Morgan Stanley Dean Witter Charter Series
Monthly Report
December 1999
Dear Limited Partner:
The Net Asset Value per Unit for each of the three Morgan Stanley Dean
Witter Charter Funds as of December 31, 1999 was as follows:
Funds N.A.V. % change for month
Charter Graham $10.29 8.30%
Charter Millburn $ 9.28 1.58%
Charter Welton $ 8.93 7.89%
During December, both the global stock index futures and energy futures
markets continued the upward price trends that re-established themselves
during November, after having experienced short-term price volatility
earlier in the fourth quarter. These two market sectors had, for the most
part, moved higher throughout the first half of 1999 and continued to do so
during November into December, thus proving profitable for long positions
in these markets. The Japanese yen, however, did not continue its previous
upward trend relative to other major currencies, experiencing a decline
during the first half of the month and then remaining in a narrow trading
range for the remainder.
Several of the world's equity markets finished the year by rallying to
record highs. The upward price trends in these markets, which had been
temporarily disrupted during the third quarter and early fourth quarter, re-
established themselves during November and continued with a bullish tone
during December. Additionally, Charter Graham and Charter Welton had a
greater long exposure to global stock index futures than Charter Millburn
in December. This combination-a re-emergence of upward price trends and
the larger size of the long exposure to these markets-was the primary
reason for Charter Graham's and Charter Welton's results for the month.
Charter Millburn, on the other hand, had allocated less of the portfolio's
exposure to global stock index futures and, consequently, did not realize
similar performance results.
The future of U.S. interest rates and what action the U.S. Federal Reserve
will take in the coming few months continued to play a role in global
interest rate futures trading for each of the Charter Series Funds during
the latter half of the month. The release of bullish U.S. economic data
raised speculation that the U.S. Federal Reserve will raise interest rates
early in 2000, thus pushing bond prices in the U.S. and Australia lower.
As a result, Charter Millburn recorded profits from short U.S. interest
rate futures positions, while Charter Graham and Charter Welton recorded
gains from short positions in both U.S. and Australian interest rate
futures.
In the commodities markets, oil prices finished the month higher, thus
resulting in profits for long crude oil futures positions in each of the
Funds. After reaching a nine-year high during the first half of November
and retracing slightly during the second half, oil prices regained their
upward momentum during December on reports of contracting U.S. inventory
levels. Long positions in base metal futures, specifically aluminum,
nickel and zinc, were also profitable for each of the Charter Series Funds
as prices moved higher amid a healthy economic outlook for most
industrialized nations. Together, the gains recorded in these markets more
than offset losses experienced by Charter Graham and Charter Welton from
long positions in coffee futures, as coffee prices reversed lower, and by
Charter Millburn from short positions in sugar futures, as sugar prices
increased.
The previous trends in the currency markets, specifically the strengthening
of the Japanese yen, dissipated during the month, thus resulting in a
portion of profits previously recorded in this market being given back.
The value of the yen weakened slightly versus the U.S. dollar and other
currencies following interventions by the Bank of Japan in an effort to
halt the yen's recent climb higher and keep the Japanese economy stable.
As a result of this move lower, the technical trend-following managers for
each of the Charter Series Funds experienced currency losses during
December from long yen positions.
<PAGE>
I would also like to take this opportunity to inform you that we anticipate
Schedule K-1 (Form 1065) tax forms reporting each Limited Partner's share
of Partnership income, loss and deductions for calendar year 1999 will be
mailed to holders of non-IRA accounts during the last week of February.
Should you have an IRA account and wish to receive a Schedule K-1 tax form,
please contact your Morgan Stanley Dean Witter Financial Advisor.
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
<S> <C>
Year Return
1999 (10 months) 2.9%
Inception-to-Date Return: 2.9%
_________________________________________________________________
___________________________
Charter Millburn
Year Return
1999 (10 months) -7.2%
Inception-to-Date Return: -7.2%
_________________________________________________________________
___________________________
Charter Welton
Year Return
1999 (10 months) -10.7%
Inception-to-Date Return: -10.7%
_________________________________________________________________
___________________________
</TABLE>
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<TABLE>
Morgan Stanley Dean Witter Charter Series
Statements of Operations
For the Month Ended December 31, 1999
(Unaudited)
<CAPTION>
Morgan Stanley Dean Witter
Charter Graham L.P. Morgan Stanley Dean Witter Charter Millburn L.P.
Percent of
Percent of
December 1, 1999
December 1, 1999 Beginning
Beginning
Amount Net Asset Value Amount
Net Asset Value
$ % $
%
REVENUES
<S> <C> <C>
<C> <C>
Trading profit (loss):
Realized 1,544,008 8.33
(1,121,886) (5.06)
Net change in unrealized 54,333 0.29
1,542,593 6.96
Total Trading Results 1,598,341 8.62
420,707 1.90
Interest Income (DWR) 78,774 0.43
96,202 0.43
Total Revenues 1,677,115 9.05
516,909 2.33
EXPENSES
Brokerage fees (DWR) 108,149 0.58
129,371 0.58
Management fees 30,900 0.17
36,963 0.17
Total Expenses 139,049 0.75
166,334 0.75
NET INCOME 1,538,066 8.30
350,575 1.58
Morgan Stanley Dean Witter Charter Series
Statements of Changes in Net Asset Value
For the Month Ended December 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,
December 1, 1999 1,950,673.416 18,539,989 9.50
2,426,669.485 22,177,885 9.14
Net Income - 1,538,066 0.79 -
350,575 0.14
Redemptions (22,171.296) (228,143) 10.29
(25,643.909) (237,975) 9.28
Subscriptions 78,833.865 811,200 10.29
109,184.855 1,013,235 9.28
Net Asset Value,
December 31, 1999 2,007,335.985 20,661,112 10.29
2,510,210.431 23,303,720 9.28
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 December 31, 1999
(Unaudited)
<CAPTION>
Morgan Stanley Dean
Witter Charter Welton L.P.
Percent of
December 1, 1999
Beginning
Amount Net Asset Value
$ %
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized 1,168,394 5.64
Net change in unrealized 538,183 2.60
Total Trading Results 1,706,577 8.24
Interest Income (DWR) 83,547 0.40
Total Revenues 1,790,124 8.64
EXPENSES
Brokerage fees (DWR) 120,848 0.58
Management fees 34,528 0.17
Total Expenses 155,376 0.75
NET INCOME 1,634,748 7.89
Morgan Stanley Dean Witter Charter Series
Statements of Changes in Net Asset Value
For the Month Ended December 31, 1999
(Unaudited)
Morgan Stanley Dean Witter Charter Welton L.P.
Units Amount Per Unit
$ $
<S> <C> <C> <C>
Net Asset Value,
Decmeber 1, 1999 2,502,824.748 20,716,823 8.28
Net Income - 1,634,748 0.65
Redemptions (24,931.074) (222,634) 8.93
Subscriptions 106,206.497 948,424 8.93
Net Asset Value,
December 31, 1999 2,584,100.171 23,077,361 8.93
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 on a daily basis and the
resulting net change in unrealized gains and losses is reflected in the
change in unrealized profits (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 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 Agreements.
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.
