<PAGE>
Morgan Stanley Dean Witter Charter Series
Monthly Report
June 2000
Dear Limited Partner:
The Net Asset Value per Unit for each of the three Morgan Stanley Dean
Witter Charter Funds as of June 30, 2000 was as follows:
Funds N.A.V. % change for month
Charter Graham $ 8.91 -5.42%
Charter Millburn $ 8.27 -4.71%
Charter Welton $ 7.83 -2.63%
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 Graham experienced difficulty in global interest rate
futures trading, particularly from short eurodollar futures positions, in
the currency markets, from short Canadian dollar and Australian dollar
positions and in the agricultural markets, from long corn futures
positions. Charter Millburn recorded losses primarily in the currency
markets from short-term volatility in the euro and in the metals markets
from short positions in aluminum and gold futures. Charter Welton also
experienced losses in the currency markets from short Japanese yen and euro
positions, but was able to mitigate these losses by recording gains in the
agricultural markets from short corn futures positions. Each of the Funds
within the Charter Series were able to mitigate their losses by recording
gains in the energy markets from long positions in crude oil futures.
Charter Graham
The Fund decreased in value during June due primarily to losses recorded in
the global interest rate futures markets from short eurodollar futures
positions as prices moved higher amid signs that U.S. economic growth has
slowed and the prospects of additional interest rate hikes by the Federal
Reserve are fading. In the currency markets, losses were experienced from
short Canadian dollar positions as its value strengthened versus the U.S.
dollar on Canada's stronger-than-expected quarterly GDP data. Additional
losses were recorded from short positions in the Australian dollar as its
value strengthened versus the U.S. dollar on stronger gold prices and the
perception that U.S. interest rates may have topped in the near-term. In
the agricultural markets, losses resulted from long corn futures positions
as prices fell due to heavy rain and cooler temperatures in the major corn
producing regions. Smaller losses were recorded in the global stock index
futures markets from short positions in Nikkei Index futures as Japanese
equity prices reversed higher, after trending lower during the second half
of April and throughout May, due to strong performance in the technology
sector. A portion of these losses was offset by gains recorded in the
energy markets from long futures positions in crude oil and its related
products as the previous upward movement in oil prices reemerged amid
rising concerns regarding supplies and production levels. Additional gains
were recorded in the soft commodities markets from long positions in sugar
futures as sugar prices trended to 22-month highs due to strong demand and
declining production from Brazil.
Charter Millburn
The Fund decreased in value during June due primarily to losses recorded in
the currency markets from short-term volatility in the value of the euro.
Losses were experienced in early June from short euro positions as its
value strengthened versus the U.S. dollar after the European Central Bank
("ECB") raised interest rates and on persistent evidence of economic
strengthening in the Eurozone. Newly established long positions in the
euro resulted in additional losses later in the month as the value of the
euro weakened versus the U.S. dollar on expectations that the ECB will
pause from raising interest rates in coming months. In the metals markets,
losses were recorded from short aluminum futures positions as prices
reversed sharply higher at mid-month on institutional buying and fears that
U.S. capacity could be hit further by power shortages. Additional losses
were experienced from short gold futures positions as gold prices increased
in reaction to the U.S. dollar's weakness and the Federal Open Market
Committee's decision to leave interest rates unchanged. In the global
interest rate futures markets, losses resulted from short eurodollar
futures positions as prices moved higher amid signs that U.S. economic
growth has slowed and the prospects of additional interest rate hikes by
the Federal Reserve are fading. In the global stock index futures markets,
smaller losses were incurred from short
<PAGE>
positions in Topix Index futures as Japanese equity prices reversed higher
due to strong performance in the technology sector. A portion of these
losses was offset by gains recorded in the energy markets from long futures
positions in crude oil and its related products as the previous upward
movement in oil prices reemerged amid rising concerns regarding supplies
and production levels. Additional gains were recorded in the soft
commodities markets from long positions in sugar futures as sugar prices
trended to 22-month highs due to strong demand and declining production
from Brazil.
Charter Welton
The Fund decreased in value during June due primarily to losses recorded in
the currency markets from short positions in the Japanese yen as the U.S.
dollar weakened due to the perception that U.S. interest rates may have
topped in the near-term and data suggesting that economic growth in the
U.S. may finally be slowing. Short-term volatility in the value of the
euro, amid questions regarding the future of interest rates in the
Eurozone, resulted in additional currency losses. In the global stock
index futures markets, losses were experienced from long DAX Index futures
positions as European stock index futures prices decreased after the
European Central Bank's aggressive interest rate hike. In the metals
markets, losses resulted from short aluminum futures positions as prices
reversed sharply higher at mid-month on institutional buying and fears that
U.S. capacity could be hit further by power shortages. Smaller losses were
experienced in the global interest rate futures markets from short
eurodollar futures positions as prices moved higher amid signs that U.S.
economic growth has slowed and the prospects of additional interest rate
hikes by the Federal Reserve are fading. A portion of these overall losses
was offset by gains in the energy markets from long futures positions in
crude oil and its related products as the previous upward movement in oil
prices reemerged amid rising concerns regarding supplies and production
levels. In the agricultural markets, gains were recorded from short corn
futures positions as prices fell due to heavy rain and cooler temperatures
in the major corn producing regions. Smaller gains were experienced in the
soft commodities markets from short coffee futures positions as coffee
prices remained under pressure.
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>
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.
Charter Graham
Year Return
1999 (10 months) 2.9%
2000 (6 months) -13.4%
Inception-to-Date Return: -10.9%
Annualized Return: -8.3%
_________________________________________________________________
___________________________
Charter Millburn
Year Return
1999 (10 months) -7.2%
2000 (6 months) -10.9%
Inception-to-Date Return: - 17.3%
Annualized Return: -13.3%
_________________________________________________________________
___________________________
Charter Welton
Year Return
1999 (10 months) -12.3%
2000 (6 months) -12.3%
Inception-to-Date Return: -21.7%
Annualized Return: - 16.7%
_________________________________________________________________
___________________________
<PAGE>
<TABLE>
Morgan Stanley Dean Witter Charter Series
Statements of Operations
For the Month Ended June 30, 2000
(Unaudited)
<CAPTION>
Morgan Stanley Dean Witter
Charter Graham L.P. Morgan Stanley Dean Witter Charter Millburn L.P.
Percent of Percent of
June 1, 2000 June 1,
2000
Beginning Beginning
Amount Net Asset Value Amount
Net Asset Value
$ % $
%
REVENUES
<S> <C> <C>
<C> <C>
Trading profit (loss):
Realized (424,531) (1.98)
304,562 1.23
Net change in unrealized (669,814) (3.12)
(1,394,442) (5.65)
Total Trading Results (1,094,345) (5.10)
(1,089,880) (4.42)
Interest Income (DWR) 94,069 0.44
112,682 0.46
Total Revenues (1,000,276) (4.66)
(977,198) (3.96)
EXPENSES
Brokerage fees (DWR) 125,042 0.59
143,988 0.58
Management fees 35,726 0.17
41,139 0.17
Total Expenses 160,768 0.76
185,127 0.75
NET LOSS (1,161.044) (5.42)
(1,162,325) (4.71)
Morgan Stanley Dean Witter Charter Series
Statements of Changes in Net Asset Value
For the Month Ended June 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,
June 1, 2000 2,274,322.031 21,435,816 9.43
2,843,181.554 24,683,527 8.68
Net Loss - (1,161,044) (0.52) -
(1,162,325) (0.41)
Redemptions (42,374.885) (377,560) 8.91
(43,837.630) (362,537) 8.27
Subscriptions 46,445.718 413,831 8.91
71,532.443 591,573 8.27
Net Asset Value,
June 30, 2000 2,278,392,864 20,311,043 8.91
2,870,876.357 23,750,238 8.27
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 June 30, 2000
(Unaudited)
<CAPTION>
Morgan Stanley Dean
Witter Charter Welton L.P.
Percent of
June 1, 2000
Beginning
Amount Net Asset Value
$ %
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized 242,243 1.06
Net change in unrealized (780,098) (3.40)
Total Trading Results (537,855) (2.34)
Interest Income (DWR) 106,154 0.46
Total Revenues (431,701) (1.88)
EXPENSES
Brokerage fees (DWR) 133,718 0.58
Management fees 38,204 0.17
Total Expenses 171,922 0.75
NET LOSS (603,623) (2.63)
Morgan Stanley Dean Witter Charter Series
Statements of Changes in Net Asset Value
For the Month Ended June 30, 2000
(Unaudited)
Morgan Stanley Dean Witter Charter Welton L.P.
Units Amount Per Unit
$ $
<S> <C> <C> <C>
Net Asset Value,
June 1, 2000 2,850,026.138 22,923,103 8.04
Net Loss - (603,623) (0.21)
Redemptions (52,755.687) (413,077) 7.83
Subscriptions 48,825.179 382,301 7.83
Net Asset Value,
June 30, 2000 2,846,095.630 22,288,704 7.83
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.
