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 March 31, 1997 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)
Delaware 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
March 31, 1997
<CAPTION>
PART I. FINANCIAL INFORMATION
<S> <C>
Item 1. Financial Statements
Statements of Financial Condition
March 31, 1997 (Unaudited) and December 31, 1996........2
Statements of Operations for the Quarters Ended
March 31, 1997 and 1996 (Unaudited).....................3
Statements of Changes in Partners' Capital for
the Quarters Ended March 31, 1997 and 1996
(Unaudited).............................................4
Statements of Cash Flows for the Quarters Ended
March 31, 1997 and 1996 (Unaudited).....................5
Notes to Financial Statements (Unaudited)............6-11
Item 2. Management's Discussion and Analysis
of Financial Condition and Results of
Operations.......................................12-16
PART II. OTHER INFORMATION
Item 1. Legal Proceedings................................17-18
Item 6. Exhibits and Reports on Form 8-K............ 19
</TABLE>
<PAGE>
<TABLE>
COLUMBIA FUTURES FUND
STATEMENTS OF FINANCIAL CONDITION
<CAPTION>
March 31, December 31,
1997 1996
$ $
(Unaudited)
ASSETS
<S> <C> <C>
Equity in Commodity futures trading
accounts:
Cash 8,377,335 8,233,513
Net unrealized gain on open
contracts 489,738 365,976
Total Trading Equity 8,867,073 8,599,489
Interest receivable (DWR) 31,672 28,574
Total Assets 8,898,745 8,628,063
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable 82,257 23,091
Administrative expenses payable 78,867 67,548
Incentive fee payable 75,961 150,103
Accrued management fee 29,255 28,381
Accrued brokerage commissions (DWR) 13,211 16,631
Accrued transaction fees and costs 977 1,324
Total Liabilities 280,528 287,078
Partners' Capital
Limited Partners (3,406.811 and
3,512.282 Units, respectively) 8,372,460 8,110,079
General Partner (100 Units) 245,757 230,906
Total Partners' Capital 8,618,217 8,340,985
Total Liabilities and Partners' Capital 8,898,745 8,628,063
NET ASSET VALUE PER UNIT 2,457.57 2,309.06
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 March 31,
1997 1996
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized 585,978 127,160
Net change in unrealized 123,762 (323,054)
Total Trading Results 709,740 (195,894)
Interest Income (DWR) 89,551 76,178
Total Revenues 799,291 (119,716)
EXPENSES
Management fee 87,001 74,339
Brokerage commissions (DWR) 79,357 99,425
Incentive fees 76,966 -
Administrative expenses 17,000 15,000
Transaction fees and costs 6,571 8,168
Total Expenses 266,895 196,932
NET INCOME (LOSS) 532,396 (316,648)
NET INCOME (LOSS) ALLOCATION
Limited Partners 517,545 (308,603)
General Partner 14,851 (8,045)
NET INCOME (LOSS) PER UNIT
Limited Partners 148.51 (80.44)
General Partner 148.51 (80.44)
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 Quarters Ended March 31, 1997 and 1996
(Unaudited)
<CAPTION>
Units of
Partnership Limited General
Interest Partners Partner Total
<S> <C> <C> <C> <C>
Partners' Capital,
December 31, 1995 3,964.982 $7,493,781 $193,889 $7,687,670
Net Loss - (308,603) (8,045) (316,648)
Redemptions (97.015) (182,615) - (182,615)
Partners' Capital,
March 31, 1996 3,867.967 $7,002,563 $185,844 $7,188,407
Partner's Capital,
December 31, 1996 3,612.282 $8,110,079 $230,906 $8,340,985
Net Income - 517,545 14,851 532,396
Redemptions (105.471) (255,164) - (255,164)
Partners' Capital,
March 31, 1997 3,506.811 $8,372,460 $245,757 $8,618,217
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 Quarters Ended March 31,
1997 1996
$ $
CASH FLOWS FROM OPERATING ACTIVITIES
<S> <C> <C>
Net income (loss) 532,396 (316,648)
Noncash item included in net income (loss):
Net change in unrealized (123,762) 323,054
(Increase) decrease in operating assets:
Interest receivable (DWR) (3,098) 2,462
Due from DWR - (6,154)
Increase (decrease) in operating liabilities:
Administrative expenses payable 11,319 11,565
Incentive fee payable (74,142) -
Accrued management fees 874 (1,666)
Accrued brokerage commissions (DWR) (3,420) 432
Accrued transaction fees and costs (347) 49
Net cash provided by operating activities 339,820 13,094
CASH FLOWS FROM FINANCING ACTIVITIES
Increase (decrease) in redemptions payable 59,166 (205)
Redemptions of units (255,164) (182,615)
Net cash used for financing activities (195,998) (182,820)
Net increase (decrease) in cash 143,822 (169,726)
Balance at beginning of period 8,233,513 7,028,474
Balance at end of period 8,377,335 6,858,748
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, 1996 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 ("Demeter"). The commodity broker is Dean Witter
Reynolds Inc. ("DWR"). The trading manager who makes all trading
decisions for the Partnership is John W. Henry & Company, Inc.
("JWH"). Both Demeter and DWR are wholly owned subsidiaries of
Dean Witter, Discover & Co. ("DWD").
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
<PAGE>
COLUMBIA FUTURES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
on these funds based on current 13-week U.S. Treasury Bill rates.
Brokerage expenses incurred by the Partnership are paid to DWR.
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 March 31, 1997 and
December 31, 1996, open contracts were:
Contract or Notional Amount
March 31, 1997 December 31, 1996
$ $
Exchange-Traded Contracts
Financial Futures:
Commitments to Purchase - 5,890,000
Commitments to Sell 12,605,000 5,281,000
Commodity Futures:
Commitments to Purchase 5,414,000 1,723,000
Commitments to Sell 1,884,000 5,004,000
Foreign Futures:
Commitments to Purchase 339,000 3,327,000
Commitments to Sell 4,829,000 4,040,000
Off-Exchange-Traded
Forward Currency Contracts
Commitments to Purchase 8,680,000 9,367,000
Commitments to Sell 10,642,000 6,091,000
<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 net 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 $489,738 and
$365,976 at March 31, 1997 and December 31, 1996, respectively.
Of the $489,738, net unrealized gain on open contracts at March
31, 1997 $478,696 related to exchange traded futures contracts
and $11,042 related to off-exchange-traded forward currency
contracts. Of the $365,976 net unrealized gain on open contracts
at December 31, 1996 $381,231 related to exchange-traded futures
contracts and $(15,255) related to off-exchange-traded forward
currency contracts.
Exchange-traded futures contracts held by the Partnership at
March 31, 1997 and December 31, 1996, mature through March 1998
and September 1997, respectively. Off-exchange-traded-forward
<PAGE>
COLUMBIA FUTURES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
currency contracts held by the Partnership at March 31, 1997 and
December 31, 1996, mature through June 1997 and March 1997,
respectively. 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 non-performance. The credit risk associated with
these instruments is limited to the amounts reflected in the
Partnership's Statements of Financial Condition.
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 gains
on all open futures contracts, which funds totaled $8,856,031 and
$8,614,744 at March
<PAGE>
COLUMBIA FUTURES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
31, 1997 and December 31, 1996, respectively. 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 sole
counterparty on all of such contracts, to perform.
For the quarter ended March 31, 1997 and the year ended December
31, 1996, the average fair value of financial instruments held
for trading purposes was as follows:
March 1997
Assets Liabilities
$ $
Exchange-Traded Contracts
Financial Futures 1,472,000 10,536,000
Commodity Futures 3,695,000 3,165,000
Foreign Futures 5,228,000 2,434,000
Off-Exchange-Traded Forward
Currency Contracts 11,871,000 13,384,000
<PAGE>
COLUMBIA FUTURES FUND
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
December 1996
Assets Liabilities
$ $
Exchange-Traded Contracts:
Financial Futures 7,988,000 9,207,000
Commodity Futures 6,451,000 5,433,000
Foreign Futures 8,788,000 3,870,000
Off-Exchange-Traded Forward
Currency Contracts 13,160,000 15,230,000
<PAGE>
Item 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS
Liquidity - The Partnership's assets are on deposit in separate
commodity interest trading accounts with DWR, and are used by the
Partnership as margin to engage in trading commodity futures and
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 contracts,
forward contracts and other commodity interests may be illiquid.
If the price of the 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
<PAGE>
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.
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 Limited
Partners, it is not possible to estimate the amount and
therefore, the impact of future redemptions.
<PAGE>
Results of Operations
For the Quarter Ended March 31, 1997
For the quarter ended March 31, 1997, the Partnership's total
trading revenues including interest income were $799,291. During
the first quarter, the Partnership posted an increase in Net
Asset Value per Unit. The most significant gains were recorded
in the currency markets as the value of the U.S. dollar
strengthened relative to the Japanese yen and Singapore dollar
during a majority of the quarter. Additional currency gains were
recorded during January and February from short positions in most
major European currencies as the U.S. dollar also trended higher
versus these currencies. Gains were also recorded in soft
commodities from long coffee futures positions as prices trended
higher during January and February. In agricultural futures
trading, profits were recorded from long soybean meal and corn
futures positions as prices in these markets trended higher
during March. Smaller gains were recorded in metals from short
gold futures positions during January, as gold prices declined to
their lowest levels in over three years, and from long copper
futures positions, as prices in this market moved higher during
February. Gains for the quarter were partially offset by losses
recorded in the energy markets as crude oil prices moved in a
short-term volatile pattern during
<PAGE>
January and March. Smaller losses were recorded in financial
futures trading due to trendless price movement in most global
interest rate futures during the quarter. Total expenses for the
quarter were $266,895, generating net income of $532,396. The
value of an individual Unit in the Partnership increased from
$2,309.06 at December 31, 1996 to $2,457.57 at March 31, 1997.
For the Quarter Ended March 31, 1996
For the quarter ended March 31, 1996 the Partnership's total
trading losses net of interest income were $119,716. During the
first quarter, the Partnership posted a decrease in Net Asset
Value per Unit. The most significant trading losses were
recorded in the energy markets as a result of a reversal in oil
prices during January which was followed by choppy price movement
during February. These losses were partially offset by gains
from long positions in crude oil futures as crude oil prices
moved higher in March. In soft commodities, losses were recorded
in January and February as cotton prices moved without consistent
direction. However, a portion of these losses was offset by
gains recorded from sugar and cotton futures trading during
March. Smaller losses were recorded in the metals and
agricultural markets as base metals and soybean futures prices
moved in a trendless pattern throughout the quarter. Trading
gains were experienced in the currency markets as short Japanese
yen, Swiss franc and German
<PAGE>
mark positions profited in January as the value of the U.S.
dollar moved higher relative to most world currencies.
Additional gains were experienced in March from long Australian
dollar positions, as well as from transactions involving the
Japanese yen. Losses recorded in February due to a sharp
reversal upward in the value of the Japanese yen and most
European currencies resulted in losses which offset a portion of
the Fund's overall currency gains for the quarter. In the
financial futures markets, gains were recorded in January from
long global interest rate and stock index futures positions as
prices in these markets trended higher. Smaller gains were
recorded during March from short U.S. interest rate futures
positions as U.S. bond futures prices moved lower. These gains
more than offset losses recorded in February as a result of a
sharp reversal experienced in the previous upward trend in global
interest rate futures prices and in March from global stock index
and non-U.S. interest rate futures trading. Total expenses for
the quarter were $196,932, resulting in a net loss of $316,648.
The value of an individual Unit in the Partnership decreased from
$1,938.89 at December 1995 to $1,858.45 at March 31, 1996.
<PAGE>
PART II. OTHER INFORMATION
Item 1. LEGAL PROCEEDINGS
On September 6, 10, and 20, 1996, and on March 13, 1997, similar
purported class actions were filed in the Superior Court of the
State of California, County of Los Angeles, on behalf of all
purchasers of interests in limited partnership commodity pools
sold by DWR. Named defendants include DWR, Demeter, Dean Witter
Futures & Currency Management, Inc., DWD (all such parties
referred to hereafter as the "Dean Witter Parties"), certain
limited partnership commodity pools of which Demeter is the
general partner, and certain trading advisors (including JWH) to
those pools. Similar purported class actions were also filed on
September 18 and 20, 1996 in the Supreme Court of the State of
New York, New York County, and on November 14, 1996 in the
Superior Court of the State of Delaware, New Castle County,
against the Dean Witter Parties and certain trading advisors
(including JWH) on behalf of all purchasers of interests in
various limited partnership commodity pools sold by DWR.
Generally, these complaints allege, among other things, that the
defendants committed fraud, deceit, misrepresentation, breach of
fiduciary duty, fraudulent and unfair business practices, unjust
enrichment, and conversion in connection with the sale and
operation of the various limited partnership commodity pools.
The complaints seek unspecified amounts of compensatory and
punitive damages and other
<PAGE>
relief. It is possible that additional similar actions may be
filed and that, in the course of these actions, other parties
could be added as defendants. The Dean Witter Parties believe
that they have strong defenses to, and they will vigorously
contest, the actions. Although the ultimate outcome of legal
proceedings cannot be predicted with certainty, it is the opinion
of management of the Dean Witter Parties that the resolution of
the actions will not have a material adverse effect on the
financial condition or the results of operations of any of the
Dean Witter Parties.
<PAGE>
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)
May 9, 1997 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>
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)
May 7, 1997 By:
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 financial information extracted from Columbia
Futures Fund and is qualified in its entirety by reference to such
financial instruments.
</LEGEND>
<S> <C>
<PERIOD-TYPE> 3-MOS
<FISCAL-YEAR-END> MAR-31-1997
<PERIOD-END> MAR-31-1997
<CASH> 8,377,335
<SECURITIES> 0
<RECEIVABLES> 31,672<F1>
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 8,898,745<F2>
<CURRENT-LIABILITIES> 0
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 8,898,745<F3>
<SALES> 0
<TOTAL-REVENUES> 799,291<F4>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 266,895
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 532,396
<INCOME-TAX> 0
<INCOME-CONTINUING> 532,396
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 532,396
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
<FN>
<F1>Receivables include interest receivable of $31,672.
<F2>In addition to cash and receivables, total assets include net unrealized
gain on open contracts of $489,738.
<F3>Liabilities include redemptions payable of $82,257, accrued brokerage
commissions of $13,211, accrued management fees of $29,255, administrative
expenses payable of $78,867, accrued transaction fees and costs of
$977 and incentive fee payable of $75,961.
<F4>Total revenues include realized trading revenue of $585,978, net change
in unrealized of $123,762 and interest income of $89,551.
</FN>
</TABLE>
