<PAGE> 1
FORM 10-Q
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
(X) QUARTERLY REPORT UNDER SECTION 13 or 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
OR ( ) TRANSITION REPORT UNDER SECTION 13 or 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
For the Quarter ended March 31, 1995
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Commission File Number 2-77668, 2-79486, 2-80288
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COMMODITY TREND TIMING FUND II
- - --------------------------------------------------------------------------------
(Exact name of registrant as specified in its charter)
Delaware 13-3128322
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(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification No.)
c/o Smith Barney Futures Management Inc.
390 Greenwich St. - 1st . Fl.
New York, New York 10013
- - --------------------------------------------------------------------------------
(Address and Zip Code of principal executive offices)
(212) 723-5419
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(Registrant's telephone number, including area code)
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
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COMMODITY TREND TIMING FUND II
FORM 10-Q
INDEX
<TABLE>
<CAPTION>
Page
Number
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<S> <C>
PART I - Financial Information:
Item 1. Financial Statements:
Statements of Financial Condition at
March 31, 1995 and December 31, 1994 3
Statements of Income and Expenses and
Partners' Capital for the Three Months
Ended March 31, 1995 and 1994 4
Notes to Financial Statements 5 - 6
Item 2. Management's Discussion and Analysis
of Financial Condition and Results of
Operations 7 - 8
PART II - Other Information 9
</TABLE>
2
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PART I
Item 1. Financial Statements
COMMODITY TREND TIMING FUND II
STATEMENTS OF FINANCIAL CONDITION
<TABLE>
<CAPTION>
MARCH 31, DECEMBER 31,
ASSETS 1995 1994
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(Unaudited)
<S> <C> <C>
Equity in commodity futures trading account:
Cash $4,153,867 $4,692,159
Net unrealized appreciation
on open futures contracts 60,323
Commodity options owned, at market value
(cost $4,675) 425
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4,153,867 4,752,907
Interest receivable 20,271 18,684
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$4,174,138 $4,771,591
============= ============
LIABILITIES AND PARTNERS' CAPITAL
Liabilities:
Accrued expenses:
Other $15,633 $27,983
Redemptions payable 313,866
Commissions on open futures contracts 5,992
Management fees 15,792
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329,499 49,767
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Partners' Capital
General Partner, 83 Unit equivalents
outstanding in 1995 and 1994,
respectively 71,924 77,279
Limited Partners, 4,353.7098 and
4,988.3721 Units of Limited Partnership
Interest outstanding in 1995 and 1994,
respectively 3,772,715 4,644,545
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3,844,639 4,721,824
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$4,174,138 $4,771,591
============= ============
</TABLE>
See Notes to Financial Statements.
3
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COMMODITY TREND TIMING FUND II
STATEMENTS OF INCOME AND EXPENSES AND PARTNERS' CAPITAL
(UNAUDITED)
<TABLE>
<CAPTION>
MARCH 31, MARCH 31,
1995 1994
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(Unaudited)
<S> <C> <C>
Income:
Net gains (losses) on trading of commodity
futures:
Realized losses on closed positions $(236,479) $ (2,530,612)
Change in unrealized gains/losses on open
positions (56,073) (384,878)
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(292,552) (2,915,490)
Less, brokerage commissions and clearing fees
($2,210 and $10,911, respectively) (49,417) (242,010)
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Net realized and unrealized losses (341,969) (3,157,500)
Interest income 53,282 60,597
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(288,687) (3,096,903)
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Expenses:
Management fees 28,793 90,803
Other 6,355 11,790
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35,148 102,593
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Net loss (323,835) (3,199,496)
Redemptions (553,350) (339,107)
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Net decrease in Partners' capital (877,185) (3,538,603)
Partners' capital, beginning of period 4,721,824 11,432,299
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Partners' capital, end of period $3,844,639 $7,893,696
============= ==============
Net asset value per Unit
(4,436.7098 and 5,889.8446 Units outstanding
at March 31, 1995 and 1994, respectively) $866.55 $1,340.22
============= ==============
</TABLE>
4
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COMMODITY TREND TIMING FUND II
NOTES TO FINANCIAL STATEMENTS
March 31, 1995
(Unaudited)
General
Commodity Trend Timing Fund II (the "Partnership") is a limited
partnership which was organized under the laws of the State of New York on May
14, 1982. The Partnership engages in the speculative trading of commodity
futures and option contracts, including futures contracts on U.S. Treasury Bills
and other financial instruments, foreign currencies and stock indices.
Smith Barney Futures Management Inc. acts as the general partner (the
"General Partner") of the Partnership. Smith Barney Inc. ("SB"), an affiliate
of the General Partner, acts as commodity broker for the Partnership.
On March 17, 1995, the General Partner of the Partnership gave 90 days
notice of its intent to withdraw from the Partnership effective June 15, 1995,
thereby causing its termination and dissolution unless limited partners of the
Partnership ("Limited Partners") elect a new general partner. R. Parker
Crowell , a Limited Partner, a trading advisor to the Partnership and the
President of Chang- Crowell Investment Management Inc. ("CCIM "), proposes
that CCIM become the new general partner of the Partnership and the General
Partner thereupon withdraw as general partner. A solicitation by CCIM has been
made to Limited Partners regarding these proposed changes in management. The
General Partner has neither endorsed or opposed the solicitation. As a result
of these proposed changes in management, trading in the Partnership was
suspended during March 1995.
The accompanying financial statements are unaudited but, in the opinion
of management, include all adjustments (consisting only of normal recurring
adjustments) necessary for a fair presentation of the Partnership's financial
position as of March 31, 1995 and the results of its operations for the three
months ended March 31, 1995 and 1994. These financial statements present the
results of interim periods and do not include all disclosures normally
provided in annual financial statements. It is suggested that they be read in
conjunction with the financial statements and notes included in the
Partnership's annual report on Form 10-K filed with the Securities and
Exchange Commission for the year ended December 31, 1994.
Due to the nature of commodity trading, the results of operations for
the interim periods presented should not be considered indicative of the results
that may be expected for the entire year.
5
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COMMODITY TREND TIMING FUND II
NOTES TO FINANCIAL STATEMENTS
(Continued)
Net Asset Value Per Unit
Changes in net asset value per Unit for the three months ended March 31,
1995 and 1994 were as follows:
<TABLE>
<CAPTION>
THREE-MONTHS ENDED
MARCH 31,
-----------------------------------
1995 1994
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<S> <C> <C>
Net realized and unrealized
losses $ (68.31) $ (531.29)
Interest income 10.90 10.17
Expenses (7.11) (17.21)
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Decrease for period (64.52) (538.33)
Net Asset Value per Unit,
beginning of period 931.07 1,878.55
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Net Asset Value per Unit,
end of period $ 866.55 $1,340.22
========= =========
</TABLE>
Subsequent Event
On April 25, 1995, the General Partner received notice that the Limited
Partners have consented to permit Smith Barney Futures Management Inc.
(" SBFM ") to withdraw as General Partner. CCIM has been elected the new
general partner effective May 1, 1995, and SBFM will withdraw as General
Partner from the Partnership effective on such date.
6
<PAGE> 7
Item 2. Management's Discussion and Analysis of Financial Condition and
Results of Operations.
Liquidity and Capital Resources
The Partnership does not engage in the sale of goods or services. Its
only assets are its equity in its commodity futures trading account, net
unrealized appreciation (depreciation) on open futures contracts and interest
receivable. Because of the low margin deposits normally required in commodity
futures trading, relatively small price movements may result in substantial
losses to the Partnership. While substantial losses could lead to a decrease in
liquidity, no such losses occurred in the first quarter of 1995.
The Partnership's capital consists of the capital contributions of the
partners as increased or decreased by gains or losses on commodity futures
trading, expenses, interest income, redemptions of Units and distributions of
profits, if any.
For the three months ended March 31, 1995, Partnership capital decreased
18.6% from $4,721,824 to $3,844,639. This decrease was attributable to the
redemption of 634.6623 limited partnership Units resulting in an outflow of
$553,350 in addition to a net loss from operations of $323,835 for the three
months ended March 31, 1995. Future redemptions can impact the amount of funds
available for investments in commodity contract positions in subsequent periods.
Results of Operations
During the Partnership's first quarter of 1995, the net asset value
per Unit decreased 6.9% from $931.07 to $866.55 as compared to the first quarter
of 1994 in which the net asset value per Unit decreased 28.7%. The Partnership
experienced a net trading loss before commissions and expenses in the first
quarter of 1995 of approximately $293,000. Realized losses were incurred in the
trading of precious metals, stock indices and agricultural commodity futures.
These losses were partially offset by gains realized in the trading of commodity
futures in foreign currencies, energy products and international rates.
Commodity futures markets are highly volatile. Broad price
fluctuations and rapid inflation increase the risks involved in commodity
trading, but also increase the possibility of profit. The profitability of the
Partnership depends on the existence of major price trends and the ability of
the Advisor to identify correctly those price trends. These price trends are
influenced by, among other things, changing supply and demand relationships,
weather, governmental, agricultural, commercial and trade programs
7
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and policies, national and international political and economic events and
changes in interest rates. To the extent that market trends exist and the
Advisor is able to identify them, the Partnership expects to increase capital
through operations.
Interest income on 80% of the Partnership's daily average equity was
earned on the monthly average 13-week U.S. Treasury bill yield. Interest income
for the three months ended March 31, 1995 decreased by approximately $7,000 as
compared to the corresponding period in 1994. The decrease in interest income
is primarily due to the effect of redemptions on equity.
Brokerage Commissions are based on the number of trades the Advisor
executes. Commissions and clearing fees for the three months ended March 31,
1995 decreased by approximately $193,000 as compared to the corresponding
period in 1994. This decrease is primarily the result of the suspension of
trading during March 1995 due to proposed changes in the management of the
Partnership. Refer to the notes to the financial statements for further detail.
Management fees are calculated as a percentage of the Partnership's
net asset value as of the end of each month and are affected by trading
performance and redemptions. Management fees for the three months ended March
31, 1995 decreased by approximately $62,000 as compared to the corresponding
period in 1994. This decrease is primarily the result of the suspension of
trading during March 1995 due to proposed changes in the management of the
Partnership. Refer to the notes to the financial statements for further detail.
8
<PAGE> 9
PART II OTHER INFORMATION
Item 1. Legal Proceedings - None
Item 2. Changes in Securities - None
Item 3. Defaults Upon Senior Securities - None
Item 4. Submission of Matters to a Vote of Security Holders -
A solicitation by Chang-Crowell Investment Management Inc.
("CCIM") has been made to limited partners proposing that CCIM become
the new general partner of the Partnership and that Smith Barney
Futures Management Inc. ("SBFM") withdraw as general partner. As of
March 31, 1995, consents were still being tabulated and the
solicitation was not final. Subsequently, on April 25, 1995 the
consent of a majority of limited partners have permitted SBFM to
withdraw as general partner. CCIM has been elected the new general
partner effective May 1, 1995, and SBFM will withdraw as General
Partner from the Partnership effective on such date.
Item 5. Other Information - None
Item 6. (a) Exhibits - None
(b) Reports on Form 8-K - None
9
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SIGNATURES
Pursuant to the requirements of Section 13 or 15 (d) 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.
COMMODITY TREND TIMING FUND II
By: Smith Barney Futures Management Inc.
------------------------------------
(General Partner)
By: /s/ Alexander J. Sloane, President
------------------------------------
Alexander J. Sloane, President
Date: 5/10/95
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Pursuant to the requirements of the Securities Exchange Act of 1934,
this report has been signed below by the following persons on behalf of the
registrant and in the capacities and on the dates indicated.
By: Smith Barney Futures Management Inc.
------------------------------------
(General Partner)
By: /s/ Alexander J. Sloane, President
------------------------------------
Alexander J. Sloane, President
Date: 5/10/95
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By /s/ Daniel A. Dantuono
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Daniel A. Dantuono
Chief Financial Officer and
Director
Date: 5/10/95
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10
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EXHIBIT INDEX
Exhibit 27 - Financial Data Schedule
<TABLE> <S> <C>
<ARTICLE> 5
<S> <C>
<PERIOD-TYPE> 3-MOS
<FISCAL-YEAR-END> DEC-31-1995
<PERIOD-START> JAN-01-1995
<PERIOD-END> MAR-31-1995
<CASH> 4,153,867
<SECURITIES> 0
<RECEIVABLES> 20,271
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 4,174,138
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 4,174,138
<CURRENT-LIABILITIES> 329,499
<BONDS> 0
<COMMON> 0
0
0
<OTHER-SE> 3,844,639
<TOTAL-LIABILITY-AND-EQUITY> 4,174,138
<SALES> 0
<TOTAL-REVENUES> (288,687)
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> (35,148)
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> (323,835)
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (323,835)
<EPS-PRIMARY> 931.07
<EPS-DILUTED> 0
</TABLE>
