Morgan Stanley Dean Witter Charter Series
Monthly Report
August 2000
Dear Limited Partner:
The Net Asset Value per Unit for each of the three Morgan Stanley Dean
Witter Charter Funds as of August 31, 2000 was as follows:
Funds N.A.V. % change for month
Charter Graham $ 9.37 7.04%
Charter Millburn $ 8.40 3.09%
Charter Welton $ 7.65 2.69%
In general, the performance disparity between the Funds in the Charter
Series is due to the portfolio structure and trading philosophy unique to
each fund. Each of the Funds within the Charter Series was able to profit
in the energy markets from long positions in crude oil and natural gas
futures as energy prices increased. Charter Graham recorded additional
gains primarily in the currency and global interest rate futures markets,
from long positions in both the Mexican peso and U.S. interest rate
futures. Charter Millburn recorded additional profits in the global
interest rate futures markets, particularly from long positions in U.S.
interest rate futures. Charter Welton was also able to profit in the
global stock index futures markets primarily from long positions in S&P 500
Index futures.
Charter Graham
The Fund increased in value during August due primarily to gains recorded
in the energy markets from long positions in crude oil futures and its
related products as prices increased as ongoing supply concerns outweighed
signals from Saudi Arabia that it would seek a suitable production increase
to ease the crunch. Additional gains were recorded from long positions in
natural gas futures as prices moved higher amid supply and storage
concerns. In the currency markets, profits were recorded from long
positions in the Mexican peso as its value strengthened relative to the
U.S. dollar on optimism toward Mexico's strong economy. In the global
interest rate futures markets, gains were recorded from long positions in
U.S. interest rate futures as domestic bond prices increased after the
Federal Reserve left its key bank-lending rate steady amid signs of
moderation for the U.S. economic expansion. In the global stock index
futures markets, gains were produced from long positions in NASDAQ 100
Index futures primarily on the strength in technology stocks. A portion of
these gains was offset by losses recorded in the metals markets from short
nickel futures positions as prices increased on technically based buying.
In the agricultural markets, losses were incurred later in the month from
short positions in soybean futures as prices surged on expectations that
the searing heat in the U.S. Delta will trim this year's production.
Smaller losses were recorded from short positions in wheat futures as
prices moved higher, spurred by a surge in soybean prices and rumors
circulating about potential export business.
Charter Millburn
The Fund increased in value during August due primarily to gains recorded
in the energy markets from long positions in crude oil futures and its
related products as prices increased as ongoing supply concerns outweighed
signals from Saudi Arabia that it would seek a suitable production increase
to ease the crunch. Additional gains were recorded from long positions in
natural gas futures as prices moved higher amid supply and storage
concerns. In the global interest rate futures markets, gains were recorded
from long positions in U.S. interest rate futures as domestic bond prices
increased after the Federal Reserve left its key bank-lending rate steady
amid signs of moderation for the U.S. economic expansion. In the soft
commodities markets, profits were recorded from short coffee futures
positions as prices decreased, pressured by rains in coffee growing areas
of Brazil. A portion of these gains was offset by losses recorded in the
currency markets from short positions in the Japanese yen as the value of
the yen strengthened versus the U.S. dollar following comments by a senior
Japanese official stating that the Bank of Japan could raise interest rates
again by year-end. In the global stock index futures markets, losses were
experienced from short positions in Topix Index futures as Japanese equity
prices moved higher due to strength in the technology sector.
<PAGE>
Charter Welton
The Fund increased in value during August due primarily to gains recorded
in the energy markets from long positions in crude oil futures and its
related products as prices increased as ongoing supply concerns outweighed
signals from Saudi Arabia that it would seek a suitable production increase
to ease the crunch. Additional gains were recorded from long positions in
natural gas futures as prices moved higher amid supply and storage
concerns. In the global stock index futures markets, gains were produced
from long positions in S&P 500 Index futures as domestic stock prices
increased amid diminishing concerns regarding inflation in the U.S. In the
currency markets, profits were recorded from short positions in the euro as
the value of the European common currency weakened versus the U.S. dollar
in the wake of the European Central Bank decision to raise interest rates
and after a weaker-than-expected business confidence report in Germany
dampened optimism for economic growth in Europe. A portion of these gains
was offset by losses recorded in the metals markets from short nickel
futures positions as prices increased on technically based buying. In the
global interest rate futures markets, losses were experienced from long
positions in Japanese government bond futures as prices fell on the back of
growing hopes for an economic recovery and higher interest rates in Japan.
Should you have any questions concerning this report, please feel free to
contact Demeter Management Corporation at Two World Trade Center, 62nd
Floor, New York, NY 10048, or your Morgan Stanley Dean Witter Financial
Advisor.
I hereby affirm, that to the best of my knowledge and belief, the
information contained in this report is accurate and complete. Past
performance is not a guarantee of future results.
Sincerely,
Robert E. Murray
Chairman
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 the start of every calendar year for each Fund in the
Morgan Stanley Dean Witter Charter Series. Also provided is the
inception-to-date return and the annualized return since
inception for each fund. PAST PERFORMANCE IS NOT NECESSARILY
INDICATIVE OF FUTURE RESULTS.
<CAPTION>
Charter Graham
<S> <C>
Year Return
1999 (10 months) 2.9%
2000 (8 months) -8.9%
Inception-to-Date Return: -6.3%
Annualized Return: -4.2%
_________________________________________________________________
___________________________
Charter Millburn
Year Return
1999 (10 months) -7.2%
2000 (8 months) -9.5%
Inception-to-Date Return: - 16.0%
Annualized Return: -10.9%
_________________________________________________________________
___________________________
Charter Welton
Year Return
1999 (10 months) -12.3%
2000 (8 months) -14.3%
Inception-to-Date Return: -23.5%
Annualized Return: - 16.3%
_________________________________________________________________
___________________________
</TABLE>
<PAGE>
<TABLE>
Morgan Stanley Dean Witter Charter Series
Statements of Operations
For the Month Ended August 31, 2000
(Unaudited)
<CAPTION>
Morgan Stanley Dean Witter
Charter Graham L.P. Morgan Stanley Dean Witter Charter Millburn L.P.
Percent of Percent of
August 1, 2000 August 1, 2000
Beginning Beginning
Amount Net Asset Value Amount
Net Asset Value
$ % $
%
REVENUES
<S> <C> <C>
<C> <C>
Trading profit (loss):
Realized 308,008 1.54
706,370 3.00
Net change in unrealized 1,146,454 5.72
72,022 0.31
Total Trading Results 1,454,462 7.26
778,392 3.31
Interest Income (DWR) 106,647 0.53
125,096 0.53
Total Revenues 1,561,109 7.79
903,488 3.84
EXPENSES
Brokerage fees (DWR) 116,856 0.58
137,334 0.58
Management fees 33,387 0.17
39,238 0.17
Total Expenses 150,243 0.75
176,572 0.75
NET INCOME 1,410,866 7.04
726,916 3.09
Morgan Stanley Dean Witter Charter Series
Statements of Changes in Net Asset Value
For the Month Ended August 31, 2000
(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,
August 1, 2000 2,288,449.901 20,032.547 8.75
2,888,281.769 23,542,865 8.15
Net Income - 1,410,866 0.62 -
726,916 0.25
Redemptions (50,457.259) (472,785) 9.37
(59,535.803) (500,101) 8.40
Subscriptions 47,552.617 445,568 9.37
46,170.710 387,834 8.40
Net Asset Value,
August 31, 2000 2,285,545.259 21,416,196 9.37
2,874,916.676 24,157,514 8.40
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 August 31, 2000
(Unaudited)
<CAPTION>
Morgan Stanley Dean
Witter Charter Welton L.P.
Percent of
August 1, 2000
Beginning
Amount Net Asset Value
$ %
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized 89,841 0.42
Net change in unrealized 528,556 2.49
Total Trading Results 618,397 2.91
Interest Income (DWR) 112,166 0.53
Total Revenues 730,563 3.44
EXPENSES
Brokerage fees (DWR) 124,051 0.58
Management fees 35,443 0.17
Total Expenses 159,494 0.75
NET INCOME 571,069 2.69
Morgan Stanley Dean Witter Charter Series
Statements of Changes in Net Asset Value
For the Month Ended August 31, 2000
(Unaudited)
Morgan Stanley Dean Witter Charter Welton L.P.
Units Amount Per Unit
$ $
<S> <C> <C> <C>
Net Asset Value,
August 1, 2000 2,855,165.796 21,265,892 7.45
Net Income - 571,069 0.20
Redemptions (66,651.988) (509,888) 7.65
Subscriptions 36,037.911 275,690 7.65
Net Asset Value,
August 31, 2000 2,824,551.719 21,602,763 7.65
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 primarily in
the speculative trading of futures and forward contracts, options on
futures contracts and on physical commodities and other commodity
interests, including foreign currencies, financial instruments, metals,
energy, and agricultural products (collectively, "futures interests").
The general partner of 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 Demeter and Limited Partners
based on their proportional ownership interests.
Use of Estimates - The financial statements are prepared in accordance with
generally accepted accounting principles, which require management to make
estimates and assumptions that affect the reported amounts in the financial
statements and related disclosures. Management believes that the estimates
utilized in the preparation of the financial statements are precident and
reasonable. Actual results could differ from those estimates.
Revenue Recognition - Futures interests are open commitments until
settlement date. They are valued at market on a daily basis and the
resulting net change in unrealized gains and losses is reflected in the
change in unrealized profit (loss) on open contracts from one period to the
next in the statements of operations. 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. Carr also credits DWR with the interest
income earned in respect to the Partnerships' Net Assets maintained in
trading accounts at Carr. DWR in turn credits each Partnership with 100%
of the interest income received from Carr. For purposes of such interest
payments Net Assets do not include monies due the Partnerships on forward
contracts and other futures interests, but not actually received.
Net Income (Loss) per Unit - Net income (loss) per unit of 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 its Net Assets as of the
first day of each month (a 7% annual rate). Such fees currently cover 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 redemptions of Units, are made on
a pro-rata basis at the sole discretion of Demeter. No distributions have
been made to date.
<PAGE>
Morgan Stanley Dean Witter Charter Series
Notes to Financial Statements
(Concluded)
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 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 each Partnership's Limited Partnership Agreement.
2. Related Party Transactions
Each Partnership pays brokerage fees to DWR as described in Note 1. Each
Partnership's cash is on deposit with DWR and Carr in futures 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 a
management fee and an incentive fee 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 of the end of each calendar month. Trading profits
represent the amount by which profits from futures, forward and options
trading exceed losses after brokerage and management fees are deducted.
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.
