<PAGE>
MORGAN STANLEY DEAN WITTER SPECTRUM SERIES
(THIS IS ONE OF TWO PROSPECTUS SUPPLEMENTS FOR THE PARTNERSHIPS IN THE SPECTRUM
SERIES)
MORGAN STANLEY DEAN WITTER SPECTRUM CURRENCY L.P.
MORGAN STANLEY DEAN WITTER SPECTRUM COMMODITY L.P.
------------------------
SUPPLEMENT
TO PROSPECTUS
DATED MARCH 6, 2000
YOU SHOULD READ THIS SUPPLEMENT TOGETHER WITH THE PROSPECTUS DATED MARCH 6,
2000. ALL PAGE AND SECTION REFERENCES IN THIS SUPPLEMENT RELATE TO THE
PROSPECTUS, EXCEPT REFERENCES TO PAGES PRECEDED BY "S-," WHICH RELATE TO THIS
SUPPLEMENT.
------------------------
MORGAN STANLEY DEAN WITTER
DEAN WITTER REYNOLDS INC.
THE DATE OF THIS SUPPLEMENT IS JUNE 22 , 2000.
<PAGE>
TABLE OF CONTENTS
PAGE
<TABLE>
<S> <C>
Commodity Broker Change.................................................... S-1
The Offering of Units...................................................... S-1
Summary.................................................................... S-2
Risk Factors............................................................... S-3
Conflicts of Interest...................................................... S-3
Description of Charges..................................................... S-3
The Spectrum Series........................................................ S-3
Selected Financial Data.................................................... S-7
Management's Discussion and Analysis of Financial Condition and Results of
Operations............................................................... S-7
Quantitative and Qualitative Disclosures About Market Risk................. S-9
The General Partner........................................................ S-10
The Trading Advisors....................................................... S-12
The Commodity Brokers...................................................... S-19
Financial Statements....................................................... S-21
</TABLE>
<PAGE>
COMMODITY BROKER CHANGE
Commencing in June 2000, the general partner will transfer the futures and
options clearing for Spectrum Currency from Carr Futures Inc. to Morgan Stanley
& Co. Incorporated, an affiliate of the general partner. In addition, Morgan
Stanley & Co. Incorporated, rather than Carr Futures, will act as the
counterparty on all of the foreign currency forward trades for Spectrum
Currency. Dean Witter will continue to act as the non-clearing commodity broker
for the Spectrum Series partnerships.
THE FOLLOWING REVISIONS TO THE "SUMMARY," "RISK FACTORS," "CONFLICTS OF
INTEREST," "DESCRIPTION OF CHARGES," AND "THE COMMODITY BROKERS" SECTIONS OF THE
PROSPECTUS RELATE TO THE COMMODITY BROKER CHANGE DESCRIBED ABOVE.
THE OFFERING OF UNITS
As of the date of this supplement, the initial closing for Spectrum
Currency has not been held and, accordingly, it has not commenced trading
operations. It is presently anticipated that the initial closing will be held on
June 30, 2000, with trading to commence immediately thereafter.
S-1
<PAGE>
SUMMARY
THE FOLLOWING UPDATES AND REPLACES THE INFORMATION UNDER "ORGANIZATIONAL
CHART" ON PAGE 5.
ORGANIZATIONAL CHART
Following is an organizational chart, which shows the relationships among
the various parties involved with this offering. With the exception of the
trading advisors for Spectrum Currency, all parties are affiliates of Morgan
Stanley Dean Witter & Co.
<TABLE>
<S> <C> <C> <C> <C>
wholly-owned Morgan Stanley Dean
Witter & Co.
wholly-owned wholly-owned
general 25 other
Dean Witter Demeter partnership commodity
GENERAL PARTNER interest pools*
Selling Agreement
SELLING AGENT AND
NON-CLEARING COMMODITY
BROKER
general partnership
Customer Agreement interest Management Agreements
Spectrum Currency
Spectrum Commodity
Customer Agreement
Customer Agreement Management Agreements
F/X Agreement
Trading Advisors
Morgan Stanley
and
Morgan Stanley International**
CLEARING COMMODITY
BROKERS
</TABLE>
------------------
*Demeter presently serves as general partner for 25 other commodity pools.
Dean Witter acts as the non-clearing commodity broker for all of the pools.
Morgan Stanley acts as clearing commodity broker for all but one of the pools,
and Morgan Stanley International serves as the clearing commodity broker for
trades of such pools that take place on the London Metal Exchange. Dean Witter
also serves as selling agent for all of the pools managed by Demeter. All of the
pools, including the partnerships, are managed and traded independently of one
another.
**Morgan Stanley International serves as clearing commodity broker to
Spectrum Commodity, but not Spectrum Currency, which does not trade on the
London Metal Exchange.
S-2
<PAGE>
RISK FACTORS
THE RISK FACTOR "TRADING AND PERFORMANCE RISKS -- THE UNREGULATED NATURE OF
THE FORWARDS MARKETS CREATES COUNTERPARTY RISKS THAT DO NOT EXIST IN FUTURES
TRADING ON EXCHANGES," ON PAGES 10-11 OF THE PROSPECTUS, SHOULD NOW BE READ AS
APPLYING TO MORGAN STANLEY, RATHER THAN CARR FUTURES.
CONFLICTS OF INTEREST
THE FOLLOWING CONFLICT IS ADDED TO "CONFLICTS OF INTEREST" ON PAGES 13-15.
THE GENERAL PARTNER HAS A DISINCENTIVE TO REPLACE THE COMMODITY BROKERS.
The general partner has a disincentive to replace Dean Witter, Morgan Stanley,
and Morgan Stanley International because they are affiliates of the general
partner and receive compensation for serving as the partnerships' commodity
brokers. In connection with this conflict of interest, you should understand
that Dean Witter receives a monthly flat-rate brokerage fee from each
partnership for serving as the partnership's non-clearing commodity broker. From
its brokerage fee, Dean Witter pays or reimburses each partnership for the
transaction fees and costs charged by Morgan Stanley and reimburses Spectrum
Commodity for the transaction fees and costs charged by Morgan Stanley
International for acting as the partnership's clearing commodity brokers. Also,
Morgan Stanley, as the counterparty on Spectrum Currency's foreign currency
forward trades, will attempt to earn a mark-up, spread, or other profit on each
foreign currency forward contract trade which is separate from the flat-rate
brokerage fees paid by the partnership to Dean Witter.
The general partner reviews the brokerage arrangements, including foreign
currency forward contracts, annually to ensure that they are fair, reasonable
and competitive, and that they represent the best price and services available,
taking into consideration the size and trading activity of each partnership and
the services provided, and the costs, expenses, and risk borne, by Dean Witter
and the general partner.
DESCRIPTION OF CHARGES
THE FOLLOWING REPLACES THE SECOND PARAGRAPH ON PAGE 19.
COMMODITY BROKERS
From the flat-rate brokerage fees received from the partnerships, Dean
Witter will pay or reimburse the partnerships for all fees and costs of Morgan
Stanley and Morgan Stanley International in executing trades on behalf of the
partnerships, including floor brokerage fees, exchange fees, clearinghouse fees,
National Futures Association fees, "give up" fees, any taxes (other than income
taxes), any third party clearing costs incurred by Morgan Stanley and Morgan
Stanley International, and costs associated with taking delivery on futures
contracts. Morgan Stanley will act as principal for its own account on Spectrum
Currency's foreign currency forward contract trades and it will attempt to earn
a profit on each foreign currency forward contract trade that is not paid or
reimbursed by Dean Witter.
THE SPECTRUM SERIES
THE FOLLOWING UPDATES AND REPLACES THE FOURTH PARAGRAPH UNDER "THE SPECTRUM
SERIES -- GENERAL" ON PAGE 22.
Following is a summary of information relating to the sale of units of
Spectrum Commodity through March 31, 2000:
<TABLE>
<CAPTION>
NUMBER
LIMITED GENERAL OF
UNITS UNITS AVAILABLE PARTNER PARTNER LIMITED
SOLD FOR SALE CONTRIBUTIONS CONTRIBUTIONS PARTNERS
-------------- --------------- -------------- ------------- --------
<S> <C> <C> <C> <C> <C>
$ $
Spectrum Commodity....... 4,206,683.176 6,988,810.456 41,320,823 430,000 2,618
</TABLE>
S-3
<PAGE>
THE FOLLOWING UPDATES AND REPLACES THE PERFORMANCE INFORMATION UNDER "THE
SPECTRUM SERIES -- PERFORMANCE RECORDS" ON PAGES 24-26.
PERFORMANCE RECORDS
A summary of performance information for Spectrum Commodity from its
commencement of trading through March 31, 2000 is set forth in Capsule I below.
All performance information has been calculated on an accrual basis in
accordance with generally accepted accounting principles. You should read the
footnotes on page 26, which are an integral part of the following capsules.
Since Spectrum Currency has not commenced trading operations as of the date
of this supplement, no performance information is available for that
partnership. Instead, Capsule II below provides the actual annual and
year-to-date performance information for Dean Witter Cornerstone IV, which is
another currency-only fund operated by the general partner and traded by JWH and
Sunrise, the same trading advisors that will trade for Spectrum Currency. JWH
and Sunrise will trade for Spectrum Currency using the same trading strategies
that they employ for Cornerstone IV.
You are cautioned that the information set forth in each capsule is not
indicative of, and has no bearing on, any trading results that may be attained
by any partnership in the future. Past results are not a guarantee of future
results. We cannot assure you that a partnership will be profitable or will
avoid incurring substantial losses. You should also note that interest income
may constitute a significant portion of a partnership's total income and may
generate profits where there have been realized or unrealized losses from
futures, forwards, or options trading.
CAPSULE I
PERFORMANCE OF SPECTRUM COMMODITY
Type of pool: publicly-offered fund
Inception of trading: January 2, 1998
Aggregate subscriptions: $41,750,823
Current capitalization: $22,591,461
Current net asset value per unit: $7.65
Worst monthly % drawdown: (9.09)% (November 1998)
Worst month-end peak-to-valley drawdown: (38.60)% (13 Months, February
1998-February 1999)
Cumulative return since inception: (23.50)%
<TABLE>
<CAPTION>
MONTHLY PERFORMANCE
----------------------------------------
MONTH 2000 1999 1998
----------------------------------------- ---------- ------ ------
<S> <C> <C> <C>
% % %
January.................................. 3.02 (1.52) 1.30
February................................. (3.19) (3.86) (5.92)
March.................................... 0.79 8.68 0.10
April.................................... 2.37 (2.41)
May...................................... (5.92) (6.87)
June..................................... 4.45 (3.23)
July..................................... 0.44 (6.44)
August................................... 6.15 (7.90)
September................................ 4.55 7.19
October.................................. (2.77) (3.48)
November................................. 0.54 (9.09)
December................................. 2.70 (3.38)
Compound Annual/Period
Rate of Return....................... 0.53 15.83 (34.30)
<CAPTION>
(3 months)
</TABLE>
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
S-4
<PAGE>
CAPSULE II
PERFORMANCE OF CORNERSTONE IV
Type of pool: publicly-offered fund
Inception of trading: May 1987
Aggregate subscriptions: $168,108,613
Current capitalization: $96,056,596
Current net asset value per unit: $4,648.19
Worst monthly % drawdown past five years: (7.65)% (January 1995)
Worst monthly % drawdown since inception: (21.04)% (September 1989)
Worst month-end peak-to-valley past five years: (37.85)% (18 months, August
1993-January 1995)
Worst month-end peak-to-valley since inception: (45.21)% (3 months, July
1989-September 1989)
Cumulative return since inception: 376.74%
<TABLE>
<CAPTION>
MONTHLY PERFORMANCE
---------------------------------------------------------------------------------------------------------
MONTH 2000 1999 1998 1997 1996 1995 1994 1993 1992 1991
------------------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
% % % % % % % % % %
January........... 1.52 (2.37) (1.58) 5.34 3.19 (7.65) (1.12) (5.29) (9.64) (10.12)
February.......... (1.70) 0.84 (3.16) 6.55 (5.78) 6.27 (2.75) 12.92 (7.40) (6.91)
March............. (0.55) 2.23 2.51 1.45 2.80 27.02 0.29 (2.55) 1.60 26.00
April............. 1.19 (3.44) 1.23 2.97 2.39 (3.19) 0.03 (6.40) 1.83
May............... (1.37) 4.89 (5.54) 1.19 (4.83) (3.65) 3.95 2.71 1.24
June.............. (0.67) 11.31 1.36 (0.23) (0.62) 6.72 0.92 15.10 9.45
July.............. (5.28) 0.37 8.45 (3.51) (1.06) (4.21) 5.87 7.47 (9.47)
August............ 1.27 0.78 2.68 (2.69) 5.49 (3.57) (5.57) 17.26 (8.50)
September......... 2.39 (3.11) 0.45 0.32 (0.06) 1.66 (2.10) (4.21) 6.69
October........... (3.77) 4.86 3.12 8.80 0.74 4.93 (7.48) (0.99) (5.29)
November.......... 5.29 (4.24) 4.15 4.25 (2.57) (6.82) (7.50) 0.60 5.26
December.......... (0.42) (1.49) 4.38 1.76 (0.52) (2.73) (0.78) (2.40) 27.40
Compound Annual/
Period Rate of
Return........... (0.75) (1.13) 6.80 38.41 12.97 22.96 (14.27) (9.12) 10.37 33.52
(3 months)
<CAPTION>
MONTH 1990 1989 1988 1987
------------------ ------ ------ ------ ------
<S> <C> <C> <C> <C>
% % % %
January........... 3.15 15.72 (18.14)
February.......... 1.37 (14.64) 0.93
March............. 6.09 3.44 5.06
April............. 3.01 1.84 3.41
May............... (8.53) 12.56 25.38 (9.60)
June.............. 12.26 0.01 12.95 (0.75)
July.............. 23.25 (14.85) 6.93 (2.23)
August............ 8.65 (18.51) 3.96 (12.61)
September......... (3.02) (21.04) (4.46) 0.00
October........... 11.07 4.47 1.56 13.82
November.......... (1.11) 11.40 8.77 11.80
December.......... (5.74) 14.97 (7.80) 13.39
Compound Annual/
Period Rate of
Return........... 57.77 (14.12) 37.51 10.61
(8 months)
</TABLE>
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
S-5
<PAGE>
Capsule II-A below is a pro forma of Capsule II, adjusted to reflect the
actual brokerage, management, and incentive fees to be paid by Spectrum
Currency, rather than those which were paid by Cornerstone IV. The footnotes
following Capsule II-A are an integral part of Capsule II-A.
You are cautioned that the performance information set forth in the
following capsule performance summary is not indicative of, and has no bearing
on, the performance results that may be attained by Spectrum Currency in the
future. Past results are not a guarantee of future results. We cannot assure you
that Spectrum Currency will be profitable or will avoid incurring substantial
losses. You should also note that interest income may constitute a significant
portion of Spectrum Currency's total income and may generate profits where there
have been realized or unrealized losses from futures, forwards, and options
trading.
CAPSULE II-A
PRO FORMA PERFORMANCE OF CORNERSTONE IV
Worst monthly % drawdown: (20.32)% (January 1988)
Worst month-end peak-to-valley drawdown: (43.60)% (3 months, July 1989-September
1989)
Cumulative return since inception: 384.65%
<TABLE>
<CAPTION>
MONTHLY PERFORMANCE
---------------------------------------------------------------------------------------------------------
MONTH 2000 1999 1998 1997 1996 1995 1994 1993 1992 1991
------------------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
% % % % % % % % % %
January........... 1.59 (3.02) (1.85) 5.33 3.18 (7.45) (1.16) (6.08) (11.25) (10.94)
February.......... (1.89) 0.73 (4.07) 6.33 (5.81) 6.33 (2.63) 14.75 (8.58) (6.68)
March............. (0.49) 2.55 2.76 1.15 2.70 27.16 0.46 (2.73) 2.06 28.71
April............. 1.18 (4.25) 0.89 3.08 2.12 (3.23) 0.28 (6.42) 1.80
May............... (1.83) 5.30 (5.58) 1.13 (4.99) (3.71) 4.47 3.14 1.30
June.............. (0.59) 11.66 1.35 (0.17) (0.83) 6.99 1.27 17.70 10.08
July.............. (5.30) 0.03 8.35 (3.53) (1.26) (4.25) 6.19 8.05 (10.89)
August............ 1.14 0.53 2.03 (2.73) 5.43 (3.54) (6.67) 17.37 (8.29)
September......... 2.47 (3.85) 0.18 0.52 (0.19) 1.72 (1.99) (4.68) 7.05
October........... (3.90) 5.45 2.57 8.89 0.49 4.93 (7.26) (1.32) (5.01)
November.......... 5.10 (5.30) 3.98 4.17 (2.79) (6.73) (7.19) 0.55 5.39
December.......... (0.24) (1.98) 4.25 1.81 (0.71) (2.71) (0.57) (2.70) 28.91
Compound Annual/
Period Rate of
Return........... (0.82) (2.18) 3.09 34.68 13.14 21.34 (13.78) (7.54) 9.78 37.10
(3 months)
<CAPTION>
MONTH 1990 1989 1988 1987
------------------ ------ ------ ------ ------
<S> <C> <C> <C> <C>
% % % %
January........... 3.64 17.65 (20.32)
February.......... 1.36 (17.29) 1.00
March............. 6.08 4.14 5.83
April............. 3.05 1.94 3.80
May............... (7.89) 14.32 27.74 (10.64)
June.............. 13.16 0.18 13.33 (0.31)
July.............. 22.06 (14.37) 6.91 (2.05)
August............ 9.71 (17.75) 3.94 (12.21)
September......... (3.22) (19.92) (5.26) (0.22)
October........... 11.73 4.92 1.99 13.83
November.......... (1.33) 11.66 9.55 11.17
December.......... (6.51) 15.74 (9.00) 13.95
Compound Annual/
Period Rate of
Return........... 59.88 (9.52) 36.99 10.22
(8 months)
</TABLE>
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
S-6
<PAGE>
SELECTED FINANCIAL DATA
THE FOLLOWING UPDATES AND REPLACES "SELECTED FINANCIAL DATA" ON PAGE 28.
The following are the results of operations for Spectrum Commodity for the
periods indicated. Since Spectrum Currency has net yet commenced trading
operations, comparable financial information is not available.
SPECTRUM COMMODITY
(FORMERLY, MORGAN STANLEY TANGIBLE ASSET FUND L.P.)
<TABLE>
<CAPTION>
FOR THE PERIOD FROM
FOR THE JANUARY 2, 1998
FOR THE FOR THE YEAR ENDED (COMMENCEMENT OF
QUARTER ENDED QUARTER ENDED DECEMBER 31, OPERATIONS) TO
MARCH 31, 2000 MARCH 31, 1999 1999 DECEMBER 31, 1998
-------------- -------------- ------------ --------------------
<S> <C> <C> <C> <C>
$ $
REVENUES (UNAUDITED) (UNAUDITED) $ $
Trading Profit (loss):
Realized................... 1,395,164 34,855 3,003,270 (11,870,063)
Net change in unrealized... (1,098,518) 796,011 1,178,071 (635,643)
---------- ---------- ---------- ------------
Total Trading Results.... 296,646 830,866 4,181,341 (12,505,706)
Interest income (Morgan
Stanley)................... 256,714 208,595 864,383 1,265,793
---------- ---------- ---------- ------------
Total Revenues........... 553,360 1,039,461 5,045,724 (11,239,913)
---------- ---------- ---------- ------------
EXPENSES
Brokerage fees (Morgan Stanley
and Morgan Stanley
International)............. 213,906 215,094 852,484 1,176,024
Management fees (MSDWCM)...... 146,511 147,325 583,893 805,496
Service fee (Demeter)......... 58,604 58,930 233,558 322,198
---------- ---------- ---------- ------------
Total Expenses........... 419,021 421,349 1,669,935 2,303,718
---------- ---------- ---------- ------------
NET INCOME (LOSS)............... 134,339 618,112 3,375,789 (13,543,631)
---------- ---------- ---------- ------------
---------- ---------- ---------- ------------
NET INCOME (LOSS) ALLOCATION:
Limited partners................ 132,513 609,955 3,330,798 (13,398,948)
General partner................. 1,826 8,157 44,991 (144,683)
NET INCOME (LOSS) PER UNIT
Limited partners................ .04 .19 1.04 (3.43)
General partner................. .04 .19 1.04 (3.43)
TOTAL ASSETS AT END OF PERIOD... 23,095,446 24,175,620 24,048,757 25,962,970
TOTAL NET ASSETS AT END OF
PERIOD........................ 22,591,461 23,657,651 23,640,470 24,908,316
NET ASSET VALUE PER UNIT AT END
OF PERIOD.....................
Limited partners................ 7.65 6.76 7.61 6.57
General partner................. 7.65 6.76 7.61 6.57
</TABLE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS
THE FOLLOWING UPDATES, FOR THE THREE MONTHS ENDED MARCH 31, 2000 AND 1999,
AND SUPPLEMENTS THE INFORMATION FOR SPECTRUM COMMODITY UNDER THE CAPTION
"RESULTS OF OPERATIONS" ON PAGES 31-32. SINCE SPECTRUM CURRENCY HAS NOT YET
COMMENCED TRADING OPERATIONS, COMPARABLE FINANCIAL INFORMATION IS NOT AVAILABLE.
S-7
<PAGE>
For the Quarter Ended March 31, 2000. For the quarter ended March 31, 2000,
Spectrum Commodity posted an increase in net asset value per unit. The most
significant gains of approximately 4.3% were recorded primarily during January
and February in the energy markets from long futures positions in crude oil and
its refined products as oil prices increased on concerns about future output
levels from the world's leading producer countries amid dwindling stockpiles and
increasing demand. In the agricultural markets, gains of approximately 2.1% were
recorded earlier in January from long positions in corn and soybean futures, as
prices moved higher on increasing concerns for dryness in Brazil, subsequent
crop damage and a surprise cut in year-end stocks. During March, gains were
recorded from long futures positions in corn, soybeans and soybean related
products, as prices in these markets increased amid fears of a drought this
summer. These gains were partially offset by losses of approximately 2.8%
recorded in the metals markets from long aluminum and copper futures positions,
as prices reversed lower earlier in February due primarily to technically based
selling. Aluminum and copper prices dipped further later in February led
downward by falling prices of other base metals. Losses were recorded during
March from long gold futures positions, as gold prices fell on fears that the
French central bank could decide to sell some of its reserves. In soft
commodities, losses of approximately 2.3% were recorded primarily during January
and February from long coffee futures positions, as coffee prices declined in
the wake of forecasts for a bumper crop in Brazil. Long positions in sugar
futures also incurred losses during January and February as prices dropped amid
sustained fears of a global supply surplus.
For the quarter ended March 31, 2000, Spectrum Commodity's total trading
revenues, including interest income, were $553,360. Total expenses for the
quarter ended March 31, 2000 were $419,021, resulting in net income of $134,339.
The value of a unit increased from $7.61 at December 31, 1999 to $7.65 at March
31, 2000.
For the Quarter Ended March 31, 1999. For the quarter ended March 31, 1999,
Spectrum Commodity posted an increase in net asset value per unit. Spectrum
Commodity's long-only trading approach recorded its most significant gains of
approximately 6.5% in the energy markets primarily during March from long
futures positions in crude oil and its refined products, heating oil and
unleaded gasoline, as oil prices moved considerably higher. The substantial
recovery in oil prices during March was largely attributed to the news that both
OPEC and non-OPEC countries had reached an agreement to cut total output by
approximately two million barrels a day beginning April 1, 1999. Additional
gains of approximately 0.5% were recorded in the livestock markets throughout
the quarter from long positions in feeder and live cattle futures, as prices
moved higher on plans for government aid programs to help struggling farmers. A
portion of Spectrum Commodity's overall gains for the quarter was offset by
losses of approximately 2.0% experienced in soft commodities largely from long
positions in cocoa, sugar, and coffee futures, as prices in these markets
declined significantly throughout the quarter amid fears that economic turmoil
in Brazil would lead them to flood the market with increased exports. Additional
losses were recorded from long positions in orange juice futures during
February, as prices plummeted to a 13-month low in response to a USDA report
that unexpectedly raised Florida and U.S. crop estimates. In the metals markets,
losses of approximately 1.0% were recorded mainly from long copper futures
positions during January, as prices declined on reports of a large rise in
copper warehouse stocks. Smaller losses of approximately 0.7% were experienced
in the agricultural markets during January and February primarily from long
positions in soybean and soybean oil futures, as prices in these markets moved
lower due to beneficial growing weather in South America and speculation that
Brazil would increase exports to aid its ailing economy.
For the quarter ended March 31, 1999, Spectrum Commodity's total trading
revenues, including interest income, were $1,039,461. Total expenses for the
quarter ended March 31, 1999 were $421,349, resulting in net income of $618,112.
The value of a Unit increased from $6.57 at December 31, 1998 to $6.76 at March
31, 1999.
S-8
<PAGE>
QUANTITATIVE AND QUALITATIVE DISCLOSURES
ABOUT MARKET RISK
THE FOLLOWING UPDATES AND SUPPLEMENTS THE INFORMATION FOR SPECTRUM
COMMODITY UNDER THE CAPTION "SPECTRUM COMMODITY'S VALUE AT RISK IN DIFFERENT
MARKET SECTORS" ON PAGE 33. SINCE SPECTRUM CURRENCY HAS NET YET COMMENCED
TRADING OPERATIONS, COMPARABLE INFORMATION IS NOT AVAILABLE.
SPECTRUM COMMODITY'S VALUE AT RISK IN DIFFERENT MARKET SECTORS
The following table indicates the VaR associated with Spectrum Commodity's
open positions, as a percentage of total net assets, by primary market risk
category as of March 31, 2000 and 1999.
SPECTRUM COMMODITY:
As of March 31, 2000 and 1999, Spectrum Commodity's total capitalization
was approximately $23 million and $24 million, respectively.
<TABLE>
<CAPTION>
VAR
MARCH 31,
--------------------
MARKET CATEGORY 2000 1999
---------------------------------------------- -------- --------
<S> <C> <C>
% %
Commodity..................................... (2.10) (1.78)
Aggregate Value at Risk....................... (2.10) (1.78)
</TABLE>
Aggregate Value at Risk, listed above, represents the aggregate VaR of all
open positions and not the sum of the VaR of the individual market categories.
Aggregate VaR will be lower as it takes into account correlation among the
different positions and categories.
The table above represents the VaR of Spectrum Commodity's open positions
at March 31, 2000 and 1999 only and is not necessarily representative of either
the historic or future risk of an investment in that partnership. Because the
only business of the partnership is the speculative trading of futures and
forwards, the composition of the partnership's trading portfolio can change
significantly over any given time period, or even within a single trading day.
Any changes in open positions could positively or negatively materially impact
market risk as measured by VaR.
The table below supplements the March 31, 2000 VaR (set forth above) by
presenting Spectrum Commodity's high, low and average VaR, as a percentage of
total net assets, for the four quarterly reporting periods from April 1, 1999
through March 31, 2000.
SPECTRUM COMMODITY
<TABLE>
<CAPTION>
MARKET CATEGORY HIGH LOW AVERAGE
----------------------------------- ----- ----- -------
<S> <C> <C> <C>
% % %
Commodity.......................... (2.10) (1.78) (1.95)
Aggregate Value at Risk............ (2.10) (1.78) (1.95)
</TABLE>
THE FOLLOWING UPDATES AND SUPPLEMENTS THE INFORMATION FOR SPECTRUM
COMMODITY UNDER THE CAPTION "QUALITATIVE DISCLOSURES REGARDING PRIMARY TRADING
RISK EXPOSURES" ON PAGES 34-35. SINCE SPECTRUM CURRENCY HAS NOT YET COMMENCED
TRADING OPERATIONS, COMPARABLE INFORMATION IS NOT AVAILABLE.
QUALITATIVE DISCLOSURES REGARDING PRIMARY TRADING RISK EXPOSURES
SPECTRUM COMMODITY
The following were the primary trading risk exposures of Spectrum Commodity
as of March 31, 2000, by market sector. It may be anticipated however, that
these market exposures will vary materially over time.
S-9
<PAGE>
Commodity
Metals. Spectrum Commodity's primary metals market exposure is to
fluctuations in the price of gold and silver. Spectrum Commodity will from time
to time trade base metals such as copper, nickel, aluminum and zinc however, the
principal market exposures of Spectrum Commodity have consistently been in
precious metals, gold and silver, and, to a much lesser extent, platinum.
Exposure was evident in the gold market as gold prices were volatile during the
quarter. Silver prices have remained volatile over this period, and the trading
advisor has, from time to time, taken positions as market opportunities develop.
The general partner anticipates that gold and silver will remain the primary
metals market exposure for Spectrum Commodity.
Soft Commodities and Agriculturals. On March 31, 2000, Spectrum Commodity
had exposure in the markets that comprise these sectors. Most of the exposure
was in the coffee, corn, cotton and livestock markets. Supply and demand
inequalities, severe weather disruption and market expectations affect price
movements in these markets.
Energy. On March 31, 2000, Spectrum Commodity's energy exposure was shared
by futures contracts in the oil and natural gas markets. Price movements in
these markets result from political developments in the Middle East, weather
patterns, and other economic fundamentals. It is possible that volatility will
remain high. Significant profits and losses, which have been experienced in the
past, are expected to continue to be experienced in this market. Natural gas has
exhibited volatility in prices resulting from weather patterns and supply and
demand factors. Fluctuation in natural gas prices is expected to continue in
this choppy pattern.
THE GENERAL PARTNER
THE FOLLOWING UPDATES AND REPLACES THE TABLE UNDER "DESCRIPTION AND
PERFORMANCE INFORMATION OF COMMODITY POOLS OPERATED BY THE GENERAL PARTNER" ON
PAGE 38. THE NOTES ON PAGE 39 ARE ON INTEGRAL PART OF THE FOLLOWING TABLE.
S-10
<PAGE>
DEMETER MANAGEMENT CORPORATION
CAPSULE SUMMARY OF PERFORMANCE INFORMATION REGARDING COMMODITY POOLS OPERATED
(EXCEPT AS OTHERWISE INDICATED, BEGINNING JANUARY 1, 1995 THROUGH MARCH 31,
2000)
<TABLE>
<CAPTION>
CURRENT CURRENT
TOTAL NET ASSET
START CLOSE AGGREGATE NET ASSET VALUE PER
FUND TYPE/FUND(1) DATE(2) DATE(3) SUBSCRIPTION(4) VALUE(5) UNIT(6)
---------------------------------------- -------- -------- --------------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
$ $ $
<CAPTION>
PUBLICLY-OFFERED FUNDS WITH ONE ADVISOR WITHOUT "PRINCIPAL PROTECTION"
<S> <C> <C> <C> <C> <C> <C>
Dean Witter Commodity Partners Jan-81 Dec-88 9,648,397 739,757 488.29
Columbia Futures Fund(11) Jul-83 N/A 29,276,299 8,041,990 2,862.48
DW Diversified Futures Fund L.P.(12) Apr-88 N/A 206,815,107 87,546,589 994.28
DW Multi-Market Portfolio L.P.(13) Sep-88 N/A 252,526,000 7,890,884 1,144.32
DW Diversified Futures Fund II L.P. Jan-89 N/A 13,210,576 7,879,795 2,644.34
DW Diversified Futures Fund III L.P. Nov-90 N/A 126,815,755 47,040,511 1,653.93
DW Portfolio Strategy Fund L.P.(14) Feb-91 N/A 143,522,564 100,075,440 2,366.68
DWFCM International Access Fund L.P. Mar-94 N/A 68,115,440 35,238,325 1,461.02
Morgan Stanley Dean Witter Nov-94 N/A 64,340,354 58,704,709 16.62
Spectrum Global Balanced L.P. (15)
Morgan Stanley Dean Witter Charter
Graham L.P. Mar-99 N/A 23,585,405 22,496,979 10.33
Morgan Stanley Dean Witter Charter
Millburn L.P. Mar-99 N/A 30,269,514 24,361,151 8.82
Morgan Stanley Dean Witter Charter
Welton L.P. Mar-99 N/A 27,880,862 24,454,512 8.86
PUBLICLY-OFFERED FUNDS WITH MORE THAN ONE ADVISOR WITHOUT "PRINCIPAL PROTECTION"
DW Cornerstone Fund I Jan-85 Dec-91 19,122,276 281,303 456.80
DW Cornerstone Fund II Jan-85 N/A 65,653,270 24,794,568 3,938.32
DW Cornerstone Fund III Jan-85 N/A 137,132,762 31,224,574 3,001.00
DW Cornerstone Fund IV May-87 N/A 168,108,613 96,056,596 4,648.19
Morgan Stanley Dean Witter Aug-91 N/A 294,176,684 211,718,422 21.68
Spectrum Select L.P.(16)
DW Global Perspective Portfolio L.P. Mar-92 N/A 67,424,535 13,261,553 939.01
DW World Currency Fund L.P. Apr-93 N/A 114,945,830 17,483,232 939.61
Morgan Stanley Dean Witter Nov-94 N/A 113,581,129 87,835,285 12.41
Spectrum Strategic L.P.
Morgan Stanley Dean Witter Nov-94 N/A 313,547,137 262,794,198 14.68
Spectrum Technical L.P.
PUBLICLY-OFFERED FUNDS WITH ONE ADVISOR WITH "PRINCIPAL PROTECTION"
DW Principal Guaranteed Fund III L.P. Jul-89 Sep-95 126,263,000 7,022,437 1,000.00
DW Principal Plus Fund L.P.(17) Feb-90 N/A 109,013,535 42,022,954 1,845.17
PUBLICLY-OFFERED FUNDS WITH MORE THAN ONE ADVISOR WITH "PRINCIPAL PROTECTION"
DW Principal Guaranteed Fund II L.P. Mar-89 Mar-96 162,203,303 4,966,449 1,056.55
PRIVATELY-OFFERED FUNDS WITH ONE ADVISOR WITHOUT "PRINCIPAL PROTECTION"
Morgan Stanley Dean Witter/ Nov-94 N/A 36,990,990 33,044,311 2,034.09
Chesapeake L.P.
Morgan Stanley Dean Witter/ Feb-96 N/A 32,503,924 12,965,528 956.55
JWH Futures Fund L.P.
PRIVATELY-OFFERED FUNDS WITH MORE THAN ONE ADVISOR WITHOUT "PRINCIPAL PROTECTION"
Morgan Stanley Dean Witter/Market Street
Futures Fund L.P. Oct-98 N/A 22,416,896 11,255,916 756.16
<CAPTION>
CUMULATIVE
RETURN WORST WORST PEAK- COMPOUND ANNUAL RATES OF RETURN(10)
SINCE MONTHLY % TO-VALLEY -------------------------------------
FUND TYPE/FUND(1) INCEPTION(7) DRAWDOWN(8) DRAWDOWN(9) 2000 1999 1998
---------------------------------------- ------------- ------------ ------------ --------- --------- ---------
<S> <C> <C> <C>
% % % % % %
PUBLICLY-OFFERED FUNDS WITH ONE ADVISOR WITHOUT "PRINCIPAL PROTECTION"
Dean Witter Commodity Partners (51.37) (34.48) (64.23)
7/88 4/86-12/88
Columbia Futures Fund(11) 192.09 (17.54) (48.63) (1.30) (8.54) 12.01
4/86 7/83-12/86 (3 months
DW Diversified Futures Fund L.P.(12) 294.23 (12.85) (24.86) 3.22 (11.14) 6.22
5/90 5/95-6/96 (3 months
DW Multi-Market Portfolio L.P.(13) 14.43 (13.26) (29.84) 4.02 (8.77) 5.63
2/96 5/95-6/96 (3 months
DW Diversified Futures Fund II L.P. 164.43 (13.41) (25.62) 3.45 (9.50) 5.22
8/89 5/95-6/96 (3 months
DW Diversified Futures Fund III L.P. 65.39 (13.62) (27.00) 3.69 (10.56) 5.39
1/92 5/95-6/96 (3 months
DW Portfolio Strategy Fund L.P.(14) 136.67 (14.40) (25.65) (2.19) (6.85) 9.46
1/92 1/92-4/92 (3 months
DWFCM International Access Fund L.P. 46.10 (12.87) (22.84) 3.33 (9.21) 5.07
1/95 7/94-1/95 (3 months
Morgan Stanley Dean Witter 66.20 (7.92) (10.64) 3.10 0.75 16.36
Spectrum Global Balanced L.P. (15) 2/96 2/96-5/96 (3 months
Morgan Stanley Dean Witter Charter
Graham L.P. 3.30 (8.00) (9.80) 0.39 2.90
3/99 3/99-5/99 (3 months) (10 months)
Morgan Stanley Dean Witter Charter
Millburn L.P. (11.80) (12.69) (16.79) (4.96) (7.20)
10/99 7/99-3/00 (3 months) (10 months)
Morgan Stanley Dean Witter Charter
Welton L.P. (11.40) (7.70) (22.20) (0.78) (10.70)
3/99 3/99-10/99 (3 months) (10 months)
PUBLICLY-OFFERED FUNDS WITH MORE THAN ONE ADVISOR WITHOUT "PRINCIPAL PROTECTION"
DW Cornerstone Fund I (53.15) (20.88) (64.47)
8/91 4/86-8/91
DW Cornerstone Fund II 303.93 (11.74) (32.70) (0.67) (5.42) 12.54
9/89 7/88-10/89 (3 months
DW Cornerstone Fund III 207.79 (18.28) (32.35) (1.46) (6.78) 9.13
2/89 2/89-10/89 (3 months
DW Cornerstone Fund IV 376.74 (21.04) (45.21) (0.75) (1.13) 6.80
9/89 7/89-9/89 (3 months
Morgan Stanley Dean Witter 116.80 (13.72) (26.78) (1.45) (7.56) 14.15
Spectrum Select L.P.(16) 1/92 6/95-8/96 (3 months
DW Global Perspective Portfolio L.P. (6.10) (12.10) (40.90) (3.21) (9.83) 11.25
10/99 8/93-1/95 (3 months
DW World Currency Fund L.P. (6.04) (9.68) (46.04) (5.43) 2.65 (2.61)
5/95 8/93-1/95 (3 months
Morgan Stanley Dean Witter 24.10 (18.47) (32.10) (21.70) 37.23 7.84
Spectrum Strategic L.P. 2/00 4/97-7/98 (3 months
Morgan Stanley Dean Witter 46.80 (9.96) (14.08) (1.54) (7.51) 10.18
Spectrum Technical L.P. 10/99 5/99-10/99 (3 months
PUBLICLY-OFFERED FUNDS WITH ONE ADVISOR WITH "PRINCIPAL PROTECTION"
DW Principal Guaranteed Fund III L.P. 0.00 (13.98) (30.93)
1/92 5/90-4/92
DW Principal Plus Fund L.P.(17) 84.52 (7.48) (13.08) 1.63 (3.82) 10.54
2/96 2/96-5/96 (3 months
PUBLICLY-OFFERED FUNDS WITH MORE THAN ONE ADVISOR WITH "PRINCIPAL PROTECTION"
DW Principal Guaranteed Fund II L.P. 5.66 (5.62) (14.69)
1/91 8/89-4/92
PRIVATELY-OFFERED FUNDS WITH ONE ADVISOR WITHOUT "PRINCIPAL PROTECTION"
Morgan Stanley Dean Witter/ 103.41 (17.34) (31.03) 2.30 (3.48) 19.93
Chesapeake L.P. 5/99 9/98-10/99 (3 months
Morgan Stanley Dean Witter/ (4.35) (9.62) (35.12) (11.92) (22.29) 4.04
JWH Futures Fund L.P. 10/99 7/99-3/00 (3 months
PRIVATELY-OFFERED FUNDS WITH MORE THAN ONE ADVISOR WITHOUT "PRINCIPAL PROTECTION"
Morgan Stanley Dean Witter/Market Street
Futures Fund L.P. (24.38) (10.76) (30.00) (22.54) (2.63) 0.26
3/00 3/99-3/00 (3 months ) (3 months
<CAPTION>
FUND TYPE/FUND(1) 1997 1996 1995
---------------------------------------- ---------- --------- ---------
% % %
PUBLICLY-OFFERED FUNDS WITH ONE ADVISOR WITHOUT "PRINCIPAL PROTECTION"
Dean Witter Commodity Partners
Columbia Futures Fund(11) 22.60 19.09 28.21
DW Diversified Futures Fund L.P.(12) 11.96 (2.66) (4.56)
DW Multi-Market Portfolio L.P.(13) 13.28 (6.76) (6.37)
DW Diversified Futures Fund II L.P. 11.28 (4.83) (2.90)
DW Diversified Futures Fund III L.P. 12.29 (4.73) (4.02)
DW Portfolio Strategy Fund L.P.(14) 11.28 25.50 25.37
DWFCM International Access Fund L.P. 26.22 3.97 21.88
Morgan Stanley Dean Witter 18.23 (3.65) 22.79
Spectrum Global Balanced L.P. (15)
Morgan Stanley Dean Witter Charter
Graham L.P.
Morgan Stanley Dean Witter Charter
Millburn L.P.
Morgan Stanley Dean Witter Charter
Welton L.P.
PUBLICLY-OFFERED FUNDS WITH MORE THAN ONE ADVISOR WITHOUT "PRINCIPAL PROTECTION"
DW Cornerstone Fund I
DW Cornerstone Fund II 18.05 11.47 26.50
DW Cornerstone Fund III 10.24 8.24 27.50
DW Cornerstone Fund IV 38.41 12.97 22.96
Morgan Stanley Dean Witter 6.22 5.27 23.62
Spectrum Select L.P.(16)
DW Global Perspective Portfolio L.P. 11.16 9.26 16.76
DW World Currency Fund L.P. 39.35 12.97 2.02
Morgan Stanley Dean Witter 0.37 (3.53) 10.49
Spectrum Strategic L.P.
Morgan Stanley Dean Witter 7.49 18.35 17.59
Spectrum Technical L.P.
PUBLICLY-OFFERED FUNDS WITH ONE ADVISOR WITH "PRINCIPAL PROTECTION"
DW Principal Guaranteed Fund III L.P. 5.21
(9 months
DW Principal Plus Fund L.P.(17) 15.39 (5.28) 17.98
PUBLICLY-OFFERED FUNDS WITH MORE THAN ONE ADVISOR WITH "PRINCIPAL PROTECTION"
DW Principal Guaranteed Fund II L.P. 1.00 7.30
(3 months
PRIVATELY-OFFERED FUNDS WITH ONE ADVISOR WITHOUT "PRINCIPAL PROTECTION"
Morgan Stanley Dean Witter/ 15.38 15.23 15.80
Chesapeake L.P.
Morgan Stanley Dean Witter/ 13.66 18.17
JWH Futures Fund L.P. (11 months)
PRIVATELY-OFFERED FUNDS WITH MORE THAN ONE ADVISOR WITHOUT "PRINCIPAL PROTECTION"
Morgan Stanley Dean Witter/Market Street
Futures Fund L.P.
</TABLE>
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
S-11
<PAGE>
THE TRADING ADVISORS
MORGAN STANLEY DEAN WITTER SPECTRUM CURRENCY L.P.
THE FOLLOWING UPDATES AND SUPPLEMENTS THE INFORMATION RELATING TO JOHN W.
HENRY & COMPANY, INC., A TRADING ADVISOR TO SPECTRUM CURRENCY, UNDER "THE
TRADING ADVISORS--MORGAN STANLEY DEAN WITTER SPECTRUM CURRENCY L.P.--1. JOHN W.
HENRY & COMPANY, INC. (JWHREGISTERED)--OTHER INVESTMENT PROGRAMS OPERATED BY
JWH" ON PAGES 46-48.
As of March 31, 2000, JWH was managing approximately $71 million of client
assets pursuant to its International Foreign Exchange Program, and approximately
$1.6 billion in all of its programs.
Multiple Style Programs. Multiple Style Programs involve the selection and
allocation of assets among the other types of JWH investment programs on a
discretionary basis. The Strategic Allocation Program is the only program
offered in this category.
The Strategic Allocation Program's objective is capital appreciation with
the reduction of the volatility and risk of loss that typically would be
associated with an investment in any one JWH investment program. JWH currently
operates 11 investment programs; any and all of them may be included in the
Strategic Allocation Program. JWH, through its Investment Policy Committee,
allocates assets among different combinations of its investment programs which
each have distinctive style, timing and market characteristics. The allocation
of the Strategic Allocation Program's assets among the investment programs, as
well as the selection of the programs used for the Strategic Allocation Program,
is dynamic, changing at the discretion of the Investment Policy Committee. While
JWH's individual investment programs are technical, trend-following programs,
the selection of programs as well as the allocation of assets among the programs
in the Strategic Allocation Program are entirely discretionary. JWH is under no
obligation to include any particular investment program in the Strategic
Allocation Program. Generally, the maximum allocation to an individual program
will not exceed 25% of an account's assets.
The Investment Policy Committee also monitors and adjusts on an ongoing
basis the position size in relation to account equity at which the Strategic
Allocation Program trades. Factors which may affect the decision to adjust
position size include: ongoing program and portfolio research, portfolio
volatility, recent market volatility, perceived risk exposure and subjective
evaluation of general market conditions. Position size can range from 50% to
150% of standard trading levels. The Strategic Allocation Program has been
trading client capital since July 1996.
S-12
<PAGE>
THE FOLLOWING IS ADDED TO THE INFORMATION CONTAINED IN THE SECOND PARAGRAPH
ON PAGE 48, UNDER "THE WORLDWIDE BOND PROGRAM."
Beginning in March 2000, the position size in relation to account
equity was increased approximately 25%. The quantitative model underlying the
program was not changed.
THE FOLLOWING UPDATES AND REPLACES THE CAPSULE PERFORMANCE SUMMARIES
RELATING TO JWH ON PAGES 49-53.
JOHN W. HENRY & COMPANY, INC.
INTERNATIONAL FOREIGN EXCHANGE PROGRAM
Name of commodity trading advisor: John W. Henry & Company, Inc.
Name of program: International Foreign Exchange Program
Inception of client account trading by commodity trading advisor:
October 1982
Inception of client account trading in program: August 1986
Number of open accounts: 4
Aggregate assets overall: $1.6 billion
Aggregate assets in program: $71.4 million
Worst monthly decline on an individual account basis: (8.3)% -- (5/97)
Worst peak-to-valley decline on an individual account
basis: (35.9)% -- (9/92 - 1/95)
2000 year-to-date return: (4.3)% (3 months)
1999 annual return: (5.1)%
1998 annual return: 13.9%
1997 annual return: 71.1%
1996 annual return: 3.7%
1995 annual return: 16.9%
JOHN W. HENRY & COMPANY, INC. PROGRAMS
JANUARY 1, 1995 -- MARCH 31, 2000
JWH BEGAN TRADING CLIENT CAPITAL IN OCTOBER 1982
<TABLE>
<CAPTION>
JWH GLOBAL-
FINANCIAL ORIGINAL GLOBAL GLOBAL ANALYTICS(R)
AND METALS INVESTMENT DIVERSIFIED FINANCIAL G-7 CURRENCY FAMILY OF
NAME OF PROGRAM: PORTFOLIO PROGRAM PORTFOLIO PORTFOLIO PORTFOLIO PROGRAMS
------------- ------------- ------------- ------------- -------------- -------------
<S> <C> <C> <C> <C> <C> <C>
Inception of Client Account Trading
in Program: October 1984 October 1982 June 1988 June 1994 February 1991 June 1997
Number of Open Accounts: 24 16 7 3 4 1
Assets Managed in Program: $566,820,109 $178,138,841 $85,564,102 $44,421,831 $32,921,390 $21,627,649
Assets Managed in JWH: $1.6 billion $1.6 billion $1.6 billion $1.6 billion $1.6 billion $1.6 billion
Worst Monthly Decline on an (10.1)% (14.2)% (15.0)% (12.5)% (10.1)% (5.0)%
Individual Account Basis: (2/96) (11/98) (10/99) (5/95) (11/98) (4/98)
Worst Peak-to-Valley Decline on an (36.5)% (18.5)% (24.1)% (48.9)% (31.4)% (5.3)%
Individual Account Basis: (10/98-3/00) (5/99-10/99) (6/95-10/95) (7/94-1/95) (10/92-1/95) (4/98-5/98)
% % % % % %
------ ------ ------ ------ ------ ------
2000 Year-to-Date Return (3 months): (11.6) 2.2 (4.4) 3.0 (5.2) (4.7)
1999 Compound Annual Rate of Return: (18.7) (10.7) (11.9) 1.4 20.7 N/A
(3.6)
1998 Compound Annual Rate of Return: 7.2 10.8 23.5 9.9 (4.8) (5 mos.)
17.6
1997 Compound Annual Rate of Return: 15.2 5.7 3.3 4.9 21.0 (7 mos.)
1996 Compound Annual Rate of Return: 29.7 22.6 26.9 32.4 14.5 N/A
1995 Compound Annual Rate of Return: 38.5 53.2 19.6 86.2 32.2 N/A
<CAPTION>
JWH INTERNATIONAL
GLOBAL CURRENCY
ANALYTICSREGISTERED AND BOND
NAME OF PROGRAM: 99 PORTFOLIO
------------- --------------
<S> <C> <C>
Inception of Client Account Trading
in Program: March 1999 January 1993
Number of Open Accounts: 1 1
Assets Managed in Program: $10,604,450 $23,099,638
Assets Managed in JWH: $1.6 billion $1.6 billion
Worst Monthly Decline on an (9.4)% (6.3)%
Individual Account Basis: (10/99) (8/97)
Worst Peak-to-Valley Decline on an (15.6)% (23.6)%
Individual Account Basis: (7/99-3/00) (7/94-1/95)
% %
------ ------
2000 Year-to-Date Return (3 months): (5.8) (3.5)
(7.5)
1999 Compound Annual Rate of Return: (10 mos.) 2.3
1998 Compound Annual Rate of Return: N/A 16.1
1997 Compound Annual Rate of Return: N/A 17.0
1996 Compound Annual Rate of Return: N/A 19.9
1995 Compound Annual Rate of Return: N/A 36.5
</TABLE>
The Notes to JWH's Programs on page 54 are an integral part of this table.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
S-13
<PAGE>
JOHN W. HENRY & COMPANY, INC. PROGRAMS
JANUARY 1, 1995 -- MARCH 31, 2000 (CONTINUED)
JWH BEGAN TRADING CLIENT CAPITAL IN OCTOBER 1982
<TABLE>
<CAPTION>
DELEVERED YEN JWHII
THE WORLD WORLDWIDE STRATEGIC DENOMINATED FINANCIAL
FINANCIAL DOLLAR BOND ALLOCATION FINANCIAL AND AND METALS
NAME OF PROGRAM: PERSPECTIVE PROGRAM PROGRAM PROGRAM METALS PROFILE INTERRATETM PORTFOLIO
------------- ------------- ------------- ------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C> <C> <C>
Inception of Client October 1995; December 1998; September 1991;
Account Trading in ceased trading ceased trading ceased trading
Program: April 1987 July 1996 July 1996 July 1996 12/96 7/96 7/95
Number of Open
Accounts: 2 0 0 3 0 0 0
Assets Managed in
Program: $24,589,255 $0 $0 $549,328,787 $0 $0 $0
Assets Managed in
JWH: $1.6 billion $1.6 billion $1.6 billion $1.6 billion $1.6 billion $1.6 billion $0
Worst Monthly
Decline on an
Individual Account (8.7)% (8.4)% (3.8)% (7.8)% (3.2)% (3.1)% (4.8)%
Basis: (11/98) (5/97) (4/97) (10/99) (2/96) (11/94) (7/94)
Worst
Peak-to-Valley
Decline on an
Individual Account (25.9)% (11.6)% (6.2)% (11.7)% (5.1)% (19.7)% (12.2)%
Basis: (7/94-1/95) (5/97-9/97) (12/96-5/97) (7/99-10/99) (2/96-8/96) (9/92-11/93) (7/94-12/94)
% % % % % % %
------ ------ ------ ------ ------ ------ ------
2000 Year-to-Date
Return (3 months): (1.6) N/A N/A (1.4) N/A N/A N/A
1999 Compound
Annual Rate of
Return: (1.6) N/A N/A (1.5) N/A N/A N/A
1998 Compound
Annual Rate of (4.9) (0.4)
Return: 7.2 (5 mos.) (5 mos.) 17.0 N/A N/A N/A
1997 Compound
Annual Rate of
Return: 10.4 6.8 9.5 13.3 N/A N/A N/A
1996 Compound
Annual Rate of 10.6 17.8 25.5 5.79
Return: 40.9 (6 mos.) (6 mos.) (6 mos.) 9.4 (7 mos.) N/A
1995 Compound
Annual Rate of 0.2 30.3
Return: 32.2 N/A N/A N/A (3 mos.) 5.19 (7 mos.)
</TABLE>
The Notes to JWH's Programs on page 54 are an integral part of this table.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
S-14
<PAGE>
JOHN W. HENRY & COMPANY, INC. PROGRAMS
JWH BEGAN TRADING CLIENT CAPITAL IN OCTOBER 1982
YEN FINANCIAL PORTFOLIO
INCEPTION OF CLIENT ACCOUNT TRADING IN PROGRAM: January 1992
NUMBER OF OPEN ACCOUNTS: 0
ASSETS MANAGED IN PROGRAM: $0
ASSETS MANAGED BY JWH: $1.6 billion
<TABLE>
<CAPTION>
INCEPTION AGGREGATE COMPOUND WORST WORST
OF ASSETS ANNUAL RATE MONTHLY PEAK-TO-VALLEY
ACCOUNT NO. TRADING AUGUST 31, 1999 OF RETURN DECLINE DECLINE
----------- ------------- ---------------- --------------------- ---------------- -------------------------
<C> <C> <C> <C> <C> <S> <C> <C> <C>
% % %
1 1/92 closed - 3/97 1997: (3.3) (3 mos.) (7.3) (7/95) (30.5) (4/95 - 7/96)
1996: (8.5)
1995: 20.6
2 1/93 closed - 1/97 1997: (0.1) (1 mo.) (6.9) (7/95) (29.0) (4/95 - 7/96)
1996: (9.9)
1995: 21.0
3 1/94 closed - 1/97 1997: (2.4) (1 mo.) (6.0) (7/95) (26.6) (4/95 - 7/96)
1996: (10.9)
1995: 22.4
4 6/94 closed - 3/97 1997: 1.4 (3 mos.) (6.5) (7/95) (22.3) (4/95 - 7/96)
1996: (0.6)
1995: 24.2
5 8/94 closed - 3/97 1997: (2.4) (3 mos.) (7.1) (7/95) (30.4) (4/95 - 7/96)
1996: (6.0)
1995: 21.1
6 1/95 closed - 3/97 1997: (3.7) (3 mos.) (7.5) (7/95) (35.5) (4/95 - 7/96)
1996: (13.5)
1995: 13.2
7 3/94 closed - 3/97 1997: 4.0 (3 mos.) (6.7) (7/96) (15.9) (2/96 - 7/96)
1996: 7.8
1995: 28.1
11 11/93 closed - 8/95 1995: 20.0 (8 mos.) (9.0) (8/95) (18.8) (4/95 - 8/95)
12 11/93 closed - 1/95 1995: (0.6) (1 mo.) (6.3) (5/94) (16.5) (4/94 - 1/95)
13 12/92 closed - 3/96 1996: (4.1) (3 mos.) (4.9) (7/95) (15.8) (12/93 - 1/95)
1995: 31.4
14 1/93 closed - 12/95 1995: 10.9 (6.2) (7/95) (15.8) (4/95 - 12/95)
17 12/92 closed - 1/96 1996: 0.3 (1 mo.) (6.0) (7/95) (12.4) (4/95 - 10/95)
1995: 26.6
18 3/94 closed - 4/96 1996: (6.3) (4 mos.) (6.2) (7/95) (18.5) (4/95 - 4/96)
1995: 18.5
19 12/94 closed - 4/96 1996: (7.8) (4 mos.) (6.6) (7/95) (21.1) (4/95 - 4/96)
1995: 18.3
21 6/94 closed - 3/95 1995: 48.1 (3 mos.) (3.6) (7/94) (9.9) (6/94 - 1/95)
The Yen Financial Portfolio Closed in March 1997.
</TABLE>
------------
The Notes to JWH's programs on page 54 are an integral part of this table.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
S-15
<PAGE>
THE FOLLOWING UPDATES AND REPLACES THE CAPSULE PERFORMANCE SUMMARIES
RELATING TO SUNRISE CAPITAL PARTNERS, A TRADING ADVISOR TO SPECTRUM CURRENCY,
UNDER "THE TRADING ADVISORS--MORGAN STANLEY DEAN WITTER SPECTRUM CURRENCY
L.P.--2. SUNRISE CAPITAL PARTNERS LLC" ON PAGES 60-61. THE NOTES ON PAGES 61-62
ARE AN INTEGRAL PART OF THE CAPSULE PERFORMANCE SUMMARIES.
SUNRISE CAPITAL PARTNERS
CURRENCY PROGRAM
(Calculations based on Fully-Funded Subset Method)
Name of commodity trading advisor: Sunrise Capital Partners
Name of program: Sunrise Currency Program
Inception of trading by commodity trading advisor: June 1980
Inception of trading in program: October 1985
Number of open accounts: 4
Aggregate assets overall: $523.9 million
Aggregate assets in program: $58.0 million
Largest monthly drawdown: (11.22)% -- (1/95)
Worst peak-to-valley drawdown: (58.60)% -- (8/93 - 1/95)
2000 year-to-date return (3 months): 4.0%
1999 annual return: 6.2%
1998 annual return: (1.9)%
1997 annual return: 10.9%
1996 annual return: 20.2%
1995 annual return: 34.0%
SUNRISE CAPITAL PARTNERS
CIMCO-DIVERSIFIED FINANCIAL PROGRAM
Name of commodity trading advisor: Sunrise Capital Partners
Name of program: Sunrise CIMCO-Diversified Financial Program
Inception of trading by commodity trading advisor: June 1980
Inception of trading in program: October 1990
Number of open accounts: 2
Aggregate assets overall: $523.9 million
Aggregate assets in program: $87.9 million
Largest monthly drawdown: (10.50)% -- (2/96)
Worst peak-to-valley drawdown: (44.47)% -- (8/93 - 1/95)
2000 year-to-date return (3 months): (0.2)%
1999 annual return: (0.6)%
1998 annual return: 7.7%
1997 annual return: (2.8)%
1996 annual return: 26.1%
1995 annual return: 50.9%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
S-16
<PAGE>
SUNRISE CAPITAL PARTNERS
DIVERSIFIED PROGRAM
(Calculations based on Fully-Funded Subset Method)
Name of commodity trading advisor: Sunrise Capital Partners
Name of program: Sunrise Diversified Program
Inception of trading by commodity trading advisor: June 1980
Inception of trading in program: June 1980
Number of open accounts: 23
Aggregate assets overall: $523.9 million
Aggregate assets in program: $54.2 million
Largest monthly drawdown: (9.79)% -- (2/96)
Worst peak-to-valley drawdown: (39.68)% -- (10/90 - 5/92)
2000 year-to-date return (3 months): (1.2)%
1999 annual return: 5.8%
1998 annual return: 17.0%
1997 annual return: 11.3%
1996 annual return: 21.7%
1995 annual return: 40.0%
SUNRISE CAPITAL PARTNERS
EXPANDED DIVERSIFIED PROGRAM
(Calculations based on Fully-Funded Subset Method)
Name of commodity trading advisor: Sunrise Capital Partners
Name of program: Sunrise Expanded Diversified Program
Inception of trading by commodity trading advisor: June 1980
Inception of trading in program: January 1989
Number of open accounts: 28
Aggregate assets overall: $523.9 million
Aggregate assets in program: $323.8 million
Largest monthly drawdown: (8.46)% -- (1/95)
Worst peak-to-valley drawdown: (29.82)% -- (8/93 - 4/94)
2000 year-to-date return (3 months): (1.2)%
1999 annual return: 4.4%
1998 annual return: 25.8%
1997 annual return: 20.7%
1996 annual return: 19.3%
1995 annual return: 11.5%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
S-17
<PAGE>
THE FOLLOWING UPDATES AND REPLACES THE CAPSULE PERFORMANCE SUMMARIES
RELATING TO MORGAN STANLEY DEAN WITTER COMMODITIES MANAGEMENT INC., THE TRADING
ADVISOR TO SPECTRUM COMMODITY, UNDER "THE TRADING ADVISORS--MORGAN STANLEY DEAN
WITTER SPECTRUM COMMODITY L.P." ON PAGES 64-65. THE FOOTNOTES ON PAGE 65 ARE AN
INTEGRAL PART OF THE CAPSULE PERFORMANCE SUMMARIES.
MORGAN STANLEY DEAN WITTER COMMODITIES MANAGEMENT INC.
MS COMMODITY INVESTMENT PORTFOLIO STRATEGY
Name of commodity trading advisor: Morgan Stanley Dean Witter
Commodities
Management Inc.
Name of program: MS Commodity Investment Portfolio Strategy
Inception of client trading by commodity trading advisor: February 1993
Inception of client trading in program: May 1994
Number of open accounts: 4
Aggregate assets overall: $196,000,000
Aggregate assets in program: $173,000,000
Largest monthly % drawdown: (7.65)% -- (11/98)
Largest peak-to-valley drawdown: (34.63)% -- (8/97 - 2/99)
<TABLE>
<CAPTION>
MONTHLY RATES OF RETURN 2000 1999 1998 1997 1996 1995
----------------------- ----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
% % % % % %
January................ 1.80 (0.82) (1.68) 1.35 (0.70) (0.82)
February............... (1.09) (3.09) (5.48) 2.26 2.45 0.21
March.................. 1.29 7.72 0.43 1.30 3.93 1.69
April.................. 1.97 (1.73) 0.29 1.64 0.34
May.................... (3.39) (5.86) 0.58 (0.99) (1.17)
June................... 4.08 (1.54) (2.24) 0.13 (0.36)
July................... 0.57 (5.57) 3.19 (0.12) 1.40
August................. 4.26 (6.42) (1.59) 4.91 1.86
September.............. 3.44 8.02 0.86 (0.95) 1.01
October................ (1.57) (2.03) 0.49 (0.90) 0.46
November............... 0.16 (7.65) (1.67) 2.36 1.49
December............... 1.55 (2.10) (3.53) 2.45 5.53
Compound (period) 1.99 15.27 (28.12) 1.09 14.92 12.09
Rate of Return.......
(3 months)
</TABLE>
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
S-18
<PAGE>
MORGAN STANLEY DEAN WITTER COMMODITIES MANAGEMENT INC.
MS COMMODITY YIELD FUND STRATEGY
Name of commodity trading advisor: Morgan Stanley Dean Witter Commodities
Management Inc.
Name of program: MS Commodity Yield Fund Strategy
Inception of client trading by commodity trading advisor: February 1993
Inception of client trading in program: February 1993
Number of open accounts: 0
Aggregate assets overall: $196,000,000
Aggregate assets in program: None
Largest monthly % drawdown: (8.07)% -- (5/94)
Largest peak-to-valley drawdown: (16.58)% -- (11/93 - 8/94)
1998 annual return: (2.98)%
1997 annual return: (6.07)%
1996 annual return: 16.33%
1995 annual return: (3.26)%
1994 annual return: (9.25)%
1993 annual return (11 months): 16.20%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
THE COMMODITY BROKERS
THE FOLLOWING REPLACES THE INFORMATION CONTAINED UNDER "THE COMMODITY
BROKERS" ON PAGE 68.
DEAN WITTER REYNOLDS INC., MORGAN STANLEY & CO. INCORPORATED, AND MORGAN STANLEY
& CO. INTERNATIONAL LIMITED
Dean Witter Reynolds Inc., a Delaware corporation, acts as the
partnerships' non-clearing commodity broker. Dean Witter, as the non-clearing
commodity broker, holds each partnership's funds in customer segregated or
secured accounts, and provides all required margin funds to the clearing
commodity brokers. Morgan Stanley & Co. Incorporated, a Delaware corporation,
acts as the clearing commodity broker and foreign currency forward counterparty,
and Morgan Stanley & Co. International Limited serves as the clearing commodity
broker for trades that take place on the London Metal Exchange. Dean Witter
monitors each partnership's futures positions that Morgan Stanley reports it is
carrying for any errors in trade prices or trade fill. Dean Witter also serves
as the non-clearing commodity broker for all, and Morgan Stanley serves as the
clearing commodity broker and foreign exchange counterparty and Morgan Stanley
International serves as the clearing commodity broker with regard to any trading
on the London Metal Exchange for all but one, of the other commodity pools for
which Demeter serves as general partner and commodity pool operator.
Dean Witter is a financial services company which provides to its
individual, corporate and institutional clients services as a broker in
securities, futures, and options, a dealer in corporate, municipal and
government securities, an investment adviser, and an agent in the sale of life
insurance and various other products and services. Dean Witter has its main
business office at Two World Trade Center, New York, New York 10048. Dean Witter
is a member firm of the New York Stock Exchange, the American Stock Exchange,
the Chicago Board Options Exchange, and other major securities exchanges. Dean
Witter is registered with the CFTC as a futures commission merchant and is a
member of the National Futures Association in such capacity. Dean Witter is also
registered with the SEC as a broker-dealer and is a member of the NASD. Dean
Witter is currently servicing its clients through a network of approximately 450
offices nationwide with 12,000 financial advisors servicing individual and
institutional client accounts.
Morgan Stanley & Co. Incorporated is the clearing commodity broker for all
trades for the partnerships, other than those on the London Metal Exchange for
Spectrum Commodity. Morgan
S-19
<PAGE>
Stanley has its main business office at 1585 Broadway, New York, New York 10036.
Morgan Stanley is registered as a futures commission merchant, is a member of
the National Futures Association and is a member of most major U.S. and foreign
commodity exchanges. Morgan Stanley is registered with the SEC as a
broker-dealer and is a member of the NASD.
Morgan Stanley International, a United Kingdom corporation, acts as
Spectrum Commodity's clearing commodity broker solely with regard to any trading
on the London Metal Exchange. Morgan Stanley International has its main business
office at 25 Cabot Square, Canary Wharf, London E14 4QA, England, is regulated
by the United Kingdom Securities and Futures Authority as a member firm, and is
a member of the London Metal Exchange and other securities and commodities
exchanges worldwide.
Morgan Stanley Dean Witter & Co., the parent company of Dean Witter, Morgan
Stanley, and Morgan Stanley International, is a worldwide financial services
firm, employing, directly and through its subsidiaries, more than 45,000 people
worldwide in offices throughout the United States and 20 foreign countries.
Morgan Stanley Dean Witter & Co. is a publicly-traded company listed on the New
York Stock Exchange; its common stock had a market value of approximately $79.9
billion at February 29, 2000. At that date, Morgan Stanley Dean Witter & Co. had
leading market positions in its three primary businesses (securities, asset
management and credit services), and it ranked among the top five asset managers
globally, with over $455 billion in assets under management.
BROKERAGE ARRANGEMENTS
The partnerships' brokerage arrangements are discussed under "Conflicts of
Interest" on pages 13-15 and S-3 and "Description of Charges -- Commodity
Brokers" on pages 18-19 and S-3.
The general partner will review at least annually the brokerage
arrangements of each partnership to ensure that those arrangements are fair,
reasonable, and competitive, and represent the best price and services
available, taking into consideration:
* the size of the partnership;
* the futures, forwards, and options trading activity;
* the services provided by the commodity brokers or any affiliate thereof
to the partnership;
* the cost incurred by the commodity brokers or any affiliate thereof in
organizing and operating the partnership and offering units;
* the overall costs to the partnership;
* any excess interest and compensating balance benefits to the commodity
brokers from assets held thereby; and
* if the general partner does not receive any direct compensation from
the partnership for its services as general partner, the risks incurred
by the general partner as general partner of the partnership;
Each customer agreement sets forth a standard of liability for the
commodity broker and provides for indemnities of the commodity broker. See
"Fiduciary Responsibility and Liability" on page 15.
S-20
<PAGE>
INDEPENDENT AUDITORS' REPORT
To the Limited Partners and the General Partner:
We have audited the accompanying statements of financial condition of
Morgan Stanley Dean Witter Spectrum Commodity L.P.(formerly, Morgan Stanley
Tangible Asset Fund L.P.) (the "Partnership") as of December 31, 1999 and 1998
and the related statements of operations, changes in partners' capital, and cash
flows for the year ended December 31, 1999 and the period from January 2, 1998
through December 31, 1998. These financial statements are the responsibility of
the Partnership's management. Our responsibility is to express an opinion on
these financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, such financial statements present fairly, in all material
respects, the financial position of Morgan Stanley Tangible Asset Fund L.P. at
December 31, 1999 and 1998 and the results of its operations and its cash flows
for the year ended December 31, 1999 and the period from January 2, 1998 to
December 31, 1998 in conformity with generally accepted accounting principles.
/s/ Deloitte & Touche LLP
February 7, 2000
New York, New York
S-21
<PAGE>
MORGAN STANLEY DEAN WITTER SPECTRUM COMMODITY L.P.
(FORMERLY, MORGAN STANLEY TANGIBLE ASSET FUND L.P.)
STATEMENTS OF FINANCIAL CONDITION
<TABLE>
<CAPTION>
DECEMBER 31,
MARCH 31, -----------------------------
2000 1999 1998
------------ ------------ ------------
<S> <C> <C> <C>
$ $ $
(UNAUDITED)
ASSETS
Equity in futures interests trading accounts:
Cash........................................... 23,480,160 23,430,137 26,519,891
Unrealized gain (loss) on open contracts:
Net unrealized gain (loss) on open contracts
(Morgan Stanley International)............ (94,573) 643,258 (134,255)
Net unrealized loss on open contracts
(Morgan Stanley).......................... (461,517) (100,830) (501,388)
---------- ---------- ----------
Unrealized gain (loss) on open
contracts................................. (556,090) 542,428 (635,643)
---------- ---------- ----------
Total Trading Equity........................ 22,924,070 23,972,565 25,884,248
Interest receivable (Morgan Stanley)............. 85,776 76,192 78,722
Subscriptions receivable......................... 85,600 -- --
---------- ---------- ----------
Total Assets................................ 23,095,446 24,048,757 25,962,970
---------- ---------- ----------
---------- ---------- ----------
LIABILITIES AND PARTNERS' CAPITAL
LIABILITIES
Redemptions payable.............................. 368,850 269,545 895,547
Accrued brokerage fees (Morgan Stanley and Morgan
Stanley International)......................... 68,985 70,827 81,222
Accrued management fees (Morgan Stanley Dean
Witter Commodities Management)................. 47,250 48,511 55,632
Service fees payable (Demeter)................... 18,900 19,404 22,253
---------- ---------- ----------
Total Liabilities........................... 503,985 408,287 1,054,654
---------- ---------- ----------
PARTNERS' CAPITAL
Limited Partners (2,908,338.656, 3,062,471.522,
and 3,745,069.052 Units, respectively)...... 22,259,327 23,310,162 24,622,999
General Partner (43,395.648 Units) 332,134 330,308 285,317
---------- ---------- ----------
Total Partners' Capital..................... 22,591,461 23,640,470 24,908,316
---------- ---------- ----------
Total Liabilities and Partners' Capital..... 23,095,446 24,048,757 25,962,970
---------- ---------- ----------
---------- ---------- ----------
NET ASSET VALUE PER UNIT......................... 7.65 7.61 6.57
---------- ---------- ----------
---------- ---------- ----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
S-22
<PAGE>
MORGAN STANLEY DEAN WITTER SPECTRUM COMMODITY L.P.
(FORMERLY, MORGAN STANLEY TANGIBLE ASSET FUND L.P.)
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
FOR THE PERIOD FROM
FOR THE QUARTERS JANUARY 2, 1998
ENDED FOR THE YEAR (COMMENCEMENT
MARCH 31, ENDED OF OPERATIONS) TO
----------------------------- DECEMBER 31, DECEMBER 31,
2000 1999 1999 1998
------------- ------------- ------------- --------------------
<S> <C> <C> <C> <C>
$ $ $ $
(UNAUDITED) (UNAUDITED)
REVENUES
Trading profit (loss):
Realized........................ 1,395,164 34,855 3,003,270 (11,870,063)
Net change in unrealized........ (1,098,518) 796,011 1,178,071 (635,643)
----------- ----------- ----------- ------------
Total Trading Results......... 296,646 830,866 4,181,341 (12,505,706)
Interest Income (Morgan Stanley)... 256,714 208,595 864,383 1,265,793
----------- ----------- ----------- ------------
Total Revenues................ 553,360 1,039,461 5,045,724 (11,239,913)
----------- ----------- ----------- ------------
EXPENSES
Brokerage fees (Morgan Stanley and
Morgan Stanley International)... 213,906 215,094 852,484 1,176,024
Management fees (Morgan Stanley
Dean Witter Commodities
Management)..................... 146,511 147,325 583,893 805,496
Service fees (Demeter)............. 58,604 58,930 233,558 322,198
----------- ----------- ----------- ------------
Total Expenses................ 419,021 421,349 1,669,935 2,303,718
----------- ----------- ----------- ------------
NET INCOME (LOSS).................... 134,339 618,112 3,375,789 (13,543,631)
----------- ----------- ----------- ------------
----------- ----------- ----------- ------------
Net Income (Loss) Allocation
Limited Partners................... 132,513 609,955 3,330,798 (13,398,948)
General Partner.................... 1,826 8,157 44,991 (144,683)
Net Income (Loss) per Unit
Limited Partners................... .04 .19 1.04 (3.43)
General Partner.................... .04 .19 1.04 (3.43)
</TABLE>
The accompanying notes are an integral part of these financial statements.
S-23
<PAGE>
MORGAN STANLEY DEAN WITTER SPECTRUM COMMODITY L.P.
(FORMERLY, MORGAN STANLEY TANGIBLE ASSET FUND L.P.)
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
FOR THE QUARTER ENDED MARCH 31, 2000 (UNAUDITED) AND THE YEAR ENDED
DECEMBER 31, 1999
AND FOR THE PERIOD FROM JANUARY 2, 1998 (COMMENCEMENT OF OPERATIONS) TO
DECEMBER 31, 1998
<TABLE>
<CAPTION>
UNITS OF
PARTNERSHIP LIMITED GENERAL
INTEREST PARTNERS PARTNER TOTAL
------------- ------------ --------- -----------
<S> <C> <C> <C> <C>
$ $ $
Partners' Capital, January 2, 1998
(commencement of operations)......... 200.000 1,000 1,000 2,000
Initial Offering....................... 2,573,486.803 25,475,868 259,000 25,734,868
Offering of Units...................... 1,665,202.477 15,758,355 170,000 15,928,355
Net Loss............................... -- (13,398,948) (144,683) (13,543,631)
Redemptions............................ (450,424.580) (3,213,276) -- (3,213,276)
------------- ------------ --------- -----------
Partners' Capital, December 31, 1998... 3,788,464.700 24,622,999 285,317 24,908,316
Net Income............................. -- 3,330,798 44,991 3,375,789
Redemptions............................ (682,597.530) (4,643,635) -- (4,643,635)
------------- ------------ --------- -----------
Partners' Capital, December 31, 1999... 3,105,867.170 23,310,162 330,308 23,640,470
------------- ------------ --------- -----------
Offering of Units...................... 11,189.544 85,600 -- 85,600
Net Income............................. -- 132,513 1,826 134,339
Redemptions............................ (165,322.410) (1,268,948) -- (1,268,948)
------------- ------------ --------- -----------
Partners' Capital, March 31, 2000...... 2,951,734.304 $ 22,259,327 $ 332,134 $22,591,461
------------- ------------ --------- -----------
------------- ------------ --------- -----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
S-24
<PAGE>
MORGAN STANLEY DEAN WITTER SPECTRUM COMMODITY L.P.
(FORMERLY, MORGAN STANLEY TANGIBLE ASSET FUND L.P.)
STATEMENTS OF CASH FLOWS
<TABLE>
<CAPTION>
FOR THE PERIOD FROM
FOR THE QUARTERS JANUARY 2, 1998
ENDED FOR THE YEAR (COMMENCEMENT
MARCH 31, ENDED OF OPERATIONS) TO
---------------------------- DECEMBER 31, DECEMBER 31,
2000 1999 1999 1998
------------ ------------ ------------- --------------------
<S> <C> <C> <C> <C>
$ $ $ $
(UNAUDITED) (UNAUDITED)
CASH FLOWS FROM OPERATING
ACTIVITIES
Net income (loss)................ 134,339 618,112 3,375,789 (13,543,631)
Noncash item included in net
income (loss):
Net change in unrealized....... 1,098,518 (796,011) (1,178,071) 635,643
(Increase) decrease in operating
assets:
Interest receivable (Morgan
Stanley)....................... (9,584) 8,305 2,530 (78,722)
Increase (decrease) in operating
liabilities:
Accrued brokerage fees (Morgan
Stanley and Morgan Stanley
International).............. (1,842) (13,928) (10,395) 81,222
Accrued management fee (Morgan
Stanley Dean Witter
Commodities Management...... (1,261) (9,540) (7,121) 55,632
Service fee payable
(Demeter)...................... (504) (3,816) (2,849) 22,253
------------ ------------ ----------- ------------
Net cash provided by (used for)
operating activities........... 1,219,666 (196,878) 2,179,883 (12,827,603)
------------ ------------ ----------- ------------
CASH FLOWS FROM FINANCING
ACTIVITIES
Increase (decrease) in
redemptions payable............ 99,305 (509,401) (626,002) 895,547
Offering of units................ 85,600 -- -- 15,928,355
Increase (decrease) in
subscriptions receivable....... (85,600) -- -- 25,736,868
Redemptions of units............. (1,268,948) (1,868,777) (4,643,635) (3,213,276)
------------ ------------ ----------- ------------
Net cash provided by (used for)
financing activities........... (1,169,643) (2,378,178) (5,269,637) 39,347,494
------------ ------------ ----------- ------------
Net increase (decrease) in
cash........................... 50,023 (2,575,056) (3,089,754) 26,519,891
Balance at beginning of period... 23,430,137 26,519,891 26,519,891 --
------------ ------------ ----------- ------------
Balance at end of period......... 23,480,160 23,944,835 23,430,137 26,519,891
------------ ------------ ----------- ------------
------------ ------------ ----------- ------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
S-25
<PAGE>
MORGAN STANLEY DEAN WITTER SPECTRUM COMMODITY L.P.
(FORMERLY MORGAN STANLEY TANGIBLE ASSET FUND L.P.)
NOTES TO FINANCIAL STATEMENTS
(INFORMATION WITH RESPECT TO 2000 IS UNAUDITED)
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION -- Morgan Stanley Dean Witter Spectrum Commodity L.P.
(formerly, Morgan Stanley Tangible Asset L.P.) (the "Partnership") is a limited
partnership organized to engage primarily in speculative trading of futures
contracts in metals, energy and agricultural markets, (collectively, "futures
interests"). The Partnership's general partner is Demeter Management Corporation
("Demeter"). The commodity brokers are Morgan Stanley & Co. Incorporated and
Morgan Stanley & Co. International Limited, (collectively, the "Commodity
Brokers"). The trading advisor is Morgan Stanley Dean Witter Commodities
Management, Inc. Morgan Stanley Dean Witter Commodities Management, the
commodity brokers and Demeter are wholly-owned subsidiaries of Morgan Stanley
Dean Witter & Co.
Demeter is required to maintain a 1% minimum interest in the equity of the
Partnership and income (losses) are shared by the General and Limited Partners
based upon their proportional ownership interests.
USE OF ESTIMATES -- The financial statements are prepared in accordance
with generally accepted accounting principles, which require management to make
estimates and assumptions that affect the reported amounts in the financial
statements and related disclosures. Management believes that the estimates
utilized in the preparation of the financial statements are prudent and
reasonable. Actual results could differ from those estimates.
The unaudited interim financial statements contained herein include, in the
opinion of management, all of the adjustments necessary for a fair presentation
of the results of operations and financial condition of the Partnership. These
financial statements should be read in conjunction with the Partnership's
December 31, 1999 annual report on Form 10-K.
REVENUE RECOGNITION -- Futures interests are open commitments until
settlement date. They are valued at market on a daily basis and the resulting
net changes in unrealized gains and losses is reflected in the change in
unrealized profit (loss) on open contracts from one period to the next in the
statements of operations. Morgan Stanley credits the Partnership at each
month-end with interest income as if 80% of the Partnership's average daily "Net
Assets" for the month, as defined in the Limited Partnership Agreement, were
invested at a rate based on U.S. Treasury bills. For purposes of such interest
payments, Net Assets do not include monies due the Partnership on futures
interests, but not actually received.
NET INCOME (LOSS) PER UNIT -- Net income (loss) per unit of limited
partnership interest is computed using the weighted average number of units
outstanding during the period.
EQUITY IN FUTURES INTERESTS TRADING ACCOUNTS -- The Partnerships' asset
"Equity in futures interests trading accounts," reflected in the statements of
financial condition, consists of (A) cash on deposit with the Commodity Brokers
to be used as margin for trading; and (B) net unrealized gains or losses on open
contracts, which are valued at market, and calculated as the difference between
original contract value and market value.
The Partnership, in the normal course of business, enters into various
contracts with MS & Co. and MSIL, acting as its commodity brokers. Pursuant to
brokerage arrangements with MS & Co. and MSIL, to the extent that such trading
results in receivables from and payables to MS & Co. and MSIL, these receivables
and payables are offset and reported as a net receivable from or payable to MS
& Co. and MSIL.
BROKERAGE AND RELATED TRANSACTION FEES AND COSTS -- Brokerage fees are
accrued at a monthly rate of 1/12 of 3.65% of the Net Assets as of the first day
of each month (a 3.65% annual rate). Such fees cover all costs of executing
trades by the Partnership, including floor brokerage
S-26
<PAGE>
fees, exchange fees, clearing house fees, NFA fees, "give-ups" or transfer fees
and any costs associated with taking delivery of commodities.
SERVICE FEE -- The Partnership pays Demeter a monthly service fee equal to
1/12 of 1% per month (a 1% annual rate) of the Partnership's Net Assets as of
the first day of each month.
OPERATING EXPENSES -- The Partnership incurs monthly management fees and
may incur incentive fees as described in Note 2. All administrative expenses are
borne by Demeter.
INCOME TAXES -- No provision for income taxes has been made in the
accompanying financial statements, as partners are individually responsible for
reporting income or loss based upon their respective share of the Partnership's
revenues and expenses for income tax purposes.
DISTRIBUTIONS -- Distributions, other than on redemption of Units, are made
on a pro-rata basis at the sole discretion of Demeter. No distributions have
been made to date.
OFFERING OF UNITS -- Units were offered to the public at a price equal to
100% of the net asset value as of the close of business on the last day of the
month immediately preceding the four closings held on January 2, February 2,
March 2 and April 1, 1998.
The Partnership, Demeter, Morgan Stanley Dean Witter Commodities Management
and Dean Witter, the selling agent and an affiliate of Demeter, extended the
Offering Period for those Units already registered with the SEC but still
unsold, until October 16, 1998. The remaining unsold Units were offered to the
public at a price equal to 100% of the Net Asset Value as of the close of
business on the last day of the month immediately preceding the three closings
held on August 3, September 1, and October 1, 1998.
REDEMPTIONS -- Limited Partners may redeem some or all of their Units at
100% of the Net Asset Value per Unit effective as of the last day of the sixth
month following the closing at which a person first becomes a Limited Partner,
upon five business days advance notice by redemption form to Demeter.
Thereafter, units may be redeemed as of the end of any month upon five business
days advance notice by redemption form to Demeter. However, any units redeemed
at or prior to the last day of the twelfth month after such units were purchased
were subject to a redemption charge equal to 2% of the Net Asset Value of a unit
on the date of such redemption. Units redeemed after the last day of the twelfth
month and on or prior to the last day of the twenty-fourth month after which
such Units were purchased will be subject to a redemption charge equal to 1% of
the Net Asset Value per Unit on the date of such redemption. Units redeemed
after the last day of the twenty-fourth month after which such Units were
purchased will not be subject to a redemption charge. Limited Partners who
obtained their Units via an exchange from another Dean Witter-sponsored
commodity pool were not subject to the six month holding period or the
redemption charges.
DISSOLUTION OF THE PARTNERSHIP -- The Partnership will terminate on
December 31, 2027 or at an earlier date if certain conditions occur as defined
in the Partnership's Limited Partnership Agreement.
2. RELATED PARTY TRANSACTIONS
The Partnership pays brokerage fees to the Commodity Brokers and a service
fee to Demeter as described in Note 1. The Partnership's cash is on deposit with
the Commodity Brokers in futures interests trading accounts to meet margin
requirements as needed. Morgan Stanley pays interest on these funds as described
in Note 1.
Demeter, on behalf of the Partnership and itself entered into a Management
Agreement with Morgan Stanley Dean Witter Commodities Management whereby Morgan
Stanley Dean Witter Commodities Management makes all trading decisions for the
Partnership. Compensation to Morgan Stanley Dean Witter Commodities Management
by the Partnership consists of a management fee and an incentive fee as follows:
MANAGEMENT FEE -- The management fee is accrued at the rate of 5/24 of 1%
of the Net Assets on the first day of each month (a 2.5% annual rate).
S-27
<PAGE>
INCENTIVE FEE -- The Partnership will pay an annual incentive fee equal to
20% of trading profits as of the end of each calendar year. Trading profits
represent the amount by which profits from futures trading exceed losses, after
brokerage and management fees have been paid. Such incentive fee is accrued in
each month in which trading profits occur. In those months in which trading
profits are negative, previous accruals, if any, during the incentive period
will be reduced. Any accrued incentive fees with respect to Units redeemed at
the end of a month that is not the end of a calendar year will be deducted and
paid to Morgan Stanley Dean Witter Commodities Management at the time of such
redemption.
3. FINANCIAL INSTRUMENTS
The Partnership trades futures contracts in metals, energy and agricultural
markets. Futures and forwards represent contracts for delayed delivery of an
instrument at a specified date and price. Risk arises from changes in the value
of these contracts and the potential inability of counterparties to perform
under the terms of the contracts. There are numerous factors which may
significantly influence the market value of these contracts, including interest
rate volatility.
In June 1998, the Financial Accounting Standards Board issued Statement of
Financial Accounting Standard ("SFAS") No. 133, "Accounting for Derivative
Instruments and Hedging Activities" effective for fiscal years beginning after
June 15, 1999. The issuance of SFAS No. 137, "Accounting for Derivative
Instruments and Hedging Activities--Deferral of the Effective Date of SFAS
No. 133," defers the required implementation of SFAS No. 133 until fiscal years
beginning after June 15, 2000. However, the Partnership has elected to adopt the
provisions of SFAS No. 133 beginning with the fiscal year that ended
December 31, 1998. SFAS No. 133 supersedes SFAS No. 119 and No. 105, which
required the disclosure of average aggregate fair values and contract/ notional
values, respectively, of derivative financial instruments for an entity which
carries its assets at fair value. The application of SFAS No. 133 does not have
a significant effect on the Partnership's financial statements.
The net unrealized gain (loss) on open contracts is reported as a component
of "Equity in futures interests trading accounts" on the statements of financial
condition and totaled $(556,090), $542,428, and $(635,643) at March 31, 2000,
December 31, 1999, and December 31, 1998 respectively.
The $556,090 net unrealized loss on open contracts at March 31, 2000, the
$542,428 net unrealized gain on open contracts at December 31, 1999, and the
$(635,643) net unrealized loss on open contracts at December 31, 1998, were
related to exchange-traded futures contracts that mature through April 2000,
April 2000, and June 1999, respectively.
The Partnership also has credit risk because Morgan Stanley and Morgan
Stanley International act as the futures commission merchants or the
counterparties with respect to most of the Partnership's assets. Exchange-traded
futures contracts are marked to market on a daily basis, with variations in
value settled on a daily basis. Each of Morgan Stanley and Morgan Stanley
International, as a futures commission merchant for the Partnership's
exchange-traded futures contracts, are required, pursuant to regulations of the
Commodity Futures Trading Commission to segregate from their own assets, and for
the sole benefit of their commodity customers, all funds held by them with
respect to exchange-traded futures contracts, including an amount equal to the
net unrealized gain on all open futures contracts, which funds, in the
aggregate, totaled $22,924,070, $23,972,565, and $25,884,248 at March 31, 2000,
December 31, 1999, and December 31, 1998, respectively.
4. LEGAL MATTERS
The class actions first filed in 1996 in California and in New York State
courts were each dismissed in 1999. On September 6, 10, and 20, 1996 and on
March 13, 1997, similar purported class actions were filed in the Superior Court
of the State of California, County of Los Angeles, on behalf of all purchasers
of interests in limited partnership commodity pools sold by Dean Witter. Named
defendants include Dean Witter, Demeter, Dean Witter Futures & Currency
Management
S-28
<PAGE>
Inc., Morgan Stanley Dean Witter & Co. (all such parties referred to hereafter
as the "Dean Witter Parties"), certain limited partnership commodity pools of
which Demeter is the general partner, and certain trading advisors to those
pools. On June 16, 1997, the plaintiffs in the above actions filed a
consolidated amended complaint, alleging, among other things, that the
defendants committed fraud, deceit, negligent misrepresentation, various
violations of the California Corporations Code, intentional and negligent breach
of fiduciary duty, fraudulent and unfair business practices, unjust enrichment,
and conversion in the sale and operation of the various limited partnership
commodity pools. The court entered an order denying class certification on
August 24, 1999. On September 24, 1999, the court entered an order dismissing
the case without prejudice on consent. Similar purported class actions were also
filed on September 18 and 20, 1996, in the Supreme Court of the State of New
York, New York County, and on November 14, 1996 in the Superior Court of the
State of Delaware, New Castle County against the Dean Witter Parties and certain
trading advisors on behalf of all purchasers of interests in various limited
partnership commodity pools sold by Dean Witter. A consolidated and amended
complaint in the action pending in the Supreme Court of the State of New York
was filed on August 13, 1997, alleging that the defendants committed fraud,
breach of fiduciary duty, and negligent misrepresentation in the sale and
operation of the various limited partnership commodity pools. The New York
Supreme Court dismissed the New York action in November 1998, but granted
plaintiffs leave to file an amended complaint, which they did in early December
1998. The defendants filed a motion to dismiss the amended complaint with
prejudice on February 1, 1999. By decision dated December 21, 1999, the New York
Supreme Court dismissed the case with prejudice.
In addition, on December 16, 1997, upon motion of the plaintiffs, the
action pending in the Superior Court of the State of Delaware was voluntarily
dismissed without prejudice.
5. SUBSEQUENT EVENTS (UNAUDITED)
Effective March 1, 2000, Spectrum Commodity pays brokerage fees accrued at
a monthly rate of 1/12 of 4.60% of the Net Assets as of the first day of each
month (a 4.60% annual rate) and does not pay any Service Fee, representing a net
reduction in fees of 0.05%.
Effective March 1, 2000, Dean Witter, not Morgan Stanley, acts as the
Partnership's non-clearing commodity broker, and as such, holds the
Partnership's funds in customer segregated or secured accounts, and provides all
required margin funds to the clearing commodity brokers. Additionaly, Dean
Witter credits the Partnership at each month-end with interest income as if 80%
of the Partnership's average daily "Net Assets" for the month, as defined in the
Limited Partnership Agreement, were invested at a rate based on U.S. Treasury
bills. Morgan Stanley and Morgan Stanley International continue to act as the
Partnership's clearing commodity brokers.
On March 3, 2000, the plaintiff in the New York action referred to in
Note 4 above filed an appeal of the order dismissing the consolidated complaint.
Effective March 7, 2000, the Partnership was renamed Morgan Stanley Dean
Witter Spectrum Commodity L.P.
S-29
<PAGE>
INDEPENDENT AUDITORS' REPORT
To the Board of Directors of
Demeter Management Corporation
We have audited the accompanying statements of financial condition of Demeter
Management Corporation (the "Company"), a wholly-owned subsidiary of Morgan
Stanley Dean Witter & Co., as of November 30, 1999 and 1998. These financial
statements are the responsibility of the Company's management. Our
responsibility is to express an opinion on these financial statements based on
our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the statement of financial condition is free
of material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the statement of financial condition.
An audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall statement of
financial condition presentation. We believe that our audits of the statements
of financial condition provide a reasonable basis for our opinion.
In our opinion, such statements of financial condition present fairly, in all
material respects, the financial position of Demeter Management Corporation at
November 30, 1999 and 1998 in conformity with generally accepted accounting
principles.
/s/ Deloitte & Touche LLP
January 21, 2000
New York, New York
S-30
<PAGE>
DEMETER MANAGEMENT CORPORATION
(WHOLLY-OWNED SUBSIDIARY OF MORGAN STANLEY DEAN WITTER & CO.)
STATEMENTS OF FINANCIAL CONDITION
<TABLE>
<CAPTION>
NOVEMBER 30,
FEBRUARY 29, -----------------------------
2000 1999 1998
------------ ------------ ------------
<S> <C> <C> <C>
$
(UNAUDITED) $ $
ASSETS
Investments in affiliated partnerships (Note
2) 17,997,295 17,825,316 16,959,248
Income taxes receivable 337,254 803,778 708,505
Receivable from affiliated partnerships 20,798 20,428 25,716
------------ ------------ ------------
Total Assets 18,355,347 18,649,522 17,693,469
------------ ------------ ------------
------------ ------------ ------------
LIABILITIES AND STOCKHOLDER'S EQUITY
LIABILITIES:
Payable to Morgan Stanley
Dean Witter & Co. 12,676,196 13,033,208 11,648,971
Accrued expenses 9,117 29,293 62,198
------------ ------------ ------------
Total Liabilities 12,685,313 13,062,501 11,711,169
------------ ------------ ------------
STOCKHOLDER'S EQUITY:
Common stock, no par value:
Authorized 1,000 shares; Issued and
outstanding 100 shares at stated value
of $500 per share 50,000 50,000 50,000
Additional paid-in capital 123,170,000 123,170,000 111,170,000
Retained earnings 5,520,034 5,437,021 5,832,300
------------ ------------ ------------
128,740,034 128,657,021 117,052,300
Less: Notes receivable from Morgan Stanley
Dean Witter & Co. (123,070,000) (123,070,000) (111,070,000)
------------ ------------ ------------
Total Stockholder's Equity 5,670,034 5,587,021 5,982,300
------------ ------------ ------------
Total Liabilities and Stockholder's
Equity 18,355,347 18,649,522 17,693,469
------------ ------------ ------------
------------ ------------ ------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
S-31
<PAGE>
DEMETER MANAGEMENT CORPORATION
(WHOLLY-OWNED SUBSIDIARY OF MORGAN STANLEY DEAN WITTER & CO.)
NOTES TO STATEMENTS OF FINANCIAL CONDITION
(INFORMATION WITH RESPECT TO 2000 IS UNAUDITED)
1. INTRODUCTION AND BASIS OF PRESENTATION
Demeter Management Corporation ("Demeter") is a wholly-owned subsidiary of
Morgan Stanley Dean Witter & Co. Effective February 19, 1998 Morgan Stanley,
Dean Witter, Discover & Co. changed its corporate name to Morgan Stanley Dean
Witter & Co.
Demeter manages the following commodity pools as sole general partner: Dean
Witter Cornerstone Fund II, Dean Witter Cornerstone Fund III, Dean Witter
Cornerstone Fund IV, Columbia Futures Fund, Dean Witter Diversified Futures Fund
Limited Partnership, Dean Witter Diversified Futures Fund II L.P., Dean Witter
Diversified Futures Fund III L.P., Dean Witter Multi-Market Portfolio L.P., Dean
Witter Principal Plus Fund L.P., Dean Witter Principal Plus Fund Management
L.P., Dean Witter Portfolio Strategy Fund L.P., Dean Witter Global Perspective
Portfolio L.P., Dean Witter World Currency Fund L.P., Dean Witter Institutional
Account II L.P., DWFCM International Access Fund L.P., Morgan Stanley Dean
Witter Spectrum Global Balanced L.P., Morgan Stanley Dean Witter Spectrum
Strategic L.P., Morgan Stanley Dean Witter Spectrum Technical L.P., Morgan
Stanley Dean Witter Spectrum Select L.P., Morgan Stanley Tangible Asset Fund
L.P., Morgan Stanley Dean Witter/Chesapeake L.P., DWR Institutional Balanced
Portfolio Account III L.P., Morgan Stanley Dean Witter/JWH Futures Fund L.P.,
Morgan Stanley Dean Witter/Market Street Futures Fund L.P., Morgan Stanley Dean
Witter Charter Graham L.P., Morgan Stanley Dean Witter Charter Millburn L.P.,
and Morgan Stanley Dean Witter Charter Welton L.P.
Each of the commodity pools is a limited partnership organized to engage in
the speculative trading of commodity futures contracts, forward contracts on
foreign currencies and other commodity interests.
The financial statements are prepared in accordance with generally accepted
accounting principles, which require management to make estimates and
assumptions that affect the reported amounts in the financial statements and
related disclosures. Management believes that the estimates utilized in the
preparation of the financial statements are prudent and reasonable. Actual
results could differ from these estimates.
The unaudited interim statement of financial condition contained herein
includes, in the opinion of management, all adjustments necessary for a fair
presentation of the statement of financial condition of Demeter.
On July 31, 1997, Demeter entered into a limited partnership agreement as
general partner in Morgan Stanley Tangible Asset Fund L.P. On November 4, 1997,
Morgan Stanley Tangible Asset Fund L.P. registered with the Securities and
Exchange Commission 5,000,000 units and began trading on January 2, 1998. Units
were made available to investors in a public offering that ended March 12, 1998
("Offering Period"). Subsequently, Morgan Stanley Tangible Asset Fund L.P.,
Demeter, the trading advisor and Dean Witter Reynolds agreed to extend the
Offering Period until no later than October 16, 1998 ("Extended Offering
Period"), and offered to the public unsold units remaining at the end of the
Offering Period.
In January of 1998, Demeter entered into a limited partnership agreement as
general partner in Morgan Stanley Dean Witter/Market Street Futures Fund, which
offers units to investors in a continuing private offering. The fund began
trading on October 1, 1998.
On April 20, 1998, Dean Witter Spectrum Balanced L.P. changed its name to
Dean Witter Spectrum Global Balanced L.P. and subsequently on April 30, 1999,
changed it to Morgan Stanley Dean Witter Spectrum Global Balanced L.P.
S-32
<PAGE>
On April 20, 1998, Dean Witter Select Futures Fund L.P. ("DWSF") changed
its name to Dean Witter Spectrum Select L.P. Effective May 1, 1998 Spectrum
Select became part of the Spectrum family of funds and consequently revised its
fee structure, instituted an exchange provision with other funds in the Spectrum
family and is offered to investors in a continuing public offering. On April 30,
1999, DWSF changed its name to Morgan Stanley Dean Witter Spectrum Select L.P.
On April 30, 1998, Demeter ceased trading activities in Dean Witter
Institutional Account II and subsequently distributed its net assets.
On May 11, 1998, Demeter registered with the SEC 5,000,000 additional units
of Dean Witter Spectrum Technical L.P. ("DWST") and 1,500,000 units of Spectrum
Select, both of which are being offered to investors in a continuing public
offering with previously registered units of the other Spectrum funds. On April
30, 1999, DWST changed its name to Morgan Stanley Dean Witter Spectrum
Technical, L.P.
On July 15, 1998, Demeter entered into a limited partnership agreement as
general partner in the Morgan Stanley Dean Witter Charter Series. The three
partnerships that comprise the Charter Series are Morgan Stanley Dean Witter
Charter Graham L.P., Morgan Stanley Dean Witter Charter Millburn L.P. and Morgan
Stanley Dean Witter Charter Welton L.P. On July 29, 1998, the Charter Series
individually registered with the SEC 3,000,000 units of Charter Graham,
3,000,000 units of Charter Millburn and 3,000,000 units of Charter Welton to be
offered to investors for a limited time in a public offering. Charter Graham,
Charter Millburn and Charter Welton each commenced trading on March 1, 1999.
On September 30, 1998, Demeter ceased trading activities in Dean Witter
Institutional Balanced Portfolio Account III, and subsequently distributed its
net assets.
On February 3, 1999, DWR Chesapeake L.P. changed its name to Morgan Stanley
Dean Witter/ Chesapeake L.P.
On February 3, 1999, DWR/JWH Futures Fund L.P. changed its name to Morgan
Stanley Dean Witter/JWH Futures Fund L.P.
On April 30, 1999, Dean Witter Spectrum Strategic L.P. changed its name to
Morgan Stanley Dean Witter Spectrum Strategic L.P.
On March 7, 2000, Morgan Stanley Tangible Asset Fund L.P. changed its name
to Morgan Stanley Dean Witter Spectrum Commodity L.P.
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
INCOME TAXES -- The results of operations of Demeter are included in the
consolidated federal income tax return of Morgan Stanley Dean Witter & Co.,
computed on a separate company basis and due to Morgan Stanley Dean Witter & Co.
3. INVESTMENTS IN AFFILIATED PARTNERSHIPS
The limited partnership agreement of each commodity pool requires Demeter
to maintain a general partnership interest in each partnership, generally in an
amount equal to, but not less than 1 percent of the aggregate capital
contributed to the partnership by all partners.
The total assets, liabilities and partners' capital of all the funds
managed by Demeter at February 29, 2000, and November 30, 1999 and 1998 were as
follows:
<TABLE>
<CAPTION>
NOVEMBER 30,
FEBRUARY 29, ----------------------------------
2000 1999 1998
-------------- -------------- --------------
<S> <C> <C> <C>
$ $ $
Total assets.......................... 1,348,402,633 1,355,594,817 1,316,093,947
Total liabilities..................... 33,756,305 28,406,267 21,644,069
Total partners' capital............... 1,314,646,328 1,327,188,550 1,294,449,878
</TABLE>
Demeter's investments in such limited partnerships are carried at market
value.
S-33
<PAGE>
4. PAYABLE TO MORGAN STANLEY DEAN WITTER & CO.
The payable to Morgan Stanley Dean Witter & Co. is primarily for amounts
due for the purchase of partnership investments, income tax payments made by
Morgan Stanley Dean Witter & Co. on behalf of Demeter and the cumulative results
of operations.
5. NET WORTH REQUIREMENT
At February 29, 2000, November 30, 1999, and November 30, 1998, Demeter
held non-interest bearing notes from Morgan Stanley Dean Witter & Co. that were
payable on demand. These notes were received in connection with additional
capital contributions aggregating $123,070,000 at February 29, 2000,
$123,070,000 at November 30, 1999, and $111,070,000 at November 30, 1998.
The limited partnership agreement of each commodity pool requires Demeter
to maintain its net worth at an amount not less than 10% of the capital
contributions by all partners in each pool in which Demeter is the general
partner (15% if the capital contributions to any partnership are less than
$2,500,000, or $250,000, whichever is less).
In calculating this requirement, Demeter's interests in each limited
partnership and any amounts receivable from or payable to such partnerships are
excluded from net worth. Notes receivable from Morgan Stanley Dean Witter & Co.
are included in net worth for purposes of this calculation.
6. LITIGATION
The class actions first filed in 1996 in California and in New York State
courts were each dismissed in 1999. On September 6, 10, and 20, 1996, and on
March 13, 1997, similar purported class actions were filed in the Superior Court
of the State of California, County of Los Angeles, on behalf of all purchasers
of interests in limited partnership commodity pools sold by Dean Witter. Named
defendants include Dean Witter, Demeter, Dean Witter Futures & Currency
Management Inc., Morgan Stanley Dean Witter & Co. (all such parties referred to
hereafter as the "Morgan Stanley Dean Witter Parties"), certain limited
partnership commodity pools of which Demeter is the general partner, and certain
trading advisors to those pools. On June 16, 1997, the plaintiffs in the above
actions filed a consolidated amended complaint alleging, among other things,
that the defendants committed fraud, deceit, negligent misrepresentation,
various violations of the California Corporations Code, intentional and
negligent breach of fiduciary duty, fraudulent and unfair business practices,
unjust enrichment, and conversion in the sale and operation of the various
limited partnership commodity pools. The court entered an order denying class
certification on August 24, 1999. On September 24, 1999, the court entered an
order dismissing the case without prejudice on consent. Similar purported class
actions were also filed on September 18 and 20, 1996 in the Supreme Court of the
State of New York, New York County, and on November 14, 1996 in the Superior
Court of the State of Delaware, New Castle County, against the Morgan Stanley
Dean Witter Parties and certain trading advisors on behalf of all purchasers of
interests in various limited partnership commodity pools sold by Dean Witter. A
consolidated and amended complaint in the action pending in the Supreme Court of
the State of New York was filed on August 13, 1997, alleging that the defendants
committed fraud, breach of fiduciary duty, and negligent misrepresentation in
the sale and operation of the various limited partnership commodity pools. The
New York Supreme Court dismissed the New York action in November 1998, but
granted plaintiffs leave to file an amended complaint, which they did in early
December 1998. The defendants filed a motion to dismiss the amended complaint
with prejudice on February 1, 1999. By decision dated December 21, 1999, the New
York Supreme Court dismissed the case with prejudice.
In addition on December 16, 1997, upon motion of the plaintiffs, the action
pending in the Superior Court of the State of Delaware was voluntarily dismissed
without prejudice.
7. SUBSEQUENT EVENT (UNAUDITED)
On March 3, 2000, the plaintiffs in the New York action referred to in Note
6 above filed an appeal of the order dismissing the consolidated complaint.
S-34
<PAGE>
MORGAN STANLEY DEAN WITTER SPECTRUM CURRENCY L.P.
MORGAN STANLEY DEAN WITTER SPECTRUM COMMODITY L.P.
SUPPLEMENT TO PROSPECTUS DATED MARCH 6, 2000
The Prospectus dated March 6, 2000 is supplemented by a supplement dated
June 22, 2000. You should read the supplement together with the prospectus.
June 22, 2000
