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 June 30, 1996 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
June 30, 1996
<CAPTION>
PART I. FINANCIAL INFORMATION
<S> <C>
Item 1. Financial Statements
Statements of Financial Condition
June 30, 1996 (Unaudited) and December 31, 1995..........2
Statements of Operations for the Quarters Ended
June 30, 1996 and 1995 (Unaudited).......................3
Statements of Operations for the Six Months Ended
June 30, 1996 and 1995 (Unaudited).......................4
Statements of Changes in Partners' Capital for
the Six Months Ended June 30, 1996 and 1995
(Unaudited)..............................................5
Statements of Cash Flows for the Six Months Ended
June 30, 1996 and 1995 (Unaudited).......................6
Notes to Financial Statements (Unaudited).............7-11
Item 2. Management's Discussion and Analysis
of Financial Condition and Results of
Operations........................................12-17
PART II. OTHER INFORMATION
Item 6. Exhibits and Reports on Form 8-K..................... 18
/TABLE
<PAGE>
<TABLE>
COLUMBIA FUTURES FUND
STATEMENTS OF FINANCIAL CONDITION
<CAPTION>
June 30, December 31,
1996 1995
$ $
(Unaudited)
ASSETS
<S> <C> <C>
Equity in Commodity futures trading accounts:
Cash 6,883,294 7,028,474
Net unrealized gain on open contracts 503,299 836,228
Total Trading Equity 7,386,593 7,864,702
Interest receivable (DWR) 25,079 27,436
Due from DWR 4,915 -
Total Assets 7,416,587 7,892,138
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Administrative expenses payable 63,919 96,611
Redemptions payable 40,650 59,640
Accrued brokerage commissions (DWR) 24,843 20,693
Accrued management fees 24,338 25,825
Accrued transaction fees and costs 1,953 1,699
Total Liabilities 155,703 204,468
Partners' Capital
Limited Partners (3,689.577 and
3,864.982 Units, respectively) 7,069,283 7,493,781
General Partner (100 Units) 191,601 193,889
Total Partners' Capital 7,260,884 7,687,670
Total Liabilities and Partners' Capital 7,416,587 7,892,138
NET ASSET VALUE PER UNIT 1,916.01 1,938.89
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
COLUMBIA FUTURES FUND
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Quarters Ended June 30,
1996 1995
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized 353,139 1,581,260
Net change in unrealized (9,876) (1,236,976)
Total Trading Results 343,263 344,284
Interest Income (DWR) 77,046 97,495
Total Revenues 420,309 441,779
EXPENSES
Brokerage commissions (DWR) 101,801 80,997
Management fees 72,952 83,830
Administrative expenses 16,000 27,000
Transaction fees and costs 7,806 7,716
Incentive fees - 21,203
Total Expenses 198,559 220,746
NET INCOME 221,750 221,033
NET INCOME ALLOCATION
Limited Partners 215,993 215,866
General Partner 5,757 5,167
NET INCOME PER UNIT
Limited Partners 57.56 51.67
General Partner 57.56 51.67
<FN>
The accompanying footnotes are an integral part
of these financial statements.
/TABLE
<PAGE>
<TABLE>
COLUMBIA FUTURES FUND
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Six Months Ended June 30,
1996 1995
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized 480,299 2,890,610
Net change in unrealized (332,929) (667,727)
Total Trading Results 147,370 2,222,883
Interest Income (DWR) 153,224 178,577
Total Revenues 300,594 2,401,460
EXPENSES
Brokerage commissions (DWR) 201,226 189,250
Management fees 147,291 156,362
Administrative expenses 31,000 48,000
Transaction fees and costs 15,975 15,645
Incentive fees - 115,562
Total Expenses 395,492 524,819
NET INCOME (LOSS) (94,898) 1,876,641
NET INCOME (LOSS) ALLOCATION
Limited Partners (92,610) 1,832,980
General Partner (2,288) 43,661
NET INCOME (LOSS) PER UNIT
Limited Partners 22.88 436.61
General Partner 22.88 436.61
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
COLUMBIA FUTURES FUND
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
For the Six Months Ended June 30, 1996 and 1995
(Unaudited)
<CAPTION>
Units of
Partnership Limited General
Interest Partners Partner Total
<S> <C> <C> <C> <C>
Partner's Capital
December 31, 1994 4,351.065 $6,428,721 $151,226 $6,579,947
Net Income - 1,832,980 43,661 1,876,641
Redemptions (194.666) (356,309) - (356,309)
Partners' Capital
June 30, 1995 4,156.399 $7,905,392 $194,887 $8,100,279
Partners' Capital
December 31, 1995 3,964.982 $7,493,781 $193,889 $7,687,670
Net Loss - (92,610) (2,288) (94,898)
Redemptions (175.405) (331,888) - (331,888)
Partners' Capital
June 30, 1996 3,789.577 7,069,283 191,601 7,260,884
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
COLUMBIA FUTURES FUND
STATEMENTS OF CASH FLOWS
(Unaudited)
<CAPTION>
For the Six Months Ended June 30,
1996 1995
$ $
CASH FLOWS FROM OPERATING ACTIVITIES
<S> <C> <C>
Net income (loss) (94,898) 1,876,641
Noncash item included in net income (loss):
Net change in unrealized 332,929 667,727
(Increase) decrease in operating assets:
Interest receivable (DWR) 2,357 (3,906)
Due from DWR (4,915) (2,840)
Increase (decrease) in operating liabilities:
Accrued brokerage commissions (DWR) 4,150 (5,201)
Accrued management fees (1,487) 5,249
Accrued incentive fees - 21,203
Other liabilities (32,438) 15,759
Net cash provided by operating activities 205,698 2,574,632
CASH FLOWS FROM FINANCING ACTIVITIES
Increase (decrease) in redemptions payable (18,990) 33,335
Redemptions of units (331,888) (356,309)
Net cash used for financing activities (350,878) (322,974)
Net increase (decrease) in cash (145,180) 2,251,658
Balance at beginning of period 7,028,474 5,633,843
Balance at end of period 6,883,294 7,885,501
<FN>
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, 1995 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 the Partnership is Demeter Management Corporation (the "General
Partner"). The commodity broker is Dean Witter Reynolds Inc.
("DWR"). The trading advisor who makes all trading decisions for
the Partnership is John W. Henry & Co., Inc. Both the General
Partner and DWR are wholly owned subsidiaries of Dean Witter,
Discover & Co.
2. Related Party Transactions
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.
<PAGE>
COLUMBIA FUTURES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
3. Financial Instruments
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 June 30, 1996, open contracts were:
Contract or
Notional Amount
$
Exchange-Traded Contracts
Financial Futures:
Commitments to Purchase 3,782,000
Commitments to Sell 16,020,000
Commodity Futures:
Commitments to Purchase 8,088,000
Commitments to Sell 4,148,000
Foreign Futures:
Commitments to Purchase 7,476,000
Commitments to Sell 4,931,000
Off-Exchange-Traded Forward
Currency Contracts
Commitments to Purchase 8,082,000
Commitments to Sell 10,718,000
<PAGE>
COLUMBIA FUTURES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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 gain on open contracts is reported as a component of
"Equity in Commodity futures trading accounts" on the Statement of
Financial Condition and totaled $503,299 at June 30, 1996. Of this
amount, $443,537 related to exchange-traded futures contracts and
$59,762 related to off-exchange-traded forward currency contracts.
Exchange-traded futures contracts held by the Partnership at June
30, 1996 mature through June 1997. Off-exchange-traded forward
currency contracts held by the Partnership at June 30, 1996 mature
through September 1996. 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.
<PAGE>
COLUMBIA FUTURES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
The Partnership also has credit risk because DWR acts as the
futures commission merchant or the sole counterparty, with respect
to most of the Partnership's assets. Exchange-traded futures
contracts are marked to market on a daily basis, with variations in
value settled 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 totaled $7,326,831 at June 30, 1996. With
respect to the Partnership's off-exchange-traded forward currency
contracts, there are no daily settlements of variations in value
nor is there any requirement that an amount equal to the net
unrealized gain on open forward contracts be segregated. With
respect to those off-exchange-traded forward currency contracts,
the Partnership is at risk to the ability of DWR, the counterparty
on all such contracts, to perform.
<PAGE>
COLUMBIA FUTURES FUND
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
For the quarter ended June 30, 1996, the average fair value of
financial instruments held for trading purposes was as follows:
Assets Liabilities
$ $
Exchange-Traded Contracts:
Financial Futures 4,475,000 11,282,000
Commodity Futures 9,785,000 2,599,000
Foreign Futures 6,692,000 4,021,000
Off-Exchange-Traded Forward
Currency Contracts 11,456,000 15,290,000
4. Subsequent Event
Effective September 1, 1996, maximum total brokerage commissions
and transaction fees chargeable to the Partnership will be capped
at .65% per month of adjusted Net Assets as defined in the Limited
Partnership Agreement.
<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, forward contracts on foreign currency and other
commodity interest trading. 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, forward contracts on
foreign currency and other commodity interest trading, it is
expected that the Partnership will continue to own such liquid
assets for margin purposes.
The Partnership's investments in commodity futures, forward
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.
<PAGE>
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.
Capital Resources - The Partnership does not have, nor does it
expect to have, any capital assets. Redemptions of additional
Units in the future will impact the amount of funds available for
investments in commodity futures contracts and other commodity
interests. As redemptions are at the discretion of the Limited
Partners, it is not possible to estimate the amount and therefore,
the impact of future redemptions.
Results of Operations
For the Quarter and Six Months Ended June 30, 1996
For the quarter ended June 30, 1996, the Partnership's total
trading revenues including interest income were $420,309. During
the second quarter, the Partnership posted an increase in Net Asset
Value per Unit. The most significant trading gains during the
quarter were recorded in the currency markets as a decline in the
value of the German mark and Swiss franc relative to the U.S.
dollar resulted in profits for short German mark and Swiss franc
positions during April. Smaller gains were experienced from
transactions involving the Japanese yen during May and June. In
<PAGE>
the metals markets, gains were recorded from short gold, silver,
copper and aluminum futures positions during June as prices in
these markets moved lower. Trading gains recorded in the
agricultural markets in April and May from long corn futures
positions, added to the overall Fund gains for the quarter. In
soft commodities, gains recorded in May and June from trading sugar
futures more than offset losses in coffee, cotton and cocoa.
Trading losses were recorded throughout the quarter in the
financial futures markets from trendless price movement in global
interest rate and stock index futures. A reversal lower in crude
oil prices during May resulted in losses for the Fund's previously
established long positions, thus offsetting a portion of overall
Fund gains for the fiscal quarter. Total expenses for the quarter
were $198,559, resulting in net income of $221,750. The value of
an individual Unit in the Partnership increased from $1,858.45 at
March 31, 1996 to $1,916.01 at June 30, 1996.
For the six months ended June 30, 1996, the Partnership's total
trading revenues including interest income were $300,594. During
the first half of the year, the Partnership posted a decrease in
Net Asset Value per Unit. The most significant trading losses were
recorded in the financial futures and energy markets. In the
financial futures markets, losses were experienced in non-U.S.
interest rate and stock index futures trading during February and
throughout the second quarter. Gains experienced from short U.S.
interest rate positions between March and May offset a portion of
these losses. In the energy markets, losses were recorded in crude
oil futures as a result of a reversal in oil prices during January,
<PAGE>
which was followed by choppy price movement during February. A
second reversal in oil prices during May resulted in additional
losses for the Fund in soft commodities, losses from trading coffee
and cotton futures more than offset gains experienced in sugar
futures trading. Gains were recorded in the currency markets from
short Swiss franc positions during January and April, as well as
from transactions involving the Japanese yen during January and
March. Smaller gains were experienced from transactions involving
the Australian dollar during March and May and the German mark
during January and April. In the metals markets, gains recorded in
copper, gold and aluminum futures also helped to mitigate overall
Fund losses for the first half of the year. In the agricultural
markets, profits recorded from long corn futures positions during
April and May more than offset losses experienced in soybean
products as a result of trendless price movement throughout the
first quarter. Total expenses for the period were $395,492,
resulting in a net loss of $94,898. The value of an individual
Unit in the Partnership decreased from $1,938.89 at December 31,
1995 to $1,916.01 at June 30, 1996.
For the Quarter and Six Months Ended June 30, 1995
For the quarter ended June 30, 1995, the Partnership's total
trading revenues including interest income were $441,779. During
the second quarter, the Partnership posted an increase in Net Asset
Value per Unit. The majority of the gains recorded by the
Partnership were the result of gains recorded during April in the
financial markets as a result of trading global interest rate
futures. Smaller gains were recorded in the energy and soft
<PAGE>
commodities markets during June. Trading losses recorded in the
agricultural markets throughout the quarter and in the energy
markets in May offset a portion of overall gains recorded by the
Partnership for the quarter. Additionally, losses recorded from
trading in the currency markets from transactions involving
European currencies during May and June more than offset currency
gains recorded in April from transactions involving the Japanese
yen. Total expenses for the quarter were $220,746, resulting in
net income of $221,033. The value of an individual Unit in the
Partnership increased from $1,897.20 at March 31, 1995 to $1,948.87
at June 30, 1995.
For the six months ended June 30, 1995, the Partnership's total
trading revenues including interest income were $2,401,460. During
the first six months, the Partnership posted an increase in Net
Asset Value per Unit. The most significant trading gains were
recorded in the currency markets as a result of the decrease in
value of the U.S. dollar versus the Japanese yen and major European
currencies during February and March. Gains were also recorded in
the financial futures markets as a result of trading U.S. interest
rate futures, as well as Japanese bond and Nikkei stock index
futures during the first and second quarters of 1995. Additional
trading gains were recorded from transactions involving crude oil
in March and June and cotton in January and February. Trading
losses in soybean products, precious metals, coffee and sugar
offset a portion of overall gains for the Partnership during the
first half of the year. Total expenses for the period were
<PAGE>
$524,819, resulting in net income of $1,876,641. The value of an
individual Unit in the Partnership increased from $1,512.26 at
December 31, 1994 to $1,948.87 at June 30, 1995.
<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)
August 12, 1996 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.
<PAGE>
<TABLE> <S> <C>
<ARTICLE> 5
<LEGEND>
The schedule contains financial information extracted from Columbia
Futures Fund and is qualified in its entirety by references to such
financial instruments.
</LEGEND>
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> JUN-30-1996
<PERIOD-END> JUN-30-1996
<CASH> 6,883,294
<SECURITIES> 0
<RECEIVABLES> 29,994<F1>
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 7,416,587<F2>
<CURRENT-LIABILITIES> 0
<BONDS> 0
<COMMON> 0
0
0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 7,416,587<F3>
<SALES> 0
<TOTAL-REVENUES> 300,594<F4>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 395,492
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> (94,898)
<INCOME-TAX> 0
<INCOME-CONTINUING> (94,898)
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (94,898)
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
<FN>
<F1>Receivables include interest receivable of $25,079 and due from DWR of
$4,915.
<F2>In addition to cash and receivables, total assets include net unrealized
gain on open contracts of $503,299.
<F3>Liabilities include redemptions payable of $40,650, accrued brokerage
commissions of $24,843, accrued management fees of $24,338, administrative
expenses payable of $63,919 and accrued transaction fees and costs of
$1,953.
<F4>Total revenues includes realized trading revenue of $480,299, net change
in unrealized of $(332,929) and interest income of $153,224.
</FN>
</TABLE>
