Morgan Stanley Dean Witter Charter Series
Monthly Report
September 2000
Dear Limited Partner:
The Net Asset Value per Unit for each of the three Morgan Stanley Dean
Witter Charter Funds as of September 30, 2000 was as follows:
Funds N.A.V. % change for month
Charter Graham $ 9.22 -1.63%
Charter Millburn $ 8.21 -2.28%
Charter Welton $ 7.09 -7.24%
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. Charter Welton experienced losses in all market sectors, with
the most difficult being the global interest rate futures and stock index
futures markets. Charter Millburn posted losses primarily from the global
interest rate futures markets and energies, while generating gains in
currencies. Charter Graham recorded losses generally in soft commodities
and global interest rate futures, while experiencing gains in currencies
and energies.
Charter Graham
The Fund decreased in value predominately due to losses incurred in the
global interest rate futures markets from long US interest rate futures
positions as domestic bond prices reversed lower amid higher oil prices
coupled with disappointing budget surplus data causing investors to shift
to corporate and shorter-term debt instruments. In the soft commodities
markets, losses were incurred from long sugar positions as its value
declined to its lowest level in several months. Additional losses were
experienced in the global stock index futures markets from long positions
in S&P 500 Index and NASDAQ 100 Index futures as prices fell on technology
stock jitters and fears of an continuous increase in oil prices. A portion
of these losses was offset by gains recorded in the metals markets from
long positions in copper futures as prices rose higher during mid-month due
to a rise in COMEX copper stocks and from long gold futures positions as
prices increased on news that inflation was inadvertently understated this
year. Gains were recorded from long natural gas futures positions as
prices increased on supply and storage concerns. Currency gains recorded
earlier in the month from short positions in the Australian and Canadian
dollar as their values weakened relative to the U.S. dollar more than
offset losses from long Mexican peso positions.
Charter Millburn
The Fund decreased in value primarily due to losses experienced in the
global interest rate futures markets from short positions in Japanese
government bond futures as prices surged and long-term interest rates
dropped during mid-month as investors sought refuge from recent drops in US
and Japanese stock prices. Additional losses were experienced from long
positions in crude oil and its refined products as energy prices decreased
as the continuous upward price trends experienced earlier in the month
reversed sharply lower on September 22nd after President Clinton ordered
the release of 30 million barrels of oil from the Strategic Petroleum
Reserve. These energy losses were partially offset by gains recorded from
long natural gas futures positions as prices increased on supply and
storage concerns. Smaller gains recorded from short Thai baht positions,
as its value fell sharply versus the U.S. dollar on investor concerns over
political developments in Indonesia, offset a portion of Fund losses for
the month.
Charter Welton
The Fund decreased in value predominately due to losses recorded in the
global interest rate futures markets from long positions in U.S. interest
rate futures, particularly the 30-year U.S. Treasury bond futures, as
domestic bond prices reversed lower during mid-month amid steep oil prices
and disappointing budget surplus data that prompted investors to shift into
shorter-dated instruments and corporate debt. Additional losses resulted
from long positions in Australian interest rate futures, as prices declined
during mid-month following the pattern set by U.S. Treasurys, and from
short positions in Japanese government bond futures positions as prices
surged early in the month as investors sought refuge
<PAGE>
from declining U.S. and Japanese stock prices. Additional losses were
experienced in the global stock index futures markets from long positions
in S&P 500 Index and NASDAQ 100 Index futures as prices fell on technology
stock jitters and fears of a continuous increase in oil prices. Losses
were also experienced from long futures positions in crude oil and its
refined products as the continuous upward price trends, experienced earlier
in the month in energies, reversed sharply lower on September 22nd after
President Clinton ordered the release of 30 million barrels of oil from the
Strategic Petroleum Reserve. These energy losses were partially offset by
gains recorded from long natural gas futures positions as prices increased
on supply and storage concerns.
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
Year Return
<S> <C>
1999 (10 months) 2.9%
2000 (9 months) -10.4%
Inception-to-Date Return: -7.8%
Annualized Return: -5.0%
_________________________________________________________________
___________________________
Charter Millburn
Year Return
1999 (10 months) -7.2%
2000 (9 months) -11.5%
Inception-to-Date Return: - 17.9%
Annualized Return: -11.7%
_________________________________________________________________
___________________________
Charter Welton
Year Return
1999 (10 months) -12.3%
2000 (9 months) -20.6%
Inception-to-Date Return: -29.1%
Annualized Return: - 19.5%
_________________________________________________________________
___________________________
</TABLE>
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<TABLE>
Morgan Stanley Dean Witter Charter Series
Statements of Operations
For the Month Ended September 30, 2000
(Unaudited)
<CAPTION>
Morgan Stanley Dean Witter
Charter Graham L.P. Morgan Stanley Dean Witter Charter Millburn L.P.
Percent of Percent of
September 1, 2000 September
1, 2000
Beginning Beginning
Amount Net Asset Value Amount
Net Asset Value
$ % $
%
REVENUES
<S> <C> <C>
<C> <C>
Trading profit (loss):
Realized 1,549,886 7.24
(409,468) (1.69)
Net change in unrealized (1,846,800) (8.62)
(89,172) (0.37)
Total Trading Results (296,914) (1.38)
(498,640) (2.06)
Interest Income (DWR) 109,027 0.51
128,515 0.53
Total Revenues (187,887) (0.87)
(370,125) (1.53)
EXPENSES
Brokerage fees (DWR) 124,928 0.59
140,919 0.58
Management fees 35,693 0.17
40,262 0.17
Total Expenses 160,621 0.76
181,181 0.75
NET LOSS (348,508) (1.63)
(551,306) (2.28)
Morgan Stanley Dean Witter Charter Series
Statements of Changes in Net Asset Value
For the Month Ended September 30, 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,
September 1, 2000 2,285,545.259 21,416,196 9.37
2,874,916.676 24,157,514 8.40
Net Loss - (348,508) (0.15) -
(551,306) (0.19)
Redemptions (28,081.236) (258,909) 9.22
(41,483.313) (340,578) 8.21
Subscriptions 43,091.214 397,301 9.22
43,701.095 358,786 8.21
Net Asset Value,
September 30, 2000 2,300,555.237 21,206,080 9.22
2,877,134.458 23,624,416 8.21
The accompanying notes are an integral part of these financial statements.
</TABLE>
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<TABLE>
Morgan Stanley Dean Witter Charter Series
Statements of Operations
For the Month Ended September 30, 2000
(Unaudited)
<CAPTION>
Morgan Stanley Dean
Witter Charter Welton L.P.
Percent of
September 1, 2000
Beginning
Amount Net Asset Value
$ %
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized 457,407 2.12
Net change in unrealized (1,968,438) (9.11)
Total Trading Results (1,511,031) (6.99)
Interest Income (DWR) 109,103 0.50
Total Revenues (1,401,928) (6.49)
EXPENSES
Brokerage fees (DWR) 126,016 0.58
Management fees 36,005 0.17
Total Expenses 162,021 0.75
NET LOSS (1,563,949) (7.24)
Morgan Stanley Dean Witter Charter Series
Statements of Changes in Net Asset Value
For the Month Ended September 30, 2000
(Unaudited)
Morgan Stanley Dean Witter Charter Welton L.P.
Units Amount Per Unit
$ $
<S> <C> <C> <C>
Net Asset Value,
September 1, 2000 2,824,551.719 21,602,763 7.65
Net Loss - (1,563,949) (0.56)
Redemptions (38,717.912) (274,510) 7.09
Subscriptions 50,481.524 357,914 7.09
Net Asset Value,
September 30, 2000 2,836,315.331 20,122,218 7.09
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 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.
