-----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, Iyl+wdL/ak4Zd1kITuV14PcfFx+r7DnrYaUE5x/aF8UmAkUb7mcBCNk2DCUMbGEX ksRvYj3ayWmaVZDW2iupQw== 0000925266-02-000006.txt : 20020430 0000925266-02-000006.hdr.sgml : 20020430 ACCESSION NUMBER: 0000925266-02-000006 CONFORMED SUBMISSION TYPE: 424B3 PUBLIC DOCUMENT COUNT: 1 FILED AS OF DATE: 20020430 FILER: COMPANY DATA: COMPANY CONFORMED NAME: MORGAN STANLEY 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: 424B3 SEC ACT: 1933 Act SEC FILE NUMBER: 333-47829 FILM NUMBER: 02626014 BUSINESS ADDRESS: STREET 1: HARBORSIDE FINANCIAL CENTER PLAZA TWO CITY: JERSEY CITY STATE: NJ ZIP: 07311 BUSINESS PHONE: 2018764647 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 FORMER COMPANY: FORMER CONFORMED NAME: MORGAN STANLEY DEAN WITTER SPECTRUM SELECT LP DATE OF NAME CHANGE: 19990412 424B3 1 c23987_497.txt SPECTRUM SELECT MORGAN STANLEY SPECTRUM SERIES March 2002 Monthly Report This Monthly Report supplements the Spectrum Funds' Prospectus dated March 23, 2001 and the Prospectus Supplement dated December 6, 2001. Issued: April 30, 2002 [LOGO MORGAN STANLEY] MORGAN STANLEY 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 inception-to-date return and the annualized return since inception for each Fund. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
INCEPTION- TO-DATE ANNUALIZED 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 RETURN RETURN FUND % % % % % % % % % % % % % % - ------------------------------------------------------------------------------------------------------------------------------------ Spectrum Commodity ......... -- -- -- -- -- -- -- (34.3) 15.8 3.2 (25.6) 4.6 (38.9) (11.0) (3 mos.) - ------------------------------------------------------------------------------------------------------------------------------------ Spectrum Currency .......... -- -- -- -- -- -- -- -- -- 11.7 11.1 (9.4) 12.4 6.9 (6 mos.) (3 mos.) - ------------------------------------------------------------------------------------------------------------------------------------ Spectrum Global Balanced ... -- -- _ (1.7) 22.8 (3.6) 18.2 16.4 0.7 0.9 (0.3) (2.7) 57.8 6.4 (2 mos.) (3 mos.) - ------------------------------------------------------------------------------------------------------------------------------------ Spectrum Select ............ 31.2 (14.4) 41.6 (5.1) 23.6 5.3 6.2 14.2 (7.6) 7.1 1.7 (4.6) 128.6 8.1 (5 mos.) (3 mos.) - ------------------------------------------------------------------------------------------------------------------------------------ Spectrum Strategic ......... -- -- -- 0.1 10.5 (3.5) 0.4 7.8 37.2 (33.1) (0.6) 9.5 15.5 2.0 (2 mos.) (3 mos.) - ------------------------------------------------------------------------------------------------------------------------------------ Spectrum Technical ......... -- -- -- (2.2) 17.6 18.3 7.5 10.2 (7.5) 7.8 (7.2) (8.0) 37.4 4.4 (2 mos.) (3 mos.) - ------------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- DEMETER MANAGEMENT CORPORATION - -------------------------------------------------------------------------------- c/o Managed Futures Department, 825 Third Avenue, 8th Floor, New York, NY 10022 Telephone (201) 876-4647 MORGAN STANLEY SPECTRUM SERIES MONTHLY REPORT MARCH 2002 Dear Limited Partner: The Net Asset Value per Unit for each of the six Morgan Stanley Spectrum Funds as of March 31, 2002 was as follows: FUND NAV % CHANGE FOR MONTH - -------------------------------------------------------------------------------- Spectrum Commodity $ 6.11 5.83% - -------------------------------------------------------------------------------- Spectrum Currency $11.24 -4.49% - -------------------------------------------------------------------------------- Spectrum Global Balanced $15.78 0.27% - -------------------------------------------------------------------------------- Spectrum Select $22.86 3.81% - -------------------------------------------------------------------------------- Spectrum Strategic $11.55 4.64% - -------------------------------------------------------------------------------- Spectrum Technical $13.74 -2.90% - -------------------------------------------------------------------------------- Detailed performance information for each Fund is located in the body of the financial report. For each Fund, we provide trading results by sector charts that portray trading gains and trading losses for the previous month and year-to-date in each sector in which the Fund participates. In the case of Spectrum Currency, we provide the trading gains and trading losses for the five major currencies in which the Fund participates, and composite information for all other "minor" currencies traded within the Fund. The trading results by sector charts indicate the monthly and year-to-date composite percentage returns generated by the specific assets dedicated to trading within each market sector in which a Fund participates. Please note that there is not an equal amount of assets in each market sector, and the specific allocations of assets by a Fund to each sector will vary over time within a predetermined range. Below each chart is a description of the factors that influenced trading gains and trading losses within each Fund during the previous month. Limited Partners of Spectrum Strategic are advised of a change in trading personnel at one of the trading advisors employed by the Fund. Effective January 1, 2002, Allied Irish Capital Management, Ltd., a trading advisor to the Fund, announced the retirement of Mr. David Tease, a Director of Allied Irish. Allied Irish trades its allocated portion of Fund assets pursuant to the Worldwide Financial Futures Program, a portion of which was traded by Mr. Tease, as discussed on page 101 of the Prospectus dated March 23, 2001. Commencing on or about January 17, 2002, that portion of the Worldwide Financial Futures Program previously traded by Mr. Tease (approximately $8.1 million, or 11.8% of Fund assets) will be traded by Mr. Gerry Grimes. Mr. Grimes is Managing Director and a founding member of Allied Irish, with nearly twenty years of experience in investment management. Mr. Grimes will employ a discretionary trading approach based upon his fundamental economic analysis of markets. He believes that the positioning of individual markets is a critical factor in determining trading opportunities. Hence, he will place strong emphasis on the gathering of intelligence in relation to market sentiment and trade flow indicators to determine how individual markets are positioned. Mr. Grimes will attempt to profit from those instances in which he determines that a market is positioned in a manner contrary to his own fundamental view. Pre-determined stop loss levels will be applied to all trades in an effort to manage trade risk. In addition to trading a portion of the Fund's assets, Mr. Grimes will continue in his role as trading controller for all three programs employed in the Worldwide Financial Futures Program. On February 27, 2002, Morgan Stanley Spectrum Global Balanced L.P., Morgan Stanley Spectrum Select L.P., Morgan Stanley Spectrum Strategic L.P., and Morgan Stanley Spectrum Technical L.P. received notification of a preliminary entitlement to payment from the Sumitomo Copper Litigation Settlement Administrator. Under the terms of the preliminary entitlement, the Funds would receive $208,284, $4,143,065, $10,895, and $273,812 (which currently amounts to $0.06, $0.40, $0.00, and $0.02 per Unit) respectively. Such preliminary award, however, is subject to a court hearing scheduled in April 2002 and is entirely contingent on the court's final approval. Any amount ultimately received will be accounted for in the period received, for the benefit of the limited partners at the date of receipt. It should be emphasized, however, that the Funds have no assurances yet when the distribution, if any, will be made. Should you have any questions concerning this report, please feel free to contact Demeter Management Corporation, c/o Managed Futures Department, 825 Third Avenue, 8th Floor, New York, NY 10022 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, /s/ Robert E. Murray Robert E. Murray Chairman Demeter Management Corporation General Partner - -------------------------------------------------------------------------------- SPECTRUM COMMODITY - -------------------------------------------------------------------------------- [Data below represents bar chart in printed piece.] Energies Metals Agriculturals - --------------------------- ---------------- --------------- ------------------ Month ended March 31, 2002 3.46% 1.52% 1.32% - --------------------------- ---------------- --------------- ------------------ YTD ended March 31, 2002 3.24% 2.79% 0.11% - --------------------------- ---------------- --------------- ------------------ Note: Reflects trading results only and does not include fees or interest income. FACTORS INFLUENCING MONTHLY TRADING GAINS: >> Natural gas prices climbed higher amid a decline in supplies and weather-related factors in the Northeast U.S., thereby gains were recorded from long futures positions. >> Copper prices moved higher in anticipation of increased demand amid an economic turnaround, thereby gains were recorded from long futures positions. >> Coffee prices trended to seven-month highs on speculative buying and technically-based factors, thus resulting in profits from long futures positions. - -------------------------------------------------------------------------------- SPECTRUM CURRENCY - -------------------------------------------------------------------------------- [Data below represents bar chart in printed piece.]
Australian British Minor dollar pound Euro Japanese yen Swiss franc Currencies - ----------------------------- ------------- ------------ ------------ ----------------- ------------ ------------- Month ended March 31, 2002 1.24% -0.21% -0.35% -2.77% -0.51% -1.46% - ----------------------------- ------------- ------------ ------------ ----------------- ------------ ------------- YTD ended March 31, 2002 0.85% -1.63% -1.79% -1.39% -0.75% -3.71% - ----------------------------- ------------- ------------ ------------ ----------------- ------------ -------------
Note: Reflects trading results only and does not include fees or interest income. Minor currencies may include, but are not limited to, the South African rand, Thai baht, Greek drachma, Singapore dollar, Mexican peso, New Zealand dollar and Norwegian Krone. FACTORS INFLUENCING MONTHLY TRADING LOSSES: >> The Japanese yen strengthened versus the U.S. dollar amid a repatriation of assets from the U.S. to Japan, thus resulting in losses early in the month for previously established short positions in the Japanese yen. As result of this strengthening, new long Japanese yen positions were established only to result in additional losses later in the month as the value of the yen retreated on expectations that the repatriation flows ahead of the Japanese fiscal year-end would be ending. >> The South African rand reversed lower versus the U.S. dollar on mounting concerns ahead of Zimbabwe's presidential elections, thus resulting in losses from previously established long positions in the South African rand. FACTORS INFLUENCING MONTHLY TRADING GAINS: >> The Australian dollar continued to strengthen versus the U.S. dollar due to rising commodity prices, thereby profits were recorded from previously established long Australian dollar positions. - -------------------------------------------------------------------------------- SPECTRUM GLOBAL BALANCED - -------------------------------------------------------------------------------- [Data below represents bar chart in printed piece.]
Interest Stock Currencies Rates Indices Energies Metals Agriculturals - --------------------------- ------------ ---------- --------- --------- --------- ------------- Month ended March 31, 2002 -0.81% -0.26% 1.19% 0.71% 0.17% -0.22% - --------------------------- ------------ ---------- --------- --------- --------- ------------- YTD ended March 31, 2002 -1.23% -0.66% 0.00% 0.51% 0.21% -0.34% - --------------------------- ------------ ---------- --------- --------- --------- -------------
Note: Reflects trading results only and does not include fees or interest income. FACTORS INFLUENCING MONTHLY TRADING GAINS: >> S&P and DAX Index futures prices continued to trend higher on hopes that the U.S. economy is on the verge of recovery based on recent affirmative economic data. As a result, gains were recorded from previously established long positions. >> Crude oil prices continued their upward trend amid escalating tensions in the Middle East and supply/demand factors, thus resulting in profits from previously established long futures positions. FACTORS INFLUENCING MONTHLY TRADING LOSSES: >> The value of the Swiss franc moved erratically versus the Japanese yen on political unrest in the Mideast and Swiss National Bank monetary policies. >> U.S. interest rate futures prices reversed lower early in the month on signs that the U.S. economy is improving, thereby losses were recorded from long positions. - -------------------------------------------------------------------------------- SPECTRUM SELECT - -------------------------------------------------------------------------------- [Data below represents bar chart in printed piece.]
Interest Stock Currencies Rates Indices Energies Metals Agriculturals - -------------------------- ------------ ---------- --------- ---------- -------- ------------- Month ended March 31, 2002 -1.64% 1.71% -0.21% 3.56% 0.51% 0.47% - -------------------------- ------------ ---------- --------- ---------- -------- ------------- YTD ended March 31, 2002 -3.88% -0.54% -1.13% 3.09% 0.17% -0.17% - -------------------------- ------------ ---------- --------- ---------- -------- -------------
Note: Reflects trading results only and does not include fees or interest income. FACTORS INFLUENCING MONTHLY TRADING GAINS: >> Crude oil prices continued their upward trend amid escalating tensions in the Middle East and supply/demand factors, thus resulting in profits from previously established long futures positions. >> Natural gas prices climbed higher amid a decline in supplies and weather-related factors in the Northeast U.S., thereby gains were recorded from previously established long futures positions. >> German interest rate futures prices trended lower on forecasts for a strong and fast economic turnaround and the prospect of higher interest rates, thus resulting in gains from previously established short positions. FACTORS INFLUENCING MONTHLY TRADING LOSSES: >> The Japanese yen strengthened versus the U.S. dollar amid a repatriation of assets from the U.S. to Japan, thus resulting in losses early in the month for previously established short positions in the Japanese yen. As result of this strengthening, new long Japanese yen positions were established only to result in additional losses later in the month as the value of the yen retreated on expectations that the repatriation flows ahead of the Japanese fiscal year-end would be ending. - -------------------------------------------------------------------------------- SPECTRUM STRATEGIC - -------------------------------------------------------------------------------- [Data below represents bar chart in printed piece.]
Interest Stock Currencies Rates Indices Energies Metals Agriculturals - -------------------------- ------------ ---------- --------- ---------- -------- ------------- Month ended March 31, 2002 1.01% -0.71% -0.44% 1.23% 1.85% 2.43% - -------------------------- ------------ ---------- --------- ---------- -------- ------------- YTD ended March 31, 2002 1.14% -1.58% -0.35% 0.93% 4.16% 7.22% - -------------------------- ------------ ---------- --------- ---------- -------- -------------
Note: Reflects trading results only and does not include fees or interest income. FACTORS INFLUENCING MONTHLY TRADING GAINS: >> Coffee prices trended to seven-month highs on speculative buying and technically-based factors, thus resulting in profits from long futures positions. >> Copper prices moved higher in anticipation of increased demand amid an economic turnaround, thereby gains were recorded from long futures positions. >> Unleaded gas and crude oil prices continued their upward trend amid escalating tensions in the Middle East and supply/demand factors, thereby gains were recorded from long futures positions. FACTORS INFLUENCING MONTHLY TRADING LOSSES: >> German and U.S. interest rate futures prices trended lower on forecasts for a strong and fast economic turnaround and the prospect of higher interest rates, thereby losses were recorded from long positions. - -------------------------------------------------------------------------------- SPECTRUM TECHNICAL - -------------------------------------------------------------------------------- [Data below represents bar chart in printed piece.]
Interest Stock Currencies Rates Indices Energies Metals Agriculturals - -------------------------- ----------- ---------- --------- ---------- --------- ------------- Month ended March 31, 2002 -4.41% -0.21% -0.90% 2.41% 0.69% 0.02% - -------------------------- ----------- ---------- --------- ---------- --------- ------------- YTD ended March 31, 2002 -4.64% -1.00% -2.12% 2.70% 0.19% -0.92% - -------------------------- ----------- ---------- --------- ---------- --------- -------------
Note: Reflects trading results only and does not include fees or interest income. FACTORS INFLUENCING MONTHLY TRADING LOSSES: >> The Japanese yen strengthened versus the U.S. dollar amid a repatriation of assets from the U.S. to Japan, thus resulting in losses early in the month for previously established short positions in the Japanese yen. As a result of this strengthening, new long Japanese yen positions were established only to result in additional losses later in the month as the value of the yen retreated on expectations that the repatriation flows ahead of the Japanese fiscal year-end would be ending. >> Early in the month, the Swiss franc and euro strengthened relative to the U.S. dollar amid jitters about possible military action against Iraq, thereby losses were recorded from short positions in the Swiss franc and euro. Later in the month, the Swiss franc and euro weakened versus the U.S. dollar following the Swiss National Bank's decision to lower its repo-rate in an effort to keep its currency from getting overvalued, thereby losses were experienced from long positions in the Swiss franc and euro. FACTORS INFLUENCING MONTHLY TRADING GAINS: >> Crude oil prices continued their upward trend amid escalating tensions in the Middle East, supply concerns and signs of a rebound in the economic demand for oil, thus resulting in profits from previously established long futures positions. >> German interest rate futures prices trended lower on forecasts for a strong and fast economic turnaround and the prospect of higher interest rates, thus resulting in gains from previously established short positions. MORGAN STANLEY SPECTRUM SERIES - -------------------------------------------------------------------------------- STATEMENTS OF OPERATIONS FOR THE MONTH ENDED MARCH 31, 2002 (UNAUDITED) - --------------------------------------------------------------------------------
MORGAN STANLEY MORGAN STANLEY MORGAN STANLEY SPECTRUM COMMODITY SPECTRUM CURRENCY SPECTRUM GLOBAL BALANCED ------------------ ----------------- ------------------------ PERCENTAGE OF PERCENTAGE OF PERCENTAGE OF MARCH 1, 2002 MARCH 1, 2002 MARCH 1, 2002 BEGINNING BEGINNING BEGINNING AMOUNT NET ASSET VALUE AMOUNT NET ASSET VALUE AMOUNT NET ASSET VALUE ------ --------------- ------ --------------- ------ --------------- $ % $ % $ % REVENUES Trading profit (loss): Realized 604,271 4.76 (811,970) (1.53) 88,740 .16 Net change in unrealized 194,740 1.53 (1,334,582) (2.52) 253,184 .45 ------- ---- ---------- ----- ------- --- Total Trading Results 799,011 6.29 (2,146,552) (4.05) 341,924 .61 Interest income (Note 2) 15,734 .12 59,001 .11 84,696 .15 ------- ---- ---------- ----- ------- --- Total Revenues 814,745 6.41 (2,087,551) (3.94) 426,620 .76 ------- ---- ---------- ----- ------- --- EXPENSES Brokerage fees (Note 2) 48,642 .38 203,121 .38 215,942 .38 Management fees (Note 2 & 3) 26,435 .20 88,314 .17 58,680 .11 ------- ---- ---------- ----- ------- --- Total Expenses 75,077 .58 291,435 .55 274,622 .49 ------- ---- ---------- ----- ------- --- NET INCOME (LOSS) 739,668 5.83 (2,378,986) (4.49) 151,998 .27 ======= ==== ========== ===== ======= ===
MORGAN STANLEY SPECTRUM SERIES - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSET VALUE - -------------------------------------------------------------------------------- FOR THE MONTH ENDED MARCH 31, 2002 (UNAUDITED)
MORGAN STANLEY MORGAN STANLEY MORGAN STANLEY SPECTRUM COMMODITY SPECTRUM CURRENCY SPECTRUM GLOBAL BALANCED ---------------------------------- ---------------------------------- ----------------------------------- PER PER PER UNITS AMOUNT UNIT UNITS AMOUNT UNIT UNITS AMOUNT UNIT ------------- ---------- ---- ------------- ---------- ----- ------------- ---------- ----- $ $ $ $ $ $ Net Asset Value, March 1, 2002 2,199,141.105 12,689,100 5.77 4,502,986.069 52,988,085 11.77 3,579,272.375 56,333,109 15.74 Net Income (Loss) -- 739,668 .34 -- (2,378,986) (.53) -- 151,998 .04 Redemptions (26,209.938) (160,143) 6.11 (63,635.879) (715,267) 11.24 (62,341.863) (983,755) 15.78 Subscriptions 31,025.367 189,565 6.11 356,594.393 4,008,121 11.24 44,092.496 695,780 15.78 ------------- ---------- ------------- ---------- ------------- ---------- Net Asset Value, March 31, 2002 2,203,956.534 13,458,190 6.11 4,795,944.583 53,901,953 11.24 3,561,023.008 56,197,132 15.78 ============= ========== ==== ============= ========== ===== ============= ========== =====
The accompanying notes are an integral part of these financial statements. MORGAN STANLEY SPECTRUM SERIES - -------------------------------------------------------------------------------- STATEMENTS OF OPERATIONS - -------------------------------------------------------------------------------- FOR THE MONTH ENDED MARCH 31, 2002 (UNAUDITED)
MORGAN STANLEY MORGAN STANLEY MORGAN STANLEY SPECTRUM SELECT SPECTRUM STRATEGIC SPECTRUM TECHNICAL -------------------------- --------------------------- ------------------------ PERCENTAGE OF PERCENTAGE OF PERCENTAGE OF MARCH 1, 2002 MARCH 1, 2002 MARCH 1, 2002 BEGINNING BEGINNING BEGINNING AMOUNT NET ASSET VALUE AMOUNT NET ASSET VALUE AMOUNT NET ASSET VALUE ------ --------------- ------ --------------- ------ --------------- $ % $ % $ % REVENUES Trading profit (loss): Realized 667,615 .29 5,834,665 8.25 (2,124,751) (.86) Net change in unrealized 9,666,050 4.25 (2,036,788) (2.88) (3,285,291) (1.32) ---------- ---- ---------- ----- ---------- ----- Total Trading Results 10,333,665 4.54 3,797,877 5.37 (5,410,042) (2.18) Interest income (Note 2) 274,937 .12 85,763 .12 282,588 .11 ---------- ---- ---------- ----- ---------- ----- Total Revenues 10,608,602 4.66 3,883,640 5.49 (5,127,454) (2.07) ---------- ---- ---------- ----- ---------- ----- EXPENSES Brokerage fees (Note 2) 1,375,290 .60 427,304 .60 1,499,552 .60 Management fees (Note 2 & 3) 569,085 .25 176,816 .25 573,048 .23 ---------- ---- ---------- ----- ---------- ----- Total Expenses 1,944,375 .85 604,120 .85 2,072,600 .83 ---------- ---- ---------- ----- ---------- ----- NET INCOME (LOSS) 8,664,227 3.81 3,279,520 4.64 (7,200,054) (2.90) ========== ==== ========== ===== ========== =====
MORGAN STANLEY SPECTRUM SERIES - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSET VALUE - -------------------------------------------------------------------------------- FOR THE MONTH ENDED MARCH 31, 2002 (UNAUDITED)
MORGAN STANLEY MORGAN STANLEY MORGAN STANLEY SPECTRUM SELECT SPECTRUM STRATEGIC SPECTRUM TECHNICAL ---------------------------------- ---------------------------------- ----------------------------------- PER PER PER UNITS AMOUNT UNIT UNITS AMOUNT UNIT UNITS AMOUNT UNIT ------------- ---------- ---- ------------- ---------- ----- ------------- ---------- ----- Net Asset Value, March 1, 2002 10,334,875.790 227,634,110 22.03 6,405,269.895 70,726,206 11.04 17,537,204.296 248,201,657 14.15 Net Income (Loss) -- 8,664,227 .83 -- 3,279,520 .51 -- (7,200,054) (.41) Redemptions (117,290.883) (2,681,270) 22.86 (161,782.817) (1,868,592) 11.55 (303,082.775) (4,164,357) 13.74 Subscriptions 199,166.811 4,552,953 22.86 50,330.321 581,315 11.55 274,875.988 3,776,796 13.74 -------------- ----------- ------------- ---------- -------------- ----------- Net Asset Value, March 31, 2002 10,416,751.718 238,170,020 22.86 6,293,817.399 72,718,449 11.55 17,508,997.509 240,614,042 13.74 ============== =========== ===== ============= ========== ===== ============== =========== =====
The accompanying notes are an integral part of these financial statements. MORGAN STANLEY SPECTRUM SERIES - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- (UNAUDITED) ================================================================================ 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES ORGANIZATION. Morgan Stanley Spectrum Commodity L.P. ("Spectrum Commodity"), Morgan Stanley Spectrum Currency L.P. ("Spectrum Currency"), Morgan Stanley Spectrum Global Balanced L.P. ("Spectrum Global Balanced"), Morgan Stanley Spectrum Select L.P. ("Spectrum Select"), Morgan Stanley Spectrum Strategic L.P. ("Spectrum Strategic") and Morgan Stanley 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 contracts, options on futures contracts and forward 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 Limited ("MSIL"). Morgan Stanley Commodities Management, Inc. ("MSCM") is the trading advisor to Spectrum Commodity. Demeter, Morgan Stanley DW, MS & Co., MSIL and MSCM are wholly-owned subsidiaries of 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 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 MORGAN STANLEY SPECTRUM SERIES - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- (CONTINUED) 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, Morgan Stanley DW pays each Partnership interest income on 80% of the month's 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 on 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. 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. MORGAN STANLEY SPECTRUM SERIES - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- (CONTINUED) 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 will be paid by the Limited Partners or the Partnership. Morgan Stanley DW 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 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 restrictions outlined in the Limited Partnership Agreement) without paying additional charges. DISSOLUTION OF THE PARTNERSHIPS. Spectrum Commodity will terminate on December 31, 2027, MORGAN STANLEY SPECTRUM SERIES - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- (CONTINUED) 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 as 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 Spectrum Commodity L.P. Morgan Stanley Commodities Management Inc. Morgan Stanley Spectrum Currency L.P. John W. Henry & Company, Inc. ("JWH") Sunrise Capital Partners, LLC Morgan Stanley Spectrum Global Balanced L.P. RXR, Inc. Morgan Stanley Spectrum Select L.P. EMC Capital Management, Inc. Rabar Market Research, Inc. Sunrise Capital Management, Inc. Northfield Trading L.P. Morgan Stanley Spectrum Strategic L.P. Allied Irish Capital Management, Ltd. Blenheim Capital Management, L.L.C. Eclipse Capital Management, Inc. Morgan Stanley Spectrum Technical L.P. Campbell & Company, Inc. ("Campbell") Chesapeake Capital Corporation ("Chesapeake") John W. Henry & Company, Inc. MORGAN STANLEY SPECTRUM SERIES - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- (CONTINUED) 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). 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 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 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% 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 as of the end of each calendar month and 19% of the trading profits experienced with respect to the Net Assets allocated to Chesapeake as of the end of each calendar month. MORGAN STANLEY SPECTRUM SERIES - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- (CONCLUDED) Trading profits for the Partnerships represent the amount by which profits from futures, forwards 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 recovered. Cumulative trading losses are adjusted on a pro-rata basis for the net amount of each month's subscriptions and redemptions. Presorted First Class Mail U.S. Postage Paid Permit #664 S. Hackensack, N.J. [LOGO MORGAN STANLEY] c/o Morgan Stanley Trust Company, Attention:Managed Futures, 7th Floor, Harborside Financial Center, Plaza Two Jersey City, NJ 07311-3977 ADDRESS SERVICE REQUESTED [RECYCLE LOGO] printed on recycled paper -----END PRIVACY-ENHANCED MESSAGE-----