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 quarterly period ended June 30, 1998 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 Corporation
Two World Trade Center, 62 Fl., New York, NY 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, 1998
<CAPTION>
PART I. FINANCIAL INFORMATION
<S> <C>
Item 1. Financial Statements
Statements of Financial Condition
June 30, 1998 (Unaudited) and December 31, 1997..........2
Statements of Operations for the Quarters Ended
June 30, 1998 and 1997 (Unaudited).......................3
Statements of Operations for the Six Months Ended
June 30, 1998 and 1997 (Unaudited).......................4
Statements of Changes in Partners' Capital for
the Six Months Ended June 30, 1998 and 1997
(Unaudited)..............................................5
Statements of Cash Flows for the Six Months Ended
June 30, 1998 and 1997 (Unaudited).......................6
Notes to Financial Statements (Unaudited).............7-12
Item 2. Management's Discussion and Analysis
of Financial Condition and Results of
Operations........................................13-18
PART II. OTHER INFORMATION
Item 1. Legal Proceedings....................................19
Item 6. Exhibits and Reports on Form 8-K.....................20
</TABLE>
<PAGE>
<TABLE>
PART I. FINANCIAL INFORMATION
ITEM 1. Financial Statements
COLUMBIA FUTURES FUND
STATEMENTS OF FINANCIAL CONDITION
<CAPTION>
June 30, December 31,
1998 1997
$ $
(Unaudited)
ASSETS
<S> <C> <C>
Equity in Commodity futures trading accounts:
Cash 9,605,164 9,092,300
Net unrealized gain on open contracts 838,777 611,751
Total Trading Equity 10,443,941 9,704,051
Interest receivable (DWR) 33,259 33,770
Total Assets 10,477,200 9,737,821
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Incentive fee payable 133,846 173,722
Redemptions payable 109,177 14,155
Administrative expenses payable 78,171 56,762
Accrued management fees 34,548 32,163
Total Liabilities 355,742 276,802
Partners' Capital
Limited Partners (3,144.735 and
3,242.046 Units, respectively) 9,809,523 9,177,928
General Partner (100 Units) 311,935 283,091
Total Partners' Capital 10,121,458 9,461,019
Total Liabilities and Partners' Capital 10,477,200 9,73
7,821
NET ASSET VALUE PER UNIT 3,119.35 2,830.91
<FN>
The accompanying notes 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,
1998 1997
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized 1,089,276 (295,122)
Net change in unrealized 536,180 (156,466)
Total Trading Results 1,625,456 (451,588)
Interest Income (DWR) 94,107 86,452
Total Revenues 1,719,563 (365,136)
EXPENSES
Incentive fees 133,846 -
Management fees 94,535 82,184
Brokerage commissions (DWR) 87,666 96,435
Administrative expenses 12,000 15,000
Transaction fees and costs 5,474 8,927
Total Expenses 333,521 202,546
NET INCOME (LOSS) 1,386,042 (567,682)
NET INCOME (LOSS) ALLOCATION
Limited Partners 1,343,783 (551,359)
General Partner 42,259 (16,323)
NET INCOME (LOSS) PER UNIT
Limited Partners 422.59 (163.23)
General Partner 422.59 (163.23)
<FN>
The accompanying notes 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,
1998 1997
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized 1,048,948 290,856
Net change in unrealized 227,026 (32,703)
Total Trading Results 1,275,974 258,153
Interest Income (DWR) 189,531 176,003
Total Revenues 1,465,505 434,156
EXPENSES
Management fees 185,779 169,185
Brokerage commissions (DWR) 164,273 175,792
Incentive fees 133,846 76,966
Administrative expenses 32,000 32,000
Transaction fees and costs 11,255 15,499
Total Expenses 527,153 469,442
NET INCOME (LOSS) 938,352 (35,286)
NET INCOME (LOSS) ALLOCATION
Limited Partners 909,508 (33,814)
General Partner 28,844 (1,472)
NET INCOME (LOSS) PER UNIT
Limited Partners 288.44 (14.72)
General Partner 288.44 (14.72)
<FN>
The accompanying notes 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, 1998 and 1997
(Unaudited)
<CAPTION>
Units of
Partnership Limited General
Interest Partners Partner Total
<S> <C> <C> <C>
<C>
Partner's Capital,
December 31, 1996 3,612.282 $8,110,079 $230,906 $8,340,985
Net Loss - (33,814) (1,472) (35,28
6)
Redemptions (163.341) (392,647) -
(392,647)
Partners' Capital,
June 30, 1997 3,448.941 $7,683,618 $229,434 $7,91
3,052
Partner's Capital,
December 31, 1997 3,342.046 $9,177,928 $283,091 $9,461,019
Net Income - 909,508 28,844 938,352
Redemptions (97.311) (277,913) -
(277,913)
Partners' Capital,
June 30, 1998 3,244.735 $9,809,523 $311,935 $10,
121,458
<FN>
The accompanying notes 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,
1998 1997
$ $
CASH FLOWS FROM OPERATING ACTIVITIES
<S> <C> <C>
Net income (loss) 938,352 (35,286)
Noncash item included in net income (loss):
Net change in unrealized (227,026) 32,703
(Increase) decrease in operating assets:
Interest receivable (DWR) 511 1,937
Due from DWR - (8,558)
Increase (decrease) in operating liabilities:
Incentive fee payable (39,876) (150,103)
Administrative expenses payable 21,409 3,586
Accrued management fees 2,385 (1,924)
Accrued brokerage commissions (DWR)- 11,214
Accrued transaction fees and costs - 832
Net cash provided by (used for) operating activities 695,755
(145,599)
CASH FLOWS FROM FINANCING ACTIVITIES
Increase in redemptions payable 95,022 1,089
Redemptions of units (277,913) (392,647)
Net cash used for financing activities (182,891)(391,558)
Net increase (decrease) in cash 512,864 (537,157)
Balance at beginning of period 9,092,300 8,233,513
Balance at end of period 9,605,164 7,696,356
<FN>
The accompanying notes 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 of Columbia Futures Fund
(the "Partnership"). The financial statements and condensed
notes herein should be read in conjunction with the Partnership's
December 31, 1997 Annual Report on Form 10-K.
1. Organization
Columbia Futures Fund 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 is Demeter Management
Corporation ("Demeter"). The non-clearing commodity broker is
Dean Witter Reynolds Inc. ("DWR"), with an unaffiliated clearing
commodity broker, Carr Futures Inc. ("Carr"), providing clearing
and execution services. Both Demeter and DWR are wholly-owned
subsidiaries of Morgan Stanley Dean Witter & Co. ("MSDW"). The
trading manager who makes all trading decisions for the
Partnership is John W. Henry & Company, Inc. ("JWH").
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.
<PAGE>
COLUMBIA FUTURES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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 and currencies. 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, 1998 and December 31, 1997, open
contracts were:
Contract or Notional Amount
June 30, 1998 December 31, 1997
$ $
Exchange-Traded Contracts
Financial Futures:
Commitments to Purchase 8,020,000 8,412,000
Commitments to Sell - 3,094,000
Commodity Futures:
Commitments to Purchase 310,000 1,948,000
Commitments to Sell 3,720,000 3,352,000
Foreign Futures:
Commitments to Purchase 9,630,000 3,862,000
Commitments to Sell 4,180,000 4,056,000
Off-Exchange-Traded
Forward Currency Contracts
Commitments to Purchase 17,514,000 6,966,000
Commitments to Sell 34,417,000 20,155,000
<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 gains on open contracts are reported as a
component of "Equity in Commodity futures trading accounts" on
the Statements of Financial Condition and totaled $838,777 and
$611,751 at June 30, 1998 and December 31, 1997, respectively.
Of the $838,777 net unrealized gain on open contracts at June 30,
1998, $155,652 related to exchange-traded futures contracts and
$683,125 related to off-exchange-traded forward currency
contracts.
Of the $611,751 net unrealized gain on open contracts at December
31, 1997, $424,057 related to exchange-traded futures contracts
and $187,694 related to off-exchange-traded forward currency
contracts.
Exchange-traded futures contracts held by the Partnership at June
30, 1998 and December 31, 1997 mature through June 1999 and
<PAGE>
COLUMBIA FUTURES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 1998, respectively. Off-exchange-traded forward cur-
rency contracts held by the Partnership at June 30, 1998 and
December 31, 1997 mature through September 1998 and March 1998,
respectively.
The contract amounts in the above table represent the
Partnership's extent of involvement in a 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 and Carr act as
the futures commission merchants or the counterparties, 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. Each of DWR and
Carr, as a futures commission merchant for the Partnership's
exchange-traded futures contracts, is required, pursuant to
regulations of the Commodity Futures Trading Commission ("CFTC"),
to segregate from their own assets, and for the sole benefit of
their commodity customers, all funds held by them with respect to
exchange-traded futures contracts, including an amount equal to
<PAGE>
COLUMBIA FUTURES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
the net unrealized gain on all open futures contracts, which
funds, in the aggregate, totaled $9,760,816 and $9,516,357 at
June 30, 1998 and December 31, 1997, 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 such contracts, to perform. Carr's parent,
Credit Agricole Indosuez, has guaranteed to the Partnership
payment of the net liquidating value of the transactions in the
Partnership's account with Carr (including foreign currency
contracts).
For the six months ended June 30, 1998 and the year ended
December 31, 1997, the average fair value of financial
instruments held for trading purposes was as follows:
June 30, 1998
Assets Liabilities
$ $
Exchange-Traded Contracts:
Financial Futures 5,246,000 3,554,000
Commodity Futures 1,168,000 3,497,000
Foreign Futures 6,354,000 2,605,000
Off-Exchange-Traded Forward
Currency Contracts 20,084,000 30,368,000
<PAGE>
COLUMBIA FUTURES FUND
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
December 31, 1997
Assets Liabilities
$ $
Exchange-Traded Contracts:
Financial Futures 7,750,000 6,950,000
Commodity Futures 4,075,000 3,836,000
Foreign Futures 5,415,000 2,274,000
Off-Exchange-Traded Forward
Currency Contracts 14,901,000 19,757,000
<PAGE>
Item 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS
Liquidity - The Partnership's assets are deposited with DWR, as
non-clearing broker and with Carr, as clearing broker in separate
futures interest trading accounts, and are used by the
Partnership as margin to engage in futures interest trading.
Such assets are held in either non-interest bearing bank accounts
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 investment in futures interests may be
illiquid. If the price of 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 and
result in restrictions on redemptions.
There is no limitation on daily price moves in trading forward
contracts on foreign currencies. The markets for some world
currencies have low trading volume and are illiquid, which may
<PAGE>
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 exchanges of
Units of Limited Partnership Interest in the future will affect
the amount of funds available for investment in futures interests
in subsequent periods. Since they are at the discretion of the
Limited Partners, it is not possible to estimate the amount and
therefore, the impact of future redemptions and exchanges of
Units.
Results of Operations
For the Quarter and Six Months Ended June 30, 1998
For the quarter ended June 30, 1998, the Partnership recorded
total trading revenues including interest income of $1,719,563
and posted an increase in Net Asset Value per Unit. The most
significant gains resulted from trading in the currency markets
primarily from short positions in the South African rand as the
value of this currency trended sharply lower versus the U.S.
dollar during May and June, despite intervention by that
country's central bank late in the quarter. Smaller gains were
recorded from short Japanese yen positions as the value of the
yen reached a seven and a half year low relative to the U.S.
dollar in May. Short yen positions produced additional profits
during June
<PAGE>
despite a sharp reversal in the value of the yen during mid-month
as a result of coordinated intervention by the U.S. and Japanese
governments to halt the downward slide of the yen. Additional
gains were recorded in traditional commodities from short coffee
and crude oil futures positions as prices in these markets moved
lower throughout a majority of the quarter. In the agricultural
markets, gains were recorded from short positions in corn and
wheat futures as prices in these markets also moved lower during
April and May thereby mitigating losses incurred during June as
prices spiked higher. A portion of these gains was offset by
losses recorded in the metals markets from trading gold and
copper futures. Smaller losses were recorded in the financial
futures markets from long positions in French and German interest
rate futures as European bond prices reversed lower in April
after trending higher during the first quarter. Total expenses
for the three months ended June 30, 1998 were $333,521,
generating net income of $1,386,042. The value of an individual
Unit in the Partnership increased from $2,696.76 at March 31,
1998 to $3,119.35 at June 30, 1998.
For the six months ended June 30, 1998, the Partnership recorded
trading revenues including interest income of $1,465,505 and
posted an increase in Net Asset Value per Unit. The most
significant trading gains were recorded in the currency markets
from short South African rand positions as its value trended
significantly lower versus the U.S. dollar throughout the second
quarter. Additional gains were recorded in the energy markets
from short crude oil futures positions as oil prices moved lower
<PAGE>
throughout a majority of the first quarter despite a potential
conflict in the Persian Gulf during February. Short crude oil
futures positions continued to profit as oil prices moved lower
throughout a greater part of the second quarter following a spike
higher during late March. Smaller gains were produced in the
soft commodities markets from short coffee futures positions as
coffee prices moved lower during the first half of the year. A
portion of the Fund's overall gains was offset by losses
experienced in the metals markets from trading gold futures as
gold prices moved without consistent direction during the first
quarter. Additional losses were recorded in the financial
futures markets from trading Nikkei Index futures during January
and March. Smaller losses were experienced in the agricultural
markets from short corn futures positions as prices moved higher
in January, March and June. Total expenses for the six months
ended June 30, 1998 were $527,153, generating net income of
$938,352. The value of an individual Unit in the partnership
increased from $2,830.91 at December 31, 1997 to $3,119.35 at
June 30, 1998.
For the Quarter and Six Months Ended June 30, 1997
For the quarter ended June 30, 1997, the Partnership recorded
total trading losses net of interest income of $365,136 and
posted a decrease in Net Asset Value per Unit. Losses were
recorded in the energy markets as crude oil prices moved without
consistent direction during the quarter. In currencies, losses
were recorded from short Japanese yen positions as its value
reversed sharply higher relative to the U.S. dollar, after
trending lower during a
<PAGE>
majority of the first quarter. Smaller currency losses were
recorded from transactions involving the Singapore dollar during
May and June. In financial futures, trendless price movement in
Japanese government bond futures during a majority of the quarter
also resulted in losses. A portion of these losses was offset by
gains from long positions in Australian bond futures and global
stock index futures as prices in these markets trended higher
during May and June. In metals, profits were recorded from short
gold futures positions as gold prices moved lower during June.
Additional gains recorded from long coffee futures positions
during April and May and from short positions in agricultural
futures during June. Total expenses for the three months ended
June 30, 1997 were $202,546, resulting in a net loss of $567,682.
The value of an individual Unit in the Partnership decreased from
$2,457.57 at March 31, 1997 to $2,294.34 at June 30, 1997.
For the six months ended June 30, 1997, the Partnership recorded
total trading revenues including interest income of $434,156 and
posted a decrease in Net Asset Value per Unit, after expenses.
Net trading losses were recorded in energy futures trading as
crude oil prices moved in a choppy pattern throughout most of the
first six months of the year. Smaller losses were recorded due to
trendless price movement in Japanese government bond futures
during the second quarter. Losses were also recorded in European
and U.S. interest rate futures trading during the first quarter
as prices in these markets moved in a similar pattern. These
losses were partially offset by currency gains recorded during
the first quarter as the value of the U.S. dollar strengthened
relative to
<PAGE>
most other major currencies. Additional gains were recorded in
soft commodities as long coffee futures positions profited from
an upward trend during January and February, as well as during
April and May. Smaller gains in metals from short gold futures
positions, as gold prices declined during January and June,
contributed in offsetting a portion of overall Partnership
losses. Total expenses for the six months ended June 30, 1997
were $469,442, resulting in a net loss of $35,286. The value of
an individual Unit in the Partnership decreased from $2,309.06 at
December 31, 1996 to $2,294.34 at June 30, 1997.
<PAGE>
PART II. OTHER INFORMATION
Item 1. LEGAL PROCEEDINGS
Previously reported. See Form 10-Q for the quarter ended March
31, 1998.
<PAGE>
Item 6. EXHIBITS AND REPORTS ON FORM 8-K
Reports on Form 8-K - No such reports have been
filed for the quarter ended June 30, 1998.
<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
(Registrant)
By: Demeter Management Corporation
(General Partner)
August 12, 1998 By:/s/ Lewis A. Raibley, III
Lewis A. Raibley, III
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 to reference to such
financial statements.
</LEGEND>
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1998
<PERIOD-END> JUN-30-1998
<CASH> 9,605,164
<SECURITIES> 0
<RECEIVABLES> 33,259<F1>
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 10,477,200<F2>
<CURRENT-LIABILITIES> 0
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 10,477,200<F3>
<SALES> 0
<TOTAL-REVENUES> 1,465,505<F4>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 527,153
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 938,352
<INCOME-TAX> 0
<INCOME-CONTINUING> 938,352
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 938,352
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
<FN>
<F1>Receivables include interest receivable of $33,259.
<F2>In addition to cash and receivables, total assets include net unrealized
gain on open contracts of $838,777.
<F3>Liabilities include redemptions payable of $109,177, accrued management
fees of $34,548, administrative expenses payable of $78,171 and incentive
fee payable of $133,846.
<F4>Total revenue includes realized trading revenue of $1,048,948, net change
in unrealized of $227,026 and interest income of $189,531.
</FN>
</TABLE>
