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, 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
March 31, 1998
<CAPTION>
PART I. FINANCIAL INFORMATION
<S> <C>
Item 1. Financial Statements
Statements of Financial Condition
March 31, 1998 (Unaudited) and December 31, 1997........2
Statements of Operations for the Quarters Ended
March 31, 1998 and 1997 (Unaudited).....................3
Statements of Changes in Partners' Capital for
the Quarters Ended March 31, 1998 and 1997
(Unaudited).............................................4
Statements of Cash Flows for the Quarters Ended
March 31, 1998 and 1997 (Unaudited).....................5
Notes to Financial Statements (Unaudited)............6-10
Item 2. Management's Discussion and Analysis
of Financial Condition and Results of
Operations.......................................11-14
PART II. OTHER INFORMATION
Item 1. Legal Proceedings................................15-16
Item 6. Exhibits and Reports on Form 8-K....................
17
</TABLE>
<PAGE>
<TABLE>
PART I. FINANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS
COLUMBIA FUTURES FUND
STATEMENTS OF FINANCIAL CONDITION
<CAPTION>
March 31, December 31,
1998 1997
$ $
(Unaudited)
ASSETS
<S> <C> <C>
Equity in Commodity futures trading accounts:
Cash 8,736,199 9,092,300
Net unrealized gain on open contracts 302,597 611,751
Total Trading Equity 9,038,796 9,704,051
Interest receivable (DWR) 31,254 33,770
Due from DWR 13,433 -
Total Assets 9,083,483 9,737,821
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Administrative expenses payable 73,868 56,762
Redemptions payable 62,692 14,155
Accrued management fees 29,932 32,163
Incentive fee payable - 173,722
Total Liabilities 166,492 276,802
Partners' Capital
Limited Partners (3,206.559 and
3,242.046 Units, respectively) 8,647,315 9,177,928
General Partner (100 Units) 269,676 283,091
Total Partners' Capital 8,916,991 9,461,019
Total Liabilities and Partners' Capital 9,083,483 9,737,821
NET ASSET VALUE PER UNIT 2,696.76 2,830.91
<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 March 31,
1998 1997
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized (40,328)
585,978
Net change in unrealized (309,154) 123,762
Total Trading Results (349,482) 709,740
Interest Income (DWR) 95,424 89,551
Total Revenues (254,058) 799,291
EXPENSES
Management fees 91,244 87,001
Brokerage commissions (DWR) 76,607 79,357
Administrative expenses 20,000 17,000
Transaction fees and costs 5,781 6,571
Incentive fees - 76,966
Total Expenses 193,632 266,895
NET INCOME (LOSS) (447,690) 532,396
NET INCOME (LOSS) ALLOCATION
Limited Partners (434,275) 517,545
General Partner (13,415) 14,851
NET INCOME (LOSS) PER UNIT
Limited Partners (134.15) 148.51
General Partner (134.15) 148.51
<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 Quarters Ended March 31, 1998 and 1997
(Unaudited)
<CAPTION>
Units of
Partnership Limited General
Interest Partners Partner Total
<S> <C> <C> <C> <C>
Partners' 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
Partners' Capital,
December 31, 1997 3,342.046 $9,177,928 $283,091 $9,461,019
Net Loss - (434,275) (13,415) (447,690)
Redemptions (35.487) (96,338) -
(96,338)
Partners' Capital,
March 31, 1998 3,306.559 $8,647,315 $269,676 $8,916
,991
<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 Quarters Ended March 31,
1998 1997
$ $
CASH FLOWS FROM OPERATING ACTIVITIES
<S> <C> <C>
Net income (loss) (447,690) 532,396
Noncash item included in net income (loss):
Net change in unrealized 309,154 (123,762)
(Increase) decrease in operating assets:
Interest receivable (DWR) 2,516 (3,098)
Due from DWR (13,433) -
Increase (decrease) in operating liabilities:
Administrative expenses payable 17,106 11,319
Accrued management fees (2,231) 874
Incentive fee payable (173,722) (74,142)
Accrued brokerage commissions (DWR)- (3,420)
Accrued transaction fees and costs
- - (347)
Net cash provided by (used for) operating activities (308,300)
339,820
CASH FLOWS FROM FINANCING ACTIVITIES
Increase in redemptions payable 48,537 59,166
Redemptions of units (96,338) (255,164)
Net cash used for financing activities (47,801)(195,998)
Net increase (decrease) in cash (356,101) 143,822
Balance at beginning of period 9,092,300 8,233,513
Balance at end of period 8,736,199 8,377,335
<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 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. The general partner for
the Partnership is Demeter Management Corporation ("Demeter").
The non-clearing commodity broker is Dean Witter Reynolds Inc.
("DWR"), with an unaffiliated broker, Carr Futures, Inc. ("Carr")
providing clearing and execution services. Both DWR and Demeter
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 Partner-
ship 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 March 31, 1998 and December 31, 1997, open
contracts were:
Contract or Notional Amount
March 31, 1998 December 31, 1997
$ $
Exchange-Traded Contracts
Financial Futures:
Commitments to Purchase - 8,412,000
Commitments to Sell 8,416,000 3,094,000
Commodity Futures:
Commitments to Purchase 1,069,000 1,948,000
Commitments to Sell 3,324,000 3,352,000
Foreign Futures:
Commitments to Purchase 7,966,000 3,862,000
Commitments to Sell - 4,056,000
Off-Exchange-Traded
Forward Currency Contracts
Commitments to Purchase 9,063,000 6,966,000
Commitments to Sell 18,547,000 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 gain on open contracts is reported as a
component of "Equity in Commodity futures trading accounts" on
the Statements of Financial Condition and totaled $302,597 and
$611,751 at March 31, 1998 and December 31, 1997, respectively.
Of the $302,597, net unrealized gain on open contracts at March
31, 1998, $38,238 related to exchange-traded futures contracts
and $264,359 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
March 31, 1998 and December 31, 1997 mature through March 1999
and
<PAGE>
COLUMBIA FUTURES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 1998, respectively. Off-exchange-traded-forward currency
contracts held by the Partnership at March 31, 1998 and December
31, 1997 mature through June 1998 and March 1998, 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 either DWR or Carr
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 and Carr,
as the futures commission merchants for all of the Partnership's
exchange-traded futures contracts, are 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
the net unrealized gain on all open futures contracts, which
funds totaled $8,774,437 and $9,516,357 at March 31, 1998 and
December 31, 1997, respectively. With respect to the
Partnership's off-
<PAGE>
COLUMBIA FUTURES FUND
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
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 quarter ended March 31, 1998 and the year ended December
31, 1997, the average fair value of financial instruments held
for trading purposes was as follows:
March 1998
Assets
Liabilities
$ $
Exchange-Traded Contracts:
Financial Futures 6,331,000 2,878,000
Commodity Futures 1,706,000 3,317,000
Foreign Futures 6,829,000 1,092,000
Off-Exchange-Traded Forward
Currency Contracts 18,588,000 27,354,000
December 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 on deposit in separate
commodity trading accounts with DWR and Carr, the commodity
brokers, and are used by the Partnership as margin to engage in
commodity futures contract 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 commodity futures contracts and other
commodity interests, it is expected that the Partnership will
continue to own such liquid assets for margin purposes.
The Partnership's investment in commodity futures contracts,
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 forward
contracts on foreign currencies. 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 of Limited Partnership Interest in the future will affect
the amount of funds available for investments in subsequent
periods. As redemptions are at the discretion of Limited
Partners, it is not possible to estimate the amount and
therefore, the impact of future redemptions.
Results of Operations
For the Quarter Ended March 31, 1998
For the quarter ended March 31, 1998, the Partnership's total
trading losses net of interest income were $254,058. During the
first quarter, the Partnership recorded a loss in Net Asset Value
per Unit. The most significant of these losses were recorded in
the currency markets from short Japanese yen positions as the
value of the yen increased versus the U.S. dollar during January
and early February. These losses more than offset currency gains
from short positions in the Swiss franc and German mark as the
U.S. dollar strengthened versus these currencies during March.
<PAGE>
Additional losses were recorded from trading the South African
rand and Australian dollar as their values moved without
consistent direction during the quarter. In metals, losses were
recorded from trading gold futures as prices in this market moved
in a trendless pattern throughout a majority of the quarter.
Additional losses were recorded from long positions in silver
futures as silver prices moved sharply lower during March after
rallying higher previously. In agriculturals, losses were
experienced from short corn futures positions as prices moved
higher in January and March. In financial futures, losses were
experienced from trading Nikkei index futures during January and
March, as well as from trading Japanese government bond futures
throughout the quarter. A portion of these losses was offset by
gains recorded from short positions in crude oil futures as oil
prices moved lower throughout a majority of the quarter despite a
potential conflict in the Persian Gulf during February. Total
expenses for the quarter were $193,632, resulting in a net loss
of $447,690. The value of an individual Unit in the Partnership
decreased from $2,830.91 at December 31, 1997 to $2,696.76 at
March 31, 1998.
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
<PAGE>
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 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.
<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 and Currency Management, Inc., MSDW, (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, alleging, among
other things, that the defendants committed fraud, deceit,
negligent misrepresentation, various violations of the California
Corporations Code, intentional and negligent breach of fiduciary
duty, fraudulent and unfair business practices, unjust
enrichment, and conversion in the sale and operation of the
various limited partnership commodity 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. A consolidated and amended complaint in the
action pending in the Supreme Court of the State of New York was
filed on August 13, 1997, alleging that the defendants committed
fraud, breach of
<PAGE>
fiduciary duty, and negligent misrepresentation in the sale and
operation of the various limited partnership commodity pools. On
December 16, 1997, upon motion of the plaintiffs, the action
pending in the Superior Court of the State of Delaware was
voluntarily dismissed without prejudice. 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 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 11, 1998 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 to reference to such
financial instruments.
</LEGEND>
<S> <C>
<PERIOD-TYPE> 3-MOS
<FISCAL-YEAR-END> MAR-31-1998
<PERIOD-END> MAR-31-1998
<CASH> 8,736,199
<SECURITIES> 0
<RECEIVABLES> 44,687<F1>
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 9,083,483<F2>
<CURRENT-LIABILITIES> 0
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 9,083,483<F3>
<SALES> 0
<TOTAL-REVENUES> (254,058)<F4>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 193,632
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> (447,690)
<INCOME-TAX> 0
<INCOME-CONTINUING> (447,690)
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (447,690)
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
<FN>
<F1>Receivables include interest receivable of $31,254 and due from DWR
of $13,433.
<F2>In addition to cash and receivables, total assets include net unrealized
gain on open contracts of $302,597.
<F3>Liabilities include redemptions payable of $62,692, accrued management
fees of $29,932 and administrative expenses payable of $73,868.
<F4>Total revenue includes realized trading revenue of $(40,328), net change
in unrealized of $(309,154) and interest income of $95,424.
</FN>
</TABLE>
