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 0-13299
DEAN WITTER CORNERSTONE FUND III
(Exact name of registrant as specified in its charter)
New York 13-3190919
(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 changes
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>
DEAN WITTER CORNERSTONE FUND III
INDEX TO QUARTERLY REPORT ON FORM 10-Q
September 30, 1995
<CAPTION>
PART I. FINANCIAL INFORMATION
Item 1. Financial Statements
<S> <C>
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 the 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>
DEAN WITTER CORNERSTONE FUND III
STATEMENTS OF FINANCIAL CONDITION
<TABLE>
<CAPTION>
September 30, December 31,
1995 1994
(Unaudited)
ASSETS
<S> <C> <C>
Equity in commodity futures trading accounts:
Cash $ 41,516,113 $ 42,884,780
Net unrealized gain on open contracts 2,104,562 5,016,857
Total Trading Equity 43,620,675 47,901,637
Receivable from DWR 301,884 213,589
Interest receivable (DWR) 164,482 193,048
Total Assets $ 44,087,041 $ 48,308,274
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable $ 521,942 $ 666,178
Common administrative expenses payable 222,036 266,405
Accrued management fees 145,277 158,895
Accrued brokerage commissions (DWR) 112,790 200,604
Accrued transaction fees and costs 23,938 13,739
Total Liabilities 1,025,983 1,305,821
Partners' Capital
Limited Partners (19,250.734 and
23,505.598 Units, respectively) 42,222,985 46,250,611
General Partner (382.103 Units) 838,073 751,842
Total Partners' Capital 43,061,058 47,002,453
Total Liabilities and Partners' Capital $ 44,087,041 $ 48,308,274
NET ASSET VALUE PER UNIT $ 2,193.32 $ 1,967.64
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
DEAN WITTER CORNERSTONE FUND III
STATEMENTS OF OPERATIONS
(Unaudited)
<TABLE>
<CAPTION>
For the Quarters Ended September 30,
1995 1994
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized $ (897,084) $ 2,283,360
Net change in unrealized 871,377 (4,642,356)
Total Trading Results (25,707) (2,358,996)
Interest Income (DWR) 509,307 463,515
Total Revenues 483,600 (1,895,481)
EXPENSES
Brokerage commissions (DWR) 774,308 1,045,938
Management fees 446,622 495,685
Transaction fees and costs 107,797 93,780
Common administrative expenses - 31,737
Total Expenses 1,328,727 1,667,140
NET LOSS $ (845,127) $ (3,562,621)
Limited Partners (830,245) (3,509,109)
General Partner (14,882) (53,512)
$ (845,127) $ (3,562,621)
NET LOSS PER UNIT
Limited Partners $ (38.94) $ (140.05)
General Partner $ (38.94) $ (140.05)
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
DEAN WITTER CORNERSTONE FUND III
STATEMENTS OF OPERATIONS
(Unaudited)
<TABLE>
<CAPTION>
For the Nine Months Ended September 30,
1995 1994
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized $ 10,939,777 $ 2,272,537
Net change in unrealized (2,912,295) (4,269,041)
Total Trading Results 8,027,482 (1,996,504)
Interest Income (DWR) 1,593,964 1,207,324
Total Revenues 9,621,446 (789,180)
EXPENSES
Brokerage commissions (DWR) 2,803,940 3,200,457
Management fees 1,380,475 1,518,470
Transaction fees and costs 391,600 301,375
Administrative expenses 21,158 90,686
Total Expenses 4,597,173 5,110,988
NET INCOME (LOSS) $ 5,024,273 $ (5,900,168)
Limited Partners 4,938,042 (5,811,644)
General Partner 86,231 (88,524)
$ 5,024,273 $ (5,900,168)
NET INCOME (LOSS) PER UNIT
Limited Partners $ 225.68 $ (226.47)
General partner $ 225.68 $ (226.47)
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER CORNERSTONE FUND III
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 25,673.805 $55,270,605 $ 886,088 $56,156,693
Continuous Offering 2,536.616 5,116,148 - 5,116,148
Net Loss - (5,811,644) (88,524) (5,900,168)
Redemptions (3,380.415) (6,636,607) (48,320) (6,684,927)
Partners' Capital
September 30, 1994 24,830.006 $47,938,502 $749,244 $48,687,746
Partners' Capital
December 31, 1994 23,887.701 $46,250,611 $ 751,842 $47,002,453
Continuous Offering 25.778 49,000 - 49,000
Net Income - 4,938,042 86,231 5,024,273
Redemptions (4,280.642) (9,014,668) - (9,014,668)
Partners' Capital
September 30, 1995 19,632.837 $42,222,985 $ 838,073 $43,061,058
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
DEAN WITTER CORNERSTONE FUND III
STATEMENTS OF CASH FLOWS
(Unaudited)
<TABLE>
<CAPTION>
For the Nine Months Ended September 30,
1995 1994
CASH FLOWS FROM OPERATING ACTIVITIES
<S> <C> <C>
Net income (loss) $ 5,024,273 $ (5,900,168)
Noncash item included in net income (loss):
Net change in unrealized 2,912,295 4,269,041
(Increase) decrease in operating assets:
Receivable from DWR (88,295) (41,233)
Interest receivable (DWR) 28,566 (40,263)
Increase (decrease) in operating liabilities:
Common administrative expenses payable (44,369) (20,477)
Accrued management fees (13,618) (24,079)
Accrued brokerage commissions (DWR) (87,814) (21,656)
Accrued transaction fees and costs 10,199 (2,289)
Net cash provided by (used for) operating activities 7,741,237 (1,781,124)
CASH FLOWS FROM FINANCING ACTIVITIES
Offering of units 49,000 5,116,148
Increase (decrease) in redemptions payable (144,236) 245,369
Redemptions of units (9,014,668) (6,684,927)
Net cash used for financing activities (9,109,904) (1,323,410)
Net decrease in cash (1,368,667) (3,104,534)
Balance at beginning of period 42,884,780 50,843,284
Balance at end of period $41,516,113 $47,738,750
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
DEAN WITTER CORNERSTONE FUND III
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 III (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 III
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 Partnership has a master netting agreement with DWR.
3. Trading Managers
The trading managers who make all trading decisions for the
Partnership are as follows:
Computerized Commodity Advisory, Inc.
Sunrise Commodities, 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. 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.
<PAGE>
DEAN WITTER CORNERSTONE FUND III
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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 $109,901,591
Commitments to Sell $ 3,587,595
Commodity Futures:
Commitments to Purchase $ 80,585,952
Commitments to Sell $ 21,225,378
Foreign Futures:
Commitments to Purchase $ 94,488,507
Commitments to Sell $ 34,598,643
A portion of the amounts indicated as off-balance sheet risk in
forward currency contracts is due to offsetting forward commitments
to purchase and 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 $2,104,562 at
<PAGE>
DEAN WITTER CORNERSTONE FUND III
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
September 30, 1995. The $2,104,562 net unrealized gain on open
contracts as of September 30, 1995 related to exchange traded
futures contracts.
Exchange Traded Futures Contracts held by the Partnership at
September 30, 1995 mature through December 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.
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
<PAGE>
DEAN WITTER CORNERSTONE FUND III
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
unrealized gain on all open futures contracts which funds totalled
$43,620,675 at September 30, 1995. With respect to the
Partnership'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
<PAGE>
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
<PAGE>
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, clearing-
houses 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.
<PAGE>
Capital Resources. The Partnership does not have, nor does it
expect to have, any capital assets. Redemptions and exchanges of
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 revenues including interest income were $483,600. During
the third quarter, the Partnership posted a loss in Net Asset Value
per Unit. The most significant trading losses were recorded in
metals and soft commodities trading. In the metals markets,
trading in copper futures resulted in losses, as prices were
trendless throughout the quarter. Additional losses within this
complex were recorded in aluminum, silver and zinc futures, as base
metals prices moved in a short-term volatile range. In soft
commodities, losses were recorded during most of the quarter as
prices remained similarly trendless. Energy futures trading also
resulted in losses to the Partnership as oil and gas prices
remained without consistent direction. In other markets, losses
were recorded in financial futures as eurodollar prices move
predominantly trendless during August and September. Additional
losses within this complex were recorded in U.S. Treasury bond
futures due to price choppiness in July and in Nikkei stock index
futures which abruptly halted their downward trend during July.
<PAGE>
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. Additional Partnership gains were recorded
in corn futures during August and September as prices began to move
higher. These gains helped in offsetting a portion of the
Partnership's losses experienced during the third quarter of the
year. Total expenses for the period were $1,328,727, resulting
in a net loss of $845,127. The value of an individual Unit in the
Partnership decreased from $2,232.26 at June 30, 1995 to $2,193.32
at September 30, 1995.
For the nine months ended September 30, 1995, the Partnership's
total trading revenues including interest income were $9,621,446.
During the first three quarters of the year, the Partnership posted
a gain in Net Asset Value per Unit. The most significant trading
gains were recorded in global interest rate futures, as bond prices
trended higher between February and May. Long positions in
Japanese, U.S. and German interest rate futures resulted in strong
gains for the Partnership during this period. Currency trading
also contributed to the overall gains as an upward trend in the
Japanese yen and German mark versus the U.S. dollar occurred
through February, March and April. This upward trend in these two
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. Smaller gains were recorded in
corn and wheat futures during the first three quarters of the year
<PAGE>
as prices moved higher. Trading losses were recorded in precious
and base metals, soft commodities, soybean products and energy
futures, primarily as a result of choppy price movement. These
losses offset a portion of the Partnership's gains experienced
during the first three quarters of the year. Total expenses for
the period were $4,597,173, resulting in net income of $5,024,273.
The value of an individual Unit in the Partnership increased from
$1,967.64 at December 31, 1994 to $2,193.32 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 $1,895,481. During the
third quarter, the Partnership posted a loss in Net Asset Value per
Unit. The most significant trading losses were recorded in the
currency markets from transactions involving the Japanese yen
during July and August. Additional trading losses were recorded in
the financial, metals and energy markets as a result of overall
trendless price movement in these markets throughout the quarter.
The majority of these losses were recorded from transactions
involving U.S. and European interest rate futures, precious metals
and crude oil. Trading gains in the international markets from
trading coffee, and in the agricultural markets from trading wheat
and soybean products, offset a portion of overall Fund losses for
the third quarter. Total expenses for the period were
$1,667,140, resulting in a net loss of $3,562,621. The value of an
individual Unit in the Partnership decreased from $2,100.89 at June
30, 1994 to $1,960.84 at September 30, 1994.
<PAGE>
For the nine months ended September 30, 1994, the Partnership's
total trading losses net of interest income were $789,180. During
the first nine months, the Partnership posted a net loss in Net
Asset Value per Unit. The Partnership posted losses during the
first nine months of 1994 primarily from trading in the currency
markets. Specifically, the short-term volatile movement of the
value of the Japanese yen resulted in the Fund's most significant
losses within the currency sector. The Partnership also posted
losses during this period from trendless price movement in each of
the financial, metals and agricultural markets. Trading gains
resulting from a significant increase in coffee prices reduced
overall losses for the Fund during the first nine months of the
year. Total expenses for the period were $5,110,988, resulting in
a net loss of $5,900,168. The value of an individual Unit in the
Partnership decreased from $2,187.31 at December 31, 1993 to
$1,960.84 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 III
(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.
<TABLE> <S> <C>
<ARTICLE> 5
<LEGEND>The schedule contains summary fnancial information
extracted from Dean Witter Cornerstone Fund III and is
qualified in its entirety by reference to such financial
instruments.
<CIK> 0000737000
<NAME> Dean Witter Cornerstone Fund III
<S> <C>
<PERIOD-TYPE> 9-MOS
<FISCAL-YEAR-END> SEP-30-1995
<PERIOD-END> SEP-30-1995
<CASH> 41,516,113
<SECURITIES> 0
<RECEIVABLES> 466,366
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 44,087,041<F1>
<CURRENT-LIABILITIES> 0
<BONDS> 0
<COMMON> 0
0
0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 44,087,041<F2>
<SALES> 0
<TOTAL-REVENUES> 9,621,446<F3>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 4,597,173
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 5,024,273
<INCOME-TAX> 0
<INCOME-CONTINUING> 5,024,273
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 5,024,273
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
<FN>
<F1>In addition to cash and receivables, total assets include net unrealized
gain on open contracts of $2,104,562.
<F2>Liabilities include redemptions payable of $521,942, accrued management
fees of $145,277 and common administrative expenses payable of $222,036.
<F3>Total revenue includes realized trading revenue of $10,939,777, net
change in unrealized of ($2,912,295) and interest income of $1,593,964.
</FN>
</TABLE>
