Morgan Stanley Dean Witter Charter Series
Monthly Report
March 1999
Dear Limited Partner:
This marks the first monthly report to Limited Partners for the Morgan
Stanley Dean Witter Charter Series. Each month a report providing a
narrative explanation of market activity, financial statements (unaudited)
and notes to these financial statements will be distributed to all Limited
Partners. An annual report providing audited financial statements and a
summary of trading activity for the calendar year will also be provided at
the conclusion of each calendar year.
The Net Asset Value per Unit for each of the three Morgan Stanley Dean
Witter Charter Funds as of March 31, 1999 was as follows:
Funds N.A.V. % change for month
Charter Graham $9.20 -8.02%
Charter Millburn $9.95 -0.52%
Charter Welton $9.23 -7.74%
In Charter Graham, price trends evident in February across a wide variety
of markets, such as metals, energies and soft commodities, disappointed as
the Fund began trading in March. Specifically, losses were recorded during
the month primarily in the agricultural markets from short corn futures
positions as corn prices moved higher in a technical and seasonally driven
rally, as well as a lack of heavy producer selling. Additional losses were
experienced in the global interest rate futures markets from short German
government bond futures positions as prices increased on reports that
Germany's industrial production showed a sharp increase, creating hopes
that Europe's biggest economy could be strengthening. Short positions in
Australian bond futures also produced losses for this market sector as
prices increased on reports of depressed gold prices later in the month
which have hampered the Australian dollar, the Australian stock market and
enhanced Australian bond prices. In metals, losses resulted from short
aluminum futures positions as prices increased during mid-month as good
demand in the United States prompted shipments from Europe amid a drawdown
in supply. Smaller losses were recorded in currencies early in the month
from short Japanese yen positions as the value of the yen increased versus
the U.S. dollar amid new signs that Japan's economy may be on the mend and
speculation that interest rates may soon rise. The energy markets also
contributed smaller losses from short natural gas futures positions as
prices increased significantly early in the month on speculative short
covering. In soft commodities, short cotton futures positions resulted in
losses as prices surged early in the month on technically motivated
speculative buying and rumors that an influential merchant had turned
bullish.
In Charter Millburn, losses were recorded during the month primarily in the
metals markets from short aluminum futures positions as prices increased
during mid-month due to a possible drawdown in warehouse stocks. Newly
established long aluminum futures positions held towards month-end also
resulted in losses as prices moved lower on profit taking. Smaller losses
were produced in the agricultural markets from short corn futures positions
as prices moved higher in a technical and seasonally driven rally early in
the month and on a lack of farmer selling. In the global interest rate
futures markets, losses resulted early in the month from short U.S. bond
futures positions as domestic prices rose due to encouraging productivity
data released by the U.S. Labor Department and on comments by Alan
Greenspan that there are no obvious signs of emerging inflation pressures.
A portion of the Fund's overall losses was offset by gains in the energy
markets from long futures positions in crude oil, unleaded gas and heating
oil as prices climbed following an agreement reached by both OPEC and non-
OPEC countries to cut total output beginning April 1. Smaller gains were
recorded in the currency markets from short euro positions as its value
decreased versus the U.S. dollar on speculation that U.S. interest rates
will continue to rise due to positive economic data released early in the
month.
In Charter Welton, losses were recorded during the month primarily in the
financial futures markets from long positions in U.S. stock index futures
as domestic stock prices moved lower at month-end on investor fears
regarding corporate earnings, most notably technology companies.
Additional losses were experienced in the agricultural markets from short
futures positions in wheat, corn, and soybean products. Wheat prices moved
higher on reports that a cold snap in the U.S. Midwest could damage the
hard red winter wheat crop early in the month. Corn prices increased due
to technical strength
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amid a lack of farmer selling. Soybean oil prices increased due to
speculative buying incited by signs of an increase in world oilseed and
vegetable oil demand. In soft commodities, losses were recorded from short
cotton futures positions as prices surged on technically motivated
speculative buying and rumors that an influential merchant had turned
bullish. Smaller losses were experienced in metals from short aluminum
futures positions as prices increased during mid-month as good demand in
the United States prompted shipments from Europe amid a drawdown in supply.
Smaller losses were also recorded in the energy markets from short futures
positions in crude oil, unleaded gas and heating oil as prices climbed as
both OPEC and non-OPEC countries reached an agreement to cut total output
beginning April 1.
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 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.
<CAPTION>
Funds Year Return
<S> <C> <C>
Charter Graham
1999 (1 month) -8.0%
Inception-to-Date Return: -8.0%
_________________________________________________________________
___________________________
Charter Millburn
1999 (1 month) -0.5%
Inception-to-Date Return: -0.5%
_________________________________________________________________
___________________________
Charter Welton
1999 (1 month) -7.7%
Inception-to-Date Return: -
7.7%
_________________________________________________________________
___________________________
</TABLE>
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<TABLE>
Morgan Stanley Dean Witter Charter Series
Statements of Operations
For the Month Ended March 31, 1999
(Unaudited)
<CAPTION>
Morgan Stanley Dean Witter
Charter Graham L.P. Morgan Stanley Dean Witter Charter Millburn L.P.
Percent of
Percent of
March 1, 1999 March
1, 1999
Amount Net Asset Value Amount
Net Asset Value
$ % $
%
REVENUES
<S> <C> <C>
<C> <C>
Trading Profit (Loss):
Realized (272,633) (6.25) (37,662)
(0.78)
Net change in unrealized (59,408) (1.36)
31,915 0.66
Total Trading Results (332,041) (7.61) (5,747)
(0.12)
Interest Income (DWR) 14,907 0.34
16,876 0.35
Total Revenues (317,134) (7.27)
11,129 0.23
EXPENSES
Brokerage fees (DWR) 25,452 0.58
28,203 0.58
Management fees 7,272 0.17
8,058 0.17
Total Expenses 32,724 0.75
36,261 0.75
NET LOSS (349,858) (8.02)
(25,132) (0.52)
Morgan Stanley Dean Witter Charter Series
Statements of Changes in Net Asset Value
For the Month Ended March 31, 1999
(Unaudited)
Morgan Stanley Dean Witter Charter Graham Morgan
Stanley Dean Witter Charter Millburn
Units Amount Per Unit Units
Amount Per Unit
$ $
$ $
<S> <C> <C> <C> <C>
<C> <C>
Net Asset Value,
March 1, 1999 436,313.664 4,363,136 10.00 483,488.295
4,834,883 10.00
Net Loss - (349,858) (0.80) -
(25,132) (0.05)
Subscriptions 225,770.138 2,077,085 9.20 286,030.205
2,846,000 9.95
Net Asset Value,
March 31, 1999 662,083.802 6,090,363 9.20 769,518.500
7,655,751 9.95
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, 1999
(Unaudited)
<CAPTION>
Morgan Stanley Dean
Witter Charter Welton
Percent of
March 1, 1999
Amount Net Asset Value
$ %
REVENUES
<S> <C> <C>
Trading Profit (Loss):
Realized (457,852) (7.89)
Net change in unrealized 32,030 0.55
Total Trading Results (425,822) (7.34)
Interest Income (DWR) 20,478 0.35
Total Revenues (405,344) (6.99)
EXPENSES
Brokerage fees (DWR) 33,842 0.58
Management fees 9,669 0.17
Total Expenses 43,511 0.75
NET LOSS (448,855) (7.74)
Morgan Stanley Dean Witter Charter Series
Statements of Changes in Net Asset Value
For the Month Ended March 31, 1999
(Unaudited)
Morgan Stanley Dean Witter Charter Welton
Units Amount Per Unit
$ $
<S> <C> <C> <C>
Net Asset Value,
March 1, 1999 580,145.052 5,801,450 10.00
Net Loss - (448,855) (0.77)
Subscriptions 298,268.888 2,753,022 9.23
Net Asset Value,
March 31, 1999 878,413.940 8,105,617 9.23
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 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. ("MSDW").
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 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 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
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.
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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 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 commissions to DWR on 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 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. If the Trading
Advisor has experienced losses with respect to Net Assets at the end of
each calendar month, the Trading Advisor must earn back such losses before
the Trading Advisor is eligible for an incentive fee.
