<PAGE>
MORGAN STANLEY DEAN WITTER CHARTER SERIES
TOTAL UNITS OF LIMITED PARTNERSHIP INTERESTS OFFERED:
1,829,177.065 UNITS OF MORGAN STANLEY DEAN WITTER CHARTER GRAHAM L.P.
1,615,947.362 UNITS OF MORGAN STANLEY DEAN WITTER CHARTER MILLBURN L.P.
1,440,411.328 UNITS OF MORGAN STANLEY DEAN WITTER CHARTER WELTON L.P.
- --------------------------------------------------------------------------------
SUPPLEMENT
TO PROSPECTUS
DATED NOVEMBER 6, 1998
YOU SHOULD READ THIS SUPPLEMENT TOGETHER WITH THE PROSPECTUS DATED NOVEMBER 6,
1998. ALL CAPITALIZED TERMS USED AND NOT OTHERWISE DEFINED IN THIS SUPPLEMENT
HAVE THE SAME MEANINGS AS USED IN THE PROSPECTUS. ALL PAGE AND SECTION
REFERENCES IN THIS SUPPLEMENT RELATE TO THE PROSPECTUS, EXCEPT REFERENCES TO
PAGES PRECEDED BY "S-," WHICH RELATE TO THIS SUPPLEMENT.
PURCHASE PRICE
You may purchase Units as of the last day of each month. The price you pay will
equal 100% of the Net Asset Value per Unit on the date of purchase. Following
are the offering prices per Unit for each Partnership at June 30, 1999:
<TABLE>
<S> <C>
Charter Graham.................................................. $ 9.62
Charter Millburn................................................ $ 10.60
Charter Welton.................................................. $ 9.21
</TABLE>
THE RISKS
THESE ARE SPECULATIVE SECURITIES. YOU COULD LOSE ALL OR SUBSTANTIALLY ALL OF
YOUR INVESTMENT IN THE PARTNERSHIPS. READ THE PROSPECTUS AND THIS SUPPLEMENT
BEFORE YOU DECIDE TO INVEST. SEE "RISK FACTORS" BEGINNING ON PAGE 15 OF THE
PROSPECTUS.
x The performance of each Partnership has been volatile and the Net Asset
Value per Unit for each Partnership may fluctuate significantly.
x There is no secondary market for Units and you may not redeem your
Units until you have been an investor for at least six months.
x If you redeem any of your Units within twenty-four months after they
are purchased, you may have to pay a redemption charge.
x In order for each Partnership to cover its expenses, each Partnership
must earn annual net Trading Profits (after taking into account
estimated interest income, based on current rates of 4.70%) of the
following percentages of average annual Net Assets:
<TABLE>
<CAPTION>
WITHOUT A WITH A 2%
REDEMPTION CHARGE REDEMPTION CHARGE
----------------- -----------------
<S> <C> <C>
Charter Graham..................... 4.50% 6.54%
Charter Millburn................... 4.50% 6.54%
Charter Welton..................... 4.50% 6.54%
</TABLE>
- --------------------------------------------------------------------------------
NEITHER THE SECURITIES AND EXCHANGE COMMISSION NOR ANY STATE SECURITIES
COMMISSION HAS APPROVED OR DISAPPROVED OF THESE SECURITIES OR DETERMINED IF THIS
PROSPECTUS IS TRUTHFUL OR COMPLETE. ANY REPRESENTATION TO THE CONTRARY IS A
CRIMINAL OFFENSE.
THE COMMODITY FUTURES TRADING COMMISSION HAS NOT PASSED UPON THE MERITS OF
PARTICIPATING IN ANY ONE OF THESE POOLS NOR HAS THE COMMISSION PASSED UPON THE
ADEQUACY OR ACCURACY OF THIS DISCLOSURE DOCUMENT.
- --------------------------------------------------------------------------------
MORGAN STANLEY DEAN WITTER
DEAN WITTER REYNOLDS INC.
THE DATE OF THIS SUPPLEMENT IS AUGUST 13, 1999.
<PAGE>
TABLE OF CONTENTS
PAGE
<TABLE>
<S> <C>
Summary.................................................................... S-1
Description of Charges..................................................... S-2
The Charter Series......................................................... S-3
Selected Financial Data.................................................... S-6
Capitalization............................................................. S-6
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-15
The Trading Advisors....................................................... S-19
Certain Litigation......................................................... S-37
Potential Advantages....................................................... S-37
Experts.................................................................... S-51
Independent Auditors' Report to the Limited Partners and the General
Partner............................................................ S-52
Statements of Financial Condition................................ S-53
Notes to Financial Statements for Morgan Stanley Dean Witter
Charter Series......................................................... S-64
Independent Auditors' Report to the Board of Directors of Demeter
Management Corporation............................................. S-68
Statements of Financial Condition for Demeter Management
Corporation............................................................ S-69
Notes to Statements of Financial Condition for Demeter Management
Corporation............................................................ S-70
</TABLE>
<PAGE>
YOU SHOULD REVIEW THE FOLLOWING INFORMATION WITH THE PROSPECTUS BECAUSE THE
INFORMATION CONTAINED IN THIS SUPPLEMENT UPDATES AND REPLACES PORTIONS OF THE
PROSPECTUS.
SUMMARY
THE FOLLOWING INFORMATION UPDATES AND REPLACES THE SUMMARY
OF CERTAIN STATISTICAL INFORMATION AS OF JUNE 30, 1999 FOR EACH PARTNERSHIP
UNDER "SUMMARY OF THE PROSPECTUS--THE MORGAN STANLEY DEAN WITTER CHARTER SERIES"
ON PAGES 2-4.
MORGAN STANLEY DEAN WITTER CHARTER GRAHAM L.P.
<TABLE>
<S> <C> <C>
Performance Information: Break-Even Information:
Inception to date return Percentage of estimated
(since 3/1/99) (3.80)% annual net trading profits
(after interest income)
needed to cover expenses 4.50%
Net Assets Allocated to:
GCM's Global Diversified Program100% Percentage of estimated
annual net trading profits
(after interest income)
needed to cover expenses
and the 2% redemption
charge if Units are
redeemed within twelve
months after they are
purchased 6.54%
</TABLE>
MORGAN STANLEY DEAN WITTER CHARTER MILLBURN L.P.
<TABLE>
<S> <C> <C>
Performance Information: Break-Even Information:
Inception to date return Percentage of estimated
(since 3/1/99) 6.00% annual net trading profits
(after interest income)
needed to cover expenses 4.50%
Net Assets Allocated to:
MRC's Diversified Portfolio 100% Percentage of estimated
annual net trading profits
(after interest income)
needed to cover expenses
and the 2% redemption
charge if Units are
redeemed within twelve
months after they are
purchased 6.54%
</TABLE>
MORGAN STANLEY DEAN WITTER CHARTER WELTON L.P.
<TABLE>
<S> <C> <C>
Performance Information: Break-Even Information:
Inception to date return Percentage of estimated
(since 3/1/99) (7.90)% annual net trading profits
(after interest income)
needed to cover expenses 4.50%
Net Assets Allocated to:
WIC's Diversified Portfolio 100% Percentage of estimated
annual net trading profits
(after interest income)
needed to cover expenses
and the 2% redemption
charge if Units are
redeemed within twelve
months after they are
purchased 6.54%
</TABLE>
S-1
<PAGE>
DESCRIPTION OF CHARGES
THE FOLLOWING INFORMATION UPDATES AND REPLACES THE BREAK
EVEN TABLE UNDER "DESCRIPTION OF CHARGES--BREAK EVEN ANALYSIS" ON PAGES 31-32.
In order for you to break even and pay the 2% redemption
charge during the first year on an initial investment of $20,000 in a
Partnership, the Partnership must earn net Trading Profits (after taking into
account estimated interest income, based on current rates of 4.70%) of $1,308,
or 6.54%.
<TABLE>
<CAPTION>
$20,000
INVESTMENT
----------
<S> <C>
$
Management Fee(1).......................................... 400
Brokerage Fee(2)........................................... 1,400
Less: Interest Income(3)................................... (900)
Redemption Fee(4).......................................... 408
Incentive Fee(5)........................................... --
Amount of Trading Income Required for a Limited Partner to
Recoup its Investment at the End of One Year....... 1,308
Percentage of Selling Price per Unit....................... 6.54%
</TABLE>
- --------------------------------------------------------------------------------
Notes
(1) The monthly management fee payable to each Trading Advisor is equal to 1/12
of 2% (a 2% annual rate) of Net Assets on the first day of each month.
(2) The monthly flat-rate brokerage fee payable to DWR is 1/12 of 7.0% (a 7.0%
annual rate) of Net Assets as of the first day of the month. This fee covers
all brokerage fees and transaction fees and costs (including "give up" and
transfer fees).
(3) DWR credits each Partnership at month-end with interest income at the rate
earned by DWR on its U.S. Treasury bill investments with customer segregated
funds as if 100% of each Partnership's average daily funds (including cash
and securities) held in such Partnership's account with DWR during the month
were invested in U.S. Treasury bills at such rate. In addition, DWR will
credit each Partnership with 100% of the interest income DWR receives from
CFI with respect to such Partnership's assets deposited as margin with CFI.
For purposes of the break-even calculation, it was estimated that
approximately 80% of each Partnership's average daily funds maintained in
trading accounts will be on deposit with DWR and earn interest income at a
rate of approximately 4.70%, and that approximately 20% of each
Partnership's average daily funds maintained in trading accounts will be on
deposit with CFI and generate interest income at a rate of approximately
3.70%. An interest rate of 4.70% was derived by using an average of the
blended rate for the five most recent weekly auction rates for three-month
U.S. Treasury bills and adjusting for the historical rate that DWR earned in
excess of such amount.
(4) Units redeemed at the end of one year from the date of purchase are subject
to a 2% redemption charge.
(5) Incentive fees are assumed to be zero because (i) interest income is greater
than the redemption fee and (ii) each Trading Advisor's trading profits are
assumed to equal expenses.
S-2
<PAGE>
THE FOLLOWING SUPPLEMENTS THE PROSPECTUS BY PROVIDING
INFORMATION CONCERNING THE PERFORMANCE OF EACH PARTNERSHIP SINCE EACH COMMENCED
TRADING ON MARCH 1, 1999.
THE CHARTER SERIES
Charter Graham, Charter Millburn, and Charter Welton were
each formed as limited partnerships in the State of Delaware on July 15, 1998
and each commenced trading operations on March 1, 1999.
Each Partnership's Net Asset Value per Unit is calculated
independently of the other Partnerships. Each Partnership's performance depends
solely on the performance of its Trading Advisor.
The Partnerships are continuously offering Units for sale at
Monthly Closings held as of the last day of each month. The purchase price per
Unit is equal to 100% of the Net Asset Value of a Unit as of the date of the
Monthly Closing at which the General Partner accepts a subscriber's
subscription.
The following is a summary of certain information relating
to the sale of Units in each Partnership from its commencement of operations
through June 30, 1999:
<TABLE>
<CAPTION>
CHARTER CHARTER CHARTER
GRAHAM MILLBURN WELTON
-------------- -------------- --------------
<S> <C> <C> <C>
Units Sold............................. 1,170,822.935 1,384,052.638 1,559,588.672
Units Unsold........................... 1,829,177.065 1,615,947.362 1,440,411.328
Proceeds Received...................... $ 11,219,811 $ 14,041,545 $ 14,770,256
General Partner Contributions.......... $ 140,000 $ 165,000 $ 170,000
Number of Limited Partners............. 762 854 857
</TABLE>
PERFORMANCE RECORDS
Tables I through III below contain a summary of performance
information for each Partnership from its commencement of trading through June
30, 1999. All performance information has been calculated on an accrual basis in
accordance with generally accepted accounting principles. The footnotes on page
S-5 are an integral part of the following tables.
You are cautioned that the information set forth in each
capsule performance summary is not indicative of, and has no bearing on, any
trading results which may be attained by the Parnerships in the future. Past
results are not a guarantee of future results. We cannot assure you that a
Partnership will make any profits or will be able to avoid incurring substantial
losses. You should also note that interest income may constitute a significant
portion of a commodity pool's total income and, in certain instances, may
generate profits where there have been realized or unrealized losses from
futures interest trading.
S-3
<PAGE>
TABLE I
PERFORMANCE OF CHARTER GRAHAM
Type of Pool: Publicly-Offered Pool
Inception of Trading: March 1999
Aggregate Subscriptions: $11,359,811
Current Capitalization: $11,402,054
Current Net Asset Value per Unit: $9.62
Worst Monthly % Drawdown (Month/Year): (8.00)% (March 1999)
Worst Month-End Peak-to-Valley Drawdown: (9.80)% (3 months, March 1999-June
1999)
Cumulative Return Since Inception: (3.80)%
<TABLE>
<CAPTION>
MONTHLY
RATE OF
RETURN
MONTH 1999
------------------------------------------------ -----------
<S> <C>
%
March........................................... (8.00)
April........................................... 4.24
May............................................. (5.94)
June............................................ 6.65
Compound Period Rate of Return.................. (3.80)
<CAPTION>
(4 Months)
</TABLE>
TABLE II
PERFORMANCE OF CHARTER MILLBURN
Type of Pool: Publicly-Offered Pool
Inception of Trading: March 1999
Aggregate Subscriptions: $14,206,545
Current Capitalization: $14,844,702
Current Net Asset Value per Unit: $10.60
Worst Monthly % Drawdown (Month/Year): (3.54)% (May 1999)
Worst Month-End Peak-to-Valley Drawdown: (3.54)% (1 month, May 1999)
Cumulative Return Since Inception: 6.00%
<TABLE>
<CAPTION>
MONTHLY
RATE OF
RETURN
MONTH 1999
------------------------------------------------ -----------
<S> <C>
%
March........................................... (0.50)
April........................................... 5.03
May............................................. (3.54)
June............................................ 5.16
Compound Period Rate of Return.................. 6.00
<CAPTION>
(4 Months)
</TABLE>
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
S-4
<PAGE>
TABLE III
PERFORMANCE OF CHARTER WELTON
Type of Pool: Publicly-Offered Pool
Inception of Trading: March 1999
Aggregate Subscriptions: $14,940,256
Current Capitalization: $14,534,027
Current Net Asset Value per Unit: $9.21
Worst Monthly % Drawdown (Month/Year): (7.70)% (March 1999)
Worst Month-End Peak-to-Valley Drawdown: (10.60)% (3 months, March 1999-June
1999)
Cumulative Return Since Inception: (7.90)%
<TABLE>
<CAPTION>
MONTHLY
RATE OF
RETURN
MONTH 1999
------------------------------------------------ -----------
<S> <C>
%
March........................................... (7.70)
April........................................... 0.33
May............................................. (3.46)
June............................................ 3.02
Compound Period Rate of Return.................. (7.90)
<CAPTION>
(4 Months)
</TABLE>
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
FOOTNOTES TO TABLES I, II, AND III
"Drawdown" means decline in Net Asset Value per Unit. "Worst
Month-End Peak-to-Valley Drawdown" is equivalent to the "drawdown" experienced
by a Partnership and represents the greatest percentage decline from any
month-end Net Asset Value per Unit which occurs without such month-end Net Asset
Value per Unit being equaled or exceeded as of a subsequent month-end. In dollar
terms, for example, if the Net Asset Value per Unit of a Partnership declined by
$1 in each of January and February, increased by $1 in March and declined again
by $2 in April, a "peak-to-valley drawdown" analysis conducted as of the end of
April would consider that "drawdown" to be still continuing and to be $3 in
amount, whereas if the Net Asset Value of a Unit had increased by $2 in March,
the January-February drawdown would have ended as of the end of February at the
$2 level. Such "drawdowns" are measured on the basis of month-end Net Asset
Values only, and do not reflect intra-month figures.
"Monthly Rate of Return" is the percentage change in Net
Asset Value per Unit from one month to another.
"Compound Period Rate of Return" is calculated by
multiplying on a compound basis each of the monthly rates of return and not by
adding or averaging such monthly rates of return.
S-5
<PAGE>
SELECTED FINANCIAL DATA
Following is the results of operations for each Partnership
for the period from March 1, 1999 (commencement of operations) to March 31,
1999. For the complete financial statements for all the Partnerships, see pages
S-52 through S-67. For performance information with respect to each Partnership,
see "The Charter Series--Performance Records" above.
<TABLE>
<CAPTION>
CHARTER CHARTER CHARTER
GRAHAM MILLBURN WELTON
------------------- ------------------- -------------------
<S> <C> <C> <C>
$ $ $
<CAPTION>
(Unaudited) (Unaudited) (Unaudited)
<S> <C> <C> <C>
REVENUES
Trading profit (loss):
Realized........................ (272,633) (37,662) (457,852)
Net change in unrealized........ (59,408) 31,915 32,030
----------- ----------- -----------
Total Trading
Results.................... (332,041) (5,747) (425,822)
Interest income (DWR and Carr).......... 14,907 16,876 20,478
----------- ----------- -----------
Total Revenues......... (317,134) 11,129 (405,344)
----------- ----------- -----------
EXPENSES
Brokerage fees (DWR).................... 25,452 28,204 33,842
Management fees......................... 7,272 8,058 9,669
----------- ----------- -----------
Total Expenses......... 32,724 36,262 43,511
----------- ----------- -----------
NET LOSS................................ (349,858) (25,133) (448,855)
----------- ----------- -----------
----------- ----------- -----------
NET LOSS PER UNIT FOR PERIOD:
Limited Partners........................ (.80) (.05) (.77)
General Partner......................... (.80) (.05) (.77)
TOTAL ASSETS AT END OF PERIOD........... 6,123,087 7,692,013 8,149,128
TOTAL NET ASSETS AT END OF PERIOD....... 6,090,363 7,655,751 8,105,617
NET ASSET VALUE PER UNIT AT END OF
PERIOD...........................
Limited Partners........................ 9.20 9.95 9.23
General Partner......................... 9.20 9.95 9.23
</TABLE>
CAPITALIZATION
THE FOLLOWING UPDATES THE INFORMATION UNDER
"CAPITALIZATION"ON PAGE 36. THE FOOTNOTES ON PAGE 36 ARE AN INTEGRAL PART OF THE
FOLLOWING TABLE.
The following table sets forth the capitalization of each
Partnership as of June 30, 1999 and the pro forma capitalization of each
Partnership adjusted to reflect (i) the proceeds (at the respective Net Asset
Values of $9.62, $10.60 and $9.21 per Unit as of June 30, 1999) to Charter
Graham, Charter Millburn and Charter Welton from the sale during the next 12
months of the approximately 1,829,177.065, 1,615,947.362 and 1,440,411.328
unsold Units, respectively, and (ii) the capital contribution required of the
General Partner based on such capitalization of each Partnership. There will be
no difference insofar as sharing of profits and losses are concerned between
Units of Limited Partnership Interest and Units of General Partnership Interest.
S-6
<PAGE>
<TABLE>
<CAPTION>
PRO FORMA (1)
------------
AMOUNT TO BE
AMOUNT OUTSTANDING
OUTSTANDING IF
AS OF ADDITIONAL
JUNE 30, UNITS ARE
1999 SOLD
----------- -------------
<S> <C> <C>
$ $
<CAPTION>
(Unaudited)
<S> <C> <C>
Charter Graham
Limited Partnership Interest (2)............... 11,261,387 28,858,070
General Partnership Interest (3)............... 140,667 291,496
Charter Millburn
Limited Partnership Interest (2)............... 14,672,331 31,801,373
General Partnership Interest (3)............... 172,371 321,226
Charter Welton
Limited Partnership Interest (2)............... 14,369,204 27,635,392
General Partnership Interest (3)............... 164,823 279,145
</TABLE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS
THE FOLLOWING INFORMATION SUPPLEMENTS THE INFORMATION FOR
EACH PARTNERSHIP UNDER THE CAPTION "MANAGEMENT'S DISCUSSION AND ANALYSIS OF
CERTAIN FINANCIAL MATTERS" BEGINNING ON PAGE 36.
MORGAN STANLEY DEAN WITTER CHARTER GRAHAM L.P.
RESULTS OF OPERATIONS
For the Period Ended March 31, 1999. For the period from
March 1, 1999 (commencement of operations) to March 31, 1999, the Partnership
recorded total trading losses net of interest income of $317,134 and posted a
decrease in Net Asset Value per Unit. The most significant losses were recorded
during March in the agricultural markets from short corn futures positions as
prices moved higher in a technical and seasonally driven rally, as well as a
lack of heavy producer selling. In the global interest rate futures markets,
losses were experienced from short German government bond futures positions as
prices increased on reports that Germany's industrial production showed a sharp
increase, creating hopes that Europe's biggest economy could be strengthening.
Additional losses were recorded from short Australian bond futures positions as
prices increased on reports of depressed gold prices during late-March which
have hampered the Australian dollar and the Australian stock market and enhanced
Australian bond prices. In the metals markets, losses were recorded from short
aluminum futures positions as prices increased during mid-March as good demand
in the United States prompted shipments from Europe amid a drawdown in supply.
In the currency markets, losses were experienced early in March from short
Japanese yen positions as the value of the yen increased versus the U.S. dollar
amid new signs that Japan's economy may be on the mend and speculation that
interest rates may soon rise. In the energy markets, smaller losses were
recorded from short natural gas futures positions as prices increased
significantly early in March on speculative short covering.
Total expenses for the period ended March 31, 1999 were
$32,724, resulting in a net loss of $349,858. The value of a Unit decreased from
$10.00 at March 1, 1999 (commencement of operations) to $9.20 at March 31, 1999.
MORGAN STANLEY DEAN WITTER CHARTER MILLBURN L.P.
RESULTS OF OPERATIONS
For the Period Ended March 31, 1999. For the period from
March 1, 1999 (commencement of operations) to March 31, 1999, the Partnership
recorded total trading revenues including interest income of $11,129 and, after
expenses, posted a decrease in Net Asset Value per Unit. The most significant
losses were recorded in the metals markets from short aluminum futures positions
as
S-7
<PAGE>
prices increased during mid-March due to a possible drawdown in warehouse
stocks. Additional losses were recorded during late-March from newly established
long aluminum futures positions as prices moved lower on profit taking. In soft
commodities, losses were experienced from short positions in coffee and cotton
futures on technically motivated speculative buying and rumors that an
influential merchant turned bullish early in March. In the global interest rate
futures markets, losses were recorded early in March from short U.S. interest
rate futures positions as domestic bond prices rose due to encouraging
productivity data released by the U.S. Labor Department and on comments by
Federal Reserve Chairman Alan Greenspan that there are no obvious signs of
emerging inflation pressures. In the agricultural markets, losses were recorded
from short corn futures positions as prices moved higher in a technical and
seasonally driven rally early in March and on a lack of farmer selling. These
losses were partially offset by gains in the energy markets from long futures
positions in crude oil, unleaded gas and heating oil as prices climbed following
an agreement reached by both OPEC and non-OPEC countries to cut total output
beginning April 1st. In the currency markets, gains were recorded from short
euro positions as its value decreased versus the U.S. dollar on speculation that
U.S. interest rates will continue to rise due to positive economic data released
during early March.
Total expenses for the period ended March 31, 1999 were
$36,262, resulting in a net loss of $25,133. The value of a Unit decreased from
$10.00 at March 1, 1999 (commencement of operations) to $9.95 at March 31, 1999.
MORGAN STANLEY DEAN WITTER CHARTER WELTON L.P.
RESULTS OF OPERATIONS
For the Period Ended March 31, 1999. For the period from
March 1, 1999 (commencement of operations) to March 31, 1999, the Partnership
recorded total trading losses net of interest income of $405,344 and posted a
decrease in Net Asset Value per Unit. The most significant losses were recorded
in the global stock index futures markets from long positions in U.S. stock
index futures as domestic equity prices moved lower during late March on
investor fears regarding corporate earnings, most notably technology companies.
In the agricultural markets, losses were experienced from short futures
positions in wheat, corn, and soybean products. Wheat prices moved higher on
reports that a cold snap in the U.S. Midwest could damage the hard red winter
wheat crop early in March. Corn prices increased due to technical strength amid
a lack of farmer selling. Soybean oil prices increased due to speculative buying
incited by signs of an increase in world oilseed and vegetable oil demand. In
soft commodities, losses were recorded from short cotton futures positions as
prices surged on technically motivated speculative buying and rumors that an
influential merchant had turned bullish. In the metals markets, smaller losses
were experienced from short aluminum futures positions as prices increased
during mid-March as good demand in the U.S. prompted shipments from Europe amid
a drawdown in supply.
Total expenses for the period ended March 31, 1999 were
$43,511, resulting in a net loss of $448,855. The value of a Unit decreased from
$10.00 at March 1, 1999 (commencement of operations) to $9.23 at March 31, 1999.
S-8
<PAGE>
QUANTITATIVE AND QUALITATIVE DISCLOSURES
ABOUT MARKET RISK
INTRODUCTION
Each Partnership is a commodity pool engaged primarily in
the speculative trading of futures interests. The market sensitive instruments
held by each Partnership are acquired solely for speculative trading purposes
and, as a result, all or substantially all of each Partnership's assets are
subject to the risk of trading loss. Unlike an operating company, the risk of
market sensitive instruments is integral, not incidental, to each Partnership's
primary business activities.
The futures interests traded by each Partnership involve
varying degrees of related market risk. Such market risk is often dependent upon
changes in the level or volatility of interest rates, exchange rates, and/or
market values of financial instruments and commodities. Fluctuations in related
market risk based upon the aforementioned factors result in frequent changes in
the fair value of each Partnership's open positions, and, consequently, in its
earnings and cash flow.
Each Partnership's total market risk is influenced by a wide
variety of factors, including the diversification effects among each
Partnership's existing open positions, the volatility present within the
market(s), and the liquidity of the market(s). At varying times, each of these
factors may act to exacerbate or mute the market risk associated with each
Partnership.
Each Partnership's past performance is not necessarily
indicative of its future results. Any attempt at quantifying a Partnership's
market risk must be qualified by the inherent uncertainty of its speculative
trading, which may cause future losses and volatility (i.e. "risk of ruin") far
in excess of such Partnership's experience to date and/or any reasonable
expectation premised upon historical changes in the fair value of its market
sensitive instruments.
QUANTIFYING THE PARTNERSHIP'S TRADING VALUE AT RISK
The following quantitative disclosures regarding each
Partnership's market risk exposures contain "forward-looking statements" within
the meaning of the safe harbor from civil liability provided for such statements
by the Private Securities Litigation Reform Act of 1995 (set forth in Section
27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act
of 1934). All quantitative disclosures in this section are deemed to be
forward-looking statements for purposes of the safe harbor, except for
statements of historical fact.
Each Partnership accounts for open positions on the basis of
mark-to-market accounting principles. As such, any loss in the fair value of a
Partnership's open positions is directly reflected in such Partnership's
earnings, whether realized or unrealized, and such Partnership's cash flow, as
profits and losses on open positions of exchange-traded futures interests are
settled daily through variation margin.
Each Partnership's risk exposure in the various market
sectors traded by the Trading Advisors is estimated below in terms of Value at
Risk ("VaR"). The VaR model employed by each Partnership incorporates numerous
variables that could impact the fair value of such Partnership's trading
portfolio. Each Partnership estimates VaR using a model based on historical
simulation with a confidence level of 99%. Historical simulation involves
constructing a distribution of hypothetical daily changes in trading portfolio
value. The VaR model generally takes into account linear exposures to price and
interest rate risk. Market risks that are incorporated in the VaR model include
equity and commodity prices, interest rates, foreign exchange rates, as well as
correlation that exists among these variables. The hypothetical changes in
portfolio value are based on daily observed percentage changes in key market
indices or other market factors ("market risk factors") to which the portfolio
is sensitive. In the case of each Partnership's VaR, the historical observation
period is approximately four years. Each Partnership's one-day 99% VaR
corresponds to the negative change in portfolio value that, based on observed
market risk factor moves, would have been exceeded once in 100 trading days.
S-9
<PAGE>
VaR models such as each Partnership's are continually
evolving as trading portfolios become more diverse and modeling techniques and
systems capabilities improve. It must also be noted that the VaR model is used
to quantify market risk for historic reporting purposes only and is not utilized
by either the General Partner or the Trading Advisors in their daily risk
management activities.
EACH PARTNERSHIP'S VALUE AT RISK IN DIFFERENT MARKET SECTORS
The following tables indicate the VaR associated with each
Partnership's open positions, as a percentage of total net assets, by market
category as of March 31, 1999.
CHARTER GRAHAM:
As of March 31, 1999, the Partnership's total capitalization
was approximately $6 million.
<TABLE>
<CAPTION>
MARKET CATEGORY VAR
--------------------------------------------------------- --------
<S> <C>
Interest Rate............................................ (1.08)%
Currency................................................. (1.27)
Equity................................................... (0.27)
Commodity................................................ (0.67)
Aggregate Value at Risk.................................. (1.83)%
</TABLE>
CHARTER MILLBURN:
As of March 31, 1999, the Partnership's total capitalization
was approximately $8 million.
<TABLE>
<CAPTION>
MARKET CATEGORY VAR
--------------------------------------------------------- --------
<S> <C>
Interest Rate............................................ (0.88)%
Currency................................................. (1.82)
Equity................................................... (1.31)
Commodity................................................ (1.07)
Aggregate Value at Risk.................................. (2.67)%
</TABLE>
CHARTER WELTON
As of March 31, 1999, the Partnership's total capitalization
was approximately $8 million.
<TABLE>
<CAPTION>
MARKET CATEGORY VAR
--------------------------------------------------------- --------
<S> <C>
Interest Rate............................................ (.44)%
Currency................................................. (.99)
Equity................................................... (.16)
Commodity................................................ (.19)
Aggregate Value at Risk.................................. (1.08)%
</TABLE>
Aggregate value at risk represents the aggregate VaR of each
Partnership's open positions and not the sum of the VaR of the individual
categories listed above. Aggregate VaR will be lower as it takes into account
correlation among different positions and categories.
The tables above represent the VaR of each Partnership's
open positions at March 31, 1999 only and are not necessarily representative of
either the historic or future risk of an investment in such Partnerships.
Because each Partnership has only been in operation for a single reporting
period, the high, low and average VaR of each Partnership's open positions are
all identical. As each Partnership's sole business is the speculative trading of
primarily futures interests, the composition of its portfolio of open positions
can change significantly over any given time period or even within a single
trading day. Such changes in open positions could materially impact market risk
as measured by VaR either positively or negatively.
LIMITATIONS ON VALUE AT RISK AS AN ASSESSMENT OF MARKET RISK
The face value of the market sector instruments held by each
Partnership is typically many times the applicable margin requirements, as such
margin requirements generally range between
S-10
<PAGE>
2% and 15% of contract face value. Additionally, due to the use of leverage, the
face value of the market sector instruments held by each Partnership is
typically many times the total capitalization of each such Partnership. The
financial magnitude of a Partnership's open positions thus creates a "risk of
ruin" not typically found in other investment vehicles. Due to the relative size
of the positions held, certain market conditions may cause a Partnership to
incur losses greatly in excess of VaR within a short period of time. The
foregoing VaR tables, as well as the past performance of each Partnership, gives
no indication of such "risk of ruin". In addition, VaR risk measures should be
interpreted in light of the methodology's limitations, which include the
following: past changes in market risk factors will not always yield accurate
predictions of the distributions and correlations of future market movements;
changes in portfolio value in response to market movements may differ from the
responses implicit in a VaR model; published VaR results reflect past trading
positions while future risk depends on future positions; VaR using a one-day
time horizon does not fully capture the market risk of positions that cannot be
liquidated or hedged within one day; and the historical market risk factor data
used for VaR estimation may provide only limited insight into losses that could
be incurred under certain unusual market movements.
The foregoing VaR tables present the results of each
Partnership's VaR for each such Partnership's market risk exposures and on an
aggregate basis at March 31, 1999. Since VaR is based on historical data, VaR
should not be viewed as predictive of a Partnership's future financial
performance or its ability to manage and monitor risk and there can be no
assurance that a Partnership's actual losses on a particular day will not exceed
the VaR amounts indicated above or that such losses will not occur more than
once in 100 trading days.
NON-TRADING RISK
Each Partnership has non-trading market risk on its foreign
cash balances not needed for margin. However, such balances, as well as any
market risk they may represent, are immaterial. Each Partnership also maintains
a substantial portion of its available assets in cash at DWR. A decline in
short-term interest rates will result in a decline in a Partnership's cash
management income. This cash flow risk is not considered material.
Materiality, as used throughout this section, is based on an
assessment of reasonably possible market movements and the potential losses
caused by such movements, taking into account the leverage, optionality and
multiplier features of a Partnership's market sensitive instruments.
QUALITATIVE DISCLOSURES REGARDING PRIMARY TRADING RISK EXPOSURES
The following qualitative disclosures regarding each
Partnership's market risk exposures--except for (i) those disclosures that are
statements of historical fact and (ii) the descriptions of how a Partnership
manages its primary market risk exposures--constitute forward-looking statements
within the meaning of Section 27A of the Securities Act and Section 21E of the
Securities Exchange Act. Each Partnership's primary market risk exposures as
well as the strategies used and to be used by the General Partner and the
Trading Advisors for managing such exposures are subject to numerous
uncertainties, contingencies and risks, any one of which could cause the actual
results of each Partnership's risk controls to differ materially from the
objectives of such strategies. Government interventions, defaults and
expropriations, illiquid markets, the emergence of dominant fundamental factors,
political upheavals, changes in historical price relationships, an influx of new
market participants, increased regulation and many other factors could result in
material losses as well as in material changes to the risk exposures and the
risk management strategies of each Partnership. Investors must be prepared to
lose all or substantially all of their investment in a Partnership.
CHARTER GRAHAM
The following were the primary trading risk exposures of the
Partnership as of March 31, 1999, by market sector. It may be anticipated
however, that these market exposures will vary materially over time.
S-11
<PAGE>
Interest Rate. Interest rate risk is the principal market
exposure of the Partnership. Interest rate movements directly affect the price
of the sovereign bond futures positions held by the Partnership and indirectly
the value of its stock index and currency positions. Interest rate movements in
one country as well as relative interest rate movements between countries
materially impact the Partnership's profitability. The Partnership's primary
interest rate exposure is to interest rate fluctuations in the U.S. and the
other G-7 countries. However, the Partnership also takes futures positions in
the government debt of smaller nations--e.g. Australia. The General Partner
anticipates that G-7 interest rates will remain the primary market exposure of
the Partnership for the foreseeable future. The changes in interest rates which
have the most effect on the Partnership are changes in long-term, as opposed to
short-term, rates. Most of the speculative futures positions held by the
Partnership are in medium-to-long term instruments. Consequently, even a
material change in short-term rates would have little effect on the Partnership
were the medium-to-long term rates to remain steady.
Currency. The Partnership's currency exposure is to exchange
rate fluctuations, primarily fluctuations which disrupt the historical pricing
relationships between different currencies and currency pairs. These
fluctuations are influenced by interest rate changes as well as political and
general economic conditions. The Partnership trades in a large number of
currencies, including cross-rates--i.e., positions between two currencies other
than the U.S. dollar. However, the Partnership's major exposures are typically
expected to be in the dollar/euro, dollar/yen and dollar/Swiss franc positions.
The General Partner does not anticipate that the risk profile of the
Partnership's currency sector will change significantly in the future, although
it is difficult at this point to predict the effect of the introduction of the
euro on the Trading Advisor's currency trading strategies.
Equity. The Partnership's primary equity exposure is to
equity price risk in the G-7 countries. The stock index futures traded by the
Partnership are by law limited to futures on broadly based indices. As of March
31, 1999, the Partnership's primary exposures were in the Nikkei (Japan) stock
indices. The General Partner anticipates little, if any, trading in non-G-7
stock indices. The Partnership is primarily exposed to the risk of adverse price
trends or static markets in the major U.S., European and Japanese indices.
(Static markets would not cause major market changes but would make it difficult
for the Partnership to avoid being "whipsawed" into numerous small losses).
Commodity.
Metals. The Partnership's primary metals market exposure is
to fluctuations in the price of gold. Although the Trading Advisor will from
time to time trade base metals such as aluminum, copper, nickel and zinc, the
principal market exposures of the Partnership are expected to be in the precious
metals. It should be noted that in general, gold trading has been increasingly
limited due to the long-lasting and mainly non-volatile decline in the price of
gold over the last 10-15 years. The General Partner anticipates that gold will
remain the primary metals market exposure for the Partnership.
Soft Commodities and Agriculturals. The Partnership's
primary commodities exposure is to fluctuations in the price of soft commodities
and agriculturals, which are often directly affected by severe or unexpected
weather conditions. Corn, cocoa, and soybeans, accounted for the substantial
bulk of the Partnership's commodities exposure as of March 31, 1999. The General
Partner anticipates that the Trading Advisor will maintain an emphasis on corn,
cocoa, and soybeans.
Energy. The Partnership's primary energy market exposure is
to gas and oil price movements, often resulting from political developments in
the Middle East. Although the Trading Advisor trades natural gas to a limited
extent, oil is by far the dominant energy market exposure of the Partnership.
Oil prices are currently depressed, but they can be volatile and substantial
profits and losses have been and are expected to continue to be experienced in
this market.
S-12
<PAGE>
CHARTER MILLBURN
The following were the primary trading risk exposures of the
Partnership as of March 31, 1999, by market sector. It may be anticipated
however, that these market exposures will vary materially over time.
Interest Rate. Interest rate risk is the principal market
exposure of the Partnership. Interest rate movements directly affect the price
of the sovereign bond futures positions held by the Partnership and indirectly
the value of its stock index and currency positions. Interest rate movements in
one country as well as relative interest rate movements between countries
materially impact the Partnership's profitability. The Partnership's primary
interest rate exposure is to interest rate fluctuations in the U.S. and the
other G-7 countries. The General Partner anticipates that G-7 interest rates
will remain the primary market exposure of the Partnership for the foreseeable
future. The changes in interest rates which have the most effect on the
Partnership are changes in long-term, as opposed to short-term, rates. Most of
the speculative futures positions held by the Partnership are in medium-to-long
term instruments. Consequently, even a material change in short-term rates would
have little effect on the Partnership were the medium-to-long term rates to
remain steady.
Currency. The Partnership's currency exposure is to exchange
rate fluctuations, primarily fluctuations which disrupt the historical pricing
relationships between different currencies and currency pairs. These
fluctuations are influenced by interest rate changes as well as political and
general economic conditions. The Partnership trades in a large number of
currencies, including cross-rates--i.e., positions between two currencies other
than the U.S. dollar. However, the Partnership's major exposures are expected to
be in the dollar/euro, dollar/ Swiss franc and dollar/Singapore dollar
positions. The General Partner does not anticipate that the risk profile of the
Partnership's currency sector will change significantly in the future, although
it is difficult at this point to predict the effect of the introduction of the
euro on the Trading Advisor's currency trading strategies.
Equity. The Partnership's primary equity exposure is to
equity price risk in the G-7 countries. The stock index futures traded by the
Partnership are by law limited to futures on broadly based indices. As of March
31, 1999, the Partnership's primary exposures were in the Nikkei (Japan) and
Hang Seng (China) stock indices. The General Partner anticipates little, if any,
trading in non-G-7 stock indices. The Partnership is primarily exposed to the
risk of adverse price trends or static markets in the major U.S., European and
Japanese indices. (Static markets would not cause major market changes but would
make it difficult for the Partnership to avoid being "whipsawed" into numerous
small losses).
Commodity.
Metals. The Partnership's metals market exposure is to
fluctuations in the price of precious metals (gold) and base metals (aluminum,
copper, and zinc). It should be noted that in general, gold trading has been
increasingly limited due to the long-lasting and mainly non-volatile decline in
the price of gold over the last 10-15 years. The General Partner anticipates
that both precious and base metals will continue to make up the metals market
exposure for the Partnership.
Soft Commodities and Agriculturals. The Partnership's
primary commodities exposure is to fluctuations in the price of soft commodities
and agriculturals, which are often directly affected by severe or unexpected
weather conditions. Coffee, corn and sugar accounted for the substantial bulk of
the Partnership's commodities exposure at March 31, 1999. The General Partner
anticipates that the Trading Advisor will maintain an emphasis on coffee, corn
and sugar.
Energy. The Partnership's primary energy market exposure is
to price movements in the gas, oil and natural gas markets. Price fluctuations,
in particular to the gas and oil markets, often result from political
developments in the Middle East. Energy prices can be volatile and substantial
profits and losses have been and are expected to continue in these markets.
S-13
<PAGE>
CHARTER WELTON
The following were the primary trading exposures of the
Partnership as of March 31, 1999. It may be anticipated however, that these
market exposures will vary materially over time.
Interest Rate. Interest rate risk is the principal market
exposure of the Partnership. Interest rate movements directly affect the price
of the sovereign bond futures positions held by the Partnership and indirectly
the value of its stock index and currency positions. Interest rate movements in
one country as well as relative interest rate movements between countries
materially impact the Partnership's profitability. The Partnership's primary
interest rate exposure is to interest rate fluctuations in the U.S. and the
other G-7 countries. However, the Partnership also takes futures positions in
the government debt of smaller nations--e.g. New Zealand. The General Partner
anticipates that G-7 interest rates will remain the primary market exposure of
the Partnership for the foreseeable future. The changes in interest rates which
have the most effect on the Partnership are changes in long-term, as opposed to
short-term, rates. Most of the speculative futures positions held by the
Partnership are in medium-to-long term instruments. Consequently, even a
material change in short-term interest rates would have little effect on the
Partnership were the medium-to-long term rates to remain steady.
Currency. The Partnership's currency exposure is to exchange
rate fluctuations, primarily fluctuations which disrupt the historical pricing
relationships between different currencies and currency pairs. These
fluctuations are influenced by interest rate changes as well as political and
general economic conditions. The Partnership trades in a large number of
currencies, including cross-rates--i.e., positions between two currencies other
than the U.S. dollar. However, the Partnership's major exposures are expected to
be in the dollar/euro, dollar/Swiss franc and dollar/ pound positions. The
General Partner does not anticipate that the risk profile of the Partnership's
currency sector will change significantly in the future, although it is
difficult at this point to predict the effect of the euro on the Trading
Advisor's currency trading strategies.
Equity. The Partnership's primary equity exposure is to
equity price risk in the G-7 countries. The stock index futures traded by the
Partnership are by law limited to futures on broadly based indices. As of March
31, 1999, the Partnership's primary exposures were in the ASE All Ordinaries
(Australia) and S&P 500 stock indices. The Partnership is primarily exposed to
the risk of adverse price trends or static markets in the major U.S., European
and Japanese indices. (Static markets would not cause major market changes but
would make it difficult for the Partnership to avoid being "whipsawed" into
numerous small losses).
Commodity.
Metals. The Partnership's primary metals exposure is to
fluctuations in the price of gold. Although the Trading Advisor will from time
to time trade base metals such as copper, the principal market exposures of the
Partnership are expected to be in the precious metals, gold (and to a much
lesser extent, platinum). It should be noted that in general, gold trading has
been increasingly limited due to the long-lasting and mainly non-volatile
decline in the price of gold over the last 10-15 years. The General Partner
anticipates that gold will remain the primary metals market exposure for the
Partnership.
Soft Commodities and Agriculturals. The Partnership's
primary commodities exposure is to fluctuations in the price of soft commodities
and agriculturals, which are often directly affected by severe or unexpected
weather conditions. Sugar and TOCOM rubber accounted for the substantial bulk of
the Partnership's commodities exposure as of March 31, 1999. The General Partner
anticipates that the Trading Advisor will maintain an emphasis on sugar and
TOCOM rubber.
Energy. The Partnership's primary energy market exposure is
to gas and oil price movements, often resulting from political developments in
the Middle East. Although the Trading Advisor trades natural gas to a limited
extent, oil is by far the dominant energy market exposure of the Partnership.
Oil prices are currently depressed, but they can be volatile and substantial
profits and losses have been and are expected to continue to be experienced in
this market.
S-14
<PAGE>
QUALITATIVE DISCLOSURES REGARDING NON-TRADING RISK EXPOSURES
The following was the only non-trading risk exposure of the
Partnerships at March 31, 1999:
FOREIGN CURRENCY BALANCES. Each Partnership's primary
foreign currency balances were in:
<TABLE>
<S> <C> <C>
CHARTER GRAHAM CHARTER MILLBURN CHARTER WELTON
- ----------------------------- ----------------------------- -----------------------------
Singapore dollars Euros Euros
Swiss francs Singapore dollars Swiss francs
Euros Swiss francs Australian dollars
South African rands
</TABLE>
Each Partnership controls the non-trading risk of these
balances by regularly converting these balances back into U.S. dollars at
varying intervals, depending upon such factors as size and volatility.
QUALITATIVE DISCLOSURES REGARDING MEANS OF MANAGING RISK EXPOSURE
The means by which each Partnership's Trading Advisor
attempts to manage the risk of the Partnership's open positions are essentially
the same in all market categories traded. The General Partner attempts to manage
each Partnership's market exposure by (i) diversifying a Partnership's assets
among different market sectors, and (ii) monitoring the performance of the
Trading Advisor on a daily basis. In addition, the Trading Advisor establishes
diversification guidelines, often set in terms of the maximum margin to be
committed to positions in any one market sector or market sensitive instrument.
The General Partner monitors and controls the risk of each
Partnership's non-trading instrument, which consists solely of cash. Such
non-trading instrument is the only Partnership investment directed by the
General Partner, rather than the Trading Advisor.
THE GENERAL PARTNER
THE FOLLOWING REPLACES THE FIRST SENTENCE OF THE LAST FULL
PARAGRAPH ON PAGE 39.
As reflected in MSDW's 1998 Annual Report and Form 10-Q for
the quarter ended May 31, 1999 (unaudited), MSDW had total shareholders' equity
of $14,119 million and total assets of $317,590 million as of November 30, 1998
and total shareholders' equity of $15,349 million and total assets of $342,345
million as of May 31, 1999 (unaudited).
THE FOLLOWING UPDATES AND REPLACES THE INFORMATION UNDER
"DIRECTORS AND OFFICERS OF THE GENERAL PARTNER" ON PAGE 40-41.
DIRECTORS AND OFFICERS OF THE GENERAL PARTNER
Mark J. Hawley, age 56, is Chairman of the Board and a
Director of the General Partner. Mr. Hawley is also Chairman of the Board and a
Director of Dean Witter Futures & Currency Management Inc. ("DWFCM"). Mr. Hawley
joined DWR in February 1989 as Senior Vice President and is currently the
Executive Vice President and Director of DWR's Product Management for Individual
Asset Management. In this capacity, Mr. Hawley is responsible for directing the
activities of the firm's Managed Futures, Insurance, and Unit Investment Trust
Business. From 1978 to 1989, Mr. Hawley was a member of the senior management
team at Heinold Asset Management, Inc., a CPO, and was responsible for a variety
of projects in public futures funds. From 1972 to 1978, Mr. Hawley was a Vice
President in charge of institutional block trading for the Mid-West at Kuhn Loeb
& Company.
Robert E. Murray, age 38, is President and a Director of the
General Partner. Mr. Murray is also President and a Director of DWFCM. Mr.
Murray is currently a Senior Vice President of DWR's Managed Futures Department.
Mr. Murray began his career at DWR in 1984 and is currently the Director of the
Managed Futures Department. In this capacity, Mr. Murray is responsible for
overseeing all aspects of the firm's Managed Futures Department. Mr. Murray
currently serves as a Director of the Managed Funds Association, an industry
association for
S-15
<PAGE>
investment professionals in futures, hedge funds and other alternative
investments. Mr. Murray graduated from Geneseo State University in May 1983 with
a B.A. degree in Finance.
Mitchell M. Merin, age 45, is a Director of the General
Partner. Mr. Merin is also a Director of DWFCM. Mr. Merin was appointed the
chief operating officer of asset management for MSDW in December 1998 and the
President and chief executive officer of Morgan Stanley Dean Witter Advisors in
February 1998. He has been an Executive Vice President of DWR since 1990, during
which time he has been director of DWR's Taxable Fixed Income and Futures
divisions, managing director in Corporate Finance and corporate treasurer. Mr.
Merin received his Bachelor's degree from Trinity College in Connecticut and his
M.B.A. degree in Finance and Accounting from the Kellogg Graduate School of
Management of Northwestern University in 1977.
Joseph G. Siniscalchi, age 54, is a Director of the General
Partner. Mr. Siniscalchi joined DWR in July 1984 as a First Vice President,
Director of General Accounting and served as Senior Vice President and
Controller for DWR's Securities Division through 1997. He is currently Executive
Vice President and Director of the Operations Division of DWR. From February
1980 to July 1984, Mr. Siniscalchi was Director of Internal Audit at Lehman
Brothers Kuhn Loeb, Inc.
Edward C. Oelsner III, age 57, is a Director of the General
Partner. Mr. Oelsner is currently an Executive Vice President and head of the
Product Development Group at Morgan Stanley Dean Witter Advisors, an affiliate
of DWR. Mr. Oelsner joined DWR in 1981 as a Managing Director in DWR's
Investment Banking Department specializing in coverage of regulated industries
and, subsequently, served as head of the DWR Retail Products Group. Prior to
joining DWR, Mr. Oelsner held positions at The First Boston Corporation as a
member of the Research and Investment Banking Departments from 1967 to 1981. Mr.
Oelsner received his M.B.A. in Finance from the Columbia University Graduate
School of Business in 1966 and an A.B. in Politics from Princeton University in
1964.
Lewis A. Raibley, III, age 37, is Vice President, Chief
Financial Officer, and a Director of the General Partner. Mr. Raibley is also a
Director of DWFCM. Mr. Raibley is currently Senior Vice President and Controller
in the Individual Asset Management Group of MSDW. From July 1997 to May 1998,
Mr. Raibley served as Senior Vice President and Director in the Internal
Reporting Department of MSDW and prior to that, from 1992 to 1997, he served as
Senior Vice President and Director in the Financial Reporting and Policy
Division of Dean Witter Discover & Co. He has been with MSDW and its affiliates
since June 1986.
Richard A. Beech, age 47, is a Director of the General
Partner. Mr. Beech has been associated with the futures industry for over 23
years. He has been at DWR since August 1984, where he is presently Senior Vice
President and head of Branch Futures. Mr. Beech began his career at the Chicago
Mercantile Exchange, where he became the Chief Agricultural Economist doing
market analysis, marketing and compliance. Prior to joining DWR, Mr. Beech also
had worked at two investment banking firms in operations, research, managed
futures and sales management.
Ray Harris, age 42, is a Director of the General Partner.
Mr. Harris is currently Senior Vice President, Planning and Administration for
Morgan Stanley Dean Witter Asset Management and has worked at DWR or its
affiliates since July 1982, serving in both financial and administrative
capacities. From August 1994 to January 1999, he worked in two separate DWR
affiliates, Discover Financial Services and Novus Financial Corp., culminating
as Senior Vice President. Mr. Harris received his B.A. degree from Boston
College and his M.B.A. in finance from the University of Chicago.
Richard M. DeMartini and Lawrence Volpe are no longer
Directors of the General Partner.
The General Partner and its officers and directors may, from
time to time, trade futures interests for their own proprietary accounts. The
records of trading in such accounts will not be made available to Limited
Partners for inspection.
As of June 30, 1999, the General Partner had contributed a
total of $475,000 to Charter Graham, Charter Millburn and Charter Welton in
order to meet its minimum capital requirements. Such contribution is evidenced
by approximately 14,624.862 units of general partnership interest
S-16
<PAGE>
of Charter Graham, 16,259.900 units of general partnership interest of Charter
Millburn and 17,889.327 units of general partnership interest of Charter Welton.
Each such unit of general partnership interest has a net asset value equal to
the Net Asset Value of a Unit of limited partnership interest of the respective
Partnership. The General Partner has agreed to make additional contributions to
each Partnership so that the General Partner's aggregate capital contribution
will at all times be equal to the greater of (i) 1% of aggregate capital
contributions to the Partnership by all partners (including the General
Partner's contribution) and (ii) $25,000. The General Partner and its principals
are not obligated to purchase Units of limited partnership interest and do not
presently own any Units of any Partnership.
THE FOLLOWING UPDATES AND REPLACES THE TABLE UNDER
"DESCRIPTION AND PERFORMANCE INFORMATION OF COMMODITY POOLS OPERATED BY THE
GENERAL PARTNER" ON PAGE 42. THE NOTES ON PAGE 43 ARE AN INTEGRAL PART OF THE
FOLLOWING TABLE, EXEPT THAT NOTE 11 IS REVISED TO REFLECT THAT DEAN WITTER
SPECTRUM GLOBAL BALANCED L.P. HAS BEEN RENAMED MORGAN STANLEY DEAN WITTER
SPECTRUM GLOBAL BALANCED L.P., DEAN WITTER SPECTRUM TECHNICAL L.P. HAS BEEN
RENAMED MORGAN STANLEY DEAN WITTER SPECTRUM TECHNICAL L.P., DEAN WITTER SPECTRUM
STRATEGIC L.P. HAS BEEN RENAMED MORGAN STANLEY DEAN WITTER SPECTRUM STRATEGIC
L.P., AND DEAN WITTER SPECTRUM SELECT L.P. HAS BEEN RENAMED MORGAN STANLEY DEAN
WITTER SPECTRUM SELECT L.P.
S-17
<PAGE>
DEMETER MANAGEMENT CORPORATION
CAPSULE SUMMARY OF PERFORMANCE INFORMATION REGARDING COMMODITY POOLS OPERATED
(EXCEPT AS OTHERWISE INDICATED, BEGINNING JANUARY 1, 1994 THROUGH JUNE 30, 1999)
<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>
$ $ $
PUBLICLY-OFFERED FUNDS WITH ONE ADVISOR WITHOUT "PRINCIPAL PROTECTION"
DWR Commodity Partners Jan-81 Dec-88 9,648,397 739,757 488.29
Columbia Futures Fund(11) Jul-83 N/A 29,276,299 9,524,398 3,207.12
DW Diversified Futures Fund L.P.(11) Apr-88 N/A 206,815,107 106,189,094 1,001.31
DW Multi-Market Portfolio L.P.(11) Sep-88 N/A 252,526,000 8,695,039 1,128.11
DW Diversifed Futures Fund II L.P. Jan-89 N/A 13,210,576 9,038,258 2,642.94
DW Diversifed Futures Fund III L.P. Nov-90 N/A 126,815,755 55,247,292 1,650.66
DW Portfolio Strategy Fund L.P.(11) Feb-91 N/A 143,522,564 133,020,792 2,778.67
DWFCM International Access Fund L.P. Mar-94 N/A 68,115,440 39,302,962 1,427.63
Morgan Stanley Dean Witter Nov-94 N/A 54,346,594 53,971,201 16.17
Spectrum Global Balanced L.P.
Morgan Stanley Tangible Asset Fund L.P. Jan-98 N/A 41,665,223 22,722,858 6.80
PUBLICLY-OFFERED FUNDS WITH MORE THAN ONE ADVISOR WITHOUT "PRINCIPAL PROTECTION"
DW Cornerstone Fund I(11) Jan-85 Dec-91 19,122,276 281,303 456.80
DW Cornerstone Fund II(11) Jan-85 N/A 65,653,270 30,619,243 4,290.39
DW Cornerstone Fund III(11) Jan-85 N/A 137,132,762 36,959,594 3,167.89
DW Cornerstone Fund IV(11) May-87 N/A 168,085,355 109,842,255 4,726.08
Morgan Stanley Dean Witter Aug-91 N/A 246,892,313 214,654,685 23.64
Spectrum Select L.P.(11)
DW Global Perspective Portfolio L.P. Mar-92 N/A 67,424,535 18,650,896 1,129.85
DW World Currency Fund L.P. Apr-93 N/A 114,945,830 22,984,551 1,014.51
Morgan Stanley Dean Witter Nov-94 N/A 96,466,098 82,444,359 12.94
Spectrum Strategic L.P.
Morgan Stanley Dean Witter Nov-94 N/A 273,000,710 279,100,864 16.39
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.(11) Feb-90 N/A 109,013,535 48,345,356 1,872.01
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 32,495,839 29,625,580 1,927.88
Chesapeake L.P.
Morgan Stanley Dean Witter/ Feb-96 N/A 30,029,508 27,503,098 1,474.35
JWH Futures Fund L.P.
PRIVATELY-OFFERED FUNDS WITH MORE THAN ONE ADVISOR WITHOUT "PRINCIPAL PROTECTION"
DWR/Market Street Futures Fund L.P. Oct-98 N/A 17,253,134 15,056,146 991.47
<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) 1999 1998 1997
- ---------------------------------------- ------------- ------------ ------------ --------- --------- ----------
<S> <C> <C> <C>
% % % % % %
PUBLICLY-OFFERED FUNDS WITH ONE ADVISOR WITHOUT "PRINCIPAL PROTECTION"
DWR Commodity Partners (51.37) (34.48) (64.23)
7/88 4/86-12/88
Columbia Futures Fund(11) 227.26 (17.54) (42.58) 1.14 12.01 22.60
4/86 7/83-9/85 (6 months)
DW Diversified Futures Fund L.P.(11) 297.01 (12.85) (24.86) (7.63) 6.22 11.96
5/90 5/95-6/96 (6 months)
DW Multi-Market Portfolio L.P.(11) 12.81 (13.26) (29.84) (6.45) 5.63 13.28
2/96 5/95-6/96 (6 months)
DW Diversifed Futures Fund II L.P. 164.29 (13.41) (25.62) (6.43) 5.22 11.28
8/89 5/95-6/96 (6 months)
DW Diversifed Futures Fund III L.P. 65.07 (13.62) (27.00) (7.44) 5.39 12.29
1/92 5/95-6/96 (6 months)
DW Portfolio Strategy Fund L.P.(11) 177.87 (14.40) (25.65) 6.96 9.46 11.28
1/92 1/92-4/92 (6 months)
DWFCM International Access Fund L.P. 42.76 (12.87) (22.84) (8.33) 5.07 26.22
1/95 8/94-1/95 (6 months)
Morgan Stanley Dean Witter 61.70 (7.92) (10.64) 1.06 16.36 18.23
Spectrum Global Balanced L.P. 2/96 2/96-5/96 (6 months)
Morgan Stanley Tangible Asset Fund L.P. (32.00) (9.09) (38.60) 3.50 (34.30)
11/98 2/98-2/99 (6 months)
PUBLICLY-OFFERED FUNDS WITH MORE THAN ONE ADVISOR WITHOUT "PRINCIPAL PROTECTION"
DW Cornerstone Fund I(11) (53.15) (20.88) (64.47)
8/91 4/86-8/91
DW Cornerstone Fund II(11) 340.04 (11.74) (32.70) 2.35 12.54 18.05
9/89 7/88-10/89 (6 months)
DW Cornerstone Fund III(11) 224.91 (18.28) (32.35) (3.03) 9.13 10.24
2/89 2/89-10/89 (6 months)
DW Cornerstone Fund IV(11) 384.73 (21.04) (45.21) (0.23) 6.80 38.41
9/89 7/89-9/89 (6 months)
Morgan Stanley Dean Witter 136.40 (13.72) (26.77) (0.67) 14.15 6.22
Spectrum Select L.P.(11) 1/92 6/95-8/96 (6 months)
DW Global Perspective Portfolio L.P. 12.99 (8.55) (40.90) 5.00 11.25 11.16
2/96 8/93-1/95 (6 months)
DW World Currency Fund L.P. 1.45 (9.68) (46.04) 4.82 (2.61) 39.35
5/95 8/93-1/95 (6 months)
Morgan Stanley Dean Witter 29.40 (13.38) (32.10) 12.03 7.84 0.37
Spectrum Strategic L.P. 5/99 4/97-7/98 (6 months)
Morgan Stanley Dean Witter 63.90 (6.39) (8.27) 1.67 10.18 7.49
Spectrum Technical L.P. 2/96 3/97-5/97 (6 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.(11) 87.20 (7.48) (13.08) (0.83) 10.54 15.39
2/96 2/96-5/96 (6 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/ 92.79 (17.34) (21.37) (6.41) 19.93 15.38
Chesapeake L.P. 5/99 9/98-5/99 (6 months)
Morgan Stanley Dean Witter/ 47.44 (8.49) (19.66) 5.51 4.04 13.66
JWH Futures Fund L.P. 5/97 1/98-7/98 (6 months)
PRIVATELY-OFFERED FUNDS WITH MORE THAN ONE ADVISOR WITHOUT "PRINCIPAL PROTECTION"
DWR/Market Street Futures Fund L.P. (0.85) (8.59) (12.82) (1.11) 0.26
3/99 3/99-5/99 (6 months ) (3 months
<CAPTION>
FUND TYPE/FUND(1) 1996 1995 1994
- ---------------------------------------- --------- ---------- ----------
% % %
PUBLICLY-OFFERED FUNDS WITH ONE ADVISOR WITHOUT "PRINCIPAL PROTECTION"
DWR Commodity Partners
Columbia Futures Fund(11) 19.09 28.21 (5.75)
DW Diversified Futures Fund L.P.(11) (2.66) (4.56) 7.68
DW Multi-Market Portfolio L.P.(11) (6.76) (6.37) 2.66
DW Diversifed Futures Fund II L.P. (4.83) (2.90) 5.41
DW Diversifed Futures Fund III L.P. (4.73) (4.02) 5.89
DW Portfolio Strategy Fund L.P.(11) 25.50 25.37 (5.41)
DWFCM International Access Fund L.P. 3.97 21.88 (7.32)
(10 months)
Morgan Stanley Dean Witter (3.65) 22.79 (1.70)
Spectrum Global Balanced L.P. (2 months)
Morgan Stanley Tangible Asset Fund L.P.
PUBLICLY-OFFERED FUNDS WITH MORE THAN ONE ADVISOR WITHOUT "PRINCIPAL PROTECTION"
DW Cornerstone Fund I(11)
DW Cornerstone Fund II(11) 11.47 26.50 (8.93)
DW Cornerstone Fund III(11) 8.24 27.50 (10.04)
DW Cornerstone Fund IV(11) 12.97 22.96 (14.27)
Morgan Stanley Dean Witter 5.27 23.62 (5.12)
Spectrum Select L.P.(11)
DW Global Perspective Portfolio L.P. 9.26 16.76 (31.62)
DW World Currency Fund L.P. 12.97 2.02 (25.13)
Morgan Stanley Dean Witter (3.53) 10.49 0.10
Spectrum Strategic L.P. (2 months)
Morgan Stanley Dean Witter 18.35 17.59 (2.20)
Spectrum Technical L.P. (2 months)
PUBLICLY-OFFERED FUNDS WITH ONE ADVISOR WITH "PRINCIPAL PROTECTION"
DW Principal Guaranteed Fund III L.P. 5.21 1.08
(9 months)
DW Principal Plus Fund L.P.(11) (5.28) 17.98 (8.61)
PUBLICLY-OFFERED FUNDS WITH MORE THAN ONE ADVISOR WITH "PRINCIPAL PROTECTION"
DW Principal Guaranteed Fund II L.P. 1.00 7.30 (8.12)
(3 months)
PRIVATELY-OFFERED FUNDS WITH ONE ADVISOR WITHOUT "PRINCIPAL PROTECTION"
Morgan Stanley Dean Witter/ 15.23 15.80 11.57
Chesapeake L.P. (2 months)
Morgan Stanley Dean Witter/ 18.17
JWH Futures Fund L.P. (11 months)
PRIVATELY-OFFERED FUNDS WITH MORE THAN ONE ADVISOR WITHOUT "PRINCIPAL PROTECTION"
DWR/Market Street Futures Fund L.P.
</TABLE>
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
<PAGE>
THE TRADING ADVISORS
MORGAN STANLEY DEAN WITTER CHARTER GRAHAM L.P.
THE FOLLOWING INFORMATION UPDATES AND SUPPLEMENTS THE
INFORMATION RELATING TO THE INDIVIDUAL PRINCIPALS OF GCM ON PAGES 46-48.
Mr. Sullivan is no longer a principal of GCM.
THE FOLLOWING INDIVIDUALS HAVE BEEN ADDED AS KEY PERSONNEL
OF GCM:
Jerome L. Raffaldini, II is a Managing Director and
principal of GCM and is responsible for risk management, new product development
and strategic planning. Prior to joining GCM in January 1999, Mr. Raffaldini was
President of Fuji Alternative Asset Management, a commodity pool operator and
wholly owned subsidiary of Fuji Bank. From 1990 to 1997, Mr. Raffaldini was a
vice president at Nippon Credit Bank, Ltd. in charge of proprietary trading of
derivative products. While at Nippon Credit Bank, Mr. Raffaldini helped found
and acted as President and Chief Executive Officer of Nippon Credit Asset
Management, a commodity pool operator and wholly owned subsidiary of Nippon
Credit Bank. From 1987 to 1990, Mr. Raffaldini worked as vice president of
Quantitative Investment Products for First Union National Bank.
Mr. Raffaldini serves as an adjunct lecturer to the Federal
Reserve, Federal Deposit Insurance Corporation, Office of Thrift Supervision and
banking departments of various states on risk management and performance
measurement topics. He received his M.B.A. in Finance from New York University
in 1987 and B.A. in Economics from Georgetown University in 1984.
Barry F. Cronin is a Senior Discretionary Trader and
principal of GCM specializing in the global macro markets with particular
emphasis on foreign exchange and fixed income. Prior to joining GCM in February
1998, Mr. Cronin was employed by Tudor Investment Corporation, initially in
various capacities at the Chicago Mercantile Exchange from 1990 to 1992 and
served as a proprietary trader from 1992 to 1998. Prior to that Mr. Cronin
worked for Merrill Lynch & Co. at the Chicago Board of Trade. Mr. Cronin
received an M.B.A. and an M.A. in international relations from Boston University
in 1989 and a B.A. from Colby College in 1984.
Dominic M. Napolitano is a Senior Discretionary Trader and
principal of GCM whose primary activities are in the global foreign exchange and
fixed income markets. Prior to joining GCM in February 1998, Mr. Napolitano was
employed by Tudor Investment Corporation as a proprietary trader from 1992 to
1998. From 1988 to 1992, he was employed by Refco Inc. Mr. Napolitano received a
B.A. in Economics from Middlebury College in 1987.
THE INFORMATION RELATING TO THE "DISCRETIONARY TRADING
GROUP" ON PAGE 49 IS DELETED AND REPLACED BY THE FOLLOWING:
Discretionary Trading Group Program
Unlike GCM's systematic trading programs, which are based
almost entirely on computerized mathematical models, GCM's Discretionary Trading
Group ("DTG") determines trades for the Discretionary Trading Group Program
subjectively on the basis of personal judgment and trading experience. The
Discretionary Trading Group Program generally utilizes fundamental information
as well as certain technical data as the basis for its trading strategies.
Fundamental considerations relate to the underlying economic and political
forces that ultimately determine the true value of a particular financial
instrument or commodity. Fundamental analysis of the DTG may involve a short- or
long-term time horizon. Technical data considered by the DTG include price
patterns, volatility, trading volumes and level of open interest.
The Discretionary Trading Group Program trades global fixed
income, foreign exchange and other futures and forward markets. The
Discretionary Trading Group Program may trade call or put options in these
markets.
S-19
<PAGE>
THE FOLLOWING UPDATES AND REPLACES THE NEXT TO LAST FULL
PARAGRAPH ON PAGE 49.
As of June 1999, the GDP had approximately a 27% weighting
in futures contracts based on short term and long term global interest rates
(including U.S. and foreign bonds, notes and Eurodollars), 38% in currency
forwards (including major and minor currencies), 13% in stock index futures
(including all major indices), 11% in agricultural futures (including grains,
meats and softs), 8% in metal futures (including gold, aluminum and copper), and
3% in energy futures (including crude oil and natural gas). The actual weighting
and leverage used in each market will change over time due to liquidity, price
action, and risk considerations.
THE FOLLOWING INFORMATION UPDATES AND REPLACES THE LAST TWO
SENTENCES UNDER "GRAHAM SELECTIVE TRADING PROGRAM" ON PAGE 50.
The GST program trades in approximately 55 markets with
weightings, as of June 1999, of about 37% in global interest rates, 31% in
foreign exchange, 15% in agricultural futures, 8% in metal futures, 6% in stock
index futures and 3% in energy futures. Due to the extremely selective criteria
of the GST model, the program will normally maintain a neutral position in
approximately 50% to 60% of the markets in the portfolio.
THE FOLLOWING INFORMATION RELATING TO GCM'S TRADING PROGRAMS
IS ADDED AFTER THE FIRST FULL PARAGRAPH ON PAGE 51.
Non-Trend Based Program
Today's markets include many trend-following and
counter-trend traders attempting to identify major trends and reversals thereof.
GCM's Non-Trend Based Program (NTB) utilizes multiple computerized trading
models that for the most part do not rely on price trends. The NTB program
forecasts market direction based on changes in fundamental data, such as supply
and demand data, inflation rates, interest rates and shifts in the business
cycle. By using non-trend-following methods it is possible to trade with
considerable success in markets irrespective of the existence of price trends.
As of June 1999, the NTB had approximately 50% weighting in currency forwards,
25% weighting in energy futures, 10% weighting in futures contracts based on
interest rates, 10% in metal futures and 5% in stock index futures.
The NTB program seeks to capture currency gains based on the
momentum of interest rate expectations, absolute levels of the interest rate
differentials and relative shapes of yield curves. The NTB program forecasts
energy market direction from changes in supply/demand, the commitment of
traders' report and other factors.
For trading fixed income markets, the NTB program creates a
macroeconomic index based on economic release data, inflation data and interest
rate sensitive stocks. For base metal trading, the NTB program seeks to identify
shifts in supply/demand that are consistent with the current business cycle to
anticipate market direction relying on inputs such as cost of carry, supply/
demand measures, inflation, currency movement and interest rate sensitive
stocks. For equities, the NTB program creates a composite indicator that
positions the system long or short the S&P 500 relying on stock market
fundamental indicators such as price/earnings ratios, dividend yields,
inflation, currency movement and interest rates.
K4 Program
Like the GST program, the K4 program uses a mathematical
model to identify certain price patterns that have very specific characteristics
indicating that there is a high probability that a significant directional move
will occur. The K4 program differs from the GST program in many respects,
including a tendency to enter markets at different times and it uses
significantly different parameters. The K4 program will normally enter or exit a
position only when a significant price and volatility spike takes place and is
designed to have a high percentage of winning trades. K4 will normally maintain
a neutral position in 50% of the markets in the portfolio.
S-20
<PAGE>
The K4 program trades in approximately 65 markets with
weightings, as of June 1999, of about 33% in foreign exchange, 27% in global
interest rates, 15% in stock index futures, 11% in agricultural futures, 9% in
metals and 5% in energy futures.
THE FOLLOWING INFORMATION UPDATES THE PERFORMANCE
INFORMATION RELATING TO GCM SET FORTH ON PAGES 51-53. THE NOTES ON PAGES 53-54
ARE AN INTEGRAL PART OF THE FOLLOWING CAPSULES.
Effective July 1, 1999, GCM revised the presentation of its
past rate of return data in several respects, including the use of multiple
composites for each trading program based on the degree of leverage employed,
modification of the treatment of wrap fees and interest income and the exclusion
of certain proprietary trading results.
CAPSULE A
GRAHAM CAPITAL MANAGEMENT, L.P.
GLOBAL DIVERSIFIED PROGRAM (STANDARD LEVERAGE)
Name of CTA: Graham Capital Management, L.P.
Name of program: Global Diversified Program (standard leverage)
Inception of trading by CTA: February 1995
Inception of trading in program: February 1995
Number of open accounts: 7
Aggregate assets overall: $576,152,000
Aggregate assets in program: $169,608,000
Largest monthly drawdown: (6.93)% - (2/96)
Worst peak-to-valley drawdown: (13.74)% - (4/98-7/98)
<TABLE>
<CAPTION>
RATE OF RETURN
------------------------------------------------------
MONTH 1999 1998 1997 1996 1995
- ----------------------- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
% % % % %
January (0.08) 1.65 4.19 7.43
February 0.95 1.41 (1.53) (5.69) 6.48
March (5.09) 4.56 0.90 1.25 11.89
April 2.63 (3.02) (4.71) 3.47 2.81
May (4.14) (0.82) (1.35) (0.31) 4.49
June 5.65 (5.95) (0.84) 1.26 1.62
July (3.49) 3.72 (0.45) (1.06)
August 11.01 (2.64) (1.62) (4.83)
September 6.93 2.11 1.21 (3.62)
October 3.24 4.14 5.71 (1.55)
November (2.80) 0.50 3.26 3.14
December 0.09 1.85 (1.05) 5.81
Compound Annual
(Period) Rate
of Return (0.49) 12.20 6.04 14.70 26.83
</TABLE>
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
S-21
<PAGE>
CAPSULE A-1
GRAHAM CAPITAL MANAGEMENT, L.P.
PRO FORMA OF CAPSULE A
GLOBAL DIVERSIFIED PROGRAM
Largest monthly drawdown: (10.87)% - (2/96)
Worst peak-to-valley drawdown: (19.34)% - (4/98-7/98)
<TABLE>
<CAPTION>
RATE OF RETURN
------------------------------------------------------
MONTH 1999 1998 1997 1996 1995
- ----------------------- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
% % % % %
January (7.88) 2.24 6.66 10.95
February 3.62 1.96 (3.11) (10.87) 9.84
March (6.42) 6.67 1.36 1.98 17.72
April 3.63 (4.78) (7.40) 6.16 4.18
May (6.45) (1.47) (2.29) (0.78) 6.59
June 8.26 (9.15) (1.57) 2.01 2.39
July (5.37) 5.37 (0.93) (1.88)
August 16.34 (4.26) (2.72) (7.56)
September 9.74 2.94 1.58 (5.66)
October 4.77 6.56 9.06 (2.60)
November (5.23) 0.61 4.76 4.49
December (0.25) 3.14 (2.29) 8.79
Compound Annual
(Period) Rate
of Return (4.01) 13.42 7.12 18.41 39.28
</TABLE>
CAPSULE B
GRAHAM CAPITAL MANAGEMENT, L.P.
INTERNATIONAL FINANCIAL PROGRAM
Name of CTA: Graham Capital Management, L.P.
Name of program: International Financial Program
Inception of trading by CTA: February 1995
Inception of trading in program: January 1996
Number of open accounts: 0
Aggregate assets overall: $576,152,000
Aggregate assets in program: $0
Largest monthly drawdown: (8.41)% - (6/98)
Worst peak-to-valley drawdown: (18.07)% - (4/98-6/98)
1998 annual return: 8.15%
1997 annual return: 5.14%
1996 annual return: 13.98%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
S-22
<PAGE>
CAPSULE C
GRAHAM CAPITAL MANAGEMENT, L.P.
NATURAL RESOURCE PROGRAM
Name of CTA: Graham Capital Management, L.P.
Name of program: Natural Resource Program
Inception of trading by CTA: February 1995
Inception of trading in program: September 1996
Number of open accounts: 0
Aggregate assets overall: $576,152,000
Aggregate assets in program: $0
Largest monthly drawdown: (6.68)% - (10/97)
Worst peak-to-valley drawdown: (19.22)% - (2/97-11/97)
1998 annual return: 4.71%
1997 annual return: (15.22)%
1996 annual return (4 months): 2.80%
CAPSULE D
GRAHAM CAPITAL MANAGEMENT, L.P.
GLOBAL FX PROGRAM
Name of CTA: Graham Capital Management, L.P.
Name of program: Global FX Program
Inception of trading by CTA: February 1995
Inception of trading in program: May 1997
Number of open accounts: 1
Aggregate assets overall: $576,152,000
Aggregate assets in program: $4,867,000
Largest monthly drawdown: (3.28)% - (2/98)
Worst peak-to-valley drawdown: (7.23)% - (4/98-3/99)
1999 year-to-date return (6 months): (1.00)%
1998 annual return: (3.52)%
1997 annual return (8 months): 5.19%
CAPSULE E
GRAHAM CAPITAL MANAGEMENT, L.P.
SELECTIVE TRADING PROGRAM
Name of CTA: Graham Capital Management, L.P.
Name of program: Selective Trading Program
Inception of trading by CTA: February 1995
Inception of trading in program: January 1998
Number of open accounts: 2
Aggregate assets overall: $576,152,000
Aggregate assets in program: $95,716,000
Largest monthly drawdown: (3.0)% - (6/98)
Worst peak-to-valley drawdown: (4.42)% - (3/98-7/98)
1999 year-to-date return (6 months): (1.65)%
1998 annual return: 25.86%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
S-23
<PAGE>
CAPSULE F
GRAHAM CAPITAL MANAGEMENT, L.P.
DISCRETIONARY TRADING GROUP PROGRAM
Name of CTA: Graham Capital Management, L.P.
Name of program: Discretionary Trading Group Program
Inception of trading by CTA: February 1995
Inception of trading in program: January 1999
Number of open accounts: 1
Aggregate assets overall: $576,152,000
Aggregate assets in program: $11,641,000
Largest monthly drawdown: (0.80)% - (6/99)
Worst peak-to-valley drawdown: (0.80)% - (6/99)
1999 year-to-date return (6 months): 1.35%
CAPSULE G
GRAHAM CAPITAL MANAGEMENT, L.P.
NON-TREND BASED PROGRAM
Name of CTA: Graham Capital Management, L.P.
Name of program: Non-Trend Based Program
Inception of trading by CTA: February 1995
Inception of trading in program: January 1999
Number of open accounts: 1
Aggregate assets overall: $576,152,000
Aggregate assets in program: $16,189,000
Largest monthly drawdown: (2.92)% - (1/99)
Worst peak-to-valley drawdown: (3.32)% - (5/99-6/99)
1999 year-to-date return (6 months): 3.56%
CAPSULE H
GRAHAM CAPITAL MANAGEMENT, L.P.
K4 PROGRAM
Name of CTA: Graham Capital Management, L.P.
Name of program: K4 Program
Inception of trading by CTA: February 1995
Inception of trading in program: January 1999
Number of open accounts: 2
Aggregate assets overall: $576,152,000
Aggregate assets in program: $32,314,000
Largest monthly drawdown: (3.66)% - (3/99)
Worst peak-to-valley drawdown: (3.66)% - (3/99)
1999 year-to-date return (6 months): 2.62%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
S-24
<PAGE>
CAPSULE I
GRAHAM CAPITAL MANAGEMENT, L.P.
GLOBAL DIVERSIFIED PROGRAM AT 150% LEVERAGE
Name of CTA: Graham Capital Management, L.P.
Name of program: Graham Global Diversified Program at 150%
Leverage
Inception of trading by CTA: February 1995
Inception of trading in program: May 1997
Number of open accounts: 12
Aggregate assets overall: $576,152,000
Aggregate assets in program: $152,841,000
Largest monthly drawdown: (9.84)% - (6/98)
Worst peak-to-valley drawdown: (20.01)% - (4/98-7/98)
1999 year-to-date return (6 months): (2.13)%
1998 annual return: 17.00%
1997 annual return (8 months): 11.56%
CAPSULE J
GRAHAM CAPITAL MANAGEMENT, L.P.
SELECTIVE TRADING PROGRAM AT 150% LEVERAGE
Name of CTA: Graham Capital Management, L.P.
Name of program: Selective Trading Program at 150% Leverage
Inception of trading by CTA: February 1995
Inception of trading in program: June 1999
Number of open accounts: 3
Aggregate assets overall: $576,152,000
Aggregate assets in program: $15,501,000
Largest monthly drawdown: None
Worst peak-to-valley drawdown: None
1999 year-to-date return (1 month): 2.37%
CAPSULE K
GRAHAM CAPITAL MANAGEMENT, L.P.
DISCRETIONARY TRADING GROUP PROGRAM AT 150% LEVERAGE
Name of CTA: Graham Capital Management, L.P.
Name of program: Discretionary Trading Group Program at 150%
Leverage
Inception of trading by CTA: February 1995
Inception of trading in program: June 1999
Number of open accounts: 3
Aggregate assets overall: $576,152,000
Aggregate assets in program: $15,105,000
Largest monthly drawdown: (2.72)% - (6/99)
Worst peak-to-valley drawdown: (2.72)% - (6/99)
1999 year-to-date return (1 month): (2.70)%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
S-25
<PAGE>
CAPSULE L
GRAHAM CAPITAL MANAGEMENT, L.P.
NON-TREND BASED PROGRAM AT 150% LEVERAGE
Name of CTA: Graham Capital Management, L.P.
Name of program: Non-Trend Based Program at 150% Leverage
Inception of trading by CTA: February 1995
Inception of trading in program: June 1999
Number of open accounts: 2
Aggregate assets overall: $576,152,000
Aggregate assets in program: $8,005,000
Largest monthly drawdown: (5.27)% - (6/99)
Worst peak-to-valley drawdown: (5.27)% - (6/99)
1999 year-to-date return (1 month): (5.26)%
CAPSULE M
GRAHAM CAPITAL MANAGEMENT, L.P.
K4 PROGRAM AT 150% LEVERAGE
Name of CTA: Graham Capital Management, L.P.
Name of program: K4 Program at 150% Leverage
Inception of trading by CTA: February 1995
Inception of trading in program: June 1999
Number of open accounts: 2
Aggregate assets overall: $576,152,000
Aggregate assets in program: $5,751,000
Largest monthly drawdown: None
Worst peak-to-valley drawdown: None
1999 year-to-date return (1 month): 2.70%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
THE FOOTNOTES TO GCM'S CAPSULE PERFORMANCE SUMMARIES ON PAGE
53 APPLY TO CAPSULES A THROUGH M AND NO LONGER INCLUDE PROPRIETARY ACCOUNTS. IN
ADDITION, THE FOLLOWING FOOTNOTE IS ADDED TO PAGE 53.
GCM advises exempt accounts for qualified eligible clients
the performance of which is not included in the composite performance record.
MORGAN STANLEY DEAN WITTER CHARTER MILLBURN L.P.
THE FOLLOWING INFORMATION UPDATES AND SUPPLEMENTS THE
INFORMATION RELATING TO THE INDIVIDUAL PRINCIPALS OF MRC ON PAGES 54-55.
The following individual has been added as a key officer of
MRC:
Gregg R. Buckbinder is Senior Vice President and Chief
Operating Officer of Millburn Ridgefield Corporation and The Millburn
Corporation. He graduated cum laude from Pace University in 1980 with a B.B.A.
in accounting and received an M.S. in taxation from Pace University in 1988. He
joined Millburn in 1998 from Odyssey Partners, L.P., where he was responsible
for the operation, administration and accounting of the firm's merchant banking
and managed account business. Mr. Buckbinder was employed by Tucker Anthony, a
securities broker and dealer, from 1985 to 1990, where he was First Vice
President and Controller, and from 1983 to 1984, where he designed and
implemented various operations and accounting systems. He was with the public
accounting firm of Ernst & Whinney from 1984 to 1985 as a manager in the tax
department, and from 1980 to 1983 as a senior auditor, with an emphasis on
clients in the financial services
S-26
<PAGE>
business. He is a Certified Public Accountant and a member of the American
Institute of Certified Public Accountants.
THE FOLLOWING INFORMATION UPDATES THE PERFORMANCE
INFORMATION RELATING TO MRC SET FORTH ON PAGES 59-62. THE NOTES ON PAGES 62-63
ARE AN INTEGRAL PART OF THE FOLLOWING CAPSULES.
CAPSULE A
MILLBURN RIDGEFIELD CORPORATION
DIVERSIFIED PORTFOLIO
Name of CTA: Millburn Ridgefield Corporation
Name of program: Diversified Portfolio
Inception of trading by CTA: February 1971
Inception of trading in program: February 1971
Number of open accounts: 21
Aggregate assets overall: $746,506,735
Aggregate assets in program: $449,004,338
Largest monthly drawdown (past 5 years): (11.50)% - (2/96)
Largest monthly drawdown (since 1977): (22.91)% - (4/78)
Worst peak-to-valley drawdown (past 5 years): (13.74)% - (8/97 -
8/98)
Worst peak-to-valley drawdown (since 1977): (32.50)% -
(4/86-12/86)
Accounts closed with positive net performance (past 5 years): 5
Accounts closed with positive net performance (since 1977): 18
Accounts closed with negative net performance (past 5 years): 1
Accounts closed with negative net performance (since 1977): 1
<TABLE>
<CAPTION>
RATE OF RETURN
-----------------------------------------------------------------------------------
MONTH 1999 1998 1997 1996 1995 1994 1993 1992
- -------------------- ------ ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
% % % % % % % %
January (4.02) 2.91 8.14 7.43 (3.09) (7.56) (2.69) (8.53)
February 3.09 (2.71) 5.72 (11.05) 6.81 (1.47) 5.78 (1.34)
March 1.21 1.14 (2.83) 0.80 16.85 7.67 (0.70) (0.72)
April 5.47 (7.38) (3.01) 5.72 4.64 (2.27) 5.76 (0.73)
May (3.40) 4.04 1.50 (6.72) (1.10) 4.63 (1.79) 0.90
June 5.75 2.32 0.52 3.91 0.99 5.80 (2.54) 14.25
July (4.96) 8.15 1.37 (2.48) (3.00) 5.11 8.87
August 6.94 (8.52) (1.88) 1.43 (5.26) (8.06) 7.56
September 5.53 1.20 2.79 (1.84) 3.68 1.09 (0.19)
October (1.84) (2.21) 10.64 0.06 3.02 (0.70) (3.95)
November (0.75) (0.31) 3.96 0.20 4.76 1.33 2.66
December 2.54 4.95 1.08 7.92 2.46 9.02 (0.73)
Compound Annual
(Period)
Rate of
Return 7.87 7.00 12.61 17.33 32.82 11.78 10.88 17.30
</TABLE>
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
S-27
<PAGE>
<TABLE>
<CAPTION>
RATE OF RETURN (CONTINUED)
-----------------------------------------------------------------------------------
MONTH 1991 1990 1989 1988 1987 1986 1985 1984
- -------------------- ------ ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
% % % % % % % %
January (5.32) 4.13 3.18 (8.23) 13.86 3.84 5.69 5.03
February 1.40 4.21 (4.67) 1.30 0.16 14.91 7.69 0.05
March 2.60 2.99 7.53 (4.11) 3.34 1.59 (4.65) 1.08
April (0.09) 2.40 (1.51) (1.87) 10.29 (7.05) (2.12) 2.45
May (1.13) (5.66) 17.04 6.09 (3.59) (2.74) (4.52) 4.76
June 1.63 3.51 (8.11) 17.89 (3.63) (9.34) (2.12) (6.11)
July (4.02) 16.05 (3.62) (9.26) 1.12 5.98 14.68 19.22
August (6.09) 3.39 (8.53) (0.47) (3.72) 7.22 (2.75) (9.05)
September 0.91 2.67 (2.74) 0.67 (5.88) (18.35) (14.63) 4.14
October (0.30) 7.65 (8.78) 1.64 1.66 (6.21) 9.15 (2.80)
November 0.10 3.00 4.74 6.11 9.67 (5.36) 12.43 (6.69)
December 16.35 0.24 7.93 (4.27) 9.44 (1.44) 6.42 11.04
Compound Annual
(Period)
Rate of
Return 4.44 53.01 (0.94) 2.70 35.02 (19.36) 23.44 21.72
</TABLE>
<TABLE>
<CAPTION>
RATE OF RETURN (CONTINUED)
------------------------------------------------------------------------
MONTH 1983 1982 1981 1980 1979 1978 1977
- -------------------- ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C>
% % % % % % %
January 6.28 4.77 11.39 20.82 (2.45) 6.33 2.16
February (1.29) 8.68 10.40 3.81 5.52 3.91 (1.15)
March (2.12) 9.14 (8.62) 8.62 0.66 20.99 2.70
April (0.42) (1.58) 9.48 (2.97) 6.82 (22.91) 7.02
May 1.13 (0.82) 7.43 5.25 4.45 12.78 (7.51)
June (6.95) 8.99 9.74 3.44 7.41 (2.57) 1.21
July (1.11) (11.00) 6.96 1.18 (2.50) 8.54 6.84
August 5.57 3.32 (0.15) (2.32) 1.82 1.02 (4.37)
September (2.05) 7.66 (3.60) (1.81) 14.84 5.34 (9.65)
October 2.25 (4.04) (4.79) 9.00 (0.74) 12.01 4.80
November (7.08) (2.57) 8.24 3.75 5.42 (14.17) (3.62)
December (3.13) 5.49 (10.00) 5.44 6.11 (5.42) 10.57
Compound Annual
(Period)
Rate of
Return (9.44) 29.09 38.50 66.53 57.18 18.92 7.12
</TABLE>
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
S-28
<PAGE>
CAPSULE A-1
MILLBURN RIDGEFIELD CORPORATION
PRO FORMA OF CAPSULE A
DIVERSIFIED PORTFOLIO
Largest monthly drawdown (past 5 years): (12.54)% - (2/96)
Largest monthly drawdown (since 1977): (22.81)% - (4/78)
Worst peak-to-valley drawdown: (past five years): (14.89)% - (8/97
- 4/98)
Worst peak-to-valley drawdown (since 1977): (32.74)% -
(4/86-12/86)
<TABLE>
<CAPTION>
RATE OF RETURN
-----------------------------------------------------------------------------------
MONTH 1999 1998 1997 1996 1995 1994 1993 1992
- -------------------- ------ ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
% % % % % % % %
January (4.38) 3.03 7.64 6.90 (3.26) (8.11) (2.99) (8.76)
February 2.67 (3.63) 5.26 (12.54) 6.34 (2.11) 5.66 (1.65)
March 0.95 0.96 (3.61) 0.64 14.62 7.36 (1.19) (1.05)
April 6.03 (7.86) (3.67) 5.69 3.98 (2.56) 5.63 (1.05)
May (4.21) 3.76 1.21 (7.12) (1.49) 4.63 (2.39) 0.45
June 6.31 2.12 0.27 3.79 0.79 5.36 (2.96) 14.29
July (5.26) 9.06 1.06 (3.09) (3.56) 5.48 8.13
August 7.04 (10.12) (2.15) 1.42 (5.74) (9.29) 6.59
September 6.13 0.91 2.75 (2.33) 3.38 0.86 (0.48)
October (2.39) (2.82) 11.58 (0.72) 2.89 (0.85) (4.58)
November (1.10) (0.64) 3.57 (0.15) 5.29 1.27 2.77
December 2.80 5.52 0.91 8.57 2.05 9.83 (1.07)
Compound Annual
(Period)
Rate of
Return 7.01 4.53 7.60 13.59 25.77 7.77 7.84 12.24
</TABLE>
<TABLE>
<CAPTION>
RATE OF RETURN (CONTINUED)
-----------------------------------------------------------------------------------
MONTH 1991 1990 1989 1988 1987 1986 1985 1984
- -------------------- ------ ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
% % % % % % % %
January (5.73) 4.08 3.51 (8.25) 14.69 3.99 6.38 5.37
February 1.13 4.36 (4.93) 1.32 0.35 14.98 7.86 0.56
March 2.56 3.23 8.21 (4.10) 3.71 1.84 (4.84) 1.53
April (0.41) 2.54 (1.68) (1.89) 10.69 (6.95) (2.08) 2.81
May (1.30) (6.90) 17.33 6.20 (3.61) (2.79) (4.19) 5.32
June 1.55 3.71 (9.81) 18.42 (3.59) (9.11) (1.97) (5.56)
July (4.60) 18.53 (4.22) (9.85) 1.29 6.05 15.83 20.16
August (6.52) 3.67 (9.36) (0.41) (3.63) 7.26 (3.15) (9.74)
September 0.43 2.52 (2.90) 0.77 (5.94) (18.03) (14.38) 5.05
October (0.54) 6.85 (8.98) 1.77 1.83 (6.14) 9.21 (2.65)
November (0.38) 2.72 4.66 6.87 10.23 (5.31) 13.43 (6.39)
December 19.70 0.14 7.92 (4.66) 9.97 (1.28) 6.74 11.29
Compound Annual
(Period)
Rate of
Return 3.67 53.71 (3.99) 3.19 39.15 (18.10) 27.54 27.12
</TABLE>
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
S-29
<PAGE>
<TABLE>
<CAPTION>
RATE OF RETURN (CONTINUED)
------------------------------------------------------------------------
MONTH 1983 1982 1981 1980 1979 1978 1977
- -------------------- ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C>
% % % % % % %
January 6.88 5.00 11.68 21.32 (1.87) 6.45 1.53
February (1.30) 10.33 11.02 4.27 6.10 4.15 (0.60)
March (2.01) 10.14 (9.73) 9.45 1.32 21.52 2.74
April (0.23) (1.05) 11.51 (2.81) 7.57 (22.81) 7.03
May 1.47 (0.50) 8.09 5.11 5.41 13.16 (6.61)
June (6.71) 9.38 10.33 3.17 9.04 (1.97) 1.52
July (0.76) (11.05) 6.78 1.56 (1.78) 9.15 6.89
August 5.81 3.12 0.17 (2.23) 2.24 2.88 (4.09)
September (1.74) 7.63 (3.76) (1.49) 15.15 5.64 (9.29)
October 2.31 (4.25) (4.95) 10.15 (0.09) 12.31 5.08
November (6.63) (2.45) 8.61 4.43 5.81 (15.13) (3.16)
December (2.75) 5.60 (9.87) 6.49 6.74 (4.99) 11.03
Compound Annual
(Period)
Rate of
Return (6.42) 33.80 42.56 74.85 70.18 23.93 10.55
</TABLE>
CAPSULE B
MILLBURN RIDGEFIELD CORPORATION
DIVERSIFIED PORTFOLIO--HIGH LEVERAGE
Name of CTA: Millburn Ridgefield Corporation
Name of program: Diversified Portfolio--High Leverage
Inception of trading by CTA: February 1971
Inception of trading in program: April 1998
Number of open accounts: 3
Aggregate assets overall: $746,506,735
Aggregate assets in program: $31,478,239
Largest monthly drawdown: (9.36)% - (4/98)
Worst peak-to-valley drawdown: (15.00)% - (4/98 - 7/98)
1999 year-to-date return (6 months): 4.11%
1998 annual return (9 months): 4.67%
CAPSULE C
MILLBURN RIDGEFIELD CORPORATION
DIVERSIFIED PORTFOLIO--2X LEVERAGE
Name of CTA: Millburn Ridgefield Corporation
Name of program: Diversified Portfolio-2X Leverage
Inception of trading by CTA: February 1971
Inception of trading in program: January 1998
Number of open accounts: 0
Aggregate assets overall: $746,506,735
Aggregate assets in program: $0
Largest monthly drawdown: (12.39)% - (7/98)
Worst peak-to-valley drawdown: (25.40)% - (1/98 - 7/98)
1999 year-to-date return (5 months): 8.76%
1998 annual return: (4.42)%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
S-30
<PAGE>
CAPSULE D
MILLBURN RIDGEFIELD CORPORATION
CURRENCY PORTFOLIO
Name of CTA: Millburn Ridgefield Corporation
Name of program: Currency Portfolio
Inception of trading by CTA: February 1971
Inception of trading in program: November 1989
Number of open accounts: 4
Aggregate assets overall: $746,506,735
Aggregate assets in program: $35,512,853
Largest monthly drawdown: (12.03)% - (8/93)
Worst peak-to-valley drawdown: (33.06)% - (9/92-1/95)
1999 year-to-date return (6 months): 7.83%
1998 annual return: (5.02)%
1997 annual return: 20.86%
1996 annual return: 11.29%
1995 annual return: 18.88%
1994 annual return: (7.90%)
CAPSULE E
MILLBURN RIDGEFIELD CORPORATION
CURRENCY PORTFOLIO - HIGH LEVERAGE
Name of CTA: Millburn Ridgefield Corporation
Name of program: Currency Portfolio - High Leverage
Inception of trading by CTA: February 1971
Inception of trading in program: July 1993
Number of open accounts: 1
Aggregate assets overall: $746,506,735
Aggregate assets in program: $9,178,080
Largest monthly drawdown: (13.10)% - (8/93)
Worst peak-to-valley drawdown: (21.14)% - (9/97-8/98)
1999 year-to-date return (6 months): 8.11%
1998 annual return: (15.45)%
1997 annual return: 27.99%
1996 annual return: 16.36%
1995 annual return: 25.15%
1994 annual return: (11.46)%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
S-31
<PAGE>
CAPSULE F
MILLBURN RIDGEFIELD CORPORATION
GLOBAL PORTFOLIO
Name of CTA: Millburn Ridgefield Corporation
Name of program: Global Portfolio
Inception of trading by CTA: February 1971
Inception of trading in program: November 1989
Number of open accounts: 4
Aggregate assets overall: $746,506,735
Aggregate assets in program: $108,452,710
Largest monthly drawdown: (10.54)% - (1/94)
Worst peak-to-valley drawdown: (15.53)% - (7/97 - 7/98)
1999 year-to-date return (6 months): 12.47%
1998 annual return: 0.53%
1997 annual return: 13.65%
1996 annual return: 11.38%
1995 annual return: 25.76%
1994 annual return: (5.24)%
CAPSULE G
MILLBURN RIDGEFIELD CORPORATION
GLOBAL PORTFOLIO - HIGH LEVERAGE
Name of CTA: Millburn Ridgefield Corporation
Name of program: Global Portfolio - High Leverage
Inception of trading by CTA: February 1971
Inception of trading in program: July 1993
Number of open accounts: 0
Aggregate assets overall: $746,506,735
Aggregate assets in program: $0
Largest monthly drawdown: (13.23)% - (1/94)
Worst peak-to-valley drawdown: (20.05)% - (6/94 - 1/95)
1997 annual return: 11.82%
1996 annual return: 11.15%
1995 annual return: 32.15%
1994 annual return: (9.03%)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
S-32
<PAGE>
CAPSULE H
MILLBURN RIDGEFIELD CORPORATION
WORLD RESOURCE PORTFOLIO
Name of CTA: Millburn Ridgefield Corporation
Name of program: World Resource Portfolio
Inception of trading by CTA: February 1971
Inception of trading in program: September 1995
Number of open accounts: 4
Aggregate assets overall: $746,506,735
Aggregate assets in program: $111,403,838
Largest monthly drawdown: (12.28)% - (2/96)
Worst peak-to-valley drawdown: (15.26)% - (2/97 - 8/97)
1999 year-to-date return (6 months): 1.46%
1998 annual return: 5.66%
1997 annual return: 1.88%
1996 annual return: 8.33%
1995 annual return (4 months): 7.28%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
S-33
<PAGE>
MORGAN STANLEY DEAN WITTER CHARTER WELTON L.P.
THE INFORMATION RELATING TO THE "BENCHMARK LINKED RETURN
ENHANCEMENT PROGRAM" ON PAGE 66 IS DELETED.
THE FOLLOWING INFORMATION UPDATES THE PERFORMANCE
INFORMATION RELATING TO WIC SET FORTH ON PAGES 67-69. THE NOTES ON PAGES 69-70
ARE AN INTEGRAL PART OF THE FOLLOWING CAPSULES.
CAPSULE A
WELTON INVESTMENT CORPORATION
DIVERSIFIED PORTFOLIO
Name of CTA: Welton Investment Corporation
Name of program: Diversified Portfolio
Inception of trading by CTA: February 1989
Inception of trading in program: April 1992
Number of open accounts: 50
Aggregate assets overall (excluding notional): $151 million
Aggregate assets overall (including notional): $237 million
Aggregate assets in program (excluding notional): $143 million
Aggregate assets in program (including notional): $229 million
Largest monthly drawdown (past 5 years): (15.94)% - (2/96)
Largest monthly drawdown (since inception): (15.94)% - (2/96)
Worst peak-to-valley drawdown (past 5 years): (25.96)% - (2/96 -
8/96)
Worst peak-to-valley drawdown (since inception): (25.96)% -(2/96 -
8/96)
Accounts closed with positive net performance (past 5 years): 21
Accounts closed with positive net performance (since inception):
26
Accounts closed with negative net performance (past 5 years): 20
Accounts closed with negative net performance (since inception):
23
<TABLE>
<CAPTION>
RATE OF RETURN
-----------------------------------------------------------------------------------
MONTH 1999 1998 1997 1996 1995 1994 1993 1992
- -------------------- ------ ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
% % % % % % % %
January (2.26) (1.71) 2.42 5.94 (3.94) (4.74) (0.12)
February (2.54) 6.81 6.21 (15.94) 8.90 (6.67) 15.85
March (7.90) 6.18 (1.57) (1.86) 10.11 0.69 (0.09)
April 1.12 (3.50) 0.28 4.66 3.57 (5.32) 7.04 (0.48)
May (3.33) 2.30 3.78 (7.71) 11.71 5.77 (6.61) (7.47)
June 3.43 (0.84) 5.96 (1.72) (1.38) 5.72 (1.89) 9.32
July (0.25) 12.83 (2.83) (2.57) (4.04) 11.40 12.72
August 5.63 (6.16) (2.70) (1.25) (6.40) (4.45) (1.77)
September 2.35 1.25 7.48 1.55 3.18 0.66 (6.89)
October (4.66) (6.14) 13.16 (7.39) 0.48 4.90 (0.86)
November 2.65 2.79 9.97 4.77 14.60 5.05 (2.10)
December 2.04 1.23 2.15 9.44 1.23 10.48 (4.98)
Compound Annual
(Period)
Rate of
Return (11.30) 17.52 23.62 7.17 36.35 2.38 47.90 (4.28)
</TABLE>
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
S-34
<PAGE>
CAPSULE A-1
WELTON INVESTMENT CORPORATION
PRO FORMA OF CAPSULE A
DIVERSIFIED PORTFOLIO
Largest monthly drawdown (past 5 years): (16.74)% - (2/96)
Largest monthly drawdown (since inception): (16.74)% - (2/96)
Worst peak-to-valley drawdown (past 5 years): (26.61)% -
(2/96-8/96)
Worst peak-to-valley drawdown (since inception): (26.61)% -
(2/96-8/96)
<TABLE>
<CAPTION>
RATE OF RETURN
-----------------------------------------------------------------------------------
MONTH 1999 1998 1997 1996 1995 1994 1993 1992
- -------------------- ------ ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
% % % % % % % %
January (2.50) (1.95) 2.20 5.95 (4.08) (4.86) (0.12)
February (2.75) 7.19 5.51 (16.74) 8.47 (6.99) 17.01
March (8.13) 6.38 (1.64) (1.79) 10.19 0.74 0.31
April 0.97 (3.94) 0.59 4.89 3.68 (5.67) 5.81 (0.55)
May (3.41) 2.28 3.81 (7.78) 11.35 5.76 (7.05) (7.11)
June 2.98 (0.99) 5.55 (1.87) (1.11) 5.79 (1.97) 9.76
July (0.41) 12.05 (2.79) (2.48) (4.31) 12.45 10.80
August 5.84 (7.32) (2.73) (1.01) (6.45) (5.44) (0.88)
September 2.09 1.21 7.52 1.95 3.53 0.61 (6.95)
October (5.20) (6.58) 13.21 (7.53) 0.56 5.37 (0.67)
November 2.55 2.65 9.51 5.35 14.24 4.90 (1.74)
December 1.98 1.20 2.02 9.71 1.09 10.02 (4.81)
Compound Annual
(Period)
Rate of
Return (12.51) 16.03 19.24 5.74 37.68 1.26 47.05 (3.73)
</TABLE>
CAPSULE B
WELTON INVESTMENT CORPORATION
GLOBAL FINANCIALS AND METALS PORTFOLIO
Name of CTA: Welton Investment Corporation
Name of program: Global Financials and Metals Portfolio
Inception of trading by CTA: February 1989
Inception of trading in program: April 1992
Number of open accounts: 1
Aggregate assets overall (excluding notional): $151 million
Aggregate assets overall (including notional): $237 million
Aggregate assets in program (excluding notional): $6 million
Aggregate assets in program (including notional): $6 million
Largest monthly drawdown: (15.72)% - (2/96)
Worst peak-to-valley drawdown: (30.89)% - (12/93 - 9/94)
1999 year-to-date return (6 months): (11.30)%
1998 annual return: 19.14%
1997 annual return: 19.18%
1996 annual return: 10.12%
1995 annual return: 48.90%
1994 annual return: (23.34)%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
S-35
<PAGE>
CAPSULE C
WELTON INVESTMENT CORPORATION
GLOBAL FINANCIALS PORTFOLIO
Name of CTA: Welton Investment Corporation
Name of program: Global Financials Portfolio
Inception of trading by CTA: February 1989
Inception of trading in program: November 1994
Number of open accounts: 2
Aggregate assets overall (excluding notional): $151 million
Aggregate assets overall (including notional): $237 million
Aggregate assets in program (excluding notional): $2 million
Aggregate assets in program (including notional): $2 million
Largest monthly drawdown: (15.70)% - (2/96)
Worst peak-to-valley drawdown: (30.20)% - (1/96 - 8/96)
1999 year-to-date return (6 months): (9.60)%
1998 annual return: 19.98%
1997 annual return: 14.35%
1996 annual return: 7.05%
1995 annual return: 49.67%
1994 period return (2 months): 3.73%
CAPSULE D
WELTON INVESTMENT CORPORATION
TRADING PROGRAMS NO LONGER OFFERED
As of June 30, 1999
<TABLE>
<C> <S>
February 1989 Date advisor began trading client accounts
$151 million Total assets under management by the advisor representing actual funds
$237 million Total assets under management by the advisor representing nominal funds
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INTERNATIONAL INTEREST
EQUITY LINKED PORTFOLIO CUSTOM RATE
TRADING PROGRAM ENHANCEMENT PRODUCT GLOBAL FINANCIAL ACCOUNTS PORTFOLIO
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
Date Program Began Trading Oct-93 Mar-94 Mar-92
Actual Funds Managed Closed Closed Closed
Oct-94 Oct-94 Mar-96
<S> <C> <C> <C>
Nominal Funds Managed -- -- --
Open Accounts 0 0 0
Closed Accounts 2 6 33
Accounts Closed at a Profit 1 0 9
Accounts Closed at a Loss 1 6 24
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
<CAPTION>
- ----------------------------
<S> <C>
QUANTITATIVE FOREIGN WORLD
TRADING PROGRAM NONFINANCIAL PORTFOLIO EXCHANGE PORTFOLIO CURRENCY PORTFOLIO
- ----------------------------
Date Program Began Trading Mar-94 Jun-94 Apr-92
Actual Funds Managed Closed Closed Closed
Aug-95 Feb-95 Feb-94
<S> <C>
Nominal Funds Managed -- -- --
Open Accounts 0 0 0
Closed Accounts 4 2 4
Accounts Closed at a Profit 2 0 1
Accounts Closed at a Loss 2 2 3
<CAPTION>
- ----------------------------
WORLD
EQUITY
INDEX
TRADING PROGRAM PORTFOLIO
- ----------------------------
Date Program Began Trading May-94
Actual Funds Managed Closed
Jun-96
Nominal Funds Managed --
Open Accounts 0
Closed Accounts 11
Accounts Closed at a Profit 1
Accounts Closed at a Loss 10
</TABLE>
<TABLE>
<S> <C> <C> <C>
Annual Rates of Return
1994 (4.21)% (22.89)% (26.68)%
1995 -- -- 56.49%
1996 -- -- (14.87)%
1997 -- -- --
1998 -- -- --
YTD through June-99 -- -- --
Largest Single Monthly
Drawdown1 (1.79)% (7.15)% (14.47)%
<CAPTION>
Date of Drawdown Jul-94 Oct-94 Feb-96
<S> <C> <C> <C>
Largest Peak-to-Valley
Drawdown2 (6.55)% (25.12)% (32.40)%
<CAPTION>
Date of Peak Mar-94 Mar-94 Dec-93
Date of Valley Oct-94 Oct-94 Jan-95
- ---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Annual Rates of Return
<S> <C>
1994 44.13% (13.66)% (2.99)%
1995 (16.38)% (2.94)% --
1996 -- -- --
1997 -- -- --
1998 -- -- --
YTD through June-99 -- -- --
Largest Single Monthly
Drawdown1 (8.99)% (14.68)% (8.80)%
Date of Drawdown Mar-95 Nov-94 Jan-93
<S> <C>
Largest Peak-to-Valley
Drawdown2 (19.03)% (17.58)% (23.21)%
Date of Peak Feb-95 Oct-94 Nov-92
Date of Valley Aug-95 Feb-95 Feb-94
- ----------------------------
<CAPTION>
Annual Rates of Return
1994 (15.97)%
1995 4.99%
1996 (14.82)%
1997 --
1998 --
YTD through June-99 --
Largest Single Monthly
Drawdown1 (9.71)%
Date of Drawdown Jun-96
Largest Peak-to-Valley
Drawdown2 (25.18)%
Date of Peak May-94
Date of Valley Jan-96
- ----------------------------
</TABLE>
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
S-36
<PAGE>
CERTAIN LITIGATION
THE FOLLOWING SUPPLEMENTS "CERTAIN LITIGATION" ON PAGE 75.
The New York Supreme Court dismissed the New York action in
November 1998, but granted the plaintiffs leave to file an amended complaint,
which they did in early December 1998. The complaints seek unspecified amounts
of compensatory and punitive damages and other relief. The defendants filed a
motion to dismiss the amended complaint with prejudice on February 1, 1999.
With respect to the plaintiff's consolidated action in
California, on July 1, 1999, the Superior Court of the State of California,
ruling from the bench, denied the plaintiffs' motion to have their lawsuit
certified as a class action, stating, among other things, that plaintiffs'
lawsuit did not present common questions of fact.
POTENTIAL ADVANTAGES
THE FOLLOWING TABLE UPDATES AND REPLACES THE "ANNUAL RETURNS
OF VARIOUS ASSET CLASSES OVER TIME" TABLE ON PAGE 99. THE NOTES ON PAGES 99-100
(AS REVISED BELOW) ARE AN INTEGRAL PART OF THE FOLLOWING TABLE.
ANNUAL RETURNS OF VARIOUS ASSET CLASSES OVER TIME
<TABLE>
<CAPTION>
U.S. TREASURY PUBLIC
U.S. BONDS (LEHMAN U.S. CORPORATE NON-U.S. GLOBAL MANAGED MANAGED
STOCKS BROTHERS BONDS (SALOMON STOCKS STOCKS FUTURES FUTURES FUNDS
(S&P 500 TREASURY CORPORATE (MSCI EAFE (MSCI WORLD (BARCLAY (MAR PUBLIC
INDEX) BOND INDEX) BOND INDEX) INDEX) INDEX) CTA INDEX) FUND INDEX)
-------- -------------- -------------- ---------- ----------- ---------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
% % % % % % %
1981 (5.0) 1.1 (1.2) (1.0) (3.3) 23.9 N/A
1982 21.6 41.1 42.5 (0.8) 11.3 16.7 N/A
1983 22.5 1.8 6.3 24.6 23.3 23.8 N/A
1984 6.2 14.7 16.9 7.9 5.8 8.7 1.4
1985 31.7 32.0 30.1 56.7 41.8 25.5 21.9
1986 18.6 24.2 19.9 69.9 42.8 3.8 (14.4)
1987 5.2 (2.7) (0.3) 24.9 16.8 57.3 43.1
1988 16.5 9.1 10.7 28.6 23.9 21.8 7.3
1989 31.6 18.9 16.2 10.8 17.2 1.8 4.7
1990 (3.1) 4.6 6.8 (23.2) (16.5) 21.0 14.2
1991 30.4 17.9 19.9 12.5 19.0 3.7 10.0
1992 7.6 7.8 9.4 (11.8) (4.7) (0.9) (1.4)
1993 10.1 16.4 13.2 32.9 23.1 10.4 10.7
1994 1.3 (6.9) (5.8) 8.1 5.6 (0.7) (7.7)
1995 37.5 30.7 27.2 11.6 21.3 13.7 13.9
1996 22.8 (0.4) 1.3 6.4 14.0 9.1 9.8
1997 33.4 14.9 11.6 2.1 16.2 10.9 7.6
1998 28.6 13.5 12.5 20.3 24.8 7.0 7.9
1999* 12.4 (6.6) (6.3) 4.1 8.7 1.8 2.1
</TABLE>
*1999 returns are as of June 30, 1999.
THE FOLLOWING "NOTE" IS ADDED TO THE "NOTES TO `ANNUAL
RETURNS OF VARIOUS ASSET CLASSES OVER TIME' TABLE" ON PAGES 99-100.
The MSCI World Index is comprised of 1,456 companies,
representing a market structure of 22 countries around the world. The index is
used to represent global equities, including U.S. and Canadian markets. The MSCI
World Index performance data for global stocks is provided by Morgan Stanley
Capital International Inc. (New York, NY).
S-37
<PAGE>
THE FOLLOWING IS ADDED AS THE FIFTH FULL PARAGRAPH ON PAGE
100.
An investor's portfolio probably contains traditional
investments such as stocks and bonds. In order to maximize profit potential
(with commensurate risk) in all market cycles, it should also include asset
classes that have the potential to perform when these markets experience
difficulty. Managed futures have historically performed independently of
traditional investments, such as stocks (see chart below). This is referred to
as non-correlation, or the potential for managed futures to perform when
traditional markets such as stocks and bonds may experience difficulty
performing.
Of course, the degree of non-correlation of any given
managed futures fund (including the Partnerships) will vary and some funds will
have significantly lesser degrees of non-correlation (i.e., greater correlation)
with stocks and/or bonds than others.
THE FOLLOWING CHART UPDATES AND REPLACES THE "MANAGED
FUTURES VS. STOCKS" CHART ON PAGE 101.
The following chart was prepared by the General Partner to
illustrate the performance of managed futures against that of stocks from
January 1981 through June 1999, using the recognized market indices of each
asset. The Notes on page 102 are an integral part of the following chart.
MANAGED FUTURES VS. STOCKS
12-MONTH HOLDING PERIOD PERFORMANCE
<TABLE>
<CAPTION>
S&P 500 Index 12-month
(STOCKS) holding
periods
ROR QTRLY ANNUAL
<S> <C> <C> <C> <C> <C> <C> <C>
12/80 1000.00
1981 1/81 -4.20% 958.00
2/81 1.70% 974.29
3/81 4.00% 1013.26 1.33%
4/81 -1.90% 994.01
5/81 0.20% 995.99
6/81 -0.60% 990.02 -2.29%
7/81 0.20% 992.00
8/81 -5.80% 934.46
9/81 -4.90% 888.67 -10.24%
10/81 5.40% 936.66
11/81 4.10% 975.06
12/81 -2.60% 949.71 6.87% -5.03% -5.03%
1982 1/82 -1.30% 937.37 -2.15%
2/82 -5.60% 884.87 -9.18%
3/82 -0.50% 880.45 -7.29% -13.11%
4/82 4.50% 920.07 -7.44%
5/82 -3.40% 888.79 -10.76%
6/82 -1.50% 875.46 -0.57% -11.57%
7/82 -1.80% 859.70 -13.34%
8/82 12.10% 963.72 3.13%
9/82 1.20% 975.29 11.40% 9.75%
10/82 11.50% 1087.44 16.10%
11/82 4.00% 1130.94 15.99%
12/82 1.90% 1152.43 18.16% 21.34% 21.34%
1983 1/83 3.70% 1195.07 27.49%
2/83 2.30% 1222.56 38.16%
3/83 3.70% 1267.79 10.01% 43.99%
4/83 7.90% 1367.95 48.68%
5/83 -0.90% 1355.63 52.53%
6/83 3.90% 1408.50 11.10% 60.89%
7/83 -3.00% 1366.25 58.92%
8/83 1.50% 1386.74 43.89%
9/83 1.40% 1406.16 -0.17% 44.18%
10/83 -1.20% 1389.28 27.76%
11/83 2.10% 1418.46 25.42%
12/83 -0.50% 1411.37 0.37% 22.47% 22.47%
1984 1/84 -0.60% 1402.90 17.39%
2/84 -3.50% 1353.80 10.73%
3/84 1.70% 1376.81 -2.45% 8.60%
4/84 0.90% 1389.20 1.55%
5/84 -5.60% 1311.41 -3.26%
6/84 2.10% 1338.95 -2.75% -4.94%
7/84 -1.20% 1322.88 -3.17%
8/84 11.00% 1468.40 5.89%
9/84 0.00% 1468.40 9.67% 4.43%
10/84 0.40% 1474.27 6.12%
11/84 -1.10% 1458.05 2.79%
12/84 2.60% 1495.96 1.88% 5.99% 5.99%
1985 1/85 7.80% 1612.65 14.95%
2/85 1.20% 1632.00 20.55%
3/85 0.10% 1633.63 9.20% 18.65%
4/85 -0.10% 1632.00 17.48%
5/85 5.80% 1726.65 31.66%
6/85 1.60% 1754.28 7.39% 31.02%
7/85 -0.10% 1752.52 32.48%
8/85 -0.90% 1736.75 18.28%
9/85 -3.10% 1682.91 -4.07% 14.61%
10/85 4.60% 1760.33 19.40%
11/85 6.90% 1881.79 29.06%
12/85 4.80% 1972.11 17.18% 31.83% 31.83%
1986 1/86 0.60% 1983.95 23.02%
2/86 7.50% 2132.74 30.68%
3/86 5.60% 2252.18 14.20% 37.86%
4/86 -1.10% 2227.40 36.48%
5/86 5.30% 2345.46 35.84%
6/86 1.70% 2385.33 5.91% 35.97%
7/86 -5.60% 2251.75 28.49%
8/86 7.40% 2418.38 39.25%
9/86 -8.30% 2217.65 -7.03% 31.77%
10/86 5.80% 2346.28 33.29%
11/86 2.40% 2402.59 27.68%
12/86 -2.60% 2340.12 5.52% 18.66% 18.66%
1987 1/87 13.50% 2656.04 33.88%
2/87 3.90% 2759.62 29.39%
3/87 2.90% 2839.65 21.35% 26.08%
4/87 -0.90% 2814.10 26.34%
5/87 0.90% 2839.42 21.06%
6/87 5.00% 2981.39 4.99% 24.99%
7/87 5.10% 3133.44 39.16%
8/87 3.70% 3249.38 34.36%
9/87 -2.20% 3177.90 6.59% 43.30%
10/87 -21.50% 2494.65 6.32%
11/87 -8.20% 2290.09 -4.68%
12/87 7.60% 2464.13 -22.46% 5.30% 5.30%
1988 1/88 4.40% 2572.56 -3.14%
2/88 4.50% 2688.32 -2.58%
3/88 -3.00% 2607.67 5.83% -8.17%
4/88 1.20% 2638.96 -6.22%
5/88 0.60% 2654.80 -6.50%
6/88 4.60% 2776.92 6.49% -6.86%
7/88 -0.20% 2771.36 -11.56%
8/88 -3.60% 2671.59 -17.78%
9/88 4.30% 2786.47 0.34% -12.32%
10/88 2.90% 2867.28 14.94%
11/88 -1.60% 2821.40 23.20%
12/88 1.80% 2872.19 3.08% 16.56% 16.56%
1989 1/89 7.40% 3084.73 19.91%
2/89 -2.60% 3004.53 11.76%
3/89 2.40% 3076.64 7.12% 17.98%
4/89 5.30% 3239.70 22.76%
5/89 3.80% 3362.81 26.67%
6/89 -0.50% 3345.99 8.75% 20.49%
7/89 9.10% 3650.48 31.72%
8/89 1.80% 3716.19 39.10%
9/89 -0.40% 3701.32 10.62% 32.83%
10/89 -2.30% 3616.19 26.12%
11/89 1.90% 3684.90 30.61%
12/89 2.40% 3773.34 1.95% 31.37% 31.37%
1990 1/90 -6.60% 3524.30 14.25%
2/90 1.10% 3563.06 18.59%
3/90 2.70% 3659.27 -3.02% 18.94%
4/90 -2.40% 3571.44 10.24%
5/90 9.50% 3910.73 16.29%
6/90 -0.60% 3887.27 6.23% 16.18%
7/90 -0.20% 3879.49 6.27%
8/90 -9.10% 3526.46 -5.11%
9/90 -4.80% 3357.19 -13.64% -9.30%
10/90 -0.30% 3347.12 -7.44%
11/90 6.30% 3557.99 -3.44%
12/90 2.80% 3657.61 8.95% -3.07% -3.07%
1991 1/91 4.50% 3822.20 8.45%
2/91 7.00% 4089.76 14.78%
3/91 2.50% 4192.00 14.61% 14.56%
4/91 0.30% 4204.58 17.73%
5/91 4.10% 4376.96 11.92%
6/91 -4.50% 4180.00 -0.29% 7.53%
7/91 4.80% 4380.64 12.92%
8/91 2.20% 4477.01 26.95%
9/91 -1.70% 4400.90 5.28% 31.09%
10/91 1.40% 4462.52 33.32%
11/91 -4.10% 4279.55 20.28%
12/91 11.40% 4767.42 8.33% 30.34% 30.34%
1992 1/92 -1.70% 4686.38 22.61%
2/92 1.20% 4742.61 15.96%
3/92 -1.90% 4652.50 -2.41% 10.99%
4/92 3.00% 4792.08 13.97%
5/92 0.30% 4806.46 9.81%
6/92 -1.50% 4734.36 1.76% 13.26%
7/92 4.20% 4933.20 12.61%
8/92 -2.20% 4824.67 7.77%
9/92 1.20% 4882.57 3.13% 10.94%
10/92 0.50% 4906.98 9.96%
11/92 3.30% 5068.91 18.44%
12/92 1.30% 5134.81 5.17% 7.71% 7.71%
1993 1/93 0.90% 5181.02 10.55%
2/93 1.30% 5248.37 10.66%
3/93 2.10% 5358.59 4.36% 15.18%
4/93 -2.30% 5235.34 9.25%
5/93 2.50% 5366.22 11.65%
6/93 0.30% 5382.32 0.44% 13.69%
7/93 -0.30% 5366.18 8.78%
8/93 3.70% 5564.72 15.34%
9/93 -0.80% 5520.21 2.56% 13.06%
10/93 2.20% 5641.65 14.97%
11/93 -1.10% 5579.59 10.07%
12/93 1.20% 5646.55 2.29% 9.97% 9.97%
1994 1/94 3.50% 5844.18 12.80%
2/94 -2.80% 5680.54 8.23%
3/94 -4.30% 5436.28 -3.72% 1.45%
4/94 1.40% 5512.39 5.29%
5/94 1.50% 5595.07 4.26%
6/94 -2.40% 5460.79 0.45% 1.46%
7/94 3.40% 5646.46 5.22%
8/94 4.00% 5872.31 5.53%
9/94 -2.50% 5725.51 4.85% 3.72%
10/94 2.30% 5857.19 3.82%
11/94 -3.70% 5640.48 1.09%
12/94 1.50% 5725.08 -0.01% 1.39% 1.39%
1995 1/95 2.70% 5879.66 0.61%
2/95 3.80% 6103.09 7.44%
3/95 3.00% 6286.18 9.80% 15.63%
4/95 3.00% 6474.77 17.46%
5/95 3.90% 6727.28 20.24%
6/95 2.30% 6882.01 9.48% 26.03%
7/95 3.40% 7116.00 26.03%
8/95 0.20% 7130.23 21.42%
9/95 4.20% 7429.70 7.96% 29.76%
10/95 -0.30% 7407.41 26.47%
11/95 4.30% 7725.93 36.97%
12/95 1.90% 7872.72 5.96% 37.51% 37.51%
1996 1/96 3.50% 8148.27 38.58%
2/96 0.90% 8221.60 34.71%
3/96 1.00% 8303.82 5.48% 32.10%
4/96 1.50% 8428.38 30.17%
5/96 2.50% 8639.08 28.42%
6/96 0.40% 8673.64 4.45% 26.03%
7/96 -4.40% 8292.00 16.53%
8/96 2.10% 8466.13 18.74%
9/96 5.60% 8940.24 3.07% 20.33%
10/96 2.80% 9190.56 24.07%
11/96 7.50% 9879.86 27.88%
12/96 -2.00% 9682.26 8.30% 22.98% 22.98%
1997 1/97 6.20% 10282.56 26.19%
2/97 0.80% 10364.82 26.07%
3/97 -4.10% 9939.86 2.66% 19.70%
4/97 6.00% 10536.25 25.01%
5/97 6.10% 11178.96 29.40%
6/97 4.50% 11682.02 17.53% 34.68%
7/97 8.00% 12616.58 52.15%
8/97 -5.60% 11910.05 40.68%
9/97 5.50% 12565.10 7.56% 40.55%
10/97 -3.30% 12150.45 32.21%
11/97 4.60% 12709.38 28.64%
12/97 1.70% 12925.44 2.87% 33.50% 33.50%
1998 1/98 1.10% 13067.62 27.09%
2/98 7.20% 14008.48 35.15%
3/98 5.10% 14722.92 13.91% 48.12%
4/98 1.00% 14870.15 41.13%
5/98 -1.70% 14617.35 30.76%
6/98 4.10% 15216.66 3.35% 30.26%
7/98 -1.10% 15049.28 19.28%
8/98 -14.50% 12867.14 8.04%
9/98 6.41% 13691.92 -10.02% 8.97%
10/98 8.13% 14805.07 21.85%
11/98 6.10% 15708.18 23.60%
12/98 5.80% 16619.26 21.38% 28.58% 28.58%
1999 1/99 4.20% 17317.26 32.52%
2/99 -3.10% 16780.43 19.79%
3/99 4.00% 17451.65 5.01% 18.53%
4/99 3.90% 18132.26 21.94%
5/99 -2.40% 17697.09 21.07%
6/99 5.50% 18670.43 6.98% 12.34% 22.70%
Source: Thomson Financial Software Solutions, Boston, MA
</TABLE>
<TABLE>
<CAPTION>
BARCLAY'S CTA INDEX 12-month
(MANAGED FUTURES) holding
periods
ROR QTRLY ANNUAL
<S> <C> <C> <C> <C> <C>
1000.00
5.25% 1052.50
0.78% 1060.71
-3.98% 1018.49 1.85%
1.22% 1030.92
3.56% 1067.62
16.46% 1243.35 22.08%
-2.73% 1209.41
3.05% 1246.29
-2.57% 1214.26 -2.34%
-2.25% 1186.94
6.71% 1266.59
-2.18% 1238.97 2.04% 23.90% 23.90%
1.67% 1259.67 19.68%
3.05% 1298.09 22.38%
7.34% 1393.36 12.46% 36.81%
-0.74% 1383.05 34.16%
3.16% 1426.76 33.64%
6.82% 1524.06 9.38% 22.58%
-9.12% 1385.07 14.52%
4.30% 1444.63 15.91%
9.39% 1580.28 3.69% 30.14%
-3.09% 1531.45 29.02%
-4.91% 1456.25 14.97%
-0.73% 1445.62 -8.52% 16.68% 16.68%
18.37% 1711.18 35.84%
-9.05% 1556.32 19.89%
2.04% 1588.07 9.85% 13.97%
-0.82% 1575.05 13.88%
9.82% 1729.72 21.23%
-8.50% 1582.69 -0.34% 3.85%
3.12% 1632.07 17.83%
9.06% 1779.94 23.21%
0.19% 1783.32 12.68% 12.85%
1.83% 1815.95 18.58%
-4.17% 1740.23 19.50%
2.80% 1788.95 0.32% 23.75% 23.75%
1.60% 1817.58 6.22%
-0.96% 1800.13 15.67%
1.97% 1835.59 2.61% 15.59%
-2.53% 1789.15 13.59%
4.12% 1862.86 7.70%
-9.81% 1680.12 -8.47% 6.16%
21.33% 2038.49 24.90%
-8.00% 1875.41 5.36%
3.98% 1950.05 16.07% 9.35%
-4.20% 1868.15 2.87%
-2.98% 1812.48 4.15%
7.33% 1945.33 -0.24% 8.74% 8.74%
2.57% 1995.33 9.78%
4.67% 2088.51 16.02%
-1.06% 2066.37 6.22% 12.57%
-1.98% 2025.45 13.21%
1.34% 2052.60 10.18%
-4.83% 1953.46 -5.46% 16.27%
13.96% 2226.16 9.21%
-1.62% 2190.09 16.78%
-7.69% 2021.68 3.49% 3.67%
6.61% 2155.31 15.37%
4.69% 2256.39 24.49%
8.20% 2441.42 20.76% 25.50% 25.50%
1.87% 2487.07 24.64%
14.14% 2838.74 35.92%
5.62% 2998.28 22.81% 45.10%
-6.23% 2811.49 38.81%
-3.92% 2701.28 31.60%
-1.46% 2661.84 -11.22% 36.26%
3.25% 2748.35 23.46%
5.11% 2888.79 31.90%
-5.56% 2728.17 2.49% 34.95%
-4.40% 2608.13 21.01%
-2.20% 2550.75 13.05%
-0.63% 2534.68 -7.09% 3.82% 3.82%
10.51% 2801.08 12.63%
0.61% 2818.17 -0.72%
3.37% 2913.14 14.93% -2.84%
22.07% 3556.07 26.48%
-1.81% 3491.70 29.26%
-3.24% 3378.57 15.98% 26.93%
4.73% 3538.38 28.75%
-1.69% 3478.58 20.42%
0.72% 3503.63 3.70% 28.42%
0.33% 3515.19 34.78%
8.60% 3817.49 49.66%
4.42% 3986.23 13.77% 57.27% 57.27%
-1.88% 3911.29 39.63%
0.70% 3938.66 39.76%
-3.43% 3803.57 -4.58% 30.57%
-3.95% 3653.33 2.74%
8.95% 3980.30 13.99%
27.40% 5070.90 33.32% 50.09%
-8.23% 4653.57 31.52%
0.54% 4678.70 34.50%
0.80% 4716.13 -7.00% 34.61%
1.37% 4780.74 36.00%
2.62% 4905.99 28.51%
-1.07% 4853.50 2.91% 21.76% 21.76%
1.48% 4925.33 25.93%
-3.47% 4754.42 20.71%
3.65% 4927.96 1.53% 29.56%
-2.50% 4804.76 31.52%
11.92% 5377.49 35.10%
1.28% 5446.32 10.52% 7.40%
-1.74% 5351.55 15.00%
-5.83% 5039.56 7.71%
-3.04% 4886.35 -10.28% 3.61%
-5.99% 4593.66 -3.91%
2.30% 4699.32 -4.21%
5.14% 4940.86 1.12% 1.80% 1.80%
1.54% 5016.95 1.86%
0.79% 5056.58 6.36%
3.02% 5209.29 5.43% 5.71%
4.54% 5445.79 13.34%
-5.49% 5146.82 -4.29%
1.23% 5210.13 0.02% -4.34%
5.62% 5502.93 2.83%
6.69% 5871.08 16.50%
2.78% 6034.30 15.82% 23.49%
1.15% 6103.69 32.87%
-0.47% 6075.00 29.27%
-1.57% 5979.63 -0.91% 21.02% 21.02%
-4.90% 5686.62 13.35%
-0.83% 5639.43 11.53%
4.28% 5880.79 -1.65% 12.89%
-1.89% 5769.65 5.95%
-1.61% 5676.76 10.30%
2.66% 5827.76 -0.90% 11.85%
-3.36% 5631.94 2.34%
-1.92% 5523.81 -5.91%
2.72% 5674.06 -2.64% -5.97%
-0.91% 5622.42 -7.88%
0.26% 5637.04 -7.21%
10.03% 6202.44 9.31% 3.73% 3.73%
-4.53% 5921.47 4.13%
-2.61% 5766.92 2.26%
-1.81% 5662.54 -8.70% -3.71%
-0.80% 5617.24 -2.64%
-0.73% 5576.23 -1.77%
4.44% 5823.81 2.85% -0.07%
4.31% 6074.82 7.86%
2.30% 6214.54 12.50%
-1.61% 6114.49 4.99% 7.76%
0.19% 6126.11 8.96%
1.19% 6199.01 9.97%
-0.86% 6145.69 0.51% -0.91% -0.91%
-1.81% 6034.46 1.91%
5.47% 6364.54 10.36%
-0.50% 6332.72 3.04% 11.84%
3.20% 6535.37 16.34%
0.62% 6575.89 17.93%
0.98% 6640.33 4.86% 14.02%
3.71% 6886.69 13.36%
-3.11% 6672.51 7.37%
-0.85% 6615.79 -0.37% 8.20%
-0.58% 6577.42 7.37%
0.15% 6587.29 6.26%
2.97% 6782.93 2.53% 10.37% 10.37%
-3.30% 6559.09 8.69%
-1.44% 6464.64 1.57%
2.03% 6595.88 -2.76% 4.16%
-1.77% 6479.13 -0.86%
2.78% 6659.25 1.27%
2.50% 6825.73 3.48% 2.79%
-1.04% 6754.74 -1.92%
-3.11% 6544.67 -1.92%
1.68% 6654.62 -2.51% 0.59%
0.08% 6659.94 1.25%
1.68% 6771.83 2.80%
-0.49% 6738.65 1.26% -0.65% -0.65%
-1.79% 6618.03 0.90%
3.40% 6843.04 5.85%
6.42% 7282.36 8.07% 10.41%
1.17% 7367.57 13.71%
0.51% 7405.14 11.20%
-1.29% 7309.61 0.37% 7.09%
-1.23% 7219.71 6.88%
2.33% 7387.93 12.88%
-0.14% 7377.58 0.93% 10.86%
-0.03% 7375.37 10.74%
1.04% 7452.07 10.05%
2.76% 7657.75 3.80% 13.64% 13.64%
2.64% 7859.91 18.77%
-4.77% 7485.00 9.38%
0.59% 7529.16 -1.68% 3.39%
5.96% 7977.90 8.28%
-1.96% 7821.53 5.62%
-0.35% 7794.15 3.52% 6.63%
-1.64% 7666.33 6.19%
-0.82% 7603.47 2.92%
2.22% 7772.26 -0.28% 5.35%
5.49% 8198.96 11.17%
3.47% 8483.46 13.84%
-1.50% 8356.21 7.51% 9.12% 9.12%
3.86% 8678.76 10.42%
3.49% 8981.65 20.00%
-0.59% 8928.66 6.85% 18.59%
-1.38% 8805.44 10.37%
0.32% 8833.62 12.94%
0.08% 8840.69 -0.99% 13.43%
5.69% 9343.72 21.88%
-4.00% 8969.97 17.97%
1.01% 9060.57 2.49% 16.58%
-1.60% 8915.60 8.74%
1.42% 9042.20 6.59%
2.48% 9266.45 2.27% 10.89% 10.89%
0.58% 9320.20 7.39%
-0.99% 9227.93 2.74%
0.54% 9277.76 0.12% 3.91%
-3.39% 8963.24 1.79%
0.76% 9031.36 2.24%
0.36% 9063.87 -2.31% 2.52%
-0.29% 9037.59 -3.28%
5.92% 9572.61 6.72%
3.16% 9875.11 8.95% 8.99%
-0.75% 9801.04 9.93%
-0.93% 9709.90 7.38%
2.12% 9915.74 0.41% 7.01% 7.01%
-1.49% 9768.00 4.80%
2.58% 10020.01 8.58%
-1.22% 9897.77 -0.18% 6.68%
1.76% 10071.97 12.37%
-1.44% 9926.93 9.92%
1.65% 10090.73 1.95% 1.76% 11.33%
Source: Barclay Trading Group, Fairfield, IA
</TABLE>
S-38
<PAGE>
THE FOLLOWING CHART UPDATES AND REPLACES THE "IMPROVED
PORTFOLIO EFFICIENCY" CHART ON PAGE 102.
The following chart was prepared by the General Partner to
illustrate the risk/return characteristics of a portfolio consisting of
different combinations of domestic stocks, corporate bonds, international
equities and/or managed futures, based on the performance of recognized market
indices of each asset over the period January 1981--June 30, 1999. The Notes on
page 103 are an integral part of the following chart.
IMPROVED PORTFOLIO EFFICIENCY
JANUARY 1981 THROUGH JUNE 1999
STOCKS/BONDS/INTERNATIONAL EQUITIES/MANAGED FUTURES
<TABLE>
<CAPTION>
Standard Deviation Average Monthly ROR
(x-axis) (Y-axis)
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
100% Stocks (S&P 500 Index) 4.2792% 1.4195%
100% Bonds (Salomon Corporate Bond Index) 2.6688% 0.9743%
100% International Equities (MSCI EAFE Index) 5.0618% 1.1818%
100% Managed Futures (Barclay CTA Index) 5.0453% 1.1665%
50% Stocks/50% Bonds 2.9302% 1.1969%
50% Stocks/30% Bonds/10% Int'l Eqs./10% Mgd. Futures 2.8863% 1.2369%
</TABLE>
S-39
<PAGE>
THE FOLLOWING INFORMATION IS ADDED TO "POTENTIAL ADVANTAGES"
ON PAGES 97-105.
The following chart was prepared by the General Partner to
illustrate the change in fund assets from the inception of trading of Charter
Graham through June 30, 1999 to reflect the Partnership's performance and net
additions of capital.
MORGAN STANLEY DEAN WITTER
CHARTER GRAHAM L.P.
FUND ASSET HISTORY
Feb-99 $4.4
Jun-99 $11.4
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
S-40
<PAGE>
The following chart was prepared by the General Partner to
illustrate the monthly performance, on a net asset value basis, of Charter
Graham versus that of the MAR Public Fund Index (the "MAR Index"), from the
inception of trading through June 30, 1999. The MAR Index represents the
dollar-weighted average performance of public managed futures funds. To qualify
for inclusion in the MAR Index, an investment product must appear in MAR's fund
performance tables. MAR imposes no minimum size restrictions on the public
managed futures funds that it tracks. As of June 30, 1999, there were 95 public
managed futures funds included in the calculation of the MAR Index.
MORGAN STANLEY DEAN WITTER CHARTER GRAHAM L.P.
VS. MAR PUBLIC FUND INDEX
HISTORICAL PERFORMANCE COMPARISON (NET ASSET VALUE)
Feb-99 10.00
Mar-99 -8.00% 9.20
Apr-99 4.24% 9.59
May-99 -5.94% 9.02
Jun-99 6.65% 9.62 4.57%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
S-41
<PAGE>
The following chart was prepared by the General Partner to
illustrate the performance, on a rate of return basis, of Charter Graham versus
that of the MAR Index, from the inception of trading through June 30, 1999. See
the description of the MAR Index preceding the table on page S-41.
MORGAN STANLEY DEAN WITTER CHARTER GRAHAM L.P.
VS. MAR PUBLIC FUND INDEX
HISTORICAL PERFORMANCE COMPARISON (RATE OF RETURN)
<TABLE>
<CAPTION>
MAR Public Fund Index Morgan Stanley Charter Graham
--------------------------------------------------------------------------------------------------
Total Return Annualized Return Total Return Annualized Return
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
YTD 2.42% -3.80%
1 YR. N/A N/A N/A N/A
2 YR. N/A N/A N/A N/A
3 YR. N/A N/A N/A N/A
5 YR. N/A N/A N/A N/A
10 YR. N/A N/A N/A N/A
ITD 2.42% 7.40% -3.8000% -10.94%
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
S-42
<PAGE>
The following chart was prepared by the General Partner to
illustrate certain period performance and statistical information relating to
Charter Graham, from the inception of trading through June 30, 1999.
MORGAN STANLEY DEAN WITTER CHARTER GRAHAM L.P.
HISTORICAL PERFORMANCE
<TABLE>
===================================================================================================================
12 MO. 24 MO.
MONTHLY NAV/ QRTLY ANNUAL HOLDING HOLDING
MONTH RETURN UNIT RETURN RETURN PERIOD PERIOD
===================================================================================================================
<S> <C> <C> <C> <C> <C>
Feb-99 10.00
Mar-99 -8.00% 9.20 -8.00%
Apr-99 4.24% 9.59
May-99 -5.94% 9.02
Jun-99 6.65% 9.62 4.57% -3.80%
- -------------------------------------------------------------------------------------------------------------------
STATISTICS - CHARTER GRAHAM
COMPOUNDED ANNUAL ROR: N/A
STANDARD DEVIATION
OF MONTHLY RETURNS: N/A
</TABLE>
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
S-43
<PAGE>
The following chart was prepared by the General Partner to
illustrate the change in fund assets from the inception of trading of Charter
Millburn through June 30, 1999, to reflect the Partnership's performance and net
additions of capital.
MORGAN STANLEY DEAN WITTER
CHARTER MILLBURN L.P.
FUND ASSET HISTORY
Feb-99 $4.8
Jun-99 $14.8
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
S-44
<PAGE>
The following chart was prepared by the General Partner to
illustrate the monthly performance, on a net asset value basis, of Charter
Millburn versus that of the MAR Index, from the inception of trading through
June 30, 1999. See the description of the MAR Index preceding the chart on page
S-41.
MORGAN STANLEY DEAN WITTER CHARTER MILLBURN L.P.
VS. MAR PUBLIC FUND INDEX
HISTORICAL PERFORMANCE COMPARISON (NET ASSET VALUE)
Feb-99 10.00
Mar-99 -0.50% 9.95
Apr-99 5.03% 10.45
May-99 -3.54% 10.08
Jun-99 5.16% 10.60 6.00%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
S-45
<PAGE>
The following chart was prepared by the General Partner to
illustrate the performance, on a rate of return basis, of Charter Millburn
versus that of the MAR Index, from the inception of trading through June 30,
1999. See the description of the MAR Index on page S-41.
MORGAN STANLEY DEAN WITTER CHARTER MILLBURN L.P.
VS. MAR PUBLIC FUND INDEX
HISTORICAL PERFORMANCE COMPARISON (RATE OF RETURN)
<TABLE>
<CAPTION>
MAR Public Fund Index Morgan Stanley Charter Millburn
-------------------------------------------------------------------------------------------------------
Total Return Annualized Return Total Return Annualized Return
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
YTD 2.42% 6.00%
1 YR. N/A N/A N/A N/A
2 YR. N/A N/A N/A N/A
3 YR. N/A N/A N/A N/A
5 YR. N/A N/A N/A N/A
10 YR. N/A N/A N/A N/A
ITD 2.42% 7.40% 6.00% 19.04%
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
S-46
<PAGE>
The following chart was prepared by the General Partner to
illustrate certain period performance and statistical information relating to
Charter Millburn, from the inception of trading through June 30, 1999.
MORGAN STANLEY DEAN WITTER CHARTER MILLBURN L.P.
HISTORICAL PERFORMANCE
<TABLE>
===================================================================================================================
12 MO. 24 MO.
MONTHLY NAV/ QRTLY ANNUAL HOLDING HOLDING
MONTH RETURN UNIT RETURN RETURN PERIOD PERIOD
===================================================================================================================
<S> <C> <C> <C> <C>
Feb-99 10.00
Mar-99 -0.50% 9.95 -0.50%
Apr-99 5.03% 10.45
May-99 -3.54% 10.08
Jun-99 5.16% 10.60 6.53% 6.00%
- -------------------------------------------------------------------------------------------------------------------
STATISTICS - CHARTER MILLBURN
COMPOUNDED ANNUAL ROR: N/A
STANDARD DEVIATION
OF MONTHLY RETURNS: N/A
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
S-47
<PAGE>
The following chart was prepared by the General Partner to
illustrate the change in fund assets from the inception of trading of Charter
Welton through June 30, 1999, to reflect the Partnership's performance and net
additions of capital.
MORGAN STANLEY DEAN WITTER
CHARTER WELTON L.P.
FUND ASSET HISTORY
Feb-99 $5.8
Jun-99 $14.5
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
S-48
<PAGE>
The following chart was prepared by the General Partner to
illustrate the monthly performance, on a net asset value basis, of Charter
Welton versus that of the MAR Index, from the inception of trading through June
30, 1999. See the description of the MAR Index preceding the chart on page S-41.
MORGAN STANLEY DEAN WITTER CHARTER WELTON L.P.
VS. MAR PUBLIC FUND INDEX
HISTORICAL PERFORMANCE COMPARISION (NET ASSET VALUE)
Feb-99 10.00
Mar-99 -7.70% 9.23
Apr-99 0.33% 9.26
May-99 -3.46% 8.94
Jun-99 3.02% 9.21 -7.90%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
S-49
<PAGE>
The following chart was prepared by the General Partner to
illustrate the performance, on a rate of return basis, of Charter Welton versus
that of the MAR Index, from the inception of trading through June 30, 1999. See
the description of the MAR Index on page S-41.
MORGAN STANLEY DEAN WITTER CHARTER WELTON L.P.
VS. MAR PUBLIC FUND INDEX
HISTORICAL PERFORMANCE COMPARISON (RATE OF RETURN)
<TABLE>
<CAPTION>
MAR Public Fund Index Morgan Stanley Charter Welton
----------------------------------------------------------------------------------------------------------
Total Return Annualized Return Total Return Annualized Return
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
YTD 2.42% -7.90%
1 YR. N/A N/A N/A N/A
2 YR. N/A N/A N/A N/A
3 YR. N/A N/A N/A N/A
5 YR. N/A N/A N/A N/A
10 YR. N/A N/A N/A N/A
ITD 2.42% 7.40% -7.90% -21.82%
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
S-50
<PAGE>
The following chart was prepared by the General Partner to
illustrate certain period performance and statistical information relating to
Charter Welton, from the inception of trading through June 30, 1999.
MORGAN STANLEY DEAN WITTER CHARTER WELTON L.P.
HISTORICAL PERFORMANCE
<TABLE>
<CAPTION>
===================================================================================================================
12 MO. 24 MO.
MONTHLY NAV/ QRTLY ANNUAL HOLDING HOLDING
MONTH RETURN UNIT RETURN RETURN PERIOD PERIOD
===================================================================================================================
<S> <C> <C> <C> <C>
Feb-99 10.00
Mar-99 -7.70% 9.23 -7.70%
Apr-99 0.33% 9.26
May-99 -3.46% 8.94
Jun-99 3.02% 9.21 -0.22% -7.90%
- -------------------------------------------------------------------------------------------------------------------
STATISTICS - CHARTER WELTON
COMPOUNDED ANNUAL ROR: N/A
STANDARD DEVIATION
OF MONTHLY RETURNS: N/A
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
EXPERTS
THE FOLLOWING INFORMATION REPLACES THE INFORMATION UNDER
"EXPERTS" ON PAGE 106.
The statements of financial condition of 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., as of January 31, 1999, and
the statements of financial condition of Demeter Management Corporation as of
November 30, 1998 and 1997 included in this Supplement to the Prospectus, have
been audited by Deloitte & Touche LLP, independent auditors, as stated in their
reports appearing herein, and are included in reliance upon such reports of such
firm given upon their authority as experts in accounting and auditing. Deloitte
& Touche LLP also acts as independent auditors for MSDW.
S-51
<PAGE>
INDEPENDENT AUDITORS' REPORT
To the Limited Partners and the General Partner of
Morgan Stanley Dean Witter Charter Graham L.P.
Morgan Stanley Dean Witter Charter Millburn L.P.
Morgan Stanley Dean Witter Charter Welton L.P.:
We have audited the accompanying statements of financial condition of 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. (collectively,
the "Partnerships") as of January 31, 1999. These financial statements are the
responsibility of the Partnerships' 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 audits to obtain
reasonable assurance about whether the statements of financial condition are
free of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the statements 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
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 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., as of January 31, 1999 in conformity
with generally accepted accounting principles.
Deloitte & Touche LLP
July 13, 1999
New York, New York
S-52
<PAGE>
MORGAN STANLEY DEAN WITTER CHARTER GRAHAM L.P.
STATEMENTS OF FINANCIAL CONDITION
<TABLE>
<CAPTION>
MARCH 31, JANUARY 31,
1999 1999
--------- -----------
<S> <C> <C>
$ $
<CAPTION>
(UNAUDITED)
<S> <C> <C>
ASSETS
Equity in futures interests trading accounts:
Cash.................................................. 4,090,503 20
Net unrealized loss on open contracts................. (59,408) --
--------- -----
Total Trading Equity........................ 4,031,095 20
Subscriptions receivable........................................ 2,077,085 --
Interest receivable (DWR and Carr).............................. 14,907 --
--------- -----
Total Assets................................ 6,123,087 20
--------- -----
--------- -----
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Accrued brokerage fees (DWR).......................... 25,452 --
Accrued management fee................................ 7,272 --
--------- -----
Total Liabilities........................... 32,724 --
--------- -----
Partners' Capital
Limited Partners (653,909.889 and 1 Unit(s),
respectively)........................................... 6,015,173 10
General Partner (8,173.913 and 1 Unit(s),
respectively)........................................... 75,190 10
--------- -----
Total Partners' Capital............................... 6,090,363 20
--------- -----
Total Liabilities and Partners' Capital......................... 6,123,087 20
--------- -----
--------- -----
NET ASSET VALUE PER UNIT........................................ 9.20 10.00
--------- -----
--------- -----
</TABLE>
The accompanying notes are an integral part of these financial statements.
S-53
<PAGE>
MORGAN STANLEY DEAN WITTER CHARTER MILLBURN L.P.
STATEMENTS OF FINANCIAL CONDITION
<TABLE>
<CAPTION>
MARCH 31, JANUARY 31,
1999 1999
--------- -----------
<S> <C> <C>
$ $
<CAPTION>
(UNAUDITED)
<S> <C> <C>
ASSETS
Equity in futures interests trading accounts:
Cash.................................................. 4,797,221 20
Net unrealized gain on open contracts................. 31,915 --
--------- -----
Total Trading Equity........................ 4,829,136 20
Subscriptions receivable........................................ 2,846,001 --
Interest receivable (DWR and Carr).............................. 16,876 --
--------- -----
Total Assets................................ 7,692,013 20
--------- -----
--------- -----
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Accrued brokerage fees (DWR).......................... 28,204 --
Accrued management fee................................ 8,058 --
--------- -----
Total Liabilities........................... 36,262 --
--------- -----
Partners' Capital
Limited Partners (761,005.937 and 1 Unit(s),
respectively)........................................... 7,571,062 10
General Partner (8,512.563 and 1 Unit(s),
respectively)........................................... 84,689 10
--------- -----
Total Partners' Capital............................... 7,655,751 20
--------- -----
Total Liabilities and Partners' Capital......................... 7,692,013 20
--------- -----
--------- -----
NET ASSET VALUE PER UNIT........................................ 9.95 10.00
--------- -----
--------- -----
</TABLE>
The accompanying notes are an integral part of these financial statements.
S-54
<PAGE>
MORGAN STANLEY DEAN WITTER CHARTER WELTON L.P.
STATEMENTS OF FINANCIAL CONDITION
<TABLE>
<CAPTION>
MARCH 31, JANUARY 31,
1999 1999
--------- -----------
<S> <C> <C>
$ $
<CAPTION>
(UNAUDITED)
<S> <C> <C>
ASSETS
Equity in futures interests trading accounts:
Cash.................................................. 5,376,618 20
Net unrealized gain on open contracts................. 32,030 --
--------- -----
Total Trading Equity........................ 5,408,648 20
Subscriptions receivable........................................ 2,753,022 --
Interest receivable (DWR and Carr).............................. 20,478 --
Net option premiums............................................. (33,020) --
--------- -----
Total Assets................................ 8,149,128 20
--------- -----
--------- -----
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Accrued brokerage fees (DWR).......................... 33,842 --
Accrued management fee................................ 9,669 --
--------- -----
Total Liabilities........................... 43,511 --
--------- -----
Partners' Capital
Limited Partners (869,247.093 and 1 Unit(s),
respectively)........................................... 8,021,029 10
General Partner (9,166.847 and 1 Unit(s),
respectively)........................................... 84,588 10
--------- -----
Total Partners' Capital............................... 8,105,617 20
--------- -----
Total Liabilities and Partners' Capital......................... 8,149,128 20
--------- -----
--------- -----
NET ASSET VALUE PER UNIT........................................ 9.23 10.00
--------- -----
--------- -----
</TABLE>
The accompanying notes are an integral part of these financial statements.
S-55
<PAGE>
MORGAN STANLEY DEAN WITTER CHARTER GRAHAM L.P.
STATEMENT OF OPERATIONS
(Unaudited)
<TABLE>
<CAPTION>
FOR THE PERIOD
FROM
MARCH 1, 1999
(COMMENCEMENT OF
OPERATIONS) TO
MARCH 31, 1999
-----------------
<S> <C>
$
REVENUES
Trading loss:
Realized............................................ (272,633)
Net change in unrealized............................ (59,408)
---------
Total Trading Results..................... (332,041)
Interest income (DWR and Carr)................................ 14,907
---------
Total..................................... (317,134)
---------
EXPENSES
Brokerage fees (DWR).......................................... 25,452
Management fee................................................ 7,272
---------
Total Expenses............................ 32,724
---------
NET LOSS................................................................ (349,858)
---------
---------
NET LOSS ALLOCATION
Limited Partners.............................................. (345,048)
General Partner............................................... (4,810)
NET LOSS PER UNIT
Limited Partners.............................................. (.80)
General Partner............................................... (.80)
</TABLE>
The accompanying notes are an integral part of these financial statements.
S-56
<PAGE>
MORGAN STANLEY DEAN WITTER CHARTER MILLBURN L.P.
STATEMENT OF OPERATIONS
(Unaudited)
<TABLE>
<CAPTION>
FOR THE PERIOD
FROM
MARCH 1, 1999
(COMMENCEMENT OF
OPERATIONS) TO
MARCH 31, 1999
-----------------
<S> <C>
$
REVENUES
Trading profit (loss):
Realized............................................ (37,662)
Net change in unrealized............................ 31,915
---------
Total Trading Results..................... (5,747)
Interest income (DWR and Carr)................................ 16,876
---------
Total..................................... 11,129
---------
EXPENSES
Brokerage fees (DWR).......................................... 28,204
Management fee................................................ 8,058
---------
Total Expenses............................ 36,262
---------
NET LOSS................................................................ (25,133)
---------
---------
NET LOSS ALLOCATION
Limited Partners.............................................. (24,822)
General Partner............................................... (311)
NET LOSS PER UNIT
Limited Partners.............................................. (.05)
General Partner............................................... (.05)
</TABLE>
The accompanying notes are an integral part of these financial statements.
S-57
<PAGE>
MORGAN STANLEY DEAN WITTER CHARTER WELTON L.P.
STATEMENT OF OPERATIONS
(Unaudited)
<TABLE>
<CAPTION>
FOR THE PERIOD
FROM
MARCH 1, 1999
(COMMENCEMENT OF
OPERATIONS) TO
MARCH 31, 1999
-----------------
<S> <C>
$
REVENUES
Trading profit (loss):
Realized............................................ (457,852)
Net change in unrealized............................ 32,030
---------
Total Trading Results..................... (425,822)
Interest income (DWR and Carr)................................ 20,478
---------
Total..................................... (405,344)
---------
EXPENSES
Brokerage fees (DWR).......................................... 33,842
Management fee................................................ 9,669
---------
Total Expenses............................ 43,511
---------
NET LOSS................................................................ (448,855)
---------
---------
NET LOSS ALLOCATION
Limited Partners.............................................. (443,443)
General Partner............................................... (5,412)
NET LOSS PER UNIT
Limited Partners.............................................. (.77)
General Partner............................................... (.77)
</TABLE>
The accompanying notes are an integral part of these financial statements.
S-58
<PAGE>
MORGAN STANLEY DEAN WITTER CHARTER SERIES
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
For the Period from March 1, 1999
(commencement of operations)
to March 31, 1999
(Unaudited)
<TABLE>
<CAPTION>
UNITS OF
PARTNERSHIP LIMITED GENERAL
INTEREST PARTNERS PARTNER TOTAL
----------- ---------- ------- ----------
<S> <C> <C> <C> <C>
MORGAN STANLEY DEAN WITTER
CHARTER GRAHAM L.P.
Partners' Capital,
Initial Offering........... 436,313.664 $4,303,136 $60,000 $4,363,136
Offering of Units.................... 225,770.138 2,057,085 20,000 2,077,085
Net Loss............................. -- (345,048) (4,810) (349,858)
----------- ---------- ------- ----------
Partners' Capital
March 31, 1999............. 662,083.802 $6,015,173 $75,190 $6,090,363
----------- ---------- ------- ----------
----------- ---------- ------- ----------
</TABLE>
<TABLE>
<S> <C> <C> <C> <C>
MORGAN STANLEY DEAN WITTER
CHARTER MILLBURN L.P.
Partners' Capital,
Initial Offering........... 483,488.295 $4,774,883 $60,000 $4,834,883
Offering of Units.................... 286,030.205 2,821,001 25,000 2,846,001
Net Loss............................. -- (24,822) (311) (25,133)
----------- ---------- ------- ----------
Partners' Capital
March 31, 1999............. 769,518.500 $7,571,062 $84,689 $7,655,751
----------- ---------- ------- ----------
----------- ---------- ------- ----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
S-59
<PAGE>
MORGAN STANLEY DEAN WITTER CHARTER SERIES
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (CONCLUDED)
For the Period from March 1, 1999
(commencement of operations)
to March 31, 1999
(Unaudited)
<TABLE>
<CAPTION>
UNITS OF
PARTNERSHIP LIMITED GENERAL
INTEREST PARTNERS PARTNER TOTAL
----------- ---------- ------- ----------
<S> <C> <C> <C> <C>
MORGAN STANLEY DEAN WITTER
CHARTER WELTON L.P.
Partners' Capital,
Initial Offering........... 580,145.052 $5,731,450 $70,000 $5,801,450
Offering of Units.................... 298,268.888 2,733,022 20,000 2,753,022
Net Loss............................. -- (443,443) (5,412) (448,855)
----------- ---------- ------- ----------
Partners' Capital
March 31, 1999............. 878,413.940 $8,021,029 $84,588 $8,105,617
----------- ---------- ------- ----------
----------- ---------- ------- ----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
S-60
<PAGE>
MORGAN STANLEY DEAN WITTER CHARTER GRAHAM L.P.
STATEMENT OF CASH FLOWS
(Unaudited)
<TABLE>
<CAPTION>
FOR THE PERIOD
FROM
MARCH 1, 1999
(COMMENCEMENT OF
OPERATIONS) TO
MARCH 31, 1999
-----------------
<S> <C>
$
CASH FLOWS FROM OPERATING ACTIVITIES
Net loss................................................................ (349,858)
Noncash item included in net loss:
Net change in unrealized............................ 59,408
Increase in operating assets:
Interest receivable (DWR and Carr).................. (14,907)
Increase in operating liabilities:
Accrued brokerage fees (DWR)........................ 25,452
Accrued management fee.............................. 7,272
-----------
Net cash used for operating activities.................................. (272,633)
-----------
CASH FLOWS FROM FINANCING ACTIVITIES
Initial offering.............................................. 4,363,136
Offering of units............................................. 2,077,085
Increase in subscriptions receivable.......................... (2,077,085)
-----------
Net cash provided by financing activities............................... 4,363,136
-----------
Net increase in cash.................................................... 4,090,503
Balance at beginning of period.......................................... --
-----------
Balance at end of period................................................ 4,090,503
-----------
-----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
S-61
<PAGE>
MORGAN STANLEY DEAN WITTER CHARTER MILLBURN L.P.
STATEMENT OF CASH FLOWS
(Unaudited)
<TABLE>
<CAPTION>
FOR THE PERIOD
FROM
MARCH 1, 1999
(COMMENCEMENT OF
OPERATIONS) TO
MARCH 31, 1999
-----------------
<S> <C>
$
CASH FLOWS FROM OPERATING ACTIVITIES
Net loss................................................................ (25,133)
Noncash item included in net loss:
Net change in unrealized............................ (31,915)
Increase in operating assets:
Interest receivable (DWR and Carr).................. (16,876)
Increase in operating liabilities:
Accrued brokerage fee (DWR)......................... 28,204
Accrued management fee.............................. 8,058
-----------
Net cash used for operating activities.................................. (37,662)
-----------
CASH FLOWS FROM FINANCING ACTIVITIES
Initial offering.............................................. 4,834,883
Offering of units............................................. 2,846,001
Increase in subscriptions receivable.......................... (2,846,001)
-----------
Net cash provided by financing activities............................... 4,834,883
-----------
Net increase in cash.................................................... 4,797,221
Balance at beginning of period.......................................... --
-----------
Balance at end of period................................................ 4,797,221
-----------
-----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
S-62
<PAGE>
MORGAN STANLEY DEAN WITTER CHARTER WELTON L.P.
STATEMENT OF CASH FLOWS
(Unaudited)
<TABLE>
<CAPTION>
FOR THE PERIOD
FROM
MARCH 1, 1999
(COMMENCEMENT OF
OPERATIONS) TO
MARCH 31, 1999
-----------------
<S> <C>
$
CASH FLOWS FROM OPERATING ACTIVITIES
Net loss................................................................ (448,855)
Noncash item included in net loss:
Net change in unrealized............................ (32,030)
(Increase) decrease in operating assets:
Interest receivable (DWR and Carr).................. (20,478)
Net option premiums................................. 33,020
Increase in operating liabilities:
Accrued brokerage fee (DWR)......................... 33,842
Accrued management fee.............................. 9,669
-----------
Net cash used for operating activities.................................. (424,832)
-----------
CASH FLOWS FROM FINANCING ACTIVITIES
Initial offering.............................................. 5,801,450
Offering of units............................................. 2,753,022
Increase in subscriptions receivable.......................... (2,753,022)
-----------
Net cash provided by financing activities............................... 5,801,450
-----------
Net increase in cash.................................................... 5,376,618
Balance at beginning of period.......................................... --
-----------
Balance at end of period................................................ 5,376,618
-----------
-----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
S-63
<PAGE>
MORGAN STANLEY DEAN WITTER CHARTER SERIES
NOTES TO FINANCIAL STATEMENTS
(THE INFORMATION RELATING TO THE PERIOD MARCH 1, 1999 TO MARCH 31, 1999 IS
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 under the Delaware Revised
Uniform Limited Partnership Act on July 15, 1998 to engage in the speculative
trading of futures and forward contracts, options on futures contracts and or
physical commodities and other commodities interests, including foreign
currencies, financial instruments, metals, energy and agricultural products
(collectively, "futures interests"). The initial capital contributed is the
capital contribution of $10 to each Partnership by Demeter Management
Corporation, the general partner of the Partnerships (the "General Partner"),
and $10 to each Partnership by Mark J. Hawley, Chairman of the Board of the
General Partner and Executive Vice President of Dean Witter Reynolds Inc.
("DWR"), an affiliate of the General Partner, as initial Limited Partner to each
Partnership, to permit the filing of Certificates of Limited Partnership under
the Delaware Revised Uniform Limited Partnership Act for each Partnership.
Units in each Partnership will be sold at Monthly Closings
at a price equal to 100% of the Net Asset Value per Unit (as described in the
Partnerships' Prospectus). If it appears that subscriptions will be received in
excess of the Units available for sale, the General Partner may register
additional Units for sale.
The Partnerships' cash is on deposit with DWR, an affiliate
of the General Partner, in a futures interest trading account. At each Monthly
Closing (as described in the Prospectus), the General Partner will contribute,
in $1,000 increments to each Partnership, the additional amount in cash that is
necessary for it at all times to own, for its account. Units of General
Partnership Interest at least equal to the greater of $25,000 or 1% of aggregate
capital contributions. The General Partner and each Limited Partner will share
in the profits and losses of the Partnerships in proportion to the amount of
Partnership interest owned by each.
The general partner is Demeter Management Corporation
("Demeter"). The non-clearing commodity broker is 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 Partner
and the 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 issued during such month. In addition, DWR in turn
credits the Partnership with 100% of the interest income received from Carr.
Carr also credits DWR with the interest income earned in respect to the
Partnership's Net Assets maintained in trading accounts at Carr.
S-64
<PAGE>
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 Unit 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" consists of
cash on deposit at DWR and Carr to be used as margin for trading and the net
asset or liability related to unrealized gains or losses on open contracts.
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 -- Each Partnership incurs monthly
management fees and may incur incentive fees (See Note 4). 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.
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 a 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 six months after a person first becomes a Limited Partner in a
Partnership, and the end of each month thereafter, Limited Partners may transfer
their investment among the Morgan Stanley Dean Witter Charter Series (subject to
certain restrictions outlined in the Limited Partnership Agreement) 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 each Partnership's Limited Partnership Agreement.
2. ORGANIZATION AND OFFERING EXPENSES
The Partnerships are not liable for any organizational and
offering expenses in connection with the issuance and distribution of the Units.
DWR has agreed to pay the organizational expenses of the Partnerships and the
expenses of offering the Units to the public.
The proceeds from the subscription of Units will be held in
escrow and invested in an interest-bearing money market account. The pro-rata
share of interest earned on accepted or rejected subscription funds while such
funds are held in escrow will be credited to subscribers' customer accounts with
DWR.
S-65
<PAGE>
3. RELATED PARTY TRANSACTIONS
Each Partnership pays a brokerage fee 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.
4. TRADING ADVISORS
Demeter, on behalf of each Partnership, retains a commodity
trading advisor to make all trading decisions for the Partnerships. The trading
advisor for each Partnership is 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
consist of management fees and incentive fees as follows:
MANAGEMENT FEE -- Each Partnership pays its Trading Advisor
a flat-rate monthly fee of 1/12 of 2% of the Net Assets managed by the Trading
Advisor on the first day of each month (a 2% annual rate).
INCENTIVE FEE -- Each Partnership pays its Trading Advisor a
monthly incentive fee equal to 20% of "Trading Profits" as defined in each
Partnership's Prospectus as of the end of each calendar month. If the Trading
Advisor has experienced losses with respect to Net Assets at the end of any
calendar month, the Trading Advisor must earn back such losses before the
Trading Advisor is eligible for an incentive fee.
5. FINANCIAL INSTRUMENTS
The Partnerships trade futures and forward contracts,
options on futures contracts and or physical commodities and other commodities
interests, including foreign currencies, financial instruments, metals, energy
and agricultural products. 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. Each Partnership has elected to adopt the
provisions of SFAS No. 133 beginning with the quarter ended March 31, 1999. 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
Partnerships' financial statements.
The net unrealized gain/loss on open contracts is reported
as a component of "Equity in futures interests trading accounts" on the
Statement of Financial Condition and totaled at March 31, 1999, $(59,408) for
Charter Graham, $31,915 Charter Millburn and $32,030 for Charter Welton.
For Charter Graham, of the $(59,408) net unrealized loss on
open contracts at March 31, 1999, $(43,995) related to exchange-traded futures
contracts and $(15,413) related to off-exchange-traded forward currency
contracts.
S-66
<PAGE>
For Charter Millburn, of the $31,915 net unrealized gain on
open contracts at March 31, 1999, $81,130 related to exchange-traded futures
contracts and $(49,215) related to off-exchange-traded forward currency
contracts.
For Charter Welton, the entire $32,030 net unrealized gain
on open contracts at March 31, 1999 related to exchange-traded futures
contracts.
Exchange-traded futures contracts and off-exchange-traded
forward currency contracts held by the Partnerships at March 31, 1999 mature as
follows:
<TABLE>
<S> <C>
CHARTER GRAHAM
Exchange-Traded Contracts June 2000
Off-Exchange-Traded Forward Currency
Contracts June 1999
CHARTER MILLBURN
Exchange-Traded Contracts November 1999
Off-Exchange-Traded Forward Currency
Contracts June 1999
CHARTER WELTON
Exchange-Traded Contracts August 1999
Off-Exchange-Traded Forward Currency
Contracts --
</TABLE>
The Partnerships are subject to the credit risk associated with counterparty
non-performance. The credit risk associated with the instruments in which the
Partnerships are involved is limited to the amounts reflected in the
Partnerships' Statements of Financial Condition. DWR and Carr act as the futures
commission merchants or the counterparties with respect to most of the
Partnerships' assets. Exchange-traded futures and futures-styled options
contracts are marked to market on a daily basis, with variations in value
settled on a daily basis. Each of DWR and Carr, as a futures commission merchant
for all of the Partnerships' exchange-traded futures and futures-styled options
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 and futures-styled options contracts, including an
amount equal to the net unrealized gain/loss on all open futures and
futures-styled options contracts, which funds, in the aggregate, totaled at
March 31, 1999 $4,046,508 for Charter Graham, $4,878,351 for Charter Millburn
and $5,408,648 for Charter Welton.
With respect to the Partnerships' off-exchange-traded
forward currency contracts, there are no daily settlements of variations in
value nor is there any requirement that an amount equal to the net unrealized
loss on open forward contracts be segregated. With respect to those
off-exchange-traded forward currency contracts, the Partnerships are at risk to
the ability of Carr, the sole counterparty on all of such contracts, to perform.
Carr's parent, Credit Agricole Indosuez, has guaranteed to the Partnerships
payment of the net liquidating value of the transactions in the Partnerships'
accounts with Carr (including foreign currency contracts).
S-67
<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 (a wholly-owned subsidiary of Morgan Stanley Dean Witter
& Co.) (the "Company") as of November 30, 1998 and 1997. These statements of
financial condition are the responsibility of the Company's management. Our
responsibility is to express an opinion on these statements of financial
condition 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 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, 1998 and 1997 in conformity with generally accepted accounting
principles.
Deloitte & Touche LLP
January 11, 1999
New York, New York
S-68
<PAGE>
DEMETER MANAGEMENT CORPORATION
(WHOLLY-OWNED SUBSIDIARY OF MORGAN STANLEY DEAN WITTER & CO. ("MSDW"))
STATEMENTS OF FINANCIAL CONDITION
<TABLE>
<CAPTION>
<S> <C> <C> <C>
NOVEMBER 30,
MAY 31, -----------------------------
ASSETS 1999 1998 1997
------------ ------------ ------------
<CAPTION>
(UNAUDITED)
$ $ $
<S> <C> <C> <C>
Investments in affiliated partnerships (Note
2) 17,832,128 16,959,248 22,016,069
Income taxes receivable 551,925 708,505 429,885
Receivable from affiliated partnership 20,714 25,716 968
------------ ------------ ------------
Total Assets 18,404,767 17,693,469 22,446,922
------------ ------------ ------------
------------ ------------ ------------
LIABILITIES AND STOCKHOLDER'S EQUITY
LIABILITIES:
Payable to MSDW (Note 3) 12,365,383 11,648,971 17,995,100
Accrued expenses 43,798 62,198 34,072
------------ ------------ ------------
Total Liabilities 12,409,181 11,711,169 18,029,172
------------ ------------ ------------
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 111,170,000 111,170,000 111,170,000
Retained earnings 5,845,586 5,832,300 4,267,750
------------ ------------ ------------
117,065,586 117,052,300 115,487,750
Less: Notes receivable from MSDW (Note 4) (111,070,000) (111,070,000) (111,070,000)
------------ ------------ ------------
Total Stockholder's Equity 5,995,586 5,982,300 4,417,750
------------ ------------ ------------
Total Liabilities and Stockholder's Equity 18,404,767 17,693,469 22,446,922
------------ ------------ ------------
------------ ------------ ------------
</TABLE>
The accompanying notes are an integral part of this financial statement.
S-69
<PAGE>
DEMETER MANAGEMENT CORPORATION
(WHOLLY-OWNED SUBSIDIARY OF MORGAN STANLEY DEAN WITTER & CO.)
NOTES TO STATEMENTS OF FINANCIAL CONDITION
(THE INFORMATION RELATED TO 1999 IS UNAUDITED.)
1. BUSINESS DESCRIPTION AND SIGNIFICANT ACCOUNTING POLICIES
Demeter Management Corporation ("Demeter") is a wholly-owned subsidiary of
Morgan Stanley Dean Witter & Co. ("MSDW").
On May 31, 1997, Morgan Stanley Group Inc. ("Morgan Stanley") was merged with
and into Dean Witter, Discover & Co. ("DWD"). At that time, DWD changed its
corporate name to Morgan Stanley, Dean Witter, Discover & Co. ("MSDWD").
Effective February 19, 1998, MSDWD changed its corporate name to Morgan Stanley
Dean Witter & Co. Prior to the merger, DWD's fiscal year ended on December 31.
Subsequent to the merger, MSDW and Demeter adopted a fiscal year end of November
30.
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.
(formerly, Dean Witter Principal Guaranteed Fund L.P.), Dean Witter Principal
Plus Fund L.P., Dean Witter Principal Plus Fund Management L.P., Dean Witter
Portfolio Strategy Fund L.P. (formerly, Dean Witter Principal Secured Futures
Fund L.P.) ("DWPSF"), Dean Witter Global Perspective Portfolio L.P., Dean Witter
World Currency Fund L.P., Dean Witter Institutional Account II L.P. ("DWIA II"),
DWFCM International Access Fund L.P., Dean Witter Anchor Institutional Balanced
Portfolio Account L.P. ("Anchor"), Morgan Stanley Dean Witter Spectrum Global
Balanced L.P. (formerly, Dean Witter Spectrum 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. (formerly, Dean
Witter Select Futures Fund L.P.), Morgan Stanley Dean Witter/Chesapeake L.P.,
DWR Institutional Balanced Portfolio Account III L.P., ("DWIBP III"), Morgan
Stanley Dean Witter/JWH Futures Fund L.P., Morgan Stanley Tangible Asset Fund
L.P. ("MSTAF"), DWR/Market Street Futures Fund L.P. ("MKTST"), 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").
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.
Demeter reopened DWPSF for additional investment and on May 12, 1997, DWPSF
registered with the SEC 50,000 units which were offered to investors for a
limited time in a public offering.
On July 31, 1997, Demeter entered into a limited partnership agreement as
general partner in MSTAF. On November 4, 1997, MSTAF registered with the SEC
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, MSTAF, 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.
On September 18, 1997, Demeter ceased trading activities in Anchor and
subsequently distributed its net assets.
In January of 1998, Demeter entered into a limited partnership agreement as
general partner in MKTST, which offers units to investors in a continuing
private offering. MKTST began trading on October 1, 1998.
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On April 20, 1998, Dean Witter Spectrum Balanced L.P. changed its name to Dean
Witter Spectrum Global Balanced L.P.
On April 20, 1998, Dean Witter Select Futures Fund L.P. changed its name to Dean
Witter Spectrum Select L.P. ("DWSF"). Effective May 1, 1998 DWSF 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, 1998, Demeter ceased trading activities in DWIA 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. and 1,500,000 units of DWSF, both of which
are being offered to investors in a continuing public offering with previously
registered units of Dean Witter Spectrum Strategic L.P. and Dean Witter Spectrum
Global Balanced 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. ("Charter Graham"), Morgan Stanley Dean Witter Charter
Millburn L.P. ("Charter Millburn") and Morgan Stanley Dean Witter Charter Welton
L.P. ("Charter Welton"). 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.
On September 30, 1998, Demeter ceased trading activities in DWIBP 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. and DWR/JWH Futures Fund L.P. changed its name to Morgan
Stanley Dean Witter/JWH Futures Fund L.P.
On April 6, 1999, Dean Witter Spectrum Global Balanced L.P. changed its name to
Morgan Stanley Dean Witter Spectrum Global Balanced L.P., Dean Witter Spectrum
Select L.P. changed its name to Morgan Stanley Dean Witter Spectrum Select L.P,
Dean Witter Spectrum Strategic L.P. changed its name to Morgan Stanley Dean
Witter Spectrum Strategic L.P. and Dean Witter Spectrum Technical L.P. changed
its name to Morgan Stanley Dean Witter Spectrum Technical L.P.
INCOME TAXES--The results of operations of Demeter are included in the
consolidated federal income tax return of MSDW, computed on a separate company
basis and due to MSDW.
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.
2. 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.
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The total assets, liabilities and partners' capital of all the funds managed by
Demeter at May 31, 1999, and November 30, 1998 and 1997 were as follows:
<TABLE>
<CAPTION>
MAY 31, 1999
(UNAUDITED) 1998 1997
----------------- -------------- --------------
<S> <C> <C> <C>
$ $ $
Total assets......................... 1,365,256,517 1,316,093,947 1,195,307,516
Total liabilities.................... 22,081,290 21,644,069 19,346,113
Total partners' capital.............. 1,343,175,227 1,294,449,878 1,175,961,403
</TABLE>
Demeter's investments in such limited partnerships are carried at market value
with changes in such market value reflected currently in operations.
3. PAYABLE TO MSDW
The payable to MSDW is primarily for amounts due for the purchase of partnership
investments, income tax payments made by MSDW on behalf of Demeter and the
cumulative results of operations.
4. NET WORTH REQUIREMENT
At May 31, 1999, November 30, 1998 and 1997, Demeter held non-interest bearing
notes from MSDW that were payable on demand. These notes were received in
connection with additional capital contributions aggregating $111,070,000.
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 MSDW are included in net worth for
purposes of this calculation.
5. LEGAL MATTERS
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 DWR, an affiliate of Demeter. Named defendants include
DWR, Demeter, Dean Witter Futures and Currency Management Inc., MSDW (all such
parties referred to hereafter as the "Dean Witter Parties"), certain other
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. 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 DWR. 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.
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. 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 have filed a motion to dismiss
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the amended complaint with prejudice on February 1, 1999. On April 12, 1999 the
defendants also filed a motion in the California action to oppose certification
by the court of the class in the California litigation. The complaints seek
unspecified amounts of compensatory and punitive damages and other relief. It is
possible that additional similar actions may be filed and that, in the course of
these actions, other parties could be added as defendants. The Dean Witter
Parties believe that they have strong defenses to, and they will vigorously
contest, the actions. Although the ultimate outcome of legal proceedings cannot
be predicted with certainty, it is the opinion of management of the Dean Witter
Parties that the resolution of the actions will not have a material adverse
effect on the financial condition or the results of operations of any of the
Dean Witter Parties.
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MORGAN STANLEY DEAN WITTER CHARTER GRAHAM L.P.
MORGAN STANLEY DEAN WITTER CHARTER MILLBURN L.P.
MORGAN STANLEY DEAN WITTER CHARTER WELTON L.P.
SUPPLEMENT TO THE PROSPECTUS DATED NOVEMBER 6, 1998
The Prospectus dated November 6, 1998 is supplemented by a
Supplement dated August 13, 1999. The Supplement is an integral part of, and
must be read together with, the Prospectus.
August 13, 1999
