Morgan Stanley Dean Witter Charter Series
Monthly Report
October 2000
Dear Limited Partner:
The Net Asset Value per Unit for each of the three Morgan Stanley Dean
Witter Charter Funds as of October 31, 2000 was as follows:
Funds N.A.V. % change for month
Charter Graham $ 9.49 2.94%
Charter Millburn $ 8.54 3.97%
Charter Welton $ 7.24 2.08%
In general, each of the Charter funds recorded gains in the currency
markets. Charter Millburn recorded additional gains in global stock index
and metals futures. Charter Graham recorded additional profits in global
stock index and interest rate futures, while experiencing losses in energy
and metals futures. Charter Welton recorded additional gains in interest
rate futures and posted losses in energy and metals futures.
Charter Graham
The Fund increased in value during October primarily as a result of gains
recorded in the currency markets from short positions in the euro and the
Swiss franc as the value of these European currencies fell versus the U.S.
dollar amid continued skepticism regarding the European economy.
Additional gains were recorded from short South African rand positions as
its value trended lower due to a bomb blast in Cape Town, a weaker euro,
instability in the Middle East and Zimbabwe and higher oil prices. In the
global stock index futures markets, gains were recorded from short
positions in Topix and Nikkei Index futures as stock prices in Tokyo
declined after uninspiring earnings results from high-tech firms soured
investor sentiment. In the global interest rate futures markets, gains
were recorded during mid-month from long positions in U.S. interest rate
futures as U.S. Treasury bond and Treasury note prices rose amid investors
flocking to the relative safety of fixed income in response to the stock
market's volatility and the political uncertainty in the Middle East. A
portion of these gains was offset by losses recorded in the energy markets
from long natural gas futures positions as prices decreased after the
American Gas Association reported larger-than-expected inventories and on
forecasts for warmer temperatures, which are keeping heating demand down.
In the metals markets, losses were incurred from long positions in copper
futures as prices declined after concerns mounted that demand would weaken
amid a cooling of the U.S. economy.
Charter Millburn
The Fund increased in value during October primarily as a result of gains
recorded in the currency markets from short positions in the Japanese yen
as the value of the yen declined following the release of trade data and
deflation figures, as well as the bankruptcy of a major Japanese life
insurance company. Additional gains were recorded from short positions in
the Thai baht as its value weakened relative to the U.S. dollar due to
bearish regional currencies and political uncertainty in Thailand. In the
global stock index futures markets, profits were recorded from short
positions in Topix and Nikkei Index futures as stock prices in Tokyo
declined after uninspiring earnings results from high-tech firms soured
investor sentiment. In the metals markets, gains were recorded from short
positions in zinc futures as the base metals complex was generally weaker
as the market suffered from the effects of higher crude oil prices. A
portion of these gains was offset by losses recorded in the energy markets
from long natural gas futures positions as prices decreased after the
American Gas Association reported larger-than-expected inventories and on
forecasts for warmer temperatures, which are keeping heating demand down.
In soft commodities, losses were recorded from long coffee futures
positions as prices dropped on rain forecasts for key coffee growing areas
of Brazil.
Charter Welton
The Fund increased in value during October primarily as a result of gains
recorded in the currency markets from short positions in the euro and the
Swiss franc as the value of these European currencies fell versus the U.S.
dollar amid continued skepticism regarding the European economy.
Additional gains were recorded from short positions in the
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Japanese yen as the value of the yen declined following the release of
trade data and deflation figures, as well as the bankruptcy of a major
Japanese life insurance company. In the global interest rate futures
markets, gains were recorded from long positions in Japanese interest rate
futures as Japanese bond prices increased amid investors flocking to the
relative safety of fixed income in response to weak equity prices and
political uncertainty in the Middle East. A portion of these gains was
offset by losses recorded in the global stock index futures markets from
choppy price movement in S&P 500 Index futures. In the energy markets,
losses were experienced from long natural gas futures positions as prices
decreased after the American Gas Association reported larger-than-expected
inventories and on forecasts for warmer temperatures, which are keeping
heating demand down.
Effective November 2000, the General Partner will transfer the clearing for
each Charter Series partnership from Carr Futures Inc. to Morgan Stanley &
Co. Incorporated, an affiliate of the general partner, with the exception
of trades on the London Metal Exchange, which will be cleared by Morgan
Stanley & Co. International Limited, also an affiliate of the general
partner. In addition, Morgan Stanley & Co. Incorporated, rather than Carr
Futures Inc., will act as the counterparty on all of the foreign currency
trades for the Charter Series partnerships. Dean Witter will continue to
act as the non-clearing commodity broker for the Charter Series
partnerships. This transfer was fully described in the prospectus dated
October 11, 2000. Limited partners are reminded that, subject to certain
restrictions, they have the right to redeem their units on a monthly basis,
and they may vote to take certain actions with respect to each
partnership's operations, as more fully set forth in Section 15 (c) on page
A-22 of each partnership's Limited Partnership Agreement, which is
contained in the prospectus.
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> <S>
Year Return
1999 (10 months) 2.9%
2000 (10 months) -7.8%
Inception-to-Date Return: -5.1%
Annualized Return: -3.1%
_________________________________________________________________
___________________________
Charter Millburn
Year Return
1999 (10 months) -7.2%
2000 (10 months) -8.0%
Inception-to-Date Return: - 14.6%
Annualized Return: -9.0%
_________________________________________________________________
___________________________
Charter Welton
Year Return
1999 (10 months) -12.3%
2000 (10 months) -18.9%
Inception-to-Date Return: -27.6%
Annualized Return: - 17.6%
_________________________________________________________________
___________________________
</TABLE>
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<TABLE>
Morgan Stanley Dean Witter Charter Series
Statements of Operations
For the Month Ended October 31, 2000
(Unaudited)
<CAPTION>
Morgan Stanley Dean Witter
Charter Graham L.P. Morgan Stanley Dean Witter Charter Millburn L.P.
Percent of
Percent of
October 1, 2000
October 1, 2000 Beginning
Beginning
Amount Net Asset Value Amount
Net Asset Value
$ % $
%
REVENUES
<S> <C> <C>
<C> <C>
Trading profit (loss):
Realized (1,071,010) (5.05)
(1,031,607) (4.37)
Net change in unrealized 1,739,969 8.21)
2,019,910 8.55
Total Trading Results 668,959 3.16
988,303 4.18
Interest Income (DWR) 112,893 0.53
126,631 0.54
Total Revenues 781,852 3.69
1,114,934 4.72
EXPENSES
Brokerage fees (DWR) 123,702 0.58
137,809 0.58
Management fees 35,343 0.17
39,375 0.17
Total Expenses 159,045 0.75
177,184 0.75
NET INCOME 622,807 2.94
937,750 3.97
Morgan Stanley Dean Witter Charter Series
Statements of Changes in Net Asset Value
For the Month Ended October 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,
October 1, 2000 2,300,555.237 21,206,080 9.22
2,877,134.458 23,624,416 8.21
Net Income - 622,807 0.27 -
937,750 0.33
Redemptions (18,288.111) (173,554) 9.49
(38,359.274) (327,588) 8.54
Subscriptions 22,303.692 211,662 9.49
47,238.991 403,421 8.54
Net Asset Value,
October 31, 2000 2,304,570.818 21,866,995 9.49
2,886,014.175 24,637,999 8.54
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 October 31, 2000
(Unaudited)
<CAPTION>
Morgan Stanley Dean
Witter Charter Welton L.P.
Percent of
October 1, 2000
Beginning
Amount Net Asset Value
$ %
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized (516,984) (2.57)
Net change in unrealized 980,302 4.87
Total Trading Results 463,318 2.30
Interest Income (DWR) 107,139 0.53
Total Revenues 570,457 2.83
EXPENSES
Brokerage fees (DWR) 117,380 0.58
Management fees 33,537 0.17
Total Expenses 150,917 0.75
NET INCOME 419,540 2.08
Morgan Stanley Dean Witter Charter Series
Statements of Changes in Net Asset Value
For the Month Ended October 31, 2000
(Unaudited)
Morgan Stanley Dean Witter Charter Welton L.P.
Units Amount Per Unit
$ $
<S> <C> <C> <C>
Net Asset Value,
October 1, 2000 2,836,315.331 20,122,218 7.09
Net Income - 419,540 0.15
Redemptions (39,106.079) (283,128) 7.24
Subscriptions 15,908.977 115,181 7.24
Net Asset Value,
October 31, 2000 2,813,118.229 20,373,811 7.24
The accompanying notes are an integral part of these financial statements.
</TABLE>
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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.
Commencing November 2000, clearing and execution services were transferred
from Carr to Morgan Stanley & Co. Inc., ("MS & Co.") and Morgan Stanley &
Co. International Limited ("MSIL"). Demeter, DWR, MS & Co. and MSIL 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 prudent 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.
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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.
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4. Subsequent Event
Commencing in November 2000, the clearing for each Partnership is
transferred from Carr to MS & Co., an affiliate of Demeter, while trades on
the London Metal Exchange will be cleared by MSIL, also an affiliate of
Demeter. In addition, MS & Co. and MSIL, rather than Carr, will act as the
counterparty on all of the Partnerships' foreign currency trades. DWR will
continue to act as the non-clearing commodity broker for the Partnership.
