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, 1995 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 number 0-13298
DEAN WITTER CORNERSTONE FUND II
(Exact name of registrant as specified in its charter)
New York 13-3212871
(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>
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<TABLE>
DEAN WITTER CORNERSTONE FUND II
INDEX TO QUARTERLY REPORT ON FORM 10-Q
September 30, 1995
<CAPTION>
PART I. FINANCIAL INFORMATION
<S> <C>
Item 1. Financial Statements
Statements of Financial Condition
September 30, 1995 (Unaudited) and December 31, 1994.........2
Statements of Operations for the Quarters Ended
September 30, 1995 and 1994 (Unaudited)......................3
Statements of Operations for Nine Months Ended
September 30, 1995 and 1994 (Unaudited)......................4
Statements of Changes in Partners' Capital for the
Nine Months Ended September 30, 1995 and 1994
(Unaudited)..................................................5
Statements of Cash Flows for the Nine Months Ended
September 30, 1995 and 1994 (Unaudited)......................6
Notes to Financial Statements (Unaudited).................7-11
Item 2. Management's Discussion and Analysis of Financial
Condition and Results of Operations.................12-18
PART II. OTHER INFORMATION
Item 6. Exhibits and Reports on Form 8-K......................19
</TABLE>
<PAGE>
<PAGE>
<TABLE>
DEAN WITTER CORNERSTONE FUND II
STATEMENTS OF FINANCIAL CONDITION
<CAPTION>
September 30, December 31,
1995 1994
(Unaudited)
ASSETS
<S> <C> <C>
Equity in commodity futures trading accounts:
Cash $ 29,545,248 $ 27,570,984
Net unrealized gain on open contracts 454,237 4,316,080
Total Trading Equity 29,999,485 31,887,064
Interest receivable (DWR) 112,264 124,668
Receivable from DWR 89,291 50,385
Total Assets $ 30,201,040 $ 32,062,117
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable $ 232,104 $ 386,099
Accrued management fees 99,885 105,860
Common administrative expenses payable 81,314 111,168
Accrued brokerage commissions (DWR) 50,471 81,268
Accrued incentive fees 9,489 -
Accrued transaction fees and costs 3,932 5,720
Total Liabilities 477,195 690,115
Partners' Capital
Limited Partners (11,008.021 and
13,802.050 Units, respectively) 29,148,190 30,885,515
General Partner (217.400 Units) 575,655 486,487
Total Partners' Capital 29,723,845 31,372,002
Total Liabilities and Partners' Capital $ 30,201,040 $ 32,062,117
NET ASSET VALUE PER UNIT $ 2,647.90 $ 2,237.75
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER CORNERSTONE FUND II
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Quarters Ended September 30,
1995 1994
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized $ (913,739) $ (883,075)
Net change in unrealized (1,276,467) (1,534,700)
Total Trading Results (2,190,206) (2,417,775)
Interest Income (DWR) 354,431 322,738
Total Revenues (1,835,775) (2,095,037)
EXPENSES
Brokerage commissions (DWR) 453,296 539,030
Management fees 314,025 345,792
Transaction fees and costs 42,808 39,859
Incentive fees (450,051) (184,450)
Administrative expenses - 12,276
Total Expenses 360,078 752,507
NET LOSS $ (2,195,853) $ (2,847,544)
Limited Partners (2,154,721) (2,805,042)
General Partner (41,132) (42,502)
$ (2,195,853) $ (2,847,544)
NET LOSS PER UNIT
Limited Partners $ (189.21) $ (195.49)
General Partner $ (189.21) $ (195.49)
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER CORNERSTONE FUND II
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Nine Months Ended September 30,
1995 1994
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized $ 11,263,740 $ 2,790,549
Net change in unrealized (3,861,843) (2,094,053)
Total Trading Results 7,401,897 696,496
Interest Income (DWR) 1,152,336 805,952
Total Revenues 8,554,233 1,502,448
EXPENSES
Brokerage commissions (DWR) 1,466,101 1,746,457
Management fees 1,003,971 1,024,091
Transaction fees and costs 121,759 146,971
Incentive fees 82,998 -
Administrative expenses 8,184 36,826
Total Expenses 2,683,013 2,954,345
NET INCOME (LOSS) $ 5,871,220 $ (1,451,897)
Limited Partners 5,782,053 (1,431,894)
General Partner 89,167 (20,003)
$ 5,871,220 $ (1,451,897)
NET INCOME (LOSS) PER UNIT
Limited Partners $ 410.15 $ (104.92)
General Partner $ 410.15 $ (104.92)
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER CORNERSTONE FUND II
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
For the Nine Months Ended September 30, 1995 and 1994
(Unaudited)
<CAPTION>
Units of
Partnership Limited General
Interest Partners Partner Total
<S> <C> <C> <C> <C>
Partners' Capital
December 31, 1993 12,998.995 $31,331,000 $610,373 $31,941,373
Continuous Offering 2,718.730 6,570,487 - 6,570,487
Net Loss - (1,431,894) (20,003) (1,451,897)
Redemptions (1,407.549) (3,319,200) (78,981) (3,398,181)
Partners' Capital
September 30, 1994 14,310.176 $33,150,393 $511,389 $33,661,782
Partners' Capital
December 31, 1994 14,019.450 $30,885,515 $486,487 $31,372,002
Continuous Offering 69.642 177,837 - 177,837
Net Income - 5,782,053 89,167 5,871,220
Redemptions (2,863.671) (7,697,214) - (7,697,214)
Partners' Capital
September 30, 1995 11,225.421 $29,148,191 $575,654 $29,723,845
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER CORNERSTONE FUND II
STATEMENTS OF CASH FLOWS
(Unaudited)
<CAPTION>
For the Nine Months Ended September 30,
1995 1994
CASH FLOWS FROM OPERATING ACTIVITIES
<S> <C> <C>
Net income (loss) $ 5,871,220 $ (1,451,897)
Noncash item included in net income:
Net change in unrealized 3,861,843 2,094,053
(Increase) decrease in operating assets:
Interest receivable (DWR) 12,404 (45,257)
Receivable from DWR (38,906) 8,211
Increase (decrease) in operating liabilities:
Accrued management fees (5,975) 6,396
Common administrative expenses payable (29,854) (26,349)
Accrued brokerage commissions (DWR) (30,797) 5,704
Accrued incentive fees 9,489 (15,336)
Accrued transaction fees and costs (1,788) 233
Net cash provided by operating activities 9,647,636 575,758
CASH FLOWS FROM FINANCING ACTIVITIES
Offering of units 177,837 6,570,487
Increase in redemptions payable (153,995) 213,767
Redemptions of units (7,697,214) (3,398,181)
Net cash provided by (used for) financing activities (7,673,372) 3,386,073
Net increase in cash 1,974,264 3,961,831
Balance at beginning of period 27,570,984 28,680,335
Balance at end of period $29,545,248 $32,642,166
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
DEAN WITTER CORNERSTONE FUND II
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, 1994 Annual Report on Form 10-K.
1. Organization
Dean Witter Cornerstone Fund II (the "Partnership") is a limited
partnership organized to engage in the speculative trading of
commodity futures contracts and forward contracts on foreign
currencies. The Partnership is one of the Dean Witter Cornerstone
Funds, comprised of Dean Witter Cornerstone Fund II, Dean Witter
Cornerstone Fund III, and Dean Witter Cornerstone Fund IV.
The General Partner for the Partnership is Demeter Management
Corporation (the "General Partner"). The commodity broker is Dean
Witter Reynolds Inc. ("DWR").
The General Partner is required to maintain a 1% minimum interest
in the equity of the Partnership and income (losses) are shared by
the General and Limited Partners based upon their proportional
ownership interest.
<PAGE>
DEAN WITTER CORNERSTONE FUND II
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
2. Summary of Significant Accounting Policies
Net Income (Loss) per Unit - Net income (loss) per unit was
computed using the weighted average number of units outstanding
during the period.
Equity in Commodity Futures Trading Accounts - The Partnership's
asset "Equity in Commodity Futures Trading Accounts" consists of
cash on deposit at DWR to be used as margin for trading and the net
asset or liability related to unrealized gains or losses on open
contracts. The asset or liability related to the unrealized gains
or losses on forward contracts is presented as a net amount because
the Partner-ship has a master netting agreement with DWR.
3. Trading Managers
The trading managers who make all trading decisions for the
Partnership are as follows:
Abacus Asset Management Corporation
John W. Henry & Co., Inc.
4. Related Party Transactions
Both the General Partner and DWR are wholly owned subsidiaries of
Dean Witter, Discover & Co. The Partnership's cash is on deposit
with DWR in commodity trading accounts to meet margin requirements
as needed.
<PAGE>
DEAN WITTER CORNERSTONE FUND II
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DWR pays interest on these funds based on current 13-week U.S.
Treasury Bill rates. Brokerage expenses incurred by the Partner-
ship are paid to DWR.
5. Off-Balance Sheet Risk
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, 1995, open contracts were:
Contract or
Notional Amount
Exchange Traded Contracts:
Financial Futures:
Commitments to Purchase $27,696,000
Commitments to Sell $ 9,547,000
Commodity Futures:
Commitments to Purchase $28,461,000
Commitments to Sell $ 7,006,000
Foreign Futures:
Commitments to Purchase $42,806,000
Commitments to Sell $ 6,765,000
Off Exchange Traded Contracts:
Forward Currency Contracts:
Commitments to Purchase $24,199,000
Commitments to Sell $26,478,000
<PAGE>
DEAN WITTER CORNERSTONE FUND II
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 unrealized gains and losses on open contracts is reported as a
component of "Equity in Commodity Futures Trading Accounts" on the
Statement of Financial Condition and totaled $454,237 at September
30, 1995. Of the $454,237 net unrealized gain on open contracts as
of September 30, 1995, $860,170 related to exchange traded futures
contracts and $(405,933) related to off-exchange traded forward
currency contracts.
Exchange Traded Futures Contracts held by the Partnership at
September 30, 1995 mature through September 1996. Off Exchange
Traded Forward Currency Contracts held by the Partnership at
September 30, 1995 matured through October 1995.
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.
<PAGE>
DEAN WITTER CORNERSTONE FUND II
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
The Partnership also has credit risk because the sole counterparty,
with respect to most of the Partnership's assets, is DWR. Exchange
traded futures contracts are marked to market on a daily basis,
with variations in value credited or charged to the Fund's account
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 gain on all open futures contracts, which funds totalled
$30,405,418 at September 30, 1995. With respect to the Partner-
ship's off-exchange traded foreign currency forward contracts,
there are no daily settlements of variations in value.
<PAGE>
Item 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION
AND RESULTS OF OPERATIONS
Liquidity. The Partnership's assets are deposited in separate
commodity trading accounts with DWR, and are used by the
Partnership as margin to engage in trading commodity futures
contracts and forward contracts on foreign currency. 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 and forward contracts on foreign currency, it is expected
that the Partnership will continue to own such liquid assets for
margin purposes.
The Partnership's investment in commodity futures 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.
There is no limitation on daily price moves in trading 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 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.
Market Risk. The Partnership trades futures, options and forward
contracts in interest rates, stock indices, commodities and
currencies. In entering into these contracts there exists a risk
to the Partnership (market risk) that such contracts may be
significantly influenced by market conditions, such as interest
rate volatility, resulting in such contracts being less valuable.
If the markets should move against all of the futures interest
positions held by the Partnership at the same time, and if the
Trading Advisor was unable to offset futures interest positions of
the Partnership, the Partnership could lose all of its assets.
The Partnership has established Trading Policies for liquidity and
leverage which help control market risk. Both the Trading Advisor
and the General Partner monitor the Partnership's trading
activities on a daily basis to ensure compliance with the Trading
Policies. The General Partner may (under terms of the Management
Agreement) override the trading instructions of the Trading Advisor
to the extent necessary to comply with the Partnership's Trading
Policies.
Credit Risk. In addition to market risk, the Partnership is
subject to credit risk in that a counterparty may not be able to
meet its obligations to the Partnership. The counterparty of the
Partnership for futures contracts traded in the United States and
most foreign exchanges on which the Partnership trades is the
clearinghouse associated with such exchange. In general,
clearinghouses are backed by the membership of the exchange and
will act in the event of non-performance by one of its members or
one of its members' customers, and as such, should significantly
reduce this credit risk. In cases where the Partnership trades on
exchanges where the clearinghouse is not backed by the membership
or when the Partnership enters into off-exchange contracts with a
counterparty, the sole recourse of the Partnership will be the
clearinghouse or the counterparty as the case may be. With respect
to futures contracts, DWR, in its business as an international
commodity broker, constantly monitors the creditworthiness of the
exchanges and clearing members of the foreign exchanges with which
it does business for clients, including the Partnership. If DWR
believes that there was a problem with the credit-worthiness of an
exchange on which the Partnership deals, it would so advise the
General Partner. With respect to forward contract trading, the
Partnership trades with only those counterparties which the General
Partner, together with DWR, have determined to be creditworthy. As
set forth in the Partnership's Trading Policies, in determining
credit-worthiness, the General Partner and DWR consult with the
Corporate Credit Department of DWR. Currently, the Partnership
deals solely with DWR as its counterparty on forward contracts.
While DWR and the General Partner monitor creditworthiness and risk
involved in dealing on the various exchanges and with
counterparties, there can be no assurance that an exchange or
counterparty will be able to meet its obligations to the
Partnership.
Capital Resources. The Partnership does not have, nor does it
expect to have, any capital assets. Redemptions, exchanges and
sales 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.
Results of Operations
For the Quarter and Nine Months Ended September 30, 1995
For the quarter ended September 30, 1995, the Partnership's total
trading losses net of interest income were $1,835,775. During the
third quarter, the Partnership posted a loss in Net Asset Value per
Unit. The most significant trading losses were recorded in
financial futures as global interest rate futures prices
experienced choppiness throughout the quarter. As a result of this
price volatility, losses were experienced in U.S. Treasury bond.
Treasury note and eurodollar futures trading, as well as in
European, Australian and Japanese government bond futures. Global
stock index trading during July resulted in losses as a sharp
reversal in the downward trend in the Japanese Nikkei Index
resulted in losses for the Partnership's previously established
short Nikkei positions. Additional losses within this complex were
recorded during late September as global stock index futures prices
remained in a short-term volatile range. In energy futures
trading, losses were recorded throughout most of the quarter as oil
and gas prices continued to move without consistent direction. In
soft commodities trading, losses were recorded during August as
cotton prices abruptly halted their previous downward movement and
coffee and sugar prices traded in a choppy pattern. Trading gains
from transactions involving the Japanese yen were recorded during
all three months of the quarter as a downward trend in the value of
the yen relative to the U.S. dollar was evident until late
September. These gains helped in offsetting a portion of the
Partnership's losses experienced during the third quarter. The
total expenses for the period were $360,078, resulting in a net
loss of $2,195,853. The value of an individual Unit in the
Partnership decreased from $2,837.11 at June 30, 1995 to $2,647.90
at September 30, 1995.
For the nine months ended September 30, 1995, the Partnership's
total trading revenues including interest income were $8,554,233.
During the first nine months of the year, the Partnership posted a
gain in Net Asset Value per Unit. The most significant profits
were recorded in currency and financial futures trading. Currency
trading contributed to the overall gains as an upward trend in the
Japanese yen, German mark and Swiss franc versus the U.S. dollar
occurred through February, March and April. This upward trend in
foreign currencies lost momentum during May and June. However, a
declining trend in the Japanese yen relative to the U.S. dollar
occurred between July and September resulting in gains for the
Partnership's short yen positions. Gains were also recorded in
both global interest rate and stock index futures earlier in the
year. Profits from interest rate futures were the result of an
upward trend in global bond prices between February and May
resulting in trading gains for the Partnership's long U.S. Treasury
bond, Treasury note, eurodollar and Japanese government bond
futures positions. Nikkei stock index futures also contributed to
the overall gains for the Partnership, as Japanese stock prices
declined in the first half of the year. Smaller gains in crude oil
futures were experienced in June as oil prices declined. Trading
losses were recorded primarily as a result of trendless price
movement in soft commodities, soybean products and both precious
and base metals futures throughout most of the year. These losses
offset a portion of the Partnership's gains experienced during the
first three quarters of the year. The total expenses for the
period were $2,683,013, resulting in a net income of $5,871,220.
The value of an individual Unit in the Partnership increased from
$2,237.75 at December 31, 1994 to $2,647.90 at September 30, 1995.
For the Quarter and Nine Months Ended September 30, 1994
For the quarter ended September 30, 1994, the Partnership's total
trading losses net of interest income were $2,095,037. During the
third quarter, the Partnership posted a loss in Net Asset Value per
Unit. The most significant losses were recorded during July
and August as a result of trading in the currency markets,
specifically from trading the Japanese yen. Additional trading
losses were recorded in the financial markets as a result of
trading U.S. and European interest rate futures during July and in
the metals and energy markets during August as trendless price
activity left little opportunity for profits. Trading gains in the
international markets from trading coffee and cotton and in the
agricultural markets from trading soybean products and corn offset
a portion of overall Fund losses for the Partnership during the
third quarter. The total expenses for the period were $752,507,
resulting in a net loss of $2,847,544. The value of an individual
Unit in the Partnership decreased from $2,547.79 at June 30, 1994
to $2,352.30 at September 30, 1994.
For the nine months ended September 30, 1994, the Partnership's
total trading revenues including interest income were $1,502,448.
During the first nine months of the year, the Partnership posted a
loss in Net Asset Value per Unit. Trading losses resulted
primarily from trendless price movement in agricultural and metals
futures. The Partnership also posted smaller losses in the
currencies and financial futures sectors of its trading as prices
in these complexes have also been primarily trendless during the
first nine months of the year. Profits from trading in energies,
as a result of an increasing trend in the year's second quarter,
and in coffee, as prices increased dramatically throughout a
majority of the first half of the year, reduced overall net losses
for these periods. The total expenses for the period were
$2,954,345, resulting in a net loss of $1,451,897. The value of an
individual Unit in the Partnership decreased from $2,457.22 at
December 31, 1993 to $2,352.30 at September 30, 1994.
<PAGE>
PART II. OTHER INFORMATION
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.
Dean Witter Cornerstone Fund II
(Registrant)
By: Demeter Management Corporation
(General Partner)
November 13, 1995 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>
<TABLE> <S> <C>
<ARTICLE> 5
<LEGEND>The schedule contains summary financial information
extracted from Dean Witter Cornerstone II and is
qualified in its entirety by references to such financial
instruments.
</LEGEND>
<S> <C>
<PERIOD-TYPE> 9-MOS
<FISCAL-YEAR-END> SEP-30-1995
<PERIOD-END> SEP-30-1995
<CASH> 29,545,248
<SECURITIES> 0
<RECEIVABLES> 201,545
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 30,201,040<F1>
<CURRENT-LIABILITIES> 0
<BONDS> 0
<COMMON> 0
0
0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 30,201,040<F2>
<SALES> 0
<TOTAL-REVENUES> 8,554,233<F3>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 2,683,013
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 5,871,220
<INCOME-TAX> 0
<INCOME-CONTINUING> 5,871,220
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 5,871,220
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
<FN>
<F1>In addition to cash and receivables, total assets include net unrealized
loss on open contracts of $3,861,843.
<F2>Liabilities include redemptions payable of $232,104, accrued incentive
fees of $9,489, accrued management fees of $99,885 and common administrative
expenses payable of $81,314.
<F3>Total revenues includes realized trading revenue of $11,263,740, net
change in unrealized of ($3,861,843) and interest income of $1,152,336.
</FN>
</TABLE>
