Morgan Stanley Dean Witter Charter Series
Monthly Report
May 1999
Dear Limited Partner:
The Net Asset Value per Unit for each of the three Morgan Stanley Dean
Witter Charter Funds as of May 31, 1999 was as follows:
Funds N.A.V. % change for month
Charter Graham $ 9.02 -5.91%
Charter Millburn $10.08 -3.57%
Charter Welton $ 8.94 -3.39%
In Charter Graham, losses were recorded during May from long positions in
copper and aluminum futures as base metals prices reversed sharply lower
during the latter half of the month amid large supplies, low demand and the
unlikely possibility of a production cut in the near future. The losses in
these base metals were mitigated by gains from short gold futures positions
as gold prices plunged in reaction to the May 7th announcement that the
British Treasury would sell more than half of its gold reserves. In
currencies, losses were recorded from long Mexican peso positions as the
value of the peso dropped sharply versus the U.S. dollar during late May on
concerns that Argentina will devalue its currency which could lead to a
similar action by Mexico. Smaller losses were experienced from long
positions in the New Zealand dollar as its value also moved lower versus
the U.S. dollar amid declining commodity prices and on news of the Federal
Open Market Committee's ("FOMC") decision to tighten the Federal Reserve's
monetary bias. In global stock index futures, losses were experienced from
long positions in Japanese and German stock index futures as the prospect
of higher interest rates in the U.S. weighed on most global equity prices.
In the energy markets, long crude oil futures positions incurred losses as
prices dropped significantly, after reaching 17-month highs earlier in the
month, on reports of a larger-than-expected rise in stockpiles. A portion
of these losses was offset by gains recorded from short U.S. interest rate
futures positions as domestic bond prices dropped sharply. This price
decline was due primarily to a higher-than-expected rise in the Consumer
Price Index, comments by Federal Reserve Chairman Alan Greenspan that
continued economic expansion in the U.S. without significant signs of
inflation is unlikely and indications from the FOMC that a shift towards a
tightening bias was likely.
In Charter Millburn, losses were experienced during May from long positions
in Nikkei Index futures as Japanese equity prices declined due to the
prospects of an interest rate hike in the U.S. and the dampening effect it
would have on export dependant Japanese companies. Smaller losses were
incurred from long Hang Seng Index futures positions as equity prices in
Hong Kong were also pushed lower by the possibility of an interest rate
increase in the U.S. In the energy markets, losses were recorded from long
futures positions in crude oil and its refined products, unleaded gas and
heating oil, as oil prices reversed sharply lower, despite reaching
$19/barrel early in the month, due to a larger-than-expected rise in
stockpiles. In metals, long positions in base metals futures, particularly
aluminum and copper, experienced losses as prices in these markets reversed
significantly lower amid increased supply, low demand and as the
possibility of a production cut seemed unlikely. A portion of these losses
was offset by gains from long positions in U.S. interest rate futures as
domestic bond prices fell due to a higher-than-expected increase in the
Consumer Price Index, comments by Federal Reserve Chairman Alan Greenspan
that continued economic growth in the U.S. without significant signs of
inflation is unlikely and indications from the Federal Open Market
Committee that a shift towards a monetary tightening bias was likely.
In Charter Welton, losses were recorded during the month from crossrate
currency transactions, specifically short positions in the European common
currency relative to the Japanese yen, as the value of the euro climbed to
a 2 1/2 month high versus the yen during the middle of the month following
comments by Japanese finance officials that the recent decline in the yen
versus the U.S. dollar was rapid but not concerning. In global stock index
futures, losses incurred from long positions in Hang Seng and Nikkei Index
futures offset gains from short S&P 500 Index futures as the prospect of
higher interest rates in the U.S. weighed on most global equity prices.
Losses were also experienced in metals from long futures positions in most
base metals as prices reversed sharply lower amid increased supply, low
demand and as the
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likelihood of a production cut faded. In the energy markets, losses were
recorded from short positions in natural gas
futures as prices in this market finished the month higher as a result of
bullish storage data. These losses were mitigated by gains recorded in
soft commodities from short cotton futures positions as prices declined on
reports of favorable weather and USDA projections for a strong increase in
1999-2000 production and ending stocks. Additional profits were recorded
in global interest rate futures from short positions in Australian and U.S.
interest rate futures as prices in these markets declined due to
inflationary concerns in the U.S. Smaller gains were recorded in the
agricultural markets from short positions in soybean futures as prices
declined throughout the month due to favorable planting forecasts and a
bearish USDA supply-demand report.
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
<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 the calendar year and the inception-to-
date return for each Fund in the Morgan Stanley Dean Witter
Charter Series. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE
OF FUTURE RESULTS.
Charter Graham
Year Return
1999 (3 months) -9.8%
Inception-to-Date Return: -9.8%
_________________________________________________________________
___________________________
Charter Millburn
Year Return
1999 (3 months) 0.8%
Inception-to-Date Return: 0.8%
_________________________________________________________________
___________________________
Charter Welton
Year Return
1999 (3 months) -10.6%
Inception-to-Date Return: -10.6%
_________________________________________________________________
___________________________
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<TABLE>
Morgan Stanley Dean Witter Charter Series
Statements of Operations
For the Month Ended May 31, 1999
(Unaudited)
<CAPTION>
Morgan Stanley Dean Witter
Charter Graham L.P. Morgan Stanley Dean Witter Charter Millburn L.P.
Percent of
Percent of
May 1, 1999
May 1, 1999
Beginning
Beginning
Amount Net Asset Value Amount
Net Asset Value
$ % $
%
REVENUES
<S> <C> <C>
<C> <C>
Trading Profit (Loss):
Realized 19,122 0.23 95,760
0.90
Net change in unrealized (470,467) (5.69)
(425,134) (4.01)
Total Trading Results (451,345) (5.46)
(329,374) (3.11)
Interest Income (DWR) 24,431 0.30
30,138 0.28
Total Revenues (426,914) (5.16)
(299,236) (2.83)
EXPENSES
Brokerage fees (DWR) 48,252 0.58 61,801
0.58
Management fees 13,787 0.17 17,657
0.16
Total Expenses 62,039 0.75
79,458 0.74
NET LOSS (488,953) (5.91)
(378,694) (3.57)
Morgan Stanley Dean Witter Charter Series
Statements of Changes in Net Asset Value
For the Month Ended May 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,
May 1, 1999 862,758.846 8,271,800 9.59
1,013,779.475 10,594,433 10.45
Net Loss - (488,953) (0.57)
- - (378,694) (0.37)
Subscriptions 181,919.813 1,640,917 9.02
238,685.562 2,405,951 10.08
Net Asset Value,
May 31, 1999 1,044,678.659 9,423,764 9.02
1,252,465.037 12,621,690 10.08
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, 1999
(Unaudited)
<CAPTION>
Morgan Stanley Dean
Witter Charter Welton L.P.
Percent of
May 1, 1999
Beginning
Amount Net Asset Value
$ %
REVENUES
<S> <C> <C>
Trading Profit (Loss):
Realized (276,181) (2.61)
Net change in unrealized (35,547) (0.34)
Total Trading Results (311,728) (2.95)
Interest Income (DWR) 32,326 0.31
Total Revenues (279,402) (2.64)
EXPENSES
Brokerage fees (DWR) 61,805 0.58
Management fees 17,659 0.17
Total Expenses 79,464 0.75
NET LOSS (358,866) (3.39)
Morgan Stanley Dean Witter Charter Series
Statements of Changes in Net Asset Value
For the Month Ended May 31, 1999
(Unaudited)
Morgan Stanley Dean Witter Charter Welton L.P.
Units Amount Per Unit
$ $
<S> <C> <C> <C>
Net Asset Value,
May 1, 1999 1,144,477.507 10,595,200 9.26
Net Loss - (358,866) (0.32)
Subscriptions 244,071.597 2,182,000 8.94
Net Asset Value,
May 31, 1999 1,388,549.104 12,418,334 8.94
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 and 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 Unit 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
(Continued)
Redemptions - Limited Partners may redeem some or all of their Units as of
the last day of the six months 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 Agreement) 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.
