate Value at Risk represents the aggregate VaR of all the Partnership's open positions and not the sum of the VaR of the individual Market Categories listed above. Aggregate VaR will be lower as it takes into account correlation among different positions and categories. The table above represents the VaR of the Partnership's open positions at June 30, 2000 and 1999 only and is not necessarily representative of either the historic or future risk of an investment in the Partnership. Because the Partnership's only business is the speculative trading of futures interests, the composition of its trading portfolio can change significantly over any given time period, or even within a single trading day. Any changes in open positions could positively or negatively materially impact market risk as measured by VaR. The table below supplements the quarter-end VaR by presenting the Partnership's high, low and average VaR, as a percentage of total Net Assets for the four quarterly reporting periods from July 1, 1999 through June 30, 2000. Primary Market Risk Category High Low Average Currency (1.52)% (0.36)% (1.03)% Interest Rate (1.61) (0.46) (0.88) Equity (0.82) (0.22) (0.59) Commodity (1.45) (0.77) (0.96) Aggregate Value at Risk (2.83)% (1.59)% (2.00)% Limitations on Value at Risk as an Assessment of Market Risk The face value of the market sector instruments held by the Partnership is typically many times the applicable margin requirements. Margin requirements generally range between 2% and 15% of contract face value. Additionally, the use of leverage causes the face value of the market sector instruments held by the Partnership to typically be many times the total capitalization of the Partnership. The value of the Partnership's open positions thus creates a "risk of ruin" not typically found in other investments. The relative size of the positions held may cause the Partnership to incur losses greatly in excess of VaR within a short period of time, given the effects of the leverage employed and market volatility. The VaR tables above, as well as the past performance of the Partnership, gives no indication of such "risk of ruin". In addition, VaR risk measures should be viewed in light of the methodology's limitations, which include the following: past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements; changes in portfolio value in response to market movements may differ from those of the VaR model; VaR results reflect past trading positions while future risk depends on future positions; VaR using a one-day time horizon does not fully capture the market risk of positions that cannot be liquidated or hedged within one day; and the historical market risk factor data used for VaR estimation may provide only limited insight into losses that could be incurred under certain unusual market movements. The VaR tables above present the results of the Partnership's VaR for each of the Partnership's market risk exposures and on an aggregate basis at June 30, 2000 and for the end of the four quarterly reporting periods from July 1, 1999 through June 30, 2000. Since VaR is based on historical data, VaR should not be viewed as predictive of the Partnership's future financial performance or its ability to manage or monitor risk. There can be no assurance that the Partnership's actual losses on a particular day will not exceed the VaR amounts indicated above or that such losses will not occur more than 1 in 100 trading days. Non-Trading Risk The Partnership has non-trading market risk on its foreign cash balances not needed for margin. These balances and any market risk they may represent are immaterial. At June 30, 2000 the Partnership's cash balance at DWR was approximately 91% of its total Net Asset Value. A decline in short-term interest rates will result in a decline in the Partnership's cash management income. This cash flow risk is not considered material. Materiality, as used throughout this section, is based on an assessment of reasonably possible market movements and any associated potential losses, taking into account the leverage, optionality and multiplier features of the Partnership's market- sensitive instruments. Qualitative Disclosures Regarding Primary Trading Risk Exposures The following qualitative disclosures regarding the Partnership's market risk exposures - except for (A) those disclosures that are statements of historical fact and (B) the descriptions of how the Partnership manages its primary market risk exposures - constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Partnership's primary market risk exposures as well as the strategies used and to be used by Demeter and the Trading Advisors for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Partnership's risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropria- tions, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Partnership. Investors must be prepared to lose all or substantially all of their investment in the Partnership. The following were the primary trading risk exposures of the Partnership as of June 30, 2000, by market sector. It may be anticipated however, that these market exposures will vary materially over time. Interest Rate. The primary market exposure in the Partnership at June 30, 2000 was in the global interest rate sector. The Partnership's exposure in the interest rate market complex was spread primarily across the U.S., Japanese, European and Australian interest rate sectors. Interest rate movements directly affect the price of the sovereign bond futures positions held by the Partnership and indirectly affect the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Partnership's profitability. The Partnership's primary interest rate exposure is generally to interest rate fluctuations in the United States and the other G-7 countries. The G-7 countries consist of France, U.S., Britain, Germany, Japan, Italy and Canada. However, the Partnership also takes futures positions in the government debt of smaller nations - - e.g. Australia and Spain. Demeter anticipates that G-7, Australian and Spanish interest rates will remain the primary interest rate exposure of the Partnership for the foreseeable future. The changes in interest rates which have the most effect on the Partnership are changes in long-term, as opposed to short- term, rates. Most of the speculative futures positions held by the Partnership are in medium- to long- term instruments. Consequently, even a material change in short-term rates would have little effect on the Partnership, were the medium- to long- term rates to remain steady. Currency. The second largest market exposure at June 30, 2000 was in the currency complex. The Partnership's currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. Interest rate changes as well as political and general economic conditions influence these fluctuations. The Partnership trades in a large number of currencies, including cross-rates - i.e., positions between two currencies other than the U.S. dollar. For the second quarter of 2000, the Partnership's major exposures were in the euro currency crosses and outright U.S. dollar positions. Outright positions consist of the U.S. dollar vs. other currencies. These other currencies include the major and minor currencies. Demeter does not anticipate that the risk profile of the Partnership's currency sector will change significantly in the future. The currency trading VaR figure includes foreign margin amounts converted into U.S. dollars with an incremental adjustment to reflect the exchange rate risk inherent to the dollar-based Partnership in expressing VaR in a functional currency other than dollars. Equity. The primary equity exposure at June 30, 2000 was to equity price risk in the G-7 countries. The stock index futures traded by the Partnership are by law limited to futures on broadly based indices. As of June 30, 2000, the Partnership's primary exposures were in the FT-SE (Britain), Hang Seng (China) and the DAX (Germany) stock indices. The Partnership is primarily exposed to the risk of adverse price trends or static markets in the U.S., European and Japanese indices. Static markets would not cause major market changes but would make it difficult for the Partnership to avoid being "whipsawed" into numerous small losses. Commodity. Metals. The Partnership's primary metals market exposure at June 30, 2000 was to fluctuations in the price of gold and silver. Although certain Trading Advisors will, from time to time, trade base metals such as aluminum, copper, zinc, nickel, tin and lead, the principal market exposures of the Partnership have consistently been in precious metals, gold and silver. Exposure was evident in the gold market as gold prices were volatile during the quarter. Silver prices have remained volatile over this period, and the Trading Advisors have, from time to time, taken positions as they have perceived market opportunities to develop. Demeter anticipates that gold and silver will remain the primary metals market exposure for the Partnership. Soft Commodities and Agriculturals. On June 30, 2000, the Partnership had exposure in the sugar, cotton, coffee and orange juice markets. Supply and demand inequalities, severe weather disruption and market expectations affect price movements in these markets. Energy. On June 30, 2000, the Partnership's energy exposure was shared primarily by futures contracts in the crude oil and natural gas markets. Price movements in these markets result from political developments in the Middle East, weather patterns, and other economic fundamentals. It is possible that volatility will remain high. Significant profits and losses, which have been experienced in the past, are expected to continue to be experienced in this market. Natural gas has exhibited volatility in prices resulting from weather patterns and supply and demand factors and may continue in this choppy pattern. Qualitative Disclosures Regarding Non-Trading Risk Exposure The following was the only non-trading risk exposure of the Partnership as of June 30, 2000: Foreign Currency Balances. The Partnership's primary foreign currency balances are in euros. The Partnership controls the non- trading risk of these balances by regularly converting these balances back into dollars upon liquidation of the respective position. Qualitative Disclosures Regarding Means of Managing Risk Exposure The Partnership and the Trading Advisors, separately, attempt to manage the risk of the Partnership's open positions in essentially the same manner in all market categories traded. Demeter attempts to manage market exposure by diversifying the Partnership's assets among different Trading Advisors, each of whose strategies focus on different market sectors and trading approaches, and monitoring the performance of the Trading Advisors daily. In addition, the Trading Advisors establish diversification guidelines, often set in terms of the maximum margin to be committed to positions in any one market sector or market-sensitive instrument. Demeter monitors and controls the risk of the Partnership's non- trading instrument, cash. Cash is the only Partnership investment directed by Demeter, rather than the Trading Advisors. PART II. OTHER INFORMATION Item 1. LEGAL PROCEEDINGS Please refer to Legal Proceedings previously disclosed in the Partnership's Form 10-Q for the quarter ended March 31, 2000 and Form 10-K for the year ended December 31, 1999. Item 2. CHANGES IN SECURITIES AND USE OF PROCEEDS The Partnership initially registered 60,000 Units (prior to the 100 for one Unit conversion on April 30, 1998) pursuant to a Registration Statement on Form S-1, which became effective on May 17, 1991 (SEC File Number 33-39667), and 10,000 (pre-conversion) Units at a supplemental closing pursuant to a new Registration Statement on Form S-1, which became effective on August 23, 1991 (SEC File No. 33-42380). The offering commenced on May 17, 1991 and terminated as of August 31, 1991, with 60,853.334 Units sold. The aggregate price of the offering amount registered was $69,380,300, based upon the initial offering price of $1,000 per Unit and $938.03 per Unit at the supplemental closing (the initial closing and supplemental closing, hereinafter, the "Initial Offering"). The aggregate offering price of the Units sold during the Initial Offering was $60,268,482. The Partnership registered an additional 75,000 Units (pre- conversion) pursuant to a new Registration Statement of Form S-1, which became effective on August 31, 1993 (SEC File Number 33- 65072) (the "Second Offering"). The Second Offering commenced on August 31, 1993 and terminated as of September 30, 1993, with 74,408.337 Units sold. The aggregate price of the Second Offering amount registered was $102,744,000, based upon an initial offering price of $1,369.92. The aggregate price of the Units sold during the Second Offering was $116,617,866. The Partnership registered an additional 60,000 Units (pre-con- version) pursuant to another Registration Statement on Form S-1, which became effective on October 17, 1996 (SEC File Number 333- 1918), (the "Third Offering"). The Third Offering commenced on October 17, 1996 and terminated as of March 3, 1997, with 10,878.000 Units sold. The aggregate price of the Third Offering amount registered was $98,247,000, based upon an initial offering price of $1,637.45. The aggregate price of the Units sold during the Third Offering was $22,308,326. The Partnership registered an additional 1,500,000 Units pursuant to another Registration Statement on Form S-1, which became effective on May 11, 1998 (SEC File Number 333-47829). Commencing with the April 30, 1998 monthly closing, each previously outstanding Unit was converted into 100 Units. The Partnership registered an additional 5,000,000 Units pursuant to another Registration Statement on Form S-1, which became effective on January 21, 1999 (File No. 333-68773). The Partnership registered an additional 4,500,000 Units pursuant to another Registration Statement on Form S-1, which became effective on February 28, 2000 (SEC File Number 333-90467). The managing underwriter for the Partnership is DWR. Units are being sold at monthly closings as of the last day of each month at a price equal to 100% of the Net Asset Value of a Unit as of the date of such monthly closing. Through June 30, 2000, 19,008,118.295 Units of the Partnership were sold, leaving 6,605,848.805 Units unsold as of June 30, 2000. The aggregate price of the Units sold through June 30, 2000 is $299,320,463. Since DWR has paid all offering expenses and no expenses are chargeable against proceeds, 100% of the proceeds of the offering have been applied to the working capital of the Partnership for use in accordance with the "Use of Proceeds" section of the Prospectus included as part of each Registration Statement. Item 5. OTHER INFORMATION Effective July 1, 2000, Lewis A. Raibley, III resigned as Chief Financial Officer and a Director of Demeter and Dean Witter Futures Currency Management Inc. Effective July 10, 2000, Raymond E. Koch replaced Lewis A. Raibley, III as Chief Financial Officer of Demeter. Item 6. EXHIBITS AND REPORTS ON FORM 8-K (A) Exhibits 3.01 Form of Amended and Restated Limited Partnership Agreement of the Partnership, dated as of May 31, 1998, is incorporated by reference to Exhibit A of the Partnership's Prospectus, dated March 6, 2000, filed with the Securities and Exchange Commission pursuant to Rule 424(b)(3) under the Securities Act of 1933, as amended, on March 9, 2000. 3.02 Certificate of Limited Partnership, dated March 21, 1991, is incorporated by reference to Exhibit 3.02 of the Partnership's Registration Statement on Form S-1 (File No. 333- 39667) filed with the Securities and Exchange commission on March 27, 1991. 3.03 Amended Certificate of Limited Partnership, dated April 28, 1998, is incorporated by reference to Exhibit 3.03 of the Partnership's Form 10-K (File No. 0-19511) for fiscal year ended December 31, 1998. 10.01 Amended and Restated Management Agreement, dated as of June 1, 1998, among the Partnership, Demeter Management Corporation, and Rabar Market Research, Inc. is incorporated by reference to Exhibit 10.01 of the Partnership's Form 10-K (File No. 0-19511) for fiscal year ended December 31, 1998. 10.02 Amended and Restated Management Agreement, dated as of June 1, 1998, among the Partnership, Demeter Management Corporation, and EMC Capital Management, Inc. is incorporated by reference to exhibit 10.02 of the Partnership's Form 10-K (File No. 0-19511) for fiscal year ended December 31, 1998. 10.03 Amended and restated Management Agreement, dated as of June 1, 1998, among the Partnership, Demeter Management Corporation, and Sunrise Capital Management, Inc. is incorporated by reference to Exhibit 10.03 of the Partnership's Form 10-K (File No. 0-19511) for fiscal year ended December 31, 1998. 10.04 Amended and Restated Customer Agreement, dated as of December 1, 1997, between the Partnership and Dean Witter Reynolds Inc. is incorporated by reference to Exhibit 10.04 of the Partnership's form 10-K (File no. 0-19511) for fiscal year ended December 31, 1998. 10.05 Customer Agreement, dated as of December 1, 1997, among the Partnership, Carr Futures, Inc., and Dean Witter Reynolds Inc. is incorporated by reference to exhibit 10.05 of the Partnership's Form 10-K (File No. 0-19511) for fiscal year ended December 31, 1998. 10.06 International Foreign Exchange Master Agreement, dated as of August 1, 1997, between the Partnership and Carr Futures, Inc. is incorporated by reference to Exhibit 10.06 of the Partnership's Form 10-K (File No. 0-19511) for fiscal year ended December 31, 1998. 10.07 Subscription and Exchange Agreement and Power of Attorney to be executed by each purchase of Units is incorporated by reference to Exhibit B of the Partnership's Prospectus, dated January 21, 1999, filed with the Securities and Exchange Commission pursuant to Rule 424(b)(3) under the Securities Act of 1933, as amended, on January 26, 1999. 10.08 Escrow Agreement, dated September 30, 1994, among Dean Witter Spectrum Strategic L.P., Dean Witter Spectrum Global Balanced L.P., Dean Witter Spectrum technical L.P., Demeter Management Corporation, dean Witter Reynolds Inc., and Chemical Bank is incorporated by reference to Exhibit 10.08 of the Partnership's Form 10-K (File No. 0-19511) for fiscal year ended December 31, 1998. 10.09 Amendment to the Escrow Agreement, dated March 6, 2000, among the Partnership, Demeter Management Corporation, Dean Witter Reynolds Inc., and Chemical Bank is incorporated by reference to exhibit 10.09 of the partnership's Form 10-K (File No. 0-19511) for fiscal year ended March 9, 2000. (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. Morgan Stanley Dean Witter Spectrum Select L.P. (Registrant) By: Demeter Management Corporation (General Partner) August 14, 2000 By: /s/ Raymond E. Koch Raymond E. Koch 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 0002.txt
5 The schedule contains summary financial information extracted from Morgan Stanley Dean Witter Spectrum Select L.P. and is qualified in its entirety by reference to such financial statements 6-MOS DEC-31-2000 JUN-30-2000 196,194,313 0 2,948,217 0 0 0 0 0 198,636,912 0 0 0 0 0 0 198,636,912 0 (6,115,049) 0 0 10,821,335 0 0 (16,936,384) 0 (16,936,384) 0 0 0 (16,936,384) 0 0 Receivables include interest receivable of $775,245 and subscriptions receivable of $2,172,972. In addition to cash and receivables, total assets include net unrealized loss on open contracts of $505,618. Liabilities include redemptions payable of $3,138,459, accrued brokerage fees of $1,230,552 and accrued management fees of $509,194. Total revenue includes realized trading revenue of $(3,377,514), net change in unrealized of $(7,392,682) and interest income of $4,655,147.
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