<PAGE> 1
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: MARCH 31, 2000
COMMISSION FILE NUMBER: 0-23950
THE DENNIS FUND LIMITED PARTNERSHIP
(Exact name of registrant as specified in its charter)
CONNECTICUT 06-1456461
(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 period that the
registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. Yes X No
----- -----
<PAGE> 2
THE DENNIS FUND LIMITED PARTNERSHIP
QUARTER ENDED MARCH 31, 2000
INDEX
PAGE
----
PART I - FINANCIAL INFORMATION
Item 1. Financial Statements
Statements of Financial Condition as of
March 31, 2000 (unaudited) and December 31, 1999
(audited) 3
Statements of Operations for the Three Months
Ended March 31, 2000 (unaudited) and 1999
(unaudited) 4
Statements of Changes in Partners' Capital
(Net Asset Value) for the Three Months Ended
March 31, 2000 (unaudited) and 1999 (unaudited) 5
Notes to Financial Statements 6-9
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
PART II - OTHER INFORMATION
Item 2. Changes in Securities and Use of Proceeds 13
Item 6. Exhibits and Reports on Form 8-K 13
SIGNATURES 14
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<PAGE> 3
Item 1. Financial Statements
THE DENNIS FUND LIMITED PARTNERSHIP
STATEMENTS OF FINANCIAL CONDITION
March 31, 2000 (Unaudited) and December 31, 1999 (Audited)
<TABLE>
<CAPTION>
March 31, December 31,
2000 1999
---- ----
<S> <C> <C>
ASSETS
Equity in broker trading accounts
Cash $19,328,719 $ 4,415,465
Unrealized gain on open contracts 272,179 0
----------- -----------
Deposits with broker 19,600,898 4,415,465
----------- -----------
Cash and cash equivalents 18,899,816 30,682,976
Fixed income securities (cost, including
accrued interest, - $13,154,309 and $13,774,520) 13,050,129 13,616,310
Subscriptions receivable 152,043 127,813
----------- -----------
Total assets $51,702,886 $48,842,564
=========== ===========
LIABILITIES
Accounts payable $ 60,119 $ 72,870
Commissions and other trading fees
on open contracts 31,279 0
General Partner offering fee 150,480 136,856
Advisor management fee 74,670 71,329
Redemptions payable 1,018,733 828,716
Due to affiliate 50,000 0
----------- -----------
Total liabilities 1,385,281 1,109,771
=========== ===========
PARTNERS' CAPITAL (NET ASSET VALUE)
General Partner:
A Units - 107.1387 units outstanding at
March 31, 2000 and December 31, 1999 174,863 172,443
B Units - 217.7298 units outstanding
at March 31, 2000 and December 31, 1999 338,979 334,048
Limited Partners:
A Units - 6,102.5789 and 6,263.5875 units outstanding
at March 31, 2000 and December 31, 1999 9,960,148 10,081,458
B Units - 25,591.9801 and 24,210.7330 units
outstanding at March 31, 2000 and
December 31, 1999 39,843,615 37,144,844
----------- -----------
Total partners' capital
(Net Asset Value) 50,317,605 47,732,793
----------- -----------
$51,702,886 $48,842,564
=========== ===========
</TABLE>
See accompanying notes.
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THE DENNIS FUND LIMITED PARTNERSHIP
STATEMENTS OF OPERATIONS
FOR THE THREE MONTHS ENDED MARCH 31, 2000 AND 1999
(Unaudited)
<TABLE>
<CAPTION>
Three Months Ended
March 31,
2000 1999
---- ----
<S> <C> <C>
INCOME
Commodity trading gains
Realized $ 1,449,338 $ 913,291
Change in unrealized 272,179 358,854
----------- -----------
Gain from commodity trading 1,721,517 1,272,145
----------- -----------
Fixed income securities gains (losses)
Realized (99,700) (94,325)
Change in unrealized 54,030 (7,154)
----------- -----------
(Loss) from fixed income securities (45,670) (101,479)
----------- -----------
Interest income 657,307 353,038
----------- -----------
Total income 2,333,154 1,523,704
----------- -----------
EXPENSES
Brokerage commissions 1,164,684 420,211
General Partner offering fee 423,775 282,651
Advisor management fee 255,683 174,258
Operating expenses 73,629 50,108
----------- -----------
Total expenses 1,917,771 927,228
----------- -----------
NET INCOME $ 415,383 $ 596,476
=========== ===========
A UNITS
NET INCOME PER A UNIT
(based on weighted average number of
A Units outstanding during the period) $ 26.65 $ 32.88
=========== ===========
INCREASE IN NET ASSET VALUE PER A UNIT $ 22.59 $ 32.28
=========== ===========
B UNITS
NET INCOME PER B UNIT
(based on weighted average number of
B Units outstanding during the period) $ 9.93 $ 26.91
=========== ===========
INCREASE IN NET ASSET VALUE PER B UNIT $ 22.65 $ 32.29
=========== ===========
</TABLE>
See accompanying notes.
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<PAGE> 5
THE DENNIS FUND LIMITED PARTNERSHIP
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
FOR THE THREE MONTHS ENDED MARCH 31, 2000 AND 1999
(Unaudited)
<TABLE>
<CAPTION>
Partners' Capital
---------------------------------------------------------------------------
A Units B Units
---------------------------------- ----------------------------------
General Limited General Limited
Units Partner Partners Units Partner Partners Total
----- ------- -------- ----- ------- -------- -----
<S> <C> <C> <C> <C> <C> <C> <C>
Three Months Ended March 31, 2000
- ---------------------------------
Balances at December 31, 1999 6,370.7262 $ 172,443 $ 10,081,458 24,428.4628 $ 334,048 $ 37,144,844 $ 47,732,793
Net income for the three months
ended March 31, 2000 2,420 166,571 4,931 241,461 415,383
Additions 0.0000 0 0 2,418.7381 0 4,252,538 4,252,538
Redemptions (161.0086) 0 (287,881) (1,037.4910) 0 (1,795,228) (2,083,109)
---------- ------------ ------------ ----------- ------------ ------------ ------------
Balances at March 31, 2000 6,209.7176 $ 174,863 $ 9,960,148 25,809.7099 $ 338,979 $ 39,843,615 $ 50,317,605
========== ============ ============ =========== ============ ============ ============
Three Months Ended March 31, 1999
- ---------------------------------
Balances at December 31, 1998 7,030.3295 $ 195,979 $ 12,663,939 12,891.7732 $ 232,161 $ 22,467,100 $ 35,559,179
Net income for the three months
ended March 31, 1999 3,459 226,627 3,702 362,688 596,476
Additions 0.0000 0 0 2,844.8952 49,000 5,107,516 5,156,516
Redemptions (155.4998) 0 (292,547) (195.0107) 0 (355,152) (647,699)
---------- ------------ ------------ ----------- ------------ ------------ ------------
Balances at March 31, 1999 6,874.8297 $ 199,438 $ 12,598,019 15,541.6577 $ 284,863 $ 27,582,152 $ 40,664,472
========== ============ ============ =========== ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
A Units
Net Asset Value Per Unit
March 31, December 31, March 31, December 31,
2000 1999 1999 1998
---- ---- ---- ----
<S> <C> <C> <C> <C>
$1,632.12 $1,609.53 $1,861.49 $1,829.21
========= ========= ========= =========
</TABLE>
<TABLE>
<CAPTION>
B Units
Net Asset Value Per Unit
March 31, December 31, March 31, December 31,
2000 1999 1999 1998
---- ---- ---- ----
<S> <C> <C> <C> <C>
$1,556.88 $1,534.23 $1,793.05 $1,760.76
========= ========= ========= =========
</TABLE>
See accompanying notes.
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<PAGE> 6
THE DENNIS FUND LIMITED PARTNERSHIP
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
A. General Description of the Partnership
The Dennis Fund Limited Partnership (the Partnership) is a
Connecticut limited partnership which operates as a commodity pool. The
Partnership engages in the speculative trading of futures contracts and options
on futures contracts. It is subject to the regulations of the Commodity Futures
Trading Commission, an agency of the United States (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 commodity exchanges and Futures Commission Merchants (brokers)
through which the Partnership trades.
During 1999, the Partnership became subject to the
informational requirements of the Securities Exchange Act of 1934. Accordingly,
the Partnership is subject to the regulations of the Securities and Exchange
Commission.
Investments made prior to April 30, 1997 are referred to as "A
Units" and investments made on or after April 30, 1997 are referred to as "B
Units." The initial net asset value per B Unit was the net asset value per A
Unit at April 30, 1997. The only difference between A Units and B Units are the
advisor management and incentive fee rates as further described in Note 3.
B. Method of Reporting
The Partnership's financial statements are presented in
accordance with generally accepted accounting principles, which require the use
of certain estimates made by the Partnership's management.
C. Commodities
Gains or losses are realized when contracts are liquidated.
Unrealized gains or losses on open contracts (the difference between contract
purchase price and quoted market price) are reflected in the statement of
financial condition. Any change in net unrealized gain or loss from the
preceding period is reported in the statement of operations. Brokerage
commissions include other trading fees and are charged to expense when contracts
are opened.
D. Cash and Cash Equivalents
Cash and cash equivalents includes cash and all highly liquid
investments, including money market mutual funds and other investments with a
maturity of three months or less from the date of purchase.
E. Fixed Income Securities
Fixed income securities are reported at market value plus
accrued interest. Fixed income securities transactions are accounted for on the
trade date. Interest income is recorded on the accrual basis.
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<PAGE> 7
THE DENNIS FUND LIMITED PARTNERSHIP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
(CONTINUED)
F. Income Taxes
The Partnership prepares calendar year U.S. and state
information tax returns and reports to the partners their allocable shares of
the Partnership's income, expenses and trading gains or losses.
G. Foreign Currency Transactions
The Partnership'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. GENERAL PARTNER
The General Partner of the Partnership is Kenmar Advisory Corp., which
conducts and manages the business of the Partnership. The Limited Partnership
Agreement requires the General Partner to maintain a capital account of no less
than the lesser of 1% of the aggregate capital accounts of all partners or
$500,000.
For managing the continuing offering of units, the General Partner
receives a monthly offering fee equal to 0.25% (3% annually) of that month's
beginning Net Asset Value (as defined in the Limited Partnership Agreement) of
the Partnership. The General Partner rebates to Million Dollar Investors (as
defined in the Confidential Private Placement Memorandum and Disclosure
Document) a monthly amount equal to two-thirds of the offering fee applicable to
such Million Dollar Investors. Such rebates are made to Million Dollar Investors
by issuing additional B Units.
A portion of the brokerage commissions paid by the Partnership to the
broker is, in turn, paid by the broker to the General Partner.
Note 3. COMMODITY TRADING ADVISOR
The Partnership has an advisory agreement with Dennis Trading Group,
Inc. (the commodity trading advisor) pursuant to which the A Units pay a monthly
management fee of 1/6 of 1% (2% annually) of the month-end Net Asset Value of
the subaccount (as defined in the advisory agreement) and a quarterly incentive
fee equal to 25% of the Net New Trading Profits (as defined in the Advisory
Agreement). The commodity trading advisor and General Partner each receive
one-half of the management and incentive fees applicable to A Units. Pursuant to
the advisory agreement, the B Units pay a monthly management fee of 1/12 of
1.75% (1.75% annually) of the month-end Net Asset Value of the subaccount (as
defined) and a quarterly incentive fee equal to 27.5% of the Net New Trading
Profits (as defined). The commodity trading advisor receives 3/7 of the
management fee and 7/11 of the incentive fee applicable to B Units and the
General Partner receives 4/7 of the management fee and 4/11 of the incentive fee
applicable to B Units. There was no incentive fee applicable to either A Units
or B Units during the three months ended March 31, 2000 and 1999.
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<PAGE> 8
THE DENNIS FUND LIMITED PARTNERSHIP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
Note 4. DEPOSITS WITH BROKER
The Partnership deposits cash with ED & F Man Inc. to act as broker
subject to Commodity Futures Trading Commission regulations and various exchange
and broker requirements. Margin requirements are satisfied by the deposit of
cash with such broker. The Partnership earns interest income on its cash
deposited with the broker.
Note 5. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
Investments in the Partnership are made by subscription agreement,
subject to acceptance by the General Partner. The subscription price is equal to
the Net Asset Value of the units purchased plus a 5% selling commission, unless
such selling commission is waived in whole or in part by the General Partner.
Additions to partners' capital are shown net of such selling commissions which
amounted to $39,151 and $84,713 during the three months ended March 31, 2000 and
1999, respectively.
The Partnership is not required to make distributions, but may do so at
the sole discretion of the General Partner. A Limited Partner may request and
receive redemption of units owned, subject to restrictions in the Limited
Partnership Agreement.
Note 6. TRADING ACTIVITIES AND RELATED RISKS
The Partnership engages in the speculative trading of U.S. and foreign
futures contracts and options on U.S. and foreign futures contracts
(collectively, "derivatives"). These derivatives include both financial and
non-financial contracts held as part of a diversified trading program. The
Partnership 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.
Purchase and sale of futures and options on futures contracts requires
margin deposits with the broker. Additional deposits may be necessary for any
loss on contract value. The Commodity Exchange Act requires a broker to
segregate all customer transactions and assets from such broker's proprietary
activities. A customer's cash and other property (for example, U.S. Treasury
bills) deposited with a broker are considered commingled with all other customer
funds subject to the broker's segregation requirements. In the event of a
broker'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.
The Partnership has a substantial portion of its assets on deposit with
brokers and dealers in securities and other financial institutions in connection
with its cash management activities. In the event of a financial institution's
insolvency, recovery of Partnership assets on deposit may be limited to account
insurance or other protection afforded such deposits. In the normal course of
business, the Partnership does not require collateral from such financial
institutions.
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<PAGE> 9
THE DENNIS FUND LIMITED PARTNERSHIP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
Note 6. TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
For derivatives, risks arise from changes in the market value of the
contracts. Theoretically, the Partnership is exposed to a market risk equal to
the value of futures contracts purchased and unlimited liability on such
contracts sold short. As both a buyer and seller of options, the Partnership
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 Partnership to potentially unlimited liability, and purchased options
expose the Partnership to a risk of loss limited to the premiums paid.
The General Partner has established procedures to actively monitor
market risk and minimize credit risk. The Limited Partners 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 March 31, 2000, and the
statements of operations and changes in partners' capital (net asset value) for
the three months ended March 31, 2000 and 1999, 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 March 31, 2000, and the results of operations for the three
months ended March 31, 2000 and 1999.
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<PAGE> 10
ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS
OF OPERATIONS.
The assets of the Dennis Fund Limited Partnership (the "Partnership") are used
to engage, directly or indirectly, in the speculative trading of (1)
commodities, futures contracts, forward contracts, foreign exchange commitments,
exchange for physicals, swap contracts, spot (cash) commodities and other items,
options on the foregoing, and any rights pertaining to the foregoing contracts,
instruments or investments ("Commodities") and (2) options, warrants, or other
rights and any other investment or transaction (together with the Commodities,
"Investments") that the Partnership's general partner, Kenmar Advisory Corp.
(the "General Partner") deems, in its sole discretion, to be consistent with the
objectives of the Partnership. From time to time, a portion of such proceeds may
be used for transactions in the cash markets or for interbank trading.
The assets of the Partnership are deposited with ED&F Man Inc. (the "Broker") in
a trading account established by the Partnership for the Dennis Trading Group,
Inc. (the "Advisor") and are used by the Partnership as margin to engage in
trading. Such assets are held in either a non-interest bearing bank account or
in securities approved by the Commodity Futures Trading Commission for
investment of customer funds. In addition, certain of the Partnership's assets
may also be placed in a custodian account with a cash manager to maximize the
interest earned on assets not committed as margin.
Capital Resources. The Partnership does not have, nor does it expect to have,
any capital assets. Redemptions and sales of units of limited partnership
interest ("Units") in the future will affect the amount of funds available for
trading Investments in subsequent periods.
There are only three factors that affect the Partnership's capital resources:
(i) the trading profit or loss generated by the Advisor (including interest
income); (ii) the money invested or redeemed by the limited partners of the
Partnership (the "Limited Partners"); and (iii) capital invested or redeemed by
the General Partner. The General Partner has maintained, and shall maintain, at
all times a capital account in such an amount, up to a total of $500,000, as is
necessary for the General Partner to maintain a one percent (1%) interest in the
capital, income and losses of the Partnership. All capital contributions by the
General Partner necessary to maintain such capital account balance shall be
evidenced by Units of general partnership interest, each of which shall have an
initial value equal to the Net Asset Value per Unit (as defined below) at the
time of such contribution. The General Partner, in its sole discretion, may
withdraw any excess above its required capital contribution without notice to
the Limited Partners. The General Partner, in its sole discretion, may also
contribute any greater amount to the Partnership, for which it shall receive, at
its option, additional Units of general partnership interest at their
then-current Net Asset Value.
"Net Asset Value" of the Partnership is defined as total assets of the
Partnership, including, but not limited to, all cash and cash equivalents,
accrued interest, earned discount, and open Commodities positions, less total
liabilities, including, but not limited to, brokerage commissions that would be
payable with respect to the closing of open Commodities positions, all as
determined in accordance with the principles set forth in the Limited
Partnership Agreement of the Partnership, dated June 18, 1996 and as amended on
December 15, 1997 (the "Partnership Agreement") or, where no such principles are
specified therein, in accordance with United States generally accepted
accounting principles applied on a consistent basis ("GAAP"). The term "Net
Asset Value per Unit" is defined in the Partnership Agreement to mean the Net
Asset Value of the Partnership divided by the number of Units outstanding as of
the date of determination.
Results of Operations. The success of the Partnership is dependent upon the
ability of the Advisor to generate trading profits through the speculative
trading of Investments sufficient to produce capital appreciation after payment
of all fees and expenses. Future results will depend in large part upon the
Investment markets in general, the performance of the Advisor, the amount of
additions and redemptions, and changes in interest rates. Due to the highly
leveraged nature of Investment trading, small price movements may result in
substantial losses. Because of the nature of these factors and their
interaction, it is impossible to predict future operating results.
The Partnership incurs substantial charges from the payment of brokerage
commissions to the Broker, management and/or incentive fees to the Advisor,
management fees, offering fees and/or incentive fees to the General Partner and
operating
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<PAGE> 11
expenses. The Partnership is required to make substantial trading profits to
avoid depletion and exhaustion of its assets from the above-mentioned fees and
expenses. Due to the nature of the Partnership's business, the Partnership's
trading results depend on the Advisor and the ability of its individual trading
system to take advantage of price movement or other profit opportunities in the
Investment markets. The Advisor trades 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.
Consequently, the results of operations of the Partnership can only be discussed
in the context of the overall trading activities of the Partnership, the
Advisor's trading activities on behalf of the Partnership as a whole and how the
Partnership has performed in the past.
Set forth below is a comparison of the results of operations of the Partnership
for the three-month periods ended March 31, 2000 and 1999.
As of March 31, 2000, the Net Asset Value of the Partnership was $50,317,605, an
increase of approximately 5.42% from its Net Asset Value of $47,732,793 at
December 31, 1999. The Partnership's subscriptions and redemptions for the
quarter ended March 31, 2000 totaled $4,252,538 and $2,083,109 respectively. For
the quarter ended March 31, 2000, the Partnership had revenues comprised of
$1,349,638 in realized gains, $326,209 in change in unrealized gains and
$657,307 in interest income compared to revenues comprised of $818,966 in
realized gains, $351,700 in change in unrealized gains and $353,038 in interest
income for the same period in 1999. The total income for the first quarter of
2000 increased by $809,450 from the same period in 1999, while total expenses
increased by $990,543 between these periods. The Net Asset Value per A Unit
increased 1.40% from $1,609.53 at December 31, 1999 to $1,632.12 at March 31,
2000. The Net Asset Value per B Unit increased 1.48% from $1,534.23 at December
31, 1999 to $1,556.88 at March 31, 2000. Approximately 64% of the Partnership's
net gains during the quarter ended March 31, 2000 were attributable to stock
indices and 28% to currencies.
For the reasons described in this Management's Discussion and Analysis, past
performance is not indicative of future results. As a result, any recent
increases in net realized or unrealized trading gains may have no bearing on any
results that may be obtained in the future.
Liquidity. Although there is no public market for the Units, a Limited Partner
may redeem its Units in the Partnership as of any month-end upon ten days'
written notice to the General Partner in the form of a request for redemption.
With respect to the Partnership's trading, in general, the Advisor will trade
only Investments that have sufficient liquidity to enable it 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 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
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<PAGE> 12
positions. In addition, if there is little or no trading in a particular futures
or forward contract that the Partnership is trading, whether such illiquidity is
caused by any of the above reasons or otherwise, the Partnership 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
Partnership to make or take delivery of the underlying interest of the
Investment.
The Partnership's trading also may be impacted by the various conflicts of
interest between the Partnership and the General Partner, the Advisor, the
Broker, and their affiliates.
Safe Harbor Statement. The discussions above and under the heading "Item 3.
Quantitative and Qualitative Disclosures About Market Risk" contain certain
"forward-looking statements" (as such term is defined in Section 21E of the
Securities Exchange Act of 1934) that are based on the beliefs of the
Partnership, as well as assumptions made by, and information currently available
to, the Partnership. Words such as "expects," "anticipates" and similar
expressions have been used to identify "forward-looking statements" but are not
the exclusive means of identifying such statements. A number of important
factors could cause the Partnership's actual results, performance or
achievements for 2000 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 and under the heading "Item 3. Quantitative and Qualitative Disclosures
About Market Risk."
ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK.
Derivative instruments involve varying degrees of off-balance sheet market risk.
Changes in the level or volatility of interest rates or foreign currency
exchange rates or the market values of the financial instruments or commodities
underlying such derivative instruments frequently result in changes in the
Partnership's unrealized profit (loss) on such derivative instruments as
reflected in the Statements of Financial Condition included herein. The
Partnership's exposure to market risk is influenced by a number of factors,
including the relationships among derivative instruments held by the
Partnership, as well as the volatility and liquidity of the markets in which the
financial instruments are traded. There has been no material change, during the
three months ended March 31, 2000, in the sources of the Partnership's exposure
to market risk.
The General Partner has procedures in place intended to control the
Partnership's exposure to market risk, although there can be no assurance that
it will, in fact, succeed in doing so. These procedures focus primarily on
monitoring the trading of the Advisor calculating the Net Asset Value of the
Advisor's Partnership account as of the close of business on each day and
reviewing outstanding positions for over-concentrations. While the General
Partner will not itself intervene in the markets to hedge or diversify the
Partnership's market exposure, the General Partner may urge the Advisor to
reallocate positions in an attempt to avoid over-concentrations. However, such
interventions would be unusual. Except in cases in which it appears that the
Advisor has begun to deviate from past practice or trading policies or to be
trading erratically, the General Partner's basic risk control procedures consist
of the ongoing process of Advisor monitoring, with the market risk controls
being applied by the Advisor itself.
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<PAGE> 13
PART II - OTHER INFORMATION
ITEM 2. CHANGES IN SECURITIES AND USE OF PROCEEDS.
In June, 1996, the Partnership commenced a private placement of Units in
reliance on the exemptions afforded by, among others, Section 4(2) of the 1933
Act and Rule 506 of Regulation D promulgated thereunder. Units are offered
monthly at a price per Unit equal to the then-current Net Asset Value per Unit
plus a selling commission equal to 5% unless such selling commission is waived
in whole or in part. The minimum subscription is $26,250 for new investors other
than Employee Benefit Plans or $10,500 for Employee Benefit Plans and existing
Limited Partners, which amounts include selling commissions of $1,250 and $500,
respectively.
During the first quarter of 2000, 2,418.7381 Units were sold for a total of
$4,252,538.
ITEM 6. EXHIBITS AND REPORTS ON FORM 8-K.
A. EXHIBITS.
27 Financial Data Schedule.
B. REPORTS ON FORM 8-K. None.
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<PAGE> 14
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.
THE DENNIS FUND LIMITED PARTNERSHIP
By: Kenmar Advisory Corp., general partner
Dated: May 15, 2000 By: /s/ Esther Eckerling Goodman
Esther Eckerling Goodman
Senior Executive Vice President and Chief
Operating Officer (Duly Authorized Officer
of the General Partner)
Dated: May 15, 2000 By: /s/ Thomas J. DiVuolo
Thomas J. DiVuolo
Senior Vice President (Principal Financial
and Accounting Officer of the Registrant)
<PAGE> 15
EXHIBIT INDEX
-------------
EXHIBIT NUMBER DESCRIPTION
- -------------- -----------
EX 27 Financial Data Schedule
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<TABLE> <S> <C>
<ARTICLE> 5
<CIK> 0001022174
<NAME> CLASS A
<MULTIPLIER> 1
<S> <C>
<PERIOD-TYPE> 3-MOS
<FISCAL-YEAR-END> DEC-31-2000
<PERIOD-END> MAR-31-2000
<CASH> 18,899,816
<SECURITIES> 13,050,129
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 51,702,886
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 51,702,886
<CURRENT-LIABILITIES> 1,385,281
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 50,317,605
<TOTAL-LIABILITY-AND-EQUITY> 51,702,886
<SALES> 0
<TOTAL-REVENUES> 2,333,154
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 1,917,771
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 415,383
<INCOME-TAX> 0
<INCOME-CONTINUING> 415,383
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 415,383
<EPS-BASIC> 9.93
<EPS-DILUTED> 9.93
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 5
<CIK> 0001022174
<NAME> CLASS B
<MULTIPLIER> 1
<S> <C>
<PERIOD-TYPE> 3-MOS
<FISCAL-YEAR-END> DEC-31-2000
<PERIOD-END> MAR-31-2000
<CASH> 18,899,816
<SECURITIES> 13,050,129
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 51,702,886
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 51,702,886
<CURRENT-LIABILITIES> 1,385,281
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 50,317,605
<TOTAL-LIABILITY-AND-EQUITY> 51,702,886
<SALES> 0
<TOTAL-REVENUES> 2,333,154
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 1,917,771
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 415,383
<INCOME-TAX> 0
<INCOME-CONTINUING> 415,383
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 415,383
<EPS-BASIC> 26.65
<EPS-DILUTED> 26.65
</TABLE>
