<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: JUNE 30, 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 JUNE 30, 2000
INDEX
PAGE
----
PART 1. FINANCIAL INFORMATION
Item 1. Financial Statements
Statements of Financial Condition as of June 30, 2000 (unaudited)
and December 31, 1999 (audited) 3
Schedule of Securities as of June 30, 2000 (unaudited) 4
Statements of Operations for the Six Months Ended
June 30, 2000 (unaudited) and 1999 (unaudited) 5
Statements of Changes in Partners' Capital (Net Asset Value) for
the Six Months Ended June 30, 2000 (unaudited) and 1999
(unaudited) 6
Notes to Financial Statements (unaudited) 7-10
Item 2. Management's Discussion and Analysis of Financial Condition
and Results of Operations 11-13
Item 3. Quantitative and Qualitative Disclosures About Market Risk 13
PART II OTHER INFORMATION
Item 2. Changes in Securities and Use of Proceeds 14
Item 6. Exhibits and Reports on Form 8-K 14
SIGNATURES 15
-2-
<PAGE> 3
THE DENNIS FUND LIMITED PARTNERSHIP
STATEMENTS OF FINANCIAL CONDITION
June 30, 2000 (Unaudited) and December 31, 1999 (Audited)
<TABLE>
<CAPTION>
June 30, December 31,
2000 1999
----------- -----------
<S> <C> <C>
ASSETS
Equity in broker trading accounts
Cash $12,159,990 $ 4,415,465
Option premiums paid 720,085 0
Unrealized (loss) on open contracts (565,294) 0
----------- -----------
Deposits with broker 12,314,781 4,415,465
Cash and cash equivalents 5,655,706 30,682,976
Fixed income securities (cost, including
accrued interest, - $17,831,980 and $13,774,520) 17,762,019 13,616,310
Subscriptions receivable 11,751 127,813
----------- -----------
Total assets $35,744,257 $48,842,564
=========== ===========
LIABILITIES
Accounts payable $ 20,222 $ 72,870
Commissions and other trading fees
on open contracts 25,150 0
General Partner offering fee 110,565 136,856
Advisor management fee 52,197 71,329
Redemptions payable 1,710,914 828,716
----------- -----------
Total liabilities 1,919,048 1,109,771
----------- -----------
PARTNERS' CAPITAL (NET ASSET VALUE)
General Partner:
A Units - 107.1387 units outstanding at
June 30, 2000 and December 31, 1999 120,804 172,443
B Units - 278.1820 and 217.7298 units outstanding
at June 30, 2000 and December 31, 1999 299,434 334,048
Limited Partners:
A Units - 4,986.2495 and 6,263.5875 units outstanding
at June 30, 2000 and December 31, 1999 5,622,254 10,081,458
B Units - 25,810.8887 and 24,210.7330 units outstanding
at June 30, 2000 and December 31, 1999 27,782,717 37,144,844
----------- -----------
Total partners' capital
(Net Asset Value) 33,825,209 47,732,793
----------- -----------
$35,744,257 $48,842,564
=========== ===========
</TABLE>
See accompanying notes.
-3-
<PAGE> 4
THE DENNIS FUND LIMITED PARTNERSHIP
SCHEDULE OF SECURITIES
June 30, 2000
(Unaudited)
----------------
FIXED INCOME SECURITIES - 52.51% *
<TABLE>
<CAPTION>
Face Value Description Value
---------- ------------ -------------
<S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS - 39.24% *
3,000,000 U.S. Treasury Notes, 5.50%, 8/31/01 $ 3,022,029
500,000 U.S. Treasury Notes, 5.50%, 7/31/01 506,484
1,700,000 U.S. Treasury Notes, 5.75%, 8/15/03 1,709,047
800,000 U.S. Treasury Notes, 6.375%, 1/31/02 820,249
3,000,000 U.S. Treasury Notes, 6.625%, 5/31/02 3,028,504
4,200,000 U.S. Treasury Notes, 5.875%, 11/30/01 4,187,174
-------------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(COST, INCLUDING ACCRUED INTEREST, - $13,306,876) 13,273,487
-------------
FEDERAL AGENCY OBLIGATIONS - 13.27% *
350,000 FHLB Agency Bond, 4.875%, 1/22/02 346,990
94,689 FHLMC Gold 7-Year Balloon, 6.00%, 8/1/00 94,973
800,000 FHLMC Agency Bond, 5.75%, 7/15/03 794,275
1,000,000 FHLMC Agency Bond, 6.25%, 10/15/02 998,464
200,000 FNMA Agency Bond, 6.03%, 10/23/00 201,728
2,000,000 FNMA Agency Bond, 7.00%, 2/15/03 2,052,102
-------------
TOTAL FEDERAL AGENCY OBLIGATIONS
(COST, INCLUDING ACCRUED INTEREST, - $4,525,104) 4,488,532
-------------
TOTAL FIXED INCOME SECURITIES
(COST, INCLUDING ACCRUED INTEREST, - $17,831,980) $17,762,019
=============
</TABLE>
* Percent of June 30, 2000 Net Asset Value is shown for each category.
See accompanying notes.
-4-
<PAGE> 5
THE DENNIS FUND LIMITED PARTNERSHIP
STATEMENTS OF OPERATIONS
For the Three Months Ended June 30, 2000 and 1999 and
For the Six Months Ended June 30, 2000 and 1999
(Unaudited)
-------------
<TABLE>
<CAPTION>
Three Months Six Months
Ended Ended
June 30, June 30,
----------------------------- -------------------------------
2000 1999 2000 1999
------------- ------------- ------------- ------------
<S> <C> <C> <C> <C>
INCOME
Commodity trading gains (losses)
Realized $(13,198,528) $ 10,502,077 $(11,749,190) $ 11,415,368
Change in unrealized (837,473) 411,121 (565,294) 769,975
------------ ------------ ------------ ------------
Gain (loss) from commodity trading (14,036,001) 10,913,198 (12,314,484) 12,185,343
------------ ------------ ------------ ------------
Fixed income securities gains (losses)
Realized 55 (66,466) (99,645) (160,791)
Change in unrealized 34,219 (66,422) 88,249 (73,576)
------------ ------------ ------------ ------------
Gain (loss) from fixed income
securities 34,274 (132,888) (11,396) (234,367)
------------ ------------ ------------ ------------
Interest income 550,813 457,252 1,208,120 810,290
------------ ------------ ------------ ------------
Total income (loss) (13,450,914) 11,237,562 (11,117,760) 12,761,266
------------ ------------ ------------ ------------
EXPENSES
Brokerage commissions 1,475,970 585,976 2,640,654 1,006,187
General Partner offering fee 354,939 346,829 778,714 629,480
Advisor management fee 189,717 226,576 445,400 400,834
Advisor incentive fee 0 2,103,117 0 2,103,117
Operating expenses 62,157 (5,964) 135,786 44,144
------------ ------------ ------------ ------------
Total expenses 2,082,783 3,256,534 4,000,554 4,183,762
------------ ------------ ------------ ------------
NET INCOME (LOSS) $(15,533,697) $ 7,981,028 $(15,118,314) $ 8,577,504
============ ============ ============ ============
A UNITS
NET INCOME (LOSS) PER A UNIT
(based on weighted average number of
A Units outstanding during the period) $ (493.81) $ 357.92 $ (446.62) $ 386.88
============ ============ ============ ============
INCREASE (DECREASE) IN NET
ASSET VALUE PER A UNIT $ (504.57) $ 357.87 $ (481.98) $ 390.15
============ ============ ============ ============
B UNITS
NET INCOME (LOSS) PER B UNIT
(based on weighted average number of
B Units outstanding during the period) $ (483.44) $ 322.74 $ (486.34) $ 383.65
============ ============ ============ ============
INCREASE (DECREASE) IN NET
ASSET VALUE PER B UNIT $ (480.48) $ 324.64 $ (457.83) $ 356.93
============ ============ ============ ============
</TABLE>
See accompanying notes.
-5-
<PAGE> 6
THE DENNIS FUND LIMITED PARTNERSHIP
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
For the Six Months Ended June 30, 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>
Six Months Ended June 30, 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 (loss) for the six months
ended June 30, 2000 (51,639) (2,672,848) (109,614) (12,284,213) (15,118,314)
Additions 0.0000 0 0 4,810.6465 75,000 7,391,150 7,466,150
Redemptions (1,277.3380) 0 (1,786,356) (3,150.0386) 0 (4,469,064) (6,255,420)
------------ -------- ------------- ----------- --------- ------------ ------------
Balances at June 30, 2000 5,093.3882 $120,804 $ 5,622,254 26,089.0707 $ 299,434 $ 27,782,717 $ 33,825,209
============ ======== ============ =========== ========= ============ ============
Six Months Ended June 30, 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 six months
ended June 30, 1999 41,800 2,633,293 55,277 5,847,134 8,577,504
Additions 0.0000 0 0 7,384.4589 49,000 14,191,320 14,240,320
Redemptions (262.9925) 0 (515,882) (492.9697) 0 (947,224) (1,463,106)
------------ -------- ----------- ----------- --------- ------------ ------------
Balances at June 30, 1999 6,767.3370 $237,779 $14,781,350 19,783.2624 $ 336,438 $ 41,558,330 $ 56,913,897
============ ======== =========== =========== ========= ============ ============
<CAPTION>
A Units B Units
------------------------------------------------------- ---------------------------------------------------------
Net Asset Value Per Unit Net Asset Value Per Unit
------------------------------------------------------- ---------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
June 30, December 31, June 30, December 31, June 30, December 31, June 30, December 31,
2000 1999 1999 1998 2000 1999 1999 1998
---- ---- ---- ---- ---- ---- ---- ----
$1,127.55 $1,609.53 $2,219.36 $1,829.21 $1,076.40 $1,534.23 $2,117.69 $1,760.76
========= ========= ========= ========= ========= ========= ========= =========
</TABLE>
See accompanying notes.
-6-
<PAGE> 7
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 U.S. generally accepted accounting principles
applied on a consistent basis, 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.
-7-
<PAGE> 8
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). 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.
-8-
<PAGE> 9
THE DENNIS FUND LIMITED PARTNERSHIP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
-----------
Note 4. DEPOSITS WITH BROKER
--------------------
The Partnership deposits cash with E.D. & 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 $97,923 and
$179,508 during the six months ended June 30, 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.
-9-
<PAGE> 10
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 June 30, 2000, the
statements of operations for the three months and six months ended
June 30, 2000 and 1999, and the statements of changes in partners'
capital (net asset value) for the six months ended June 30, 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 June 30, 2000, and the results of operations for the
three months and six months ended June 30, 2000 and 1999.
-10-
<PAGE> 11
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 E. D. & F. Man International
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 (as defined below).
"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 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.
-11-
<PAGE> 12
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 and six-month periods ended June 30, 2000 and 1999.
As of June 30, 2000 the Net Asset Value of the Partnership was $33,825,209, a
decrease of approximately 32.78% from its Net Asset Value of $50,317,605 at
March 31, 2000. The Partnership's subscriptions and redemptions for the quarter
ended June 30, 2000 totaled $3,213,612 and $4,172,311, respectively. For the
quarter ended June 30, 2000, the Partnership had revenues comprised of
($13,198,473) in realized losses, ($803,254) in change in unrealized losses and
$550,813 in interest income compared to revenues comprised of $10,435,611 in
realized gains, $344,699 in change in unrealized gains and $457,252 in interest
income for the same period in 1999. The total income for the second quarter of
2000 decreased by $24,688,476 from the same period in 1999, while total expenses
decreased by $1,173,751 between these periods. The Net Asset Value per A Unit
decreased 30.92% from $1,632.12 at March 31, 2000 to $1,127.55 at June 30, 2000.
The Net Asset Value per B Unit decreased 30.86% from $1,556.88 at March 31, 2000
to $1,076.40 at June 30, 2000.
The Net Asset Value of the Partnership decreased $13,907,584, or 29.14%, from
December 31, 1999 through June 30, 2000. The Partnership's subscriptions and
redemptions for the six months ended June 30, 2000 totaled $7,466,150 and
$6,255,420, respectively. For the six months ended June 30, 2000, the
Partnership had revenues comprised of ($11,848,835) in realized losses,
($477,045) in change in unrealized losses and $1,208,120 in interest income
compared to revenue comprised of $11,254,577 in realized gains, $696,399 in
change in unrealized gains and $810,290 in interest income for the same period
in 1999. The total income for the six months of 2000 decreased by $23,879,026
from the same period in 1999 while expenses decreased by $183,208 between these
periods. The Net Asset Value per A Unit decreased 29.95% from $1,690.53 at
December 31, 1999 to $1,127.55 at June 30, 2000. The Net Asset Value per B Unit
decreased 29.84% from $1,534.23 at December 31, 1999 to $1,076.40 at June 30,
2000.
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 (10) 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 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, as amended) 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
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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 and six months ended June 30, 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's calculating the Net Asset Value of the
Advisor's 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 monitoring the Advisor, with the market risk
controls being applied by the Advisor itself.
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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 second quarter of 2000, 2,391.9084 Units were sold for a total of
$3,213,612.
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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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 Advisor Corp., general partner
Dated: August 14, 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: August 14, 2000 By: /s/ Thomas J. DiVuolo
------------------------------------------
Thomas J. DiVuolo
Senior Vice President (Principal Financial
and Accounting Officer of the Registrant)
