Morgan Stanley Dean Witter Charter Series
Monthly Report
September 1999
Dear Limited Partner:
The Net Asset Value per Unit for each of the three Morgan Stanley Dean
Witter Charter Funds as of September 30, 1999 was as follows:
Funds N.A.V. % change for month
Charter Graham $ 9.93 1.30%
Charter Millburn $10.32 0.19%
Charter Welton $ 8.36 -2.30%
In Charter Graham, gains were recorded during September primarily in the
currency markets from long Japanese yen positions as the value of the yen
strengthened versus the U.S. dollar. The yen's rise, despite an
intervention by the Bank of Japan during mid-month, was attributed
primarily to confidence in Japan's economic recovery. In the metals
markets, profits were recorded from long positions in copper futures as
copper prices moved higher amid improved demand from Asia and a decline in
LME warehouse stocks. Smaller gains were recorded in the energy markets
from long positions in crude oil futures as oil prices climbed to above $25
a barrel following an announcement by OPEC ministers stating that they
would adhere to agreed upon output cuts until April 2000. A portion of the
Fund's overall gains for the month was offset by losses incurred in the
global interest rate futures markets from short positions in eurodollar
futures as domestic bond prices experienced several erratic upward moves
during the month as a result of diminishing concerns regarding a possible
interest rate hike by the Federal Reserve.
In Charter Millburn, small gains were recorded during the month primarily
from long positions in crude oil and its refined products, unleaded gas and
heating oil, as oil prices reached a 33-month high after OPEC officials
commented that they would continue output cuts until April 2000.
Additional profits were recorded in the metals markets from newly
established long gold futures positions as gold prices skyrocketed
following the Bank of England's second gold auction on September 21. The
rally in gold prices continued after several European central banks
announced that they were to restrict sales of gold reserves for five years.
These gains were partially offset by losses incurred from short positions
in Nikkei Index futures as Japanese equity prices, which had moved lower
earlier in the month, reversed higher during the last week of September
amid speculation that the Bank of Japan would intervene further to stop the
rising yen. Smaller losses recorded in the currency markets from short
positions in the euro and Swiss franc, as the value of these currencies
finished the month higher against the U.S. dollar, more than offset profits
recorded from long Japanese yen positions as the value of the yen reached a
44-month high versus the dollar.
In Charter Welton, losses were recorded during September primarily in the
global stock index and currency markets. In global stock index futures
trading, losses were experienced from long positions in Hang Seng Index
futures as Hong Kong stock prices followed U.S. equity prices lower on
fears of another interest rate hike by the Federal Reserve. In currencies,
losses recorded from short positions in the euro and Swiss franc, as the
value of these currencies finished the month higher against the U.S.
dollar, more than offset profits recorded from long Japanese yen positions
as the value of the yen reached a 44-month high versus the dollar. In soft
commodities, losses were experienced from short cotton futures positions as
cotton prices jumped higher during the first half of the month after the
USDA reported strong export sales and a smaller U.S. crop. Smaller losses
were incurred in the metals markets from previously established short gold
futures positions as gold prices reversed sharply higher following the Bank
of England's second gold auction on September 21 and an announcement by
several European central banks of their plans to restrict sales of gold
reserves for five years. These losses were mitigated by profits recorded
from long positions in crude oil and its refined products, unleaded gas and
heating oil, as oil prices reached a 33-month high after OPEC officials
commented that they would continue output cuts until April 2000.
Additional gains were experienced from short positions in European bond
futures, specifically German and British interest rate futures, as prices
fell after the Bank of England raised interest rates and spurred fears that
the European Central Bank would follow.
<PAGE>
Should you have any questions concerning this report, please feel free to
contact Demeter Management Corporation at Two World Trade Center, 62nd
Floor, New York , NY 10048, or your Morgan Stanley Dean Witter Financial
Advisor.
I hereby affirm, that to the best of my knowledge and belief, the
information contained in this report is accurate and complete. Past
performance is not a guarantee of future results.
Sincerely,
Robert E. Murray
President
Demeter Management Corporation
General Partner
<PAGE>
<TABLE>
MORGAN STANLEY DEAN WITTER CHARTER SERIES
Historical Fund Performance
Presented below is the percentage change in Net Asset Value per
Unit from inception-to-date for each Fund in the Morgan Stanley
Dean Witter Charter Series. PAST PERFORMANCE IS NOT NECESSARILY
INDICATIVE OF FUTURE RESULTS.
<CAPTION>
Charter Graham
<S> <C>
Year Return
1999 (7 months) -0.7%
Inception-to-Date Return: -0.7%
_________________________________________________________________
___________________________
Charter Millburn
Year Return
1999 (7 months) 3.2%
Inception-to-Date Return: 3.2%
_________________________________________________________________
___________________________
Charter Welton
Year Return
1999 (7 months) -16.4%
Inception-to-Date Return: -16.4%
_________________________________________________________________
___________________________
</TABLE>
<PAGE>
<TABLE>
Morgan Stanley Dean Witter Charter Series
Statements of Operations
For the Month Ended September 30, 1999
(Unaudited)
<CAPTION>
Morgan Stanley Dean Witter
Charter Graham L.P. Morgan Stanley Dean Witter Charter Millburn L.P.
Percent of
Percent of
September 1, 1999
September 1, 1999
Beginning
Beginning
Amount Net Asset Value Amount
Net Asset Value
$ % $
%
REVENUES
<S> <C> <C> <C>
<C>
Trading Profit (Loss):
Realized 709,961 4.28
76,951 0.36
Net change in unrealized (431,031) (2.60)
42,612 0.20
Total Trading Results 278,930 1.68
119,563 0.56
Interest Income (DWR) 60,067 0.36
78,046 0.37
Total Revenues 338,997 2.04
197,609 0.93
EXPENSES
Brokerage fees (DWR) 96,689 0.58
123,282 0.58
Management fees 27,626 0.16
35,223 0.16
Total Expenses 124,315 0.74
158,505 0.74
NET INCOME (LOSS) 214,682 1.30
39,104 0.19
Morgan Stanley Dean Witter Charter Series
Statements of Changes in Net Asset Value
For the Month Ended September 30, 1999
(Unaudited)
Morgan Stanley Dean Witter Charter Graham L.P. Morgan
Stanley Dean Witter Charter Millburn L.P.
Units Amount Per Unit Units
Amount Per Unit
$ $
$ $
<S> <C> <C> <C> <C>
<C> <C>
Net Asset Value,
September 1, 1999 1,690,056.839 16,575,331 9.81
2,052,432.685 21,134,238 10.30
Net Income (Loss) - 214,682 0.12 -
39,104 0.02
Redemptions (4,317.391) (42,872) 9.93
(9,137.688) (94,301) 10.32
Subscriptions 87,226.445 866,159 9.93
157,554.950 1,625,967 10.32
Net Asset Value,
September 30, 1999 1,772,965.893 17,613,300 9.93
2,200,849.947 22,705,008 10.32
The accompanying notes are an integral part of these financial statements.
</TABLE>
<PAGE>
<TABLE>
Morgan Stanley Dean Witter Charter Series
Statements of Operations
For the Month Ended September 30, 1999
(Unaudited)
<CAPTION>
Morgan Stanley Dean
Witter Charter Welton L.P.
Percent of
Serptember 1, 1999
Beginning
Amount Net Asset Value
$ %
REVENUES
<S> <C> <C>
Trading Profit (Loss):
Realized (22,850) (0.12)
Net change in unrealized (335,211) (1.79)
Total Trading Results (358,061) (1.91)
Interest Income (DWR) 68,320 0.36
Total Revenues (289,741) (1.55)
EXPENSES
Brokerage fees (DWR) 109,254 0.58
Management fees 31,215 0.17
Total Expenses 140,469 0.75
NET INCOME (LOSS) (430,210) (2.30)
Morgan Stanley Dean Witter Charter Series
Statements of Changes in Net Asset Value
For the Month Ended September 30, 1999
(Unaudited)
Morgan Stanley Dean Witter Charter Welton L.P.
Units Amount Per Unit
$ $
<S> <C> <C> <C>
Net Asset Value,
September 1, 1999 2,190,047.864 18,729,198 8.55
Net Income (Loss) - (430,210) (0.19)
Redemptions (15,327.118) (128,135) 8.36
Subscriptions 108,447.124 906,618 8.36
Net Asset Value,
September 30, 1999 2,283,167.870 19,077,471 8.36
The accompanying notes are an integral part of these financial statements.
</TABLE>
<PAGE>
Morgan Stanley Dean Witter Charter Series
Notes to Financial Statements
(Unaudited)
1. Summary of Significant Accounting Policies
Organization - Morgan Stanley Dean Witter Charter Graham L.P. ("Charter
Graham"), Morgan Stanley Dean Witter Charter Millburn L.P. ("Charter
Millburn"), and Morgan Stanley Dean Witter Charter Welton L.P. ("Charter
Welton") (individually, a "Partnership", or collectively, the
"Partnerships") are limited partnerships organized to engage in the
speculative trading of futures and forward contracts, options on futures
contracts on physical commodities and other commodity interests, including
foreign currencies, financial instruments, metals, energy and agricultural
products (collectively, "futures interests"). The general partner for each
Partnership is Demeter Management Corporation ("Demeter"). The non-
clearing commodity broker is Dean Witter Reynolds, Inc. ("DWR") and an
unaffiliated clearing commodity broker, Carr Futures Inc. ("Carr"),
provides clearing and execution services. Demeter and DWR are wholly-owned
subsidiaries of Morgan Stanley Dean Witter & Co.
Demeter is required to maintain a 1% minimum interest in the equity of each
Partnership and income (losses) are shared by the General and Limited
Partners based upon their proportional ownership interests.
Use of Estimates - The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date
of the financial statements and the reported amounts of revenues and
expenses during the reporting period. Actual results could differ from
those estimates.
Revenue Recognition - Futures interests are open commitments until
settlement date. They are valued at market and the resulting unrealized
gains and losses are reflected in income. Monthly, DWR credits each
Partnership with interest income on 100% of its average daily funds held in
its individual account at DWR at a rate equal to that earned by DWR on its
U.S. Treasury bill investments during such month. Carr also credits DWR
with the interest income earned with respect to the Partnership's Net
Assets maintained in trading accounts at Carr. DWR in turn credits the
Partnership with 100% of the interest income received from Carr. For
purposes of such interest payments, Net Assets do not include monies due
to the Partnership on forward contracts and other futures interests, but
not actually received.
Net Income (Loss) per Unit - Net income (loss) per Limited Partnership
interest ("Unit(s)") is computed using the weighted average number of Units
outstanding during the period.
Brokerage and Related Transaction Fees and Costs - Each Partnership pays a
flat-rate monthly brokerage fee of 1/12 of 7% of the Partnership's Net
Assets as of the first day of each month (a 7% annual rate). Such fee
covers all brokerage commissions, transaction fees and costs and ordinary
administrative and offering expenses.
Operating Expenses - The Partnerships incur monthly management fees and may
incur incentive fees. Demeter bears all other operating expenses.
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 each
Partnership's revenues and expenses for income tax purposes.
Distributions - Distributions, other than on redemptions of Units, are made
on a pro-rata basis at the sole discretion of Demeter. No distributions
have been made to date.
Continuing Offering - Units of each Partnership are offered at a price
equal to 100% of the Net Asset Value per Unit at monthly closings held as
of the last day of each month.
<PAGE>
Morgan Stanley Dean Witter Charter Series
Notes to Financial Statements
(Concluded)
Redemptions - Limited Partners may redeem some or all of their Units as of
the last day of the sixth month following the closing at which a person
first becomes a Limited Partner. Redemptions may only be made in whole
Units, with a minimum of 100 Units required for each redemption, unless a
Limited Partner is redeeming his entire interest in the Partnership.
Units redeemed on or prior to the last day of the twelfth month from the
date of purchase will be subject to a redemption charge equal to 2% of the
Net Asset Value of a Unit on the
Redemption Date. Units redeemed after the last day of the twelfth month
and on or prior to the last day of the twenty-fourth month from the date of
purchase will be subject to a redemption charge equal to 1% of the Net
Asset Value of a Unit on the Redemption Date. Units redeemed after the
last day of the twenty-fourth month from the date of purchase will not be
subject to a redemption charge.
Exchanges - On the last day of the first month which occurs more than 180
days after a person first becomes a Limited Partner in any of the
Partnerships, and at the end of each month thereafter, Limited Partners may
transfer their investment among the Partnerships (subject to certain
restrictions outlined in the Limited Partnership Agreements) without paying
additional charges.
Dissolution of the Partnership - Each Partnership will terminate on
December 31, 2035 or at an earlier date if certain conditions occur as
defined in the Partnership's Limited Partnership Agreement.
2. Related Party Transactions
Each Partnership pays brokerage fees to DWR for trades executed on its
behalf as described in Note 1. Each Partnership's cash is on deposit with
DWR and Carr in future interests trading accounts to meet margin
requirements as needed. DWR pays interest on these funds as described in
Note 1.
3. Trading Advisors
Demeter, on behalf of each Partnership, retains certain commodity trading
advisors to make all trading decisions for the Partnerships. The trading
advisors for each Partnership are as follows:
Morgan Stanley Dean Witter Charter Graham L.P.
Graham Capital Management L.P.
Morgan Stanley Dean Witter Charter Millburn L.P.
Millburn Ridgefield Corporation
Morgan Stanley Dean Witter Charter Welton L.P.
Welton Investment Corporation
Compensation to the trading advisors by the Partnerships consists of
management fees and incentive fees as follows:
Management Fee - Each Partnership pays a flat-rate monthly fee of 1/12 of
2% of the Net Assets under management by each trading advisor as of the
first day of each month (a 2% annual rate).
Incentive Fee - Each Partnership pays a monthly incentive fee equal to 20 %
of "Trading Profits", (as defined in the Limited Partnership Agreements),
as of the end of each calendar month. When a trading advisor experiences
losses with respect to Net Assets as of the end of a calendar month, the
trading advisor must earn back such losses before that trading advisor is
eligible for an incentive fee in the future.
