Morgan Stanley Dean Witter Charter Series
Monthly Report
July 2000
Dear Limited Partner:
The Net Asset Value per Unit for each of the three Morgan Stanley Dean
Witter Charter Funds as of July 31, 2000 was as follows:
Funds N.A.V. % change for month
Charter Graham $ 8.75 -1.80%
Charter Millburn $ 8.15 -1.47%
Charter Welton $ 7.45 -4.89%
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 experienced
difficulty in the energy markets from long positions in crude oil and
natural gas futures as energy prices fell. Charter Welton also recorded
losses from extremely volatile conditions in the coffee futures market. In
addition to the energy markets, Charter Graham also recorded losses from
long positions in global stock index futures, but mitigated its losses by
recording gains from long positions in sugar futures and trading in the
currency markets. Charter Millburn was able to mitigate its energy losses
by recording gains in the global stock index futures markets from trading
Topix Index futures and in the soft commodities markets from long sugar
futures positions.
Charter Graham
The Fund decreased in value during July due primarily to losses recorded in
the energy markets from long futures positions in crude oil and its related
products as prices decreased amid growing conviction that Saudi Arabia will
follow through with a pledge to boost production. Additional losses were
experienced from long positions in natural gas futures as prices declined
as a result of lower than normal cooling demand in key consumption areas
and an increase in supplies as reported by the American Gas Association.
In the global stock index futures markets, losses were incurred from long
positions in S&P 500 Index futures as U.S. equity prices declined during
the later half of the month as renewed fears that the Federal Reserve will
raise interest rates exacerbated concerns that corporate earnings may be
slowing. In the global interest rate futures markets, losses were incurred
from long positions in Australian interest rate futures as prices decreased
on renewed speculation of an imminent interest rate hike by Australia's
Federal Reserve Bank. A portion of these losses was offset by gains
recorded in the metals markets from long palladium futures positions as
prices increased on concerns that supplies may be decreasing. In the
currency markets, gains were recorded from short positions in the Japanese
yen as its value weakened relative to the U.S. dollar due to rising
Japanese unemployment data and declining Japanese stock prices. Additional
currency gains were recorded from short positions in the Thai baht as its
value weakened versus the U.S. dollar. In soft commodities, gains were
recorded from long sugar futures positions as prices increased on forecasts
that the world surplus will shrink with smaller crops in 2000-2001.
Charter Millburn
The Fund decreased in value during July due primarily to losses recorded in
the energy markets from long futures positions in crude oil and its related
products as prices decreased amid growing conviction that Saudi Arabia will
follow through with a pledge to boost production. Additional losses were
experienced from long positions in natural gas futures as prices moved
lower as a result of declining cooling demand in key consumption areas and
an increase in supplies as reported by the American Gas Association. In
the global interest rate futures markets, losses were experienced from
short positions in German interest rate futures as prices were boosted
during the third week of July by the upward move in U.S. bond prices. In
the metals markets, losses were recorded during mid-month from long gold
futures positions as gold prices fell after the Bank of England announced
the results of its latest gold auction, which had concluded at a lower
price than most dealers expected. A portion of these losses was offset by
gains recorded in the global stock index futures markets from short
positions in Topix Index futures as Tokyo stock prices declined. In soft
commodities, gains were recorded from long sugar futures positions as
prices increased on forecasts that the world surplus will shrink with
smaller crops in 2000-2001. In the currency markets, gains were recorded
later in the month from short positions in the Thai baht as its value
weakened versus the U.S. dollar.
<PAGE>
Charter Welton
The Fund decreased in value during July due primarily to losses recorded in
the energy markets from long positions in natural gas futures as prices
declined as a result of lower than normal cooling demand in key consumption
areas and an increase in supplies as reported by the American Gas
Association. Additional losses were experienced from long futures
positions in crude oil and its related products as prices decreased amid
growing conviction that Saudi Arabia will follow through with a pledge to
boost production. In soft commodities, losses were recorded in coffee
futures during mid-month as prices moved in an extremely erratic manner on
conflicting weather signals from Brazil. In the global stock index futures
markets, losses were incurred later in the month from long positions in DAX
Index futures as prices declined amid weakness in the NASDAQ Index and,
subsequently, in European technology stocks. In the currency markets,
losses were experienced from long positions in the euro and Swiss franc as
the value of these European currencies weakened during mid-month amid a
combination of fresh inflationary worries in the Eurozone and renewed
doubts over the European Central Bank's handling of monetary policy.
Offsetting currency gains were recorded from short positions in the
Japanese yen as its value weakened relative to the U.S. dollar due to
rising Japanese unemployment data and declining Japanese stock prices. A
portion of these losses was offset by gains recorded in the agricultural
markets from short positions in wheat and corn futures as prices declined
on favorable U.S. crop weather forecasts. In the global interest rate
futures markets, gains were recorded from long positions in Japanese
interest rate futures as prices increased, aided by a decline in the Nikkei
Index after the Bank of Japan decision to maintain its current zero-
interest rate policy.
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
<PAGE>
<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 (7 months) -15.0%
Inception-to-Date Return: -12.5%
Annualized Return: -9.0%
_________________________________________________________________
___________________________
Charter Millburn
Year Return
1999 (10 months) -7.2%
2000 (7 months) -12.2%
Inception-to-Date Return: - 18.5%
Annualized Return: -13.4%
_________________________________________________________________
___________________________
Charter Welton
Year Return
1999 (10 months) -12.3%
2000 (7 months) -16.6%
Inception-to-Date Return: -25.5%
Annualized Return: - 18.7%
_________________________________________________________________
___________________________
</TABLE>
<PAGE>
<TABLE>
Morgan Stanley Dean Witter Charter Series
Statements of Operations
For the Month Ended July 31, 2000
(Unaudited)
<CAPTION>
Morgan Stanley Dean Witter
Charter Graham L.P. Morgan Stanley Dean Witter Charter Millburn L.P.
Percent of Percent of
July 1, 2000 July 1,
2000
Beginning Beginning
Amount Net Asset Value Amount
Net Asset Value
$ % $
%
REVENUES
<S> <C> <C>
<C> <C>
Trading profit (loss):
Realized (655,890) (3.23)
(328,101) (1.38)
Net change in unrealized 341,860 1.68
38,529 0.16
Total Trading Results (314,030) (1.55)
(289,572) (1.22)
Interest Income (DWR) 99,867 0.49
118,471 0.50
Total Revenues (214,163) (1.06)
(171,101) (0.72)
EXPENSES
Brokerage fees (DWR) 118,481 0.58
138,543 0.58
Management fees 33,851 0.16
39,583 0.17
Total Expenses 152,332 0.74
178,126 0.75
NET LOSS (366,495) (1.80)
(349,227) (1.47)
Morgan Stanley Dean Witter Charter Series
Statements of Changes in Net Asset Value
For the Month Ended July 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,
July 1, 2000 2,278,392.864 20,311,043 8.91
2,870,876.357 23,750,238 8.27
Net Loss - (366,495) (0.16) -
(349,227) (0.12)
Redemptions (27,193.592) (237,944) 8.75
(32,745.192) (266,873) 8.15
Subscriptions 37,250.629 325,943 8.75
50,150.604 408,727 8.15
Net Asset Value,
July 31, 2000 2,288,449.901 20,032,547 8.75
2,888,281.769 23,542,865 8.15
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 July 31, 2000
(Unaudited)
<CAPTION>
Morgan Stanley Dean
Witter Charter Welton L.P.
Percent of
July 1, 2000
Beginning
Amount Net Asset Value
$ %
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized (1,494,604) (6.71)
Net change in unrealized 461,311 2.07
Total Trading Results (1,033,293) (4.64)
Interest Income (DWR) 110,074 0.49
Total Revenues (923,219) (4.15)
EXPENSES
Brokerage fees (DWR) 130,018 0.58
Management fees 37,148 0.16
Total Expenses 167,166 0.74
NET LOSS (1,090,385) (4.89)
Morgan Stanley Dean Witter Charter Series
Statements of Changes in Net Asset Value
For the Month Ended July 31, 2000
(Unaudited)
Morgan Stanley Dean Witter Charter Welton L.P.
Units Amount Per Unit
$ $
<S> <C> <C> <C>
Net Asset Value,
July 1, 2000 2,846,095.630 22,288,704 7.83
Net Loss - (1,090,385) (0.38)
Redemptions (33,875.606) (252,373) 7.45
Subscriptions 42,945.772 319,946 7.45
Net Asset Value,
July 31, 2000 2,855,165.796 21,265,892 7.45
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 Partnerships commenced operations on March 1, 1999. 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.
