Morgan Stanley Dean Witter Charter Series
Monthly Report
May 2000
Dear Limited Partner:
The Net Asset Value per Unit for each of the three Morgan Stanley Dean
Witter Charter Funds as of May 31, 2000 was as follows:
Funds N.A.V. % change for month
Charter Graham $ 9.43 -4.01%
Charter Millburn $ 8.68 -2.20%
Charter Welton $ 8.04 -2.98%
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 Millburn recorded losses primarily in the currency
markets from short euro positions and in global interest rate futures
trading from U.S. interest rate futures. Charter Graham experienced
difficulty in the global interest rate futures markets, particularly from
significant short-term price volatility in U.S. interest rate futures
during the month. Charter Welton experienced losses in the currency
markets from short positions in the Japanese yen and in global stock index
futures trading from long positions in S&P 500 Index futures as U.S. stock
prices declined.
Charter Graham
The Fund decreased in value during May due primarily to losses recorded in
the global interest rate futures markets from long positions in long-term
U.S. interest rate futures as prices declined early in the month after a
report showing the labor market tightened in April all but cemented fears
the Federal Reserve will have to raise interest rates more aggressively to
snuff out inflationary pressures. Newly established short positions
incurred additional losses later in the month as prices moved higher as
investors shed stock holdings for the safe haven of bonds. In the
agricultural markets, losses were incurred from long corn and soybean
futures positions as prices moved lower due to forecasts for heavy rain in
the U.S. corn and soy growing regions. In the metals markets, losses were
experienced from long positions in nickel, copper and zinc as most base
metals prices moved lower later in the month amid a technical sell-off. A
portion of these losses was offset by gains recorded in the energy markets
from long natural gas futures positions as prices climbed higher amid
supply woes heightened by low storage injection data as reported by the
American Gas Association and perceptions that dwindling storage levels
could mean a very tight market during the peak demand months this winter.
In the global stock index futures markets, gains were recorded from short
positions in Nikkei Index futures as the Japanese stock market declined,
with former "high-flying" technology stocks pounded by another setback in
the U.S. NASDAQ Index.
Charter Millburn
The Fund decreased in value during May due primarily to losses recorded in
the currency markets from short positions in the euro as the value of
Europe's common currency suddenly strengthened relative to the U.S. dollar
late in the month amid renewed expectation of European Central Bank support
for the euro. In the global interest rate futures markets, losses were
experienced from long positions in long-term U.S. interest rate futures as
prices declined early in the month after a report showing the labor market
tightened in April all but cemented fears the Federal Reserve will have to
raise interest rates more aggressively to snuff out inflationary pressures.
Newly established short positions incurred additional losses later in the
month from short positions in U.S. interest rate futures as prices moved
higher as investors shed stock holdings for the safe haven of bonds. In
the agricultural markets, losses were incurred from long wheat futures
positions as prices moved lower due to forecasts for heavy rain in the U.S.
Midwest. A portion of these losses was offset by gains recorded in the
energy markets from long positions in crude oil and its related products as
oil prices increased amid concerns over tight gasoline supplies ahead of
the peak driving summer season and after comments from OPEC ministers who
see no need to raise supplies further in June. Additional gains were
recorded from long natural gas futures positions as prices climbed higher
amid supply woes heightened by low storage injection data. In the global
stock index futures markets, gains were recorded from short positions in
TOPIX Stock Index futures as Japanese stock prices declined as former "high-
flying" technology stocks were pounded by another setback in the U.S.
NASDAQ Index.
<PAGE>
Charter Welton
The Fund decreased in value during May due primarily to losses recorded in
the currency markets from short positions in the Japanese yen as its value
strengthened versus the U.S. dollar amid positive economic data out of
Japan and after Bank of Japan's Hayami reinforced expectations of a
potential rise in Japanese interest rates. In the global stock index
futures markets, losses were experienced from long positions in S&P 500
Index futures as U.S. stock prices declined, highlighted by eroding
confidence in technology stocks amid lingering fears of further Federal
Reserve interest rate hikes. In the agricultural markets, losses were
incurred from long corn and soybean futures positions as prices moved lower
due to forecasts for heavy rain in the U.S. soy growing regions. A portion
of these losses was offset by gains recorded in the energy markets from
long natural gas futures positions as prices climbed higher amid supply
woes heightened by low storage injection data and perceptions that
dwindling storage levels could mean a very tight market during the peak
demand months this winter. Additional gains were recorded early in the
month from long positions in crude oil and its related products as oil
prices increased amid concerns over tight gasoline supplies ahead of the
peak driving summer season. In the global interest rate futures markets,
gains were recorded from long positions in Japanese interest rate futures
as Japanese bond prices increased after the Nikkei Index slumped during mid-
month.
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
Year Return
<S> <C>
1999 (10 months) 2.9%
2000 (5 months) -8.4%
Inception-to-Date Return: -5.7%
Annualized Return: -4.6%
_________________________________________________________________
___________________________
Charter Millburn
Year Return
1999 (10 months) -7.2%
2000 (5 months) -6.5%
Inception-to-Date Return: - 13.2%
Annualized Return: -10.7%
_________________________________________________________________
___________________________
Charter Welton
Year Return
1999 (10 months) -10.7%
2000 (5 months) -10.0%
Inception-to-Date Return: -19.6%
Annualized Return: - 16.0%
_________________________________________________________________
___________________________
</TABLE>
<PAGE>
<TABLE>
Morgan Stanley Dean Witter Charter Series
Statements of Operations
For the Month Ended May 31, 2000
(Unaudited)
<CAPTION>
Morgan Stanley Dean Witter
Charter Graham L.P. Morgan Stanley Dean Witter Charter Millburn L.P.
Percent of Percent of
May 1, 2000 May 1,
2000
Beginning Beginning
Amount Net Asset Value Amount
Net Asset Value
$ % $
%
REVENUES
<S> <C> <C>
<C> <C>
Trading profit (loss):
Realized (801,488) (3.67)
(410,302) (1.65)
Net change in unrealized (14,376) (0.07)
(68,376) (0.28)
Total Trading Results (815,864) (3.74)
(478,678) (1.93)
Interest Income (DWR) 104,432 0.48
118,414 0.48
Total Revenues (711,432) (3.26)
(360,264) (1.45)
EXPENSES
Brokerage fees (DWR) 127,223 0.58
144,895 0.58
Management fees 36,349 0.17
41,399 0.17
Total Expenses 163,572 0.75
186,294 0.75
NET LOSS (875,004) (4.01)
(546,558) (2.20)
Morgan Stanley Dean Witter Charter Series
Statements of Changes in Net Asset Value
For the Month Ended May 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,
May 1, 2000 2,221,173.946 21,809,634 9.82
2,798,146.998 24,839,185 8.88
Net Loss - (875,004) (0.39) -
(546,558) (0.20)
Redemptions (17,075.686) (161,024) 9.43
(29,175.149) (253,240) 8.68
Subscriptions 70,223.771 662,210 9.43
74,209.705 644,140 8.68
Net Asset Value,
May 31, 2000 2,274,322.031 21,435,816 9.43
2,843,181.554 24,683,527 8.68
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 May 31, 2000
(Unaudited)
<CAPTION>
Morgan Stanley Dean
Witter Charter Welton L.P.
Percent of
May 1, 2000
Beginning
Amount Net Asset Value
$ %
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized (379,447) (1.64)
Net change in unrealized (254,805) (1.10)
Total Trading Results (634,252) (2.74)
Interest Income (DWR) 116,196 0.50
Total Revenues (518,056) (2.24)
EXPENSES
Brokerage fees (DWR) 135,333 0.58
Management fees 38,667 0.16
Total Expenses 174,000 0.74
NET LOSS (692,056) (2.98)
Morgan Stanley Dean Witter Charter Series
Statements of Changes in Net Asset Value
For the Month Ended May 31, 2000
(Unaudited)
Morgan Stanley Dean Witter Charter Welton L.P.
Units Amount Per Unit
$ $
<S> <C> <C> <C>
Net Asset Value,
May 1, 2000 2,798,385.870 23,199,972 8.29
Net Loss - (692,056) (0.25)
Redemptions (30,078.183) (241,829) 8.04
Subscriptions 81,718.451 657,016 8.04
Net Asset Value,
May 31, 2000 2,850,026.138 22,923,103 8.04
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.
