Morgan Stanley Dean Witter Charter Series
Monthly Report
November 1999
Dear Limited Partner:
The Net Asset Value per Unit for each of the three Morgan Stanley Dean
Witter Charter Funds as of November 30, 1999 was as follows:
Funds N.A.V. % change for month
Charter Graham $ 9.50 1.87%
Charter Millburn $ 9.14 1.47%
Charter Welton $ 8.28 6.38%
During November, several of the markets that had trended during much of the
third quarter of 1999 and subsequently experienced reversals and short-term
price volatility from mid to late October, re-established their price
trends and moved in a consistent manner. Markets such as the euro and the
Japanese yen resumed previous price trends and thus proved profitable for
the Charter Series Funds. Historically, it has been similar price trends
and the lack of choppy price movement that has helped the Funds' technical
trend-following money managers profit as they did during November.
The re-emergence of the declining trend in the value of the euro and Swiss
franc relative to other major currencies, as well as the continued strength
of the Japanese yen, contributed positively to the performance of each of
the Charter Series Funds during the month. Short positions in the euro and
the Swiss franc were profitable as the value of these European currencies
declined following an interest rate increase by the European Central Bank
("ECB"), the Swiss National Bank's decision not to follow the ECB's rate
hike and questions regarding the European economy. Additional currency
gains were recorded from long Japanese yen positions as the value of the
yen strengthened versus the U.S. dollar and most European currencies
following the release of optimistic Japanese economic data.
The future direction of U.S. interest rates, and to a lesser extent
European interest rates, came into importance during the month as the U.S.
Federal Reserve, the European Central Bank and the Bank of England each
raised their key interest rates. Following the interest rate hikes, gains
were recorded from long positions in U.S., European and Asian stock index
futures as global stock prices, particularly technology issues, moved
higher on beliefs that these rate increases would be the last for the near-
term. In particular, Welton profited considerably in November from
significant participation in the global stock index futures markets from
long positions in S&P 500, NASDAQ 100, CAC-40 and Hang Seng Index futures.
These gains were partially offset by losses incurred from continued short-
term price volatility in the global interest rate futures markets.
In the commodities markets, oil prices, prior to October, had climbed from
below $12 a barrel in January to nearly $25 a barrel in September. Sudden
price reversals and short-term volatility during October were followed by a
resumed upward climb reaching a nine-year high above $27 a barrel during
November. The increase in oil prices, which in turn was profitable for the
Charter Welton's long positions, was primarily attributed to reports of low
supplies, increasing demand from Asia and heightening diplomatic tensions
between Iraq and the United Nations. Charter Welton recorded smaller gains
in the commodities markets from long coffee futures positions as coffee
prices soared higher as dry weather persisted in Brazil. Charter Graham
and Millburn also profited in the commodities markets, specifically from
short positions in grain and cotton futures as prices in these markets
declined amid supply and demand considerations.
Should you have any questions concerning this report, please feel free to
contact Demeter Management Corporation at Two World Trade Center, 62nd
Floor, New York , NY 10048, or your Morgan Stanley Dean Witter Financial
Advisor.
<PAGE>
I hereby affirm, that to the best of my knowledge and belief, the
information contained in this report is accurate and complete. Past
performance is not a guarantee of future results.
Sincerely,
Robert E. Murray
President
Demeter Management Corporation
General Partner
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<TABLE>
MORGAN STANLEY DEAN WITTER CHARTER SERIES
Historical Fund Performance
Presented below is the percentage change in Net Asset Value per
Unit from inception-to-date for each Fund in the Morgan Stanley
Dean Witter Charter Series. PAST PERFORMANCE IS NOT NECESSARILY
INDICATIVE OF FUTURE RESULTS.
<CAPTION>
Charter Graham
Year Return
<S> <C>
1999 (9 months) -5.0%
Inception-to-Date Return: -5.0%
_________________________________________________________________
___________________________
Charter Millburn
Year Return
1999 (9 months) -8.6%
Inception-to-Date Return: -8.6%
_________________________________________________________________
___________________________
Charter Welton
Year Return
1999 (9 months) -17.2%
Inception-to-Date Return: -17.2%
_________________________________________________________________
___________________________
</TABLE>
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<TABLE>
Morgan Stanley Dean Witter Charter Series
Statements of Operations
For the Month Ended November 30, 1999
(Unaudited)
<CAPTION>
Morgan Stanley Dean Witter
Charter Graham L.P. Morgan Stanley Dean Witter Charter Millburn L.P.
Percent of
Percent of
November 1, 1999
November 1, 1999 Beginning
Beginning
Amount Net Asset Value Amount
Net Asset Value
$ % $
%
REVENUES
<S> <C> <C>
<C> <C>
Trading profit (loss):
Realized (998,469) (5.79)
(758,336) (3.64)
Net change in unrealized 1,384,959 8.03
1,136,234 5.45
Total Trading Results 386,490 2.24
377,898 1.81
Interest Income (DWR) 64,966 0.38
85,209 0.41
Total Revenues 451,456 2.62
463,107 2.22
EXPENSES
Brokerage fees (DWR) 100,626 0.58
121,555 0.58
Management fees 28,750 0.17
34,730 0.17
Total Expenses 129,376 0.75
156,285 0.75
NET INCOME 322,080 1.87
306,822 1.47
Morgan Stanley Dean Witter Charter Series
Statements of Changes in Net Asset Value
For the Month Ended November 30, 1999
(Unaudited)
Morgan Stanley Dean Witter Charter Graham L.P. Morgan
Stanley Dean Witter Charter Millburn L.P.
Units Amount Per Unit Units
Amount Per Unit
$ $
$ $
<S> <C> <C> <C> <C>
<C> <C>
Net Asset Value,
November 1, 1999 1,848,814.780 17,250,252 9.33
2,313,644.193 20,838,012 9.01
Net Income - 322,080 0.17 -
306,822 0.13
Redemptions (8,747.367) (83,100) 9.50
(11,719.212) (107,114) 9.14
Subscriptions 110,606.003 1,050,757 9.50
124,744.504 1,140,165 9.14
Net Asset Value,
November 30, 1999 1,950,673.416 18,539,989 9.50
2,426,669.485 22,177,885 9.14
The accompanying notes are an integral part of these financial statements.
</TABLE>
<PAGE>
<TABLE>
Morgan Stanley Dean Witter Charter Series
Statements of Operations
For the Month Ended November 30, 1999
(Unaudited)
<CAPTION>
Morgan Stanley Dean
Witter Charter Welton L.P.
Percent of
November 1, 1999
Beginning
Amount Net Asset Value
$ %
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized 607,357 3.27
Net change in unrealized 641,937 3.46
Total Trading Results 1,249,294 6.73
Interest Income (DWR) 74,450 0.40
Total Revenues 1,323,744 7.13
EXPENSES
Brokerage fees (DWR) 108,342 0.58
Management fees 30,955 0.17
Total Expenses 139,297 0.75
NET INCOME 1,184,447 6.38
Morgan Stanley Dean Witter Charter Series
Statements of Changes in Net Asset Value
For the Month Ended November 30, 1999
(Unaudited)
Morgan Stanley Dean Witter Charter Welton L.P.
Units Amount Per Unit
$ $
<S> <C> <C> <C>
Net Asset Value,
November 1, 1999 2,386,966.856 18,573,073 7.78
Net Income - 1,184,447 0.50
Redemptions (13,134.378) (108,753) 8.28
Subscriptions 128,992.270 1,068,056 8.28
Net Asset Value,
November 30, 1999 2,502,824.748 20,716,823 8.28
The accompanying notes are an integral part of these financial statements.
</TABLE>
<PAGE>
Morgan Stanley Dean Witter Charter Series
Notes to Financial Statements
(Unaudited)
1. Summary of Significant Accounting Policies
Organization - Morgan Stanley Dean Witter Charter Graham L.P. ("Charter
Graham"), Morgan Stanley Dean Witter Charter Millburn L.P. ("Charter
Millburn"), and Morgan Stanley Dean Witter Charter Welton L.P. ("Charter
Welton") (individually, a "Partnership", or collectively, the
"Partnerships") are limited partnerships organized to engage in the
speculative trading of futures and forward contracts, options on futures
contracts on physical commodities and other commodity interests, including
foreign currencies, financial instruments, metals, energy and agricultural
products (collectively, "futures interests"). The general partner for each
Partnership is Demeter Management Corporation ("Demeter"). The non-
clearing commodity broker is Dean Witter Reynolds, Inc. ("DWR") and an
unaffiliated clearing commodity broker, Carr Futures Inc. ("Carr"),
provides clearing and execution services. Demeter and DWR are wholly-owned
subsidiaries of Morgan Stanley Dean Witter & Co.
Demeter is required to maintain a 1% minimum interest in the equity of each
Partnership and income (losses) are shared by the General and Limited
Partners based upon their proportional ownership interests.
Use of Estimates - The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date
of the financial statements and the reported amounts of revenues and
expenses during the reporting period. Actual results could differ from
those estimates.
Revenue Recognition - Futures interests are open commitments until
settlement date. They are valued at market and the resulting unrealized
gains and losses are reflected in income. Monthly, DWR credits each
Partnership with interest income on 100% of its average daily funds held in
its individual account at DWR at a rate equal to that earned by DWR on its
U.S. Treasury bill investments during such month. Carr also credits DWR
with the interest income earned with respect to the Partnership's Net
Assets maintained in trading accounts at Carr. DWR in turn credits the
Partnership with 100% of the interest income received from Carr. For
purposes of such interest payments, Net Assets do not include monies due
to the Partnership on forward contracts and other futures interests, but
not actually received.
Net Income (Loss) per Unit - Net income (loss) per Limited Partnership
interest ("Unit(s)") is computed using the weighted average number of Units
outstanding during the period.
Brokerage and Related Transaction Fees and Costs - Each Partnership pays a
flat-rate monthly brokerage fee of 1/12 of 7% of the Partnership's Net
Assets as of the first day of each month (a 7% annual rate). Such fee
covers all brokerage commissions, transaction fees and costs and ordinary
administrative and offering expenses.
Operating Expenses - The Partnerships incur monthly management fees and may
incur incentive fees. Demeter bears all other operating expenses.
Income Taxes - No provision for income taxes has been made in the
accompanying financial statements, as partners are individually responsible
for reporting income or loss based upon their respective share of each
Partnership's revenues and expenses for income tax purposes.
Distributions - Distributions, other than on redemptions of Units, are made
on a pro-rata basis at the sole discretion of Demeter. No distributions
have been made to date.
Continuing Offering - Units of each Partnership are offered at a price
equal to 100% of the Net Asset Value per Unit at monthly closings held as
of the last day of each month.
<PAGE>
Morgan Stanley Dean Witter Charter Series
Notes to Financial Statements
(Concluded)
Redemptions - Limited Partners may redeem some or all of their Units as of
the last day of the sixth month following the closing at which a person
first becomes a Limited Partner. Redemptions may only be made in whole
Units, with a minimum of 100 Units required for each redemption, unless a
Limited Partner is redeeming his entire interest in the Partnership.
Units redeemed on or prior to the last day of the twelfth month from the
date of purchase will be subject to a redemption charge equal to 2% of the
Net Asset Value of a Unit on the
Redemption Date. Units redeemed after the last day of the twelfth month
and on or prior to the last day of the twenty-fourth month from the date of
purchase will be subject to a redemption charge equal to 1% of the Net
Asset Value of a Unit on the Redemption Date. Units redeemed after the
last day of the twenty-fourth month from the date of purchase will not be
subject to a redemption charge.
Exchanges - On the last day of the first month which occurs more than 180
days after a person first becomes a Limited Partner in any of the
Partnerships, and at the end of each month thereafter, Limited Partners may
transfer their investment among the Partnerships (subject to certain
restrictions outlined in the Limited Partnership Agreements) without paying
additional charges.
Dissolution of the Partnership - Each Partnership will terminate on
December 31, 2035 or at an earlier date if certain conditions occur as
defined in the Partnership's Limited Partnership Agreements.
2. Related Party Transactions
Each Partnership pays brokerage fees to DWR for trades executed on its
behalf as described in Note 1. Each Partnership's cash is on deposit with
DWR and Carr in future interests trading accounts to meet margin
requirements as needed. DWR pays interest on these funds as described in
Note 1.
3. Trading Advisors
Demeter, on behalf of each Partnership, retains certain commodity trading
advisors to make all trading decisions for the Partnerships. The trading
advisors for each Partnership are as follows:
Morgan Stanley Dean Witter Charter Graham L.P.
Graham Capital Management L.P.
Morgan Stanley Dean Witter Charter Millburn L.P.
Millburn Ridgefield Corporation
Morgan Stanley Dean Witter Charter Welton L.P.
Welton Investment Corporation
Compensation to the trading advisors by the Partnerships consists of
management fees and incentive fees as follows:
Management Fee - Each Partnership pays a flat-rate monthly fee of 1/12 of
2% of the Net Assets under management by each trading advisor as of the
first day of each month (a 2% annual rate).
Incentive Fee - Each Partnership pays a monthly incentive fee equal to 20 %
of "Trading Profits", (as defined in the Limited Partnership Agreements),
as of the end of each calendar month. When a trading advisor experiences
losses with respect to Net Assets as of the end of a calendar month, the
trading advisor must earn back such losses before that trading advisor is
eligible for an incentive fee in the future.
