Morgan Stanley Dean Witter Charter Series
Monthly Report
March 2000
Dear Limited Partner:
The Net Asset Value per Unit for each of the three Morgan Stanley Dean
Witter Charter Funds as of March 31, 2000 was as follows:
Funds N.A.V. % change for month
Charter Graham $10.33 0.29%
Charter Millburn $ 8.82 -5.32%
Charter Welton $ 8.86 3.81%
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 recorded profits primarily from currency and
global interest rate futures trading, particularly in the euro versus the
Japanese yen and long positions in U.S. interest rate futures. Charter
Graham produced gains largely due to a heavier concentration in the
agricultural markets and from some profit taking early in the month in the
energy markets. Charter Millburn incurred losses primarily in the global
stock index futures markets from long positions in Hang Seng and TOPIX
Index futures and smaller losses in the currency and soft commodities
markets.
During March, global interest rate futures prices, which had moved in a
choppy sideways pattern during January and February, increased during the
second half of the month as fears of drastic interest rate hikes by the
world's central banks subsided and investors found solace from stock market
volatility in fixed income vehicles. Consequently, profits were recorded
to varying degrees by each of the Charter Series Funds from long positions
in U.S. and European interest rate futures. In Charter Millburn and
Charter Welton, these gains were partially offset by losses incurred from
trading Japanese government bond futures as prices moved lower early in the
month, followed by a rebound in late March.
The price volatility previously seen in the interest rate futures markets
took to the global equity markets as prices fluctuated on concerns
regarding recent disparities between "old economy" and "new economy"
stocks. As a result of this volatility, Charter Graham and Charter
Millburn experienced losses within this market sector, while Charter Welton
recorded a profit.
In the commodities markets, a portion of previously recorded profits from
long futures positions in the energy markets was given back by Charter
Millburn and Charter Welton as oil prices reversed lower after several
months of trending upward to nine-year highs. This reversal lower was
prompted by expectations that ministers from OPEC would agree to increase
oil production. In soft commodities, trendless price movement in several
markets, particularly sugar and cocoa, resulted in losses for Charter
Graham and Charter Millburn.
In the currency markets, the value of the Japanese yen reversed higher
versus the U.S. dollar and major European currencies on reports of yen
repatriation by institutions ahead of the Japanese fiscal year-end on March
31. As a result, losses were recorded from short yen positions in Charter
Graham and Charter Millburn. These losses were offset by gains recorded in
Charter Graham, Charter Millburn, and Charter Welton from short positions
in the euro as the value of the European common currency finished the month
lower versus the U.S. dollar and Japanese yen, undermined by expectations
that interest rates would be held steady by the European Central Bank.
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.
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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 (3 months) 0.4%
Inception-to-Date Return: 3.3%
Annualized Rate: 3.0%
_________________________________________________________________
___________________________
Charter Millburn
Year Return
1999 (10 months) -7.2%
2000 (3 months) -5.0%
Inception-to-Date Return: - 11.8%
Annualized Rate: - 10.9%
_________________________________________________________________
___________________________
Charter Welton
Year Return
1999 (10 months) -10.7%
2000 (3 months) -0.8%
Inception-to-Date Return: -11.4%
Annualized Rate: - 10.5%
_________________________________________________________________
___________________________
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</TABLE>
<TABLE>
Morgan Stanley Dean Witter Charter Series
Statements of Operations
For the Month Ended March 31, 2000
(Unaudited)
<CAPTION>
Morgan Stanley Dean Witter
Charter Graham L.P. Morgan Stanley Dean Witter Charter Millburn L.P.
Percent of
Percent of
March 1, 2000 March
1, 2000 Beginning
Beginning
Amount Net Asset Value Amount
Net Asset Value
$ % $
%
REVENUES
<S> <C> <C>
<C> <C>
Trading profit (loss):
Realized 892,054 4.08
(274,779) (1.12)
Net change in unrealized (757,265) (3.46)
(957,651) (3.89)
Total Trading Results 134,789 0.62
(1,232,430) (5.01)
Interest Income (DWR) 92,050 0.42
107,814 0.44
Total Revenues 226,839 1.04
(1,124,616) (4.57)
EXPENSES
Brokerage fees (DWR) 127,534 0.58
143,519 0.58
Management fees 36,439 0.17
41,004 0.17
Total Expenses 163,973 0.75
184,523 0.75
NET INCOME (LOSS) 62,866 0.29
(1,309,139) (5.32)
Morgan Stanley Dean Witter Charter Series
Statements of Changes in Net Asset Value
For the Month Ended March 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,
March 1, 2000 2,122,002.745 21,862,895 10.30
2,642,045.369 24,603,221 9.31
Net Income (Loss) - 62,866 0.03 -
(1,309,139) (0.49)
Redemptions (150,394.413) (1,553,574) 10.33
(148,871.765) (1,313,049) 8.82
Subscriptions 205,691.334 2,124,792 10.33
269,854.646 2,380,118 8.82
Net Asset Value,
March 31, 2000 2,177,299.666 22,496,979 10.33
2,763,028.250 24,361,151 8.82
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 March 31, 2000
(Unaudited)
<CAPTION>
Morgan Stanley Dean
Witter Charter Welton L.P.
Percent of
March 1, 2000
Beginning
Amount Net Asset Value
$ %
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized 1,523,026 6.54
Net change in unrealized (566,680) (2.43)
Total Trading Results 956,346 4.11
Interest Income (DWR) 105,946 0.45
Total Revenues 1,062,292 4.56
EXPENSES
Brokerage fees (DWR) 135,906 0.58
Management fees 38,830 0.17
Total Expenses 174,736 0.75
NET INCOME (LOSS) 887,556 3.81
Morgan Stanley Dean Witter Charter Series
Statements of Changes in Net Asset Value
For the Month Ended March 31, 2000
(Unaudited)
Morgan Stanley Dean Witter Charter Welton L.P.
Units Amount Per Unit
$ $
<S> <C> <C> <C>
Net Asset Value,
March 1, 2000 2,729,295.576 23,298,067 8.54
Net Income (Loss) - 887,556 0.32
Redemptions (177,336.840) (1,571,204) 8.86
Subscriptions 207,685.390 1,840,093 8.86
Net Asset Value,
March 31, 2000 2,759,644.126 24,454,512 8.86
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 Partnerships commenced operations on March 1, 1999. The general
partner for 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 Partnership's Net Assets maintained in
trading accounts at Carr. DWR in turn credits the Partnership with 100% of
the interest income received from Carr. For purposes of such interest
payments Net Assets do not include monies due the Partnership 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 the Partnership's 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 as of December 31, 1999 were 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.
