UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
[X] Quarterly report pursuant to Section 13 or 15 (d) of the
Securities Exchange Act of 1934
For the Period ended September 30, 1995 or
[ ] Transition report pursuant to Section 13 or 15 (d) of the
Securities Exchange Act of 1934
For the transition period from to
Commission File No. 0-12431
COLUMBIA FUTURES FUND
(Exact name of registrant as specified in its charter)
New York 13-3103617
(State or other jurisdiction of (I.R.S. Employer
Incorporation or organization) Identification No.)
c/o Demeter Management Corp.
Two World Trade Center, New York, NY 62 Fl. 10048
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (212) 392-5454
(Former name, former address, and former fiscal year, if changed
since last report)
Indicate by check mark whether the registrant (1) has filed all
reports required to be filed by Section 13 or 15(d) of the
Securities Exchange Act of 1934 during the preceding 12 months (or
for such shorter period that the registrant was required to file
such reports), and (2) has been subject to such filing requirements
for the past 90 days.
Yes X No
<PAGE>
<TABLE>
COLUMBIA FUTURES FUND
INDEX TO QUARTERLY REPORT ON FORM 10-Q
September 30, 1995
PART I. FINANCIAL INFORMATION
Item 1. Financial Statements
<S> <C>
Statements of Financial Condition
September 30, 1995 (Unaudited) and December 31, 1994.....2
Statements of Operations for the Quarters Ended
September 30, 1995 and 1994 (Unaudited)..................3
Statements of Operations for the Nine Months Ended
September 30, 1995 and 1994 (Unaudited)..................4
Statements of Changes in Partners' Capital for
the Nine Months Ended September 30, 1995 and 1994
(Unaudited)..............................................5
Statements of Cash Flows for the Nine Months Ended
September 30, 1995 and 1994 (Unaudited)..................6
Notes to Financial Statements.........................7-11
Item 2. Management's Discussion and Analysis
of Financial Condition and Results of
Operations........................................12-18
PART II. OTHER INFORMATION
Item 6. Exhibits and Reports on Form 8-K..................... 19
<PAGE>
COLUMBIA FUTURES FUND
STATEMENTS OF FINANCIAL CONDITION
</TABLE>
<TABLE>
<CAPTION>
September 30, December 31,
1995 1994
(Unaudited)
ASSETS
<S> <C> <C>
Equity in commodity futures trading accounts:
Cash $ 7,331,828 $ 5,633,843
Net unrealized gain on open contracts 65,166 1,033,911
Total Trading Equity 7,396,994 6,667,754
Interest receivable from DWR 26,916 26,786
Due from DWR 3,530 -
Total Assets $ 7,427,440 $ 6,694,540
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable $ 69,574 $ 65,027
Accrued administrative expenses 55,151 6,752
Accrued management fees 24,436 22,150
Accrued brokerage commissions (DWR) 15,970 19,300
Other liabilities 1,229 1,364
Total Liabilities 166,360 114,593
Partners' Capital
Limited Partners (3,970.213 and
4,251.065 Units, respectively) 7,082,684 6,428,721
General Partner (100 Units) 178,396 151,226
Total Partners' Capital 7,261,080 6,579,947
Total Liabilities and Partners' Capital $ 7,427,440 $ 6,694,540
NET ASSET VALUE PER UNIT $ 1,783.96 $ 1,512.26
The accompanying footnotes are an integral part
of these financial statements.
/TABLE
<PAGE>
COLUMBIA FUTURES FUND
STATEMENTS OF OPERATIONS
(Unaudited)
<TABLE>
For the Quarters Ended September 30,
1995 1994
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized $ (256,013) $ 158,779
Net change in unrealized (301,017) (695,797)
Total Trading Results (557,030) (537,018)
Interest Income (DWR) 86,885 70,791
Total Revenues (470,145) (466,227)
EXPENSES
Brokerage commissions (DWR) 93,038 94,869
Management fees 75,565 72,908
Administrative expenses 36,000 18,000
Transaction fees and costs 7,369 7,455
Total Expenses 211,972 193,232
NET LOSS $ (682,117) $ (659,459)
Limited Partners (665,626) (645,085)
General Partner (16,491) (14,374)
$ (682,117) $ (659,459)
NET LOSS PER UNIT
Limited Partners $ (164.91) $ (143.74)
General Partner $ (164.91) $ (143.74)
The accompanying footnotes are an integral part
of these financial statements.
/TABLE
<PAGE>
COLUMBIA FUTURES FUND
STATEMENTS OF OPERATIONS
(Unaudited)
<TABLE>
<CAPTION>
For the Nine Months Ended September 30,
1995 1994
REVENUES
<S>
Trading profit (loss): <C> <C>
Realized $ 2,634,598 $ 1,271,314
Net change in unrealized (968,745) (870,104)
Total Trading Results 1,665,853 401,210
Interest Income (DWR) 265,462 181,528
Total Revenues 1,931,315 582,738
EXPENSES
Brokerage commissions (DWR) 282,288 316,136
Management fees 231,927 226,271
Incentive fees 115,562 78,504
Administrative expenses 84,000 48,000
Transaction fees and costs 23,014 25,396
Total Expenses 736,791 694,307
NET INCOME (LOSS) $ 1,194,524 $ (111,569)
Limited Partners 1,167,354 (120,546)
General Partner 27,170 8,977
$ 1,194,524 $ (111,569)
NET INCOME (LOSS) PER UNIT
Limited Partners $ 271.70 $ (26.40)
General Partner $ 271.70 $ (26.40)
The accompanying footnotes are an integral part
of these financial statements.
/TABLE
<PAGE>
COLUMBIA FUTURES FUND
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
For the Nine Months Ended September 30, 1995 and 1994
(Unaudited)
<TABLE>
<CAPTION>
Units of
Partnership Limited General
Interest Partners Partner Total
<S> <C> <C>
Partners' Capital
December 31, 1993 $4,860.614 $7,479,264 $319,283 $7,798,547
Net Income (Loss) - (120,546) 8,977 (111,569)
Redemptions (408.556) (490,976) (170,455) (661,431)
Partners' Capital
September 30, 1994 4,452.058 $6,867,742 $157,805 $7,025,547
Partner's Capital
December 31, 1994 4,351.065 $6,428,721 $151,226 $6,579,947
Net Income - 1,167,354 27,170 1,194,524
Redemptions (280.852) (513,391) - (513,391)
Partners' Capital
September 30, 1995 4,070.213 $7,082,684 $178,396 $7,261,080
The accompanying footnotes are an integral part
of these financial statements.
/TABLE
<PAGE>
COLUMBIA FUTURES FUND
STATEMENTS OF CASH FLOWS
(Unaudited)
<TABLE>
<CAPTION>
For the Nine Months Ended September 30,
1995 1994
CASH FLOWS FROM OPERATING ACTIVITIES
<S> <C> <C>
Net income (loss) $ 1,194,524 $ (111,569)
Noncash item included in net income (loss):
Net change in unrealized 968,745 870,104
Increase in operating assets:
Interest receivable from DWR (130) (6,717)
Due from DWR (3,530) -
Increase (decrease) in operating liabilities:
Accrued administrative expenses 48,399 (47,131)
Accrued management fees 2,286 (2,595)
Accrued brokerage commissions (DWR) (3,330) (1,020)
Accrued incentive fees - (58,253)
Other liabilities (135) (132)
Net cash provided by operating activities 2,206,829 642,687
CASH FLOWS FROM FINANCING ACTIVITIES
Increase in redemptions payable 4,547 52,595
Redemptions of units (513,391) (661,431)
Net cash used for financing activities (508,844) (608,836)
Net increase in cash 1,697,985 33,851
Balance at beginning of period 5,633,843 6,705,536
Balance at end of period $ 7,331,828 $ 6,739,387
The accompanying footnotes are an integral part
of these financial statements.
/TABLE
<PAGE>
COLUMBIA FUTURES FUND
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
The financial statements include, in the opinion of management, all
adjustments necessary for a fair presentation of the results of
operations and financial condition. The financial statements and
condensed notes herein should be read in conjunction with the
Partnership's December 31, 1994 Annual Report on Form 10-K.
1. Organization
Columbia Futures Fund (the "Partnership") is a limited partnership
organized to engage in the speculative trading of commodity futures
and forward contracts on foreign currencies.
The General Partner for each Partnership is Demeter Management
Corporation (the "General Partner"). The commodity broker is Dean
Witter Reynolds Inc. ("DWR").
The General Partner is required to maintain a 1% minimum interest
in the equity of the Partnership and income (losses) are shared by
the General and Limited Partners based upon their proportional
ownership interest.
2. Summary of Significant Accounting Policies
Net Income (Loss) per Unit - Net income (loss) per unit was
computed using the weighted average number of units outstanding
during the period.
Equity in Commodity Futures Trading Accounts - The Partnership's
asset "Equity in Commodity Futures Trading Accounts" consists of
cash on deposit at DWR to be used as margin for trading and the net
asset or liability related to unrealized gains or losses on open
contracts. The asset or liability related to the unrealized gains
or losses on forward contracts is presented as a net amount because
the Partnership has a master netting agreement with DWR.
3. Trading Advisor
The trading advisor who makes all trading decisions for the
Partnership is John W. Henry & Co., Inc.
4. Related Party Transactions
Both the General Partner and DWR are wholly owned subsidiaries of
Dean Witter, Discover & Co. The Partnership's cash is on deposit
with DWR in commodity trading accounts to meet margin requirements
as needed. DWR pays interest on these funds based on current 13-
week U.S. Treasury Bill rates. Brokerage expenses incurred by the
Partnership are paid to DWR.
5. Off-Balance Sheet Risk
The Partnership trades futures and forward contracts in interest
rates, stock indices, commodities, currencies, petroleum and
precious metals. Futures and forwards represent contracts for
delayed delivery of an instrument at a specified date and price.
Risk arises from changes in the value of these contracts and the
potential inability of counterparties to perform under the terms of
the contracts. There are numerous factors which may significantly
influence the market value of these contracts, including interest
rate volatility. At September 30, 1995, open contracts were:
<TABLE>
<CAPTION>
Contract or
Notional Amount
<S> <C>
Exchange Traded Contracts:
Financial Futures:
Commitments to Purchase $9,919,000
Commitments to Sell $2,942,000
Commodity Futures:
Commitments to Purchase $7,717,000
Commitments to Sell $2,630,000
Foreign Futures:
Commitments to Purchase $8,362,000
Commitments to Sell $2,271,000
Off Exchange Traded Contracts:
Forward Currency Contracts:
Commitments to Purchase $8,605,000
Commitments to Sell $9,530,000
</TABLE>
A portion of the amounts indicated as off-balance sheet risk in
forward currency contracts is due to offsetting forward commitments
to purchase and to sell the same currency on the same date in the
future. These commitments are economically offsetting, but are not
offset in the forward market until the settlement date.
The unrealized gains and losses on open contracts is reported as a
component of "Equity in Commodity Futures Trading Accounts" on the
Statement of Financial Condition and totaled $65,166 at September
30, 1995. Of the $65,166 net unrealized gain on open contracts as
of September 30, 1995, $221,896 related to exchange traded futures
contracts and $(156,730) related to off-exchange traded forward
currency contracts.
Exchange Traded Futures Contracts held by the Partnership at
September 30, 1995 mature through September 1996. Off Exchange
Traded Forward Currency Contracts held by the Partnership at
September 30, 1995 mature through October 1995.
The contract amounts in the above table represent the Partnership's
extent of involvement in the particular class of financial
instrument, but not the credit risk associated with counterparty
nonperformance. The credit risk associated with these statements
is limited to the amounts reflected in the Partnership's Statements
of Financial Condition.
The Partnership also has credit risk because the sole counterparty,
with respect to most of the Partnership's assets, is DWR. Exchange
traded futures contracts are marked to market on a daily basis,
with variations in value credited or charged to the Fund's account
on a daily basis. DWR, as the futures commission merchant for all
of the Partnership's exchange traded futures contracts, is required
pursuant to regulations of the Commodity Futures Trading Commission
to segregate from its own assets and for the sole benefit of its
commodity customers all funds held by DWR with respect to exchange
traded futures contracts including an amount equal to the net
unrealized gain on all open futures contracts, which funds totalled
$7,553,724 at September 30, 1995. With respect to the
Partnership's off-exchange traded foreign currency forward
contracts, there are no daily settlements of variations in value.
<PAGE>
Item 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION
AND RESULTS OF OPERATIONS
Liquidity - The Partnership's assets are deposited in separate
commodity trading accounts with DWR, and are used by the
Partnership as margin to engage in trading commodity futures
contracts and forward contracts on foreign currency. DWR holds
such assets in either designated depositories or in securities
approved by the Commodity Futures Trading Commission for investment
of customer funds. The Partnership's assets held by DWR may be
used as margin solely for the Partnership's trading. Since the
Partnership's sole purpose is to trade in commodity futures
contracts and forward contracts on foreign currency, it is expected
that the Partnership will continue to own such liquid assets for
margin purposes.
The Partnership's investments in commodity futures contracts and
other commodity interests may be illiquid. If the price for a
futures contract for a particular commodity has increased or
decreased by an amount equal to the "daily limit," positions in the
commodity can neither be taken nor liquidated unless traders are
willing to effect trades at or within the limit. Commodity futures
prices have occasionally moved the daily limit for several
consecutive days with little or no trading. Such market conditions
could prevent the Partnership from promptly liquidating its
commodity futures positions.
There is no limitation on daily price moves in trading of forward
contracts on foreign currency. The markets for some world
currencies have low trading volume and are illiquid, which may
prevent the Partnership from trading in potentially profitable
markets or prevent the Partnership from promptly liquidating
unfavorable positions in such markets and subjecting it to
substantial losses. Either of these market conditions could result
in restrictions on redemptions.
Market Risk. The Partnership trades futures, options and forward
contracts in interest rates, stock indices, commodities and
currencies. In entering into these contracts there exists a risk
to the Partnership (market risk) that such contracts may be
significantly influenced by market conditions, such as interest
rate volatility, resulting in such contracts being less valuable.
If the markets should move against all of the futures interest
positions held by the Partnership at the same time, and if the
Trading Advisor was unable to offset futures interest positions of
the Partnership, the Partnership could lose all of its assets. The
Partnership has established Trading Policies for liquidity and
leverage which help control market risk. Both the Trading Advisor
and the General Partner monitor the Partnership's trading
activities on a daily basis to ensure compliance with the Trading
Policies. The General Partner may (under terms of the Management
Agreement) override the trading instructions of the Trading Advisor
to the extent necessary to comply with the Partnership's Trading
Policies.
Credit Risk. In addition to market risk, the Partnership is
subject to credit risk in that a counterparty may not be able to
meet its obligations to the Partnership. The counterparty of the
Partnership for futures contracts traded in the United States and
most foreign exchanges on which the Partnership trades is the
clearinghouse associated with such exchange. In general,
clearinghouses are backed by the membership of the exchange and
will act in the event of non-performance by one of its members or
one of its members' customers, and as such, should significantly
reduce this credit risk. In cases where the Partnership trades on
exchanges where the clearinghouse is not backed by the membership
or when the Partnership enters into off-exchange contracts with a
counterparty, the sole recourse of the Partnership will be the
clearinghouse or the counterparty as the case may be. With respect
to futures contracts, DWR, in its business as an international
commodity broker, constantly monitors the creditworthiness of the
exchanges and clearing members of the foreign exchanges with which
it does business for clients, including the Partnership. If DWR
believes that there was a problem with the credit-worthiness of an
exchange on which the Partnership deals, it would so advise the
General Partner. With respect to forward contract trading, the
Partnership trades with only those counterparties which the General
Partner, together with DWR, have determined to be creditworthy. As
set forth in the Partnership's Trading Policies, in determining
credit-worthiness, the General Partner and DWR consult with the
Corporate Credit Department of DWR. Currently, the Partnership
deals solely with DWR as its counterparty on forward contracts.
While DWR and the General Partner monitor creditworthiness and risk
involved in dealing on the various exchanges and with
counterparties, there can be no assurance that an exchange or
counterparty will be able to meet its obligations to the
Partnership.
Capital Resources. The Partnership does not have, nor does it
expect to have, any capital assets. Redemptions of units will
impact the amount of funds available for investments in commodity
futures contracts and other commodity interests. As redemptions
are at the discretion of Limited Partners, it is not possible to
estimate the amount and therefore, the impact of future
redemptions.
Results of Operations
For the Quarter and Nine Months Ended September 30, 1995
For the quarter ended September 30, 1995, the Partnership's total
trading losses net of interest income were $470,145. During the
third quarter, the Partnership posted a loss in Net Asset Value per
Unit. The most significant trading losses were recorded in
financial futures as global interest rate futures prices
experienced choppiness throughout the quarter. As a result of this
price volatility, losses were experienced in U.S. Treasury bond,
Treasury note and eurodollar futures, as well as in British,
Australian and Japanese interest rate futures. Additional losses
were recorded in soft commodities trading as a result of trendless
movement in sugar and coffee prices during the quarter. Smaller
losses were recorded in the metals, energy and agricultural markets
as prices in each of these sectors moved in a trendless pattern for
most of the quarter. Trading gains from transactions involving the
Japanese yen were recorded during all three months of the quarter
as a downward trend in the value of the Japanese yen relative to
the U.S. dollar was evident until late September. These gains
offset losses experienced due to a sharp reversal in European
currency values during late September. Total expenses for the
quarter were $211,972, resulting in a net loss of $682,117. The
value of an individual Unit in the Partnership decreased from
$1,948.87 at June 30, 1995 to $1,783.96 at September 30, 1995.
For the nine months ended September 30, 1995, the Partnership's
total trading revenues including interest income were $1,931,315.
During the first three quarters of the year, the Partnership posted
a gain in Net Asset Value per Unit. The most significant trading
gains were recorded in the currency markets as a result of trending
movement in the value of the Japanese yen versus the U.S. dollar in
the first nine months of the year and major European currencies
during February and March. Gains were also recorded in the
financial futures markets as global interest rate futures prices
trended higher during the first and second quarters of 1995.
Smaller gains were recorded in Japanese stock index trading as
Nikkei index futures prices declined the first half of the year.
Trading losses were recorded in the agricultural, metals and soft
commodities markets as a result of short-term price volatility
across a majority of the markets in these sectors during most of
the year. Smaller losses were recorded in crude oil as losses
recorded during the third quarter more than offset gains recorded
in this market earlier in the year. Total expenses for the period
- 16 -
were $736,791, resulting in net income of $1,194,524. The value of
an individual Unit in the Partnership increased from $1,512.26 at
December 31, 1994 to $1,783.96 at September 30, 1995.
For the Quarter and Nine Months Ended September 30, 1994
For the quarter ended September 30, 1994, the Partnership's total
trading losses net of interest income were $466,227. During the
third quarter, the Partnership posted a loss in Net Asset Value per
Unit. The most significant trading losses were recorded in the
financial markets as a result of overall trendless price movement
in U.S. and European interest rate futures during July and August.
Additional trading losses were recorded from transactions involving
crude oil throughout the quarter. Smaller losses were recorded in
the metals and currency markets from trading precious metals and
the Japanese yen during this three month period. Trading gains
recorded in the international and agricultural markets from trading
coffee, cotton, soybean products and corn futures offset a portion
of overall losses for the Partnership during the quarter. Total
expenses for the quarter were $193,232, resulting in a net loss of
$659,459. The value of an individual Unit in the Partnership
decreased from $1,721.78 at June 30, 1994 to $1,578.04 at September
30, 1994.
For the nine months ended September 30, 1994, the Partnership's
total trading revenues including interest income were $582,738.
During the first nine months, the Partnership posted a loss in Net
Asset Value per Unit. The most significant trading losses were
recorded from trading in the agricultural, financial and metals
- 17 -
markets. The majority of these losses were recorded from trading
soybean products in the first quarter and U.S. and European
interest rate futures during the third quarter. Additionally,
losses experienced in the metals markets were attributable to
trading precious metals in the second and third quarter. Trading
gains in the first half of the year as a result of an increase in
coffee prices offset a portion of overall net losses during this
period for the Partnership. Total expenses for the period were
$694,307, resulting in a net loss of $111,569. The value of an
individual Unit in the Partnership decreased from $1,604.44 at
December 31, 1993 to $1,578.04 at September 30, 1994.<PAGE>
PART II. OTHER INFORMATION
Item 6. EXHIBITS AND REPORTS ON FORM 8-K
(A) Exhibits - None.
(B) Reports on Form 8-K - None.<PAGE>
SIGNATURE
Pursuant to the requirements of the Securities Exchange Act of 1934,
the Registrant has duly caused this report to be signed on its behalf
by the undersigned, thereunto duly authorized.
Columbia Futures Fund L.P.
(Registrant)
By: Demeter Management Corporation
(General Partner)
November 13, 1995 By:/s/Patti L. Behnke
Patti L. Behnke
Chief Financial Officer
The General Partner which signed the above is the only party
authorized to act for the Registrant. The Registrant has no principal
executive officer, principal financial officer, controller, or
principal accounting officer and has no Board of Directors.
<TABLE> <S> <C>
<ARTICLE> 5
<LEGEND>The schedule contains summary financial information
extracted from Columbia Futures Fund and is qualified in its
entirety by references to such financial instruments.
<CIK> 0000701286
<NAME> Columbia Futures Fund
<S> <C>
<PERIOD-TYPE> 9-MOS
<FISCAL-YEAR-END> SEP-30-1995
<PERIOD-END> SEP-30-1995
<CASH> 7,331,828
<SECURITIES> 0
<RECEIVABLES> 30,446
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 7,427,440<F1>
<CURRENT-LIABILITIES> 0
<BONDS> 0
<COMMON> 0
0
0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 7,427,440<F2>
<SALES> 0
<TOTAL-REVENUES> 1,931,315<F3>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 736,791
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 1,194,524
<INCOME-TAX> 0
<INCOME-CONTINUING> 1,194,524
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 1,194,524
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
<FN>
<F1>In addition to cash and receivables, total assets include net unrealized
gain on open contracts of $65,166.
<F2>Liabilities include redemptions payable of $69,574, other liabilities of
$1,229, accrued management fees of $24,436 and accrued administrative
expense payable of $55,161.
<F3>Total revenues includes realized trading revenue of $2,634,598, net
change in unrealized of ($968,745) and interest income of $265,462.
</FN>
</TABLE>
