Morgan Stanley Dean Witter Charter Series
Monthly Report
August 1999
Dear Limited Partner:
The Net Asset Value per Unit for each of the three Morgan Stanley Dean
Witter Charter Funds as of August 31, 1999 was as follows:
Funds N.A.V. % change for month
Charter Graham $ 9.81 4.70%
Charter Millburn $10.30 0.97%
Charter Welton $ 8.55 -3.13%
In Charter Graham, gains were recorded during August primarily in the
currency market from long positions in the Japanese yen as the value of the
yen reached a 7 1/2 month high versus the U.S. dollar due to optimism
regarding that country's economic recovery. Additional profits were
recorded in the metals markets from long positions in base metal futures as
prices moved higher. Gains were also recorded from long positions in
natural gas futures as prices moved higher on expectations that
temperatures in key consumption regions could rise, thus causing demand to
increase and inventories to decline. Prices in this market continued their
rally to 21-month highs during mid-month on weather forecasts of possible
hurricanes in the Gulf of Mexico. Smaller gains were recorded in this
market complex from long positions in crude oil futures as oil prices moved
higher amid a perceived tightness in the gasoline market and fears of
production problems caused by the devastating earthquake in Turkey and
hurricanes in the Gulf of Mexico. These gains were partially offset by
losses incurred from short positions in U.S. Treasury note futures as
domestic bond prices temporarily moved higher due to benign inflation data.
Smaller losses were incurred from short positions in German stock index
futures as prices increased throughout a majority of the month due to the
temporary strength in domestic stocks and reduced fears of inflation in the
U.S.
In Charter Millburn, gains were recorded during the month primarily from
long positions in the energy markets. Long natural gas futures positions
profited during August as prices moved higher on expectations that
temperatures in key consumption regions could rise. Prices in this market
continued their rally to 21-month highs during mid-month on weather
forecasts of possible hurricanes in the Gulf of Mexico. Smaller gains were
recorded from long futures positions in crude oil and its refined products,
heating oil, unleaded gas and gas oil, as prices moved higher amid a
perceived tightness in the gasoline market and fears of production problems
caused by the devastating earthquake in Turkey and hurricanes in the Gulf
of Mexico. In the currency markets, gains were recorded from long
positions in the Japanese yen as the value of the yen strengthened versus
the U.S. dollar and the European common currency as a result of optimism
regarding Japan's economic recovery. In soft commodities, gains were
recorded from long sugar futures positions as sugar prices rallied to 6-
month highs on technical strength. Additional gains were recorded in the
metals markets from long positions in base metal futures, particularly
aluminum and zinc, as prices were boosted higher due to speculative buying
and technical factors. These gains were partially offset by losses
incurred from long positions in Nikkei Index futures as Japanese equity
prices fell early in the month on fears pertaining to a stronger yen and in
anticipation of the U.S. interest rate hike. Smaller losses were recorded
from long positions in Hang Seng Index futures as equity prices in Hong
Kong also dropped in early August due to tensions between China and Taiwan
and anticipatory concerns regarding the August 24 interest rate hike by the
U.S. Federal Open Market Committee.
In Charter Welton, losses were recorded during August primarily from short
S&P 500 Index futures positions as prices increased during the first three
weeks of the month amid optimism that inflation in the U.S. was under
control. As a result of this price increase, new long positions were
established in this market, as well as in German stock index futures, only
to experience additional losses during the last week of August as prices
reversed lower on a sudden weakness in the bond market. Smaller losses
were recorded from long Nikkei Index futures positions as Japanese stock
prices declined early in the month on fears pertaining to a stronger yen
and in anticipation of an interest rate hike in the U.S. This short-term
volatility in the world's equity markets has caused particular difficulty
to Welton in recent months because of their trend-following trading
approach and their concentrated participation in this market sector. In
the global interest rate futures markets, losses were experienced from
short positions in British bond futures as prices increased during the
latter half of
<PAGE>
the month when it was revealed that the Bank of England's Monetary Policy
Committee voted unanimously not to raise interest rates in that country.
These losses were mitigated by profits recorded in the energy markets from
long natural gas futures positions as prices moved higher on expectations
that temperatures in key consumption regions could rise, thus causing
demand to increase and gas inventories to decline. Prices in this market
continued their rally to 21-month highs during mid-month on weather
forecasts of possible hurricanes in the Gulf of Mexico. Additional gains
were recorded in this market complex from long futures positions in crude
oil and its refined products, heating oil and unleaded gas, as oil prices
also moved higher amid a perceived tightness in the gasoline market and
fears of production problems caused by the devastating earthquake in Turkey
and hurricanes in the Gulf of Mexico. Smaller profits were recorded from
long positions in base metal futures, particularly nickel and aluminum.
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
President
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 inception-to-date for each Fund in the Morgan Stanley
Dean Witter Charter Series. PAST PERFORMANCE IS NOT NECESSARILY
INDICATIVE OF FUTURE RESULTS.
<CAPTION>
Charter Graham
Year Return
<S> <C>
1999 (6 months) -1.9%
Inception-to-Date Return: -1.9%
_________________________________________________________________
___________________________
Charter Millburn
Year Return
1999 (6 months) 3.0%
Inception-to-Date Return: 3.0%
_________________________________________________________________
___________________________
Charter Welton
Year Return
1999 (6 months) -14.5%
Inception-to-Date Return: -14.5%
_________________________________________________________________
___________________________
</TABLE>
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<TABLE>
Morgan Stanley Dean Witter Charter Series
Statements of Operations
For the Month Ended August 31, 1999
(Unaudited)
<CAPTION>
Morgan Stanley Dean Witter
Charter Graham L.P. Morgan Stanley Dean Witter Charter Millburn L.P.
Percent of
Percent of
August 1, 1999
August 1, 1999
Beginning
Beginning
Amount Net Asset Value Amount
Net Asset Value
$ % $
%
REVENUES
<S> <C> <C>
<C> <C>
Trading Profit (Loss):
Realized (353,791) (2.45)
120,000 0.63
Net change in unrealized 1,092,953 7.58
144,797 0.76
Total Trading Results 739,162 5.13
264,797 1.39
Interest Income (DWR) 47,087 0.33
61,567 0.33
Total Revenues 786,249 5.46
326,364 1.72
EXPENSES
Brokerage fees (DWR) 84,116 0.58
110,644 0.58
Management fees 24,033 0.18
31,613 0.17
Total Expenses 108,149 0.76
142,257 0.75
NET INCOME (LOSS) 678,100 4.70
184,107 0.97
Morgan Stanley Dean Witter Charter Series
Statements of Changes in Net Asset Value
For the Month Ended August 31, 1999
(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,
August 1, 1999 1,539,458.031 14,419,857 9.37
1,859,945.445 18,967,513 10.20
Net Income (Loss) - 678,100 0.44 -
184,107 0.10
Redemptions (2,200.000) (21,582) 9.81
(700.000) (7,210) 10.30
Subscriptions 152,798.808 1,498,956 9.81
193,187.240 1,989,828 10.30
Net Asset Value,
August 31, 1999 1,690,056.839 16,575,331 9.81
2,052,432.685 21,134,238 10.30
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 August 31, 1999
(Unaudited)
<CAPTION>
Morgan Stanley Dean
Witter Charter Welton L.P.
Percent of
August 1, 1999
Beginning
Amount Net Asset Value
$ %
REVENUES
<S> <C> <C>
Trading Profit (Loss):
Realized (690,698) (3.93)
Net change in unrealized 216,311 1.23
Total Trading Results (474,387) (2.70)
Interest Income (DWR) 55,358 0.31
Total Revenues (419,029) (2.39)
EXPENSES
Brokerage fees (DWR) 102,641 0.58
Management fees 29,326 0.16
Total Expenses 131,967 0.74
NET INCOME (LOSS) (550,996) (3.13)
Morgan Stanley Dean Witter Charter Series
Statements of Changes in Net Asset Value
For the Month Ended August 31, 1999
(Unaudited)
Morgan Stanley Dean Witter Charter Welton L.P.
Units Amount Per Unit
$ $
<S> <C> <C> <C>
Net Asset Value,
August 1, 1999 1,992,994.940 17,595,391 8.83
Net Income (Loss) - (550,996) (0.28)
Redemptions (5,600.000) (47,880) 8.55
Subscriptions 202,652.924 1,732,683 8.55
Net Asset Value,
August 31, 1999 2,190,047.864 18,729,198 8.55
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 in the
speculative trading of futures and forward contracts, options on futures
contracts on physical commodities and other commodity interests, including
foreign currencies, financial instruments, metals, energy and agricultural
products (collectively, "futures interests"). 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 the General and Limited
Partners based upon their proportional ownership interests.
Use of Estimates - The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date
of the financial statements and the reported amounts of revenues and
expenses during the reporting period. Actual results could differ from
those estimates.
Revenue Recognition - Futures interests are open commitments until
settlement date. They are valued at market and the resulting unrealized
gains and losses are reflected in income. 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 during such month. Carr also credits DWR
with the interest income earned with 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
to the Partnership on forward contracts and other futures interests, but
not actually received.
Net Income (Loss) per Unit - Net income (loss) per 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 fee
covers 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 on redemptions of Units, are made
on a pro-rata basis at the sole discretion of Demeter. No distributions
have been made to date.
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.
<PAGE>
Morgan Stanley Dean Witter Charter Series
Notes to Financial Statements
(Concluded)
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 the Partnership's Limited Partnership Agreement.
2. Related Party Transactions
Each Partnership pays brokerage fees to DWR for trades executed on its
behalf as described in Note 1. Each Partnership's cash is on deposit with
DWR and Carr in future 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
management fees and incentive fees 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 defined in the Limited Partnership Agreements),
as of the end of each calendar month. 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.
