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, 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)
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, 1997
<CAPTION>
PART I. FINANCIAL INFORMATION
<S> <C>
Item 1. Financial Statements
Statements of Financial Condition
September 30, 1997 (Unaudited) and December 31, 1996.....2
Statements of Operations for the Quarters Ended
September 30, 1997 and 1996 (Unaudited)..................3
Statements of Operations for the Nine Months Ended
September 30, 1997 and 1996 (Unaudited)..................4
Statements of Changes in Partners' Capital for
the Nine Months Ended September 30, 1997 and 1996
(Unaudited)..............................................5
Statements of Cash Flows for the Nine Months Ended
September 30, 1997 and 1996 (Unaudited)..................6
Notes to Financial Statements.........................7-11
Item 2. Management's Discussion and Analysis
of Financial Condition and Results of
Operations........................................12-17
PART II. OTHER INFORMATION
Item 1. Legal Proceedings.................................18-19
Item 5. Other Information....................................19
Item 6. Exhibits and Reports on Form 8-K.....................20
</TABLE>
<PAGE>
<TABLE>
COLUMBIA FUTURES FUND
STATEMENTS OF FINANCIAL CONDITION
<CAPTION>
September 30, December 31,
1997 1996
$ $
(Unaudited)
ASSETS
<S> <C> <C>
Equity in commodity futures trading accounts:
Cash 8,021,882 8,233,513
Net unrealized gain on open contracts 429,405 365,976
Total Trading Equity 8,451,287 8,599,489
Interest receivable (DWR) 28,295 28,574
Due from DWR 6,819 -
Total Assets 8,486,401 8,628,063
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Accrued administrative expenses 72,652 67,548
Redemptions payable 68,911 23,091
Accrued management fees 27,897 28,381
Accrued brokerage commissions (DWR) 15,597 16,631
Accrued transaction fees and costs 1,239 1,324
Incentive fee payable - 150,103
Total Liabilities 186,296 287,078
Partners' Capital
Limited Partners (3,272.512 and
3,512.282 Units, respectively) 8,053,995 8,110,079
General Partner (100 Units) 246,110 230,906
Total Partners' Capital 8,300,105 8,340,985
Total Liabilities and Partners' Capital 8,486,401 8,628,063
NET ASSET VALUE PER UNIT 2,461.10 2,309.06
<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 September 30,
1997 1996
$ $
<S> <C> <C>
REVENUES
Trading profit (loss):
Realized 597,244 (203,695)
Net change in unrealized 96,132 511,860
Total Trading Results 693,376 308,165
Interest Income (DWR) 87,640 76,106
Total Revenues 781,016 384,271
EXPENSES
Brokerage commissions (DWR) 95,299 104,940
Management fees 84,390 71,164
Administrative expenses 17,000 20,000
Transaction fees and costs 8,690 9,414
Total Expenses 205,379 205,518
NET INCOME 575,637 178,753
NET INCOME ALLOCATION
Limited Partners 558,961 173,821
General Partner 16,676 4,932
NET INCOME PER UNIT
Limited Partners 166.76 49.32
General Partner 166.76 49.32
<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 Nine Months Ended September 30,
1997 1996
$ $
<S> <C> <C>
REVENUES
Trading profit:
Realized 888,100 276,604
Net change in unrealized 63,429 178,932
Total Trading Results 951,529 455,536
Interest Income (DWR) 263,643 229,331
Total Revenues 1,215,172 684,867
EXPENSES
Brokerage commissions (DWR) 271,090 306,166
Management fees 253,574 218,456
Incentive fees 76,969 -
Administrative expenses 49,000 51,000
Transaction fees and costs 24,188 25,390
Total Expenses 674,821 601,012
NET INCOME 540,351 83,855
NET INCOME ALLOCATION
Limited Partners 525,147 81,211
General Partner 15,204 2,644
NET INCOME PER UNIT
Limited Partners 152.04 26.44
General Partner 152.04 26.44
<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 Nine Months Ended September 30, 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 Income - 81,211 2,644 83,855
Redemptions (300.700) (569,990) - (569,990)
Partners' Capital
September 30, 1996 3,664.282 $7,005,002 $196,533 $7,201,535
Partner's Capital
December 31, 1996 3,612.282 $8,110,079 $230,906 $8,340,985
Net Income - 525,147 15,204 540,351
Redemptions (239.770) (581,231) - (581,231)
Partners' Capital
September 30, 1997 3,372.512 $8,053,995 $246,110 $8,300,105
<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 Nine Months Ended September 30,
1997 1996
$ $
CASH FLOWS FROM OPERATING ACTIVITIES
<S> <C> <C>
Net income 540,351 83,855
Noncash item included in net income:
Net change in unrealized (63,429) (178,932)
(Increase) decrease in operating assets:
Interest receivable (DWR) 279 2,947
Due from DWR (6,819) (23,800)
Increase (decrease) in operating liabilities:
Accrued administrative expenses 5,104 (27,688)
Accrued management fees (484) (1,519)
Accrued brokerage commissions (DWR) (1,034) 9,026
Accrued transaction fees and costs (85) 758
Incentive fee payable (150,103) -
Net cash provided by (used for) operating activities 323,780 (135,353)
CASH FLOWS FROM FINANCING ACTIVITIES
Increase in redemptions payable 45,820 30,765
Redemptions of units (581,231) (569,990)
Net cash used for financing activities (535,411) (539,225)
Net decrease in cash (211,631) (674,578)
Balance at beginning of period 8,233,513 7,028,474
Balance at end of period 8,021,882 6,353,896
<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, 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
(collectively, "futures interests"). The general partner for the
Partnership is Demeter Management Corporation ("Demeter"). The
commodity broker for most of the partnership's transactions 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 Morgan Stanley, Dean Witter, Discover & Co.
("MSDWD").
On July 31, 1997, DWR closed the sale of its institutional
futures business and foreign currency trading operations to Carr
Futures Inc. ("Carr"), a subsidiary of Credit Agricole Indosuez.
Following the sale, Carr became the counterparty on the
Partnership's foreign currency trades. However, during a
transition period of about four months, DWR will continue to
<PAGE>
COLUMBIA FUTURES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
perform certain services relating to the Partnership's futures
trading including clearance. After such transition period, DWR
will continue to serve as a non-clearing commodity broker for the
Partnership with Carr providing all clearing services for
Partnership transactions.
2. Related Party Transactions
The Partnership's cash is on deposit with DWR and Carr 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.
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 September 30, 1997 and
December 31, 1996, open contracts were:
<PAGE>
COLUMBIA FUTURES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Contract or Notional Amount
September 30, 1997 December 31, 1996
$ $
Exchange-Traded Contracts
Financial Futures:
Commitments to Purchase 8,536,000 5,890,000
Commitments to Sell 5,174,000 5,281,000
Commodity Futures:
Commitments to Purchase 4,750,000 1,723,000
Commitments to Sell 3,208,000 5,004,000
Foreign Futures:
Commitments to Purchase 6,321,000 3,327,000
Commitments to Sell 7,000 4,040,000
Off-Exchange-Traded
Forward Currency Contracts
Commitments to Purchase 14,456,000 9,367,000
Commitments to Sell 19,708,000 6,091,000
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 gains on open contracts are reported as a
component of "Equity in Commodity futures trading accounts" on
the Statements of Financial Condition and totaled $429,405 and
$365,976 at September 30, 1997 and December 31, 1996,
respectively. Of the $429,405 net unrealized gain on open
contracts at September 30, 1997, $133,464 related to exchange-
traded futures contracts and $295,941 related to off-exchange-
<PAGE>
COLUMBIA FUTURES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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
September 30, 1997 and December 31, 1996 mature through September
1998 and September 1997, respectively. Off-exchange-traded
forward currency contracts held by the Partnership at September
30, 1997 and December 31, 1996 mature through December 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 nonperformance. 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 either DWR or Carr
acts as the futures commission merchant or the 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 ("CFTC") to segregate
from its own assets and for the sole benefit of its commodity
<PAGE>
COLUMBIA FUTURES FUND
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
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
$7,955,600 and $8,614,744 at September 30, 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 Carr, the sole counterparty on all of such
contracts, to perform. Carr's parent, Credit Agricole Indosuez,
has guaranteed Carr's obligations to the Partnership.
For the nine months ended September 30, 1997 and the year ended
December 31, 1996, the average fair value of financial
instruments held for trading purposes was as follows:
September 30, 1997
Assets Liabilities
$ $
Exchange-Traded Contracts:
Financial Futures 7,559,000 8,077,000
Commodity Futures 4,093,000 4,160,000
Foreign Futures 5,700,000 2,263,000
Off-Exchange-Traded Forward
Currency Contracts 14,033,000 18,044,000
December 31, 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 futures
interest trading accounts with DWR and Carr, and are used by the
Partnership as margin to engage in futures interest trading. DWR
and Carr hold such assets in either designated depositories or in
securities approved by the CFTC for investment of customer funds.
The Partnership's assets held by DWR and Carr may be used as
margin solely for the Partnership's trading. Since the
Partnership's sole purpose is to trade in futures interests, it
is expected that the Partnership will continue to own such liquid
assets for margin purposes.
The Partnership's investments in futures interests may, from time
to time, be illiquid. Most United States futures exchanges limit
fluctuations in certain futures interest prices during a single
day by regulations referred to as "daily price fluctuations
limits" or "daily limits". Pursuant to such regulations, during
a single trading day no trades may be executed at prices beyond
the daily limit. If the price of a particular futures interest
has increased or decreased by an amount equal to the "daily
limit", positions in such futures interest can neither be taken
nor liquidated unless traders are willing to effect trades at or
within the limit. Futures interest 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 futures interests and result in
restrictions on redemptions. However, since the commencement of
<PAGE>
trading by the Partnership, there has never been a time when
illiquidity has affected a material portion of the Partnership's
assets.
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 and sales of
additional Units of Limited Partnership Interest in the future
will affect the amount of funds available for investments in
futures interests in subsequent periods. 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 Nine Months Ended September 30, 1997
For the quarter ended September 30, 1997, the Partnership's total
trading revenues of including interest income were $781,016.
During the third quarter, the Partnership posted a gain in Net
Asset Value per Unit. Gains were recorded in the currency and
financial futures markets throughout the quarter. In currencies,
<PAGE>
gains were recorded as the value of the U.S. dollar strengthened
relative to most currencies. As a result, profits were recorded
from short positions in the Malaysian ringgit and Singapore
dollar during the quarter. Smaller gains were recorded from
trading the New Zealand dollar, German mark and French franc
during the quarter. In financial futures trading, gains were
recorded from long Japanese bond futures positions as prices in
this market moved higher during the quarter. Smaller gains were
recorded from long European bond futures positions as prices in
these markets also moved higher. Additional gains were recorded
from short Nikkei index futures positions during August. A
portion of these gains was offset by losses recorded from trading
crude oil as oil prices moved without consistent direction during
August and September. In other markets, losses were recorded
from trendless price movement in coffee futures during September
and corn futures during July and September. Total expenses for
the quarter were $205,379, resulting in net income of $575,637.
The value of an individual Unit in the Partnership increased from
$2,294.34 at June 30, 1997 to $2,461.10 at September 30, 1997.
For the nine months ended September 30, 1997, the Partnership's
total trading revenues including interest income were $1,215,171.
During the first nine months of the year, the Partnership posted
a gain in Net Asset Value per Unit. The most significant gains
were recorded in the currency markets as the value of the U.S.
dollar increased relative to most world currencies during the
first and third quarters of the year. Additional gains were
recorded in the financial futures markets from long Japanese bond
futures positions during the third quarter and from long
<PAGE>
positions in Australian bond futures during May, June, July and
September. In global stock index futures, gains were recorded
from short Nikkei index futures positions during August. In
metals, gains were recorded from short gold futures positions, as
gold prices declined during January and June. These gains were
partially offset by losses recorded in the energy markets from
trading crude oil futures as oil prices moved in a choppy pattern
throughout most of the year. Smaller losses were recorded in the
soft commodities and agricultural markets as profits during the
first half of the year from trading coffee and corn futures were
offset by losses in these same markets due to trendless price
movement during the third quarter. Total expenses for the period
were $674,820, resulting in net income of $540,351. The value of
an individual Unit in the Partnership increased from $2,309.06 at
December 31, 1996 to $2,461.10 at September 30, 1997.
For the Quarter and Nine Months Ended September 30, 1996
For the quarter ended September 30, 1996, the Partnership's total
trading revenues including interest income were $384,271. During
the third quarter, the Partnership posted an increase in Net
Asset Value per Unit. The most significant trading gains were
recorded in the energy markets from long positions in crude oil
futures as prices trended higher throughout the quarter.
Additional gains were recorded in the financial futures markets
from long Japanese, European and Australian bond futures
positions as global interest rate futures prices moved higher
between July and September. A portion of the overall gains for
the quarter was offset by losses experienced in the currency,
soft commodities and agricultural markets. In the currency
markets, losses were recorded from
<PAGE>
transactions involving the Swiss franc and the German mark as the
value of these currencies moved in a choppy pattern relative to
the U.S. dollar and other world currencies for a majority of the
quarter. In soft commodities, losses were recorded as a result
of trendless movement in coffee, cotton and sugar prices
throughout most of the quarter. In the agricultural markets,
losses were recorded as soybean and corn futures prices moved in
an inconsistent pattern for a majority of the quarter. Total
expenses for the quarter were $205,518, resulting in net income
of $178,753. The value of an individual Unit in the Partnership
increased from $1,916.01 at June 30, 1996 to $1,965.33 at
September 30, 1996.
For the nine months ended September 30, 1996, the Partnership's
total trading revenues including interest income were $684,867.
During the first nine months, the Partnership posted an increase
in Net Asset Value per Unit. The most significant 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, March and most of the third
quarter. Additional gains were recorded in the energy markets
from long crude oil futures positions as prices trended higher
throughout the third quarter. These gains more than offset
losses in crude oil futures during the first six months of the
year. In metals, gains were recorded from short aluminum and
gold futures positions as prices declined sharply during
September and June. A portion of overall gains during the first
nine months of the year was offset by losses in soft commodities
as a result of choppy price movement in coffee and cotton futures
during a majority of
<PAGE>
the first three quarters. In financial futures trading, losses
were recorded as a result of short-term volatile movement in non-
U.S. stock index futures prices during the first nine months of
the year. In interest rate futures, gains experienced during the
third quarter from long European and Australian bond futures
positions more than offset losses recorded during the first half
of the year in global interest rate futures trading. In the
agricultural markets, losses were recorded in soybean products
during the first and third quarters as soybean prices moved in a
trendless pattern. Gains in corn futures trading during April,
May and September helped to mitigate these losses. Total
expenses for the period were $601,012, resulting in net income of
$83,855. The value of an individual Unit in the Partnership
increased from $1,938.89 at December 31, 1995 to $1,965.33 at
September 30, 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., MSDWD (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. On June 16, 1997, the plaintiffs in the above
actions filed a consolidated amended complaint. 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 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
<PAGE>
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.
Item 5. OTHER INFORMATION
On July 21, 1997, MSDWD, the sole shareholder of Demeter,
appointed a new Board of Directors consisting of Richard M.
DeMartini, Mark J. Hawley, Lawrence Volpe, Joseph G. Siniscalchi,
Edward C. Oelsner III, and Robert E. Murray.
<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)
November 6, 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.
<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> 9-MOS
<FISCAL-YEAR-END> SEP-30-1997
<PERIOD-END> SEP-30-1997
<CASH> 8,021,882
<SECURITIES> 0
<RECEIVABLES> 35,114<F1>
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 8,486,401<F2>
<CURRENT-LIABILITIES> 0
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 8,486,401<F3>
<SALES> 0
<TOTAL-REVENUES> 1,215,172<F4>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 674,821
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 540,351
<INCOME-TAX> 0
<INCOME-CONTINUING> 540,351
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 540,351
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
<FN>
<F1>Receivables include interest receivable of $28,295 and due from DWR of
$6,819.
<F2>In addition to cash and receivables, total assets include net unrealized
gain on open contracts of $429,405.
<F3>Liabilities include redemptions payable of $68,911, accrued brokerage
commissions of $15,597, accrued management fees of $27,897, administrative
expenses payable of $72,652 and accrued transaction fees and costs of
$1,239.
<F4>Total revenues include realized trading revenue of $888,100, net change
in unrealized of $63,429 and interest income of $263,643.
</FN>
</TABLE>
