-----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, DzY4qU8N1/HtaG7r12lfmoYptO4PPdZaMMadd2uolN7TkNH7qM5LMBcu88CYak5Y 7LVEOlh/myC/dxzKir185w== 0000873799-01-000003.txt : 20010329 0000873799-01-000003.hdr.sgml : 20010329 ACCESSION NUMBER: 0000873799-01-000003 CONFORMED SUBMISSION TYPE: 10-K PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20001231 FILED AS OF DATE: 20010328 FILER: COMPANY DATA: COMPANY CONFORMED NAME: MORGAN STANLEY DEAN WITTER SPECTRUM SELECT LP CENTRAL INDEX KEY: 0000873799 STANDARD INDUSTRIAL CLASSIFICATION: REAL ESTATE INVESTMENT TRUSTS [6798] IRS NUMBER: 133619290 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-K SEC ACT: SEC FILE NUMBER: 000-19511 FILM NUMBER: 1582559 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-K 1 0001.txt UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-K [X] Annual report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 [No Fee Required] For the year ended December 31, 2000 or [ ] Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 [No Fee Required] 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 Limited Partnership Agreement) 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, - 62nd Flr., New York, N.Y. 10048 (Address of principal executive offices) (Zip Code) Registrant's telephone number, including area code (212) 392-5454 Securities registered pursuant to Section 12(b) of the Act: Name of each exchange Title of each class on which registered None None Securities registered pursuant to Section 12(g) of the Act: Units of Limited Partnership Interest (Title of Class) 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 _____ Indicate by check-mark if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K (section 229.405 of this chapter) is not contained herein, and will not be contained, to the best of registrant's knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment of this Form 10-K. [X] State the aggregate market value of the Units of Limited Partnership Interest held by non-affiliates of the registrant. The aggregate market value shall be computed by reference to the price at which units were sold as of a specified date within 60 days prior to the date of filing: $221,102,204 at January 31, 2001. DOCUMENTS INCORPORATED BY REFERENCE (See Page 1) MORGAN STANLEY DEAN WITTER SPECTRUM SELECT L.P. INDEX TO ANNUAL REPORT ON FORM 10-K DECEMBER 31, 2000
Page No. DOCUMENTS INCORPORATED BY REFERENCE. . . . . . . . . . . . . . . . . 1 Part I . Item 1. Business. . . . . . . . . . . . . . . . . . . . . . . . 2-5 Item 2. Properties. . . . . . . . . . . . . . . . . . . . . . . . 5 Item 3. Legal Proceedings. . . . . . . . . . . . . . . . . . . 5-7 Item 4. Submission of Matters to a Vote of Security Holders. . . .7 Part II. Item 5.Market for the Registrant's Partnership Units and Related Security Holder Matters . . . . . . . . . 8-9 Item 6. Selected Financial Data . . . . . . . . . . . . . . . .10 Item 7.Management's Discussion and Analysis of Financial Condition and Results of Operations. . . . . . . . . . 11-22 Item 7A. Quantitative and Qualitative Disclosures About Market Risk . . . . . . . . . . . . . . . . . . . . . 22-35 Item 8. Financial Statements and Supplementary Data. . .. . . . ..36 Item 9.Changes in and Disagreements with Accountants on Accounting and Financial Disclosure. . . . . . . . . . . .36 Part III. Item 10.Directors and Executive Officers of the Registrant . 37-41 Item 11. Executive Compensation . . . . . . . . . . . . . . . . . 41 Item 12.Security Ownership of Certain Beneficial Owners and Management . . . . . . . . . . . . . . . . . . . . .41 Item 13. Certain Relationships and Related Transactions . . . . 41-42 Part IV. Item 14. Exhibits, Financial Statement Schedules, and Reports on Form 8-K. . . . . . . . . . . . . . . . . . .43
DOCUMENTS INCORPORATED BY REFERENCE Portions of the following documents are incorporated by reference as follows: Documents Incorporated Part of Form 10-K Partnership's Prospectus dated March 6, 2000 I Partnership's Supplement to the Prospectus dated June 22, 2000 I Annual Report to Morgan Stanley Dean Witter Spectrum Series Limited Partners for the year ended December 31, 2000 I, II, III and IV PART I Item 1. BUSINESS (a) General Development of Business. Morgan Stanley Dean Witter Spectrum Select L.P. (formerly, "Dean Witter Spectrum Select L.P.") (the "Partnership") 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. The Partnership is one of the Morgan Stanley Dean Witter Spectrum Series of funds, which is 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. (collectively, the "Spectrum Series"). The general partner is Demeter Management Corporation ("Demeter"). The non-clearing commodity broker is Dean Witter Reynolds, Inc. ("DWR"). The clearing commodity brokers are Morgan Stanley & Co. Incorporated ("MS & Co.") and Morgan Stanley & Co. International Limited ("MSIL") which provide clearing and execution services. Prior to October 2000, Carr Futures Inc. provided clearing and execution services to the Partnership. Demeter, DWR, MS & Co. and MSIL are wholly-owned subsidiaries of Morgan Stanley Dean Witter & Co. ("MSDW"). The trading advisors to the Partnership are EMC Capital Management, Inc., Rabar Market Research, Inc. and Sunrise Capital Management, Inc. (collectively, the "Trading Advisors"). The Partnership became one of the Spectrum Series of funds on June 1, 1998. Each outstanding unit of limited partnership interest ("Unit(s)") in the Partnership was converted into 100 Units and its name changed from "Dean Witter Select Futures Fund L.P." The number of Units outstanding, Net Income (Loss) per Unit and net asset value per Unit in the financial statements incorporated by reference to Exhibit 13.01 of this Form 10-K, as well as supplementary data herein, have been adjusted for all reporting periods prior to the conversion. The Partnership registered 4,500,000 additional Units pursuant to a Registration Statement on Form S-1 (SEC File No. 333-90467), which became effective February 28, 2000. Units are offered at monthly closings at a price equal to 100% of the net asset value per Unit at the close of business on the last day of each month. The managing underwriter for the Spectrum Series is DWR. The Partnership's net asset value per Unit at December 31, 2000 was $23.57, representing an increase of 7.14 percent from the net asset value per Unit of $22.00 at December 31, 1999. For a more detailed description of the Partnership's business, see subparagraph (c). (b) Financial Information about Segments. For financial information reporting purposes, the Partnership is deemed to engage in one industry segment, the speculative trading of futures, forwards, and options. The relevant financial information is presented in Items 6 and 8. (c) Narrative Description of Business. The Partnership is in the business of speculative trading of futures, forwards, and options, pursuant to trading instructions provided by the Trading Advisors. For a detailed description of the different facets of the Partnership's business, see those portions of the Partnership's prospectus, dated March 6, 2000 (the "Prospectus"), and the Partnership's supplement to the Prospectus dated June 22, 2000 (the "Supplement"), incorporated by reference in this Form 10-K, set forth below. Facets of Business 1. Summary 1. "Summary" (Pages 1-8 of the Prospectus and Pages S-1 to S-2 of the Supplement). 2. Futures, Options, and 2. "The Futures, Options, and Forwards Markets Forwards Markets" (Pages 105-109 of the Prospectus). 3. Partnership's Trading 3. "Use of Proceeds" (Pages Arrangements and 21-23 of the Prospectus). Policies "The Trading Advisors" (Pages 51-86 of the Prospectus and Pages S-21 to S-28 of the Supplement). 4. Management of the Part- 4. "The Trading Advisors - nership The Management Agree- ments" (Page 51 of the Prospectus), "The General Partner" (Pages 49-50 of the Prospectus), "The Commodity Brokers" (Pages 88-89 of the Prospectus and Pages S-28 to S-29 of the Supplement) and "The Limited Partnership Agreements" (Pages 90-93 of the Prospectus). 5. Taxation of the Partner- 5. "Material Federal Income ship's Limited Partners Tax Considerations" and "State and Local Income Tax Aspects" (Pages 98-104 of the Prospectus). (d) Financial Information about Geographic Areas. The Partnership has not engaged in any operations in foreign countries; however, the Partnership (through the commodity brokers) enters into forward contract transactions where foreign banks are the contracting party and trades in futures, forwards, and options on foreign exchanges. Item 2. PROPERTIES The executive and administrative offices are located within the offices of DWR. The DWR offices utilized by the Partnership are located at Two World Trade Center, 62nd Floor, New York, NY 10048. Item 3. LEGAL PROCEEDINGS Similar class actions were filed in 1996 in California and New York State courts. Each of these actions were dismissed in 1999. However, the New York State class action discussed below is still pending because plaintiffs appealed the trial court's dismissal of their case on March 3, 2000. On September 18 and 20, 1996, purported class actions were filed in the Supreme Court of the State of New York, New York County, on behalf of all purchasers of interests in limited partnership commodity pools sold by DWR. Named defendants include DWR, Demeter, MSDW, the Partnership (under its original name, "Dean Witter Select Futures Fund L.P."), certain limited partnership commodity pools of which Demeter is the general partner and certain trading advisors to those pools. A consolidated and amended complaint in the action pending in the Supreme Court of the State of New York was filed on August 13, 1997, alleging that the defendants committed fraud, breach of fiduciary duty, and negligent misrepresentation in the sale and operation of the various limited partnership commodity pools. The complaints sought unspecified amounts of compensatory and punitive damages and other relief. The New York Supreme Court dismissed the New York action in November 1998, but granted plaintiffs leave to file an amended complaint, which they did in early December 1998. The defendants filed a motion to dismiss the amended complaint with prejudice on February 1, 1999. By decision dated December 21, 1999, the New York Supreme Court dismissed the case with prejudice. However, on March 3, 2000, plaintiffs appealed the trial court's dismissal of their case. Item 4. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS None. PART II Item 5. MARKET FOR THE REGISTRANT'S PARTNERSHIP UNITS AND RELATED SECURITY HOLDER MATTERS (a) Market Information There is no established public trading market for Units of the Partnership. (b) Holders The number of holders of Units at December 31, 2000 was approximately 16,091. (c) Distributions No distributions have been made by the Partnership since it commenced trading operations on August 1, 1991. Demeter has sole discretion to decide what distributions, if any, shall be made to investors in the Partnership. Demeter currently does not intend to make any distribution of Partnership profits. (d) Use of Proceeds Units are sold at monthly closings as of the last day of each month at a price equal to 100% of the net asset value per Unit as of the date of such monthly closing. Through December 31, 2000, 19,502,386.732 Units were sold, leaving 6,111,580.368 Units unsold as of December 31, 2000. The aggregate price of the Units sold through December 31, 2000 was $309,663,033. Since 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 and the Supplement. Item 6. SELECTED FINANCIAL DATA (in dollars)
For the Years Ended December 31, 2000 1999 1998 1997 1996 . Total Revenues (including interest) 35,083,619 4,778,950 41,778,732 26,495,529 22,046,523 Net Income (Loss) 14,291,045 (16,694,414) 22,695,060 9,943,717 5,414,041 Net Income (Loss) Per Unit (Limited & General Partners) 1.57 (1.80) 2.95* 1.22* .98* Total Assets 224,581,554 219,366,812 202,668,038 169,541,807 167,588,012 Total Limited Partners' Capital 218,182,118 210,877,519 196,915,644 163,999,307 161,174,820 Net Asset Value Per Unit 23.57 22.00 23.80* 20.85* 19.62* * The Partnership became one of the Spectrum Series of Funds on June 1, 1998 and each outstanding Unit of Dean Witter Select Futures Fund L.P. on that date was converted to 100 Units of the Partnership. Per Unit amounts prior to the conversion are restated to reflect this 100 for 1 split.
Item 7. 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 with MS & Co. and MSIL as clearing brokers in separate futures, forward, and options 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 Commodity Futures Trading Commission ("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 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 currencies. 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, 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 in the future will affect the amount of funds available for investments in futures, forwards, and options in subsequent periods. It is not possible to estimate the amount and therefore, the impact of future redemptions. Results of Operations. General. The Partnership's results depend on its Trading Advisors and the ability of each Trading Advisor's trading program 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 three years ended December 31, 2000 and a general discussion of its trading activities during each period. The Partnership has restated all prior period per Unit amounts to reflect the 100- for-1 Unit conversion that took place on June 1, 1998. 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. At December 31, 2000, the Partnership's total capital was $220,729,969, an increase of $6,924,295 from the Partnership's total capital of $213,805,674 at December 31, 1999. For the year ended December 31, 2000, the Partnership generated net income of $14,291,045, total subscriptions aggregated $28,581,403 and total redemptions aggregated $35,948,153. For the year ended December 31, 2000, the Partnership recorded total trading revenues, including interest income, of $35,083,619 and posted an increase in net asset value per Unit. The most significant gains of approximately 9.3% were recorded in the global interest rate futures markets primarily during August, November and December from long positions in U.S. interest rate futures as prices climbed higher amid a drop in stock prices and as fears of an economic slowdown drew investors to the perceived safety of government securities. Additional gains were recorded during December from long positions in European and Australian interest rate futures as prices in these markets rose amid the speculation that the U.S. Federal Reserve would lower interest rates in the near future following their decision to switch to an easing policy bias. In the currency markets, gains of approximately 8.2% were recorded primarily during January, March, April and October from short positions in the euro and the Swiss franc as the value of these European currencies weakened relative to the U.S. dollar amid skepticism about Europe's economic outlook. In the energy markets, gains of approximately 4.0% were recorded primarily during May, August, September, November and December from long positions in natural gas futures as prices trended upward, amid supply and storage concerns. A portion of the Partnership's overall gains was partially offset by losses of approximately 4.9% recorded in the global stock index futures markets primarily during mid-April from long positions in U.S. stock index futures as domestic equity prices declined following the release of an unexpected jump in the Consumer Price Index. During the first half of September, additional losses were recorded from long positions in U.S. stock index futures as prices declined due to jitters in the technology sector and a worrisome spike in oil prices. In the metals markets, losses of approximately 3.5% were experienced from long positions in copper and aluminum futures as prices moved lower during February, May, October and December, after concerns mounted that demand would weaken amid a cooling of the U.S. economy. Total expenses for the year were $20,792,574, resulting in net income of $14,291,045. The net asset value of a Unit increased from $22.00 at December 31, 1999 to $23.57 at December 31, 2000. At December 31, 1999, the Partnership's total capital was $213,805,674, an increase of $13,723,158 from the Partnership's total capital of $200,082,516 at December 31, 1998. For the year ended December 31, 1999, the Partnership generated a net loss of $16,694,414, total subscriptions aggregated $51,589,367 and total redemptions aggregated $21,171,795. For the year ended December 31, 1999, the Partnership recorded total trading revenues, including interest income, of $4,778,950 and posted a decrease in net asset value per Unit. The Partnership recorded a net loss during 1999 with losses of approximately 3.27% being experienced primarily in the global interest rate futures markets, particularly from short-term price volatility in U.S. and European interest rate futures. Losses were recorded during September from short positions in Australian bond futures as prices spiked higher on technically based buying and short covering. Losses of approximately 2.07% were also recorded from short Japanese government bond futures positions early in the first quarter as prices surged higher in response to the Bank of Japan's aggressive easing of monetary policy. Additional losses were experienced later in the first quarter from newly established long positions as prices retreated following comments by Bank of Japan Governor Hayami that he expected interest rates in Japan to rise over time. In the metals markets, losses of approximately 1.33% were experienced, particularly during the month of March from long silver futures positions as prices declined after Berkshire Hathaway's annual report failed to provide any new information on the company's silver positions. During October, additional losses were recorded from long silver futures positions as prices decreased following a reversal lower in gold prices. Offsetting gains were recorded from long positions in gold futures as gold prices soared during September following the Bank of England's second gold auction and an announcement by several European central banks stating that they were to restrict the sales of gold reserves for five years. Gains of approximately 3.11% recorded in the energy markets helped to mitigate overall Partnership losses for the year. Long futures positions in crude oil and its refined products proved profitable as oil prices trended significantly higher largely attributed to the news that both OPEC and non-OPEC countries had reached and adhered to an agreement to cut total output. Total expenses for the year were $21,473,364, resulting in a net loss of $16,694,414. The net asset value of a Unit decreased from $23.80 at December 31, 1998 to $22.00 at December 31, 1999. At December 31, 1998, the Partnership's total capital was $200,082,516, an increase of $33,309,195 from the Partnership's total capital of $166,773,321 at December 31, 1997. For the year ended December 31, 1998, the Partnership generated net income of $22,695,060, total subscriptions aggregated $30,297,590 and total redemptions aggregated $19,683,455. For the year ended December 31, 1998, the Partnership recorded total trading revenues, including interest income, of $41,778,732 and posted an increase in net asset value per Unit. 1998 was a profitable year for the Partnership with the majority of the gains of approximately 18.62% being recorded in the global interest rate futures markets primarily from long positions in European, particularly German and French, U.S. and Japanese bond futures. Bond prices rallied in late August as global stock prices plunged, especially after Russia's decision to halt trading in foreign currencies paralyzed that country's banking system and set off a "flight to quality" into the global fixed income markets. Substantial gains in the financial futures markets carried further throughout September as volatility in the global financial markets and worldwide economic deterioration continued to drive investors to these "safe havens". Total expenses for the year were $19,083,672, resulting in net income of $22,695,060. The net asset value of a Unit increased from $20.85 at December 31, 1997 to $23.80 at December 31, 1998. The Partnership's overall performance record represents varied results of trading in different futures, forwards, and options markets. For a further description of 2000 trading results, refer to the letter to the Limited Partners in the accompanying Annual Report to Limited Partners for the year ended December 31, 2000, which is incorporated by reference to Exhibit 13.01 of this Form 10-K. The Partnership's gains and losses are allocated among its partners for income tax purposes. Credit Risk. Financial Instruments. The Partnership is a party to financial instruments with elements of off-balance sheet market and credit risk. The Partnership may trade futures, forwards, and options in a portfolio of agricultural commodities, energy products, foreign currencies, interest rates, precious and base metals, soft commodities, and stock indices. In entering into these contracts, the Partnership is subject to the market risk that such contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the positions held by the Partnership at the same time, and if the Trading Advisors were unable to offset positions of the Partnership, the Partnership could lose all of its assets and investors would realize a 100% loss. In addition to the Trading Advisors' internal controls, the Trading Advisors must comply with the trading policies of the Partnership. These trading policies include standards for liquidity and leverage with which the Partnership must comply. The Trading Advisors and Demeter monitor the Partnership's trading activities to ensure compliance with the trading policies. Demeter may require the Trading Advisors to modify positions of the Partnership if Demeter believes they violate the Partnership's trading policies. In addition to market risk, in entering into futures, forwards, and options contracts there is a credit risk to the Partnership that the counterparty on a contract will not be able to meet its obligations to the Partnership. The ultimate counterparty or guarantor of the Partnership for futures contracts traded in the United States and the foreign exchanges on which the Partnership trades is the clearinghouse associated with such exchange. In general, a clearinghouse is backed by the membership of the exchange and will act in the event of non-performance by one of its members or one of its member's customers, which should significantly reduce this credit risk. For example, a clearinghouse may cover a default by drawing upon a defaulting member's mandatory contributions and/or non-defaulting members' contributions to a clearinghouse guarantee fund, established lines or letters of credit with banks, and/or the clearinghouse's surplus capital and other available assets of the exchange and clearinghouse, or assessing its members. In cases where the Partnership trades off-exchange forward contracts with a counterparty, the sole recourse of the Partnership will be the forward contracts counterparty. There is no assurance that a clearinghouse or exchange will meet its obligations to the Partnership, and Demeter and the commodity brokers will not indemnify the Partnership against a default by such parties. Further, the law is unclear as to whether a commodity broker has any obligation to protect its customers from loss in the event of an exchange or clearinghouse defaulting on trades effected for the broker's customers. Any such obligation on the part of a broker appears even less clear where the default occurs in a non-U.S. jurisdiction. Demeter deals with these credit risks of the Partnership in several ways. First, it monitors the Partnership's credit exposure to each exchange on a daily basis, calculating not only the amount of margin required for it but also the amount of its unrealized gains at each exchange, if any. The commodity brokers inform the Partnership, as with all their customers, of its net margin requirements for all its existing open positions, but do not break that net figure down, exchange by exchange. Demeter, however, has installed a system which permits it to monitor the Partnership's potential margin liability, exchange by exchange. As a result, Demeter is able to monitor the Partnership's potential net credit exposure to each exchange by adding the unrealized trading gains on that exchange, if any, to the Partnership's margin liability thereon. Second, the Partnership's trading policies limit the amount of its net assets that can be committed at any given time to futures contracts and require, in addition, a minimum amount of diversification in the Partnership's trading, usually over several different products. One of the aims of such trading policies has been to reduce the credit exposure of the Partnership to a single exchange and, historically, the Partnership's exposure to one exchange has typically amounted to only a small percentage of its total net assets. On those relatively few occasions where the Partnership's credit exposure may climb above such level, Demeter deals with the situation on a case by case basis, carefully weighing whether the increased level of credit exposure remains appropriate. Material changes to the trading policies may be made only with the prior written approval of the limited partners owning more than 50% of Units then outstanding. Third, with respect to forward contract trading, the Partnership trades with only those counterparties which Demeter, together with DWR, have determined to be creditworthy. The Partnership presently deals with MS & Co. as the sole counterparty on forward contracts. See "Financial Instruments" under Notes to Financial Statements in the Partnership's Annual Report to Limited Partners for the year ended December 31, 2000, which is incorporated by reference to Exhibit 13.01 of this Form 10-K. Item 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK Introduction The Partnership is a commodity pool involved in the speculative trading of futures, forwards, and options. 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, forwards, and options traded by the Partnership involve varying degrees of related 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 its cash flow. Profits and losses on open positions of exchange- traded futures, forwards, and options 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 table indicates the VaR associated with the Partnership's open positions as a percentage of total net assets by primary market risk category at December 31, 2000 and 1999. At December 31, 2000 and 1999, the Partnership's total capitalization was approximately $221 million and $214 million, respectively. Primary Market December 31, 2000 December 31, 1999 Risk Category Value at Risk Value at Risk Interest Rate (2.33)% (0.27)% Currency (0.58) (0.37) Equity (0.55) (0.48) Commodity (0.59) (0.40) Aggregate Value at Risk (2.65)% (0.85)% 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 December 31, 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, forwards, and options, 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 December 31, 2000 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 January 1, 2000 through December 31, 2000. Primary Market Risk Category High Low Average Interest Rate (2.33)% (0.58)% (1.24)% Currency (1.16) (0.36) (0.81) Equity (0.78) (0.22) (0.45) Commodity (1.45) (0.59) (1.04) Aggregate Value at Risk (2.65)% (1.68)% (2.06)% 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 usually 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, give 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 December 31, 2000, and 1999, and for the end of the four quarterly reporting periods during calendar year 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 December 31, 2000, the Partnership's cash balance at DWR was approximately 87% 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 to be 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 expro- priations, 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 at December 31, 2000, by market sector. It may be anticipated, however, that these market exposures will vary materially over time. Interest Rate. The primary market exposure of the Partnership at December 31, 2000 was in the global interest rate market. The Partnership's exposure in the interest rate market complex was spread primarily across the U.S., European, Japanese 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 exposures 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 December 31, 2000 was in the currency sector. 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 fourth quarter of 2000, the Partnership's major exposures were to euro currency crosses and outright U.S. dollar positions. Outright positions consist of the U.S. dollar vs. other currencies. These other currencies include 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 December 31, 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 December 31, 2000, the Partnership's primary exposures were to the DAX (Germany), S&P 500 (U.S.) and Nikkei (Japan) 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 December 31, 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 to precious metals was evident as gold prices were volatile during the quarter. Silver prices remained volatile over this period, and the Trading Advisors have, from time to time, taken positions as they have perceived market opportunities to develop. Energy. On December 31, 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. Soft Commodities and Agriculturals. On December 31, 2000, the Partnership had the most exposure to the corn, soybeans, soybean meal, coffee, and cotton markets. Supply and demand inequalities, severe weather disruption, and market expectations affect price movements in these markets. Qualitative Disclosures Regarding Non-Trading Risk Exposure The following was the only non-trading risk exposure of the Partnership at December 31, 2000: Foreign Currency Balances. The Partnership's primary foreign currency balances were in euros, Japanese yen, and Australian dollars. 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. Item 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA The Financial Statements are incorporated by reference to the Partnership's Annual Report, which is filed as Exhibit 13.01 hereto. Supplementary data specified by Item 302 of Regulation S-K: Summary of Quarterly Results (Unaudited) Net Income/ (Loss) Per Quarter Net Unit of Limited Ended Revenue Income/(Loss) Partnership Interest 2000 March 31 $ 2,404,979 $ (3,137,046) $(0.32) June 30 (8,520,028) (13,799,338) (1.43) September 30 5,462,810 512,200 0.06 December 31 35,735,858 30,715,229 3.26 Total $35,083,619 $ 14,291,045 $ 1.57 1999 March 31 $ 4,868,442 $ (311,140) $(0.04) June 30 4,296,288 (1,124,247) (0.12) September 30 (1,323,973) (6,757,813) (0.76) December 31 (3,061,807) (8,501,214) (0.88) Total $ 4,778,950 $ (16,694,414) $(1.80) Item 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACOUNTING AND FINANCIAL DISCLOSURE None. PART III Item 10. DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT There are no directors or executive officers of the Partnership. The Partnership is managed by Demeter. Directors and Officers of the General Partner The directors and officers of Demeter are as follows: Robert E. Murray, age 40, is Chairman of the Board, President and a Director of Demeter. Mr. Murray is also Chairman of the Board, President and a Director of Dean Witter Futures & Currency Management Inc. ("DWFCM"). Mr. Murray is currently a Senior Vice President of DWR's Managed Futures Department. Mr. Murray began his career at DWR in 1984 and is currently the Director of the Managed Futures Department. In this capacity, Mr. Murray is responsible for overseeing all aspects of the firm's Managed Futures Department. Mr. Murray previously served as Vice Chairman and a Director of the Managed Funds Association, an industry association for investment professionals in futures, hedge funds and other alternative investments. Mr. Murray graduated from Geneseo State University in May 1983 with a B.A. degree in Finance. Mitchell M. Merin, age 47, is a Director of Demeter. Mr. Merin is also a Director of DWFCM. Mr. Merin was appointed the Chief Operating Officer of Individual Asset Management for MSDW in December 1998 and the President and Chief Executive Officer of Morgan Stanley Dean Witter Advisors in February 1998. He has been an Executive Vice President of DWR since 1990, during which time he has been Director of DWR's Taxable Fixed Income and Futures divisions, Managing Director in Corporate Finance and Corporate Treasurer. Mr. Merin received his Bachelor's degree from Trinity College in Connecticut and his M.B.A. degree in Finance and Accounting from the Kellogg Graduate School of Management of Northwestern University in 1977. Joseph G. Siniscalchi, age 55, is a Director of Demeter. Mr. Siniscalchi joined DWR in July 1984 as a First Vice President, Director of General Accounting and served as a Senior Vice President and Controller for DWR's Securities Division through 1997. He is currently Executive Vice President and Director of the Operations Division of DWR. From February 1980 to July 1984, Mr. Siniscalchi was Director of Internal Audit at Lehman Brothers Kuhn Loeb, Inc. Edward C. Oelsner, III, age 59, is a Director of Demeter. Mr. Oelsner is currently an Executive Vice President and head of the Product Development Group at Morgan Stanley Dean Witter Advisors. Mr. Oelsner joined DWR in 1981 as a Managing Director in DWR's Investment Banking Department specializing in coverage of regulated industries and, subsequently, served as head of the DWR Retail Products Group. Prior to joining DWR, Mr. Oelsner held positions at The First Boston Corporation as a member of the Research and Investment Banking Departments from 1967 to 1981. Mr. Oelsner received his M.B.A. in Finance from the Columbia University Graduate School of Business in 1966 and an A.B. in Politics from Princeton University in 1964. Richard A. Beech, age 49, is a Director of Demeter. Mr. Beech has been associated with the futures industry for over 23 years. He has been at DWR since August 1984 where he is presently Senior Vice President and head of Branch Futures. Mr. Beech began his career at the Chicago Mercantile Exchange, where he became the Chief Agricultural Economist doing market analysis, marketing and compliance. Prior to joining DWR, Mr. Beech also had worked at two investment banking firms in operations, research, managed futures and sales management. Raymond A. Harris, age 44, is a Director of Demeter. Mr. Harris is currently Executive Vice President, Planning and Administration for Morgan Stanley Dean Witter Asset Management and has worked at DWR or its affiliates since July 1982, serving in both financial and administrative capacities. From August 1994 to January 1999, he worked in two separate DWR affiliates, Discover Financial Services and Novus Financial Corp., culminating as Senior Vice President. Mr. Harris received his B.A. degree from Boston College and his M.B.A. in finance from the University of Chicago. Anthony J. DeLuca, age 38, became a Director of Demeter on September 14, 2000. Mr. DeLuca is also a Director of DWFCM. Mr. DeLuca was appointed the Controller of Asset Management for MSDW in June 1999. Prior to that, Mr. DeLuca was a partner at the accounting firm of Ernst & Young LLP, where he had MSDW as a major client. Mr. DeLuca had worked continuously at Ernst & Young LLP ever since 1984, after he graduated from Pace University with a B.B.A. degree in Accounting. Raymond E. Koch, age 45, is Chief Financial Officer of Demeter. Effective July 10, 2000, Mr. Koch replaced Mr. Raibley as Chief Financial Officer of Demeter. Mr. Koch began his career at MSDW in 1988, has overseen the Managed Futures Accounting function since 1992, and is currently First Vice President, Director of Managed Futures and Realty Accounting. From November 1979 to June 1988, Mr. Koch held various positions at Thomson McKinnon Securities, Inc. culminating as Manager, Special Projects in the Capital Markets Division. From August 1977 to November 1979 he was an auditor, specializing in financial services at Deloitte Haskins and Sells. Mr. Koch received his B.B.A. in accounting from Iona College in 1977, an M.B.A. in finance from Pace University in 1984 and is a Certified Public Accountant. Lewis A. Raibley, III, age 38, served as Vice President, Chief Financial Officer, and a Director of Demeter and DWFCM until his resignation from MSDW on July 1, 2000. All the foregoing directors have indefinite terms. Item 11. EXECUTIVE COMPENSATION The Partnership has no directors and executive officers. As a limited partnership, the business of the Partnership is managed by Demeter, which is responsible for the administration of the business affairs of the Partnership but receives no compensation for such services. Item 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT (a) Security Ownership of Certain Beneficial Owners - As of December 31, 2000, there were no persons known to be beneficial owners of more than 5 percent of the Units. (b) Security Ownership of Management - At December 31, 2000, Demeter owned 108,076.600 Units of General Partnership Interest representing a 1.15 percent interest in the Partnership. (c) Changes in Control - None Item 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS Refer to Note 2 - "Related Party Transactions" of "Notes to Financial Statements", in the accompanying Annual Report to Limited Partners for the year ended December 31, 2000, which is incorporated by reference to Exhibit 13.01 of this Form 10-K. In its capacity as the Partnership's retail commodity broker, DWR received commodity brokerage fees of $14,706,945 for the year ended December 31, 2000. PART IV Item 14.EXHIBITS, FINANCIAL STATEMENT SCHEDULES, AND REPORTS ON FORM 8-K (a) 1. Listing of Financial Statements The following financial statements and reports of independent auditors, all appearing in the accompanying Annual Report to Limited Partners for the year ended December 31, 2000 are incorporated by reference to Exhibit 13.01 of this Form 10-K: - - Report of Deloitte & Touche LLP, independent auditors, for the years ended December 31, 2000, 1999 and 1998. - - Statements of Financial Condition as of December 31, 2000 and 1999. - - Statements of Operations, Changes in Partners' Capital, and Cash Flows for the years ended December 31, 2000, 1999 and 1998. - - Notes to Financial Statements With the exception of the aforementioned information and the information incorporated in Items 7, 8, and 13, the Annual Report to Limited Partners for the year ended December 31, 2000 is not deemed to be filed with this report. 2. Listing of Financial Statement Schedules No financial statement schedules are required to be filed with this report. (b) Reports on Form 8-K No reports on Form 8-K have been filed by the Partnership during the last quarter of the period covered by this report. (c) Exhibits Refer to Exhibit Index on Page E-1 to E-3. SIGNATURES Pursuant to the requirements of Sections 13 or 15(d) 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 March 29, 2001 BY: /s/ Robert E. Murray . Robert E. Murray, Director, Chairman of the Board and President Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. Demeter Management Corporation. BY: /s/ Robert E. Murray March 29, 2001 Robert E. Murray, Director, Chairman of the Board and President /s/ Mitchell M. Merin March 29, 2001 Mitchell M. Merin, Director /s/ Joseph G. Siniscalchi March 29, 2001 Joseph G. Siniscalchi, Director /s/ Edward C. Oelsner III March 29, 2001 Edward C. Oelsner III, Director /s/ Richard A. Beech March 29, 2001 Richard A. Beech, Director /s/ Raymond A. Harris March 29, 2001 Raymond A. Harris, Director /s/ Anthony J. DeLuca March 29, 2001 Anthony J. DeLuca, Director /s/ Raymond E. Koch March 29, 2001 Raymond E. Koch, Chief Financial Officer and Principal Accounting Officer EXHIBIT INDEX ITEM 3.01 Form of Amended and Restated Limited Partnership Agreement of the Partnership, 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. 33-39667) 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 purchaser 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 May 11, 1998, 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 December 31, 1998. 10.11 Form of Subscription Agreement Update Form to be executed by purchasers of Units is incorporated by reference to Exhibit C 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. 10.12 Amended and Restated Customer Agreement between the Registrant and Dean Witter Reynolds Inc., dated October 16, 2000, is incorporated by reference to Exhibit 10.12 of the Partnership's Registration Statement on Form S-1 (File No. 333-90467) filed with the Securities and Exchange Commission on March 14, 2001. 10.13 Commodity Futures Customer Agreement among the Registrant, Morgan Stanley & Co. Incorporated, and Dean Witter Reynolds Inc., dated June 6, 2000, is incorporated by reference to Exhibit 10.13 of the Partnership's Registration Statement on Form S-1 (File No. 333-90467) filed with the Securities and Exchange Commission on March 14, 2001. 10.14 Form of Customer Agreement among the Registrant, Morgan Stanley & Co. International Limited, and Morgan Stanley & Co. Incorporated, dated June 6, 2000, is incorporated by reference to Exhibit 10.14 of the Partnership's Registration Statement on Form S-1 (File No. 333-90467) filed with the Securities and Exchange Commission on March 14, 2001. 10.15 Foreign Exchange and Options Master Agreement between the Registrant and Morgan Stanley & Co. Incor-porated., dated April 30, 2000, is incorporated by reference to Exhibit 10.15 of the Partnership's Registration Statement on Form S-1 (File No. 333-90467) filed with the Securities and Exchange Commission on March 14, 2001. 13.01 December 31, 2000 Annual Report to Limited Partners is filed herewith. Morgan Stanley Dean Witter Spectrum Series [GRAPHIC] December 31, 2000 Annual Report MORGAN STANLEY DEAN WITTER Morgan Stanley Dean Witter Spectrum Series Historical Fund Performance Presented below is the percentage change in Net Asset Value per Unit from the start of every calendar year each Fund has traded. Also provided is the incep- tion-to-date return and the annualized return since inception for each Fund. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Funds - ----- Spectrum Commodity Year Return ---- ------ 1998 -34.3% 1999 15.8% 2000 3.2%
Inception-to-Date Return: -21.5% Annualized Return: -7.8%
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Spectrum Currency Year Return ---- ------ 2000 (6 months) 11.7%
Inception-to-Date Return: 11.7%
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Spectrum Global Balanced Year Return Year Return ---- ------ ---- ------ 1994 (2 months) -1.7% 1998 16.4% 1995 22.8% 1999 0.7% 1996 -3.6% 2000 0.9% 1997 18.2%
Inception-to-Date Return: 62.6% Annualized Return: 8.2%
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Spectrum Select Year Return Year Return ---- ------ ---- ------ 1991 (5 months) 31.2% 1996 5.3% 1992 -14.4% 1997 6.2% 1993 41.6% 1998 14.2% 1994 -5.1% 1999 -7.6% 1995 23.6% 2000 7.1%
Inception-to-Date Return: 135.7% Annualized Return: 9.5%
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Spectrum Strategic Year Return Year Return ---- ------ ---- ------ 1994 (2 months) 0.1% 1998 7.8% 1995 10.5% 1999 37.2% 1996 -3.5% 2000 -33.1% 1997 0.4%
Inception-to-Date Return: 6.1% Annualized Return: 1.0%
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Spectrum Technical Year Return Year Return ---- ------ ---- ------ 1994 (2 months) -2.2% 1998 10.2% 1995 17.6% 1999 -7.5% 1996 18.3% 2000 7.8% 1997 7.5%
Inception-to-Date Return: 60.8% Annualized Return: 8.0%
Demeter Management Corporation Two World Trade Center 62nd Floor New York, NY 10048 Telephone (212) 392-8899 Morgan Stanley Dean Witter Spectrum Series Annual Report 2000 Dear Limited Partner: This marks the seventh annual report for Morgan Stanley Dean Witter Spectrum Global Balanced, Spectrum Strategic and Spectrum Technical, the tenth annual report for Morgan Stanley Dean Witter Spectrum Select and the third annual report for Morgan Stanley Dean Witter Spectrum Commodity. It also marks the first annual report for Spectrum Currency, which began trading on July 3, 2000 with a Net Asset Value per Unit of $10.00. The Net Asset Value per Unit for each of the six Morgan Stanley Dean Witter Spectrum Funds as of December 31, 2000 was as follows:
Funds N.A.V. % change for year ----- ------ ----------------- Spectrum Commodity $ 7.85 3.2% Spectrum Currency $11.17 11.7% Spectrum Global Balanced $16.26 0.9% Spectrum Select $23.57 7.1% Spectrum Strategic $10.61 -33.1% Spectrum Technical $16.08 7.8%
Spectrum Commodity The Fund recorded profits primarily in the energy markets from long positions in natural gas futures as prices increased amid ongoing supply concerns and increased demand. Additional gains were recorded 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. Losses were recorded in the Fund primarily in the metals markets from long silver futures positions as silver prices declined throughout a majority of the year on technically-based fac- tors. Spectrum Currency The Fund produced gains primarily from short positions in the euro and Japa- nese yen as their respective values weakened relative to the U.S. dollar amid continued skepticism regarding the European economy and on further signs of weakness in the Japanese economy. Ad- ditional gains were recorded from short South African rand positions as its value weakened later in the year versus the U.S. dollar while moving in sympa- thy with other emerging market currencies. These gains were partially offset by losses experienced late in the year from long British pound positions as its value weakened versus the U.S. dollar on disappointing economic data out of the U.K. Losses were also recorded from short positions in the British pound during December as its value strengthened versus the U.S. dollar on fresh evidence that the U.S. economy is cooling down. Spectrum Global Balanced The Fund recorded gains primarily in the global interest rate futures markets from long positions in U.S. interest rate futures as prices climbed higher amid a drop in stock prices and on fears of an economic slowdown. Profits were also recorded in the energy markets from long positions in natural gas and crude oil futures as prices increased amid ongoing supply concerns and in- creased demand. A portion of the Fund's overall gains for the year was offset by losses experienced in the global stock index futures component from long positions in Nikkei Index futures as Japanese equity prices declined due pri- marily to the weakness in most global technology issues and economic uncer- tainty in Japan. Spectrum Select The Fund recorded gains primarily in the global interest rate futures markets from long positions in U.S. interest rate futures as prices climbed higher amid a drop in stock prices and on fears of an economic slowdown. Profits were also recorded in the energy markets from long positions in natural gas and crude oil futures as prices increased amid ongoing supply concerns and in- creased demand. Additional gains were generated in the currency markets from short positions in the euro and Swiss franc as the value of these European currencies weakened relative to the U.S. dollar during a majority of the year amid skepticism about Europe's economic outlook. These gains were partially offset by losses recorded primarily in the global stock index futures markets from trading in U.S. stock indices as domestic equity prices moved erratically due to jitters in the tech- nology sector, a worrisome spike in oil prices and ongoing concerns regarding the U.S. economy. Spectrum Strategic Spectrum Strategic experienced losses in every sector except energies, with the majority of them occurring in stock indices, metals, soft commodities and currencies. The primary reason behind the losses, as well as the gains, lies in the unique trading philosophy of Spectrum Strategic. Specifically, the man- agers in the Fund analyze markets from a fundamental or discretionary perspec- tive. As such, the Fund will do well when the views the managers have taken and the subsequent positions they have established are consistent with future market movements. While this has occurred in the past (e.g., the Fund was up 37.2% in 1999), this year, however, the markets moved in a pattern that was generally not consistent with the views held by the Fund's money managers and, as a result, produced disappointing performance. A significant percentage of Spectrum Strategic's losses this year occurred during the first four months largely due to views that anticipated falling eq- uity prices and rising coffee and base metals prices. In light of these views, short positions were established in U.S. stock index futures and long posi- tions in base metals and coffee futures. However, prices in these markets moved in an opposite direction to the positions held (U.S. stock prices moved higher, while base metal and coffee prices moved lower), and losses were in- curred. Additionally, losses were experienced during the latter half of 2000 in lumber futures as a bullish forecast resulted in long positions being es- tablished. However, as the economic outlook became more pessimistic and weather became a factor, that market fell in value, thereby producing losses. In currency trading, losses were experienced early in the second quarter from long positions in the Japanese yen, as the value of the yen weakened versus the U.S. dollar during April following the Bank of Japan's surprise yen-sell- ing intervention on April 3, and from short positions in the yen during June as the yen strengthened versus the dollar due to the perception that U.S. in- terest rates had topped out. Transactions involving the euro were also unprof- itable for the Fund during the year from long positions during January, July and August as the value of the European common currency weakened versus the U.S. dollar amid concerns regarding a cooling European economy. Further losses were incurred in September from newly established short positions in the European common currency as its value re- versed sharply and suddenly higher versus the dollar due to a coordinated in- tervention to support the euro on September 22. In contrast to the views held about the markets that experienced difficulty during 2000, the views held about energies resulted in gains being generated in that sector. Specifically, prior to June 2000 the Fund was positioned for a bullish price move in the energy markets, particularly in crude oil, and as a result profited from long positions in these products as oil prices reached 10-year highs. In addition, long positions in natural gas futures also proved profitable for the Fund during the year, specifically in the first, second and fourth quarters, as natural gas prices climbed sharply higher, peaking in De- cember at an all-time high due to supply and demand concerns. Spectrum Technical The Fund recorded profits primarily in the energy markets from long positions in natural gas futures as prices increased amid ongoing supply concerns and increased demand. Additional gains were recorded 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. Losses incurred in the metals mar- kets from gold futures positions, as gold prices increased early in the year and then reversed lower during the second half of the year, offset a portion of the overall Fund gains. Should you have any questions concerning this report, please feel free to con- tact Demeter Management Corporation at Two World Trade Center, 62nd Floor, New York, N.Y. 10048 or your Morgan Stanley Dean Witter Financial Advisor. I hereby affirm, that to the best of my knowledge and belief, the information contained in this report is accurate and complete. Past performance is not a guarantee of future results. Sincerely, /s/ Robert E. Murray Robert E. Murray Chairman Demeter Management Corporation General Partner Morgan Stanley Dean Witter Spectrum Series Independent Auditors' Report To the Limited Partners and the General Partner of Morgan Stanley Dean Witter Spectrum Commodity L.P. (formerly, Morgan Stanley Tangible Asset Fund L.P.) Morgan Stanley Dean Witter Spectrum Currency L.P. Morgan Stanley Dean Witter Spectrum Global Balanced L.P. Morgan Stanley Dean Witter Spectrum Select L.P. Morgan Stanley Dean Witter Spectrum Strategic L.P. Morgan Stanley Dean Witter Spectrum Technical L.P.: We have audited the accompanying statements of financial condition of Morgan Stanley Dean Witter Spectrum Currency L.P. ("Spectrum Currency") as of Decem- ber 31, 2000 and of Morgan Stanley Dean Witter Spectrum Commodity L.P. (for- merly Morgan Stanley Tangible Asset Fund L.P.) ("Spectrum Commodity"), Morgan Stanley Dean Witter Spectrum Global Balanced L.P., Morgan Stanley Dean Witter Spectrum Select L.P., Morgan Stanley Dean Witter Spectrum Strategic L.P., and Morgan Stanley Dean Witter Spectrum Technical L.P. (collectively, the "Part- nerships") as of December 31, 2000 and 1999, and the related statements of op- erations, changes in partners' capital, and cash flows for the period from July 3, 2000 (commencement of operations) to December 31, 2000 for Spectrum Currency, for the period from January 2, 1998 (commencement of operations) to December 31, 1998 and the two years ended December 31, 2000 for Spectrum Com- modity, and for each of the three years in the period ended December 31, 2000 for the other above mentioned Partnerships. These financial statements are the responsibility of the Partnerships' management. Our responsibility is to ex- press an opinion on these financial statements based on our audits. We conducted our audits in accordance with auditing standards generally ac- cepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the finan- cial statements are free of material misstatement. An audit includes examin- ing, on a test basis, evidence supporting the amounts and disclosures in the financial statements. An audit also includes assessing the accounting princi- ples used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits pro- vide a reasonable basis for our opinion. In our opinion, such financial statements present fairly, in all material re- spects, the financial position of Morgan Stanley Dean Witter Spectrum Currency L.P. as of December 31, 2000 and of Morgan Stanley Dean Witter Spectrum Com- modity L.P., Morgan Stanley Dean Witter Spectrum Global Balanced L.P., Morgan Stanley Dean Witter Spectrum Select L.P., Morgan Stanley Dean Witter Spectrum Strategic L.P., and Morgan Stanley Dean Witter Spectrum Technical L.P. as of December 31, 2000 and 1999, and the results of their operations and their cash flows for the period from July 3, 2000 (commencement of operations) to Decem- ber 31, 2000 for Spectrum Currency, for the period from January 2, 1998 (com- mencement of operations) to December 31, 1998 and the two years ended December 31, 2000 for Spectrum Commodity, and for each of the three years in the period ended December 31, 2000 for the other above mentioned Partnerships, in confor- mity with accounting principles generally accepted in the United States of America. /s/ Deloitte & Touche LLP New York, New York February 16, 2001 Morgan Stanley Dean Witter Spectrum Commodity L.P. (formerly, Morgan Stanley Tangible Asset Fund L.P.) Statements of Financial Condition
December 31, ---------------------- 2000 1999 ---------- ---------- $ $ ASSETS Equity in futures interests trading accounts: Cash 20,529,979 23,430,137 Net unrealized gain (loss) on open contracts (MS&Co.) 160,096 (100,830) Net unrealized gain (loss) on open contracts (MSIL) (185,379) 643,258 ---------- ---------- Total net unrealized gain (loss) on open contracts (25,283) 542,428 ---------- ---------- Total Trading Equity 20,504,696 23,972,565 Subscriptions receivable 215,897 -- Interest receivable (DWR and MS&Co.) 89,128 76,192 ---------- ---------- Total Assets 20,809,721 24,048,757 ========== ========== LIABILITIES AND PARTNERS' CAPITAL LIABILITIES Redemptions payable 489,923 269,545 Accrued brokerage fees (DWR and MS&Co.) 77,628 70,827 Accrued management fees (MSCM) 42,189 48,511 Service fee payable (Demeter) -- 19,404 ---------- ---------- Total Liabilities 609,740 408,287 ---------- ---------- PARTNERS' CAPITAL Limited Partners (2,530,392.671 and 3,062,471.522 Units, respectively) 19,859,397 23,310,162 General Partner (43,395.648 Units) 340,584 330,308 ---------- ---------- Total Partners' Capital 20,199,981 23,640,470 ---------- ---------- Total Liabilities and Partners' Capital 20,809,721 24,048,757 ========== ========== NET ASSET VALUE PER UNIT 7.85 7.61 ========== ==========
Statements of Operations
For the Period from For the Years January 2, 1998 Ended (commencement of December 31, operations) to -------------------- December 31, 2000 1999 1998 --------- --------- ------------------- $ $ $ REVENUES Trading profit (loss): Realized 1,696,824 3,003,270 (11,870,063) Net change in unrealized (567,711) 1,178,071 (635,643) --------- --------- ----------- Total Trading Results 1,129,113 4,181,341 (12,505,706) Interest income (DWR and MS&Co.) 1,047,350 864,383 1,265,793 --------- --------- ----------- Total Revenues 2,176,463 5,045,724 (11,239,913) --------- --------- ----------- EXPENSES Brokerage fees (DWR and MS&Co.) 949,310 852,484 1,176,024 Management fees (MSCM) 546,187 583,893 805,496 Service fees (Demeter) 58,604 233,558 322,198 --------- --------- ----------- Total Expenses 1,554,101 1,669,935 2,303,718 --------- --------- ----------- NET INCOME (LOSS) 622,362 3,375,789 (13,543,631) ========= ========= =========== Net Income (Loss) Allocation: Limited Partners 612,086 3,330,798 (13,398,948) General Partner 10,276 44,991 (144,683) Net Income (Loss) per Unit: Limited Partners .24 1.04 (3.43) General Partner .24 1.04 (3.43)
The accompanying notes are an integral part of these financial statements. Morgan Stanley Dean Witter Spectrum Currency L.P. Statement of Financial Condition
December 31, 2000 ------------ $ ASSETS Equity in futures interests trading accounts: Cash 14,391,541 Net unrealized gain on open contracts (MS&Co.) 555,569 ---------- Total Trading Equity 14,947,110 Subscriptions receivable 3,054,150 Interest receivable (DWR) 55,464 ---------- Total Assets 18,056,724 ========== LIABILITIES AND PARTNERS' CAPITAL LIABILITIES Redemptions payable 2,237,351 Accrued brokerage fee (DWR) 55,245 Accrued incentive fee 32,876 Accrued management fee 24,020 ---------- Total Liabilities 2,349,492 ---------- PARTNERS' CAPITAL Limited Partners (1,252,545.441 Units) 13,988,414 General Partner (153,905.792 Units) 1,718,818 ---------- Total Partners' Capital 15,707,232 ---------- Total Liabilities and Partners' Capital 18,056,724 ========== NET ASSET VALUE PER UNIT 11.17 ==========
Statement of Operations
For the Period from July 3, 2000 (commencement of operations) to December 31, 2000 ------------------- $ REVENUES Trading profit: Realized 1,126,201 Net change in unrealized 555,569 --------- Total Trading Results 1,681,770 Interest income (DWR) 236,461 --------- Total Revenues 1,918,231 --------- EXPENSES Brokerage fees (DWR) 249,571 Incentive fees 188,423 Management fees 171,693 --------- Total Expenses 609,687 --------- NET INCOME 1,308,544 ========= Net Income Allocation: Limited Partners 1,134,371 General Partner 174,173 Net Income per Unit: Limited Partners 1.17 General Partner 1.17
The accompanying notes are an integral part of these financial statements. Morgan Stanley Dean Witter Spectrum Global Balanced L.P. Statements of Financial Condition
December 31, ---------------------- 2000 1999 ---------- ---------- $ $ ASSETS Equity in futures interests trading accounts: Cash 52,414,304 56,904,921 Net unrealized gain on open contracts (MS&Co.) 3,384,377 -- Net unrealized loss on open contracts (MSIL) (66,733) -- Net unrealized gain on open contracts (Carr) -- 810,114 ---------- ---------- Total net unrealized gain on open contracts 3,317,644 810,114 Net option premiums 192,500 -- ---------- ---------- Total Trading Equity 55,924,448 57,715,035 Subscriptions receivable 530,634 847,954 Interest receivable (DWR) 285,054 244,599 ---------- ---------- Total Assets 56,740,136 58,807,588 ========== ========== LIABILITIES AND PARTNERS' CAPITAL LIABILITIES Redemptions payable 602,490 667,741 Accrued brokerage fees (DWR) 202,789 216,895 Accrued management fees 55,107 58,940 ---------- ---------- Total Liabilities 860,386 943,576 ---------- ---------- PARTNERS' CAPITAL Limited Partners (3,396,880.702 and 3,549,239.387 Units, respectively) 55,220,008 57,209,838 General Partner (40,584.304 Units) 659,742 654,174 ---------- ---------- Total Partners' Capital 55,879,750 57,864,012 ---------- ---------- Total Liabilities and Partners' Capital 56,740,136 58,807,588 ========== ========== NET ASSET VALUE PER UNIT 16.26 16.12 ========== ==========
Statements of Operations
For the Years Ended December 31, --------------------------------- 2000 1999 1998 ---------- ---------- --------- $ $ $ REVENUES Trading profit (loss): Realized (2,091,009) 2,425,585 5,113,920 Net change in unrealized 2,507,530 (1,157,073) 1,285,628 ---------- ---------- --------- Total Trading Results 416,521 1,268,512 6,399,548 Interest income (DWR) 3,275,958 2,385,751 1,642,542 ---------- ---------- --------- Total Revenues 3,692,479 3,654,263 8,042,090 ---------- ---------- --------- EXPENSES Brokerage fees (DWR) 2,558,008 2,387,515 1,591,467 Management fees 695,117 648,787 422,960 Incentive fees -- 215,651 449,775 ---------- ---------- --------- Total Expenses 3,253,125 3,251,953 2,464,202 ---------- ---------- --------- NET INCOME 439,354 402,310 5,577,888 ========== ========== ========= Net Income Allocation: Limited Partners 433,786 397,258 5,518,127 General Partner 5,568 5,052 59,761 Net Income per Unit: Limited Partners .14 .12 2.25 General Partner .14 .12 2.25
The accompanying notes are an integral part of these financial statements. Morgan Stanley Dean Witter Spectrum Select L.P. Statements of Financial Condition
December 31, ------------------------ 2000 1999 ----------- ----------- $ $ ASSETS Equity in futures interests trading accounts: Cash 196,555,362 207,251,012 Net unrealized gain on open contracts (MS&Co.) 26,063,382 -- Net unrealized loss on open contracts (MSIL) (511,085) -- Net unrealized gain on open contracts (Carr) -- 6,887,064 ----------- ----------- Total net unrealized gain on open contracts 25,552,297 6,887,064 Net option premiums -- 776,380 ----------- ----------- Total Trading Equity 222,107,659 214,914,456 Subscriptions receivable 1,583,941 3,730,051 Interest receivable (DWR) 889,954 722,305 ----------- ----------- Total Assets 224,581,554 219,366,812 =========== =========== LIABILITIES AND PARTNERS' CAPITAL LIABILITIES Redemptions payable 2,110,529 3,764,242 Accrued brokerage fees (DWR) 1,231,479 1,270,975 Accrued management fees 509,577 525,921 ----------- ----------- Total Liabilities 3,851,585 5,561,138 ----------- ----------- PARTNERS' CAPITAL Limited Partners (9,255,010.627 and 9,583,810.732 Units, respectively) 218,182,118 210,877,519 General Partner (108,076.600 and 133,076.700 Units, respectively) 2,547,851 2,928,155 ----------- ----------- Total Partners' Capital 220,729,969 213,805,674 ----------- ----------- Total Liabilities and Partners' Capital 224,581,554 219,366,812 =========== =========== NET ASSET VALUE PER UNIT 23.57 22.00 =========== ===========
Statements of Operations
For the Years Ended December 31, ---------------------------------- 2000 1999 1998 ---------- ----------- ---------- $ $ $ REVENUES Trading profit (loss): Realized 6,845,291 (1,351,849) 36,087,729 Net change in unrealized 18,665,233 (1,547,990) (1,192,107) ---------- ----------- ---------- Total Trading Results 25,510,524 (2,899,839) 34,895,622 Interest income (DWR) 9,573,095 7,678,789 6,883,110 ---------- ----------- ---------- Total Revenues 35,083,619 4,778,950 41,778,732 ---------- ----------- ---------- EXPENSES Brokerage fees (DWR) 14,706,945 15,188,479 11,360,166 Management fees 6,085,629 6,284,885 5,202,158 Incentive fees -- -- 1,832,021 Transaction fees and costs -- -- 625,327 Administrative expenses -- -- 64,000 ---------- ----------- ---------- Total Expenses 20,792,574 21,473,364 19,083,672 ---------- ----------- ---------- NET INCOME (LOSS) 14,291,045 (16,694,414) 22,695,060 ========== =========== ========== Net Income (Loss) Allocation: Limited Partners 14,165,099 (16,455,697) 22,302,202 General Partner 125,946 (238,717) 392,858 Net Income (Loss) per Unit (Note 1): Limited Partners 1.57 (1.80) 2.95 General Partner 1.57 (1.80) 2.95
The accompanying notes are an integral part of these financial statements. Morgan Stanley Dean Witter Spectrum Strategic L.P. Statements of Financial Condition
December 31, ----------------------- 2000 1999 ---------- ----------- $ $ ASSETS Equity in futures interests trading accounts: Cash 73,445,827 97,808,328 Net unrealized gain on open contracts (MS&Co.) 1,936,658 -- Net unrealized gain on open contracts (MSIL) 58,457 -- Net unrealized gain (loss) on open contracts (Carr) (8,983) 9,563,813 ---------- ----------- Total net unrealized gain on open contracts 1,986,132 9,563,813 Net option premiums 226,200 (11,653) ---------- ----------- Total Trading Equity 75,658,159 107,360,488 Subscriptions receivable 462,060 1,743,958 Interest receivable (DWR) 306,879 339,582 ---------- ----------- Total Assets 76,427,098 109,444,028 ========== =========== LIABILITIES AND PARTNERS' CAPITAL LIABILITIES Redemptions payable 1,307,093 847,860 Accrued brokerage fees (DWR) 409,292 590,001 Accrued incentive fee 289,687 -- Accrued management fees 186,577 313,646 ---------- ----------- Total Liabilities 2,192,649 1,751,507 ---------- ----------- PARTNERS' CAPITAL Limited Partners (6,919,445.814 and 6,723,390.378 Units, respectively) 73,433,119 106,542,362 General Partner (75,507.615 and 72,581.141 Units, respectively) 801,330 1,150,159 ---------- ----------- Total Partners' Capital 74,234,449 107,692,521 ---------- ----------- Total Liabilities and Partners' Capital 76,427,098 109,444,028 ========== =========== NET ASSET VALUE PER UNIT 10.61 15.85 ========== ===========
Statements of Operations
For the Years Ended December 31, ---------------------------------- 2000 1999 1998 ----------- ---------- ---------- $ $ $ REVENUES Trading profit (loss): Realized (23,193,914) 32,274,037 7,945,575 Net change in unrealized (7,577,681) 4,264,478 2,771,722 ----------- ---------- ---------- Total Trading Results (30,771,595) 36,538,515 10,717,297 Interest income (DWR) 3,832,634 3,017,103 2,379,478 ----------- ---------- ---------- Total Revenues (26,938,961) 39,555,618 13,096,775 ----------- ---------- ---------- EXPENSES Brokerage fees (DWR) 5,798,093 5,837,887 4,402,540 Management fees 2,880,999 3,137,509 2,342,447 Incentive fees 1,269,237 2,451,152 1,336,693 ----------- ---------- ---------- Total Expenses 9,948,329 11,426,548 8,081,680 ----------- ---------- ---------- NET INCOME (LOSS) (36,887,290) 28,129,070 5,015,095 =========== ========== ========== Net Income (Loss) Allocation: Limited Partners (36,503,461) 27,829,050 4,958,188 General Partner (383,829) 300,020 56,907 Net Income (Loss) per Unit: Limited Partners (5.24) 4.30 .84 General Partner (5.24) 4.30 .84
The accompanying notes are an integral part of these financial statements. Morgan Stanley Dean Witter Spectrum Technical L.P. Statements of Financial Condition
December 31, ------------------------ 2000 1999 ----------- ----------- $ $ ASSETS Equity in futures interests trading accounts: Cash 231,502,090 251,443,755 Net unrealized gain on open contracts (MS&Co.) 41,877,552 -- Net unrealized loss on open contracts (MSIL) (1,835,243) -- Net unrealized gain on open contracts (Carr) -- 18,036,296 ----------- ----------- Total net unrealized gain on open contracts 40,042,309 18,036,296 Net option premiums -- (74,725) ----------- ----------- Total Trading Equity 271,544,399 269,405,326 Subscriptions receivable 1,087,585 3,926,914 Interest receivable (DWR) 1,063,044 900,955 ----------- ----------- Total Assets 273,695,028 274,233,195 =========== ===========
LIABILITIES AND PARTNERS' CAPITAL LIABILITIES Redemptions payable 3,432,384 3,057,593 Accrued brokerage fees (DWR) 1,458,126 1,559,481 Accrued management fees 559,827 860,403 Accrued incentive fee 111,599 -- ----------- ----------- Total Liabilities 5,561,936 5,477,477 ----------- ----------- PARTNERS' CAPITAL Limited Partners (16,479,195.979 and 17,836,873.576 Units, respectively) 265,060,579 265,907,998 General Partner (191,022.517 Units) 3,072,513 2,847,720 ----------- ----------- Total Partners' Capital 268,133,092 268,755,718 ----------- ----------- Total Liabilities and Partners' Capital 273,695,028 274,233,195 =========== =========== NET ASSET VALUE PER UNIT 16.08 14.91 =========== ===========
Statements of Operations
For the Years Ended December 31, ---------------------------------- 2000 1999 1998 ---------- ----------- ---------- $ $ $ REVENUES Trading profit (loss): Realized 12,255,064 726,179 35,224,194 Net change in unrealized 22,006,013 (872,972) 6,612,556 ---------- ----------- ---------- Total Trading Results 34,261,077 (146,793) 41,836,750 Interest income (DWR) 11,613,896 9,593,178 8,103,423 ---------- ----------- ---------- Total Revenues 45,874,973 9,446,385 49,940,173 ---------- ----------- ---------- EXPENSES Brokerage fees (DWR) 17,835,223 19,176,380 15,543,787 Management fees 9,595,464 10,580,071 8,403,764 Incentive fees 166,085 430,097 3,191,252 ---------- ----------- ---------- Total Expenses 27,596,772 30,186,548 27,138,803 ---------- ----------- ---------- NET INCOME (LOSS) 18,278,201 (20,740,163) 22,801,370 ========== =========== ========== Net Income (Loss) Allocation: Limited Partners 18,053,408 (20,531,494) 22,571,217 General Partner 224,793 (208,669) 230,153 Net Income (Loss) per Unit: Limited Partners 1.17 (1.21) 1.49 General Partner 1.17 (1.21) 1.49
The accompanying notes are an integral part of these financial statements. Morgan Stanley Dean Witter Spectrum Series Morgan Stanley Dean Witter Spectrum Commodity L.P. (formerly, Morgan Stanley Tangible Asset Fund L.P.) Statements of Changes in Partners' Capital For the Years Ended December 31, 2000 and 1999 and for the Period from January 2, 1998 (commencement of operations) to December 31, 1998
Units of Partnership Limited General Interest Partners Partner Total ------------- ----------- --------- ----------- $ $ $ Partners' Capital, January 2, 1998 200.000 1,000 1,000 2,000 Initial Offering 2,573,486.803 25,475,868 259,000 25,734,868 Offering of Units 1,665,202.477 15,758,355 170,000 15,928,355 Net loss -- (13,398,948) (144,683) (13,543,631) Redemptions (450,424.580) (3,213,276) -- (3,213,276) ------------- ----------- --------- ----------- Partners' Capital, December 31, 1998 3,788,464.700 24,622,999 285,317 24,908,316 Net income -- 3,330,798 44,991 3,375,789 Redemptions (682,597.530) (4,643,635) -- (4,643,635) ------------- ----------- --------- ----------- Partners' Capital, December 31, 1999 3,105,867.170 23,310,162 330,308 23,640,470 Offering of Units 277,607.062 2,115,964 -- 2,115,964 Net income -- 612,086 10,276 622,362 Redemptions (809,685.913) (6,178,815) -- (6,178,815) ------------- ----------- --------- ----------- Partners' Capital, December 31, 2000 2,573,788.319 19,859,397 340,584 20,199,981 ============= =========== ========= =========== Morgan Stanley Dean Witter Spectrum Currency L.P. Statement of Changes in Partners' Capital For the Period from July 3, 2000 (commencement of operations) to December 31, 2000 Units of Partnership Limited General Interest Partners Partner Total ------------- ----------- --------- ----------- $ $ $ Partners' Capital, July 3, 2000 (commencement of operations) 2.000 10 10 20 Initial Offering 633,152.332 4,886,888 1,444,635 6,331,523 Offering of Units 980,783.417 10,281,803 100,000 10,381,803 Net income -- 1,134,371 174,173 1,308,544 Redemptions (207,486.516) (2,314,658) -- (2,314,658) ------------- ----------- --------- ----------- Partners' Capital, December 31, 2000 1,406,451.233 13,988,414 1,718,818 15,707,232 ============= =========== ========= ===========
The accompanying notes are an integral part of these financial statements. Morgan Stanley Dean Witter Spectrum Series Statements of Changes in Partners' Capital For the Years Ended December 31, 2000, 1999 and 1998
Units of Partnership Limited General Interest Partners Partner Total -------------- ----------- --------- ----------- $ $ $ Morgan Stanley Dean Witter Spectrum Global Balanced L.P. Partners' Capital, December 31, 1997 1,868,284.841 25,418,875 264,361 25,683,236 Offering of Units 1,205,176.553 17,447,965 190,000 17,637,965 Net income -- 5,518,127 59,761 5,577,888 Redemptions (204,387.889) (2,985,217) -- (2,985,217) -------------- ----------- --------- ----------- Partners' Capital, December 31, 1998 2,869,073.505 45,399,750 514,122 45,913,872 Offering of Units 1,019,759.235 16,184,278 135,000 16,319,278 Net income -- 397,258 5,052 402,310 Redemptions (299,009.049) (4,771,448) -- (4,771,448) -------------- ----------- --------- ----------- Partners' Capital, December 31, 1999 3,589,823.691 57,209,838 654,174 57,864,012 Offering of Units 568,088.752 8,983,545 -- 8,983,545 Net income -- 433,786 5,568 439,354 Redemptions (720,447.437) (11,407,161) -- (11,407,161) -------------- ----------- --------- ----------- Partners' Capital, December 31, 2000 3,437,465.006 55,220,008 659,742 55,879,750 ============== =========== ========= =========== Units of Partnership Limited General Interest Partners Partner Total -------------- ----------- --------- ----------- (Note 1) $ $ $ Morgan Stanley Dean Witter Spectrum Select L.P. Partners' Capital, December 31, 1997 8,000,551.600 163,999,307 2,774,014 166,773,321 Offering of Units 1,310,353.729 30,297,590 -- 30,297,590 Net income -- 22,302,202 392,858 22,695,060 Redemptions (903,138.578) (19,683,455) -- (19,683,455) -------------- ----------- --------- ----------- Partners' Capital, December 31, 1998 8,407,766.751 196,915,644 3,166,872 200,082,516 Offering of Units 2,238,093.744 51,589,367 -- 51,589,367 Net loss -- (16,455,697) (238,717) (16,694,414) Redemptions (928,973.063) (21,171,795) -- (21,171,795) -------------- ----------- --------- ----------- Partners' Capital, December 31, 1999 9,716,887.432 210,877,519 2,928,155 213,805,674 Offering of Units 1,339,972.159 28,581,403 -- 28,581,403 Net income -- 14,165,099 125,946 14,291,045 Redemptions (1,693,772.364) (35,441,903) (506,250) (35,948,153) -------------- ----------- --------- ----------- Partners' Capital, December 31, 2000 9,363,087.227 218,182,118 2,547,851 220,729,969 ============== =========== ========= ===========
The accompanying notes are an integral part of these financial statements. Morgan Stanley Dean Witter Spectrum Series Statements of Changes in Partners' Capital For the Years Ended December 31, 2000, 1999 and 1998
Units of Partnership Limited General Interest Partners Partner Total -------------- ----------- --------- ----------- $ $ $ Morgan Stanley Dean Witter Spectrum Strategic L.P. Partners' Capital, December 31, 1997 5,517,887.455 58,482,349 613,232 59,095,581 Offering of Units 1,610,245.841 16,662,471 80,000 16,742,471 Net income -- 4,958,188 56,907 5,015,095 Redemptions (1,031,933.595) (10,431,372) -- (10,431,372) -------------- ----------- --------- ----------- Partners' Capital, December 31, 1998 6,096,199.701 69,671,636 750,139 70,421,775 Offering of Units 1,300,877.987 16,846,544 100,000 16,946,544 Net income -- 27,829,050 300,020 28,129,070 Redemptions (601,106.169) (7,804,868) -- (7,804,868) -------------- ----------- --------- ----------- Partners' Capital, December 31, 1999 6,795,971.519 106,542,362 1,150,159 107,692,521 Offering of Units 1,467,043.314 17,566,488 35,000 17,601,488 Net loss -- (36,503,461) (383,829) (36,887,290) Redemptions (1,268,061.404) (14,172,270) -- (14,172,270) -------------- ----------- --------- ----------- Partners' Capital, December 31, 2000 6,994,953.429 73,433,119 801,330 74,234,449 ============== =========== ========= =========== Units of Partnership Limited General Interest Partners Partner Total -------------- ----------- --------- ----------- $ $ $ Morgan Stanley Dean Witter Spectrum Technical L.P. Partners' Capital, December 31, 1997 12,434,700.738 180,099,271 1,851,236 181,950,507 Offering of Units 4,731,996.876 69,886,681 565,000 70,451,681 Net income -- 22,571,217 230,153 22,801,370 Redemptions (1,342,497.646) (20,102,124) -- (20,102,124) -------------- ----------- --------- ----------- Partners' Capital, December 31, 1998 15,824,199.968 252,455,045 2,646,389 255,101,434 Offering of Units 3,976,153.731 61,073,132 410,000 61,483,132 Net loss -- (20,531,494) (208,669) (20,740,163) Redemptions (1,772,457.606) (27,088,685) -- (27,088,685) -------------- ----------- --------- ----------- Partners' Capital, December 31, 1999 18,027,896.093 265,907,998 2,847,720 268,755,718 Offering of Units 2,110,290.038 29,668,693 -- 29,668,693 Net income -- 18,053,408 224,793 18,278,201 Redemptions (3,467,967.635) (48,569,520) -- (48,569,520) -------------- ----------- --------- ----------- Partners' Capital, December 31, 2000 16,670,218.496 265,060,579 3,072,513 268,133,092 ============== =========== ========= ===========
The accompanying notes are an integral part of these financial statements. Morgan Stanley Dean Witter Spectrum Commodity L.P. (formerly, Morgan Stanley Tangible Asset Fund L.P.) Statements of Cash Flows
For the Period from For the January 2, 1998 Years Ended (commencement of December 31, operations) to ---------------------- December 31, 2000 1999 1998 ---------- ---------- ------------------- $ $ $ CASH FLOWS FROM OPERATING ACTIVITIES Net income (loss) 622,362 3,375,789 (13,543,631) Noncash item included in net income (loss): Net change in unrealized 567,711 (1,178,071) 635,643 (Increase) decrease in operating assets: Interest receivable (MS&Co.) (12,936) 2,530 (78,722) Increase (decrease) in operating liabilities: Accrued brokerage fees (DWR and MS&Co.) 6,801 (10,395) 81,222 Accrued management fees (MSCM) (6,322) (7,121) 55,632 Service fees payable (Demeter) (19,404) (2,849) 22,253 ---------- ---------- ----------- Net cash provided by (used for) operating activities 1,158,212 2,179,883 (12,827,603) ---------- ---------- ----------- CASH FLOWS FROM FINANCING ACTIVITIES Initial offering -- -- 25,736,868 Offering of Units 2,115,964 -- 15,928,355 Increase in subscriptions receivable (215,897) -- -- Increase (decrease) in redemptions payable 220,378 (626,002) 895,547 Redemptions of Units (6,178,815) (4,643,635) (3,213,276) ---------- ---------- ----------- Net cash provided by (used for) financing activities (4,058,370) (5,269,637) 39,347,494 ---------- ---------- ----------- Net increase (decrease) in cash (2,900,158) (3,089,754) 26,519,891 Balance at beginning of period 23,430,137 26,519,891 -- ---------- ---------- ----------- Balance at end of period 20,529,979 23,430,137 26,519,891 ========== ========== ===========
The accompanying notes are an integral part of these financial statements. Morgan Stanley Dean Witter Spectrum Currency L.P. Statement of Cash Flows
For the Period from July 3, 2000 (commencement of operations) to December 31, 2000 ------------------- $ CASH FLOWS FROM OPERATING ACTIVITIES Net income 1,308,544 Noncash item included in net income: Net change in unrealized (555,569) Increase in operating assets: Interest receivable (DWR) (55,464) Increase in operating liabilities: Accrued brokerage fees (DWR) 55,245 Accrued incentive fees 32,876 Accrued management fees 24,020 ---------- Net cash provided by operating activities 809,652 ---------- CASH FLOWS FROM FINANCING ACTIVITIES Initial offering 6,331,543 Offering of Units 10,381,803 Increase in subscriptions receivable (3,054,150) Increase in redemptions payable 2,237,351 Redemptions of Units (2,314,658) ---------- Net cash provided by financing activities 13,581,889 ---------- Net increase in cash 14,391,541 Balance at beginning of period -- ---------- Balance at end of period 14,391,541 ==========
The accompanying notes are an integral part of these financial statements. Morgan Stanley Dean Witter Spectrum Global Balanced L.P. Statements of Cash Flows
For the Years Ended December 31, ----------------------------------- 2000 1999 1998 ----------- ---------- ---------- $ $ $ CASH FLOWS FROM OPERATING ACTIVITIES Net income 439,354 402,310 5,577,888 Noncash item included in net income: Net change in unrealized (2,507,530) 1,157,073 (1,285,628) Increase in operating assets: Net option premiums (192,500) -- (458,150) Interest receivable (DWR) (40,455) (77,458) (48,192) Increase (decrease) in operating liabilities: Accrued brokerage fees (DWR) (14,106) 47,054 70,079 Accrued management fees (3,833) 12,787 20,703 Incentive fees payable -- (69,730) 69,730 ----------- ---------- ---------- Net cash provided by (used for) operating activities (2,319,070) 1,472,036 3,946,430 ----------- ---------- ---------- CASH FLOWS FROM FINANCING ACTIVITIES Offering of Units 8,983,545 16,319,278 17,637,965 (Increase) decrease in subscriptions receivable 317,320 315,143 (537,387) Increase (decrease) in redemptions payable (65,251) 549,551 3,614 Redemptions of Units (11,407,161) (4,771,448) (2,985,217) ----------- ---------- ---------- Net cash provided by (used for) financing activities (2,171,547) 12,412,524 14,118,975 ----------- ---------- ---------- Net increase (decrease) in cash (4,490,617) 13,884,560 18,065,405 Balance at beginning of period 56,904,921 43,020,361 24,954,956 ----------- ---------- ---------- Balance at end of period 52,414,304 56,904,921 43,020,361 =========== ========== ==========
The accompanying notes are an integral part of these financial statements. Morgan Stanley Dean Witter Spectrum Select L.P. Statements of Cash Flows
For the Years Ended December 31, ------------------------------------- 2000 1999 1998 ----------- ----------- ----------- $ $ $ CASH FLOWS FROM OPERATING ACTIVITIES Net income (loss) 14,291,045 (16,694,414) 22,695,060 Noncash item included in net income (loss): Net change in unrealized (18,665,233) 1,547,990 1,192,107 (Increase) decrease in operating assets: Net option premiums 776,380 (776,380) -- Interest receivable (DWR) (167,649) (130,447) 46,346 Due from DWR -- -- 1,097,517 Increase (decrease) in operating liabilities: Accrued brokerage fees (DWR) (39,496) 106,631 1,164,344 Accrued management fees (16,344) 44,124 58,124 Accrued administrative expenses -- -- (72,499) ----------- ----------- ----------- Net cash provided by (used for) operating activities (3,821,297) (15,902,496) 26,180,999 ----------- ----------- ----------- CASH FLOWS FROM FINANCING ACTIVITIES Offering of Units 28,581,403 51,589,367 30,297,590 (Increase) decrease in subscriptions receivable 2,146,110 2,291,656 (6,021,707) Increase (decrease) in redemptions payable (1,653,713) 2,824,861 (1,332,933) Redemptions of Units (35,948,153) (21,171,795) (19,683,455) ----------- ----------- ----------- Net cash provided by (used for) financing activities (6,874,353) 35,534,089 3,259,495 ----------- ----------- ----------- Net increase (decrease) in cash (10,695,650) 19,631,593 29,440,494 Balance at beginning of period 207,251,012 187,619,419 158,178,925 ----------- ----------- ----------- Balance at end of period 196,555,362 207,251,012 187,619,419 =========== =========== ===========
The accompanying notes are an integral part of these financial statements. Morgan Stanley Dean Witter Spectrum Strategic L.P. Statements of Cash Flows
For the Years Ended December 31, ------------------------------------ 2000 1999 1998 ----------- ---------- ----------- $ $ $ CASH FLOWS FROM OPERATING ACTIVITIES Net income (loss) (36,887,290) 28,129,070 5,015,095 Noncash item included in net income (loss): Net change in unrealized 7,577,681 (4,264,478) (2,771,722) (Increase) decrease in operating assets: Net option premiums (237,853) 237,299 96,477 Interest receivable (DWR) 32,703 (134,335) 17,798 Increase (decrease) in operating liabilities: Accrued brokerage fees (DWR) (180,709) 184,395 45,565 Accrued incentive fee 289,687 -- -- Accrued management fees (127,069) 94,670 30,719 ----------- ---------- ----------- Net cash provided by (used for) operating activities (29,532,850) 24,246,621 2,433,932 ----------- ---------- ----------- CASH FLOWS FROM FINANCING ACTIVITIES Offering of Units 17,601,488 16,946,544 16,742,471 (Increase) decrease in subscriptions receivable 1,281,898 52,093 (962,792) Increase (decrease) in redemptions payable 459,233 448,884 (967,188) Redemptions of Units (14,172,270) (7,804,868) (10,431,372) ----------- ---------- ----------- Net cash provided by financing activities 5,170,349 9,642,653 4,381,119 ----------- ---------- ----------- Net increase (decrease) in cash (24,362,501) 33,889,274 6,815,051 Balance at beginning of period 97,808,328 63,919,054 57,104,003 ----------- ---------- ----------- Balance at end of period 73,445,827 97,808,328 63,919,054 =========== ========== ===========
The accompanying notes are an integral part of these financial statements. Morgan Stanley Dean Witter Spectrum Technical L.P. Statements of Cash Flows
For the Years Ended December 31, ------------------------------------- 2000 1999 1998 ----------- ----------- ----------- $ $ $ CASH FLOWS FROM OPERATING ACTIVITIES Net income (loss) 18,278,201 (20,740,163) 22,801,370 Noncash item included in net income (loss): Net change in unrealized (22,006,013) 872,972 (6,612,556) (Increase) decrease in operating assets: Net option premiums (74,725) 74,725 -- Interest receivable (DWR) (162,089) (183,270) (60,123) Increase (decrease) in operating liabilities: Accrued brokerage fees (DWR) (101,355) 120,330 341,957 Accrued management fees (300,576) 66,388 220,319 Accrued incentive fee 111,599 -- (139,190) ----------- ----------- ----------- Net cash provided by (used for) operating activities (4,254,958) (19,789,018) 16,551,777 ----------- ----------- ----------- CASH FLOWS FROM FINANCING ACTIVITIES Offering of Units 29,668,693 61,483,132 70,451,681 (Increase) decrease in subscriptions receivable 2,839,329 75,719 (1,037,012) Increase in redemptions payable 374,791 1,718,282 330,081 Redemptions of Units (48,569,520) (27,088,685) (20,102,124) ----------- ----------- ----------- Net cash provided by (used for) financing activities (15,686,707) 36,188,448 49,642,626 ----------- ----------- ----------- Net increase (decrease) in cash (19,941,665) 16,399,430 66,194,403 Balance at beginning of period 251,443,755 235,044,325 168,849,922 ----------- ----------- ----------- Balance at end of period 231,502,090 251,443,755 235,044,325 =========== =========== ===========
The accompanying notes are an integral part of these financial statements. Morgan Stanley Dean Witter Spectrum Series Notes to Financial Statements 1. Summary of Significant Accounting Policies Organization--Morgan Stanley Dean Witter Spectrum Commodity L.P. (formerly known as Morgan Stanley Tangible Asset Fund L.P.) ("Spectrum Commodity"), Mor- gan Stanley Dean Witter Spectrum Currency L.P. ("Spectrum Currency"), Morgan Stanley Dean Witter Spectrum Global Balanced L.P. (formerly known as Dean Wit- ter Spectrum Global Balanced L.P.) ("Spectrum Global Balanced"), Morgan Stan- ley Dean Witter Spectrum Select L.P. (formerly known as Dean Witter Spectrum Select L.P.) ("Spectrum Select"), Morgan Stanley Dean Witter Spectrum Strate- gic L.P. (formerly known as Dean Witter Spectrum Strategic L.P.) ("Spectrum Strategic") and Morgan Stanley Dean Witter Spectrum Technical L.P. (formerly known as Dean Witter Spectrum Technical L.P.) ("Spectrum Technical"), (indi- vidually, a "Partnership," or collectively, the "Partnerships"), are limited partnerships organized to engage 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 general partner for each Partnership is Demeter Management Corporation ("Demeter"). The non-clearing commodity broker is Dean Witter Reynolds Inc. ("DWR"). Morgan Stanley & Co., Inc. ("MS&Co.") and Morgan Stanley & Co. Inter- national Limited ("MSIL") provide clearing and execution services. Prior to October 2000, Carr Futures Inc. ("Carr") provided clearing and execution serv- ices to Spectrum Global Balanced, Spectrum Select, Spectrum Strategic and Spectrum Technical. Morgan Stanley Dean Witter Commodities Management, Inc. ("MSCM") is the trading advisor to Spectrum Commodity. Demeter, DWR, MS&Co., MSIL and MSCM are wholly-owned subsidiaries of Morgan Stanley Dean Witter & Co. ("MSDW"). Spectrum Commodity became one of the Spectrum Series of funds effective March 6, 2000. Spectrum Currency commenced trading as of July 3, 2000. Spectrum Select became one of the Spectrum Series of funds effective June 1, 1998. Each outstanding unit of limited partnership interest ("Unit(s)") in Dean Witter Select Futures Fund L.P. was converted to 100 Units of Spectrum Select. The number of Units outstanding, net income or loss per Unit and Net Asset Value per Unit have been adjusted for all reporting periods prior to this conversion. Effective February 19, 1998, Morgan Stanley, Dean Witter, Discover & Co. changed its corporate name to Morgan Stanley Dean Witter & Co. Demeter is required to maintain a 1% minimum interest in the equity of each Partnership and income (losses) are shared by Morgan Stanley Dean Witter Spectrum Series Notes to Financial Statements--(Continued) Demeter and the Limited Partners based upon their proportional ownership in- terests. Use of Estimates--The financial statements are prepared in accordance with ac- counting principles generally accepted in the United States of America, which require management to make estimates and assumptions that affect the reported amounts in the financial statements and related disclosures. Management be- lieves that the estimates utilized in the preparation of the financial state- ments are prudent and reasonable. Actual results could differ from those esti- mates. Revenue Recognition--Futures interests are open commitments until settlement date. They are valued at market on a daily basis and the resulting net change in unrealized gains and losses is reflected in the change in unrealized profits (losses) on open contracts from one period to the next in the statements of operations. Monthly, DWR pays each Partnership interest income based upon 80% of its average daily "Net Assets" (as defined in the limited partnership agreements) for the month in the case of Spectrum Commodity, Spectrum Currency, Spectrum Select, Spectrum Strategic and Spectrum Technical, and 100% in the case of Spectrum Global Balanced. The interest rate is equal to a prevailing rate on U.S. Treasury bills. For purposes of such interest payments, Net Assets do not include monies due the Partnership on futures interests, but not actually received. Net Income (Loss) per Unit--Net income (loss) per Unit is computed using the weighted average number of Units outstanding during the period. Equity in Futures Interests Trading Accounts--The Partnerships' asset "Equity in futures interests trading accounts," reflected in the statements of financial condition consists of (A) cash on deposit with DWR, MS&Co. and MSIL to be used as margin for trading; (B) net unrealized gains or losses on open contracts, which are valued at market and calculated as the difference between original contract value and market value, and (C) net option premiums, which represent the net of all monies paid and/or received for such option premiums. The Partnerships, in their normal course of business, enter into various contracts with MS&Co. and MSIL acting as their commodity brokers. Pursuant to brokerage agreements with MS&Co. and MSIL, to the extent that such trading results in unrealized gains or losses, these amounts are offset and reported on a net basis on the Partnerships' statements of financial condition. The Partnerships have offset the fair value amounts recognized for forward contracts executed with the same counterparty as allowable under terms of the master netting agreements with MS&Co., the sole counterparty on such contracts. The Partnerships have consistently applied their right to offset. Morgan Stanley Dean Witter Spectrum Series Notes to Financial Statements--(Continued) Brokerage and Related Transaction Fees and Costs-- The brokerage fee for Spectrum Commodity, Spectrum Currency and Spectrum Global Balanced are accrued at a flat monthly rate of 1/12 of 4.6% (a 4.6% annual rate) of Net Assets as of the first day of each month. Prior to April 1, 2000, brokerage fees for Spectrum Commodity were accrued at a monthly rate of 1/12 of 3.65% of Net Assets (a 3.65% annual rate) as of the first day of each month. Prior to June 1, 1998, brokerage fees for Spectrum Global Balanced were accrued at 49/120 of 1% of Net Assets (a 4.9% annual rate) as of the first day of each month. Brokerage fees for Spectrum Select, Spectrum Strategic and Spectrum Technical are accrued at a flat monthly rate of 1/12 of 7.25% (a 7.25% annual rate) of Net Assets as of the first day of each month. Prior to June 1, 1998, brokerage commissions for Spectrum Select were accrued on a half-turn basis at 80% of DWR's published non-member rates and transaction fees and costs were accrued on a half-turn basis. Brokerage commissions and transaction fees and costs combined were capped at 13/20 of 1% per month (a 7.8% maximum annual rate) of Spectrum Select's month-end Net Assets. Prior to June 1, 1998, brokerage fees for Spectrum Strategic and Spectrum Technical were accrued at 51/80 of 1% of the Net Assets (a 7.65% annual rate) as of the first day of each month. Such brokerage fees currently cover all brokerage commissions, transaction fees and costs and ordinary administrative and continuing offering expenses. Service Fee--Prior to April 1, 2000, Spectrum Commodity paid Demeter a monthly service fee equal to 1/12 of 1% per month (a 1% annual rate) of the Partnership's Net Assets as of the first day of each month. Operating Expenses--The Partnerships incur monthly management fees and may incur incentive fees. All common administrative and continuing offering expenses including legal, auditing, accounting, filing fees and other related expenses are borne by DWR through the brokerage fees paid by the Partnerships (effective June 1, 1998 for Spectrum Select with its change to a flat rate brokerage fee). Prior to June 1, 1998, Spectrum Select was charged all operating expenses re- lated to its trading activities to a maximum of 1/4 of 1% annually of Spectrum Select's average month end Net Assets. Demeter was responsible for operating expenses in excess of the cap. Income Taxes--No provision for income taxes has been made in the accompanying financial statements, as partners are individually responsible for reporting income or loss based upon their respective share of each Partnership's reve- nues and expenses for income tax purposes. Distributions--Distributions, other than redemptions of Units, are made on a pro-rata basis at the sole discretion of Demeter. No distributions have been made to date. Morgan Stanley Dean Witter Spectrum Series Notes to Financial Statements--(Continued) Continuing Offering--Units of each Partnership are offered at a price equal to 100% of the Net Asset Value per Unit as of the close of business on the last day of the month. No selling commissions or charges related to the continuing offering of Units will be paid by the Limited Partners or the Partnership. DWR will pay all such costs. Redemptions--Limited Partners may redeem some or all of their Units at 100% of the Net Asset Value per Unit as of the end of the last day of any month that is at least six months after the closing at which a person becomes a Limited Partner, upon five business days advance notice by redemption form to Demeter. Thereafter, Units redeemed on or prior to the last day of the twelfth month after such Units were purchased will be subject to a redemption charge equal to 2% of the Net Asset Value of a Unit on the date of such redemption. Units redeemed after the last day of the twelfth month and on or prior to the last day of the twenty-fourth month after which such Units were purchased will be subject to a redemption charge equal to 1% of the Net Asset Value of a Unit on the date of such redemption. Units redeemed after the last day of the twenty- fourth month after which such Units were purchased will not be subject to a redemption charge. The foregoing redemption charges will be paid to DWR. Redemptions must be made in whole Units, in a minimum amount of 50 Units, unless a Limited Partner is redeeming his entire interest in a Partnership. Exchanges--On the last day of the first month which occurs more than six months after a person first becomes a Limited Partner in any of the Partner- ships, and at the end of each month thereafter, Limited Partners may exchange their investment among the Partnerships (subject to certain restrictions out- lined in the Limited Partnership Agreement) without paying additional charges. Dissolution of the Partnerships--Spectrum Commodity will terminate on December 31, 2027, Spectrum Currency,Spectrum Global Balanced, Spectrum Strategic and Spectrum Technical will terminate on December 31, 2035 and Spectrum Select will terminate on December 31, 2025 regardless of financial condition at such time, or at an earlier date if certain conditions occur as defined in each Partnership's Limited Partnership Agreement. 2. Related Party Transactions The Partnerships pay brokerage fees to DWR as described in Note 1. Each Part- nership's cash is on deposit with DWR, MS&Co. and MSIL in futures interests trading accounts to meet margin requirements as needed. DWR pays interest on these funds as described in Note 1. Spectrum Commodity paid Demeter a service fee prior to April 1, 2000 and pays management fees, and when applicable, in- centive fees to MSCM. Morgan Stanley Dean Witter Spectrum Series Notes to Financial Statements--(Continued) 3. Trading Advisors Demeter, on behalf of each Partnership, retains certain commodity trading advisors to make all trading decisions for the Partnerships. The trading advisors for each Partnership are as follows: Morgan Stanley Dean Witter Spectrum Commodity L.P. Morgan Stanley Dean Witter Commodities Management Inc. Morgan Stanley Dean Witter Spectrum Currency L.P. John W. Henry & Company, Inc. ("JWH") Sunrise Capital Partners, LLC ("Sunrise") Morgan Stanley Dean Witter Spectrum Global Balanced L.P. RXR, Inc. Morgan Stanley Dean Witter Spectrum Select L.P. EMC Capital Management, Inc. Rabar Market Research, Inc. Sunrise Capital Management, Inc. Morgan Stanley Dean Witter Spectrum Strategic L.P. Allied Irish Capital Management, Ltd. ("AICM") Blenheim Investments, Inc. ("Blenheim") Eclipse Capital Management Inc. ("Eclipse") Effective April 30, 1998, A. Gary Shilling & Co., Inc.("Shilling") was termi- nated as an advisor to Spectrum Strategic. The assets of the Partnership pre- viously allocated to Shilling were allocated to Stonebrook Capital Management Inc., ("Stonebrook"), effective June 1, 1998. Effective March 4, 1999, Stonebrook was terminated as an advisor to Spectrum Strategic. The assets of the Partnership previously allocated to Stonebrook were allocated to AICM, effective June 1, 1999. Effective April 14, 2000, Willowbridge Associates Inc. ("Willowbridge") was terminated as an advisor to Spectrum Strategic. The assets of the Partnership previously allocated to Willowbridge were allocated to Eclipse, effective June 26, 2000. Morgan Stanley Dean Witter Spectrum Technical L.P. Campbell & Company, Inc. ("Campbell") Chesapeake Capital Corporation ("Chesapeake") John W. Henry & Company, Inc. Compensation to the trading advisors by the Partnerships consists of a management fee and an incentive fee as follows: Management Fee--The management fee for Spectrum Commodity is accrued at the rate of 5/24 of 1% of Net Assets on the first day of each month (a 2.5% annual rate). Morgan Stanley Dean Witter Spectrum Series Notes to Financial Statements--(Continued) The management fee for Spectrum Currency is accrued at the rate of 1/12 of 2% of Net Assets on the first day of each month (a 2% annual rate). Prior to De- cember 1, 2000, the management fee was accrued at the rate of 1/3 of 1% of Net Assets allocated to JWH on the first day of each month and 1/4 of 1% of Net Assets allocated to Sunrise on the first day of each month (annual rates of 4% and 3%, respectively). The management fee for Spectrum Global Balanced is accrued at the rate of 5/48 of 1% per month of Net Assets on the first day of each month (a 1.25% annual rate). The management fee for Spectrum Select is accrued at the rate of 1/4 of 1% per month of Net Assets allocated to each trading advisor on the first day of each month (a 3% annual rate). Prior to June 1, 1998, the management fee was ac- crued at the rate of 1/4 of 1% of the Partnership's adjusted Net Assets, as defined in its limited partnership agreement, as of the last day of each month (a 3% annual rate). The management fee for Spectrum Strategic is accrued at the rate of 1/12 of 4% per month of Net Assets allocated to Blenheim on the first day of each month, and 1/12 of 3% per month of Net Assets allocated to AICM and Eclipse on the first day of each month (annual rates of 4% and 3%, respectively). Prior to June 1, 1998, the management fee was accrued at the rate of 1/3 of 1% of Net Assets allocated to Blenheim and Willowbridge on the first day of each month (a 4% annual rate). The management fee for Spectrum Technical is accrued at the rate of 1/12 of 2% of Net Assets allocated to JWH on the first day of each month, 1/12 of 3% of Net Assets allocated to Campbell on the first day of each month and 1/3 of 1% of Net Assets allocated to Chesapeake on the first day of each month (annual rates of 2%, 3% and 4% respectively). Prior to December 1, 2000 the management fee was accrued to each trading advisor at the rate of 1/3 of 1% of Net Assets on the first day of each month (a 4% annual rate). Incentive Fee--Spectrum Commodity pays an annual incentive fee equal to 17.5% of Partnership trading profits, as determined from the end of the last period in which an incentive fee was earned. Prior to December 1, 2000, Spectrum Com- modity paid an annual incentive fee to MSCM equal to 20% of the trading prof- its. Spectrum Currency pays a monthly incentive fee equal to 20% of the trading profits experienced with respect to each trading advisor's allocated Net As- sets as of the end of each month. Prior to December 1, 2000, Spectrum Currency paid a monthly incentive fee equal to 15% of the trading profits. Spectrum Global Balanced, Spectrum Select and Spectrum Strategic each pay a monthly incentive fee equal to 15% of the trading profits experienced with re- spect to each trading advisor's allocated Net Assets as of the end of each calendar Morgan Stanley Dean Witter Spectrum Series Notes to Financial Statements--(Continued) month. Prior to June 1, 1998, Spectrum Select paid a quarterly incentive fee to each trading advisor equal to 17.5% of the trading profits. Spectrum Technical pays a monthly incentive fee equal to 20% of the trading profits experienced with respect to the Net Assets allocated to Campbell and JWH and 19% of the Trading profits experienced with respect to the Net Assets allocated to Chesapeake as of the end of each calendar month. Prior to June 1, 1998, Spectrum Technical paid an incentive fee equal to 15% of trading profits to Chesapeake. Prior to December 1, 2000, Spectrum Technical paid an incentive fee equal to 15% of trading profits to Campbell and JWH. Trading profits represent the amount by which profits from futures, forwards and options trading exceed losses after brokerage and management fees are de- ducted. Prior to June 1, 1998, trading profits for Spectrum Select represented the amount by which profits from futures, forwards and options trading ex- ceeded losses after brokerage commissions, management fees, administrative ex- penses and transaction fees and costs were deducted. For all Partnerships when trading losses are incurred, no incentive fee will be paid in subsequent months until all such losses are recovered. Cumulative trading losses are adjusted on a pro-rata basis for the net amount of each months' subscriptions and redemptions. 4. Financial Instruments The Partnerships trade futures and forward contracts, options on futures con- tracts, physical commodities and other commodity interests, including, but not limited to foreign currencies, financial instruments, metals, energy and agri- cultural products. Futures and forwards represent contracts for delayed deliv- ery 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 in- terest rate volatility. In June 1998, the Financial Accounting Standards Board ("FASB") issued State- ment of Financial Accounting Standard ("SFAS") No. 133, "Accounting for Deriv- ative Instruments and Hedging Activities" effective for fiscal years beginning after June 15, 2000, as amended by SFAS No. 137. The Partnership adopted the provisions of SFAS No. 133 beginning with the fiscal year ended December 31, 1998. SFAS No. 133 superceded SFAS Nos. 119 and 105, which required the dis- closure of average aggregate fair values and contract/notional values, respec- tively, of derivative financial instruments for an entity that carries its as- sets at fair value. SFAS No. 133 was further amended by SFAS No. 138, which clarifies issues sur- Morgan Stanley Dean Witter Spectrum Series Notes to Financial Statements--(Continued) rounding interest rate risk, foreign currency denominations, normal purchases and sales and net hedging. The application of SFAS No. 133, as amended by SFAS No. 137 and SFAS No. 138, did not have a significant effect on the Partner- ships' financial statements. SFAS No. 133 defines a derivative as a financial instrument or other contract that has all three of the following characteristics: (1) One or more underlying notional amounts or payment provisions; (2) Requires no initial net investment or a smaller initial net investment than would be required relative to changes in market factors; (3) Terms require or permit net settlement. Generally derivatives include futures, forwards, swaps or option contracts and other financial instruments with similar characteristics such as caps, floors and collars. The net unrealized gains (losses) on open contracts are reported as a compo- nent of "Equity in futures interests tradingaccounts'' on the statements of financial condition and totaled at December 31, 2000 and 1999, respectively, $(25,283) and $542,428 for Spectrum Commodity, $3,317,644 and $810,114 for Spectrum Global Balanced, $25,552,297 and $6,887,064 for Spectrum Select, $1,986,132 and $9,563,813 for SpectrumStrategic, and $40,042,309 and $18,036,296 for Spectrum Technical. For Spectrum Currency, the net realized gain totaled $555,569 at December 31, 2000. For Spectrum Commodity, the $25,283 net unrealized loss on open contracts at December 31, 2000 and the $542,428 net unrealized gain on open contracts at December 31, 1999 all related to exchange-traded futures contracts. For Spectrum Currency, the $555,569 net unrealized gain on open contracts at December 31, 2000 was related to off-exchange-traded forward currency con- tracts. For Spectrum Global Balanced, of the $3,317,644 net unrealized gain on open contracts at December 31, 2000, $3,374,178 related to exchange-traded futures contracts and $(56,534) related to off-exchange-traded forward currency con- tracts. Of the $810,114 net unrealized gain on open contracts atDecember 31, 1999, $669,640 related to exchange-traded futures contracts and $140,474 re- lated to off-exchange-traded forward currency contracts. For Spectrum Select, of the $25,552,297 net unrealized gain on open contracts at December 31, 2000, $23,901,575 related to exchange-traded futures and futures-styled options contracts Morgan Stanley Dean Witter Spectrum Series Notes to Financial Statements--(Continued) and $1,650,722 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 con- tracts and $(47,976) related to off-exchange-traded forward currency con- tracts. For Spectrum Strategic, the $1,986,132 net unrealized gain on open contracts at December 31, 2000 and the $9,563,813 net unrealized gain on open contracts at December 31, 1999 all related to exchange-traded futures and futures-styled options contracts. For Spectrum Technical, of the $40,042,309 net unrealized gain on open contracts at December 31, 2000, $37,170,209 related to exchange-traded futures and futures-styled options contracts and $2,872,100 related to off-exchange- traded forward currency contracts. Of the $18,036,296 net unrealized gain on open contracts at December 31, 1999, $17,006,044 related to exchange-traded futures and futures-styled options contracts and $1,030,252 related to off- exchange-traded forward currency contracts. Exchange-traded contracts and off-exchange-traded forward currency contracts held by the Partnerships at December 2000 and 1999 mature as follows:
2000 1999 ------------- ------------- Spectrum Commodity Exchange-Traded Contracts April 2001 April 2000 Spectrum Currency Off-Exchange-Traded Forward Currency Contracts March 2001 -- Spectrum Global Balanced Exchange-Traded Contracts June 2001 June 2000 Off-Exchange-Traded Forward Currency Contracts March 2001 March 2000 Spectrum Select Exchange-Traded Contracts December 2001 December 2000 Off-Exchange-Traded Forward Currency Contracts March 2001 March 2000 Spectrum Strategic Exchange-Traded Contracts December 2001 December 2001 Spectrum Technical Exchange-Traded Contracts December 2001 December 2000 Off-Exchange-Traded Forward Currency Contracts March 2001 March 2000
The Partnerships have credit risk associated with counterparty nonperformance. The credit risk associated with the instruments in which the Partnerships are involved is limited to the amounts reflected in the Partnerships' statements of financial condition. The Partnerships also have credit risk because DWR, MS&Co. and MSIL act as the futures commission merchants or the counterparties, with respect to most of the Partnerships' assets. Exchange-traded futures and futures-styled options contracts are marked to market on a daily basis, with variations Morgan Stanley Dean Witter Spectrum Series Notes to Financial Statements--(Continued) in value settled on a daily basis. Each of DWR, MS&Co. and MSIL, as a futures commission merchant for each Partnership's exchange-traded futures and futures-styled options contracts, are required, pursuant to regulations of the Commodity Futures Trading Commission 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, in- cluding an amount equal to the net unrealized gain on all open futures and futures-styled options contracts, which funds, in the aggregate, totaled at December 31, 2000 and 1999 respectively, $20,504,696 and $23,972,565 for Spec- trum Commodity, $55,788,482 and $57,574,561 for Spectrum Global Balanced, $220,456,937 and $214,186,052 for Spectrum Select, $75,431,959 and $107,372,141 for Spectrum Strategic and $268,672,299 and $268,449,799 for Spectrum Technical. For Spectrum Currency, the amount totaled $14,391,541 at December 31, 2000. With respect to the Partnerships' off-exchange-traded for- ward 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 on open forward contracts be segregated. With respect to those off-exchange- traded forward currency contracts, the Partnerships are at risk to the ability of MS&Co., the sole counterparty on all of such contracts, to perform. Each Partnership has a netting agreement with MS&Co.. These agreements, which seek to reduce both the Partnerships' and MS&Co.'s exposure on off-exchange-traded forward currency contracts, should materially decrease the Partnerships' credit risk in the event of MS&Co.'s bankruptcy or insolvency. 5. Legal Matters Similar class actions were filed in 1996 in California and New York State courts. Each of the actions were dismissed in 1999. However, the New York State class action discussed below is still pending because plaintiffs ap- pealed the trial court's dismissal of their case on March 3, 2000. On September 18 and 20, 1996, purported class actions were filed in the Su- preme Court of the State of New York, New York County, on behalf of all pur- chasers of interests in limited partnership commodity pools sold by DWR. Named defendants include DWR, Demeter, Dean Witter Futures & Currency Management Inc., MSDW, Spectrum Select (under its original name, "Dean Witter Select Futures Fund L.P.") and certain other limited partnership commodity pools of which Demeter is the general partner, and certain trading advisors to those pools. A consolidated and amended complaint in the action pending in the Su- preme Court of the State of New York was filed on August 13, 1997, alleging that the defendants committed fraud, breach of fiduciary duty, and negligent misrepresentation in the sale and operation of the various limited partnership commodity pools. The complaints sought unspecified amounts of compensatory and punitive damages and other relief. The New York Supreme Court dismissed the New York Morgan Stanley Dean Witter Spectrum Series Notes to Financial Statements--(Concluded) action in November 1998, but granted plaintiffs leave to file an amended com- plaint, which they did in early December 1998. The defendants filed a motion to dismiss the amended complaint with prejudice on February 1, 1999. By deci- sion dated December 21, 1999, the New York Supreme Court dismissed the case with prejudice. However, on March 3, 2000 plaintiffs appealed the trial court's dismissal of their case. MORGAN STANLEY DEAN WITTER & CO. Presorted Two World Trade Center First Class Mail 62nd Floor U.S. Postage Paid New York, NY 10048 Brooklyn, NY Permit No. 529 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 12-MOS DEC-31-2000 DEC-31-2000 196,555,362 0 2,473,895 0 0 0 0 0 224,581,554 0 0 0 0 0 0 224,581,554 0 35,083,619 0 0 20,792,574 0 0 14,291,045 0 14,291,045 0 0 0 14,291,045 0 0 Receivables include interest receivable of $889,954 and subscriptions receivable of $1,583,941. In addition to cash and receivables, total assets include net unrealized gain on open contracts of $25,552,297. Liabilities include redemptions payable of $2,110,529, accrued brokerage fees of $1,231,479 and accrued management fees of $509,577. Total revenue includes realized trading revenue of $6,845,291, net change in unrealized of $18,665,233 and interest income of $9,573,095.
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