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SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-K/A
(Mark One)
[X] ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
For the fiscal year ended December 31, 1999
OR
[ ] TRANSITION REPORT PURSUANT TO SECTION 13 or 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
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 incorporation) (IRS Employer 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
Securities registered pursuant to Section 12(b) of the Act: NONE
Securities registered pursuant to Section 12(g) of the Act:
LIMITED PARTNERSHIP INTERESTS
(Title of Class)
Indicate by check mark whether the registrant: (1) filed all reports required to
be filed by Section 13 or 15(d) of the Exchange Act during the past 12 months
(or for such shorter period that the registrant was required to file such
reports), and (2) has been subject to such filing requirements for the past 90
days. Yes [X] No [ ]
Indicate by check mark if disclosure of delinquent filers pursuant to Item 405
of Regulation S-K is not contained herein, and will not be contained, to the
best of registrant's knowledge, in definitive proxy or information statements
incorporated by reference in Part III of this Form 10-K or any amendment to this
Form 10-K. [X]
The registrant has no outstanding voting or non-voting equity.
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EXPLANATORY NOTE
In response to a letter form the SEC, the Company is amending its
Annual Report on Form 10-K (the "Form 10-K") to include supplemental information
regarding its trading activities for the year ended December 31, 1999.
Capitalized terms used but not defined in this amendment shall have the meanings
ascribed to them in the Form 10-K.
ITEM 7. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS
OF OPERATIONS
The discussion below and elsewhere in this Form 10-K contains
"forward-looking" information that are based on the beliefs of the Partnership,
as well as assumptions made by, and information currently available to, the
Partnership. A number of important factors could cause the Partnership's actual
growth, results, performance and business prospects and opportunities in 2000
and beyond to differ materially from those expressed in, or implied by, any such
forward-looking information.
The assets of the Partnership are used to engage, directly or
indirectly, in the speculative trading of Investments. 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 the Broker in a
trading account established by the Partnership for 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 CFTC 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 additional 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 profits or loss generated by the Advisor (including
interest income); (ii) the money invested or redeemed by 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 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.
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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 has incurred and will continue to incur 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 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 following paragraphs present a summary of the
Partnership's operations for the years indicated. It is important to note,
however, that 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.
In 1999, Commodity Trading Advisors and the managed futures industry as
a whole experienced their worst annualized performance since 1994.
Trend-following CTAs, such as Dennis Trading Group (DTG), the trading advisor
for The Dennis Fund Limited Partnership, had a particularly difficult time owing
to a marked lack of trends in all but a few markets.
In general, CTAs analyze the movement of prices in the commodity and
financial futures markets to identify trends and the opportunities for profit
which accompany them. Because a CTA can take long or short positions in the
futures markets, the direction of a trend is less important than the existence
of a trend itself. The Dennis Trading Group or another CTA has the potential to
generate profits when prices are identified as trending downward, by going short
or selling ahead of a price decline, and when prices appear to be trending
upward, by going long or buying ahead of the rise in price. When prices are
moving sideways (i.e., with little movement up or down) or are exhibiting
significant short-term volatility (such as rapid intra-day or inter-day price
swings) trends are few and far between, and CTA profits can be flat or negative.
Some CTAs monitor long-term trends, some intermediate term, a few
short-term. DTG's trading strategy is opportunistic but concentrates largely on
long- and intermediate-term trends. During periods of market volatility, DTG
will either exit the markets or ignore the volatility and maintain position to
capture potential profits over the long-term. As a result, drawdowns, or periods
of negative profits, can be a normal part of the business. The Company believes
that DTG's trading strategy, based in part on markets' trends and
counter-trends, was adversely effected by the lack of trends in the markets.
Also, DTG's trading policy, during 1999, was to increase leverage in its
positions at the end of a profitable day and to decrease leverage at the end of
a losing day. During 1999, there were very few simultaneous profitable days.
This meant that
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in most instances where leverage was increased at the end of a profitable day it
was followed by a losing day thus increasing the loss. Conversely, since there
were very few simultaneous profitable days, on most profitable days DTG had
committed the lowest leverage thus decreasing the profit for that day. The
Company also believes that this had an adverse effect on its 1999 results
compared to 1998.
Set forth below is a summary of the results of operations of the
Partnership for the calendar years 1997 through 1999.
As of December 31, 1999, the Net Asset Value of the Partnership was
$47,732,793, an increase of 34.23% from its Net Asset Value of $35,559,179 at
December 31, 1998. The Partnership's 1999 subscriptions and redemptions totaled
$27,390,118 and $6,809,101, respectively. For the year ended December 31, 1999,
the Partnership had revenue comprised of ($1,459,043) in realized losses,
($1,539,030) in unrealized losses and $1,952,431 in interest income. For that
same period, the Partnership had expenses comprised of $2,676,283 in brokerage
commissions, $877,660 in management fees, $2,103,117 in incentive fees,
$1,461,667 in General Partner offering fees and $243,034 in operating expenses.
This resulted in the Partnership having a net loss of ($8,407,403) for that
period. For the year ended December 31, 1999, the Net Asset Value of Class A
Units decreased (12.01%) from $1,829.21 at December 31, 1998 to $1,609.53 and
the Net Asset Value of Class B Units decreased (12.87%) from $1,760.76 to
$1,534.23. Approximately 58% of the Partnership's net losses during the year
ended December 31, 1999 were attributable to global interest rates, 7% to U.S.
stock indices, 11% to metals, 23% to tropicals, and 1% to meats.
As of December 31, 1998, the Net Asset Value of the Partnership was
$35,559,179, an increase of approximately 162.41% from its Net Asset Value of
$13,550,922 at December 31, 1997. The Partnership's 1998 subscriptions and
redemptions totaled $18,134,670 and $2,510,504, respectively. For the year ended
December 31, 1998, the Partnership had revenue comprised of $10,374,018 in
realized gains, $943,011 in unrealized gains and $1,063,068 in interest income.
For that same period, the Partnership had expenses comprised of $1,400,182 in
brokerage commissions, $482,628 in management fees, $3,229,070 in incentive
fees, $748,537 in General Partner offering fees and $135,589 in operating
expenses. This resulted in the Partnership having a net gain of $6,384,091 for
that period. For the year ended December 31, 1998, the Net Asset Value of Class
A Units increased 42.5% from $1,283.62 to $1,829.21 and the Net Asset Value of
Class B Units increased 40.42% from $1,253.94 to $1,760.76. Approximately 76% of
the Partnership's net gains during 1998 were attributable to global interest
rates, 15% to European and U.S. stock indices, 6% to grains and 3% to meats.
As of December 31, 1997, the Net Asset Value of the Partnership was
$13,550,922, an increase of approximately 107.36% from its Net Asset Value of
$6,535,088 at December 31, 1996. The Partnership's 1997 subscriptions and
redemptions totaled $8,507,205 and $3,278,051, respectively. For the year ended
December 31, 1997, the Partnership had revenue comprised of $3,239,951 in
realized gains, $353,365 in unrealized gains and $463,014 in interest income.
For that same period, the Partnership had expenses comprised of $943,428 in
brokerage commissions, $219,334 in management fees, $702,920 in incentive fees,
$324,867 in General Partner offering fees and $79,101 in operating expenses.
This resulted in the Partnership having a net gain of $1,786,680 for that
period. For the year ended December 31, 1997, the Net Asset Value of Class A
Units increased 18.70% from $1,081.40 at December 31, 1996 to $1,283.62. For the
period April 1997 (inception of the Class B Units) to December 31, 1997, the Net
Asset Value of Class B Units increased 18.75% from $1,055.92 to $1,253.94.
Approximately 81% of the Partnership's
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net gains during 1997 were attributable to European and U.S. interest rates, 18%
to energies and 1% to metals.
For the reasons described in this section, 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.
To enhance the foregoing comparison of results of operations from year
to year, prospective investors can examine the Statements of Financial Condition
and the Statements of Operations for the periods described above.
LIQUIDITY
Although there is no public market for the Units, a Limited Partner may
redeem his 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 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.
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.
ITEM 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
PAST RESULTS NOT NECESSARILY INDICATIVE OF FUTURE PERFORMANCE
The Partnership is a speculative commodity pool. The market sensitive
instruments held by it are acquired for speculative trading purposes, and all or
substantially all of the Partnership's assets are subject to the risk of trading
loss. Unlike an operating company, the risk of market sensitive instruments is
integral, not incidental, to the Partnership's main line of business.
Market movements result in frequent changes in the fair market value of
the Partnership's open positions and, consequently, in its earnings and cash
flow. The Partnership's market risk is influenced by a wide variety of factors,
including the level and volatility of interest rates, exchange rates, equity
price levels, the market value of financial instruments and contracts, the
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diversification effects among the Partnership's open positions and the liquidity
of the markets in which it trades.
The Partnership, under the direction of the Advisor, rapidly acquires
and liquidates both long and short positions in a wide range of different
markets. Consequently, it is not possible to predict how a particular future
market scenario will affect performance, and the Partnership's past performance
is not necessarily indicative of its future results.
"Value at Risk" is a measure of the maximum amount which the
Partnership could reasonably be expected to lose in a given market sector.
However, the inherent uncertainty of the Partnership's speculative trading and
the recurrence in the markets traded by the Partnership of market movements far
exceeding expectations could result in actual trading or non-trading losses far
beyond the indicated Value at Risk or the Partnership's experience to date
(i.e., "risk of ruin"). In light of the foregoing as well as the risks and
uncertainties intrinsic to all future projections, the inclusion of the
quantification included in this section should not be considered to constitute
any assurance or representation that the Partnership's losses in any market
sector will be limited to Value at Risk or by the Partnership's attempts to
manage its market risk.
STANDARD OF MATERIALITY
Materiality as used in this section, "Quantitative and Qualitative
Disclosures About Market Risk", is based on an assessment of reasonably possible
market movements and the potential losses caused by such movements, taking into
account the leverage, optionality and multiplier features of the Partnership's
market-sensitive instruments.
QUANTIFYING THE PARTNERSHIP'S TRADING VALUE AT RISK
QUANTITATIVE FORWARD-LOOKING STATEMENTS
The following quantitative disclosures regarding the Partnership's
market risk exposures contain "forward-looking statements" within the meaning of
the safe harbor from civil liability provided for such statements by the Private
Securities Litigation Reform Act of 1995 (set forth in Section 27A of the 1933
Act and Section 21E of the 1934 Act). All quantitative disclosures in this
section are deemed to be forward-looking statements for purposes of the safe
harbor, except for statements of historical fact (such as the terms of
particular contracts and the number of market risk sensitive instruments held
during or at the end of the reporting period).
The Partnership's risk exposure in the various market sectors traded by
the Advisor is quantified below in terms of Value at Risk. Due to the
Partnership's mark-to-market accounting, any loss in the fair value of the
Partnership's open positions is directly reflected in the Partnership's earnings
(realized or unrealized) and cash flow (at least in the case of exchange-traded
contracts in which profits and losses on open positions are settled daily
through variation margin).
Exchange maintenance margin requirements have been used by the
Partnership as the measure of its Value at Risk. Maintenance margin requirements
are set by exchanges to equal or exceed the maximum losses reasonably expected
to be incurred in the fair value of any given contract in 95%-99% of any one-day
intervals. The maintenance margin levels are established by dealers and
exchanges using historical price studies as well as an assessment of current
market volatility (including the implied volatility of the options on a given
futures contract) and economic fundamentals to provide a probabilistic estimate
of the maximum expected near-term one-day price fluctuation. Maintenance margin
has been used rather than the more generally
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available initial margin, because initial margin includes a credit risk
component which is not relevant to Value at Risk.
In quantifying the Partnership's Value at Risk, 100% positive
correlation in the different positions held in each market risk category has
been assumed. Consequently, the margin requirements applicable to the open
contracts have simply been aggregated to determine each trading category's
aggregate Value at Risk. The diversification effects resulting from the fact
that the Partnership's positions are rarely, if ever, 100% positively correlated
have not been reflected.
THE PARTNERSHIP'S TRADING VALUE AT RISK IN DIFFERENT MARKET SECTORS
The following table indicates the trading Value at Risk associated with
the Partnership's open positions by market category as of November 30, 1999.
Value at Risk as of December 31, 1999 was $0 due to the full liquidation of all
positions in anticipation of the passage of the Year 2000. In order to better
reflect the Fund's typical Value at Risk, the table includes information as of
November 30, 1999. All open position trading risk exposures of the Partnership
have been included in calculating the figures set forth below. As of November
30, 1999, the Partnership's total capitalization was approximately $54.7
million.
NOVEMBER 30, 1999
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MARKET SECTOR VALUE AT RISK % OF TOTAL CAPITALIZATION
--------------- ----------------- -------------------------------
Currencies $ 8.5 million 15.6%
Interest Rates 8.4 million 15.4%
Commodities 1.9 million 3.5%
Stock Indices 2.3 million 4.2%
Metals 0.8 million 1.4%
Energy 1.9 million 3.4%
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Total $23.8 million 43.5%
MATERIAL LIMITATIONS ON VALUE AT RISK AS AN ASSESSMENT OF MARKET RISK
The face value of the market sector instruments held by the Partnership
is typically many times the applicable maintenance margin requirement
(maintenance margin requirements generally ranging between approximately 1% and
10% of contract face value) as well as many times the capitalization of the
Partnership. The magnitude of the Partnership's open positions creates a "risk
of ruin" not typically found in most other investment vehicles. Because of the
size of its positions, certain market conditions-unusual, but historically
recurring from time to time-could cause the Partnership to incur severe losses
over a short period of time. The foregoing Value at Risk table-as well as the
past performance of the Partnership-give no indication of this "risk of ruin".
NON-TRADING RISK
The Partnership has non-trading market risk on its foreign cash
balances not needed for margin. However, these balances (as well as the market
risk they represent) are immaterial.
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As of December 31, 1999, the Partnership held the following fixed
income securities in its portfolio:
FACE VALUE DESCRIPTION VALUE
---------- ----------- -----
U.S. GOVERNMENT OBLIGATIONS
$4,000,000 U.S. Treasury Notes, 5.50%, 8/31/01 $4,027,701
500,000 U.S. Treasury Notes, 5.50%, 7/31/01 506,148
4,300,000 U.S. Treasury Notes, 5.875%, 11/30/01 4,293,535
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Total U.S. Government Obligations
(cost, including accrued interest, - $8,875,495) 8,827,384
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FEDERAL AGENCY OBLIGATIONS
1,000,000 Federal Home Loan Bank, Agency Bond, 989,501
4.875%, 1/22/02
201,723 Federal Home Loan Mortgage Corporation Gold 7-Year
Balloon, 6.00%, 8/1/00 201,713
800,000 Federal Home Loan Mortgage Corporation, Agency Bond, 795,651
5.75%, 7/15/03
100,000 Federal Home Loan Mortgage Corporation, Agency Bond, 99,275
5.75%, 6/15/01
1,000,000 Federal Home Loan Mortgage Corporation, Agency Bond, 1,004,355
6.25%, 10/15/02
200,000 Federal National Mortgage Association, Agency Bond, 201,758
6.03%, 10/23/00
1,460,000 Federal National Mortgage Association, Agency Bond, 1,496,673
---------
6.375%, 1/16/02
Total Federal Agency Obligations
(cost, including accrued interest - $4,899,025) $4,788,926
---------
TOTAL FIXED INCOME SECURITIES
(cost, including accrued interest - $13,774,520) $13,616,310
==========
QUALITATIVE DISCLOSURES REGARDING PRIMARY TRADING RISK EXPOSURES
The following qualitative disclosures regarding the Partnership's
market risk exposures-except for (i) those disclosures that are statements of
historical fact and (ii) the descriptions of how the Partnership manages its
primary market risk exposures-constitute forward-looking statements within the
meaning of Section 27A of the 1933 Act and Section 21E of the 1934 Act. The
Partnership's primary market risk exposures as well as the strategies used and
to be used by the General Partner and the Advisor for managing such exposures
are subject to numerous uncertainties, contingencies and risks, any one of which
could cause the actual results of the Partnership's risk controls to differ
materially from the objectives of such strategies. Government interventions,
defaults and expropriations, illiquid markets, the emergence of dominant
fundamental factors, political upheavals, changes in historical price
relationships, an influx of new market participants, increased regulation and
many other factors could result in material losses as well as in material
changes to the risk exposures and the risk management strategies of the
Partnership. There can be no assurance that the Partnership's current market
exposure and/or risk management strategies will not change materially or that
any such strategies will be effective in either the short- or long-term.
Investors must be prepared to lose all or substantially all of their investment
in the Partnership.
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The following were the primary trading risk exposures of the
Partnership as of November 30, 1999, by market sector.
INTEREST RATES
Interest rate movements directly affect the price of the sovereign bond
positions held by the Partnership and indirectly the value of its stock index
and currency positions. Interest rate movements in one country as well as
relative interest rate movements between countries materially impact the
Partnership's profitability. The Partnership's primary interest rate exposure is
to interest rate fluctuations in the United States and the other G-7 countries.
However, the Partnership also takes positions in the government debt of smaller
nations-e.g., New Zealand and Australia. Kenmar anticipates that G-7 interest
rates will remain a significant market exposure of the Partnership for the
foreseeable future.
CURRENCIES
The Partnership's currency exposure is to exchange rate fluctuations,
primarily fluctuations which disrupt the historical pricing relationships
between different currencies and currency pairs. These fluctuations are
influenced by interest rate changes as well as political and general economic
conditions. The Partnership trades in a large number of currencies, including
the Euro and Japanese Yen.
STOCK INDICES
The Partnership's primary equity exposure is in the S & P 500. The
stock index futures traded by the Partnership are by law limited to futures on
broadly based indices. Kenmar anticipates little, if any trading in non-G-7
stock indices. The Partnership is primarily exposed to the risk of adverse price
trends or static markets in the major United States, European and Japanese
indices.
METALS
The Partnership's primary metals market exposure is to fluctuations in
the prices of silver and copper. Kenmar anticipates that gold, silver and copper
will remain the primary metals market exposure for the Partnership.
COMMODITIES
The Partnership's primary commodities exposure is to agricultural price
movements which are often directly affected by severe or unexpected weather
conditions. Corn, soybean oil and wheat accounted for a substantial bulk of the
Partnership's commodities exposure as of November 30, 1999.
Kenmar anticipates that the Advisor will maintain an emphasis on grains
and tropicals, in which the Partnership has historically taken its largest
positions.
ENERGY
The Partnership's primary energy market exposure is to natural gas
price movements, often resulting from political developments in the Middle East.
Kenmar anticipates that the Advisor will maintain an emphasis on natural gas and
heating oil.
QUALITATIVE DISCLOSURES REGARDING NON-TRADING RISK EXPOSURE
The following were the only non-trading risk exposures of the
Partnership as of November 30, 1999.
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FOREIGN CURRENCY BALANCES
The Partnership's primary foreign currency balances are in Japanese
yen, German marks, British pounds and French francs. The Partnership controls
the non-trading risk of these balances by regularly converting these balances
back into dollars.
SECURITIES POSITIONS
The Partnership's only market exposure in instruments held other than
for trading is in its securities portfolio. The Partnership holds only cash or
interest-bearing money market accounts, short-term Treasury bills and agency
securities with durations generally less than 3 years. Violent fluctuations in
prevailing interest rates could cause interim mark-to-market losses on the
Partnership's securities, although substantially all of these short-term
instruments are held to maturity.
QUALITATIVE DISCLOSURES REGARDING MEANS OF MANAGING RISK EXPOSURE
The means by which the Partnership and the Advisor attempt to manage
the risk of the Partnership's open positions is essentially the same in all
market categories traded. The Advisor applies its own risk management policies
to its trading. These policies generally limit the total exposure that may be
taken per "risk unit" of assets under management. In addition, the Advisor
follows diversification guidelines (often formulated in terms of the maximum
margin which they will commit to positions in any one contract or group of
related contracts), as well as imposing "stop-loss" points at which open
positions must be closed out. Occasionally, the Advisor will limit the market
exposure of its Partnership account through acquiring put or call options which
"collar" the risk of open positions. However, because of the typically high
degree of liquidity in the markets traded by the Partnership and the expense of
acquiring options, the Advisor mostly relies on stop-loss policies, requiring
the liquidation of positions once losses of a certain magnitude have been
incurred.
The General Partner controls the risk of the Partnership's non-trading
instruments (interest-bearing securities held for cash management purposes)-the
only Partnership investments, as opposed to Advisor selections, directed by the
General Partner-generally limiting the duration of such instruments to no more
than 3 years.
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SIGNATURES
Pursuant to the requirements of Section 13 or 15(d) of this Securities
Exchange Act of 1934, the Registrant has duly caused this report to be signed on
its behalf of the undersigned, thereunto duly authorized, on the 10th day of
October, 2000.
THE DENNIS FUND LIMITED PARTNERSHIP
By: Kenmar Advisory Corp., general partner
By: /s/ Kenneth A. Shewer
--------------------------------------------------
Kenneth A. Shewer
Chairman
Pursuant to the requirements of the Securities Exchange Act of 1934,
this Report has been signed below by the following persons on behalf of the
registrant and in the capacities indicated on the 10th day of October, 2000.
THE DENNIS FUND LIMITED PARTNERSHIP
By: Kenmar Advisory Corp., general partner
By: /s/ Kenneth A. Shewer
--------------------------------------------------
Kenneth A. Shewer
Chairman and Director
(Principal Executive Officer)
By: /s/ Marc S. Goodman
--------------------------------------------------
Marc S. Goodman
President and Director
By: /s/ Thomas J. DiVuolo
--------------------------------------------------
Thomas J. DiVuolo
Senior Vice President
(Principal Financial and Accounting
Officer for the Fund)
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