<PAGE>
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 10-Q
[X] QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(D) OF
THE SECURITIES EXCHANGE ACT OF 1934
For the Quarterly Period Ended: September 30, 1999
Commission File Number: 333-9898
Kenmar Global Trust
(Exact name of registrant as specified in its charter)
DELAWARE 06-6429854
(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification No.)
Two American Lane, P.O. Box 5150, Greenwich, Connecticut 06831-8150
(Address of principal executive offices, including zip code)
Registrant's telephone number, including area code: (203) 861-1000
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 periods 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
<PAGE>
KENMAR GLOBAL TRUST
QUARTER ENDED SEPTEMBER 30, 1999
INDEX
<TABLE>
<CAPTION>
PAGE
PART I - FINANCIAL INFORMATION
Item 1. Financial Statements
<S> <C>
Statements of Financial Condition as of September 30, 1999 (unaudited)
and December 31, 1998 (audited).....................................................................1
Statements of Operations for the Three Months and Nine Months Ended September 30, 1999
and 1998 (unaudited)................................................................................2
Statements of Cash Flows for the Nine Months Ended September 30, 1999
and 1998 (unaudited)................................................................................3
Statements of Changes in Unitholders' Capital (Net Asset Value) for
the Nine Months Ended September 30, 1999 and 1998 (unaudited)......................................4
Notes to Financial Statements (unaudited).........................................................5-9
Item 2. Management's Discussion and Analysis of Financial Condition
and Results of Operations.......................................................................10-12
Item 3. Quantitative and Qualitative Disclosures About Market Risk.........................................13
PART II - OTHER INFORMATION
Item 2. Changes in Securities..............................................................................14
Item 6. Exhibits and Reports on Form 8-K...................................................................14
SIGNATURES...........................................................................................................14
</TABLE>
i
<PAGE>
PART I - FINANCIAL INFORMATION
Item 1. Financial Statements
KENMAR GLOBAL TRUST
STATEMENTS OF FINANCIAL CONDITION
September 30, 1999 (Unaudited) and December 31, 1998 (Audited)
<TABLE>
<CAPTION>
September 30, December 31,
1999 1998
<S> <C> <C>
ASSETS
Equity in broker trading accounts
Cash $11,651,477 $14,288,556
Net Option premiums paid 22,212 0
Unrealized gain on open contracts 2,465,246 1,219,956
----------- -----------
Deposits with brokers 14,138,935 15,508,512
Cash 15,281,919 10,582,645
----------- -----------
Total assets $29,420,854 $26,091,157
=========== ===========
LIABILITIES
Accounts payable $ 51,194 $ 65,017
Commissions and other trading fees on open contracts 23,803 18,122
Managing Owner brokerage commissions 182,416 160,616
Managing Owner incentive fee 0 42,368
Advisor profit shares 0 109,106
Reimbursable offering costs 0 44,975
Redemptions payable 356,992 255,238
Redemption charges payable to Managing Owner 1,117 4,897
Subscription deposits 0 27,720
----------- -----------
Total liabilities 615,522 728,059
----------- -----------
UNITHOLDERS' CAPITAL (NET ASSET VALUE)
Managing Owner - 2,802.9608 and 2,331.0461
outstanding at September 30, 1999 and December 31, 1998 297,102 263,850
Other Unitholders - 268,956.6017 and 221,745.5512 units
outstanding at September 30, 1999 and December 31, 1998 28,508,230 25,099,248
----------- -----------
Total unitholders' capital
(Net Asset Value) 28,805,332 25,363,098
----------- -----------
$29,420,854 $26,091,157
=========== ===========
</TABLE>
See accompanying notes.
1
<PAGE>
KENMAR GLOBAL TRUST
STATEMENTS OF OPERATIONS
For the Three Months Ended September 30, 1999 and 1998 and
For the Nine Months Ended September 30, 1999 and 1998
(Unaudited)
<TABLE>
<CAPTION>
Three Months Nine Months
Ended Ended
September 30, September 30,
1999 1998 1999 1998
------------- ------------- ------------ -----------
<S> <C> <C> <C> <C>
INCOME
Trading gains (losses)
Realized $ (111,940) $ 1,945,436 $ (1,105,015) $ 3,538,619
Change in unrealized 957,964 2,023,463 1,245,290 1,436,347
------------- ------------- ------------ -----------
Gain from trading 846,024 3,968,899 140,275 4,974,966
Interest income 287,366 179,518 781,267 549,361
------------- ------------- ------------ -----------
Total income 1,133,390 4,148,417 921,542 5,524,327
------------- ------------- ------------ -----------
EXPENSES
Brokerage commissions 61,767 39,010 208,303 100,591
Managing Owner brokerage commissions 674,747 410,894 1,932,307 1,110,523
Advisor profit shares 0 637,231 95,925 875,702
Managing Owner incentive fee 0 99,152 0 100,182
Operating expenses 36,477 87,417 165,855 154,108
------------- ------------- ------------ -----------
Total expenses 772,991 1,273,704 2,402,390 2,341,106
------------- ------------- ------------ -----------
NET INCOME (LOSS) $ 360,399 $ 2,874,713 $ (1,480,848) $ 3,183,221
============= ============= ============ ===========
NET INCOME (LOSS) PER UNIT
(based on weighted average number of
units outstanding during the period) $ 1.39 $ 18.47 $ (6.06) $ 22.26
============= ============= ============ ===========
INCREASE (DECREASE) IN NET
ASSET VALUE PER UNIT $ 1.27 $ 17.34 $ (7.19) $ 18.27
============= ============= ============ ===========
</TABLE>
See accompanying notes.
2
<PAGE>
KENMAR GLOBAL TRUST
STATEMENTS OF CASH FLOWS
For the Nine Months Ended September 30, 1999 and 1998
(Unaudited)
<TABLE>
<CAPTION>
Nine Months
Ended
September 30,
1999 1998
------------ -----------
<S> <C> <C>
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
Net income (loss) $ (1,480,848) $ 3,183,221
Adjustments to reconcile net income (loss)
to net cash from (for) operating activities:
Net change in unrealized (1,245,290) (1,436,347)
Increase (decrease) in accounts payable
and accrued expenses (137,816) 748,990
(Increase) decrease in net option premiums (22,212) 12,165
Decrease in other assets 0 123,842
------------ -----------
Net cash from (for) operating activities (2,886,166) 2,631,871
------------ -----------
CASH FLOWS FROM (FOR) FINANCING ACTIVITIES
Addition of units 8,110,024 6,525,844
Decrease in subscription deposits (27,720) (25,720)
Offering costs paid (153,076) (369,968)
Redemption of units (2,980,867) (1,639,493)
------------ -----------
Net cash from financing activities 4,948,361 4,490,663
------------ -----------
Net increase in cash 2,062,195 7,122,534
CASH
Beginning of period 24,871,201 11,754,908
------------ -----------
End of period $ 26,933,396 $18,877,442
============ ===========
END OF PERIOD CASH CONSISTS OF:
Cash in broker trading accounts $ 11,651,477 $14,560,861
Cash 15,281,919 4,316,581
------------ -----------
Total end of period cash $ 26,933,396 $18,877,442
============ ===========
</TABLE>
See accompanying notes.
3
<PAGE>
KENMAR GLOBAL TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE)
For the Nine Months Ended September 30, 1999 and 1998
(Unaudited)
<TABLE>
<CAPTION>
UNITHOLDERS' CAPITAL
TOTAL --------------------------------------------------
NUMBER OF MANAGING OTHER
UNITS OWNER UNITHOLDERS TOTAL
------------ --------- ----------- ------------
<S> <C> <C> <C> <C>
NINE MONTHS ENDED SEPTEMBER 30, 1999
Balances at
December 31, 1998 224,076.5973 $263,850 $25,099,248 $25,363,098
Net (loss) for the nine months
ended September 30, 1999 (15,617) (1,465,231) (1,480,848)
Additions 77,252.6975 50,000 8,060,024 8,110,024
Redemptions (29,569.7323) 0 (3,078,841) (3,078,841)
Offering costs (1,131) (106,970) (108,101)
------------ -------- ----------- -----------
Balances at
September 30, 1999 271,759.5625 $297,102 $28,508,230 $28,805,332
============ ======== =========== ===========
NINE MONTHS ENDED SEPTEMBER 30, 1998
Balances at
December 31, 1997 123,650.8308 $125,970 $12,251,351 $12,377,321
Net income for the nine months
ended September 30, 1998 32,951 3,150,270 3,183,221
Additions 61,475.3446 55,400 6,470,444 6,525,844
Redemptions (16,199.3313) 0 (1,674,179) (1,674,179)
Offering costs (4,258) (411,763) (416,021)
------------ -------- ----------- -----------
Balances at
September 30, 1998 168,926.8441 $210,063 $19,786,123 $19,996,186
============ ======== =========== ===========
Net Asset Value Per Unit
-----------------------------------------------------------
September 30, December 31, September 30, December 31,
1999 1998 1998 1997
$ 106.00 $ 113.19 $ 118.37 $ 100.10
======== ======== ======== ========
</TABLE>
See accompanying notes.
4
<PAGE>
KENMAR GLOBAL TRUST
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
------------
Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
A. General Description of the Fund
Kenmar Global Trust (the "Fund") is a Delaware business trust.
The Fund is a multi-advisor, multi-strategy commodity pool
which trades in United States (U.S.) and foreign futures,
options, forwards and related markets. The Fund was formed on
July 17, 1996 and commenced trading on May 22, 1997.
B. Regulation
As a registrant with the Securities and Exchange Commission,
the Fund is subject to the regulatory requirements under the
Securities Act of 1933 and the Securities Exchange Act of
1934. As a commodity pool, the Fund is subject to the
regulations of the Commodity Futures Trading Commission, an
agency of the U.S. government which regulates most aspects of
the commodity futures industry; rules of the National Futures
Association, an industry self-regulatory organization; and the
requirements of the various commodity exchanges where the Fund
executes transactions. Additionally, the Fund is subject to
the requirements of the Futures Commission Merchants (FCMs)
and interbank market makers (collectively, "brokers") through
which the Fund trades.
C. Method of Reporting
The Fund's financial statements are presented in accordance
with generally accepted accounting principles, which require
the use of certain estimates made by the Fund's management.
Gains or losses are realized when contracts are liquidated.
Net unrealized gain or loss on open contracts (the difference
between contract purchase prices and market prices) is
reported in the statement of financial condition in accordance
with Financial Accounting Standards Board Interpretation No.
39 - "Offsetting of Amounts Related to Certain Contracts." Any
change in net unrealized gain or loss from the preceding
period is reported in the statement of operations. Brokerage
commissions paid directly to brokers include other trading
fees and are charged to expense when contracts are opened.
D. Income Taxes
The Fund prepares calendar year U.S. and state information tax
returns and reports to the Unitholders their allocable shares
of the Fund's income, expenses and trading gains or losses.
5
<PAGE>
KENMAR GLOBAL TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
--------------
Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
(CONTINUED)
E. Organizational and Offering Costs
Organizational and initial offering costs (exclusive of
selling commissions) of approximately $540,000 were advanced
to the Fund by the Managing Owner. Such costs are charged to
unitholder's capital and reimbursed to the Managing Owner at a
monthly rate of 0.2% of the Fund's beginning of month Net
Asset Value. As of December 31, 1998, all such organizational
and initial offering costs advanced by the Managing Owner have
been charged to unitholders' capital.
Ongoing offering costs are borne by the Fund and are charged
directly to unitholders' capital as incurred.
F. Foreign Currency Transactions
The Fund's functional currency is the U.S. dollar; however, it
transacts business in currencies other than the U.S. dollar.
Assets and liabilities denominated in currencies other than
the U.S. dollar are translated into U.S. dollars at the rates
in effect at the date of the statement of financial condition.
Income and expense items denominated in currencies other than
the U.S. dollar are translated into U.S. dollars at the rates
in effect during the period. Gains and losses resulting from
the translation to U.S. dollars are reported in income
currently.
Note 2. MANAGING OWNER
The Managing Owner of the Fund is Kenmar Advisory Corp., which
conducts and manages the business of the Fund. The Declaration of
Trust and Trust Agreement requires the Managing Owner to maintain a
capital account equal to 1% of the total capital accounts of the
Fund.
The Managing Owner is paid monthly brokerage commissions equal to
1/12 of 11% (11% annually) of the Fund's beginning of month Net Asset
Value. The Managing Owner, in turn, pays substantially all actual
costs of executing the Fund's trades, selling commissions and
trailing commissions to selling agents, and consulting fees to the
Advisors. The amount paid to the Managing Owner is reduced by
brokerage commissions and other trading fees paid directly by the
Fund.
The Managing Owner is paid an incentive fee equal to 5% of New
Overall Appreciation (which is defined in the Declaration of Trust
and Trust Agreement and excludes interest income) as of each fiscal
year-end and upon redemption of Units.
Note 3. COMMODITY TRADING ADVISORS
The Fund has advisory agreements with various commodity trading
advisors pursuant to which the Fund pays quarterly profit shares of
15% to 20% of Trading Profit (as defined in each advisory agreement).
6
<PAGE>
KENMAR GLOBAL TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
--------------
Note 4. DEPOSITS WITH BROKERS
The Fund deposits cash with brokers subject to Commodity Futures
Trading Commission regulations and various exchange and broker
requirements. Margin requirements are satisfied by the deposit of
cash with such brokers. The Fund earns interest income on its cash
deposited with the brokers.
Note 5. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
Investments in Units of Beneficial Interest are made by subscription
agreement, subject to acceptance by the Managing Owner.
The Fund is not required to make distributions, but may do so at the
sole discretion of the Managing Owner. A Unitholder may request and
receive redemption of Units owned, beginning with the end of the
sixth month after such Units are sold, subject to restrictions in the
Declaration of Trust and Trust Agreement. Units redeemed on or before
the end of the twelfth full calendar month and after the end of the
twelfth full month but on or before the end of the eighteenth full
calendar month after the date such Units begin to participate in the
profits and losses of the Fund are subject to early redemption
charges of 3% and 2%, respectively, of the Net Asset Value redeemed.
All redemption charges are paid to the Managing Owner. Such
redemption charges are included in redemptions of unitholders'
capital and amounted to $14,661 and $35,057 during the nine months
ended September 30, 1999 and 1998, respectively.
Note 6. TRADING ACTIVITIES AND RELATED RISKS
The Fund engages in the speculative trading of U.S. and foreign
futures contracts, options on U.S. and foreign futures contracts and
forward contracts (collectively, "derivatives"). These derivatives
include both financial and non-financial contracts held as part of a
diversified trading strategy. The Fund is exposed to both market
risk, the risk arising from changes in the market value of the
contracts, and credit risk, the risk of failure by another party to
perform according to the terms of a contract.
Purchases and sales of futures and options on futures contracts
require margin deposits with the FCMs. Additional deposits may be
necessary for any loss of contract value. The Commodity Exchange Act
requires an FCM to segregate all customer transactions and assets
from such FCM's proprietary activities. A customer's cash and other
property (for example, U.S. Treasury bills) deposited with an FCM are
considered commingled with all other customer funds subject to the
FCM's segregation requirements. In the event of an FCM's insolvency,
recovery may be limited to a pro rata share of segregated funds
available. It is possible that the recovered amount could be less
than total cash and other property deposited.
7
<PAGE>
KENMAR GLOBAL TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
-----------------
Note 6. TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
The Fund has cash on deposit with interbank market makers and other
financial institutions in connection with its trading of forward
contracts and its cash management activities. In the event of a
financial institution's insolvency, recovery of Fund assets on
deposit may be limited to account insurance or other protection
afforded such deposits. In the normal course of business, the Fund
does not require collateral from such financial institutions. Since
forward contracts are traded in unregulated markets between
principals, the Fund also assumes the risk of loss from counterparty
nonperformance.
For derivatives, risks arise from changes in the market value of the
contracts. Theoretically, the Fund is exposed to a market risk equal
to the value of futures and forward contracts purchased and unlimited
liability on such contracts sold short. As both a buyer and seller of
options, the Fund pays or receives a premium at the outset and then
bears the risk of unfavorable changes in the price of the contract
underlying the option. Written options expose the Fund to potentially
unlimited liability, and purchased options expose the Fund to a risk
of loss limited to the premiums paid.
The fair value of derivatives represents unrealized gains and losses
on open futures and forward contracts and long and short options at
market value. The average fair value of derivatives for the nine
months ended September 30, 1999 and 1998, and the related fair values
as of September 30, 1999 and December 31, 1998, are as follows:
<TABLE>
<CAPTION>
For the Nine
Months Ended As of As of
September 30, September 30, December 31,
1999 1998 1999 1998
---- ---- ---- ----
<S> <C> <C> <C> <C>
Exchange traded futures and $1,510,000 $1,110,000 $2,414,000 $1,240,000
options on futures contracts (6,000) 200 73,000 (20,000)
Forward contracts
</TABLE>
Net trading results from derivatives for the three months and nine
months ended September 30, 1999 and 1998, are reflected in the
statement of operations and consists of the gain from trading less
brokerage commissions and the portion of the Managing Owner brokerage
commissions that is payable to the brokers. For the three months and
nine months ended September 30, 1999, the net trading gain (loss)
from derivatives was approximately $(731,000) and $(225,000),
respectively. For the three months and nine months ended September
30, 1998, the net trading gain from derivatives was approximately
$3,899,000 and $4,804,000, respectively. Such trading results reflect
the net gain (loss) arising from the Fund's speculative trading of
futures contracts, options on futures contracts and forward
contracts.
8
<PAGE>
KENMAR GLOBAL TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 6. TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
Open contracts generally mature within one year, however, the Fund
intends to close all contracts prior to maturity. The latest
maturity date for open contracts as of September 30, 1999 and
December 31, 1998, is June 2000 and September 1999, respectively.
At September 30, 1999 and December 31, 1998, the notional amount of
open contracts is as follows:
<TABLE>
<CAPTION>
September 30, December 31,
1999 1998
------------------------------ ------------------------------
Contracts to Contracts to Contracts to Contract to
Purchase Sell Purchase Sell
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Exchange traded futures contracts:
- Financial instruments $ 61,900,000 $ 86,800,000 $ 96,900,000 $ 99,000,000
- Metals 19,600,000 3,300,000 4,200,000 11,100,000
- Energy 6,000,000 500,000 0 1,800,000
- Agricultural 4,700,000 4,100,000 900,000 9,300,000
- Currencies 25,900,000 13,400,000 6,800,000 6,400,000
Forward Contracts:
- Currencies 13,100,000 10,000,000 4,600,000 2,600,000
------------ ------------ ------------ ------------
$131,200,000 $118,100,000 $113,400,000 $130,200,000
============ ============ ============ ============
Exchange traded purchased options on
futures contracts:
- Metals $ 400,000 $ 1,500,000 $ 0 $ 0
- Currencies 500,000 0 0 0
------------ ------------ ------------ ------------
$ 900,000 $ 1,500,000 $ 0 $ 0
============ ============ ============ ============
</TABLE>
The above amounts do not represent the Fund's risk of loss due to
market and credit risk, but rather represent the Fund's extent of
involvement in derivatives at the date of the statement of
financial condition.
The Managing Owner has established procedures to actively monitor
market risk and minimize credit risk. The Unitholders bear the risk
of loss only to the extent of the market value of their respective
investments and, in certain specific circumstances, distributions
and redemptions received.
Note 7. INTERIM FINANCIAL STATEMENTS
The statement of financial condition as of September 30, 1999, the
statements of operations for the nine months ended September 30,
1999 and 1998, and for the three months ended September 30, 1999
and 1998, and the statements of cash flows and changes in
unitholders' capital (net asset value) for the nine months ended
September 30, 1999 and 1998, are unaudited. In the opinion of
management, such financial statements reflect all adjustments,
which were of a normal and recurring nature, necessary for a fair
presentation of financial position as of September 30, 1999, the
results of operations for the three months and nine months ended
September 30, 1999 and 1998, and cash flows for the nine months
ended September 30, 1999 and 1998.
9
<PAGE>
ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND
RESULTS OF OPERATIONS.
The proceeds of the offering of the units of beneficial interest (the "Units")
are used by the Fund to engage in the speculative trading on futures, forward,
options and related markets through allocating such proceeds to multiple
commodity trading advisors (the "Advisors").
The assets of the Fund are deposited with commodity brokers and interbank
dealers (collectively, the "Clearing Brokers") in trading accounts established
by the Fund for the Advisors and are used by the Fund as margin to engage in
trading. Such assets are held in either a non-interest bearing bank account or
in securities approved by the CFTC for investment of customer funds.
CAPITAL RESOURCES. The Fund does not have, nor does it expect to have, any
capital assets. Redemptions and sales of the Units in the future will affect the
amount of funds available for trading futures, forwards and options in
subsequent periods.
There are three primary factors that affect the Fund's capital resources: (i)
the trading profit or loss generated by the Advisors (including interest
income); (ii) the capital invested or redeemed by the unitholders of the Fund
(the "Unitholders"); and (iii) the capital invested or redeemed by the Fund's
managing owner, Kenmar Advisory Corp. ("Kenmar"). Kenmar has maintained, and has
agreed to maintain, at all times one percent (1%) interest in the Fund. All
capital contributions by Kenmar necessary to maintain such capital account
balance are evidenced by Units, each of which has an initial value equal to the
Net Asset Value Per Unit (as defined below) at the time of such contribution.
Kenmar, in its sole discretion, may withdraw any excess above its required
capital contribution without notice to the Unitholders. Kenmar, in its sole
discretion, also may contribute any greater amount to the Fund, for which it
shall receive, at its option, additional Units at their then-current Net Asset
Value (as defined below).
"Net Asset Value" is defined as total assets of the Fund less total liabilities
as determined in accordance with generally accepted accounting principles as
described in the Fund's Amended and Restated Declaration of Trust and Trust
Agreement dated as of December 17, 1996 (the "Declaration of Trust Agreement").
The term "Net Asset Value Per Unit" is defined in the Declaration of Trust
Agreement to mean the Net Assets of the Fund divided by the number of Units
outstanding as of the date of determination.
RESULTS OF OPERATIONS. The Fund incurs substantial charges from the payment of
profit shares to the Advisors, incentive fees and brokerage commissions to
Kenmar, miscellaneous execution costs, operating, selling and administrative
expenses. Brokerage commissions are payable based upon the Net Asset Value of
the Fund and are payable without regard to the profitability of the Fund. As a
result, it is possible that the Fund may incur a net loss when trading profits
are not substantial enough to avoid depletion of the Fund's assets from such
fees and expenses. Thus, due to the nature of the Fund's business, the success
of the Fund is dependent upon the ability of the Advisors to generate trading
profits through the speculative trading of futures, forwards and options
sufficient to produce capital appreciation after payment of all fees and
expenses.
It is important to note, however, that (i) the Advisors trade in various markets
at different times and that prior activity in a particular market does not mean
that such markets will be actively traded by an Advisor or will be profitable in
the future and (ii) the Advisors trade independently of each other using
different trading systems and may trade different markets with various
concentrations at various times. Consequently, the results of operations of the
Fund can only be discussed in the context of the overall trading activities of
the Fund, the Advisors' trading activities on behalf of the Fund as a whole and
how the Fund has performed in the past.
As of September 30, 1999, the Net Asset Value of the Fund was $28,805,332, an
increase of approximately 7.73% from its Net Asset Value of $26,739,527 at June
30, 1999. The Fund's subscriptions and redemptions for the quarter ended
September 30, 1999, totaled $3,257,986 and $1,552,580, respectively. For the
quarter ended
10
<PAGE>
September 30, 1999, the Fund had revenue comprised of $(111,940) in realized
trading losses, $957,964 in change in unrealized trading gains and $287,366 in
interest income compared to revenue comprised of $1,945,436 in realized trading
gains, $2,023,463 in change in unrealized trading losses and $179,518 in
interest income for the same period in 1998. Total income for the third quarter
of 1999 decreased by $3,015,027 from the same period from 1998, while total
expenses decreased by $500,713 between these periods. The Net Asset Value per
Unit at September 30, 1999 increased 1.21% from $104.73 at June 30, 1999, to
$106.00 at September 30, 1999. The Fund's positive performance of the quarter
ended September 30, 1999, resulted primarily from gains in European interest
rates, energies and base and precious metals.
The Net Asset Value of the Fund increased $3,442,234 or 13.57% from December 31,
1998 through September 30, 1999. The Fund's subscriptions and redemptions for
the nine months ended September 30, 1999, totaled $8,110,024 and $3,078,841,
respectively. For the nine months ended September 30, 1999, the Fund had losses
comprised of $(1,105,015) in realized trading losses, $1,245,290 in change in
unrealized trading gains and $781,267 in interest income compared to revenue
comprised of $3,538,619 in realized trading gains, $1,436,347 in change in
unrealized trading gains and $549,361 in interest income for the same period in
1998. The total income for the first nine months of 1999 decreased by $4,602,785
from the same period in 1998, while total expenses increased by $61,284 between
these periods. The Net Asset Value per Unit at September 30, 1999 decreased
6.35% from $113.19 at December 31, 1998, to $106.00 at September 30, 1999. The
Fund's negative performance for the nine months ended September 30, 1999
resulted primarily from losses in global stock indices, pacific rim interest
rates, grains and tropicals.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. AS A RESULT, ANY RECENT
INCREASES IN REALIZED OR UNREALIZED TRADING GAINS MAY HAVE NO BEARING ON ANY
RESULTS THAT MAY BE OBTAINED IN THE FUTURE.
LIQUIDITY. Units may be redeemed, at a Unitholder's option, as of the close of
business on the last day of any month beginning with the end of the sixth month
after their sale. Units are redeemed at Net Asset Value, subject to redemption
charges of 3% and 2%, respectively, for Units redeemed on and after the end of
the sixth month through the end of the twelfth month after sale and from the end
of the twelfth month through the end of the eighteenth month after sale.
With respect to the Fund's trading, in general, the Fund's Advisors will
endeavor to trade only futures, forwards and options that have sufficient
liquidity to enable them to enter and close out positions without causing major
price movements. Notwithstanding the foregoing, most United States commodity
exchanges limit the amount by which certain commodities may move during a single
day by regulations referred to as "daily price fluctuation limits" or "daily
limits". Pursuant to such regulations, no trades may be executed on any given
day at prices beyond the daily limits. The price of a futures contract has
occasionally moved the daily limit for several consecutive days, with little or
no trading, thereby effectively preventing a party from liquidating its
position. While the occurrence of such an event may reduce or effectively
eliminate the liquidity of a particular market, it will not limit ultimate
losses and may in fact substantially increase losses because of this inability
to liquidate unfavorable positions. In addition, if there is little or no
trading in a particular futures or forward contract that the Fund is trading,
whether such illiquidity is caused by any of the above reasons or otherwise, the
Fund may be unable to execute trades at favorable prices and/or may be unable or
unwilling to liquidate its position prior to its expiration date, thereby
requiring the Fund to make or take delivery of the underlying interest of the
commodity.
In addition, certain Advisors trade on futures markets outside the United States
on behalf of the Fund. Certain foreign exchanges may be substantially more prone
to periods of illiquidity than United States exchanges. Further, certain
Advisors trade forward contracts which are not traded on exchanges; rather banks
and dealers act as principals in these markets. The Commodity Futures Trading
Commission does not regulate trading on non-U.S.
futures markets or in forward contracts.
YEAR 2000 COMPLIANCE. Many computer systems were designed using only two digits
to designate years. These systems may not be able to distinguish the Year 2000
from the Year 1900 (commonly known as the "Year 2000
11
<PAGE>
Problem"). Like other investment funds and financial business organizations, the
Fund could be adversely affected if the computer systems used by Kenmar or the
Fund's service providers do not properly address this problem prior to January
1, 2000. Currently, Kenmar does not anticipate that the transition to the 21st
century will have any material effect on the Fund.
Kenmar has established a "Y2K Task Force" consisting of representatives of its
information technology, research, accounting, compliance and trading departments
to specifically address all Year 2000 issues in a timely manner. Actions taken
have included an analysis of all in-house software and hardware to determine
Year 2000 compliance. Kenmar is currently in the process of requesting
confirmation from all third parties with which it and the Fund have a material
relationship that said parties have taken the same actions. In-house compliance
for all mission-critical software is in progress. Testing of corrected software
has already begun. Contingency plans are being established for all non-mission
critical systems. No direct costs have been or are expected to be incurred in
addressing the Year 2000 Problem. Kenmar has addressed all of the issues as a
part of their ongoing operations, so the Fund will not be required to reimburse
Kenmar for any expenses incurred.
Despite the corrective measures that Kenmar has implemented, no assurance can be
given that the Fund's service providers have anticipated every step necessary to
avoid any adverse effect on the Fund attributable to the Year 2000 Problem. A
most likely worst case scenario would be one in which trading of contracts on
behalf of the Fund becomes impossible as a result of the Year 2000 Problem.
Kenmar would be able to assess such a situation in advance of the December 31,
1999 deadline and either liquidate all positions prior to that date and/or
establish relationships with additional counterparties. Further, prospective
Investors should understand that the failure of third parties, such as futures
exchanges, clearing organizations or regulators, to resolve the Year 2000
Problem in a timely manner could result in a material financial risk to the
Fund.
SAFE HARBOR STATEMENT. The discussion above contains certain forward-looking
statements (as such term is defined in the rules promulgated under the
Securities Exchange Act of 1934) that are based on the beliefs of the Fund, as
well as assumptions made by, and information currently available to, the Fund. A
number of important factors should cause the Fund's actual results, performance
or achievements for 1999 and beyond to differ materially from the results,
performance or achievements expressed in, or implied by, such forward-looking
statements. These factors include, without limitation, the factors described
above.
12
<PAGE>
ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK.
Derivative instruments involve varying degrees of off-balance sheet market risk
and changes in the level or volatility of interest rates, foreign currency
exchange rates or the market values of the financial instruments or commodities
underlying such derivative instruments frequently result in the changes in the
Fund's unrealized profit (loss) on such derivative instruments as reflected in
the Statements of Financial Condition. The Fund's exposure to market risk is
influenced by a number of factors, including the relationships among derivative
instruments held by the Fund as well as the volatility and liquidity of the
markets in which the financial instruments are traded.
Kenmar has procedures in place intended to control the Fund's exposure to market
risk, although there can be no assurance that they will, in fact, succeed in
doing so. These procedures focus primarily on monitoring the trading of the
Advisors selected from time to time for the Fund, calculating the Net Asset
Value of the Advisors respective Fund accounts as of the close of business on
each day and reviewing outstanding positions for over-concentrations - both on
an Advisor-by-Advisor and on an overall Fund basis. While Kenmar will not itself
intervene in the markets to hedge or diversify the Fund's market exposure,
Kenmar may urge Advisors to reallocate positions, or itself reallocate Fund
assets among Advisors (although typically only as of the end of a month) in an
attempt to avoid over-concentrations. However, such interventions would be
unusual. Except in cases in which it appears that an Advisor has begun to
deviate from past practice or trading policies or to be trading erratically,
Kenmar's basic risk control procedures consist of the ongoing process of Advisor
monitoring and selection, with the market risk controls being applied by the
Advisors themselves.
13
<PAGE>
PART II - OTHER INFORMATION
ITEM 2. CHANGES IN SECURITIES.
On December 17, 1996, the Fund commenced offering Units in a public offering
under the Securities Act of 1933. The Fund commenced trading operations on May
22, 1997. Units are offered at Net Asset Value as of the last day of each month.
The minimum investment is $5,000, except for (i) trustees or custodians of
eligible employee benefit plans and individual retirement accounts and (ii)
Unitholders subscribing for additional Units, where the minimum investment is
$2,000. Investments in excess of these minimums are permitted in $100
increments.
During the third quarter of 1999, 31,485.4241 Units were sold for a total of
$3,257,983.
ITEM 6. EXHIBITS AND REPORTS ON FORM 8-K.
A. EXHIBITS.
Financial Data Schedule.
B. REPORTS ON FORM 8-K.
None.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
Registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
KENMAR GLOBAL TRUST
By Kenmar Advisory Corp., managing owner
Dated: November 15, 1999 By: /s/ Robert L. Cruikshank
----------------------------------
Robert L. Cruikshank
Executive Vice President
(Duly Authorized Officer of Kenmar)
Dated: November 15, 1999 By: /s/ Thomas J. Divuolo
----------------------------------
Thomas J. DiVuolo
Senior Vice President
(Principal Financial and Accounting
Officer of the Registrant)
14
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 5
<S> <C>
<PERIOD-TYPE> 9-MOS
<FISCAL-YEAR-END> DEC-31-1999
<PERIOD-END> SEP-30-1999
<CASH> 15,281,919
<SECURITIES> 0
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 29,420,854
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 28,420,854
<CURRENT-LIABILITIES> 615,522
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 28,805,332
<TOTAL-LIABILITY-AND-EQUITY> 29,420,854
<SALES> 0
<TOTAL-REVENUES> 921,542
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 2,402,390
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> (1,480,848)
<INCOME-TAX> 0
<INCOME-CONTINUING> (1,480,848)
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (1,480,848)
<EPS-BASIC> (6.06)
<EPS-DILUTED> (6.06)
</TABLE>
