424B3 1 spp.txt DEAN WITTER SELECT FUTURES FUND Morgan Stanley Dean Witter Spectrum Series Monthly Report May 2001 Dear Limited Partner: The Net Asset Value per Unit for each of the six Morgan Stanley Dean Witter Spectrum Funds as of May 31, 2001 was as follows: Funds N.A.V. % change for month Spectrum Commodity $ 6.71 -3.74% Spectrum Currency $11.70 1.91% Spectrum Global Balanced $16.25 0.28% Spectrum Select $24.18 -0.53% Spectrum Strategic $10.48 -0.09% Spectrum Technical $16.04 -0.37% Spectrum Commodity Spectrum Commodity decreased in value during May primarily due to losses recorded in the soft commodities markets from long cotton futures positions as prices declined following a disappointing report on U.S. cotton consumption and as textile companies close down due to softening demand, the strong U.S. dollar and steep spikes in energy costs. In the energy markets, losses were experienced from long natural gas futures positions as prices moved lower on continued concerns about rising U.S. natural gas inventories and mild weather across the United States. In the agricultural markets, losses were incurred from long positions in corn and wheat futures as prices decreased on forecasts for wet, cool weather conditions in the U.S. Midwest and on reports of declining demand. In the metals markets, losses were recorded later in the month from long positions in aluminum and copper futures as prices declined as fears were rekindled about the current state of the U.S. economy. A portion of these losses was offset by gains recorded in the livestock markets from long cattle futures positions as prices moved higher amid an increase in demand. Spectrum Currency Spectrum Currency increased in value during May primarily due to gains recorded later in the month from short positions in the euro and Swiss franc as the value of these European currencies weakened relative to the U.S. dollar following reports of weak European economic data. The euro weakened further after comments by European Central Bank officials were seen as playing down the prospect of intervention and signs that the European economy was slowing while inflation was rising. A portion of these gains was offset by losses recorded from short positions in the Japanese yen as the value of the yen reversed its previous downward trend and strengthened versus the U.S. dollar as Japanese investors sold euros for yen, which subsequently weighed heavily on the U.S. dollar. Spectrum Global Balanced Spectrum Global Balanced increased in value during May primarily due to gains recorded later in the month from short positions in the euro and Swiss franc as the value of these European currencies weakened relative to the U.S. dollar following reports of weak European economic data. In the agricultural markets, gains were recorded from short positions in corn futures as prices decreased on forecasts for wet, cool weather conditions in the U.S. Midwest and on reports of declining demand. In the energy markets, gains were recorded from short positions in natural gas futures as gas prices declined on continued concerns about rising U.S. natural gas inventories and mild weather across the United States. A portion of these gains was offset by losses recorded in the global stock index futures markets as prices generally moved in an erratic, directionless pattern. State Street Global Alliance, LLC, a jointly-owned subsidiary of State Street Global Advisors ("SSgA"), the investment management arm of State Street Corp. (NYSE: STT), and the Dutch pension fund ABP, one of the world's top three largest pension funds, recently formed a new investment advisory firm, SSARIS Advisors, LLC ("SSARIS"). Effective June 1, 2001, SSARIS, which will be based in Stamford, CT, has acquired the assets of RXR, Inc. ("RXR"), the investment manager of Morgan Stanley Dean Witter Spectrum Global Balanced Fund. State Street Global Alliance, LLC has taken a majority ownership stake of 60% in SSARIS, while the former management team of RXR owns the remaining interest of 40% and will manage the day-to-day business and operations of SSARIS. It is anticipated that SSARIS will begin acting as the substitute investment manager of Morgan Stanley Dean Witter Spectrum Global Balanced Fund as soon as practicable. SSARIS has acquired RXR's trading program, and there is no change of strategy contemplated. Given that the former principals of RXR will continue to oversee the day- to-day operations of SSARIS, and that SSARIS will continue to use RXR's trading program, Demeter does not expect the change of ownership to impact the fund's trading in any significant way. Spectrum Select Spectrum Select decreased in value during May primarily due to losses recorded in the global stock index futures markets as prices generally moved in an erratic, directionless pattern on conflicting economic information and investor sentiment. In the metals markets, losses were experienced late in the month from newly established long gold futures positions as gold prices sharply reversed lower, after spiking higher earlier in the month, following the return of more bearish sentiment regarding the outlook for the U.S. economy. A portion of these losses was offset by gains recorded 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 following reports of weak European economic data. In the global interest rate futures markets, profits were recorded from long positions in Japanese interest rate futures as prices rose due to strength caused by the Japanese government's pledge for fiscal reform. In the energy markets, gains were recorded from short positions in natural gas futures as gas prices declined on continued concerns about rising U.S. natural gas inventories and mild weather across the United States. Spectrum Strategic Spectrum Strategic decreased in value during May primarily due to losses recorded late in the month in the metals markets from newly established long gold futures positions as gold prices sharply reversed lower, after spiking higher earlier in the month, following the return of more bearish sentiment regarding the outlook for the U.S. economy. In the agricultural markets, losses were experienced from long wheat futures positions as prices declined amid weak global demand. In the energy markets, losses were incurred late in the month from long positions in crude oil futures as prices were weighed down by a climb in inventories. A portion of these losses was offset by gains recorded in the global interest rate futures markets from long positions in short- term U.S. interest rate futures as prices increased after a host of economic data kept alive hopes for a deeper U.S. Federal Reserve interest-rate cut. In soft commodities, gains were recorded from long positions in lumber futures as prices increased as Canadian mills continued to slow their shipments of wood into the U.S. In the currency markets, profits were recorded from short positions in the euro and Swiss franc as the value of these European currencies weakened relative to the U.S. dollar following reports of weak European economic data. Spectrum Technical Spectrum Technical decreased in value during May primarily due to losses recorded late in the month in the metals markets from newly established long gold futures positions as gold prices sharply reversed lower, after spiking higher earlier in the month, following the return of more bearish sentiment regarding the outlook for the U.S. economy. In the global stock index futures markets, losses were experienced as prices generally moved in an erratic, directionless pattern on conflicting economic information and investor sentiment. A portion of these losses was offset by gains recorded in the global interest rate futures markets from long positions in Japanese interest rate futures as prices rose due to strength caused by the Japanese government's pledge for fiscal reform. Additional gains were recorded from short positions in German interest rate futures as bond prices declined following a sharp downturn in the euro and early indications of spiking inflation rates in Germany. In the energy markets, profits were recorded from short positions in natural gas futures as gas prices declined on continued concerns about rising U.S. natural gas inventories and mild weather across the United States. In the currency markets, gains were recorded from short positions in the euro and Swiss franc as the value of these European currencies weakened relative to the U.S. dollar following reports of weak European economic data. Offsetting currency losses were recorded from short positions in the Japanese yen as the value of the yen reversed its previous downward trend and strengthened versus the U.S. dollar as Japanese investors sold euros for yen, which subsequently weighed heavily on the U.S. dollar. Should you have any questions concerning this report, please feel free to contact Demeter Management Corporation at Two World Trade Center, 62nd Floor, New York, NY 10048, or your Morgan Stanley 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, Robert E. Murray Chairman Demeter Management Corporation General Partner Historical Fund Performance Presented below is the percentage change in Net Asset Value per Unit from the start of each calendar each the Fund has traded. Also provided is the inception-to-date return and the annualized return since inception for each Fund. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Funds Year Return Spectrum Commodity 1998 -34.3% 1998 15.8% 2000 3.2% 2001 (5 months) -14.5% Inception-to-Date Return: -32.9% Annualized Return: -11.0% _____________________________________________________________________________________ Spectrum Currency 2000 (6 months) 11.7% 2001 (5 months) 4.7% Inception-to-Date Return: 17.0% ______________________________________________________________________________________ Spectrum Global Balanced 1994 (2 months) -1.7% 1995 22.8% 1996 -3.6% 1997 18.2% 1999 16.4% 1999 0.7% 2000 0.9% 2001 (5 months) -0.1% Inception-to-Date Return: 62.5% Annualized Return: 7.7% _____________________________________________________________________________________ Spectrum Select 1991 (5 months) 31.2% 1992 -14.4% 1993 41.6% 1994 -5.1% 1995 23.6% 1996 5.3% 1997 6.2% 1998 14.2% 1999 -7.6% 2000 7.1% 2001 (5 months) 2.6% Inception-to-Date Return: 141.8% Annualized Return 9.4% _____________________________________________________________________________________
Spectrum Strategic 1994 (2 months) 0.1% 1995 10.5% 1996 -3.5% 1997 0.4% 1998 7.8% 1999 37.2% 2000 -33.1% 2001 (5 months) -1.2% Inception-to-Date Return: 4.8% Annualized Return: 0.7% ___________________________________________________________________________________________________________ Spectrum Technical 1994 (2 months) -2.2% 1995 17.6% 1996 18.3% 1997 7.5% 1998 10.2% 1999 -7.5% 2000 7.8% 2001 (5 months) -0.2% Inception-to-Date Return: 60.4% Annualized Return: 7.5%
Morgan Stanley Dean Witter Spectrum Series Statements of Operations For the Month Ended May 31, 2001 (Unaudited)
Morgan Stanley Dean Witter Morgan Stanley Dean Witter Morgan Stanley Dean Witter Spectrum Commodity Spectrum Currency _ Spectrum Global Balanced Percentage of Percentage of Percentage of May 1, 2001 May 1, 2001 May 1, 2001 Beginning Beginning Beginning Amount Net Asset Value Amount Net Asset Value Amount Net Asset Value $ % $ % $ % REVENUES Trading profit (loss): Realized (99,395) (0.59) - - (169,543) (0.30) Net change in unrealized (479,916) (2.85) 531,067 2.19 398,817 0.70 Total Trading Results (579,311) (3.44) 531,067 2.19 229,274 0.40 Interest Income (Note 2) 50,015 0.29 65,832 0.27 207,945 0.37 Total Revenues (529,296) (3.15) 596,899 2.46 437,219 0.77 EXPENSES Brokerage fees (Note 2) 64,467 0.38 93,165 0.38 217,919 0.38 Management fees (Notes 2 & 3) 35,036 0.21 40,506 0.17 59,218 0.11 Total Expenses 99,503 0.59 133,671 0.55 277,137 0.49 NET INCOME (LOSS) (628,799) (3.74) 463,228 1.91 160,082 0.28 Morgan Stanley Dean Witter Spectrum Series Statements of Changes in Net Asset Value For the Month Ended May 31, 2001 (Unaudited) Morgan Stanley Dean Witter Morgan Stanley Dean Witter Morgan Stanley Dean Witter Spectrum Commodity Spectrum Currency Spectrum Global Balanced . Units Amount Per Unit Units Amount Per Unit Units Amount Per Unit $ $ $ $ $ $ Net Asset Value, May 1, 2001 2,411,916.222 16,817,385 6.97 2,117,022.139 24,303,747 11.48 3,507,189.296 56,849,128 16.21 Net Income (Loss) - (628,799) (0.26) - 463,228 0.22 - 160,082 0.04 Redemptions (38,179.510) (256,185) 6.71 (6,211.036) (72,669) 11.70 (39,354.458) (639,510) 16.25 Subscriptions 19,126.342 128,338 6.71 327,235.437 3,828,655 11.70 72,026.642 1,170,433 16.25 Net Asset Value, May 31, 2001 2,392,863.054 16,060,739 6.71 2,438,046.540 28,522,961 11.70 3,539,861.480 57,540,133 16.25 The accompanying notes are an integral part of these financial statements.
Morgan Stanley Dean Witter Spectrum Series Statements of Operations For the Month Ended May 31, 2001 (Unaudited)
Morgan Stanley Dean Witter Morgan Stanley Dean Witter Morgan Stanley Dean Witter Spectrum Select Spectrum Strategic _ Spectrum Technical Percentage of Percentage of Percentage of May 1, 2001 May 1, 2001 May 1, 2001 Beginning Beginning Beginning Amount Net Asset Value Amount Net Asset Value Amount Net Asset Value $ % $ % $ % REVENUES Trading profit (loss): Realized (8,030,325) (3.47) 956,648 1.33 (5,114,784) (1.90) Net change in unrealized 8,116,822 3.51 (622,170) (0.87) 5,595,227 2.08 Total Trading Results 86,497 0.04 334,478 0.46 480,443 0.18 Interest Income (Note 2) 668,153 0.29 212,452 0.30 781,203 0.29 Total Revenues 754,650 0.33 546,930 0.76 1,261,646 0.47 EXPENSES Brokerage fees (Note 2) 1,398,305 0.61 433,417 0.60 1,625,023 0.61 Management fees (Notes 2 & 3) 578,608 0.25 179,345 0.25 621,959 0.23 Total Expenses 1,976,913 0.86 612,762 0.85 2,246,982 0.84 NET LOSS (1,222,263) (0.53) (65,832) (0.09) (985,336) (0.37) Morgan Stanley Dean Witter Spectrum Series Statements of Changes in Net Asset Value For the Month Ended May 31, 2001 (Unaudited) Morgan Stanley Dean Witter Morgan Stanley Dean Witter Morgan Stanley Dean Witter Spectrum Select Spectrum Strategic Spectrum Technical . Units Amount Per Unit Units Amount Per Unit Units Amount Per Unit $ $ $ $ $ $ Net Asset Value, May 1, 2001 9,521,870.999 231,443,446 24.31 6,840,241.929 71,737,911 10.49 16,704,816.742 268,969,300 16.10 Net Loss - (1,222,263) (0.13) - (65,832) (0.01) - (985,336) (0.06) Redemptions (68,136.857) (1,647,549) 24.18 (89,871.324) (941,851) 10.48 (131,621.895) (2,111,215) 16.04 Subscriptions 120,329.905 2,909,578 24.18 83,796.134 878,183 10.48 231,723.264 3,716,842 16.04 Net Asset Value, May 31, 2001 9,574,064.047 231,483,212 24.18 6,834,166.739 71,608,411 10.48 16,804,918.111 269,589,591 16.04 The accompanying notes are an integral part of these financial statements.
Morgan Stanley Dean Witter Spectrum Series Notes to Financial Statements (Unaudited) 1. Summary of Significant Accounting Policies Organization - Morgan Stanley Dean Witter Spectrum Commodity L.P. ("Spectrum Commodity", Morgan Stanley Dean Witter Spectrum Currency L.P. ("Spectrum Currency"), Morgan Stanley Dean Witter Spectrum Global Balanced L.P. ("Spectrum Global Balanced"), Morgan Stanley Dean Witter Spectrum Select L.P. ("Spectrum Select"), Morgan Stanley Dean Witter Spectrum Strategic L.P. ("Spectrum Strategic") and Morgan Stanley Dean Witter Spectrum Technical L.P. ("Spectrum Technical"), (individually, a "Partnership" or collectively, the "Partnerships"), are limited partnerships organized to engage primarily in the speculative trading of futures, forward, and options contracts on 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 for the Partnerships is Morgan Stanley DW Inc. ("Morgan Stanley DW"). The clearing commodity brokers for the Partnerships are Morgan Stanley & Co. Incorporated ("MS & Co.") and Morgan Stanley & Co. International ("MSIL"). Morgan Stanley Dean Witter Commodities Management, Inc. ("MSCM") is the trading advisor to Spectrum Commodity. Demeter, Morgan Stanley DW, MS & Co., MSCM and MSIL are wholly- owned subsidiaries of Morgan Stanley Dean Witter & Co. Effective May 1, 2001 Spectrum Select entered into a management agreement with Northfield Trading L.P., ("Northfield") adding Northfield as its fourth trading advisor to the Partnership. Demeter is required to maintain a 1% minimum interest in the equity of each Partnership and income (losses) are shared by Demeter and the Limited Partners based upon their proportional ownership interests. Use of Estimates - The financial statements are prepared in accordance with accounting 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 believes that the estimates utilized in the preparation of the financial statements are prudent and reasonable. Actual results could differ from those estimates. 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 changes in unrealized profits (losses) on open contracts from one period to the next in the statements of operations. Monthly, Morgan Stanley DW pays each Partnership interest income on 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 Partnerships on futures interests, but not actually received. Net Income (Loss) per Unit - Net income (loss) per unit of limited partnership interest ("Unit(s)") is computed using the weighted average number of Units outstanding during the period. Morgan Stanley Dean Witter Spectrum Series Notes to Financial Statements (Continued) Brokerage and Related Transaction Fees and Costs - The brokerage fees 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. 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. Such brokerage fees currently cover all brokerage commissions, transaction fees and costs and ordinary administrative and continuing offering expenses. 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 Morgan Stanley DW through the brokerage fees paid by each Partnership. 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 revenues 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. 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 are paid by the Limited Partners or the Partnership. Morgan Stanley DW pays 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 first 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 redemptions charges are paid to Morgan Stanley DW. 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 Partnerships, and at the end of each month thereafter, Limited Partners may exchange their investment among the Partnerships (subject to certain Morgan Stanley Dean Witter Spectrum Series Notes to Financial Statements (Continued) restrictions outlined in the Limited Partnership Agreements) without paying additional charges. Dissolution of the Partnership - 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 Morgan Stanley DW was described in Note 1. Spectrum Commodity pays management fees and incentive fees (if applicable) to MSCM. Each Partnership's cash is on deposit with Morgan Stanley DW, MS & Co. and MSIL in futures interests trading accounts to meet margin requirements as needed. Morgan Stanley DW pays interest on these funds as described in Note 1. 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 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. Northfield Trading L.P. Morgan Stanley Dean Witter Spectrum Strategic L.P. Allied Irish Capital Management, Ltd. Blenheim Investments, Inc. Eclipse Capital Management, Inc. 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 a 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 (Concluded) The management fee for Spectrum Global Balanced is accrued at a rate of 5/48 of 1% of Net Assets on the first day of each month (a 1.25% annual rate). The management fee for Spectrum Currency is accrued at a rate of 1/12 of 2% of Net Assets on the first day of each month (a 2% annual rate). The management fee for Spectrum Select is accrued at a rate of 1/4 of 1% of Net Assets on the first day of each month (a 3% annual rate). The management fee for Spectrum Strategic is accrued at a rate of 1/12 of 3% per month of Net Assets on the first day of each month (a 3% annual rate). The management fee for Spectrum Technical is accrued at a 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 1/12 of 4% of Net Assets allocated to Chesapeake on the first day of each month (annual rates of 2%, 3% and 4% respectively). Incentive Fee - Spectrum Commodity pays an annual incentive fee equal to 17.5% of Partnership's trading profits, as determined from the end of the last period in which an incentive fee was earned. Spectrum Currency pays a monthly incentive fee equal to 20% of the trading profits experienced with respect to each trading advisor's allocated Net Assets as of the end of each month. Spectrum Global Balanced, Spectrum Select and Spectrum Strategic each pay a monthly incentive fee equal to 15% of the trading profits experienced with respect to each trading advisor's allocated Net Assets as of the end of each calendar month. 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. Trading profits for the Partnerships represent the amount by which profits from futures, forward and options trading exceed losses after brokerage and management fees are deducted. For all Partnerships, when trading losses are incurred, no incentive fees will be paid in subsequent months until all such losses are received. Cumulative trading losses are adjusted on a pro-rata basis for the net amount of each month's subscriptions and redemptions.