<PAGE>
AS FILED WITH THE SECURITIES AND EXCHANGE COMMISSION ON JUNE 26, 1995
FILE NO. 33-86894
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- --------------------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
--------------------------
FORM S-1
AMENDMENT NO. 1
REGISTRATION STATEMENT
UNDER
THE SECURITIES ACT OF 1933
------------------------
IDS MANAGED FUTURES, L.P.
(Exact name of registrant as specified in Limited Partnership Agreement)
<TABLE>
<S> <C> <C>
DELAWARE 6793 06-1189438
(Jurisdiction of formation) (Primary standard (IRS employer
industrial classification identification
code number) number)
</TABLE>
CIS INVESTMENTS, INC.
233 SOUTH WACKER DRIVE, SUITE 2300
CHICAGO, ILLINOIS 60606
(312) 460-4000
(Address, including zip code, and telephone number, including area code, of
registrant's principal executive office)
L. CARLTON ANDERSON
CIS INVESTMENTS, INC.
233 SOUTH WACKER DRIVE, SUITE 2300
CHICAGO, ILLINOIS 60606
(312) 460-4000
(Name, address, including zip code, and telephone number, including area code,
of agent for service)
------------------------------
COPIES OF COMMUNICATIONS TO:
David M. Kozak, Esq.
Chapman and Cutler
111 West Monroe Street
Chicago, Illinois 60603
(312) 845-3000
--------------------------
APPROXIMATE DATE OF COMMENCEMENT OF PROPOSED SALE TO PUBLIC:
AS SOON AS PRACTICABLE AFTER THIS REGISTRATION STATEMENT BECOMES EFFECTIVE.
--------------------------
PURSUANT TO THE PROVISIONS OF RULE 429 UNDER THE SECURITIES ACT OF 1933,
THIS REGISTRATION STATEMENT RELATES TO REGISTRATION STATEMENT NO. 33-72240 FILED
BY THE REGISTRANT. THE PROSPECTUS FORMING A PART OF THIS REGISTRATION STATEMENT
SHALL SERVE THE PURPOSES SPECIFIED IN RULE 429.
--------------------------
If any of the securities being registered on this Form are to be offered on
a delayed or continuous basis pursuant to Rule 415 under the Securities Act of
1933 check the following box. /X/
--------------------------
CALCULATION OF REGISTRATION FEE
<TABLE>
<CAPTION>
AMOUNT OF UNITS PROPOSED MAXIMUM
TITLE OF EACH CLASS OF TO PROPOSED MAXIMUM AGGREGATE OFFERING AMOUNT OF
SECURITIES TO BE REGISTERED BE REGISTERED OFFERING PRICE PER UNIT* PRICE* REGISTRATION FEE
<S> <C> <C> <C> <C>
Units of Limited Partnership 174,904* Net Asset Value per $50,000,000 (plus $17,240
Interest Unit, plus the Sales any unsold amount
Charge and the Offering from 1994 offering)
Expense Charge $285.87
</TABLE>
*Units of Limited Partnership Interest ("Units") will be offered at a price per
Unit equal to the Net Asset Value per Unit as of the close of business on the
last business day of the month in which the General Partners accept
subscriptions and admit the subscribers to the Fund as Limited Partners, plus
the amount of the Sales Charge and the Offering Expense Charge on a per Unit
basis. Representatives and employees of the Selling Agent and certain of its
corporate affiliates ("Affiliated Purchasers") will not be assessed the Sales
Charge. See "Plan of Distribution." If a subscriber is to be eligible for
admission to the Fund at the end of a month, his or her subscription must be
received by the tenth calendar day of that month. Subscriptions received after
the tenth calendar day of a month will be held in an escrow account until the
end of the following month. The maximum amount of this offering of Units is
$50,000,000 (plus the unsold remainder from the Fund's 1994 offering). As of
April 30, 1995, the Net Asset Value of the Units was $28,669,852.68, the Net
Asset Value per Unit was $260.14 and the Net Asset Value per Unit net of
interest income was $232.68. The proposed maximum offering price per Unit to
non-affiliated purchasers is 109.8901% of the Net Asset Value per Unit. The
amount of Units to be registered is based on the proposed maximum offering
price per Unit of $285.87. Due to fluctuations in the Net Asset Value of Units
(which determines the price at which Units may be sold), the number of Units
that may actually be sold is not subject to estimate.
--------------------------
THE REGISTRANT HEREBY AMENDS THIS REGISTRATION STATEMENT ON SUCH DATE OR
DATES AS MAY BE NECESSARY TO DELAY ITS EFFECTIVE DATE UNTIL THE REGISTRANT SHALL
FILE A FURTHER AMENDMENT WHICH SPECIFICALLY STATES THAT THIS REGISTRATION
STATEMENT SHALL THEREAFTER BECOME EFFECTIVE IN ACCORDANCE WITH SECTION 8(A) OF
THE SECURITIES ACT OF 1933 OR UNTIL THIS REGISTRATION STATEMENT SHALL BECOME
EFFECTIVE ON SUCH DATE AS THE SECURITIES AND EXCHANGE COMMISSION, ACTING
PURSUANT TO SAID SECTION 8(A), MAY DETERMINE.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<PAGE>
IDS MANAGED FUTURES, L.P.
CROSS REFERENCE SHEET SHOWING LOCATION IN PROSPECTUS
OF INFORMATION REQUIRED BY FORM S-1
PART I
INFORMATION REQUIRED IN PROSPECTUS
<TABLE>
<CAPTION>
ITEM NO. REGISTRATION ITEM HEADING IN PROSPECTUS
- ------------ -------------------------------------------------- -------------------------------------------------
<C> <S> <C>
1. Forepart of the Registration Statement and Outside
Front Cover Page of Prospectus................... Forepart and Outside Front Cover Page
2. Inside Front and Outside Back Cover Pages of
Prospectus....................................... Inside Front Cover Page
3. Summary Information and Risk Factors.............. Summary of the Prospectus; Commodity Futures
Trading Commission Risk Disclosure Statement;
CFTC Risk Disclosure Statement: Foreign Futures
and Foreign Options; Risk Factors; Conflicts of
Interest
4. Use of Proceeds................................... Use of Proceeds; Capitalization
5. Determination of Offering Price................... Cover Page Notes
6. Dilution.......................................... Not Applicable
7. Selling Security Holders.......................... Not Applicable
8. Plan of Distribution.............................. Plan of Distribution; Cover Page Notes
9. Description of the Securities To Be Registered.... Description of Units; Redemptions; Summary of the
Prospectus; Amended and Restated Limited
Partnership Agreement
10. Interests of Named Experts and Counsel............ Not Applicable
11. Information With Respect to the Registrant........ Summary of the Prospectus; Use of Proceeds;
Description of Commodity Trading; Trading
Policies; The General Partners; Brokerage
Arrangements; Financial Statements; Charges to
the Fund; Conflicts of Interest
12. Disclosure of Commission Position on
Indemnification for Securities Act Liabilities... Amended and Restated Limited Partnership
Agreement
</TABLE>
<PAGE>
INFORMATION CONTAINED HEREIN IS SUBJECT TO COMPLETION OR AMENDMENT. A
REGISTRATION STATEMENT RELATING TO THESE SECURITIES HAS BEEN FILED WITH THE
SECURITIES AND EXCHANGE COMMISSION. THESE SECURITIES MAY NOT BE SOLD NOR MAY
OFFERS TO BUY BE ACCEPTED PRIOR TO THE TIME THE REGISTRATION STATEMENT BECOMES
EFFECTIVE. THIS PROSPECTUS SHALL NOT CONSTITUTE AN OFFER TO SELL OR THE
SOLICITATION OF AN OFFER TO BUY NOR SHALL THERE BE ANY SALE OF THESE SECURITIES
IN ANY STATE IN WHICH SUCH OFFER, SOLICITATION OR SALE WOULD BE UNLAWFUL PRIOR
TO REGISTRATION OR QUALIFICATION UNDER THE SECURITIES LAWS OF ANY SUCH STATE.
<PAGE>
SUBJECT TO COMPLETION, DATED JUNE 26, 1995
IDS MANAGED FUTURES, L.P.
$50,000,000 OF UNITS OF LIMITED PARTNERSHIP INTEREST
Minimum Purchase $1,000
IDS Managed Futures, L.P. (the "Fund") is a Delaware limited partnership
organized to engage in speculative trading of futures contracts, forward
contracts, physical commodities, and related options thereon ("commodity
interests"). The Fund began trading on June 16, 1987 with respect to its initial
units of limited partnership interest (the "Initial Units"). The Fund's initial
capitalization was $7,372,260. The Fund registered an additional $10,000,000 of
Limited Partnership Interests effective March 29, 1993, and an additional
$20,000,000 of Units effective January 31, 1994. As of April 30, 1995,
$20,734,879 of Units had been sold since March 29, 1993 in the continuing
offering, leaving $9,265,121 of Units unsold from the 1994 offering (the "Unsold
Amount"). As of April 30, 1995 the net capital contributions to the Fund were
$22,611,130.14. By this offering, the Fund will offer an additional $50,000,000
worth of Units plus the Unsold Amount. The offering of Limited Partnership
Interests shall continue until ________, 1997 (or an earlier date when the
amount of Units registered are sold). The Net Asset Value per Initial Unit at
the commencement of trading in 1987 was $225.43. As of April 30, 1995, the Net
Asset Value per Unit was $260.14; the Net Asset Value per Unit net of interest
income was $232.68; the Net Asset Value of the Fund was $28,669,852.68. At the
close of business on February 28, 1995, each Unit was divided into three Units
(the "3-for-1 split"), each of which had a Net Asset Value per Unit equal to the
previous Net Asset Value per Unit divided by three. Accordingly, the total
number of Units outstanding tripled as of that date. References in this
Prospectus to Net Asset Value per Unit after that date, therefore, are to a Net
Asset Value per Unit of a revalued Unit, approximately one-third the Net Asset
Value per Unit prior to the 3-for-1 split, which was $690.75. Past results are
not necessarily indicative of future performance. See "The General
Partners--Past Performance of the General Partners" for a description of the
Fund's performance.
The Fund is administered by CIS Investments, Inc. ("CISI") and IDS Futures
Corporation ("IDS Futures"). CISI and IDS Futures are collectively referred to
herein as the "General Partners." Cargill Investor Services, Inc. (the "Clearing
Broker"), an affiliate of CISI, acts as the Fund's clearing broker. American
Express Financial Advisors Inc. acts as the Fund's introducing broker (the
"Introducing Broker") and as the Fund's selling agent (the "Selling Agent").
American Express Financial Advisors Inc., an affiliate of IDS Futures, was named
IDS Financial Services Inc. until December 31, 1994. See "Conflicts of
Interest." The current trading advisors to the Fund (the "Trading Advisors") are
John W. Henry & Co., Inc. and Sabre Fund Management Limited.
Additional units of limited partnership interest are being solicited until
________, 1997 (the "Offering Period"). The units of limited partnership
interest offered by this Prospectus are collectively referred to herein as the
"Units." The minimum subscription (including subscriptions of Individual
Retirement Accounts and Keogh Plans) is $1,000 although certain states may
require a higher minimum subscription (see "Exhibit B"); any greater
subscription amount must be in increments of $100. Of an initial $1,000
investment, approximately $910 will be available for trading by the Fund,
although this amount may be greater under certain circumstances. Purchasers are
likely to receive fractional Units. Additionally, each subscriber to the Fund
must represent that his or her net worth is at least $150,000 or, in the
alternative, he or she has a minimum annual gross income of at least $45,000
plus a net worth of at least $45,000.
THESE ARE SPECULATIVE SECURITIES AND INVOLVE A HIGH DEGREE OF RISK. THESE
SECURITIES ARE SUITABLE FOR INVESTMENT ONLY BY A PERSON WHO CAN AFFORD TO LOSE
HIS OR HER ENTIRE INVESTMENT. SEE "INTRODUCTORY STATEMENT--WHO SHOULD INVEST"
AND "RISK FACTORS."
An investment in the Fund involves significant risks, including the following:
- - The speculative and volatile nature of trading in commodity interests which
could result in the loss of all or a substantial part of an investment.
- - Substantial charges to the Fund which will require trading profits in 1995 of
approximately 8.985% of average Net Asset Value in order to break even.
- - Reliance on the Trading Advisors to achieve trading profits.
- - Conflicts of interest between the General Partners, Trading Advisors, and the
Fund's brokers and the Fund.
- - Restriction on redemption rights limiting liquidity.
For a detailed description of the foregoing risks and other risk factors
applicable to an investment in the Fund, see "Risk Factors" on page 17.
TRANSFERABILITY OF THE UNITS IS RESTRICTED AND THERE IS AND WILL BE NO PUBLIC
MARKET THEREFOR. UNITS ARE REDEEMABLE, SUBJECT TO CERTAIN CONDITIONS, ONLY ON
THE LAST TRADING DAY OF A MONTH UPON TEN DAYS WRITTEN NOTICE TO THE GENERAL
PARTNERS. SEE "LIMITED PARTNERSHIP AGREEMENT" AND "REDEMPTIONS."
THESE SECURITIES HAVE NOT BEEN APPROVED OR DISAPPROVED BY THE SECURITIES AND
EXCHANGE COMMISSION NOR HAS THE COMMISSION PASSED UPON THE ACCURACY OR ADEQUACY
OF THIS PROSPECTUS. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE.
THESE SECURITIES HAVE NOT BEEN APPROVED OR DISAPPROVED BY THE SECURITIES
COMMISSION OR AGENCY OF ANY STATE, NOR HAS ANY SUCH COMMISSION OR AGENCY PASSED
UPON THE ACCURACY OR ADEQUACY OF THIS PROSPECTUS. ANY REPRESENTATION TO THE
CONTRARY IS A CRIMINAL OFFENSE.
THE COMMODITY FUTURES TRADING COMMISSION HAS NOT PASSED UPON THE MERITS OF
PARTICIPATING IN THIS POOL NOR HAS THE COMMISSION PASSED ON THE ADEQUACY OR
ACCURACY OF THIS PROSPECTUS.
<TABLE>
<CAPTION>
Selling Commissions (2) and Proceeds to the
Price to Public (1) Offering Expense Charge (3) Fund (3)(4)
<S> <C> <C> <C>
Per Unit Net Asset Value per Sales Charge and Offering Expense Charge of (3)(4)
Price Unit 9.8901%, collectively, of Net Asset Value per
Unit [minus reductions in Sales Charge for
certain subscriptions].
Total Maximum $50,000,000 [plus $4,500,000 [plus charges on unsold remainder] $4,500,000 [plus net
unsold remainder from unsold remainder from
1/94 offering] 1/94 offering]
</TABLE>
(Notes begin on the following page)
AMERICAN EXPRESS FINANCIAL ADVISORS INC.
The date of this Prospectus is , 1995.
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
Units are being offered at a price per Unit equal to Net Asset Value per Unit as
of the close of business on the last business day of the month in which the
General Partners accept such subscriptions and admit subscribers as Limited
Partners, plus the amount of the Sales Charge and the Offering Expense Charge on
a per Unit basis. See Notes 2 and 3 below for descriptions of the Sales Charge
and the Offering Expense Charge, respectively, and how they are calculated.
Representatives and employees of American Express Financial Advisors Inc. and
certain of its corporate affiliates ("Affiliated Purchasers") who purchase Units
will not be assessed a Sales Charge.
All subscription documents from a potential investor must be received by the
tenth calendar day of the month if they are to be considered for acceptance by
the Fund in that month. The Selling Agent will promptly send a confirmation of
the investment and a copy of the Fund's most recent monthly account statement to
the potential investor. The investor will then have sixteen days from the date
of the confirmation from the Selling Agent to determine whether he or she wishes
his or her subscription to be retained by the Fund. The potential investor must
notify the Selling Agent by mail or telephone (pursuant to instructions in the
notice from the Selling Agent) of his or her decision not to invest. No further
action is required in response to the notification from the Selling Agent if the
investor elects to subscribe. The investor's negative response must be received
by the Selling Agent within the sixteen day period. Investors electing to
withdraw their subscription pursuant to the above alternative will promptly
receive a return of their subscription funds from the escrow agent. The investor
may withdraw his or her subscription for any reason during this review period.
See the "Free Look Alternative."
All subscriptions are subject to acceptance by the General Partners. In the
event that offers to subscribe are rejected by the General Partners for any
reason, then all or the rejected portion of the tendered consideration for such
subscription shall be promptly returned to the purchaser.
The anticipated duration of the Fund is approximately eleven years; the Fund's
operations will cease on December 31, 2006. However, the Fund may terminate its
operations at an earlier date upon the occurrence of special circumstances
detailed in the Amended and Restated Limited Partnership Agreement attached to
this Prospectus as Exhibit A.
The Units are being offered by the Selling Agent on a best-efforts basis. Each
subscriber will have a sixteen day "Free Look" period to determine whether he or
she wishes to have the Fund retain his or her subscription. See "Free Look
Alternative." Proceeds from subscriptions accepted during the Offering Period
will be held in escrow at FirsTier Bank, N.A., Lincoln, Nebraska (the "Escrow
Agent") prior to the time that the proceeds of such subscriptions are applied to
the purchase of Units. Subscribers will be paid interest on funds deposited with
the Escrow Agent within 30 days after the date on which they are admitted to the
Fund as Limited Partners, except that if any subscriber's accrued interest is
less than $10, such interest shall be paid to the Fund and not to the
subscriber. Subscription proceeds deposited with the Escrow Agent may not be
withdrawn by subscribers. See "Plan of Distribution."
- --------------------------------------------------------------------------------
NOTES:
(1) Units having an aggregate offering price of $50,000,000 (plus the Unsold
Amount) are offered by this Prospectus. Units will be offered to Affiliated
Purchasers at a price equal to 103.0928% of Net Asset Value per Unit as of
the close of business on the last business day of the month in which the
General Partners accept such subscriptions and admit the subscribers as
Limited Partners to the Fund and to non-Affiliated Purchasers at a maximum
price equal to 109.8901% of Net Asset Value per Unit as of the close of
business on the last business day of the month in which the General Partners
accept such subscriptions and admit the subscribers as Limited Partners to
the Fund. The price for non-Affiliated Purchases may be less than maximum
stated depending on amount subscribed. (See "Description of Changes to the
Fund--Sales Charge"). In order to produce the maximum selling commission
equivalent to 6% of the gross per Unit price (the "Sales Charge") and a
charge for other offering expenses equivalent to 3% of the gross per Unit
price (the "Offering Expense Charge"), a maximum Sales Charge and the
Offering Expense Charge (collectively, 9.8901% of the Net Asset Value per
Unit) will be assessed on subscriptions by non-Affiliated Purchasers.
Affiliated Purchasers will purchase Units during the Offering Period, as
described above, at a price equal to the Net Asset Value per Unit, plus the
Offering Expense Charge. The Offering Expense Charge will be assessed on
subscriptions by Affiliated Purchasers in order to defray offering expenses
(not including a selling commission). In no event shall reimbursement for
total offering expenses (including selling commissions) exceed an amount
equal to 9% of the gross proceeds of the offering. Purchasers are likely to
receive fractional Units. Subscriptions for Units which are received after
the tenth calendar day of a month will be held in the escrow account, due to
the length of time required to process subscriptions, and, if not rejected,
the subscriber will be admitted to the Fund at the subsequent admission of
subscribers to the Fund after the end of such month. Additional Limited
Partners will be admitted to the Fund not more frequently than the end of
each full
ii
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
calendar month. Additional Limited Partners will be admitted to the Fund as
of the close of business on the last business day of each full calendar
month, provided that such proceeds were received by the tenth calendar day
of that month. The Units are being offered by the Fund through the Selling
Agent on a best-efforts basis without any firm underwriting commitment.
There can be no assurance that any or all of the Units being offered will be
sold. The Fund and the General Partners will indemnify the Selling Agent and
its controlling persons against certain liabilities. See "Plan of
Distribution." As of the close of business February 28, 1995, the Net Asset
Value per Unit changed to reflect the 3-for-1 split in Units occurring on
that date. For purposes of comparison, purchasers should refer to the
$690.75 Net Asset Value per Unit on that date.
(2) On the day a subscriber is admitted to the Fund the Selling Agent will
receive the Sales Charge from the proceeds of the offering with respect to
Units sold to investors other than Affiliated Purchasers. See "Plan of
Distribution." The maximum amount of such payments to the Selling Agent will
be $3,000,000 if all Units offered hereby are sold to investors other than
Affiliated Purchasers, and $50,000,000 in capital is raised in this offering
and no one purchaser subscribes for an amount more than $50,000. No Sales
Charge will be assessed with respect to Units purchased by Affiliated
Purchasers. (Units are offered to Affiliated Purchasers at a lower price per
Unit because no Sales Charge will be charged to such purchasers.) In
addition, the Selling Agent, as the Fund's Introducing Broker for trades in
commodity interests, receives a portion of the per trade commodity brokerage
commissions paid by the Fund in return for certain ongoing services to be
rendered to holders of Units, and such compensation could be deemed to be
underwriting compensation (and, therefore, to be additional offering
charges). See "Plan of Distribution" and "Charges to the Fund."
(3) The General Partners have agreed to advance the expenses of this offering
(other than selling commissions), estimated at $1,500,000, including legal,
accounting, auditing, marketing, filing, registration and recording fees,
printing expenses, and escrow charges. Such $1,500,000 estimate is based
upon an assumption that $50,000,000 in capital will be raised in the
complete offering beginning on June __, 1995 for purposes of calculating the
variable elements of such expenses. In return for advancing such offering
expenses, the General Partners will receive the Offering Expense Charge with
respect to Units sold to all purchasers. The General Partners will not be
reimbursed for the payment of such offering expenses from any other source.
If the aggregate Units sold during the Offering Period do not produce
sufficient funds for reimbursement of the funds advanced by the General
Partners for such offering expenses, the General Partners will be
responsible for the shortfall. If the aggregate Units sold during the
Offering Period produce funds in excess of those advanced by the General
Partners for such offering expenses, the General Partners will retain any
excess. See "Plan of Distribution." Notwithstanding the foregoing, in no
event will reimbursement for total offering expenses (including selling
commissions) exceed an amount equal to 9% of the gross proceeds from the
sale of Units, nor will any individual Limited Partner pay more than 9% of
the gross amount of his or her subscription toward such reimbursement. This
limitation on reimbursement of offering expenses is well within the 15%
limitation on such expenses under rules adopted by the National Association
of Securities Dealers, Inc.
(4) The additional Units offered by this Prospectus will be offered through
________, 1997 (the "Offering Period"), unless all of such Units are
previously sold. Proceeds of subscriptions will be deposited with the Fund's
Clearing Broker on the first trading day of the month after the subscriber
has been admitted to the Fund and the subscriber will receive Units in
exchange. (See Note 1, above.) Proceeds from subscriptions accepted during
the Offering Period will be held in escrow by FirsTier Bank, N.A., Lincoln,
Nebraska. Subscriptions for Units received after the tenth calendar day of a
month will be held in the escrow account, if not rejected, until the
subsequent admission of subscribers to the Fund after the end of such month,
and will earn interest during that time. See "Plan of Distribution."
The Fund will furnish all holders of Units annual and monthly reports complying
with the regulations of the Commodity Futures Trading Commission. The annual
certified reports will contain audited, and the monthly reports unaudited,
financial information.
Until , 1995, all dealers effecting transactions in the registered
securities, whether or not participating in this distribution, may be required
to deliver a Prospectus. This is in addition to the obligation of dealers to
deliver a Prospectus when acting as underwriters and with respect to their
unsold allotments or subscriptions.
NO PERSON IS AUTHORIZED TO GIVE ANY INFORMATION OR TO MAKE ANY REPRESENTATION
NOT CONTAINED IN THIS PROSPECTUS IN CONNECTION WITH THE MATTERS DESCRIBED
HEREIN, AND, IF GIVEN OR MADE, SUCH INFORMATION OR REPRESENTATION MUST NOT BE
RELIED UPON AS HAVING BEEN AUTHORIZED. THIS PROSPECTUS DOES NOT CONSTITUTE AN
OFFER BY ANY PERSON WITHIN ANY JURISDICTION TO ANY PERSON TO WHOM SUCH OFFER
WOULD BE UNLAWFUL. THE DELIVERY OF THIS PROSPECTUS AT ANY TIME DOES NOT IMPLY
THAT INFORMATION CONTAINED HEREIN IS CORRECT AS OF ANY TIME SUBSEQUENT TO ITS
DATE.
iii
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
COMMODITY FUTURES TRADING COMMISSION
RISK DISCLOSURE STATEMENT
YOU SHOULD CAREFULLY CONSIDER WHETHER YOUR FINANCIAL CONDITION PERMITS YOU TO
PARTICIPATE IN A COMMODITY POOL. YOU MAY LOSE A SUBSTANTIAL PORTION OR EVEN ALL
OF THE MONEY YOU PLACE IN THE POOL.
IN CONSIDERING WHETHER TO PARTICIPATE IN A COMMODITY POOL, YOU SHOULD BE AWARE
THAT TRADING COMMODITY CONTRACTS CAN QUICKLY LEAD TO LARGE LOSSES AS WELL AS
GAINS. SUCH TRADING LOSSES CAN SHARPLY REDUCE THE NET ASSET VALUE OF THE POOL
AND CONSEQUENTLY THE VALUE OF YOUR INTEREST IN THE POOL. ALSO, MARKET CONDITIONS
MAY MAKE IT DIFFICULT OR IMPOSSIBLE FOR THE POOL TO LIQUIDATE A POSITION.
IN SOME CASES, COMMODITY POOLS ARE SUBJECT TO SUBSTANTIAL CHARGES FOR
MANAGEMENT, ADVISORY AND BROKERAGE FEES. IT MAY BE NECESSARY FOR THOSE POOLS
THAT ARE SUBJECT TO THESE CHARGES TO MAKE SUBSTANTIAL TRADING PROFITS TO AVOID
DEPLETION OR EXHAUSTION OF THEIR ASSETS. THIS DISCLOSURE DOCUMENT CONTAINS A
COMPLETE DESCRIPTION OF EACH EXPENSE TO BE CHARGED TO THE FUND.
THIS BRIEF STATEMENT CANNOT DISCLOSE ALL OF THE RISKS AND OTHER SIGNIFICANT
ASPECTS OF INVESTING IN A COMMODITY POOL. YOU SHOULD THEREFORE CAREFULLY STUDY
THIS DISCLOSURE DOCUMENT AND COMMODITY TRADING BEFORE YOU DECIDE TO PARTICIPATE
IN A COMMODITY POOL.
1
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
FREE LOOK ALTERNATIVE
COMMODITY FUTURES TRADING COMMISSION RULE 4.21(F) PROVIDES THAT IN CONNECTION
WITH SOLICITING PROSPECTIVE PARTICIPANTS FOR A COMMODITY POOL, THE COMMODITY
POOL OPERATOR MUST ATTACH TO THE DISCLOSURE DOCUMENT FOR THE POOL COPIES OF THE
POOL'S MOST CURRENT ACCOUNT STATEMENT. THE POOL OPERATORS FOR THIS FUND HAVE
REQUESTED, AND HAVE BEEN GRANTED, AN EXEMPTION FROM THIS RULE BY THE COMMODITY
FUTURES TRADING COMMISSION PURSUANT TO THE FUND'S "FREE LOOK ALTERNATIVE."
UNDER THE FREE LOOK ALTERNATIVE, PROSPECTIVE PARTICIPANTS WILL SIGN AND FORWARD,
ALONG WITH THEIR INVESTMENT CHECK, THE APPROPRIATE SUBSCRIPTION DOCUMENTS
ATTACHED TO THIS DISCLOSURE DOCUMENT TO THE HOME OFFICE OF AMERICAN EXPRESS
FINANCIAL ADVISORS INC. AMERICAN EXPRESS FINANCIAL ADVISORS INC. WILL THEN SEND
A CONFIRMATION OF THE INVESTMENT AND A COPY OF THE FUND'S MOST RECENT ACCOUNT
STATEMENT TO THE PROSPECTIVE PARTICIPANT ON THE NEXT BUSINESS DAY. THE MAILING
OF THE CONFIRMATION AND ACCOUNT STATEMENT BY AMERICAN EXPRESS FINANCIAL ADVISORS
INC. MARKS THE BEGINNING OF THE "FREE LOOK" PERIOD.
THE FREE LOOK PERIOD IS 16 DAYS. DURING THIS TIME, PROSPECTIVE PARTICIPANTS WILL
HAVE THE OPPORTUNITY TO DETERMINE WHETHER THEY WISH THEIR SUBSCRIPTION AMOUNT TO
BE RETAINED BY THE FUND. PROSPECTIVE PARTICIPANTS MAY RESCIND THEIR
SUBSCRIPTIONS DURING THE FREE LOOK PERIOD FOR ANY REASON.
PROSPECTIVE PARTICIPANTS MAY NOTIFY AMERICAN EXPRESS FINANCIAL ADVISORS INC. OF
THEIR DECISION TO WITHDRAW THEIR SUBSCRIPTIONS EITHER BY MAIL OR BY TELEPHONIC
COMMUNICATION PURSUANT TO INSTRUCTIONS RECEIVED FROM AMERICAN EXPRESS FINANCIAL
ADVISORS INC. IN THE CONFIRMATION.
2
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
CFTC RISK DISCLOSURE STATEMENT: FOREIGN FUTURES AND FOREIGN OPTIONS
THE RISK OF LOSS IN TRADING FOREIGN FUTURES AND FOREIGN OPTIONS CAN BE
SUBSTANTIAL. THEREFORE, YOU SHOULD CAREFULLY CONSIDER WHETHER SUCH TRADING IS
SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IN CONSIDERING WHETHER TO
TRADE FOREIGN FUTURES OR FOREIGN OPTIONS, YOU SHOULD BE AWARE OF THE FOLLOWING:
1. PARTICIPATION IN FOREIGN FUTURES AND FOREIGN OPTIONS TRANSACTIONS INVOLVES
THE EXECUTION AND CLEARING OF TRADES ON OR SUBJECT TO THE RULES OF A FOREIGN
BOARD OF TRADE.
2. NEITHER THE COMMODITY FUTURES TRADING COMMISSION, THE NATIONAL FUTURES
ASSOCIATION NOR ANY DOMESTIC EXCHANGE REGULATES ACTIVITIES OF ANY FOREIGN
BOARDS OF TRADE, INCLUDING THE EXECUTION, DELIVERY AND CLEARING OF
TRANSACTIONS, OR HAS THE POWER TO COMPEL ENFORCEMENT OF THE RULES OF A
FOREIGN BOARD OF TRADE OR ANY APPLICABLE FOREIGN LAWS. GENERALLY THE FOREIGN
TRANSACTION WILL BE GOVERNED BY APPLICABLE FOREIGN LAW. THIS IS TRUE EVEN IF
THE EXCHANGE IS FORMALLY LINKED TO A DOMESTIC MARKET SO THAT A POSITION
TAKEN ON THE MARKET MAY BE LIQUIDATED BY A TRANSACTION ON ANOTHER MARKET.
MOREOVER, SUCH LAWS OR REGULATIONS WILL VARY DEPENDING ON THE FOREIGN
COUNTRY IN WHICH THE FOREIGN FUTURES OR FOREIGN OPTIONS TRANSACTION OCCURS.
3. FOR THESE REASONS, CUSTOMERS WHO TRADE FOREIGN FUTURES OR FOREIGN OPTIONS
CONTRACTS MAY NOT BE AFFORDED CERTAIN OF THE PROTECTIVE MEASURES PROVIDED BY
THE COMMODITY EXCHANGE ACT, THE COMMISSION'S REGULATIONS AND THE RULES OF
THE NATIONAL FUTURES ASSOCIATION AND ANY DOMESTIC EXCHANGE, INCLUDING THE
RIGHT TO USE REPARATIONS PROCEEDINGS BEFORE THE COMMISSION AND ARBITRATION
PROCEEDINGS PROVIDED BY THE NATIONAL FUTURES ASSOCIATION OR ANY DOMESTIC
FUTURES EXCHANGE. IN PARTICULAR, FUNDS RECEIVED FROM CUSTOMERS FOR FOREIGN
FUTURES OR FOREIGN OPTIONS TRANSACTIONS MAY NOT BE PROVIDED THE SAME
PROTECTIONS AS FUNDS RECEIVED IN RESPECT OF TRANSACTIONS ON UNITED STATES
FUTURES EXCHANGES. THEREFORE, YOU SHOULD OBTAIN AS MUCH INFORMATION AS
POSSIBLE FROM YOUR ACCOUNT EXECUTIVE CONCERNING THE FOREIGN RULES WHICH WILL
APPLY TO YOUR PARTICULAR TRANSACTIONS.
4. YOU SHOULD ALSO BE AWARE THAT THE PRICE OF ANY FOREIGN FUTURES OR FOREIGN
OPTIONS CONTRACT AND, THEREFORE, THE POTENTIAL PROFIT AND LOSS THEREON, MAY
BE AFFECTED BY ANY VARIANCE IN THE FOREIGN EXCHANGE RATE BETWEEN THE TIME
YOUR ORDER IS PLACED AND THE TIME IT IS LIQUIDATED, OFFSET OR EXERCISED.
3
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TABLE OF CONTENTS
<TABLE>
<CAPTION>
Page
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<S> <C>
CFTC RISK DISCLOSURE STATEMENT........................................................................ 1
Free Look Alternative............................................................................... 2
Foreign Futures and Foreign Options................................................................. 3
CERTAIN TERMS AND DEFINITIONS......................................................................... 7
INVESTMENT REQUIREMENTS............................................................................... 7
SUMMARY OF THE PROSPECTUS............................................................................. 8
The Fund............................................................................................ 8
Investment Objective................................................................................ 8
Reopening of the Fund............................................................................... 8
Offices............................................................................................. 8
Business and Use of Proceeds........................................................................ 8
Management.......................................................................................... 9
Summary of Charges to the Fund...................................................................... 9
Sales Charge and Offering Expense Charge............................................................ 11
Risks and Conflicts of Interest..................................................................... 11
Termination of Partnership.......................................................................... 12
Financial Information............................................................................... 12
Redemption of Units................................................................................. 12
Distributions....................................................................................... 12
Transfers or Assignments of Units................................................................... 13
Income Tax Aspects.................................................................................. 13
The Offering Period................................................................................. 13
Free Look Alternative............................................................................... 14
Potential Advantages................................................................................ 14
Plan of Distribution................................................................................ 15
Use of Proceeds and Interest Payable................................................................ 15
Suitability Standards............................................................................... 15
INTRODUCTORY STATEMENT................................................................................ 15
Who Should Invest................................................................................... 16
RISK FACTORS.......................................................................................... 17
The Commodity Futures Markets....................................................................... 17
Charges............................................................................................. 19
Management and Incentive Fees....................................................................... 19
Brokerage Fees...................................................................................... 19
Administrative Fee.................................................................................. 19
Breakeven Point..................................................................................... 19
Trading Advisors.................................................................................... 20
Limited Partners and the Fund....................................................................... 24
Conflicts........................................................................................... 26
Taxation............................................................................................ 26
Regulation.......................................................................................... 27
Credit Risks........................................................................................ 28
POTENTIAL ADVANTAGES OF THE FUND...................................................................... 29
CONFLICTS OF INTEREST................................................................................. 30
PURCHASES BY EMPLOYEE BENEFIT PLANS--ERISA CONSIDERATIONS............................................. 32
USE OF PROCEEDS....................................................................................... 34
SELECTED FINANCIAL DATA............................................................................... 35
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS................. 35
CHARGES TO THE FUND................................................................................... 37
Description of Charges to the Fund.................................................................. 39
Certain Definitions................................................................................. 43
CAPITALIZATION........................................................................................ 44
</TABLE>
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FIDUCIARY RESPONSIBILITY OF THE GENERAL PARTNERS...................................................... 44
THE GENERAL PARTNERS.................................................................................. 46
Past Performance of the General Partners............................................................ 49
BROKERAGE ARRANGEMENTS................................................................................ 59
The Clearing Broker................................................................................. 59
The Introducing Broker.............................................................................. 60
The Foreign Currency Broker......................................................................... 60
GLOSSARY.............................................................................................. 60
DESCRIPTION OF COMMODITY TRADING...................................................................... 63
Commodity Markets................................................................................... 63
Hedgers and Speculators............................................................................. 64
Commodity Prices.................................................................................... 65
Competition......................................................................................... 65
Regulation.......................................................................................... 65
Margins............................................................................................. 68
TRADING POLICIES...................................................................................... 69
THE TRADING ADVISORS.................................................................................. 71
The Advisory Contract............................................................................... 72
Commodity Trading Methods in General................................................................ 73
John W. Henry & Co., Inc............................................................................ 73
The JWH Trading Method.............................................................................. 76
JWH Trading Policies................................................................................ 76
Other JWH Programs.................................................................................. 78
Sabre Fund Management Ltd........................................................................... 78
The Sabre Trading Method............................................................................ 79
Other Sabre Programs................................................................................ 81
Past Performance of the Trading Advisors............................................................ 81
DESCRIPTION OF UNITS.................................................................................. 116
PLAN OF DISTRIBUTION.................................................................................. 116
The Offering Period................................................................................. 117
Free Look Alternative............................................................................... 117
The Representation Agreement........................................................................ 118
Offering Expense Charge............................................................................. 118
SUBSCRIPTION PROCEDURE................................................................................ 118
REDEMPTIONS........................................................................................... 119
AMENDED AND RESTATED LIMITED PARTNERSHIP AGREEMENT.................................................... 120
Nature of the Fund.................................................................................. 120
Management of the Fund.............................................................................. 121
Distributions by the Fund........................................................................... 122
Redemptions......................................................................................... 122
Additional Partners................................................................................. 122
Transfers of Units.................................................................................. 122
Indemnification..................................................................................... 122
Election, Removal and Withdrawal of General Partners................................................ 123
Termination of the Fund............................................................................. 123
Amendments and Meetings............................................................................. 123
Fiscal Year......................................................................................... 124
Reports and Accounting.............................................................................. 124
FEDERAL INCOME TAX CONSIDERATIONS..................................................................... 124
Partnership Status.................................................................................. 125
Partnership Taxation................................................................................ 126
Recognition of Gain on Redemptions and Distributions................................................ 127
Fund Tax Audits..................................................................................... 129
Foreign Investors................................................................................... 130
State and Local Taxes............................................................................... 130
</TABLE>
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LEGAL MATTERS......................................................................................... 131
EXPERTS............................................................................................... 131
ADDITIONAL INFORMATION................................................................................ 131
ADDITIONAL DEFINITIONS................................................................................ 131
FINANCIAL STATEMENTS.................................................................................. 132
</TABLE>
<TABLE>
<S> <C>
Amended and Restated Limited Partnership Agreement............................................... Exhibit A
Subscription Requirements........................................................................ Exhibit B
Subscription Agreement and Power of Attorney..................................................... Exhibit C
Request for Redemption........................................................................... Exhibit D
</TABLE>
6
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CERTAIN TERMS AND DEFINITIONS
Knowledge of various terms and concepts relating to the trading and the
regulation of commodities and commodity trading is necessary for a prospective
investor to determine whether to participate in the Fund. Reference is made to
the "Glossary" in this Prospectus. The Glossary is designed to assist the
prospective investor in understanding the terms and concepts used in this
Prospectus.
INVESTMENT REQUIREMENTS
The minimum investment in the Fund is $1,000; any greater subscription amount
must be in increments of $100. In the Subscription Agreement and Power of
Attorney, a copy of which is attached hereto as Exhibit C, each investor must
represent that he or she has had an opportunity to review the Prospectus and is
satisfied that he or she has had an opportunity to ask questions relating to,
but not limited to, the risk of losing his or her entire investment, and that he
or she has (1) a net worth of at least $150,000 (exclusive of home, furnishings
and automobiles) or (2) a net worth of at least $45,000 (exclusive of home,
furnishings and automobiles) and a minimum annual gross income in the most
recent tax year of at least $45,000. The administrators of the securities laws
of certain states have imposed additional suitability requirements and higher
minimum investment amounts for residents of such states. The Subscription
Requirements (Exhibit B) list such additional suitability and investment
requirements. The General Partners may reject any subscription. All
subscriptions are irrevocable. The General Partners and the Selling Agent are
responsible for making every reasonable effort to determine that the purchase of
Units is a suitable and appropriate investment for each investor, based on
information provided by the investor regarding his or her financial situation
and investment objectives.
KEOGH AND SELF-DIRECTED IRA PLANS. The minimum initial investment for Keogh or
H.R. 10 Plans ("Keoghs") and self-directed individual retirement accounts
("IRAs") is $1,000. See Exhibit B--Subscription Requirements.
PENSION PLANS. A trustee of any trust related to any "employee pension benefit
plan" or "pension plan" as such terms are defined in Section 3(2) of the
Employee Retirement Income Security Act of 1974 ("ERISA") must make the
representations and warranties summarized above as such representations and
warranties are applied, respectively, to the "employer" or "employee
organization," as such terms are defined in, respectively, Section 3(5) and 3(4)
of ERISA, sponsoring any such pension plan. Other representations are set forth
in Exhibit C-- Subscription Agreement and Power of Attorney. In determining
whether an investment in the Fund is suitable for a particular plan, the
prospective subscriber should be aware that investment activities of pension
plans are subject to numerous restrictions under the provisions of the Internal
Revenue Code, ERISA, and, possibly, state laws. The minimum investment for such
plans is $1,000. See "Risk Factors" and "Purchases by Employee Benefit Plans--
ERISA Considerations."
7
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IDS MANAGED FUTURES, L.P.
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SUMMARY OF THE PROSPECTUS
This summary is intended to highlight certain information contained in the
body of this Prospectus. This summary is qualified in its entirety by the
information appearing more fully elsewhere in the Prospectus and the
description of any document is qualified in its entirety by reference to such
document.
<TABLE>
<S> <C>
THE FUND IDS Managed Futures, L.P. is a limited partnership
organized on December 16, 1986 under the Delaware Revised
Uniform Limited Partnership Act. See Amended and Restated
Limited Partnership Agreement, attached as Exhibit A. The
Fund began trading on June 16, 1987 with respect to its
initial units of limited partnership units (the "Initial
Units"). The Fund's initial capitalization was
$7,372,260. The Net Asset Value per Unit at the
commencement of trading on June 16, 1987 was $225.43. A
registration statement offering $10,000,000 in aggregate
Units became effective on March 29, 1993 and $9,022,985
of Limited Partnership Interests were sold through
January 31, 1994, leaving $977,015 of Units to be sold. A
subsequent registration statement offering $20,000,000
plus the unsold $977,015 in aggregate Units became
effective on January 31, 1994. Together the offerings
have resulted in $20,734,879 of Limited Partnership
Interests sold as of April 30, 1995. As of April 30, 1995
the Net Asset Value per Unit was $260.14 and total
capitalization was $28,669,852.68. See "The General
Partners--Past Performance of the General Partners."
INVESTMENT OBJECTIVE The Fund has been developed with the objective of
achieving substantial capital appreciation over the long
term through professionally managed speculative trading
in futures contracts, forward currency contracts,
physical commodities and related options thereon on
exchanges and markets located in the United States and
abroad.
REOPENING OF THE The Fund is seeking to sell additional Units of Limited
FUND Partnership Interest because the Fund has been successful
in achieving substantial capital appreciation for its
investors. The General Partners believe that it is more
efficient to reopen this Fund than to create a new fund.
Further, the Fund has extended the advisory contracts
with its Trading Advisors and is thus assured of their
continued service. A lack of similar investment products
in the marketplace which would allow investors to
diversify their portfolios has resulted in a large demand
for Limited Partnership Interests in the Fund.
Consequently, the General Partners have decided to
increase the offering of Limited Partnership Interests
through the registration of an additional $50,000,000 of
Limited Partnership Interests. See "Introductory
Statement."
OFFICES The principal offices of the Fund are located at 233
South Wacker Drive, Suite 2300, Chicago, Illinois 60606
and the telephone number for the Fund is (312) 460-4000.
BUSINESS AND USE OF The Fund trades speculatively commodity interests,
PROCEEDS including futures contracts, forward contracts, physical
commodities, and related options thereon pursuant to the
trading instructions of independent trading advisors. See
"The Trading Advisors." All assets of the Fund are and
will be deposited in the Fund's accounts with Cargill
Investor Services, Inc., the Fund's clearing broker (the
"Clearing Broker"). The Clearing Broker credits the Fund
at month's end with interest income on 100% of the Fund's
average monthly net assets on deposit at the Clearing
Broker at a rate equal to 90% of the average yield on the
90-day U.S. Treasury bills issued during that month. The
Clearing Broker will benefit from interest earned on such
funds in excess of the amounts paid to the Fund. See
"Charges to the Fund." Approximately 20% to 60% of the
Fund's assets have historically been committed as initial
margin for trading and the General Partners expect that
approximately 20% to 60% of the Fund's assets will
continue to be committed as initial margin for trading.
However, from time to time the percentage of assets
committed as margin may be more or less than such
historical range. See "Use of Proceeds."
</TABLE>
8
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<TABLE>
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MANAGEMENT The Fund's General Partners are responsible for the
management of the Fund, including the hiring of trading
advisors and brokers. See "The General Partners."
American Express Financial Advisors Inc. and Cargill
Investor Services, Inc., affiliates of the General
Partners, act as the introducing and clearing brokers,
respectively, for the Fund. See "Brokerage Arrangements"
and "Conflicts of Interest."
John W. Henry & Co., Inc. and Sabre Fund Management
Limited, which are not affiliated with each other, the
Fund's General Partners, the Clearing Broker, the
Introducing Broker or the Selling Agent, have acted as
the Trading Advisors to the Fund since its inception (the
"Trading Advisors"). See "The Trading Advisors." Pursuant
to an advisory contract, the Trading Advisors
independently direct trading for the Fund's assets. Each
Trading Advisor was initially allocated an equal portion
of the Fund's assets to manage. On February 7, 1991 the
Fund's assets were reallocated in order to adjust the
then-current allocation so that each Trading Advisor had
an equal portion of the Fund's assets to manage. As of
April 30, 1995, John W. Henry & Co., Inc. managed
approximately 63% of the Fund's assets and Sabre Fund
Management Limited managed approximately 37% of the
Fund's assets. The General Partners currently intend that
each Trading Advisor will be allocated an equal portion
of the Fund's assets raised in connection with this
offering. The current advisory contract, as amended, will
terminate on June 30, 1995, subject to the automatic
right of the Fund to renew such contract for an
additional one year term. Subject only to certain trading
policies of the Fund and to the right of the General
Partners to terminate the advisory contract under certain
circumstances, each Trading Advisor will continue to
independently make trading decisions regarding the Fund's
assets allocated to such Trading Advisor. See "Trading
Policies." Accordingly, the General Partners will not
generally be in a position to intervene concerning the
frequency of trades, the percentage of the Fund's assets
committed as margin for futures contracts or the amount
of brokerage commissions. Except in extraordinary
circumstances, Limited Partners will have no right to
vote concerning questions of management, and it is not
expected that meetings of Limited Partners will be held.
CHARGES TO THE FUND SUMMARY. The Fund pays substantial management,
administrative, and incentive fees to the General
Partners and Trading Advisors, as well as brokerage
commissions to the Introducing Broker and the Clearing
Broker. The General Partners each receive an annual
administrative fee on the first business day of each
fiscal year of the Fund. These fees and expenses are
summarized below and are described in detail under
"Charges to the Fund."
</TABLE>
SUMMARY OF CHARGES TO THE FUND
The Fund is subject to the following charges, which are described in greater
detail below. These charges disclose the compensation that the General
Partners and their affiliates and the Trading Advisors may receive from the
Fund either directly or indirectly.
<TABLE>
<CAPTION>
ENTITY FORM OF COMPENSATION AMOUNT OF COMPENSATION
- ---------------------------------- ---------------------------------- ----------------------------------
<S> <C> <C>
John W. Henry & Co., Inc. (One of Quarterly incentive fee, based on 15% of Trading Profits, if any, in
the Trading Advisors) Trading Profits. each quarter attributable to
trading directed by it.
Monthly management fee based on 1/3 of 1% of month-end Net Asset
Net Asset Value of the Fund. Value of Fund assets subject to
its management (a 4% annual rate).
Sabre Fund Management Limited (One Quarterly incentive fee, based on 18% of Trading Profits, if any, in
of the Trading Advisors) Trading Profits. each quarter attributable to
trading directed by it.
</TABLE>
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<TABLE>
<CAPTION>
ENTITY FORM OF COMPENSATION AMOUNT OF COMPENSATION
- ---------------------------------- ---------------------------------- ----------------------------------
<S> <C> <C>
Monthly management fee based on 1/4 of 1% of the month-end Net
Net Asset Value of the Fund. Asset Value of Fund assets subject
to its management (a 3% annual
rate).
American Express Financial Portion of commodity brokerage $20 per round turn trade.
Advisors Inc. (The Selling Agent commissions and currency brokerage
and the Introducing Broker) commissions.
Sales Charge. 6% of the first $50,000
subscribed, 4% of the second
$50,000, 2% of the subsequent
$400,000, and 1% of any amount of
the subscription exceeding
$500,000.
IDS Futures Corporation (One of Annual administrative fee. 1.125% of Net Asset Value on first
the General Partners) day of Fund's fiscal year.
CIS Investments, Inc. (One of the Annual administrative fee. 0.25% of Net Asset Value on first
General Partners) day of Fund's fiscal year.
Cargill Investor Services, Inc. Portion of commodity brokerage $15 per round turn trade of the
(The Clearing Broker) commissions. total $35 per round turn trade
commission.
Reimbursement of delivery, Actual payments to third parties
insurance, storage, NFA, clearing, in connection with the Fund's
and exchange transaction fees, and trading.
any other charges paid to third
parties.
Financial benefit from interest Interest earned on Fund assets in
income. excess of the amount of interest
paid to the Fund. From 1987 to
1994 this amount ranged between
.41% to 1.66% of the Fund's Net
Asset Value. The General Partners
anticipate future percentages to
remain at the lower end of this
range due to a decrease in
interest income retained by the
Clearing Broker from 20% to 10% in
July of 1993.
CIS Financial Services, Inc. (The Portion of currency brokerage A maximum of $15 per round turn
Currency Broker) commissions. trade of the total $35 per round
turn trade commission.
Unrelated entities that are Periodic legal, accounting, Actual expenses incurred,
unaffiliated with the General auditing, printing, recording and estimated at approximately 1% of
Partners filing fees, and postage charges. the Fund's Net Asset Value
annually.
Extraordinary expenses. Not subject to estimate.
</TABLE>
10
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<TABLE>
<CAPTION>
ENTITY FORM OF COMPENSATION AMOUNT OF COMPENSATION
- ---------------------------------- ---------------------------------- ----------------------------------
<S> <C> <C>
The General Partners Offering Expense Charge. 3% of the subscription proceeds to
cover legal, auditing, accounting,
marketing and other offering
expenses. The General Partner will
pay any expenses in excess of this
percentage. If the total Offering
Charge received exceeds actual
expenses, the difference shall be
retained by the General Partners.
The Sales Charge and the Offering
Charge together will not in any
event exceed an amount equal to 9%
of the gross proceeds from the
sale of Units, and no Limited
Partner will pay more than 9% of
the gross proceeds of his or her
subscription toward such
reimbursement.
</TABLE>
FOR A DETAILED DESCRIPTION OF THE CHARGES TO THE FUND, SEE "CHARGES TO THE
FUND" ON PAGE 37.
<TABLE>
<S> <C>
SALES CHARGE AND Sales Charge. The Selling Agent will receive from the
OFFERING EXPENSE proceeds of the offering the Sales Charge for each Unit
CHARGE sold to an investor other than an Affiliated Purchaser.
The Sales Charge is equivalent to 6% of the gross per
Unit price for the first $50,000 of a subscription, 4%
for the next $50,000, 2% of the next $400,000, and 1% of
any amount of an investor's total subscription that
exceeds $500,000.
Reimbursement of Offering Expenses. The General Partners
will receive from the proceeds of the offering the
Offering Expense Charge for each Unit sold to an
investor. The Offering Expense Charge is 3% of the gross
per Unit price. Offering expenses include legal,
accounting, auditing, marketing, filing, registration and
recording fees, printing expenses and escrow charges. If
the total Offering Expense Charge received by the General
Partners exceeds the actual offering expenses incurred,
the excess shall be retained by the General Partners.
RISKS AND CONFLICTS An investment in the Fund is speculative, involves
OF INTEREST substantial risks and a Limited Partner may lose his or
her entire investment. The risks of an investment in the
Fund include, but are not limited to, the speculative
nature of trading in commodity interests, including
futures contracts traded on both U.S. exchanges and
non-U.S. exchanges and forward contracts, and the
substantial charges which the Fund will pay for
brokerage, administrative and advisory services,
regardless of whether any profits are achieved. Risks
inherent in investing in the Fund are discussed under
"Risk Factors." Reference is also made to conflicts of
interest resulting from the relationships among the
Introducing Broker, the Clearing Broker, and the General
Partners, and certain other relationships. See "Conflicts
of Interest."
</TABLE>
11
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<TABLE>
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TERMINATION OF Under the Amended and Restated Limited Partnership
PARTNERSHIP Agreement, the Fund will terminate on the first to occur
of the following: (1) December 31, 2006; (2) receipt by
the General Partners of a notice to dissolve the Fund at
a specified time by Limited Partners owning more than 50%
of the outstanding Units of Limited Partnership Interest
(including Units held by Affiliated Purchasers but not
including Units held by the General Partners or their
corporate affiliates), which notice is sent by registered
mail to the General Partners not less than ninety days
prior to the effective date of such dissolution; (3)
withdrawal, removal, insolvency, bankruptcy, legal
disability, or dissolution of the General Partners
(unless the Fund is continued as provided in the Amended
and Restated Limited Partnership Agreement); (4) the
insolvency or bankruptcy of the Fund; or (5) any event
which makes unlawful the continued existence of the Fund.
In addition, following the 3-for-1 split if the Net Asset
Value per Unit decreases below $125 at the close of
business on any trading day (after adding back any
distributions from the Fund to the Limited Partners), the
Fund will close out all open positions as expeditiously
as possible and suspend trading. No assurance can be
given that the Fund will be able to close out all open
positions without incurring substantial additional
losses. Unless the General Partners then elect to
withdraw, a special redemption date will be declared.
Limited Partners who elect to redeem their Units on such
a special redemption date will receive from the Fund for
each Unit redeemed an amount equal to the Net Asset Value
per Unit determined at the close of business on the
special redemption date. If after a special redemption
date the Fund's Net Asset Value is at least $500,000, the
Fund will resume trading unless the General Partners then
elect to withdraw. Notwithstanding the foregoing, the
Fund will terminate if its Net Asset Value has declined
to below $500,000 as of the close of business on any
trading day. See "Amended and Restated Limited
Partnership Agreement."
FINANCIAL Financial Statements with respect to financial
INFORMATION information concerning the Fund and the General Partners
appear at the end of this Prospectus.
REDEMPTION OF UNITS No redemptions are permitted by a subscriber during the
first six months after an investor has been first
admitted to the Fund. Thereafter, subject to certain
conditions, a Limited Partner may require the Fund to
redeem some or all of his or her Units as of the close of
trading on the last trading day of a month upon ten days
written notice to the Fund, with redemption at the Net
Asset Value thereof as of such close of trading. The
right of redemption may be temporarily suspended upon the
occurrence of certain events. Under certain
circumstances, a Limited Partner might be required to
repay to the Fund for a period of three years after
redemption of Units the amount of the redemption if the
Limited Partner knowingly received such distribution in
violation of applicable law. See "Redemptions." In the
event of any suspension, Units will thereafter be
redeemed at the Net Asset Value thereof as of the close
of trading of the trading day on which they are redeemed.
A special redemption date shall be declared by the
General Partners in the event of a decrease in the Net
Asset Value per Unit below $125 (after adding back any
distributions) at the close of business on any trading
day, unless the General Partners elect to withdraw.
DISTRIBUTIONS Distributions of profits, if any, will be made at the
discretion of the General Partners. There is no assurance
that such distributions will be made, and tax liabilities
incurred by a Limited Partner as a result of profitable
trading by the Fund may exceed any distributions which he
or she receives from the Fund. The General Partners have
not made any distributions and do not currently intend to
make regular distributions. See "Risk Factors."
</TABLE>
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<TABLE>
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TRANSFERS OR The Amended and Restated Limited Partnership Agreement
ASSIGNMENTS OF UNITS provides for the limited transfer or assignment of Units.
No transfer or other assignment of Units may be made
without written notice to the General Partners and no
assignee of a Limited Partner may become a substituted
Limited Partner except with the consent of the General
Partners. A substituted Limited Partner will be subject
to all of the restrictions and liabilities of his or her
predecessor in interest. See "Amended and Restated
Limited Partnership Agreement" and Exhibit A--Amended and
Restated Limited Partnership Agreement.
INCOME TAX ASPECTS A Limited Partner's share of the Fund's income and loss
will be derived primarily from the Fund's trading
activities and interest income. It is expected that a
substantial portion of this income or loss will be
derived from trading "Section 1256 Contracts" (e.g.,
futures contracts traded on a domestic exchange, on a
world exchange or certain foreign currency contracts).
Limited Partners are expected to be allocated a
substantial portion of the Fund's interest income
attributable to Units for federal income tax purposes.
Such interest income will be taxed as ordinary income.
See "Federal Income Tax Considerations."
THE OFFERING
THE OFFERING PERIOD Pursuant to the Amended and Restated Limited Partnership
Agreement, the General Partners have the authority to
file such registration statements as they deem advisable
to register and offer Units of Limited Partnership
Interest in the Fund and to make such decisions about the
offering of Units as they deem desirable. The General
Partners intend to use this Prospectus to increase the
offering of the Fund's Units by $50,000,000. A
registration statement (S.E.C. File #33-72240) and
prospectus on file with the Securities and Exchange
Commission for the registration and sale of $20,977,105
Units of Limited Partnership Interest expired on December
31, 1994. In addition to expanding the aggregate total of
Units offered, this prospectus will extend the term of
the offering beyond December 31, 1994. The offering
period for Units (the "Offering Period") will extend to ,
1997 or such earlier date when the total amount of Units
registered are sold.
Units are being offered hereby during the Offering Period
through the Selling Agent on a best-efforts basis without
any firm underwriting commitment. Units are offered to
Affiliated Purchasers at a price per Unit equal to the
Net Asset Value per Unit as of the close of business on
the last business day of the month in which the General
Partners accept such subscriptions and admit subscribers
as Limited Partners, plus the amount of the Offering
Expense Charge on a per Unit basis, and to non-Affiliated
Purchasers at a price per Unit equal to the Net Asset
Value per Unit as of the last business day of the month
in which the General Partners accept such subscriptions,
plus the amount of the Sales Charge and the Offering
Expense Charge on a per Unit basis. Limited Partners are
likely to receive fractional Units. Due to a 3-for-1
split in Units that occurred at the close of business on
February 28, 1995, the Net Asset Value per Unit
thereafter was altered to one-third of the Net Asset
Value per Unit prior to that date. Subscriptions for
Units which are received after the tenth calendar day of
a month will be held in the escrow account, due to the
length of time required to process subscriptions, and, if
not rejected, the subscriber will be admitted to the Fund
at the subsequent admission of subscribers to the Fund
after the end of such month. If the subscription is
rejected, in whole or in part for any reason (which is in
the sole discretion of the General Partners), the
subscription funds or the rejected portion thereof will
be promptly returned to the subscriber without interest.
Additional Limited Partners will be admitted to the
</TABLE>
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IDS MANAGED FUTURES, L.P.
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<TABLE>
<S> <C>
Fund not more frequently than the end of each full
calendar month. Additional Limited Partners will be
admitted to the Fund as of the close of business on the
last business day of each full calendar month, provided
that such proceeds were received by the tenth calendar
day of that month. See "Free Look Alternative."
The minimum subscription (including the minimum
subscription for Individual Retirement Accounts and Keogh
Plans) is $1,000; any greater subscription amount must be
in increments of $100. Checks should be made out to
FirsTier Bank, N.A., Lincoln, Nebraska as escrow agent
for the Fund (the "Escrow Agent"). All money or other
consideration received or accepted in connection with
this offering will be promptly forwarded through American
Express Financial Advisors Inc. to the Escrow Agent.
Subscriptions for Units received after the tenth calendar
day of a month will be held in the escrow account at the
Escrow Agent, if not rejected, until the subsequent
admission of subscribers to the Fund after the end of
such month, and will earn interest during that time. The
interest earned will be paid to subscribers within 30
days after the date on which they are admitted as Limited
Partners, except that if any subscriber's accrued
interest is less than $10, such interest shall be paid to
the Fund and not to the subscriber. All subscriptions for
Units are irrevocable by subscribers, and subscriptions
may be rejected in the sole discretion of the General
Partners. The Fund shall pay to the Selling Agent from
the proceeds of the offering a selling commission in an
amount equal to the Sales Charge for each Unit sold to an
investor other than an Affiliated Purchaser. In return
for advancing offering expenses (other than selling
commissions) the General Partners will receive the
Offering Expense Charge for each Unit sold to an
investor. See "Plan of Distribution."
FREE LOOK All subscription documents from a potential investor must
ALTERNATIVE be received by the Selling Agent by the tenth calendar
day of the month if they are to be considered for
acceptance by the Fund in that month. The Selling Agent
will promptly send a confirmation of the investment and a
copy of the Fund's most recent monthly account statement
to the potential investor. The investor will then have
sixteen days from the date of the confirmation from the
Selling Agent to determine whether he or she wishes his
or her subscription to be retained by the Fund. The
potential investor must notify the Selling Agent by mail
or telephone (pursuant to instructions in the notice from
the Selling Agent) of his or her decision NOT to invest.
No further action is required in response to the
notification from the Selling Agent if the investor
elects to subscribe. The investor's negative response
must be received by the Selling Agent not later than
sixteen days from the date of the confirmation from the
Selling Agent. Investors electing to withdraw their
subscription pursuant to the above alternative will
promptly receive a return of their subscription funds
from the escrow agent. The investor may withdraw his or
her subscription for any reason during this review
period. All subscriptions are subject to acceptance by
the General Partner. See "Plan of Distribution--Free Look
Alternative."
POTENTIAL ADVANTAGES The Fund, utilizing the combined purchasing power of its
Limited Partners' funds, provides investors with the
opportunity to obtain certain advantages which might
otherwise be unavailable to them if they were to engage
individually in trading commodity interests. Such
potential advantages include diversification, limited
liability, professional trading management,
administrative convenience, interest income and reduction
in brokerage commissions. See "Introductory Statement--
Potential Advantages of the Fund."
</TABLE>
14
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IDS MANAGED FUTURES, L.P.
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<TABLE>
<S> <C>
PLAN OF DISTRIBUTION The Units are being offered through the Selling Agent on
a best-efforts basis without any firm underwriting
commitment. All subscriptions received during the
Offering Period will be held in escrow by the Escrow
Agent, if not rejected, until the subsequent admission of
subscribers to the Fund, and will earn interest during
that time. Any subscription may be rejected in whole or
in part by the General Partners in their discretion, but
no subscription may be revoked by the subscriber. Other
than the Units of General Partnership Interest and one
Unit of Limited Partnership Interest purchased by a
principal of IDS Futures to permit organization of the
Fund as a Delaware limited partnership, none of the
General Partners, the Trading Advisors, the Introducing
Broker, the Clearing Broker or their principals have any
beneficial interest in the Fund, although any of such
persons or entities may subscribe for Units for
investment purposes. See "Plan of Distribution" and
"Subscription Procedure."
USE OF PROCEEDS AND The proceeds of the offering will be deposited in the
INTEREST PAYABLE Fund's commodity trading accounts with the Clearing
Broker and will be used to trade speculatively commodity
futures contracts, forward contracts and other commodity
interests (including options thereon), pursuant to the
independent direction of each of the Trading Advisors
with respect to that portion of the Fund's assets
allocated to it. The Fund receives in each month interest
earned on 100% of its average monthly net assets on
deposit at the Clearing Broker at 90% of the average
90-day Treasury bill rate for Treasury bills issued
during that month. Approximately 20% to 60% of the assets
of the Fund have historically been committed as initial
margin or premiums for trading in commodity interests.
The General Partners believe that approximately 20% to
60% of the assets of the Fund will continue to be
committed as initial margin or premiums for trading in
commodity interests, but from time to time the percentage
of assets committed as margin may be more or less than
that historical range. See "Use of Proceeds."
SUITABILITY Each investor must represent in the Subscription
STANDARDS Agreement and Power of Attorney attached hereto as
Exhibit C that he or she is able to assume the risk
inherent in an investment in the Fund and that his or her
net worth or net worth and minimum annual gross income in
combination satisfy certain requirements. See "Investment
Requirements."
</TABLE>
INTRODUCTORY STATEMENT
IDS Managed Futures, L.P. was organized on December 16, 1986 as a limited
partnership under the laws of the State of Delaware and will terminate not later
than December 31, 2006. It is administered by its General Partners, IDS Futures
Corporation ("IDS Futures"), a Minnesota corporation, and CIS Investments, Inc.
("CISI"), a Delaware corporation. The Fund engages in speculative trading of
futures contracts, forward contracts, physical commodities and related options
thereon ("commodity interests"). Its Amended and Restated Limited Partnership
Agreement is appended to this Prospectus as Exhibit A.
The Fund is seeking to sell additional units of limited partnership interest
("Units") because the Fund has been successful in achieving substantial capital
appreciation for its investors and because the General Partners believe that it
is more efficient to reopen this existing Fund than to create a new fund. It is
more efficient to reopen this Fund because the contractual structure of the Fund
has been previously negotiated and established and the Trading Advisors have a
proven track record. The Fund signed new advisory contracts with the two Trading
Advisors and can offer the continuation of their advisory services. Further, at
this time, the General Partners believe that there is a lack of similar
investment products for investors in the market place. Lastly, a larger fund has
benefits to current and prospective investors because it permits greater
diversification of positions, and therefore, potentially less volatility.
15
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IDS MANAGED FUTURES, L.P.
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In 1993, the General Partners chose a 12-month reopening period because they
believed this length of time would be sufficient to allow new investors into the
Fund and for the Selling Agent's representatives to market the Fund. When the
demand for this offering was greater than expected, the General Partners
increased the amount of the offering and extended the offering period in 1994
for another 12-month period. As demand has continued, the General Partners have
increased and extended the offering for another 24 month period. The General
Partners believe that the extended offering period will allow potential and
existing investors to make investments at more than one time.
The General Partners reopened the Fund on March 29, 1993 when a registration
statement filed with the Securities and Exchange Commission (file #33-45375) for
the sale of $10,000,000 of Units of Limited Partnership Interest was declared
effective by the SEC. This offering continued until January 31, 1994. The Fund
registered an additional $20,000,000 of Units effective January 31, 1994 (file
#33-72240). As of April 30, 1995, the two offerings have sold $20,734,879 worth
of Units, leaving $9,265,121 available for sale. As of April 30, 1995 the total
net capital contributions to the Fund were $22,611,130.14. By this offering, the
Fund will offer an additional $50,000,000 worth of Units. This offering of
Limited Partnership Interests shall continue until ________, 1997 (or such
earlier date when the amount of Units registered has been sold).
Trades are executed and cleared through Cargill Investor Services, Inc., an
affiliate of CISI, one of the Fund's General Partners. The Fund's introducing
broker is American Express Financial Advisors Inc., an affiliate of IDS Futures,
one of the Fund's General Partners. John W. Henry & Co., Inc. and Sabre Fund
Management Limited are the Fund's Trading Advisors (the "Trading Advisors"). The
Trading Advisors have been acting in such capacity since June 16, 1987 and have
a contract which was amended in March, 1992, and will continue (with a one-year
renewal) until June 30, 1996 (subject to earlier termination under certain
circumstances). The Fund pays to each Trading Advisor a quarterly incentive fee
based on Trading Profits attributable to trading directed by such Trading
Advisor and a monthly management fee based on that portion of the Fund's Net
Asset Value subject to such Trading Advisor's management at month's end. See
"Charges to the Fund."
WHO SHOULD INVEST
PURCHASE OF THE UNITS OFFERED HEREBY SHOULD BE MADE ONLY BY THOSE PERSONS WHO
CAN AFFORD TO BEAR THE RISK OF A TOTAL LOSS OF THEIR INVESTMENT. THE GENERAL
PARTNERS RESERVE THE RIGHT TO REJECT ANY SUBSCRIPTION IN WHOLE OR IN PART. THE
FUND WILL INCUR SIGNIFICANT EXPENSES, SUCH AS BROKERAGE COMMISSIONS AND
ADMINISTRATIVE AND MANAGEMENT FEES AND EXPENSES, WHICH MUST BE RECOUPED BEFORE
ANY PROFIT CAN BE GENERATED FOR THE FUND AND ITS LIMITED PARTNERS.
Each subscriber will be required to make certain representations as to his or
her net worth and income. See "Investment Requirements" and the Subscription
Agreement and Power of Attorney attached as Exhibit C. The Units are subject to
restrictive redemption provisions; Units may not be redeemed during the first
six months after purchase by an investor. See "Redemptions." THE GENERAL
PARTNERS BELIEVE THAT PROSPECTIVE INVESTORS SHOULD CONSIDER THE UNITS AS A
LONG-TERM INVESTMENT IN ORDER TO PERMIT THE TRADING TECHNIQUES OF THE TRADING
ADVISORS TO FUNCTION OVER A SIGNIFICANT TIME PERIOD. There is no public market
for these units and none is likely to develop.
Prospective investors should not enter this program with expectations of
sheltering income or receiving cash distributions. See "Risk Factors--Limited
Partners Will Be Taxed On Income and Profits Whether or Not Distributed." If
losses accrue to the Fund, a Limited Partner's distributive share will likely be
treated as a capital loss and may be available for offsetting capital gains from
other sources. However, to the extent the Limited Partner has no net capital
gains from other sources, such loss may be used only to a limited extent, under
current United States tax law, as a deduction from ordinary income. Due to such
limitations, the Fund is not a "tax shelter" in that Fund losses will not
materially reduce a Limited Partner's federal income tax arising from his or her
ordinary income. See "Federal Income Tax Considerations--Taxation of Limited
Partners." POTENTIAL INVESTORS ARE URGED TO CONSULT THEIR PERSONAL TAX ADVISORS
ON ALL MATTERS INVOLVING THEIR PERSONAL INCOME TAX SITUATIONS.
16
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IDS MANAGED FUTURES, L.P.
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RISK FACTORS
Prospective investors should carefully read the entire Prospectus (including the
Commodity Futures Trading Commission Risk Disclosure Statement and the CFTC Risk
Disclosure Statement: Foreign Futures and Foreign Options) and carefully
consider the following risks before subscribing for Units. Since the commodity
markets involve substantial risks, an investment in the Units should be made
only after consulting with independent qualified sources of investment and tax
advice. Among the risks involved are the following:
THE COMMODITY FUTURES MARKETS
(1) COMMODITY INTEREST TRADING IS VOLATILE. A principal risk in commodity
futures trading is the volatility (price fluctuation) in the market prices of
commodities. The prices of commodities fluctuate rapidly and over wide ranges.
The profitability of the Fund will depend on identifying trends in fluctuations
in market prices. Prices of commodity futures contracts are affected by a wide
variety of complex and hard to predict factors, such as supply and demand of a
particular commodity, weather and climate conditions, governmental activities
and regulations, political and economic events and prevailing psychological
characteristics of the marketplace. See "Description of Commodity
Trading--Commodity Prices" and "The Trading Advisors."
(2) COMMODITY FUTURES TRADING IS HIGHLY LEVERAGED. Commodity futures contracts
are traded on margins which typically range from 1% to 20% of the value of the
contract. The average margin is less than 10% of the value of the contract. The
low margin deposits normally required in commodity futures trading permit an
extremely high degree of leverage. A relatively small price movement in a
commodity futures contract may result in immediate and substantial loss to the
investor. Like other leveraged investments, a commodity futures transaction may
result in losses in excess of the amount invested. If the Fund invests a
substantial amount of its assets in a losing commodity futures trade, a
substantial reduction in the value of a Unit would result. Although the Fund may
lose more than its initial margin on a trade, the Fund, and not the Limited
Partners personally, will be subject to margin calls. See "Description of
Commodity Trading--Margins."
(3) COMMODITY FUTURES MARKETS MAY BE ILLIQUID. It is not always possible to
execute a buy or sell order at the desired price, or to close out an open
position, due to market conditions, limits on open positions and/or daily price
fluctuation limits (see "Glossary") imposed by both U.S. and non-U.S. exchanges
and approved by the Commodity Futures Trading Commission ("CFTC"). Daily price
fluctuation limits establish the maximum amount the price of a futures contract
may vary either up or down from the previous day's settlement price at the end
of the trading session. Once the market price of a commodity futures contract
reaches its daily price fluctuation limit, positions in the commodity can be
neither taken nor liquidated unless traders are willing to effect trades at or
within the limit. Because these limits only govern price movements for a
particular trading day, they do not limit losses. In certain commodities, the
daily price fluctuation limits may apply throughout the life of a contract, so
that the holder of a contract who cannot liquidate his or her position by the
end of trading on the last trading day for that contract may be required to make
or take delivery of the commodity.
Another instance of difficult or impossible execution occurs in markets which
lack sufficient trading liquidity. It is also possible for an exchange or the
CFTC to suspend trading in a particular contract, order immediate settlement of
a particular contract, or direct that trading in a particular contract be
conducted for liquidation only. For example, during periods in October 1987
trading in certain stock index futures was too illiquid for markets to function
properly and was at one point suspended. Although the Fund's Trading Advisors
intend to purchase and sell actively traded commodities, no assurance can be
given that such markets will be or remain liquid, or that Fund orders will be
executed at or near the desired prices. See "Trading Policies."
(4) PERIODS OF UNPROFITABLE TRADING. Losses were posted to the Fund in 1994
(-6.93%) and 1992 (-3.47%). Total return for the three calendar years 1992, 1993
and 1994 was 28.74% and 56.88% for the past five years. A hypothetical $1,000
Net Asset Value per Unit of the Fund, available at the beginning of each of
those three years would have lost $34.70 in 1992, gained $383.20 in 1993, and
lost $69.30 in 1994.
(5) SPECIFIC RISKS OF TRADING IN OPTIONS ON COMMODITY FUTURES. The Fund engages
in trading options on commodity futures. No specific limitation on the
percentage or amount of such contracts, if any, engaged in by the Fund has been
imposed. The Trading Advisors have significantly less experience in trading
options on futures than they have in trading futures contracts. See "The Trading
Advisors." Although successful trading in options on futures contracts requires
many of the same skills required for successful futures trading, the risks
involved are somewhat different. Options trading may be restricted in the event
that trading in the underlying futures contract becomes restricted, and options
trading may itself by illiquid at times, irrespective of the condition of the
market in the
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IDS MANAGED FUTURES, L.P.
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underlying futures contract, making it difficult to offset option positions. As
of the date of this Prospectus trading in foreign options is subject to approval
of foreign options by the CFTC on a case-by-case basis. The Fund will trade only
in options, including foreign options, to purchase or sell commodity futures
contracts or physical commodities, if such options have been approved for
trading on a designated contract market by the CFTC.
(6) FORWARD CONTRACTS ON FOREIGN CURRENCIES ARE NOT TRADED ON EXCHANGES AND LACK
REGULATORY PROTECTIONS OF EXCHANGES. The Fund engages in the trading of forward
contracts on foreign currencies pursuant to the direction of the Trading
Advisors for customer accounts. No specific limitation on the percentage or
amount of such contracts, if any, engaged in by the Fund has been imposed. See
"Description of Commodity Trading--Commodity Markets." A forward contract is a
contractual obligation to purchase or sell a specified quantity of a commodity
at a specified date in the future at a specified price and, therefore, is
similar to a futures contract. However, forward contracts are not traded on
exchanges and, as a consequence, investors in forward contracts are not afforded
the regulatory protections of such exchanges or the CFTC; rather banks and
dealers act as principals in such markets. Neither the CFTC nor banking
authorities regulate trading in forward contracts on currencies, and foreign
banks may not be regulated by any United States governmental agency. There are
no limitations on daily price moves in forward contracts. In addition,
speculative position limits are not applicable to forward contract trading,
although the principals with which the Fund may deal in the forward markets may
limit the positions available to the Fund as a consequence of credit
considerations. The principals who deal in the forward contract markets are not
required to continue to make markets in the forward contracts they trade. There
have been periods during which certain participants in forward markets have
refused to quote prices for forward contracts or have quoted prices with an
unusually wide spread between the price at which they are prepared to buy and
that at which they are prepared to sell. In addition, the imposition of exchange
and credit controls or the fixing of currency exchange rates by governmental
authorities might limit forward trading to less than that which a Trading
Advisor would otherwise direct for the Fund. Not only are the forward markets
substantially unregulated, but it is also possible that the CFTC or certain
other governmental agencies may in the future attempt to prevent the Fund from
trading in the forward markets.
CIS Financial Services, Inc. ("CISFS"), will act as the forward contract broker
for the Fund and will arrange for the Fund to contract with one or more banks as
a direct counterparty of the Fund in order to make or take future delivery of a
specified lot of a particular currency. CISFS will guarantee the obligations of
the Fund for which it acts as Broker through lines of credit it has established
with the counterparty bank(s). The Fund initially expects to engage in
transactions in foreign exchange contracts with only one bank. However, more
banks may be added as counterparties in the future. Forward contracts will be
transacted only with banks having in excess of $100,000,000 of capitalization.
See "Trading Policies," "Risk Factors--Failure of Brokerage Firms," "Charges to
the Fund," and "Brokerage Arrangements."
Because performance of forward contracts on currencies and other commodities are
not guaranteed by any exchange or clearinghouse, the Fund will be subject to the
risk of the inability or refusal on the part of the bank to perform with respect
to such contracts on the part of the principals or agents with or through which
the Fund trades. Any such failure or refusal, whether due to insolvency,
bankruptcy or other causes, could subject the Fund to substantial losses. The
Fund will not be excused from the performance of any forward contracts into
which it has entered due to the default of third parties or CISFS in respect of
other forward trades which in a Trading Advisor's trading strategy were to have
substantially offset such contracts. However, the Fund will only transact
foreign exchange contracts with well-capitalized banks as discussed above.
It is not possible to predict at this time whether the Fund's activities in the
forward markets may be affected as a result of such actions. See "Trading
Policies." Certain cases may be interpreted to suggest that entities such as the
Fund may not trade in the currency forward markets. Were the Fund to become
unable to trade in the forward markets, the prospect of achieving its investment
objectives would be materially adversely affected.
(7) CONTRACTS OFFERED ON FOREIGN EXCHANGES SUBJECT TO DIFFERENT REGULATIONS AND
TRADING PRACTICES. The Fund engages in the trading of contracts on foreign
exchanges. Futures exchanges are being established in many countries,
particularly throughout Europe and Asia, and trading on those markets
constitutes a steadily increasing share of total worldwide volume in futures
trading. In some cases, the types of contracts traded on these exchanges
resemble those traded on U.S. futures exchanges, but in many other instances
there are no comparable U.S. contracts. Foreign exchanges are not regulated by
the CFTC or any other United States governmental agency. Therefore, options and
futures trading on any such exchange may be subject to more risks than trading
options and futures contracts on exchanges in the United States. For example,
some foreign markets, in contrast to United States exchanges, are "principals'
markets" similar to the forward markets in which performance is the
18
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IDS MANAGED FUTURES, L.P.
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responsibility only of the individual member with whom the trader has entered
into a contract and not of any exchange or clearing corporation. Due to the
absence of a clearing house system on certain foreign markets, such markets are
significantly more susceptible to disruptions than are United States exchanges.
Moreover, the Fund is subject to whatever regulatory provisions are applicable
to transactions effected outside the United States, whether on foreign exchanges
or otherwise. Trading on foreign exchanges involves the additional risks of
expropriation, burdensome or confiscatory taxation, moratoriums, exchange and
investment controls or political or diplomatic events which might adversely
affect the Fund's trading activities. In trading on these exchanges, the Fund
will also be subject to the risk of changes in the exchange rates between the
U.S. Dollar and the currencies in which foreign contracts are margined and
settled.
Although the CFTC is prohibited by statute from promulgating rules which govern
in any respect any rule, contract term or action of any foreign commodity
exchange, the CFTC has adopted rules to regulate the sale of foreign futures
contracts and foreign options within the United States. These regulations may
restrict the Fund's access to foreign markets by limiting the activities of
certain participants in such markets with whom the Fund could otherwise have
traded. See "CFTC Risk Disclosure Statement: Foreign Futures and Foreign
Options."
CHARGES
(8) THE FUND PAYS SUBSTANTIAL FEES, COMMISSIONS AND EXPENSES WHICH COULD DEPLETE
ITS ASSETS. See "Conflicts of Interest--Relationship of the General Partners,
the Introducing Broker, the Clearing Broker, and the Foreign Currency Broker,"
on page 30.
MANAGEMENT AND INCENTIVE FEES. John W. Henry & Co., Inc. receives a quarterly
incentive fee of 15% of the Fund's Trading Profits attributable to trading
directed by it. Sabre Fund Management Limited receives a quarterly incentive fee
of 18% of the Fund's Trading Profits attributable to trading directed by it. In
addition, John W. Henry & Co., Inc. receives a monthly management fee of 1/3 of
1% of the Fund's Net Asset Value subject to its management at month's end. Sabre
Fund Management Limited receives a monthly management fee equal to 1/4 of 1% of
the Fund's Net Asset Value subject to its management at month's end.
BROKERAGE FEES. Beginning the first business day of the month after the initial
closing of this offering, the Fund pays brokerage commissions of $35 per round
turn trade (plus NFA, exchange and clearing fees), of which $15 is paid to the
Fund's Clearing Broker and $20 is paid to the Fund's Introducing Broker. Until
that time, the Fund has paid commissions of $50 per round turn trade, plus the
fees mentioned above. There is no method to predict accurately the amount of
brokerage commissions which the Fund may pay because those commissions will be
entirely dependent on the volume of trading by the Fund and the commission rates
charged to the Fund from time to time. The Fund has paid brokerage commissions,
on an annual basis, of approximately 3.2%-6.2% of the Fund's Net Asset Value.
Based on currently anticipated commission rates, the General Partners estimate
that brokerage commissions, on an annual basis, will approximate an amount in
the lower end of the historical range. Actual charges may differ substantially
from the historical range and this estimate, and will be determined by trading
opportunities perceived by the Trading Advisors.
ADMINISTRATIVE FEE. Each of the General Partners receives from the Fund an
annual administrative fee based on the Fund's Net Asset Value on the first
business day of each fiscal year of the Fund. The annual administrative fee
payable to IDS Futures is 1.125% of Fund's beginning Net Asset Value for each
fiscal year, and the annual administrative fee payable to CISI is 0.25% of the
Fund's beginning Net Asset Value for each fiscal year.
BREAKEVEN POINT. THE FUND IS OBLIGATED TO PAY BROKERAGE COMMISSIONS AND CERTAIN
CHARGES INCIDENTAL TO TRADING, AS WELL AS THE GENERAL PARTNERS' ADMINISTRATIVE
FEES, THE TRADING ADVISORS' MANAGEMENT FEES, AND LEGAL, ACCOUNTING, AUDITING,
PRINTING, RECORDING AND FILING FEES, POSTAGE CHARGES, AND ANY EXTRAORDINARY
EXPENSES REGARDLESS OF WHETHER THE FUND REALIZES PROFITS. THESE PAYMENTS MAY
CAUSE THE FUND TO TERMINATE. THE FUND WILL BE REQUIRED TO MAKE TRADING PROFITS
OF A VERY SUBSTANTIAL MAGNITUDE TO AVOID DEPLETION OR EXHAUSTION OF ITS ASSETS
FROM THE AGGREGATE OF THESE CHARGES. SEE "CHARGES TO THE FUND--ESTIMATE OF THE
FUND'S BREAKEVEN POINT." For example, if the Fund's Net Asset Value (as defined
under "Charges to the Fund--Certain Definitions") declines to less than $500,000
as of the close of business on any trading day, the Fund will terminate. See
"Amended and Restated Limited Partnership Agreement--Termination of Fund" and
Exhibit A attached hereto. Quarterly incentive fees payable to the Trading
Advisors are based upon, among other things, unrealized appreciation on open
commodity positions, and any such fees paid to the Trading Advisors will be
retained by them even if the Fund subsequently experiences losses. Such
appreciation may never be realized by the Fund. In addition, because the
incentive fee is determined on a quarterly rather than an annual
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IDS MANAGED FUTURES, L.P.
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basis, the Fund may pay substantial incentive fees to the Trading Advisors
during portions of the Fund's fiscal year even though subsequent losses result
in a yearly net loss for the Fund. Moreover, because incentive fees payable to
each Trading Advisor are calculated separately, it is possible that one Trading
Advisor may receive incentive fees in respect of Trading Profits achieved on the
assets managed by it during a quarter in which the other Trading Advisor
experiences losses on the assets that it manages which are greater than the
profits earned by the funds under management by the Trading Advisor receiving
fees. Thus, it is possible that incentive fees could be payable during a quarter
in which the Net Asset Value per Unit actually has declined. The Clearing Broker
receives a significant benefit from a portion of the interest generated by the
Fund's assets. See "Use of Proceeds."
(9) INCENTIVE FEE PAYMENTS PER UNIT WILL NOT MATCH PERFORMANCE PER UNIT EXACTLY.
The incentive fees payable to the Trading Advisors accrue monthly and are
payable quarterly, based on the increase in Net Asset Value of the funds under
management of each Trading Advisor, subject to certain adjustments related to
interest realized on those funds, distributions or redemptions, and allocations
or reallocations. See "Charges to the Fund--Description of Charges to the Fund"
and "Charges to the Fund--Certain Definitions." Whenever an incentive fee is
payable to one or more of the Trading Advisors, each outstanding Unit owned by a
Limited Partner will pay a proportionate amount of such incentive fee. This
method of calculating and paying incentive fees, while requiring each
outstanding Unit to contribute equally to payment of such fees, nonetheless
creates a distortion in that not every outstanding Unit is likely to have
participated equally in the gains which give rise to an incentive fee payment to
a Trading Advisor. This is because Units will be sold to Limited Partners at
prices per Unit which are likely to vary depending upon the time when particular
Limited Partners purchase their Units and are admitted to the Fund and the
trading experience of the Fund. See the Notes to the cover page of this
Prospectus. The Fund as a whole may be required to pay incentive fees to one or
more Trading Advisors even though the value of particular Units has remained the
same or even declined since they were purchased. On the other hand, a Limited
Partner could purchase Units which experience an increase in value although the
Fund as a whole has not experienced any Trading Profits during that period of
time and consequently pays no incentive fee. The extent of such distortions will
depend on a variety of factors including, but not limited to, the time at which
particular Limited Partners are admitted to the Fund, the prices at which Units
are sold at such times, the timing of the Fund's trading profits and losses, and
the magnitude of such admissions, profits and losses and the profitability of
trading directed by each Trading Advisor. Therefore, the amounts paid in
incentive fees attributable to certain Units may, from time to time, vary from
the specific trading performance (participation in profit or loss) experienced
by those Units. If an alternative method of calculating incentive fees were to
be employed by the Fund that matched the trading experience of Units to the
incentive fee contribution of Units, the amounts payable by Limited Partners in
incentive fees with respect to their Units would vary from those payable under
the method that the Fund will employ. In addition, if Units are purchased at a
Net Asset Value per Unit which reflects an accrued but unpaid incentive fee on
unrealized Trading Profits recognized as of such date, and such accrual is
subsequently reversed in whole or in part due to trading losses by the end of
the current calendar quarter, the reversal of the accrued incentive fee will be
credited to all Units equally, including the Units purchased at a Net Asset
Value per Unit which already fully reflected such accrual. This will result in
the Net Asset Value per Unit of previously outstanding Units being lower than it
would have been had no new Units been purchased at a price reflecting an accrued
incentive fee, because the "unaccrual" of the incentive fee resulting from the
losses subsequent to the date of such purchase would otherwise have accrued to
the exclusive benefit of the previously outstanding Units, not such Units plus
the Units more recently purchased.
TRADING ADVISORS
(10) RELIANCE ON TRADING ADVISORS FOR PROFITABLE PERFORMANCE.
TRADING METHODS. The Fund has a contract with the Trading Advisors ("Advisory
Contract") pursuant to which the Fund's commodity accounts will be managed,
subject to rights of earlier extension and termination, until June 30, 1995 by
the Trading Advisors in accordance with their respective trading methods,
subject to the automatic right of the General Partners to renew for an
additional one-year period. Each Trading Advisor will direct trading for the
Fund completely independently of the other Trading Advisor, and will have no
knowledge of trading decisions being made by the other Trading Advisor. No
assurance can be given that the trading techniques and strategies of either
Trading Advisor will be profitable in the future, or that the services of any
Trading Advisor will continue to be available to the Fund. The specific details
of the Trading Advisors' respective trading methods are proprietary;
consequently, the Limited Partners will not be able to determine the full
details of those methods or whether those methods as described herein (see "The
Trading Advisors") and which generated the performance results included under
"The Trading Advisors--Past Performance of the Trading Advisors" are being
followed.
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Subject to the Fund's trading policies, each Trading Advisor may alter its
trading methods if it determines that such a change is in the best interest of
the Fund. Each Trading Advisor has agreed to notify the General Partners of any
such changes which it considers to be material. See "The Trading Advisors." If
the General Partners are so notified of a material change in an advisor's
trading methods, they will so notify the Limited Partners in the monthly report
to the Limited Partners.
The past performance displayed for the Trading Advisors is not necessarily
indicative of future performance. The selection of Trading Advisors, and the
decision to continue use of a particular Trading Advisor, was based on their
performance records to date. It should not be assumed that trading performed by
the Trading Advisors in the future will be profitable or will have results
comparable to past performance.
CONFLICTS OF INTEREST. From time to time, the Trading Advisors (or their
affiliates) will manage additional accounts, and these accounts (see "Conflicts
of Interest--Other Commodity Pools and Accounts"), together with that of the
Fund, will increase the level of competition for the same trades desired by the
Fund, including the priorities of order entry. There is no specific limit
imposed by the Advisory Contract between the Fund and the Trading Advisors as to
the number of accounts they (or their affiliates) may manage. In addition, the
positions of all of the accounts owned or controlled by each of the Trading
Advisors or their affiliates are aggregated for the purposes of applying
speculative position limits (see "Glossary" and "Risk Factors--Effects of
Speculative Position Limits"), and such aggregation might limit the number of
contracts which can be traded or held by the Fund pursuant to the direction of a
Trading Advisor whose trading approaches such limits. In fulfilling their
responsibilities to the Fund, the General Partners have required that the
Advisory Contract provide for notice to the General Partners by a Trading
Advisor when the Fund's positions are first included in an aggregate amount
which equals ninety percent (90%) of the applicable speculative limit and will
promptly respond thereafter to requests from the General Partners with respect
to the percentage of the applicable speculative limit reflected by the aggregate
positions owned or controlled by any Trading Advisor or any of its principals,
employees or agents. The Advisory Contract also provides for the right of the
General Partners to inspect each of the Trading Advisor's trading records for
the purpose of confirming that the Fund is being treated equitably by that
Trading Advisor with respect to modifications of trading strategy resulting from
such limits, as well as with respect to the assignment of priorities of order
entry to that Trading Advisor's accounts. Each Trading Advisor may, in directing
trading for other accounts, employ trading programs different from those
employed in connection with the Fund's trading. The performance of such other
trading programs may be more successful than the performance of programs
employed in connection with the Fund's trading. See also "Risk Factors--Multiple
Trading Advisors."
LIMITATION OF LIABILITY AND INDEMNIFICATION FOR TRADING ADVISORS. The Trading
Advisors, their principals and employees will not be liable to the Fund, the
Limited Partners, any of their successors or assigns or the General Partners
except by reason of acts or omissions in contravention of the express terms of
the Advisory Contract or due to misconduct or negligence or for not having acted
in good faith in the reasonable belief that its actions were taken in, or not
opposed to, the best interests of the Fund.
The Fund will indemnify each Trading Advisor, its principals and employees to
the full extent permitted by law for any liability incurred in connection with
any acts or omissions related to the Trading Advisor's management of Fund
assets, provided that there has been no judicial determination that such
liability was the result of negligence, misconduct or breach of the Advisory
Contract nor any judicial determination that the conduct which was the basis for
such liability was not done in a good faith belief that it was in, or not
opposed to, the best interests of the Fund. Any such indemnification involving a
material amount, unless ordered or expressly permitted by a court, will be made
by the Fund only upon the opinion of mutually acceptable independent legal
counsel that the Trading Advisor has met the applicable standard of conduct
described above.
CHANGE IN PRINCIPALS AND ADVISORS. Each Trading Advisor is dependent on the
services of its respective principals. If the services of such principals were
not available to a Trading Advisor, or were interrupted, the continued ability
of that Trading Advisor to render services to clients would be subject to
substantial uncertainty, and such services of the Trading Advisor could be
terminated completely.
If the Advisory Contract is terminated with respect to one or more Trading
Advisors, the General Partner would be required to make other arrangements for
providing advisory services if the Fund intends to continue trading. No
assurance can be given that the Trading Advisors' services will be available to
the Fund following the expiration of the current Advisory Contract or that the
Trading Advisors' services may not be earlier terminated. See "The Trading
Advisors--The Advisory Contract." Upon termination of a Trading Advisor, the
General Partners may direct liquidation of all positions established by the
terminated Trading Advisor prior to commencement of trading
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directed by another trading advisor with respect to those assets. If any new
trading advisors were to be retained by the Fund, fee arrangements which differ
substantially from those established with the Trading Advisors may be
implemented.
(11) TRADING DECISIONS BASED ON TECHNICAL ANALYSIS DO NOT CONSIDER FUNDAMENTAL
TYPES OF DATA AND REQUIRE PRICE TRENDS TO BE PROFITABLE. In general, the Trading
Advisors use, and any additional advisors which the Fund may select in the
future may use, trend-following systems based on mathematical analysis of
certain technical data regarding past market performance. See "The Trading
Advisors." These trend-following systems do not generally take into account
fundamental external factors, except insofar as such factors may influence the
technical data constituting input information for the trading system.
Fundamental factors include, among others, factors that affect the supply and
demand of the underlying commodity, interest rates, government intervention,
exchange controls and political stability. Technical systems may be unable to
respond to fundamental causative events until after their impact has ceased to
influence the market. Causative factors include, among others, the daily, weekly
and monthly price fluctuations, volume variations and changes in open interest.
The profitability of any diversified technical trading system depends upon major
price moves or trends in some commodities which can be interpreted by the system
as price trends sufficient to dictate an entry or exit decision. In the past
there have been periods when no commodity has experienced any major price
movements or when price movements have been erratic or ill-defined, and such
periods are likely to recur in the future. The best technical trading system
will not be profitable if there are no trends of the kind it seeks to follow.
Any factor which would make it more difficult to execute trades at a system's
signal prices, such as a significant lessening of liquidity in a particular
market, would also be detrimental to profitability. Trend-following technical
systems may produce profitable results for a period of time, after which further
application of such systems to the technical input data fails to detect
correctly any future price movements. For this reason, commodity trading
advisors utilizing such systems may modify and alter their systems on a periodic
basis. Such systems (including the Trading Advisors') may also be modified and
altered for application to accounts of different sizes. Furthermore, government
control of or intervention in the markets traded may lessen the prospect of
sustained price moves. A number of markets traded by the Fund may be targets for
governmental intervention.
The use of technical trading systems by professional advisors has been
increasing as a proportion of overall volume of the markets as a whole, and for
certain commodities in particular. This could result in several advisors
attempting simultaneously (because of the availability of the same current
market information) to initiate or liquidate substantial positions in any market
at or about the same time as either or both of the Trading Advisors, or
otherwise cause an alteration of historical trading patterns or affect the
execution of trades to the significant detriment of the Fund.
(12) LEVERAGE ADJUSTMENTS TO SABRE FUND MANAGEMENT, LTD.'S TRADING METHODS
AFFECTS PERFORMANCE VOLATILITY. In September 1992, in an effort to increase the
rates of return historically achieved by Sabre Fund Management, Ltd. ("Sabre"),
the General Partners agreed with the recommendation of Sabre that it increase
the leverage used in its trading by 50%. By increasing the leverage at which
Sabre trades for the Fund, the General Partner intended to provide Sabre the
potential to achieve rates of return more comparable to those ordinarily
expected from a speculative trading approach, although there can be, of course,
no assurance that increasing the leverage at which Sabre trades will have such a
result. Increasing the leverage at which Sabre will trade can, however, be
expected to increase volatility of the performance of Sabre by increasing both
trading profits and losses. There can be no assurance as to the effect which
such leverage adjustments may have on the performance of Sabre or of the Fund.
This leverage increase is still in effect as of the date of this Prospectus.
(13) PERIODS WITHOUT DISCERNIBLE PRICE TRENDS MAKE PROFITABLE TRADING DIFFICULT.
There can be no assurance that any trading strategies will produce profitable
results. The past performance of an advisor's trading strategies is not
necessarily indicative of future profitability, and the best trading strategies,
whether based on technical or fundamental analysis, will not be profitable if
there are no trends of the kind they seek to follow. The profitability of any
technical or fundamental trading strategy depends upon significant price moves
or trends in at least some commodities. In the past there have been periods
without discernible trends and presumably similar periods will occur in the
future. Any factor which reduces the occurrence of major trends may reduce the
prospect that any trading strategy will be profitable. For this reason,
commodity trading advisors may modify or alter their trading methods on a
periodic basis. Subject to the trading limitations described under "Trading
Policies," a Trading Advisor may alter its trading methods, upon written notice
to the General Partners of any material change in such trading methods, if a
Trading Advisor determines that such change is in the best interests of the
Fund. Changes in commodity interests traded shall not be deemed material changes
in trading methods. The trading methods to be
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utilized by the Trading Advisors are generally proprietary and confidential, and
Limited Partners will not be notified of changes in commodity interests traded
or modifications, additions or deletions to the Trading Advisors' trading
methods. See "The Trading Advisors."
(14) OTHER CLIENTS OF THE TRADING ADVISORS MAY COMPETE FOR SAME TRADES AND
POSITIONS. Each Trading Advisor may manage other accounts, including other
publicly offered pools and accounts in which the Trading Advisor or its
principals may have an interest, which could increase the level of competition
for the same trades the Fund might otherwise make, including order execution and
availability of speculative position limits. Each Trading Advisor has
represented that it will not knowingly or deliberately employ a trading strategy
on behalf of the Fund which is inferior to any strategy which it employs for
other accounts, or otherwise favor on an overall basis any other account managed
by them over the Fund. Each Trading Advisor and its principals, however, may
employ trading methods, policies and strategies which differ from those employed
on behalf of the Fund in circumstances which differ from those under which the
Fund operates. Further, each Trading Advisor may be restricted in the positions
it can take on behalf of the Fund due to positions taken for such Trading
Advisor's own account or its customer. Therefore, the results of the Fund's
trading may differ from those of the other accounts concurrently managed by the
Trading Advisors. See "The Trading Advisors."
(15) MULTIPLE TRADING ADVISORS MAY NOT INCREASE PROTECTION AGAINST LOSSES OR
PRODUCE MORE PROFITABLE TRADING. The Fund has retained two independent Trading
Advisors to attempt to achieve substantial protection against major losses
without sacrificing the ability to capitalize on profitable trends through
diversification. In addition, the Fund may in the future retain the services of
one or more additional Trading Advisors. In fact, the diversification of trading
approaches among the Trading Advisors may have the opposite result. There is no
assurance that the use of multiple trading approaches will not effectively
result in losses by one Trading Advisor which offset or exceed any profits
achieved by the other Trading Advisor. Accordingly, there is no assurance that
the use of two Trading Advisors will be any more successful than the retention
of one Trading Advisor. Because the Trading Advisors will trade independently of
each other, the Fund could hold opposite positions pursuant to the directions of
each Trading Advisor, and could simultaneously buy and sell the same futures
contract, thereby incurring commission and transaction fee costs with no net
change in its holdings. Conversely, the Trading Advisors may at times enter
identical orders and therefore compete for the same positions. This competition
could prevent the orders from being executed at the desired price or prevent
execution altogether. The past performance of the Trading Advisors does not
reflect the impact these factors may have on the Fund's overall performance. In
addition, although margin requirements applicable to trading directed by each
Trading Advisor will ordinarily be met from the Fund assets allocated to it, a
Trading Advisor could incur losses that would make it unable to meet margin
calls from those assets. In this event, the General Partners may require
contributions and liquidations from the assets allocated to the other Trading
Advisor. This could adversely affect the trading strategy of that other Trading
Advisor.
Moreover, because incentive fees payable to each Trading Advisor are calculated
separately, it is possible that one Trading Advisor may receive incentive fees
in respect of Trading Profits achieved on the assets managed by it during a
quarter in which the other Trading Advisor experiences losses on the assets that
it manages which are greater than the profits earned by the funds under
management by the Trading Advisor receiving fees. Thus, it is possible that
incentive fees could be payable during a quarter in which the Net Asset Value
per Unit actually has declined. The effect might be to deplete the Fund assets
by the amount of incentive fees paid during periods when the loss incurred by
one Trading Advisor outweighs the profits recognized by the other Trading
Advisor.
(16) SPECULATIVE POSITION LIMITS MAY LIMIT POSITIONS TAKEN BY FUND. The CFTC and
domestic exchanges have established speculative position limits ("position
limits") on the maximum net long or short futures position which any person, or
group of persons acting in concert, may hold or control in particular futures
contracts or options on futures traded on U.S. commodity exchanges. The CFTC has
adopted a rule which requires commodity exchanges to impose speculative position
limits on all commodities traded on the exchange (with the exception of certain
commodities subject to speculative position limits established by the CFTC). All
commodity accounts owned or controlled by each Trading Advisor and its
affiliates are combined for position limit purposes. With respect to futures
trading in commodities subject to such limits, a Trading Advisor may thus be
required to reduce the size of the futures positions which would otherwise be
taken for the Fund in such commodities and not trade futures in certain of such
commodities in order to avoid exceeding such limits. Such modification of trades
of the Fund, if required, could adversely affect the operations and
profitability of the Fund. See "Description of Commodity Trading--Regulation."
If such limits are exceeded, a Trading Advisor will be compelled to liquidate
positions in each of its clients' trading accounts, including the Fund's, on a
pro rata basis in accordance with the amount of equity in each such account.
While each Trading Advisor believes that the speculative position limits will
not
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adversely affect the trading directed by it, it is possible that from time to
time the trading approach or instructions of an advisor may have to be modified
and that positions held by the Fund may have to be liquidated to avoid exceeding
such limits. Such modification or liquidation, if required, could adversely
affect the operations and profitability of the Fund. In addition, the
speculative position limits will apply on an aggregate basis to all positions
held by the Fund.
(17) NEW ADVISORS MAY BE RETAINED WITHOUT NOTICE TO, OR APPROVAL BY, LIMITED
PARTNERS. Upon termination of a Trading Advisor, the General Partners may direct
liquidation of all positions established by such Trading Advisor prior to
commencement of trading directed by another trading advisor with respect to
those assets. Any additional and replacement trading advisors would be selected
by the General Partners without prior notice to, or approval from, Limited
Partners who would not have the opportunity to review their performance records
and the terms of their agreements with the Fund prior to their selection.
Pursuant to the Amended and Restated Limited Partnership Agreement, the General
Partners are authorized to enter into advisory contracts with new advisors on
terms and conditions as they, in their sole discretion, deem to be in the best
interests of the Fund. If an advisor were to be designated following a decline
in the Fund's assets, that advisor might (depending upon the compensation
arrangements negotiated with the General Partners) receive an incentive fee
based on any subsequent trading profits despite the fact that those trading
profits do not exceed trading losses incurred by previous or existing advisors
or by the Fund as a whole.
(18) EXCHANGE FOR PHYSICALS MAY NOT ALWAYS BE PERMITTED. The Trading Advisors
may engage in exchange for physicals for the Fund's accounts. See "Glossary." If
the Trading Advisors were to be prevented from making use of this trading
technique for the Fund, due to changes in applicable regulations, the trading
performance of the Fund could be adversely affected.
(19) INCREASING THE ASSETS TRADED BY THE TRADING ADVISORS MAY HAVE POSSIBLE
ADVERSE EFFECTS. Commodity trading advisors are limited in the amount of assets
that they can successfully manage, both by the difficulty of executing
substantially larger trades made necessary by the larger amount of equity under
management and by the restrictive effect of speculative position limits.
Increased equity generally results in a larger demand for the same commodity
interest contract positions among the accounts managed by a commodity trading
advisor. Furthermore, a number of analysts believe that a trading advisor's rate
of return tends to decrease as the amount of equity under management increases.
The Trading Advisors have not agreed to limit the amount of additional equity
that they may manage, and the assets under management of certain Trading
Advisors have increased substantially since the beginning of the Fund's trading
and may increase further. There can be no assurance that the Trading Advisors'
respective trading systems will not be adversely affected by additional equity,
including any additional assets of the Fund.
LIMITED PARTNERS AND THE FUND
(20) FUND OPERATING HISTORY NOT NECESSARILY INDICATIVE OF FUTURE PERFORMANCE.
The Fund began trading on June 16, 1987. The Fund's initial capitalization was
$7,372,260. The Net Asset Value per Unit at the commencement of trading on June
16, 1987 was $225.43 and the Net Asset Value per Unit as of April 30, 1995 was
$260.14 (which would have been equivalent to $780.42 before the February 28,
1995 3-for-1 split). The average annual rate of return from an investment in the
Fund through April 30, 1995 is 15.5%, based on the initial Net Asset Value. Due
to the uncertainty of the commodity markets the General Partners' past
performance generally and the past performance of the Fund specifically cannot
be regarded as an indicator of the Fund's future performance. See "The General
Partners--Past Performance of the General Partners" and "The Trading
Advisors--Past Performance of the Trading Advisors." In addition, the CFTC has
proposed changes in its regulations that would alter the manner of presenting
past performance, although not the manner in which it is calculated.
(21) GENERAL PARTNERS LIMITED EXPERIENCE AS POOL OPERATORS. CISI and IDS Futures
have limited prior experience in operating commodity pools. In addition to
operating the Fund since June 16, 1987, CISI currently operates another public
commodity pool jointly with IDS Futures. See "The General Partners--Past
Performance of the General Partner" and "The General Partners."
(22) AUTOMATIC TERMINATION FEATURES COULD TERMINATE FUND. The Units are designed
for investors who desire longer term investments. The Fund will terminate on
December 31, 2006, and will terminate automatically if the Fund's Net Asset
Value decreases below $500,000 at the close of business on any trading day. In
addition, the Fund will suspend trading and may terminate if the Net Asset Value
per Unit (after adding back any previous distributions from the Fund to the
Limited Partners) decreases below $125, after the 3-for-1 split. See "Trading
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Policies" and "Amended and Restated Limited Partnership Agreement--Termination
of Fund" and "Amended and Restated Limited Partnership Agreement--Redemption."
However, no assurance can be given that the investor will receive $125 per Unit,
or any other specified amount since the impossibility of executing trades under
certain conditions, together with the expenses of liquidation, may deplete the
Fund's assets below this amount. See "Commodity Futures Markets May Be Illiquid"
above.
(23) INVESTORS HAVE LIMITED MANAGEMENT RIGHTS. Purchasers of the Units will
become Limited Partners in the Fund and, as such, they will be unable to
exercise any management functions with respect to its operations. The rights and
obligations of the Limited Partners are governed by the provisions of the
Delaware Revised Uniform Limited Partnership Act and by the Amended and Restated
Limited Partnership Agreement, which provides, in part, that amendments thereto
may be proposed by the General Partners or by Limited Partners owning at least
10% of the outstanding Units and will be adopted if approved by the holders of a
majority of such Units (not including any Units held by the General Partners or
their corporate affiliates, but including any Units held by representatives and
employees of the Selling Agent and of its corporate affiliates). See "Amended
and Restated Limited Partnership Agreement--Management of Fund" and the Amended
and Restated Limited Partnership Agreement attached as Exhibit A.
(24) RISK OF SUBSTANTIAL LOSSES AFTER ADMISSION OF NEW LIMITED PARTNERS. The
Fund could incur substantial losses shortly after the admission of new Limited
Partners. The General Partners could subsequently decide to deleverage trading,
alter allocations of assets among the Trading Advisors, or terminate a Trading
Advisor, any of which may impair the potential for profit for those Limited
Partners. The fixed rate charges to the Fund, paid irrespective of the Fund's
profitability, could further exacerbate such losses.
(25) LIMITED ABILITY TO LIQUIDATE INVESTMENT IN UNITS. Although a Limited
Partner may transfer his or her Units, no market exists for the Units and none
is likely to develop. In addition, a transferee of a Unit can only become a
substituted Limited Partner with the General Partners' consent. See "Amended and
Restated Limited Partnership Agreement--Transfers of Units." Restrictive
redemption privileges are provided in the Amended and Restated Limited
Partnership Agreement. See "Redemptions." No redemptions are permitted by a
subscriber during the first six months after he or she has been first admitted
to the Fund. Thereafter, under certain conditions, a Limited Partner may require
the Fund to redeem any or all of his or her Units (with the redemption amount
designated either in terms of Units or dollars) based on the Net Asset Value per
Unit as of the last day of any month on ten (10) days written notice to the
General Partners. Accordingly, the Net Asset Value per Unit on the date such
notice is given may vary considerably from that on the redemption date. The
minimum redemption amount, whether requested in terms of dollars or Units, is
the lesser of $500 or the Net Asset Value of two Units, unless the Limited
Partner is redeeming his or her entire interest in the Fund. The Units are
generally noncallable by the General Partners, but the General Partners have
authority under the Fund's Amended and Restated Limited Partnership Agreement to
require Limited Partners that are employee benefit plans to withdraw from the
Fund under certain conditions. See "Purchases by Employee Benefit Plans--ERISA
Considerations."
(26) SUBSTANTIAL REDEMPTIONS COULD AFFECT FUND'S TRADING. Substantial
redemptions of Units by the Limited Partners within a limited period of time
could require the Fund to liquidate positions more rapidly than would otherwise
be desirable, which could adversely affect the value of both the Units being
redeemed and the outstanding Units. In addition, regardless of the period of
time in which redemptions occur, the resulting reduction in the Fund's Net Asset
Value could make it more difficult for the Fund to generate Trading Profits or
recoup losses due to a reduced equity base.
(27) CLAIMS AGAINST LIMITED PARTNERS COULD BE MADE BY FUND. Under certain
circumstances, (see "Amended and Restated Limited Partnership Agreement--Nature
of The Partnership" and Exhibit A--Amended and Restated Limited Partnership
Agreement), a Limited Partner might be required to repay to the Fund a
distribution for a period of three years after the distribution was received
with the knowledge that the distribution violated Delaware partnership law.
(28) EXPIRATION OF THE FUND'S CONTRACTS WITH THE CLEARING BROKER AND TRADING
ADVISORS COULD LEAD TO CHANGES IN FUND'S OPERATIONS. The Advisory Contract, as
amended, between the Fund and the Trading Advisors has been renewed for a one
year period ending June 30, 1995 and is subject to extension by the Fund for an
additional one year term. Furthermore, the Advisory Contract is terminable by
the Fund or such Trading Advisors upon the occurrence of certain other events.
Upon termination of the contract with the Trading Advisors, the General Partners
will be required to re-negotiate such contracts or make other arrangements for
providing such services if the Fund intends to continue trading. No assurance
can be given that upon expiration of the Advisory Contract
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that the General Partners will be able to retain the existing trading advisors
or new trading advisors on the same terms or fee structure as the current
Advisory Contract. In addition, no assurance can be given that the services of
the Introducing Broker and Clearing Broker will be available after the
expiration or termination of the Clearing Brokerage Agreement. If the Fund were
to employ new brokers, the brokerage commissions charged might be higher or
lower than those currently paid by the Fund. See "The Trading Advisors--The
Advisory Contract" and "Brokerage Arrangements."
(29) LIMITED NET WORTH OF GENERAL PARTNERS. The General Partners will maintain a
minimum net worth as described under the caption "The General Partners--Minimum
Investment and Net Worth" and Exhibit A--Amended and Restated Limited
Partnership Agreement for as long as they continue as general partners of the
Fund. However, investors should recognize that affiliates of the General
Partners, including Cargill Investor Services, Inc. and American Express
Financial Advisors Inc., have no similar obligations to maintain a minimum net
worth in connection with the Fund's operation and that the assets of such
affiliates will not be available to discharge obligations of the Fund.
(30) POTENTIAL INDEMNIFICATION OBLIGATIONS OF FUND COULD REDUCE ITS NET ASSET
VALUE. Under certain circumstances, the Fund might be subject to indemnification
obligations with respect to the General Partners, the Trading Advisors, the
Clearing Broker, the Selling Agent, the Escrow Agent and related parties. The
Fund will not carry any insurance to cover any obligations and none of the
foregoing parties will be insured for losses for which the Fund has agreed to
indemnify them. Any indemnification paid by the Fund would reduce the Fund's Net
Asset Value.
(31) MONTHLY ACCOUNT STATEMENT PROVIDED AFTER SUBSCRIPTION. CFTC Regulation
4.21(f) requires that a copy of the Fund's latest monthly account statement be
attached to this disclosure document when used to solicit prospective investors.
However, due to the unnecessary administrative burden that exact compliance with
Regulation 4.21(f) would create, the Fund has proposed, and the CFTC has
accepted, an alternative solution. Prospective investors will be furnished the
Fund's latest monthly account statement immediately following receipt of their
subscriptions by the Selling Agent. In addition to receiving the latest monthly
account statement, each prospective investor will be provided with an address
and phone number to contact within 16 days from the date of the mailing of the
account statement and confirmation by the Selling Agent if the investor wishes
to rescind his/her subscription.
CONFLICTS
(32) CONFLICTS OF INTEREST EXIST FROM RELATIONSHIPS AMONG FUND'S SERVICE
PROVIDERS. There exist inherent and potential conflicts of interest in the
operation of the Fund's business. See "Conflicts of Interest." These include (i)
the conflict between the duty of the General Partners to monitor the Trading
Advisors' trading volume and the financial advantage to the Introducing Broker,
an affiliate of IDS Futures, and to the Clearing Broker, an affiliate of CISI,
in the event of substantial trading by the Trading Advisors and (ii) the
competition with the Fund by affiliates of the General Partners and the Fund's
Introducing Broker and Clearing Broker, by the Trading Advisors, and by
customers (including other commodity pools) of the foregoing entities in
connection with the execution of similar commodity transactions.
(33) LACK OF INDEPENDENT INVESTIGATION OF FUND'S STRUCTURE BY SELLING AGENT.
American Express Financial Advisors Inc., the Selling Agent for the Fund, is an
affiliate of IDS Futures, one of the Fund's General Partners. Accordingly, no
independent investigation of the Fund's structure and operations has been
undertaken by the Selling Agent. In addition, the Fund, the Selling Agent, the
General Partners, and one of the Fund's Trading Advisors are represented by the
same counsel.
TAXATION
(34) TAX LAWS SUBJECT TO CHANGE. It is possible that the current federal income
tax treatment accorded an investment in the Fund will be modified by
legislative, administrative or judicial action in the future. The nature of
future changes in federal income tax law, if any, cannot be determined prior to
enactment of any new tax legislation. However, such legislation could
significantly alter the tax consequences and decrease the after-tax rate of
return of an investment in the Fund. In addition, regulations are expected to be
promulgated which will implement or clarify provisions of recent tax law
changes. Any such change may or may not be retroactive. Potential limited
partners should seek, and must rely on, the advice of their own tax advisors
with respect to the possible impact on their investments of federal and state
tax law and any future proposed tax legislation or administrative or judicial
action. See "Federal Income Tax Considerations."
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(35) DEDUCTIBILITY OF PARTNERSHIP EXPENSES MAY BE LIMITED. The Tax Reform Act of
1986 imposes limitations on the deductibility of certain miscellaneous itemized
deductions. Such deductions, including, for example, investment advisory fees,
are only deductible to the extent they exceed two (2) percent of the taxpayer's
adjusted gross income. This limitation would not apply to the Fund or to a
partner's share of Fund expenses if the Fund were determined to be engaged in
the trade or business of trading commodities and its expenses were directly
related to its trade or business activities. If, however, the Fund is not
engaged in the trade or business of trading commodities or its expenses are not
related to its trade or business activities, then such expenses would instead
"flow through" to Fund partners and each partner would only be able to deduct
his or her share of these expenses to the extent they, together with other
miscellaneous itemized deductions of the partner, exceed the two (2) percent
floor. See "Federal Income Tax Considerations."
(36) POSSIBILITY OF TAXATION AS A CORPORATION WOULD PREVENT PASS-THROUGH OF
PROFIT OR LOSS TO INVESTORS. The General Partners have been advised by their
counsel, Chapman and Cutler, that, in its opinion, under current federal income
tax law and regulations, the Fund will be classified as a partnership and not as
an association taxable as a corporation. This status has not been confirmed by a
ruling from, and such opinion is not binding upon, the Internal Revenue Service
(the "Service"). No such ruling has been or will be requested. The facts and
authorities relied upon by counsel in its opinion may change in the future. If
the Fund should be taxed as a corporation for federal income tax purposes in any
taxable year, income or loss of the Fund would not be passed through to the
partners, and the Fund would be subject to tax on its income at the tax rate
applicable to corporations. In addition, all or a portion of distributions made
to partners could be taxable to the partners as dividend income, and the amount
of such distributions would not be deductible by the Fund in computing its
taxable income. See "Federal Income Tax Considerations--Partnership Taxation."
(37) LIMITED PARTNERS WILL BE TAXED ON INCOME AND PROFITS WHETHER OR NOT
DISTRIBUTED. If the Fund has taxable income for a fiscal year, such income will
be taxable to the Limited Partners in accordance with their distributive shares
of the Fund's income, whether or not such income is distributed to the limited
partners. The Amended and Restated Limited Partnership Agreement provides that
the General Partners will determine whether and in what amount the Fund will
distribute its profits or capital. It is possible that no distributions will be
made in some years in which profits are achieved. Accordingly, if there are
profits (including unrealized profits), the limited partners will incur tax
liabilities, but the limited partners may not receive distributions of cash
adequate to pay taxes with respect to such profits. Prospective investors should
note further that the Fund might sustain losses after the end of the fiscal year
offsetting such realized or unrealized profits, so a limited partner might never
receive the profits on which he or she is taxed. However, Limited Partners may,
subject to the conditions described under "Redemptions," redeem Units to provide
funds for the payment of taxes.
(38) BROKERAGE COMMISSIONS TO AMERICAN EXPRESS FINANCIAL ADVISORS INC. MIGHT BE
CHARACTERIZED AS NON-DEDUCTIBLE EXPENSE. A portion of the commodity brokerage
commissions payable by the Fund to American Express Financial Advisors Inc. as
Introducing Broker might be characterized by the Internal Revenue Service as a
syndication expense. If so the Fund (and indirectly the Limited Partners) would
be required to treat that portion of the commodity brokerage commissions as a
non-deductible syndication expense. Over a period of years this amount could be
substantial.
(39) TAX CONSEQUENCES OF COMMODITY FUTURES AND OPTIONS TRADING DIFFER FROM THOSE
FOR OTHER INVESTMENTS. The federal income tax treatment of trading in commodity
interests varies significantly from the federal income tax treatment accorded
other types of investments. Additionally, the tax consequences of certain
transactions that the Fund may enter into are not addressed in the Code or
regulations and are uncertain at this time. There is no assurance that the
Service will agree with the Fund's tax treatment of such transactions. See
"Federal Income Tax Considerations."
(40) PARTNERSHIP ALLOCATIONS COULD BE CHALLENGED BY IRS. There can be no
assurance that the partnership allocations contained in the Amended and Restated
Limited Partnership Agreement will not be challenged by the Service. While it is
intended that such allocation provisions comply with applicable U.S. Treasury
regulations, the liability of the limited partners could be substantially
increased if the allocations were successfully challenged. See "Federal Income
Tax Considerations--Allocations of Fund Profits and Losses."
REGULATION
(41) ABSENCE OF REGULATION APPLICABLE TO SECURITIES MUTUAL FUNDS AND THEIR
ADVISORS. The Fund has not registered as a securities investment company, or
"Mutual Fund," subject to the extensive regulation by the Securities and
Exchange Commission (the "SEC") imposed upon such entities under the Investment
Company Act of 1940. In
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addition, the Trading Advisors are not registered under the Investment Advisers
Act of 1940 (or any similar state law). Investors are, therefore, not afforded
the protections provided by those Acts. However, under the Commodity Exchange
Act, as amended, the Trading Advisors are each registered as a commodity trading
advisor, the General Partners are each registered as a commodity pool operator,
the Clearing Broker is registered as a futures commission merchant, the
Introducing Broker is registered as an introducing broker, and the Fund is
subject to regulation by the CFTC and the NFA. See "Description of Commodity
Trading--Regulation."
(42) FUTURE REGULATORY CHANGES COULD OCCUR. The futures market, particularly the
stock index futures and options markets, could be subject to significant
additional regulations as a result of regulatory and Congressional responses to
market turbulence in recent years. It is unknown to what extent statutory
modifications and/or administrative regulations will be promulgated. In
addition, the various exchanges and regulatory bodies are also considering
implementing changes in self-imposed regulations.
The regulation of commodities and securities transactions in the United States
is a rapidly changing area of law and the various regulatory procedures
described herein are subject to modification by government action. The effect of
any future regulatory change on the Fund is impossible to predict, but could be
substantial and adverse. See "Description of Commodity Trading--Regulation."
Considerable regulatory attention has recently been focused on publicly
distributed partnerships, and, in particular, "commodity pools" such as the
Fund. For example, proposals have been made to consider and evaluate the
disruptive effects of pools of speculative capital trading in the currency
markets on central banks' attempts to influence exchange rates, and perhaps to
restrict such trading as a result of such evaluation. In the current
environment, perhaps more than in prior periods, prospective investors must
recognize the possibility of future regulatory change altering, perhaps to a
material extent, the nature of an investment in the Fund.
CREDIT RISKS
(43) FAILURE OF BROKERAGE FIRMS MIGHT JEOPARDIZE FUND'S ASSETS. The Commodity
Exchange Act requires a clearing broker to segregate all funds received from
such broker's customers in respect of regulated futures (but not forward)
transactions from such broker's proprietary funds. If the Clearing Broker were
not to do so to the full extent required by law, the assets of the Fund might
not be fully protected in the event of the bankruptcy of the Clearing Broker.
Furthermore, in the event of the Clearing Broker's bankruptcy, the Fund would be
limited to recovering only a pro rata share of all available funds segregated on
behalf of the Clearing Broker's combined customer accounts, even though certain
property specifically traceable to the Fund was held by the Clearing Broker.
Commodity brokers other than the Clearing Broker, including commodity brokers
located outside the U.S., may hold assets of the Fund. There may be less
protection to the Fund's assets if such a foreign broker were to become
insolvent. The bankruptcy or inability to perform of the parties with which the
Fund trades in the forward markets could also result in substantial losses both
due to defaulted contracts (which on United States exchanges would effectively
be guaranteed by the clearing house system) and to such parties generally not
being obligated to segregate customer funds as are CFTC regulated futures
commission merchants.
CISFS is not subjected to regulation under any U.S. regulatory framework or to
supervision by any regulatory agency. Further, there are no minimum capital
requirements that apply to its operations, and, unlike the Clearing Broker,
CISFS is not required to segregate customer funds held by it. While CISFS does
not trade directly for its own account, it does enter into forward contract
transactions as a counterparty on behalf of its customers with other
participants in the interbank market. Since the interbank market does not
operate through a clearing house, CISFS (like the Fund, as described above) is
directly exposed to the risk of insolvency on the part of one of its
counterparties. In the event of CISFS's insolvency or termination of the lines
of credit made available to the Fund through CISFS, the Fund might be unable to
consummate its forward contract transactions with its counterparties, and
therefore incur substantial losses. Since the Fund will enter forward contract
transactions directly with counterparty banks, the insolvency of CISFS will not
excuse it from performing any of those contracts.
THE FOREGOING LIST OF RISK FACTORS DOES NOT PURPORT TO BE A COMPLETE EXPLANATION
OF RISKS INVOLVED IN THIS OFFERING. POTENTIAL INVESTORS SHOULD READ THE ENTIRE
PROSPECTUS BEFORE DECIDING TO INVEST IN THE FUND.
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POTENTIAL ADVANTAGES OF THE FUND
Investment in the Units is speculative and involves a high degree of risk. See
"Risk Factors." However, an investment in the Fund offers the following
potential advantages which might otherwise be unavailable to a Limited Partner
if he or she were to engage individually in commodity futures transactions:
INVESTMENT DIVERSIFICATION. An investor who is not prepared to spend substantial
time trading commodity interests may nevertheless participate in these markets
through the Fund, thereby obtaining diversification from other investments such
as stocks, bonds and real estate. The General Partners believe that the
profitability of trading in commodity interests, and, therefore, the profit
potential of the Fund, does not depend upon favorable general economic
conditions and that it may be as profitable during periods of declining stock,
bond and real estate markets as at any other time. Conversely, the Fund may be
unprofitable (as well as profitable) during periods of generally favorable
economic conditions.
The possibility of significant fluctuations in the value of the U.S. Dollar and
the cost of energy, of wide swings in domestic and foreign stock markets and
interest rates, and of fragility in world banking and credit mechanisms (among
other factors) may make a diversification into an investment vehicle such as the
Fund particularly timely. The Fund's flexibility to take either long or short
positions--whereas traditional portfolios are typically heavily weighted towards
the former--can be an important advantage in times of economic uncertainty.
COMMODITY DIVERSIFICATION. The Trading Advisors may trade over 50 commodity
interests, but the actual number of commodity interests traded will vary from
time to time. Positions in all of the commodities that the Trading Advisors
trade probably would not be held by the Fund at any given time. In order to
limit the risk involved in adverse market activity in any one commodity, the
trading policies of the Fund restrict the amount of Fund assets which may be
invested in any one commodity. The Fund will not allow any commodity trading
advisor to acquire, on behalf of the Fund, additional positions in a commodity
if such additional positions, when added to the existing open positions
initiated by the commodity trading advisor, would result in a net long or short
position for any commodity requiring as margin or premiums more than 15% of the
Fund's Net Asset Value allocated to that commodity trading advisor's management
at the time. See "Trading Policies." Each Limited Partner will thus obtain
greater diversification in commodities traded than would be possible trading
individually unless substantially more than the $1,000 minimum investment in the
Fund were committed to the commodity markets.
LIMITED LIABILITY. Unlike an individual who trades directly in commodity futures
contracts, an investor in the Fund cannot be individually subjected to margin
calls and cannot lose more than the amount of his or her original investment and
any profits earned thereon (including distributions, payments upon redemption of
Units and interest thereon). See "Description of Commodity Trading--Margins" and
"Amended and Restated Limited Partnership Agreement--Nature of the Partnership."
PROFESSIONAL TRADING MANAGEMENT. Subject to certain termination rights, all
commodity transaction decisions until June 30, 1996, will be made by the Trading
Advisors, whose advisory and management services are not generally available to
small investors. For information concerning the past trading performance of the
Fund's Trading Advisors, see "The Trading Advisors--Past Performance of the
Trading Advisors."
ADMINISTRATIVE CONVENIENCE. The Fund provides the Limited Partners with many
services designed to reduce the administrative details involved in engaging in
commodity transactions. The General Partners, the Trading Advisors and the
Fund's commodity brokers perform services for the Fund, including entering
orders for commodity transactions, segregating the Fund's assets in a separate
account or accounts, keeping books and records, distributing monthly account
statements to the Limited Partners, and responding to inquiries from Limited
Partners.
INTEREST INCOME. The Fund receives monthly interest income on 100% of the Fund's
average monthly net assets on deposit at the Clearing Broker at a rate equal to
90% of the average yield on the 90-day U.S. Treasury bills issued during that
month. An individual trader often would not receive any interest on the funds in
his or her commodity account unless he or she committed substantially more than
the amount of the minimum investment in the Fund.
REDUCTION IN BROKERAGE COMMISSIONS. The Fund pays brokerage commissions at rates
equal to $35 per round turn trade, plus National Futures Association ("NFA"),
exchange and clearing fees. The brokerage commission rate payable by the Fund
was reduced from $50 to $35 per round turn trade effective the first business
day of the month after the date of the first closing for this offering. Thus,
the proceeds from all investments made pursuant to this offering will benefit
from the lower rate from the date such proceeds are committed to trading. The
Clearing Broker and the Introducing Broker will not receive any amounts in
excess of $15 and $20, respectively, for each
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round turn trade. The Fund may be required to pay a brokerage commission in
excess of $35 for each round turn trade on certain non-U.S. exchanges. Any such
excess amounts paid by the Fund will be direct costs associated with the
execution of trades on such exchanges. See "Charges to the Fund." To the extent
an investor would be charged higher commissions were he or she to trade
directly, he or she will be benefited by such lower rates. Reference is made to
"Charges to the Fund," "Conflicts of Interest," and "Brokerage Arrangements"
concerning the nature and amount of brokerage commissions and for a discussion
of the fact that the Fund is not charged the lowest available brokerage rates.
CAPITAL RESERVE. Because it is unlikely that all of the Fund's trading capital
will be committed to trading at any given time, the Fund expects to maintain a
reserve that may provide greater ability to continue trading operations in
adverse markets than that available to traders who trade with the equivalent of
the minimum investment in the Fund.
CONFLICTS OF INTEREST
The following inherent or potential conflicts of interest should be considered
by prospective investors before subscribing for Units:
1. RELATIONSHIP OF THE GENERAL PARTNERS, THE INTRODUCING BROKER, THE CLEARING
BROKER, AND THE FOREIGN CURRENCY BROKER. CISI, one of the General Partners, is
an affiliate of Cargill Investor Services, Inc., the Clearing Broker. IDS
Futures, the Fund's other General Partner, is an affiliate of American Express
Financial Advisors Inc., the Introducing Broker. The responsibilities of the
General Partners include selecting brokers to act on behalf of the Fund,
obtaining appropriate commission rates for the Fund, and ensuring that the
Trading Advisors do not engage in excessive trading. Cargill Investor Services,
Inc. is currently acting as the clearing broker for the Fund and American
Express Financial Advisors Inc. is currently acting as the introducing broker
for the Fund. In such capacities, they receive brokerage commissions for
commodity transactions effected by the Fund. Although the Fund will trade only
at the direction of independent commodity trading advisors, CISI and IDS Futures
have a conflict of interest between their duty to the Limited Partners to limit
or reduce the cost of brokerage commissions and their interest in the generation
of brokerage commissions which would benefit Cargill Investor Services, Inc., an
affiliate of CISI, and American Express Financial Advisors Inc., an affiliate of
IDS Futures. The General Partners do not intend to negotiate with any other
brokerage firms for brokerage services for the Fund so long as the brokerage
agreements with Cargill Investor Services, Inc. and American Express Financial
Advisors Inc. are in effect.
Because decisions determining the volume and frequency of trading by the Fund
will be made by independent commodity trading advisors, the General Partners
believe that the effects of this conflict of interest will be mitigated. The
General Partners do not have authority to influence the trading decisions of the
Trading Advisors regarding the volume or frequency of trades, except that the
General Partners are required to monitor compliance with the Fund's trading
policies, and may from time to time direct the Trading Advisors to liquidate
positions held by the Fund in order to meet redemption requests. The Clearing
Broker and Introducing Broker may charge other customers, including other
commodity pool accounts, brokerage commissions at rates which are higher or
lower than those to be paid by the Fund. Taking into consideration the services
to be provided to the Fund by the Clearing Broker and Introducing Broker, and
the reduction of the brokerage commission rate from $50 to $35 per round turn
rate, the General Partners believe that the brokerage commission arrangements
are fair to the Fund. Accordingly, the General Partners do not intend to seek
lower commission rates for the Fund. The General Partners will seek to assure
that brokerage charges for the Fund are within the range of those generally
charged to public commodity funds of comparable size and structure in view of
the nature and quality of the brokerage services to be rendered.
The General Partners each receive an annual administrative fee based on the
Fund's Net Asset Value on the first business day of each fiscal year of the
Fund. The annual administrative fee payable to IDS Futures is 1.125% of the
Fund's beginning Net Asset Value for each fiscal year, and the annual
administrative fee payable to CISI is 0.25% of the Fund's beginning Net Asset
Value for each fiscal year. The amounts of these fees were determined by the
General Partners without any negotiation between them and the Fund.
The Clearing Broker and the Introducing Broker may receive more brokerage
commission revenue from the Fund's trading if no distributions are made to the
Limited Partners. The General Partners' annual administrative fees will also be
larger if no distributions are made to Limited Partners, since those fees are
based on the Fund's Net Asset Value. All decisions as to distributions will be
made by the General Partners; the General Partners have not made and have no
current intentions to declare distributions to Limited Partners. The General
Partners may therefore
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have a conflict of interest between their interest in making decisions about
distributions in the best interests of the Fund and its Limited Partners and
their interest in maximizing the assets of the Fund which are available for
trading and for the generation of brokerage commissions, and as the basis for
the annual administrative fees payable to them.
The Fund receives interest on 100% of its average monthly net assets on deposit
at the Clearing Broker at a rate of interest equal to 90% of the average 90-day
Treasury bill rate for Treasury bills issued during that month. The Clearing
Broker receives and retains any increments of interest earned on the assets of
the Fund in excess of the interest paid to the Fund. Since the Clearing Broker
is affiliated with CISI, CISI's conflict of interest (described immediately
above) between making decisions related to distributions in the best interests
of the Fund and its Limited Partners, while also having an interest of its own
in maximizing the assets of the Fund, extends to its interest in maintaining the
Fund's assets at higher levels and minimizing the amounts of distributions in
order also to maximize the amount of interest income generated by assets of the
Fund and payable to the Clearing Broker.
Effective the first business day of the month after the initial closing of this
offering, the Fund pays brokerage commissions of $35 per round turn trade to the
Clearing Broker, plus NFA, exchange and clearing fees, of which $15 per round
turn trade is retained by the Clearing Broker. The remaining $20 per round turn
trade is paid to the Introducing Broker.
CISI is also affiliated with CIS Financial Services, Inc. ("CISFS"). CISFS acts
as the agent for the Fund with respect to forward contract transactions in
foreign currencies and contracts on behalf of the Fund with large banks
(capitalization in excess of $100,000,000) in order to make or take future
delivery of specified lots of foreign currencies for the Fund. In such capacity,
CISFS will receive brokerage commissions for the foreign currency forward
contracts it effects for the Fund's account. Although the Fund will trade only
at the discretion of independent commodity trading advisors, CISI has a conflict
of interest between its duty to the Limited Partners to limit or reduce the cost
of brokerage commissions and its interest in the generation of such commissions
for CISFS. The General Partners do not intend to negotiate with any other firms
to provide forward contract brokerage services as long as the agreement with
CISFS is in effect. The General Partners believe that the consequences of this
conflict of interest will be mitigated by the fact that all trading decisions
will be made by independent commodity trading advisors. The brokerage
commissions payable to CISFS of $15 per transaction are comparable, on a
comparable currency unit basis, to those charged to the Fund by the Clearing
Broker. The conflicts of interest described above related to distributions to
the Limited Partners and the generation of brokerage commissions, and a conflict
of interest related to the inclination of CISI to favor the retention of CISFS
as the Fund's forward contract broker even when circumstances may indicate the
desirability of replacing CISFS in that capacity, also apply to the selection of
CISFS as the Fund's forward contract broker.
2. OTHER COMMODITY POOLS AND ACCOUNTS. The Clearing Broker currently acts as
commodity broker for commodity pools other than the Fund, including one other
public commodity pool of which the General Partners are CISI and IDS Futures,
and may act as commodity broker for other commodity pools of which CISI or IDS
Futures will be the general partner. The General Partners may in the future
establish and operate additional commodity pools, which may vary in structure
and in compensation arrangements from the Fund. The parent of the Introducing
Broker/ Selling Agent is registered as a commodity trading advisor and in that
capacity renders hedging advice to mutual funds advised by it as an investment
adviser. The Clearing Broker offers to its customers a Managed Account Program
("MAP") through which customers may select an independent commodity trading
advisor to direct trading for their individual accounts. The Clearing Broker,
the Introducing Broker, and the General Partners will not knowingly or
deliberately favor any such commodity pool or account over the Fund with respect
to the execution of commodity trades. In addition, the Trading Advisors or their
affiliates operate commodity pools and will manage accounts other than the
Fund's, including commodity pools and proprietary accounts. The Trading Advisors
have represented to the Fund that they will treat the Fund equitably and will
not deliberately favor on an overall basis any other client over the Fund with
respect to advice relating to commodity interest transactions.
3. COMMODITY TRANSACTIONS OF AFFILIATES AND CUSTOMERS OF THE CLEARING BROKER AND
THE INTRODUCING BROKER. Corporate affiliates of the Clearing Broker and the
Introducing Broker, including Cargill, Inc., the parent company of the Clearing
Broker, and their affiliates, trade in commodity interests from time to time for
their own accounts. In addition, the Clearing Broker is a substantial futures
commission merchant handling transactions in commodities and commodity futures
contracts for a large number of customers, including commodity pools, other than
the Fund. The Clearing Broker may effect transactions for the accounts of the
Fund in which other parties to the transaction may be affiliates of or other
commodity pools operated by affiliates of the Clearing Broker or Introducing
Broker. In addition, it is likely that the volume of trading by such other
parties will result in the Fund
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competing with such other parties from time to time in bidding on similar
purchases or sales of commodities and commodity futures contracts. Transactions
for such other parties might be effected when similar trades for the Fund are
not executed or are executed at less favorable prices. The operating policies of
the Clearing Broker require that orders be transmitted to the trading floors of
the commodity exchanges in the sequence received, regardless of customer size or
identity. Limited Partners will not be permitted to inspect the trading records
of the Clearing Broker or Introducing Broker in light of the proprietary and
confidential nature of such trading records.
4. OTHER ACTIVITIES OF THE CLEARING BROKER, INTRODUCING BROKER, GENERAL PARTNERS
AND TRADING ADVISORS, AND THEIR OFFICERS AND EMPLOYEES. As part of their
commodity brokerage services, certain account executives of the Clearing Broker
offer and service discretionary and non-discretionary commodity account programs
for customers meeting certain investment requirements. The selection of
commodity trades for such accounts is made by the particular account executive
handling the accounts or by a commodity trading advisor engaged for such
purpose. In addition, the Clearing Broker provides, on a daily basis, both
fundamental and technical information available to its account executives and
certain customers. It should be noted, however, that the Clearing Broker, its
employees and its affiliates will perform no advisory services for the Fund.
Since the Fund will be advised by the Trading Advisors which are not affiliated
with the Clearing Broker, the Fund may take positions similar to or opposite to
those taken by managed account programs offered by the Clearing Broker's account
executives or by the commodity research of the Clearing Broker. Certain of the
officers and employees of the Clearing Broker may be members of various
exchanges and may from time to time serve on the governing bodies and standing
committees of such exchanges and their clearing houses. In addition, certain of
the officers and employees of the Trading Advisors, the Clearing Broker, the
Introducing Broker and the General Partners may also be members of committees of
the NFA. In such capacities these individuals have a fiduciary duty to the
exchanges or organizations on which they serve and they are required to act in
the best interests of such exchanges or organizations, even if such actions were
to be adverse to the interest of the Fund. In addition, principals of such firms
may devote portions of their time to other business activities unrelated to the
business of those firms.
5. COMPENSATION TO THE GENERAL PARTNERS, THE CLEARING BROKER AND THE INTRODUCING
BROKER. Receipt by the General Partners, the Clearing Broker, and the
Introducing Broker of compensation on an ongoing basis in the form of
administrative fees and brokerage commissions paid by the Fund creates a
conflict of interest between their duty to perform certain services for the
Limited Partners in the Fund in the best interests of such Limited Partners and
their interest in continuing to receive ongoing compensation related to
administrative fees and brokerage commissions paid by the Fund, which is
dependent on continued participation by such Limited Partners in the Fund. See
"The General Partners" and "Brokerage Arrangements."
PURCHASES BY EMPLOYEE BENEFIT PLANS--ERISA CONSIDERATIONS
Subject to the following discussion, the purchase of the Units might be a
suitable investment for an employee benefit plan. The term "employee benefit
plans" refers to plans and accounts of various types (including their related
trusts) which provide for the accumulation of a portion of an individual's
earnings or compensation, as well as investment income earned thereon, free from
federal income tax until such time as funds are distributed from the plan. Such
plans include corporate pension and profit-sharing plans, "simplified employee
pension plans," so-called "Keogh" plans for self-employed individuals, including
partners, and Individual Retirement Accounts for persons (including employees
and self-employed persons) who receive compensation income. Before proceeding
with such a purchase, the person with investment discretion on behalf of an
employee benefit plan must determine whether the purchase of Units is (a)
permitted under the governing instruments of the employee benefit plan, and (b)
appropriate for that particular plan in view of its overall investment policy
and the composition and diversification of its portfolio. AMONG OTHER FACTORS,
SUCH A DETERMINATION IS LIKELY TO REQUIRE CONSIDERATION OF (I) WHETHER THE
INVESTMENT IS PRUDENT, CONSIDERING THE NATURE OF THE FUND, (II) WHETHER THE
INVESTMENT SATISFIES THE DIVERSIFICATION REQUIREMENTS OF SECTION 404 OF THE
EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974 ("ERISA"), (III) THE DEFINITION
OF "PLAN ASSETS" UNDER ERISA AND REGULATIONS ISSUED BY THE DEPARTMENT OF LABOR
REGARDING THE DEFINITION OF PLAN ASSETS, (IV) WHETHER SUCH INVESTMENT MAY RESULT
IN THE CREATION OF UNRELATED BUSINESS TAXABLE INCOME, WHICH IS NOT EXEMPT FROM
TAXATION UNDER THE INTERNAL REVENUE CODE, AND (V) THAT, ALTHOUGH UNITS WILL BE
PERIODICALLY REDEEMED BY THE FUND, THERE MAY BE NO MARKET IN WHICH SUCH
FIDUCIARY CAN SELL OR OTHERWISE DISPOSE OF THE UNITS. WITH RESPECT TO
SELF-DIRECTED IRAS, THE INDIVIDUAL ESTABLISHING SUCH ACCOUNT SHOULD CONSIDER,
AMONG OTHER THINGS, (IV) AND (V) ABOVE.
A minimum purchase requirement of $1,000 has been set for Individual Retirement
Accounts and Keogh Plans. See "Investment Requirements." Greater minimum
purchases may be mandated by the securities laws and regulations
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of certain states, and each investor should consult the Subscription
Requirements (Exhibit B) to determine the applicable investment requirements.
The form of Subscription Agreement and Power of Attorney (Exhibit C) for
individuals and joint owners, corporations, partnerships, and trusts may be used
in conjunction with the purchase of Units on behalf of employee benefit plans.
Those considering the purchase of Units on behalf of Individual Retirement
Accounts or employee benefit plans should be aware that, if the assets of an
investing plan were to be treated for purposes of the Employee Retirement Income
Security Act of 1974 ("ERISA") and the Internal Revenue Code of 1986, (the
"Code"), as including the underlying assets of the Fund, such treatment would
make the units an inappropriate investment for individual retirement accounts or
employee benefit plans. If Fund assets were deemed to be plan assets, the
fiduciary standards of Title I of ERISA, which generally apply to trustees and
other fiduciaries of employee benefit plans, would also extend to the General
Partners and the Trading Advisors, and such standards could limit the
transactions the Fund could enter. In addition, treatment of Fund assets as plan
assets might give rise to "prohibited" transactions under ERISA and the Code.
PLAN ASSETS. On November 13, 1986, the Department of Labor issued a final
regulation Section2510.3-101 (the "Regulation") under ERISA, effective March 13,
1987, which provides certain conditions under which the assets of a limited
partnership will not be "plan assets" of an employee benefit plan which
purchases an equity security of such entity. One way for the assets of a limited
partnership to not be deemed "plan assets" is if less than twenty-five percent
(by value) of the interests in the partnership are "benefit plan investors." For
this purpose, the term "benefit plan investors" includes both plans covered by
ERISA and other investors with similar investment objectives, such as
governmental pension plans, individual retirement accounts and welfare benefit
plans. No assurance can be offered by the General Partners as to the value of
the participation in the Fund which may be held by benefit plan investors.
Another way for the assets of a limited partnership to not be deemed "plan
assets" is if Units are "publicly offered securities" as defined in the
Regulation. For purposes of the Regulation, a publicly offered security is a
security that is "freely transferable," part of a class of securities that is
"widely held" and which is either (a) part of a class of securities that is
registered under Section 12(b) or 12(g) of the Securities Exchange Act of 1934
or (b) sold to the plan investor as part of an offering pursuant to an effective
registration statement under the Securities Act of 1933, if the class of such
securities is registered under the Securities Exchange Act of 1934 within 120
days after the end of the issuer's fiscal year during which the offering of the
securities occurred. The Regulation provides that a class of securities is
"widely held" if owned by 100 or more persons who are independent of the issuer
and of each other. The determination of whether a security is "freely
transferable" depends on the facts and circumstances of the particular case. It
is expected that the Units in the Fund will continue to meet the criteria of the
publicly offered securities test contained in the Regulation.
ERISA AND IRS RULES. The fiduciary who makes the investment decision for a plan
should carefully consider the restrictions on plan investments imposed by
Section 404 and Section 406 of ERISA, and by Internal Revenue Code Section 4975.
In general, Section 404 of ERISA imposes a duty on trustees or other fiduciaries
responsible for plan investments to exercise prudence in the selection of
investments, and to diversify such investments to minimize the risk of losses to
the plan. An investment in the Fund constitutes a highly speculative and
relatively illiquid investment and, although ERISA does not prohibit plans from
engaging in such investments per se, each plan fiduciary must carefully consider
whether, in light of the plan's overall investment portfolio, the risks inherent
in an investment in the Fund are consistent with the standards of Section 404 of
ERISA. THE FUND HAS NO RESPONSIBILITY FOR DETERMINING WHETHER A PURCHASE OF
UNITS IS A PRUDENT INVESTMENT FOR ANY PLAN. EACH PLAN FIDUCIARY CONSIDERING
ACQUIRING UNITS MUST CONSULT WITH ITS OWN LEGAL AND TAX ADVISERS BEFORE DOING
SO.
The General Partners expect that the Fund will not acquire or possess stock in
trade or other property of a kind which would properly be included in inventory
if on hand at the close of the taxable year, or property held primarily for sale
to customers in the ordinary course of a trade or business. On this basis and
assuming (i) the Fund will only engage in the activities described herein and
(ii) no money has been borrowed to invest in the Fund, income of the Fund should
not be "unrelated trade or business income" under Section 512 of the Code to any
employee benefit plan or individual retirement account. Although the General
Partners do not expect that the Fund will borrow money, if it were to do so (see
"Trading Policies") a portion of the tax exempt partner's share of Fund income
may be UBTI. The person with investment discretion on behalf of an employee
benefit plan should consult his or her attorney or other tax adviser with regard
to whether the purchase of Units might give rise to UBTI. If a tax-exempt
investor's share of Fund income is UBTI, the tax-exempt investor will generally
be subject to the same
33
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
provisions as taxable investors, such as the requirements to file tax returns to
report the income and to pay tax (including estimated tax) on the income. Each
tax-exempt investor is entitled to a $1,000 exemption to offset UBTI, but if the
tax-exempt investor has UBTI from other sources, only a portion of the exemption
would be available to offset UBTI of the Fund, if any.
Units may not be purchased with the assets of an employee benefit plan if a
General Partner, the Selling Agent, a Trading Advisor or any of their affiliates
either: (a) has investment discretion with respect to the investment of such
plan assets; or (b) has authority or responsibility to regularly give investment
advice with respect to such plan, for a fee, and pursuant to an agreement or
understanding that such advice will serve as a primary basis for investment
decisions with respect to such plan assets and that such advice will be based on
the particular investment needs of the plan; (c) has discretionary authority or
discretionary responsibility for administration of a plan; or (d) are employers
maintaining or contributing to such plan. Each fiduciary who authorizes a
purchase of Units by a plan must determine for himself whether such purchase
would constitute a prohibited transaction and should consult with his or her or
its advisor on tax and ERISA issues concerning these matters.
Subscribing for Units in the Fund does not create an IRA or other employee
benefit plan. Those considering the purchase of Units on behalf of an IRA or
other employee benefit plan must first assure themselves that the plan has been
properly established and funded. Then after the considerations discussed above
have been taken into account, the trustee or custodian of a Plan who decides or
who is instructed to do so may subscribe for Units in the Fund, subject to the
applicable minimum subscription.
THE FUND'S AMENDED AND RESTATED LIMITED PARTNERSHIP AGREEMENT PROVIDES THAT IF
AT ANY TIME THE GENERAL PARTNERS, IN THEIR SOLE DISCRETION, DETERMINE THAT THE
CONTINUED PARTICIPATION BY AN EMPLOYEE BENEFIT PLAN IN THE FUND WOULD CAUSE ANY
TRANSACTION BY THE FUND TO BE A VIOLATION OF ANY OF THE PROVISIONS OF SECTION
406 OF ERISA OR SECTION 4975 OF THE CODE, THE GENERAL PARTNERS MAY REQUIRE SUCH
A PLAN TO WITHDRAW IN WHOLE OR PART FROM THE FUND TO SATISFY CODE REQUIREMENTS.
ACCEPTANCE OF SUBSCRIPTIONS ON BEHALF OF IRAS OR OTHER EMPLOYEE BENEFIT PLANS IS
IN NO RESPECT A REPRESENTATION BY THE GENERAL PARTNERS OR THE INTRODUCING BROKER
THAT THIS INVESTMENT MEETS ALL RELEVANT LEGAL REQUIREMENTS WITH RESPECT TO
INVESTMENTS BY ANY PARTICULAR PLAN. THE GENERAL PARTNERS RESERVE THE RIGHT TO
REJECT THE SUBSCRIPTIONS OF ANY EMPLOYEE BENEFIT PLAN, IN THEIR DISCRETION, IF
THEY BELIEVE THAT THE ACCEPTANCE OF ADDITIONAL EMPLOYEE BENEFIT PLAN
SUBSCRIPTIONS MAY JEOPARDIZE THE STANDING OF THE FUND UNDER APPLICABLE LAW AS A
PERMISSIBLE INVESTMENT BY EMPLOYEE BENEFIT PLANS. THE PERSON WITH INVESTMENT
DISCRETION SHOULD CONSULT WITH HIS ATTORNEY AND FINANCIAL ADVISERS AS TO THE
PROPRIETY OF AN INVESTMENT IN THE PARTNERSHIP IN LIGHT OF THE CIRCUMSTANCES OF
THE PARTICULAR PLAN AND CURRENT TAX LAW.
The fiduciary provisions of ERISA are highly complex, and the foregoing is
merely a brief summary of some of its provisions. Each employee benefit plan
should consult with its own counsel as to the applicability of ERISA prior to
investing in the Fund.
USE OF PROCEEDS
The net proceeds to the Fund of this offering will be credited to the Fund's
commodity accounts with the Clearing Broker. Such proceeds will be used by the
Fund to engage in speculative trading in commodity futures contracts and options
on futures contracts and other futures related interests and in the cash foreign
exchange market, pursuant to the Trading Advisors' instructions as described
under "The Trading Advisors." In the past, approximately 20% to 60% of the
Fund's assets have been committed as initial margin for commodity futures
contracts. The General Partners believe that approximately 20% to 60% of the
Fund's assets will continue to normally be committed as initial margin for
commodity futures contracts, but from time to time the percentage of assets
committed as margin may be more or less than such historical range. The Clearing
Broker may increase margins applicable to the Fund at any time. See "Description
of Commodity Trading--Margins." The Fund will not acquire additional positions
in commodity interests, including commodity futures contracts, options on
commodity interests, and forward contracts, if such additional positions would
result in aggregate net long or net short positions for all commodities
requiring as margin or premium more than two-thirds of the Fund's assets. The
balance of the Fund's assets will be retained to apply, if needed, as additional
margin. See "Trading Policies."
34
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IDS MANAGED FUTURES, L.P.
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Pursuant to current regulations promulgated under the Commodity Exchange Act, as
amended, the Fund's accounts will be classified as customer accounts of the
Clearing Broker so long as the Clearing Broker, CISI, and certain related
persons of the foregoing own less than a 10% interest in the Fund. Interest
earned on the Fund's assets held by the Clearing Broker will be generated and
applied as described in the following paragraphs. Margin applicable to the
Fund's trading will be met from Fund assets held by the Clearing Broker.
The General Partners will be reimbursed by the Fund for organization and
offering expenses of the Fund initially paid by them. The General Partners have
agreed to pay all expenses of the offering regardless of total cost. The
Offering Expense Charge will be 3% of the gross per Unit price, and is intended
to reimburse the General Partners for offering costs. However, the General
Partners bear the risk that the Offering Expense Charge, when applied to the
total capital raised in connection with this offering, will not be sufficient to
fully reimburse the General Partners for the organization and offering expenses.
The General Partners will absorb any costs exceeding 3%. If, at the end of the
offering, the total Offering Expense Charge exceeds the actual offering expenses
incurred, the General Partners will retain any excess. As used in this
Prospectus, organization and offering expenses include legal, accounting,
auditing, marketing, filing, registration and recording fees, printing expenses,
and escrow charges. See "Charges to the Fund." However, such reimbursement (the
"Offering Expense Charge"), when added to the Sales Charge, shall not exceed 9%
of the gross proceeds of the offering.
The Fund will receive in each month interest earned on 100% of its average
monthly net assets on deposit at the Clearing Broker at 90% of the average
90-day Treasury bill rate for Treasury bills issued during that month. The
Clearing Broker benefits from interest earned on Fund assets in excess of the
amount paid to the Fund. Assets of the Fund will be deposited as margin with the
Clearing Broker in accordance with provisions of the Commodity Exchange Act, as
amended, and the rules and regulations promulgated thereunder.
SELECTED FINANCIAL DATA
IDS MANAGED FUTURES, L.P.
SELECTED FINANCIAL DATA
<TABLE>
<CAPTION>
1990 1991 1992 1993 1994
<S> <C> <C> <C> <C> <C>
OPERATING REVENUES $3,341,500 $2,242,504 $ 258,208 $ 3,443,879 $ 278,901
INCOME (LOSS) FROM CONTINUING OPERATIONS 2,607,723 1,411,872 (284,307) 2,361,949 (1,530,228)
INCOME (LOSS) PER UNIT 158.11 109.81 (18.13) 195.65 (48.91)
TOTAL ASSETS 6,066,077 7,183,050 5,980,134 15,134,816 24,184,896
LONG TERM OBLIGATIONS 0 0 0 0 0
CASH DIVIDEND PER UNIT 0 0 0 0 0
</TABLE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND
RESULTS OF OPERATIONS
LIQUIDITY AND CAPITAL RESOURCES
Most United States commodity exchanges limit the amount of fluctuation in
commodity futures contract prices during a single trading day by regulations.
These regulations specify what are referred to as "daily price fluctuation
limits" or "daily limits." The daily limits establish the maximum amount the
price of a futures contract may vary either up or down from the previous day's
settlement price at the end of a trading session. Once the daily limit has been
reached in a particular commodity, no trades may be made at a price beyond the
limit. Positions in the commodity could then be taken or liquidated only if
traders are willing to effect trades at or within the limit during the period
for trading on such day. Because the "daily limit" rule only governs price
movement for a particular trading day, it does not limit losses. In the past,
futures prices have moved the daily limit for numerous consecutive trading days
and thereby prevented prompt liquidation of futures positions on one side of the
market, subjecting commodity futures traders holding such positions to
substantial losses for those days.
It is also possible for an exchange or the CFTC to suspend trading in a
particular contract, order immediate settlement of a particular contract, or
direct that trading in a particular contract be for liquidation only.
35
<PAGE>
IDS MANAGED FUTURES, L.P.
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The Fund's net assets are held in a brokerage account with CIS, and as long as
CIS acts as the Fund's clearing broker, the Fund will earn interest on 100% of
the Fund's average monthly cash balance at a rate equal to 90% of the average
yield on the 90-day U.S. Treasury Bills issued during that month. For the
quarter ended March 31, 1995 CIS had paid or accrued to pay interest of $315,305
to the Fund. For the calendar year ended December 31, 1994 CIS had paid or
accrued to pay interest of $760,250 to the Fund. For the calendar year ended
December 31, 1993 CIS paid or accrued to pay interest of $218,411 to the Fund.
Similarly, for the calendar year ended December 31, 1992 CIS had paid or accrued
to pay interest of $155,423 to the Fund.
The number of both limited and general partnership units increased in the first
quarter of 1995 due largely to the 3-for-1 unit split on February 28, 1995. The
3-for-1 unit split created an additional 72,932.75 limited partnership units and
an additional 1,289.40 general partnership units. For the quarter ended March
31, 1995, investors redeemed a total of 645.37 Units for $168,056. For the
calendar year ended December 31, 1994, investors redeemed a total of 646.71
Units for $445,141. For the calendar year ended December 31, 1993, investors
redeemed a total of 291.38 Units for $188,989. In 1992, investors redeemed a
total of 1,138.25 Units for $526,628. For the calendar year ended December 31,
1994, investors purchased a total of 15,915.14 Units (including the General
Partners' purchase of 144.96 Units) for $12,461,922. For calendar year 1993,
investors purchased a total of 9,656.04 Units (including General Partners'
purchases) for $7,571,735. These Units were purchased pursuant to the Prospectus
dated March 29, 1993.
On December 31, 1994, the Fund had unrealized profits of $1,340,020. These
positions required margin deposits at CIS of $2,923,318. The total balance of
the Fund's account at CIS was $23,381,950. These figures compare to unrealized
profits of $648,483, margin deposits at CIS of $1,194,246, and total balance of
the Fund's accounts of $13,635,344 for the year ended December 31, 1993. On
December 31, 1992, the Fund had unrealized profits of $236,717, margin
requirements of $1,140,000 and total balance of the accounts of $5,966,066.
RESULTS OF OPERATIONS
During 1992 the Fund experienced a volatile year of trading, posting a modest
loss of 3.43%. The decline of the U.S. dollar and related surge in global bonds
that fueled strong performance in 1991 ended dramatically in January 1992.
Following this was a wave of volatility stemming from the re-election of
Conservative John Major in Britain, fragile U.S. economic recovery and threats
of recession in various European economies. The U.S. dollar began a major
decline in late May and continued through the summer when the Group of Seven
meeting failed to resolve issues and the Bundesbank raised German interest
rates. The fall added more uncertainty with the pending U.S. presidential
election. The narrow passage of the French referendum on the Maastricht treaty
raised questions on European unity, adding volatility to the markets. As a
result, the Fund recorded a loss of $294,307 as compared to a profit of
$1,411,872 for 1991.
Trading for 1993 was very profitable. The net return for this period was a
positive 38%. These results were achieved primarily through trading of world
financial markets--capitalizing on strong trends in global bonds and stock
indices. Long positions in European, United States and Pacific Rim bond markets
were generally very profitable as global economic sluggishness continued to
plague many of the world's industrialized nations. Currency markets for the most
part stayed within narrow trading ranges for this period. The one exception to
this was the major movement of the Japanese Yen. Grains had a brief flurry of
activity during the summer as severe flooding hampered crop development in the
Midwest coupled with drought conditions in the Southeastern United States. As a
result of this trading, the Fund realized a gain for the year of $2,361,949.
The year 1994 was a challenging year for the Fund, which posted a loss of 6.9%.
Economic and political instability worldwide created disruptions in the
financial markets. The U.S. Administration was under fire, there was major trade
tension between the U.S. and Japan, instability in Russia, an assassination in
Mexico and conflict in Korea, all resulting in a sharp decline in global stock
and bond prices. The Yen/U.S. Dollar relationship fluctuated sharply due to the
concerns of trade barriers or a potential trade war with Japan. The U.S. Dollar
declined relative to the European currencies and even reached the lowest post
World War II levels versus the Japanese Yen. Physical commodities offered a few
opportunities. Coffee had a major rally after a severe freeze devastated the
growing area in Brazil, sugar prices rose to a three year high in October and
there were modest gains in precious metals. The Fund ended the year with a loss
of $1,530,228.
The Fund recorded a profit of $3,279,154 or $29.36 per Unit for the first
quarter of 1995. The first month of the year was difficult due in part to losses
in global interest rates and foreign exchange. However, the next two months saw
profitable trends in the financial markets. As a result, the quarter ended
positive for the Fund's accounts managed by John W. Henry & Co., Inc. and Sabre
Fund Management Limited. A comparison can be made to the
36
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
first quarter of 1994, where the Fund recorded a loss of $535,620.15 or $28.54
per unit. The first two months of 1994 were especially difficult as the interest
rate and currency markets were unsettled, showing little direction. March of
1994, however, brought some stability to the markets. As a result, the first
quarter of 1994 ended on a negative note for the Fund's accounts of Sabre Fund
Management Limited but positive for John W. Henry & Co., Inc.
To enhance the foregoing comparison of results of operations from year to year,
one can examine, line to line, the Statements of Financial Condition and
Operations. Due to sales of the Fund during 1994, position sizes placed in the
market by the Trading Advisors by the end of the year were greater than at the
end of 1993. These larger position sizes, coupled with the difficult trading
times encountered during the year (as discussed earlier) caused the Fund to
reflect the large balance in "Unrealized gain on open futures contracts" while
at the same time recording the large "Realized loss on closed positions." These
increased position sizes and larger cash balances from sales also caused the
Fund to pay larger commissions, management fees and General Partner fees during
1994. Trading in the last part of 1992 did not offer the same opportunities for
profits that had occurred at the end of 1991. As such, Open Trade Equity at the
end of 1992 was over a million dollars less than 1991. However approximately the
same number of positions were on the books at that time. Much of the profits
which were on the books at the end of 1991 was realized in 1992 but new profits
were not realized. At the end of 1991, much of the Fund's profits was in open
positions so the balance in open trade equity and accrued commissions in 1991
were greater than in 1990.
Both higher interest rates and increased unit sales resulted in substantially
greater interest income for 1994. Interest rates for 1993 were similar to 1992,
but with the higher balances resulting from unit sales, the interest earned was
higher than in 1992.
During 1994, a total of 15,915.14 additional Units were sold while investors
redeemed a total of 646.71 Units. As of December 31, 1994 there were 35,537.41
Units outstanding (including 640.18 Units owned by the General Partners).
Additional Units sold during this period represent a total of $12,461,922,
before the reduction of selling commissions and organizational costs of
$1,474,354.
Profitable results in 1993, coupled with few alternatives for investing the
proceeds of these redemptions, caused few investors to redeem during that year.
Because the Fund had suffered losses throughout much of the year of 1992, fewer
people redeemed during the year in anticipation of the Fund recouping these
losses and the Partners' losses. Fewer investors therefore had requested
redemptions at the end of the year in 1992 as compared to 1991.
The loss recorded for 1994 meant incentive fees, on a per-Unit basis, were less
than those paid out in 1993. The profits enjoyed during 1993 meant incentive
fees, on a per-Unit basis, were significantly greater than 1992, although not as
great as 1991. The losses suffered in 1992 had to be secured before new
incentive fees could be paid. Also, because of the losses throughout 1992,
incentive fees expensed during the year and payable at the end of that year were
much less in 1992 than 1991. These losses were also reflected in capital
balances at the end of 1992 as were the redemptions during the year.
The Fund has recorded foreign currency gains for the first quarter of 1995 and
the years 1994 and 1993. Depreciation of various other currencies led to
currency losses in 1992.
INFLATION
Inflation does have an effect on commodity prices and the volatility of
commodity markets; however, continued inflation is not expected to have an
adverse affect on the Fund's operations or assets.
CHARGES TO THE FUND
The charges to the Fund are summarized in tabular form on page 9 of this
Prospectus. Investors should review the following narrative, which provides more
information about the fees and expenses payable by the Fund, in conjunction with
that summary.
The General Partners will furnish each Limited Partner with a monthly account
statement describing the performance of the Fund and setting forth aggregate
management and advisory fees, brokerage commissions, and other expenses incurred
or accrued by the Fund, as well as such other information as is required by CFTC
regulations to be reported to Limited Partners. See "Amended and Restated
Limited Partnership Agreement-- Reports and Accounting."
ESTIMATE OF THE FUND'S "BREAKEVEN" POINT. The Fund will pay brokerage
commissions and the monthly advisory fees to the Trading Advisors, and the
monthly management fees to the General Partners and other operating
37
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
expenses regardless of whether the Fund realizes any profits from its trading.
Incentive fees are based upon quarterly Trading Profits and are payable only if
Trading Profits are achieved during a quarter by a Trading Advisor. Brokerage
commissions payable by the Fund with respect to the trading directed by the
Trading Advisor have ranged from 3.2%-6.2% of the Fund's average annual Net
Asset Value over the past six years of trading. An estimate of 3.05% of the Net
Asset Value, however, is used in the table below to reflect the current round
turn brokerage commission rate to be in effect, as of the first business day of
the month beginning after the initial closing of this offering, a rate
considerably less than that charged previously. The management fees payable to
the General Partners will total 1.375% of the Fund's Net Asset Value on the
first day of its fiscal year. The advisory fees (exclusive of any incentive
fees) currently paid to the Trading Advisors approximate 3.56% of the Fund's Net
Asset Value, based on equal allocation of the proceeds of this and the most
recent offerings between the two Trading Advisors. Operating expenses are
estimated at 1% of the Fund's average annual Net Asset Value. The General
Partners estimate that the expenses to which the Fund is subject in 1995
(excluding incentive fees and extraordinary expenses) will approximate 8.985% of
the Fund's average Net Asset Value. The General Partners estimate that, during
each year of trading by the Fund, the Fund would be required to make trading
profits income equal to the aforementioned range of percentages in order for the
value of a Unit held by a Limited Partner at year end to equal the initial value
of a Unit at the beginning of the year. During the first twelve months of an
investment by a new Limited Partner who is not an Affiliated Purchaser, the
initial investment will be subject to expenses of approximately 17.985% taking
into account the 6% Sales Charge and the 3% Offering Expense Charge. Thereafter,
the estimated breakeven calculation for the Fund will be reduced by the one time
6% Sales Charge and the 3% Offering Expense Charge to 8.985% per annum. If the
Fund were unable to achieve such profits, its assets are likely to be depleted
by expenses during the year. The impact of such expenses on the value of a Unit
is described below. There is no assurance that these anticipated percentages of
expenses will in fact be incurred by the Fund. These estimates should not be
interpreted as representations by the Fund of the actual amounts of operating
expenses of the Fund. In addition, there can be no assurance that the expenses
to be incurred by the Fund will not exceed the amounts as estimated or that
there will not be any other expense.
Estimated "Breakeven" Calculation
For the Fund's 1995 Year of Operation
<TABLE>
<CAPTION>
Based on a $1,000
Percentage Investment
------------ -----------------
<S> <C> <C>
Administrative Fees.......................................................... (1.375)% $ (13.75)
Advisory Fees................................................................ (3.56)% (35.60)
Brokerage Commissions........................................................ (3.05)% (30.50)
Periodic Operating Expenses.................................................. (1.00)% (10.00)
Sales Charge................................................................. (6.00)% (60.00)
Offering Expense Charge...................................................... (3.00)% (30.00)
------------ -----------------
Net Expense (Estimate)....................................................... (17.985)% $ (179.85)
</TABLE>
THE FUND WILL EARN INTEREST ON THE ASSETS THAT ARE ON DEPOSIT WITH THE CLEARING
BROKER (SEE "USE OF PROCEEDS"). ALTHOUGH IT IS NOT POSSIBLE FOR THE GENERAL
PARTNERS TO ESTIMATE WHAT FUTURE INTEREST RATE WILL ACCRUE TO FUND ASSETS THAT
ARE ON DEPOSIT WITH THE CLEARING BROKER, SUCH INTEREST RATE WILL REDUCE THE
BREAKEVEN POINT.
THE SUMMATION OF THE ADMINISTRATIVE FEES, PERIODIC OPERATING EXPENSES, ANY
BROKERAGE COMMISSIONS AND TRANSACTION FEES AND COSTS TO BE PAID BY THE FUND, ANY
ADVISORY FEES (EXCLUDING INCENTIVE FEES), AND ANY FINANCIAL BENEFIT FROM
INTEREST INCOME EARNED ON FUND ASSETS IN EXCESS OF THE INTEREST PAID TO THE FUND
SHALL TOTAL NO MORE THAN 12% OF THE FUND'S NET ASSET VALUE AVAILABLE FOR TRADING
ON A FISCAL YEAR BASIS, AND THE NET ASSET VALUE AVAILABLE FOR TRADING SHALL NOT
EXCEED 100% OF THE FUND'S NET ASSET VALUE. THE GENERAL PARTNERS WILL ANNUALLY
REVIEW THE TOTAL OF THESE EXPENSES PAID BY THE FUND TO ENSURE THAT THEY DO NOT
EXCEED 12% OF THE NET ASSET VALUE AVAILABLE FOR TRADING. SHOULD THESE EXPENSES
TOTAL MORE THAN 12% OF THE NET ASSET VALUE AVAILABLE FOR TRADING, THE GENERAL
PARTNERS WILL PAY AND WILL NOT BE REIMBURSED BY THE FUND FOR SUCH EXCESS.
38
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IDS MANAGED FUTURES, L.P.
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IN ADDITION, IF THESE SPECIFIED OPERATING CHARGES EXCEED 10.5% OF THE FUND'S
AVERAGE NET ASSET VALUE BASED ON NET ASSET VALUE ON THE FIRST DAY OF EACH MONTH
DURING ANY FISCAL YEAR OF THE FUND, THE GENERAL PARTNERS WILL NOTIFY ALL LIMITED
PARTNERS OF SUCH EVENT IN WRITING. (THIS LIMITATION DOES NOT APPLY TO THE SALES
CHARGE OR OFFERING EXPENSE CHARGE, WHICH ARE PAID DIRECTLY OUT OF THE PROCEEDS
OF THE OFFERING.)
ALSO, ALL LIMITED PARTNERS WILL BE NOTIFIED IN WRITING BY THE GENERAL PARTNERS
PRIOR TO ANY ACTION BY THE GENERAL PARTNERS TO INCREASE ANY FEE RATES, AND ANY
SUCH PROPOSED RATE INCREASES WILL NOT BE IMPLEMENTED UNTIL AFTER LIMITED
PARTNERS HAVE RECEIVED SUCH WRITTEN NOTICE AND HAVE HAD AN OPPORTUNITY TO REDEEM
UNITS.
DESCRIPTION OF CHARGES TO THE FUND
ADVISORY FEES. John W. Henry & Co., Inc. receives a monthly management fee of
1/3 of 1% of the Fund's Net Asset Value subject to its management at month-end.
Sabre Fund Management Limited receives a monthly management fee equal to 1/4 of
1% of the Fund's Net Asset Value subject to its management at month's end. John
W. Henry & Co., Inc. receives a quarterly incentive fee equal to 15% of Trading
Profits, if any, attributable to trading directed by it. Sabre Fund Management
Limited receives an incentive fee of 18% of Trading Profits, if any,
attributable to trading directed by it. Incentive fee payments, if any, accrue
monthly and are paid quarterly. See "Risk Factors-- Distortions Produced by
Incentive Fee Arrangement." Management fees are paid monthly and deducted prior
to the calculation of the quarterly incentive fees. "Trading Profits" (for
purposes of calculating a Trading Advisor's incentive fee only) is defined as
the excess (if any) of (A) the Net Asset Value of the Fund's assets under
management of a Trading Advisor as of the last day of any calendar quarter
(before deduction of incentive fees payable for such quarter) over (B) the
highest Net Asset Value of the Fund's assets under the management of such
Trading Advisor as of the last day of the most recent calendar quarter for which
an incentive fee was due and owing. In computing Trading Profits, the difference
between (A) and (B) above shall be (i) decreased by all interest realized on the
Trading Advisor's allocable share of Fund assets subject to such Trading
Advisor's management between the dates referred to in (A) and (B), and (ii)
increased by the Trading Advisor's allocable share of any distributions or
redemptions paid or payable by the Fund as of, or subsequent to, the date in (B)
through the date in (A), and (iii) adjusted (either increased or decreased, as
the case may be) to reflect the Trading Advisor's allocable share of any
additional allocations or negative reallocations of Fund assets from the date in
(B) to the last day of the calendar quarter as of which the current incentive
fee calculation is made. See "Risk Factors-- Distortions Produced by Incentive
Fee Arrangement." Incentive fees and management fees paid or payable by the Fund
to a Trading Advisor shall only be charged against the assets managed by the
Trading Advisor receiving or to receive such fees. Similarly, brokerage
commissions shall be allocated against the assets under the management of the
Trading Advisor whose trading decisions generated those brokerage commissions.
Incentive fees shall be paid within 10 business days after the end of the
quarter for which they are earned. For purposes of determining whether an
incentive fee is payable by Units which are redeemed other than at quarter end,
the dates of such redemptions shall be considered as if they were the last day
of the quarter.
If an incentive fee shall have been paid by the Fund to a Trading Advisor in
respect of any calendar quarter and the Trading Advisor shall incur subsequent
losses on the Fund's assets subject to its management, such Trading Advisor
shall nevertheless be entitled to retain amounts previously paid to it in
respect of Trading Profits. Management fees shall be payable regardless of
trading performance.
Incentive fees shall not be payable on interest earned on Fund assets. The
incentive fees payable to the Trading Advisors are based upon Trading Profits,
if any, as of the end of each quarter, including any unrealized gains or losses
in open positions in commodity interests. Unrealized gains attributable to
appreciation in open positions may never be realized by the Fund when those
positions are closed. Upon the expiration or termination of any advisory
contract, the Fund will be charged an incentive fee as though such expiration or
termination date were the end of a quarter.
SAMPLE ADVISORY FEE CALCULATION. Assume, for example, that a Commodity Trading
Advisor was allocated one million dollars at the beginning of the quarter and
that the advisor makes profits of $500,000 during the first quarter. Using the
incentive fee percentage of 15%, as will be paid to John W. Henry & Co., Inc.,
the fees paid would be $75,000 (15% of $500,000). The new value of the fund
would be $1,425,000, after deducting the incentive fee paid. This would be the
"new trading high" that would have to be exceeded prior to the advisor receiving
another incentive fee. If in the following quarter, the account realizes a loss
of $250,000 pursuant to trading directed by that advisor, no incentive fee would
be paid. The value of the account would be $1,175,000 and the level to be
exceeded before the
39
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
next incentive fee payment would be required would be $1,425,000. If in the
following quarter, the advisor earns profits of $400,000, it would be paid fees
of $22,500, ((1,175,000+400,000-1,425,000)X.15). The value and the new high
value to exceed before any further incentive fees are earned would then be
$1,552,500.
<TABLE>
<CAPTION>
TO RECAP: ACCOUNT VALUE PRIOR HIGH FEES PAID
<S> <C> <C> <C>
Inception $1,000,000 $1,000,000
Quarter 1 profit 500,000 500,000 $75,000
Incentive fees (75,000) (75,000)
--------------- ---------------
End Quarter 1 $1,425,000 $1,425,000
Quarter 2 loss (250,000)
Incentive fees 0 0
--------------- ---------------
End Quarter 2 $1,175,000 $1,425,000
Quarter 3 profit 400,000 150,000 22,500
Incentive fees (22,500) (22,500)
--------------- ---------------
End Quarter 3 $1,552,500 $1,552,500 $97,500
</TABLE>
BROKERAGE EXPENSES. Cargill Investors Services, Inc. acts as the Fund's Clearing
Broker. Effective the first business day of the month beginning after the
initial closing of this offering the Fund pays a brokerage commission of $35
(plus NFA, exchange and clearing fees) per round turn trade (and any permitted
future increase in such rate). From its inception until such date, the Fund has
paid brokerage commissions at a rate of $50 per round turn trade. With respect
to any trading conducted by the Fund on a foreign exchange, the Fund pays the
equivalent in foreign funds to $35 per trade plus any differential associated
with execution costs on non-U.S. exchanges. The Fund may be required to pay
brokerage commissions in excess of $35 for each round turn trade on certain
non-U.S. exchanges, and any such additional amounts would be direct costs
associated with the execution of trades on such non-U.S. exchanges. The Fund is
required to pay, in addition to the brokerage charge described above, the NFA
per trade transaction fee (which is currently assessed at a rate of 14 CENTS per
round turn futures transaction and 7 CENTS per options trade) and exchange and
clearing fees. Exchange fees range from $0 and $2 per trade plus any
differential for non-U.S. exchanges, if applicable, depending on the exchange
where a trade is executed; clearing fees range from $0 to $1.70 per trade plus
any differential for non-U.S. exchanges, if applicable, also depending on the
exchange where a trade is executed.
In addition to the brokerage commission described in the preceding paragraph,
the Clearing Broker receives and retains as part of its compensation for
providing brokerage services to the Fund a portion of the interest earned on the
assets of the Fund on deposit with the Clearing Broker. As described below under
"Charges to the Fund-- Interest Allocation," the Clearing Broker will credit the
Fund with interest on 100% of the Fund's average monthly net assets on deposit
at the Clearing Broker at a rate equal to 90% of the average 90-day Treasury
bill rate for Treasury bills issued during that month. The Clearing Broker
receives and retains any increment of interest earned on the assets of the Fund
in excess of the amount it credits to the Fund under this arrangement.
Historically, since the inception of trading by the Fund, the incremental
interest retained by the Clearing Broker has annually ranged between 0.4% and
1.7% of the Fund's average Net Asset Value.
The Fund also reimburses the Clearing Broker for all delivery, insurance,
storage, service and other charges that it incurs and pays to third parties in
connection with the Fund's trading.
The Fund pays $35 commission per round turn trade to the Clearing Broker, which
in turn pays $20 per round turn trade to American Express Financial Advisors
Inc. in its capacity as Introducing Broker for the Fund. American Express
Financial Advisors Inc. receives its portion of such commissions for its ongoing
services to the Fund and the Limited Partners. Such services include:
1. Responding to inquiries from Limited Partners from time to time as to the
Net Asset Value of the Fund's Units;
2. Providing information to the Limited Partners concerning the futures markets
and the Fund's activities;
3. Responding to inquiries of Limited Partners related to the Fund's monthly
account statements, annual reports, financial statements, and annual tax
information provided periodically to the Limited Partners;
40
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IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
4. Providing information to Limited Partners regarding redemptions of Units;
5. Assisting Limited Partners in redeeming Units; and
6. Providing other services requested from time to time by Limited Partners.
The allocation of the total per trade rate of brokerage commissions ($35) to be
paid by the Fund between the Clearing Broker ($15) and the Introducing Broker
($20) was determined by the General Partners after their evaluation of the
respective services of the Clearing Broker and the Introducing Broker to the
Fund. This allocation could change in the future if the General Partners
determine that a change in the allocation formula is warranted by a change in
the respective services provided by the Clearing Broker and the Introducing
Broker. Prospective investors should be aware that because American Express
Financial Advisors Inc. receives a portion of the commodity brokerage
commissions generated by the Fund and allocable to outstanding Units, American
Express Financial Advisors Inc. has a conflict of interest in performing certain
services for the Limited Partners as to whether or not they should redeem Units.
See "Conflicts of Interest."
COMPETITIVENESS OF BROKERAGE EXPENSES. Because the Clearing Broker for the Fund
is affiliated with one of the Fund's General Partners, Guidelines promulgated by
the North American Securities Administration Association, Inc. ("NASAA") and
various states require that the brokerage transactions executed for the Fund by
the Clearing Broker be effected at competitive rates. In evaluating the
reasonableness of the brokerage expenses of the Fund and the competitiveness of
such expenses with those paid by other public commodity funds, the General
Partners believe an investor should focus, among other factors, on the brokerage
commission charged by the Clearing Broker, the portion of interest earned on the
Fund's assets that is retained by the Clearing Broker, the ratio of total
brokerage expenses to the Fund's Net Asset Value and the nature and quality of
the brokerage services rendered by the Clearing Broker and the Introducing
Broker.
Guidelines promulgated by NASAA provide that brokerage commission charges will
be presumptively reasonable if they satisfy either of the following maximum
rates:
1. 80% of the Clearing Broker's published retail rate plus pit brokerage fees,
or
2. 14% annually of the Fund's average net assets excluding assets not directly
related to trading activity.
The NASAA guidelines also provide that any interest income earned on the Fund's
assets which is retained by the Clearing Broker must be included with the
amounts of brokerage commissions the Clearing Broker receives in determining
whether such maximum rate limitations are satisfied.
The rate of $35 per round turn trade (plus NFA, exchange and clearing fees) is
approximately two-thirds of the Clearing Broker's regular retail rate per round
turn trade. The Fund's commission rate is not the lowest rate which the Clearing
Broker charges to any account, including commodity pools, nor is it as low as
the rate which might be charged by other commodity brokerage firms for similar
trades. Further since the Clearing Broker is affiliated with one of the General
Partners and the Introducing Broker is affiliated with the other General
Partner, there has been no arms-length negotiation of brokerage commissions
applicable to the Fund's trades, and a conflict of interest exists between the
General Partners' duty to the Fund to limit or reduce the cost of brokerage
commissions and the interest of the General Partners in the generation of
brokerage commissions which would benefit the Clearing Broker and the
Introducing Broker as the Fund's commodity brokers. See "Conflicts of Interest"
and "Fiduciary Responsibility of the General Partners." The General Partners do
not intend to negotiate with any other brokerage firms for brokerage services
for the Fund so long as the brokerage agreement with the Clearing Broker and
Introducing Broker is in effect.
Although the $35 round turn trade commission rate charged to the Fund by the
Clearing Broker is not the lowest rate charged by the Clearing Broker to any
account, including commodity pools, nor is it as low as rates which might be
charged by other commodity brokerage firms for similar trades, the General
Partners believe that the overall brokerage expenses of the Fund, (which
includes the $35 per round turn commission rate and the portion of interest
earned on Fund assets which is retained by the Clearing Broker), are very
competitive with the brokerage expenses charged to public commodity funds of
comparable size and structure in view of the nature and quality of the services
rendered by the Clearing Broker, the Introducing Broker and their affiliates and
the frequency of trades made by the Trading Advisors. Historically, since the
inception of trading by the Fund, the annual brokerage expenses (including the
previous round turn commission rate of $50 and interest income retained by the
Clearing Broker) of the Fund have ranged between 3.2% and 6.2% of the Fund's
average daily Net Asset Value, well below the 14% limit on presumptively
reasonable brokerage expenses as outlined in the NASAA Guidelines.
41
<PAGE>
IDS MANAGED FUTURES, L.P.
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The General Partners will annually review the brokerage commission charges paid
by the Fund in combination with Administrative Fees, periodic operating
expenses, transaction fees and costs, the Trading Advisors' management fees, and
any financial benefit from interest earned on Fund assets in excess of the
interest paid to the Fund to assure that the Fund does not pay such charges in
excess of 12% of the Fund's average Net Asset Value (based on Net Asset Value on
the first day of each month) on a fiscal year basis--a level 2% below the limits
specified in the NASAA Guidelines for brokerage commission charges and to assure
that the brokerage charges for the Fund are within the range of those generally
charged to public commodity funds of comparable size and structure in view of
the nature and quality of the brokerage services being rendered. In determining
annually whether such charges paid by the Fund are within the NASAA Guidelines
as described above, the General Partners will include within the calculation of
such charges all interest income earned on the Fund's assets which is retained
by the Clearing Broker.
Historically the Fund's annual brokerage expenses have ranged from approximately
3.2% to 6.2% of the Fund's Net Asset Value. Based on currently anticipated
commission rates and information provided by the Trading Advisors as to the
frequency of their past trades (see "The Trading Advisors--Past Performance of
the Trading Advisors"), the General Partners estimate that, at the reduced $35
per round turn rate charged to the Fund, annual brokerage expenses payable by
the Fund will be toward the lower end of the historical range. Actual future
charges may differ substantially from this historical range since the actual
amounts paid by the Fund will depend on the volume and frequency of trading
directed by the Trading Advisors and the brokerage commission rates applicable
to the Fund's trading.
From the $35 per round turn commission for foreign exchange transactions, the
Fund pays a brokerage commission of $35 per round turn trade to CISFS. CISFS
acts as the Fund's forward contract broker for transactions effected by the
Trading Advisors for the future delivery of a specified lot of a particular
currency. CISFS reallocates $20 to American Express Financial Advisors in its
capacity as Introducing Broker.
ADMINISTRATIVE FEES. Each of the General Partners receives an annual
administrative fee based on the Fund's Net Asset Value (as defined in "Certain
Definitions," below) on the first business day of each fiscal year of the Fund.
The annual administrative fee payable to IDS Futures is 1.125% of the Fund's
beginning Net Asset Value for each fiscal year, and the annual administrative
fee payable to CISI is 0.25% of the Fund's beginning Net Asset Value for each
fiscal year.
INTEREST ALLOCATION. The Fund receives interest from the Clearing Broker on 100%
of its average monthly net assets on deposit at the Clearing Broker at a rate of
interest equal to 90% of the average 90-day Treasury bill rate for Treasury
bills issued during that month. The Clearing Broker receives and retains any
increment of interest earned on the assets of the Fund in excess of the amount
paid to the Fund. The amount of interest income which will be retained by the
Clearing Broker under this arrangement will vary over time, depending on
applicable interest rates and the Net Asset Value of the Fund. From 1987 to 1994
this amount ranged from $37,083 to $93,840, or between .41% and 1.66% of the
Fund's Net Asset Value. The General Partners anticipate future percentages to
remain at the lower end of this range due to a decrease in interest income
retained by the Clearing Broker from 20% to 10% in July of 1993.
OFFERING EXPENSE. The General Partners have agreed to advance the expenses of
this offering, which include legal, auditing, accounting, marketing, filing,
registration and recording fees plus printing expenses and escrow charges. The
General Partners will receive the Offering Expense charge to defray the amounts
of offering expenses that they have advanced. If the total Offering Expense
Charge received by the General Partners exceeds the actual offering expenses
incurred by them, the excess shall be retained by the General Partners. If
actual offering expenses exceed the total Offering Expense Charge, the General
partners shall pay, without reimbursement from the Fund, such excess.
SALES CHARGE. The Selling Agent will receive the Sales Charge from the proceeds
of the offering with respect to Units sold to investors other than Affiliated
Purchasers. This Sales Charge will consist of 6% of the first $50,000
subscribed, 4% of the second $50,000, 2% of the subsequent $400,000, and 1% of
any amount of the subscription exceeding $500,000. The maximum amount of such
payments to the Selling Agent will be $3,000,000 if all of the Units offered
hereby are sold to non-Affiliated Purchasers and $50,000,000 in new capital is
raised in this offering and no single purchaser subscribes for more than
$50,000.
42
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
OTHER PERIODIC EXPENSES. The Fund pays periodic legal, accounting, auditing,
printing, recording and filing fees, and postage charges, all of which are
currently estimated at approximately 1% of the Fund's Net Asset Value annually,
and extraordinary expenses, which could include expenses such as the cost of
litigation to which the Fund might become a party. All periodic expenses shall
be billed directly to the Fund.
CERTAIN DEFINITIONS
(1) NET ASSET VALUE. Net Asset Value means the Fund's total assets less total
liabilities, including any liability for organization and offering expenses
to be determined on the basis of generally accepted accounting principles,
consistently applied, except as set forth below. For purposes of this
calculation:
(a) Net Asset Value shall include any unrealized profit or loss on
securities and open commodity positions and any other credit or debit
accruing to the Fund but unpaid or not received by the Fund.
(b) All securities and open commodity positions shall be valued at their
then market value which means, with respect to open commodity positions,
the settlement price as determined by the exchange on which the
transaction is effected or the most recent appropriate quotation as
supplied by the Clearing Broker or banks through which the transaction
is effected. If there are no trades on the date of the calculation due
to operation of the daily price fluctuation limits (see "Glossary") or
due to a closing of the exchange on which the transaction is executed,
the contract will be valued at fair value as determined by the General
Partners. Interest, if any, shall accrue monthly.
(c) Brokerage commissions on open positions shall be accrued in full upon
the initiation of such open positions as a liability of the Fund.
Management fees shall be paid monthly and deducted prior to the
calculation of the quarterly incentive fee.
(2) NET ASSET VALUE PER UNIT. Net Asset Value per Unit means the Net Asset
Value divided by the number of Units outstanding on the date of
calculation.
(3) TRADING PROFITS. Trading Profits (for purposes of calculating each Trading
Advisor's incentive fees only) is defined as the excess (if any) of (A) the
Net Asset Value of the Fund's assets under management of a Trading Advisor
as of the last day of any calendar quarter (before deduction of incentive
fees payable for such quarter) over (B) the highest Net Asset Value of the
Fund's assets under the management of such Trading Advisor as of the last
day of the most recent calendar quarter for which an incentive fee was due
and owing. In computing Trading Profits, the difference between (A) and (B)
above shall be (i) decreased by all interest realized on the Advisor's
allocable share of Fund assets subject to such Trading Advisor's management
between the dates referred to in (A) and (B), and (ii) increased by the
Trading Advisor's allocable share of any distributions or redemptions paid
or payable by the Fund as of, or subsequent to, the date in (B) through the
date in (A), and (iii) adjusted (either increased or decreased, as the case
may be) to reflect the Trading Advisor's allocable share of any additional
allocations or negative reallocations of Fund assets from the date in (B)
to the last day of the calendar quarter as of which the current incentive
fee calculation is made. The incentive fee shall not be payable on interest
earned on Fund assets. For purposes of calculating Trading Profits
attributable to the assets under the management of each Trading Advisor
only, the definition of Net Asset Value shall be modified, insofar as it
takes into consideration the amount of incentive and management fees
payable by and brokerage commissions accrued by the Fund, to provide for
the allocation of such incentive and management fees and brokerage
commissions specifically to the assets under the management of the Trading
Advisor which is entitled to such fees or whose trading decisions generated
those brokerage commissions.
43
<PAGE>
IDS MANAGED FUTURES, L.P.
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CAPITALIZATION
The table below shows the capitalization of the Fund as of April 30, 1995.
<TABLE>
<CAPTION>
(1) (2)
TITLE OF CLASS OUTSTANDING
- ------------------------------------------------------------------------------------------ ----------------
<S> <C>
Units of General Partnership Interest (3)................................................. 1,934.10
Units of Limited Partnership Interest..................................................... 108,273.59
Total Partners' Contributions (including General Partners' capital contributions)......... $22,611,130
<FN>
(1) As of April 30, 1995, 108,273.59 Units of Limited Partnership Interest and
1934.10 Units of General Partnership Interest have been issued and are
outstanding under the Delaware Revised Uniform Limited Partnership Act.
The Units of General Partnership Interest shown as outstanding represent
capital contributions to the Fund by the General Partners. The General
Partners have agreed to make such additional capital contributions on an
equal basis as are necessary to maintain an investment in an amount equal
to the lesser of 3% of the aggregate capital contributions of all Partners
or $100,000, but in no event less than 1% of such contributions. As of
April 30, 1995, the Unsold Amount of $9,265,121 remained available for
sale pursuant to the Fund's registration statement declared effective
January 31, 1994, and with an additional $50,000,000 in aggregate Units
now registered for offering to the public, Units having an aggregate
offering price of $59,265,121 are now offered.
(2) Because the price of the Units cannot be determined in advance, the table
cannot present the possible number of Units sold or the amounts of capital
contributions that may be received for Units.
(3) No Sales Charge will be charged to the General Partners for any Units they
purchase in connection with this offering; therefore, such interest will
be purchased at a price of Net Asset Value per Unit plus the Offering
Expense Charge per Unit.
</TABLE>
FIDUCIARY RESPONSIBILITY OF THE GENERAL PARTNERS
In evaluating the conflicts of interest described under "Conflicts of Interest,"
an investor should be aware that the General Partners have a fiduciary
responsibility to the Limited Partners to exercise good faith and fairness in
all dealings affecting the Fund. Their fiduciary duties extend to the
responsibility for safekeeping and use of all funds and assets of the Fund,
although by law the Fund's assets will not be in their actual custody. Except as
provided herein, the General Partners shall not employ or permit others to
employ such funds and assets in any manner except for the exclusive benefit of
the Fund. Other duties and obligations of the General Partners are set forth in
the Amended and Restated Limited Partnership Agreement. See "Amended and
Restated Limited Partnership Agreement" and Exhibit A. In this regard, it should
be noted that, although the General Partners may terminate the Advisory Contract
with the Trading Advisors under certain circumstances, the General Partners may
not direct any part of the Fund's trading and that they have employed the
Trading Advisors to perform that function until June 30, 1995, subject to
renewal for one additional year. Thereafter, the General Partners either will
continue to retain the Trading Advisors or will retain new or additional
commodity trading advisor(s) to direct trading. See "Conflicts of Interest."
Cases have been decided under the common law or statutory law of partnerships in
certain jurisdictions to the effect that a limited partner may institute legal
action on behalf of himself/herself and all other similarly situated limited
partners (a "class action") to recover damages from the General Partners for
violations of fiduciary duties, or on behalf of a partnership (a partnership
"derivative action") to recover damages from a third party where the General
Partners have failed or refused to institute proceedings to recover such
damages. In addition, limited partners may have the right, subject to applicable
procedural and jurisdictional requirements, to bring partnership class actions
in federal court to enforce their rights under federal securities laws and the
rules and regulations promulgated thereunder by the SEC. Limited partners who
have suffered losses in connection with the purchase or sale of their interest
in a limited partnership may be able to recover such losses from the general
partner where the losses result from a violation by the general partner of the
anti-fraud provisions of the federal securities laws.
Under certain circumstances, limited partners also have the right to institute a
reparations proceeding before the CFTC against the General Partners (registered
commodity pool operators), Cargill Investor Services, Inc. (a registered futures
commission merchant), American Express Financial Advisors Inc. (a registered
introducing broker), and the Trading Advisors (registered commodity trading
advisors), as well as those of their respective
44
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
employees who are required to be registered, under the Commodity Exchange Act,
as amended, and the rules and regulations promulgated thereunder. In addition,
arbitration proceedings may be brought before the NFA against persons who are
members of that organization. The General Partners, the Clearing Broker, the
Introducing Broker, and the Trading Advisors are members of the NFA. The Futures
Trading Act of 1982 created a private right of action under the Commodity
Exchange Act, as amended. Investors in commodities and in commodity pools may,
therefore, invoke the protections provided by such legislation. See "Description
of Commodity Trading-- Regulation."
LIMITED PARTNERS SHOULD, HOWEVER, BE AWARE THAT IN ENDEAVORING TO RECOVER
DAMAGES IN SUCH ACTIONS, IT WOULD GENERALLY BE DIFFICULT TO ESTABLISH AS A BASIS
FOR LIABILITY THAT COMMODITY TRADING HAS BEEN EXCESSIVE. THIS IS DUE TO THE
BROAD DISCRETION GIVEN TO THE TRADING ADVISORS BY THE ADVISORY CONTRACT, THE
EXCULPATORY PROVISIONS CONTAINED IN SUCH CONTRACT AND THE AMENDED AND RESTATED
LIMITED PARTNERSHIP AGREEMENT (SEE "THE TRADING ADVISORS--THE ADVISORY
CONTRACT") AND THE VAGUENESS OF STANDARDS DEFINING EXCESSIVE TRADING.
The foregoing summary describing in general terms the remedies available to
limited partners under federal law is based on statutes, rules and decisions as
of the date of this Prospectus. This is a rapidly developing and changing area
of the law. Therefore, Limited Partners who believe that the General Partners
may have violated the law should consult their own counsel as to their
evaluation of the status of the applicable law at such time.
The Amended and Restated Limited Partnership Agreement provides that the General
Partners shall not be liable to the Fund or to the Limited Partners for any loss
suffered by the Fund that arises out of any action or inaction of the General
Partners, if such action or inaction did not constitute negligence or misconduct
of the General Partners and if the General Partners, in good faith, determined
that their action or inaction was in the best interest of the Fund. In addition,
the Fund may indemnify the General Partners against expenses, including
attorneys' fees, judgments and amounts paid in settlement, actually and
reasonably incurred by the General Partners in connection with the Fund,
provided that the expenses for which indemnification is sought were not the
result of negligence or misconduct by the General Partners. Under certain
circumstances, as described in the Fund's Amended and Restated Limited
Partnership Agreement, affiliates of the General Partners may also be granted
exculpation or indemnification.
The Fund has also agreed to indemnify the Trading Advisors and their affiliates
under certain conditions. (See "Risk Factors--Trading Advisors--Limitation of
Liability and Indemnification for Trading Advisors" and "The Trading
Advisors--The Advisory Contract.") Under certain circumstances, the Fund may
also be subject to indemnification obligations with respect to the Selling
Agent, the Clearing Broker, the Escrow Agent and related parties.
The CFTC has issued a statement of policy relating to indemnification of
officers and directors of a futures commission merchant (such as Cargill
Investor Services, Inc.) and its controlling persons under which it has taken
the position that whether such indemnification is consistent with the policies
expressed in the Commodity Exchange Act, as amended, will be determined by the
CFTC on a case-by-case basis.
Insofar as indemnification for liabilities arising under the Securities Act of
1933 may be permitted to the General Partners, their principals, or persons
controlling the Fund pursuant to the foregoing provisions, the Fund has been
informed that in the opinion of the SEC such indemnification is against public
policy as expressed in that Act and is therefore unenforceable.
The Amended and Restated Limited Partnership Agreement prohibits the Fund from
making any loans to the General Partners or to anyone else.
45
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
THE GENERAL PARTNERS
The General Partners of the Fund are IDS Futures Corporation ("IDS Futures"), a
wholly-owned subsidiary of IDS Management Corporation, which is itself a
wholly-owned subsidiary of American Express Financial Corporation, the corporate
parent of the Fund's Selling Agent/Introducing Broker, and CIS Investments, Inc.
("CISI"), a wholly-owned subsidiary of the Fund's Clearing Broker. They are
responsible for administering the Fund's affairs. The General Partners are
registered under the Commodity Exchange Act, as amended, as commodity pool
operators (and are currently acting as the Fund's commodity pool operators) and
are members of the NFA. CISI is registered with the NFA as a commodity pool
operator effective December 13, 1985 and IDS Futures is registered as a
commodity pool operator effective February 4, 1987. The principal offices of
CISI are located at 233 S. Wacker Drive, Suite 2300, Chicago, Illinois 60606.
The records of the Fund are kept at CISI's principal offices in Chicago. The
principal offices of IDS Futures are located at IDS Tower, Minneapolis,
Minnesota 55402. The principal offices of the Fund are located at 233 S. Wacker
Drive, Suite 2300, Chicago, Illinois 60606, and its telephone number is (312)
460-4000. CISI and IDS Futures have limited prior experience in operating
commodity pools. In addition to operating the Fund since June 16, 1987, CISI
operated one private commodity pool and currently jointly operates another
public commodity pool with IDS Futures.
None of the principals of CISI has any beneficial ownership in the Fund. None of
the principals of IDS Futures has any beneficial ownership in the Fund, except
for Lori J. Larson who owns 6.35352 limited partnership Units in the Fund.
DIRECTORS AND OFFICERS OF THE GENERAL PARTNERS. CISI was incorporated in
Delaware in 1983. CISI is a wholly-owned subsidiary of Cargill Investor
Services, Inc. CISI is registered under the Commodity Exchange Act, as amended,
as a commodity pool operator and is a member of NFA. The officers and directors
of CISI do not receive any compensation directly from CISI.
The directors and officers of CISI are as follows:
HAL T. HANSEN (BORN IN NOVEMBER, 1936), PRESIDENT AND DIRECTOR. Mr. Hansen has
been President of Cargill Investor Services, Inc. since November, 1978. He
serves on the Executive Committees of the Board of Directors of NFA and the
Futures Industry Association ("FIA") and is the Chairman of the NFA. Mr. Hansen
graduated from the University of Kansas in 1958. He started work at Cargill,
Incorporated in 1958, and was employed by Cargill S.A.C.I. in Argentina from
1965 to 1969. Mr. Hansen has been employed by Cargill Investor Services, Inc.
since 1974.
L. CARLTON ANDERSON (BORN IN AUGUST, 1937), VICE PRESIDENT AND DIRECTOR. Mr.
Anderson is a graduate of Northwestern University, Evanston, Illinois. He
started work at Cargill, Incorporated in 1959, in the Commodity Marketing
Division. He served as President of Stevens Industries Inc., Cargill's peanut
shelling subsidiary from 1979 to 1981. He has been employed by Cargill Investor
Services, Inc. since 1981, and is currently the Director in charge of the
Portfolio Diversification Group. Mr. Anderson currently serves on the Board of
Directors of the Managed Futures Association.
RICHARD A. DRIVER (BORN IN SEPTEMBER, 1947), VICE PRESIDENT AND DIRECTOR OF
CISI. Mr. Driver became a Vice President and Director of CISI on June 29, 1993.
Mr. Driver graduated from the University of North Carolina in 1969 and he
received a Masters Degree from the American Graduate School of International
Management in 1973. Mr. Driver began working for Cargill, Incorporated in 1973
and joined Cargill Investor Services, Inc. in 1977 as Vice President of
Operations.
CHRISTOPHER MALO (BORN IN AUGUST, 1956), VICE PRESIDENT. Mr. Malo graduated from
Indiana University in 1976. He started work at Cargill, Incorporated in June,
1978 as an internal auditor. He transferred to Cargill Investor Services, Inc.
in August, 1979, and served as Secretary/Treasurer from November, 1983 until
July, 1991. He was elected Vice President and Secretary in July, 1991. He is a
member of the FIA Operations Division and serves as Chairman of the FIA Finance
Committee.
BARBARA A. PFENDLER (BORN IN MAY, 1953), VICE PRESIDENT. Ms. Pfendler is a
graduate of the University of Colorado, Boulder. She started work at Cargill,
Incorporated in 1975 as a meal merchant and regional sales manager for the Flax
and Sunflower Department in Minneapolis. In 1979, she was named senior merchant
for the Domestic Soybean Processing Division ("DSP") in Cedar Rapids, Iowa and
later was an account manager for DSP facilities in Savage, Minnesota and Sidney,
Ohio. She joined CIS in 1986 as the Sales Manager for the Portfolio
Diversification Group in Chicago.
46
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
DONALD ZYCK (BORN IN OCTOBER, 1961), SECRETARY AND TREASURER. Mr. Zyck graduated
from Northern Illinois University, DeKalb, Illinois in 1983. He began working at
Cargill Investor Services, Inc. in April, 1985 as a Staff Accountant. From
January 1988 to October 1994 he was Manager of Treasury Operations at CIS. He
was elected Controller, Secretary and Treasurer of CIS in October, 1994.
BRUCE H. BARNETT (BORN IN JUNE, 1947), ASSISTANT SECRETARY. Mr. Barnett
graduated in 1968 from Southern Connecticut State College. New York University
Law School awarded Mr. Barnett a J.D. in 1971 and an LL.M. in 1973. He started
work at Cargill, Incorporated in 1990 as Vice President, Taxes. From 1987 to
1990, Mr. Barnett was employed in various positions held at Unilever, a European
based multi-national corporation.
IDS Futures was established in 1986 to act as a general partner and commodity
pool operator in connection with commodity pool offerings. It is registered as a
commodity pool operator under the Commodity Exchange Act, as amended, and is a
member of NFA. The directors and officers of IDS Futures do not receive any
compensation directly from IDS Futures.
The directors and officers of IDS Futures are as follows:
JANIS E. MILLER (BORN IN JUNE 1951), PRESIDENT AND DIRECTOR. Ms. Miller has
served as President and Director of IDS Futures since May 25, 1994. She has
served as Vice President of Variable Assets for American Express Financial
Corporation since December 1993, where she is responsible for equity, fixed
income and cash mutual funds, the Flexible Annuity, Wealth Management, limited
partnerships, and non-proprietary variable products. Ms. Miller served as Vice
President of Mutual Fund and Limited Partnership Products Development and
Marketing from June 1990 to November 1993; she had served as Director of Mutual
Fund Products Development and Marketing since May 1987, and has been employed by
American Express Financial Corporation since 1981. She is a graduate of Indiana
University and holds an M.B.A. from the University of Minnesota.
LORI J. LARSON (BORN IN AUGUST, 1958), VICE PRESIDENT AND DIRECTOR. Ms. Larson
has been employed by American Express Financial Corporation since 1981 and
currently holds the title of Vice President. Since August 1988, she has been
responsible for day-to-day management of vendor relationships, due diligence
review, and operational aspects for the limited partnerships distributed by
American Express Financial Advisors Inc. In addition, she has responsibility for
the product development of the publicly offered mutual funds in the IDS Mutual
Fund Group. Ms. Larson has held a variety of management positions with American
Express Financial Corporation throughout her career. She is a graduate of, and
has an M.B.A. from, the University of Minnesota.
WILLIAM H. DUDLEY (BORN IN SEPTEMBER, 1932), DIRECTOR. Mr. Dudley has served as
Executive Vice President-- Investment and Brokerage Operations for American
Express Financial Corporation since March, 1987 and served as Senior Vice
President--Investment Operations for American Express Financial Corporation from
1974 to 1987, Director of American Express Financial Corporation since 1984 and
was elected Director of IDS Mutual Fund Group in 1991. He is charged with
overall responsibility for American Express Financial Corporation's investment
management functions with respect to its mutual fund, private pension and
endowment accounts, face amount certificate and insurance and annuity
operations. Mr. Dudley is a graduate of the University of Minnesota.
MICHAEL L. WEINER (BORN IN JULY, 1946), VICE PRESIDENT, SECRETARY AND TREASURER.
Mr. Weiner is the Vice President-- Corporate Tax Operations of American Express
Financial Corporation. He has been employed by American Express Financial
Corporation since 1975. His responsibilities include research, planning and
compliance for the American Express Financial Corporation corporate tax group.
Mr. Weiner graduated from the University of Minnesota Law School in 1974 and
completed the Masters of Business Administration program at St. Thomas College
of Minnesota in 1979. Mr. Weiner is also an officer of American Express
Financial Advisors Inc.
JOHN M. KNIGHT (BORN FEBRUARY, 1952), VICE PRESIDENT. Mr. Knight has been
employed by American Express Financial Corporation since July 1975. He is
currently Controller--Variable Assets, thus charged with overall finance
responsibilities for Mutual Funds, Limited Partnerships, Variable Annuities and
Wealth Management Services. From 1981 to March, 1984, he held a number of
positions in the IDS Certificate Company, including Controller of that
organization. Mr. Knight is a graduate of the University of Wisconsin--Eau
Claire and a FLMI.
MINIMUM INVESTMENT AND NET WORTH. The Amended and Restated Limited Partnership
Agreement of the Fund provides that the General Partners will contribute to the
Fund in an amount equal to the lesser of 3% of the aggregate capital
contributions to the Fund or $100,000, but in no event less than 1% of such
contributions. In return, the General Partners will receive Units of General
Partnership Interest. As of April 30, 1995 the General
47
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
Partners had contributed $254,929.14 in satisfaction of the foregoing capital
requirements and held 1,934.10 Units of General Partnership Interest. It is the
intention of the General Partners to contribute capital in equal amounts to
satisfy the foregoing minimum investment requirement.
The General Partners will participate in profits and losses with the Limited
Partners pro-rata to the extent of their respective investments. The General
Partners may not redeem or transfer their minimum interest so long as they are
the Fund's general partners. Any Units purchased by the General Partners and
their affiliates will be purchased to satisfy the minimum investment requirement
described above, or for investment purposes, and not for resale. The General
Partners will receive the administrative fees described under "Charges to the
Fund."
The Amended and Restated Limited Partnership Agreement also provides that the
General Partners shall, for as long as they continue as General Partners of the
Partnership, maintain together a net worth of not less than (i) the lesser of
$250,000 or 15% of the aggregate capital contributions to each partnership for
which they act as General Partners capitalized at $2.5 million or less; and (ii)
10% of the aggregate capital contributions to each partnership for which they
act as General Partners capitalized at greater than $2.5 million. The General
Partners have agreed that they will together satisfy the net worth applicable to
them as General Partners. For these purposes, "net worth" shall reflect the
carrying of all assets at fair market value and shall exclude capital
contributions of the General Partners to the Fund or to any other limited
partnership of which they may be general partners. Net worth will be calculated
in accordance with generally accepted accounting principles provided that all
current assets shall be based on then current market value, and may include any
notes receivable or stock subscriptions from an adequately capitalized affiliate
of the General Partners or a letter of credit. The General Partners satisfy the
net worth requirement applicable to them as the result of their acting as the
Fund's General Partners in the case of IDS Futures, by means of a demand note
payable to it from IDS Financial Corporation (now named American Express
Financial Corporation), and in the case of CISI, a subscription agreement from
Cargill Investor Services, Inc.
OTHER MATTERS. There have been no material administrative, civil or criminal
actions against the General Partners or their individual principals pending,
concluded or on appeal within the five years preceding the date of this
Prospectus. Neither the General Partners nor their individual principals trade
or intend to trade commodity interests for their own accounts.
Under the Amended and Restated Limited Partnership Agreement, the General
Partners may not (except in certain limited, and essentially emergency,
situations) direct the Fund's futures trading, but must select an advisor to
direct that trading. The General Partners have chosen, and have caused the Fund
to enter into an advisory contract with, the Trading Advisors.
The General Partners are responsible for the preparation of monthly and annual
reports to the Limited Partners; the filing of reports required by the CFTC, the
SEC and any other federal or state agencies requiring reports; and the
calculation of Net Asset Value and advisory fees. The General Partners will
provide suitable facilities and procedures for handling redemptions, transfers,
distributions of profits (if any) and orderly liquidation of the Fund. The
General Partners are also responsible for engaging a futures commission merchant
to execute the Fund's futures trades. The General Partners have chosen the
Clearing Broker to act in this capacity. The General Partners have selected the
Introducing Broker to introduce trades for the Fund's account. The General
Partners will be reimbursed for the portion of offering expenses they have
incurred in connection with this offering by the Fund, through an Offering
Expense Charge of 3% of the gross per Unit price, as described under "Charges to
the Fund." If the total charge received by the General Partners exceeds actual
offering costs incurred, the excess will be retained by the General Partners.
DUTIES. The duties of the General Partners include retaining or replacing any
commodity trading advisor to the Fund, determining the amounts and timing of
capital contributions to the Fund by the General Partners, making all
expenditures for or on behalf of the Fund, selling or disposing of Fund
property, if any, retaining or replacing any futures commission merchant or
introducing broker (commodity broker) for the Fund, appointing persons to act
for the Fund in the distribution of Units, retaining attorneys and accountants
to assist in the organization and operation of the Fund, settling any claims
made against the Fund, determining the amounts and frequency of distributions by
the Fund and administering and maintaining records for the Fund. These actions
and decisions are not an exclusive or comprehensive statement of the powers of
the General Partners which extend to all actions which they believe to be in the
best interests of the Fund and in furtherance of the purposes for which the Fund
was formed. See "Amended and Restated Limited Partnership Agreement" and Exhibit
A.
48
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
PAST PERFORMANCE OF THE GENERAL PARTNERS
IDS Futures has acted as commodity pool operator of the Fund and another public
commodity pool, IDS Managed Futures II, L.P.
Mr. Hal T. Hansen and Mr. L. Carlton Anderson, principals of CISI, serve on the
boards of directors or other governing bodies of certain non-U.S. entities
formed to engage in speculative trading of commodity interests but neither CISI
nor Messrs. Hansen or Anderson act as a commodity pool operator with respect to
such entities.
CISI has acted as a co-general partner and co-commodity pool operator with IDS
Futures for the Fund and IDS Managed Futures II, L.P. The fees and expenses
which the Fund will pay differ from the fees and expenses paid by IDS Managed
Futures II, L.P. Both of the trading advisors of the Fund manage some of the
assets of IDS Managed Futures II, L.P. The Fund and IDS Managed Futures II, L.P.
have the same investment objectives and generally similar structures.
The General Partners have agreed to the recommendation made by Sabre Fund
Management, Limited ("Sabre") to trade the Fund's account at 50% greater
leverage than the leverage historically utilized for this account managed by
Sabre in an attempt to increase the rate of return generated by its trading
method. The General Partners have also requested a 50% increase in leverage by
Sabre for the trading account of IDS Managed Futures II, L.P. The management
fees charged by Sabre will be paid only on the cash in the trading accounts for
the respective funds, not on the leveraged amount. The change in trading
leverage became effective on September 14, 1992 and the performance records for
the Fund and IDS Managed Futures II reflect the increase in leverage from that
day forward.
CISI was also the pool operator and general partner of Oyster Bay Futures Fund
Limited Partnership ("Oyster Bay"). The fees and expenses which the Fund pays
are different from those which were paid by Oyster Bay. The Trading Advisors
which were retained by Oyster Bay are also different from those retained by the
Fund. Further, the Oyster Bay Fund had different trading policies and methods
from the Fund. Consequently, subscribers should be aware that no proper
comparisons can be made between the Oyster Bay Fund and this Fund. The Oyster
Bay Fund ceased trading April 23, 1992 and the Fund was dissolved on June 10,
1992.
The following tables present the entire performance history of the Fund, IDS
Managed Futures II, L.P., and Oyster Bay Futures Fund Limited Partnership. The
information in the following tables has not been audited. In the opinion of the
General Partners the information therein presents fairly the performance of
those funds, although only CISI expresses an opinion that the performance by
Oyster Bay Futures Fund Limited Partnership is presented fairly therein.
THE INFORMATION IN THE FOLLOWING TABLES IS NOT INDICATIVE OF, AND HAS NO BEARING
ON, ANY RESULTS WHICH MAY BE ATTAINED BY THE FUND. PAST PERFORMANCE RESULTS ARE
NO ASSURANCE OF FUTURE PERFORMANCE. IT SHOULD NOT BE ASSUMED THAT THE FUND WILL
EXPERIENCE RESULTS COMPARABLE TO THOSE EXPERIENCED BY INVESTORS IN THESE
COMMODITY POOLS.
49
<PAGE>
IDS MANAGED FUTURES, L.P.
PERFORMANCE RECORD
<TABLE>
<CAPTION>
GROSS NET CHANGE IN
REALIZED REALIZED UNREALIZED
BEGINNING PROFIT/ BROKERAGE PROFIT/ PROFIT/ INTEREST
EQUITY ADDITIONS WITHDRAWALS (LOSS) COMMISSIONS (LOSS) (LOSS) INCOME
MONTH (1) (2) (3) (4) (5) (6) (7) (8)
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1987
June $ 0 $7,372,260 $ 0 $ 7,153 $18,736 $ (11,583) $ 11,965 $ 12,667
July 6,727,952 0 0 (150,999) 28,463 (179,462) 258,084 26,285
August 6,784,137 0 0 (208,132) 26,979 (235,111) 222,925 27,525
September 6,790,470 0 0 (99,469) 31,549 (131,017) (19,285) 28,439
October 6,630,971 0 0 763,056 31,218 731,838 449,234 30,848
November 7,658,858 0 0 221,973 21,061 200,913 570,280 30,268
December 8,312,270 0 52,544 676,065 24,480 651,585 (190,284) 33,352
1988
January 8,618,111 0 83,585 (254,695) 26,664 (281,358) (70,372) 32,149
February 8,158,762 0 119,444 997,014 20,149 976,865 (868,290) 29,358
March 8,143,557 0 156,346 (574,273) 36,048 (610,321) (52,149) 30,136
April 7,341,253 0 50,328 (310,888) 16,846 (327,734) 94,712 27,793
May 7,050,166 0 86,840 (204,734) 27,283 (232,016) 223,965 29,844
June 6,939,362 0 132,297 (199,143) 27,267 (226,411) 1,082,477 30,129
July 7,612,813 0 149,296 331,753 16,705 315,048 (1,028,276) 32,377
August 6,747,516 0 168,311 (279,662) 22,625 (302,287) 193,940 31,811
September 6,460,395 0 79,394 450,564 12,310 438,254 (200,312) 30,904
October 6,617,181 0 188,976 (381,605) 29,037 (410,642) 410,958 32,596
November 6,441,442 0 157,884 475,668 27,761 447,908 (469,262) 32,491
December 6,275,595 0 154,612 (344,080) 34,860 (378,940) 143,665 35,774
1989
January 5,870,391 0 153,600 140,199 43,805 96,394 108,821 31,472
February 5,913,639 0 143,891 (78,517) 16,525 (95,042) (216,077) 30,626
March 5,470,620 0 169,127 280,283 25,043 255,241 (84,791) 35,271
April 5,464,295 0 101,234 (310,171) 18,597 (328,768) 115,565 27,895
May 5,153,663 0 231,536 (61,447) 18,916 (80,364) 1,113,533 32,570
June 5,913,914 0 221,825 1,167,026 37,132 1,129,894 (1,449,641) 33,541
July 5,384,539 0 122,312 (639,001) 17,883 (656,885) 940,812 26,547
August 5,585,550 0 119,353 109,469 21,861 87,608 (484,820) 28,151
September 5,037,914 0 118,846 (263,300) 37,258 (300,558) (89,357) 25,528
October 4,588,880 0 89,556 20,206 26,402 (6,196) (260,457) 22,030
November 4,225,289 0 72,257 361,114 25,969 335,145 181,198 23,198
December 4,684,303 0 155,383 253,520 31,133 222,386 (320,573) 24,846
<CAPTION>
MANAGEMENT
AND VALUE OF A
INCENTIVE OTHER NET ENDING RATE OF UNIT NUMBER OF
FEES EXPENSES PERFORMANCE EQUITY RETURN INVESTMENT UNITS
MONTH (9) (10) (11) (12) (13) (14) (15)
- ---------------
-----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1987
June $ 6,456 $650,901 $ (644,308) 6,727,952 (8.740%) 225.26 29,868.00
July 36,052 12,671 56,185 6,784,137 0.84% 227.14 29,868.00
August 2,856 6,151 6,333 6,790,470 0.09% 227.35 29,868.00
September 25,106 12,530 (159,498) 6,630,971 (2.35%) 222.01 29,868.00
October 181,918 2,116 1,027,886 7,658,858 15.50% 256.42 29,868.00
November 158,370 (10,321) 653,413 8,312,270 8.53% 278.30 29,868.00
December 94,008 42,260 358,386 8,618,111 4.31% 290.30 29,687.00
Gross Rate of Return 28.78%
Rate of Return Net of Interest Income 25.95%
Value of a Unit Investment Net of Interest
Income 283.92
1988
January 20,658 35,526 (375,764) 8,158,762 (4.36%) 277.64 29,385.94
February 20,709 12,985 104,238 8,143,557 1.28% 281.19 28,961.16
March 18,791 (5,167) (645,958) 7,341,253 (7.93%) 258.88 28,357.23
April 17,796 17,734 (240,758) 7,050,166 (3.28%) 250.39 28,156.23
May 17,610 28,147 (23,964) 6,939,362 (0.34%) 249.54 27,808.23
June 22,303 58,144 805,748 7,612,813 11.61% 278.52 27,333.23
July 19,441 15,708 (716,001) 6,747,516 (9.41%) 252.32 26,741.54
August 14,462 27,813 (118,811) 6,460,395 (1.76%) 247.88 26,062.54
September 19,450 13,216 236,180 6,617,181 3.66% 256.94 25,753.54
October 30,986 (11,311) 13,238 6,441,442 0.20% 257.46 25,019.54
November 12,874 6,226 (7,964) 6,275,595 (0.12%) 257.14 24,405.54
December 28,038 23,051 (250,591) 5,870,391 (3.99%) 246.87 23,779.24
Gross Rate of Return (14.96%)
Rate of Return Net of Interest Income (21.41%)
Value of a Unit Investment Net of Interest
Income 223.12
1989
January 15,206 24,634 196,848 5,913,639 3.35% 255.15 23,177.24
February 14,071 4,564 (299,128) 5,470,620 (5.06%) 242.24 22,583.24
March 14,119 28,800 162,802 5,464,295 2.98% 249.45 21,905.24
April 13,170 10,920 (209,399) 5,153,663 (3.83%) 239.89 21,483.24
May 15,402 58,550 991,787 5,913,914 19.24% 286.06 20,673.85
June 14,051 7,294 (307,550) 5,384,539 (5.20%) 271.18 19,855.85
July 14,305 (27,155) 323,324 5,585,550 6.00% 287.46 19,430.37
August 12,925 46,297 (428,284) 5,037,914 (7.67%) 265.42 18,980.69
September 11,799 (45,998) (330,188) 4,588,880 (6.55%) 248.03 18,501.53
October 10,093 19,318 (274,034) 4,225,289 (5.97%) 233.22 18,117.53
November 10,703 (2,432) 531,271 4,684,303 12.57% 262.54 17,842.31
December 10,461 (51,126) (32,675) 4,496,244 (0.70%) 260.71 17,246.31
Gross Rate of Return 5.61%
Rate of Return Net of Interest Income (6.71%)
Value of a Unit Investment Net of Interest
Income 208.15
</TABLE>
50
<PAGE>
IDS MANAGED FUTURES, L.P.
PERFORMANCE RECORD
<TABLE>
<CAPTION>
GROSS NET CHANGE IN
REALIZED REALIZED UNREALIZED
BEGINNING PROFIT/ BROKERAGE PROFIT/ PROFIT/
EQUITY ADDITIONS WITHDRAWALS (LOSS) COMMISSIONS (LOSS) (LOSS)
MONTH (1) (2) (3) (4) (5) (6) (7)
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1990
January 4,496,244 0 129,859 (168,008) 14,557 (182,565) 1,288,029
February 5,483,114 0 230,344 1,222,532 17,076 1,205,456 (384,079)
March 5,945,905 0 197,035 588,666 18,803 569,863 (292,185)
April 5,963,388 0 119,344 (85,298) 19,864 (105,162) 494,973
May 6,189,544 0 50,389 174,898 20,567 154,330 (1,248,208)
June 5,098,710 0 43,252 1,736 15,776 (14,040) 108,417
July 5,192,457 0 34,032 (31,542) 14,428 (45,971) 487,023
August 5,623,014 0 57,950 685,605 16,928 668,677 (87,112)
September 6,121,562 0 19,972 714,535 13,560 700,975 (341,602)
October 6,446,804 0 167,614 (185,502) 13,983 (199,485) 9,779
November 6,123,072 0 61,126 64,260 13,186 51,074 (26,662)
December 6,091,988 0 89,675 4,932 6,385 (1,452) (99,777)
1991
January 5,903,376 0 86,179 (55,836) 10,291 (66,127) (30,747)
February 5,725,883 0 37,836 66,629 12,018 54,612 71,943
March 5,788,827 0 48,960 103,021 10,831 92,190 (2,678)
April 5,773,955 0 41,731 (75,919) 12,391 (88,309) (16,753)
May 5,625,587 0 30,163 (219,809) 18,548 (238,358) 112,901
June 5,481,114 0 64,413 328,317 42,652 285,665 (79,849)
July 5,614,098 0 32,833 (462,492) 20,967 (483,459) (171,200)
August 4,948,695 0 42,345 (134,205) 31,857 (166,062) 375,859
September 5,110,441 0 24,224 39,656 16,195 23,461 628,041
October 5,769,542 0 54,156 (56,540) 10,972 (67,513) (168,168)
November 5,488,231 0 23,211 577,462 48,463 528,999 (320,009)
December 5,657,620 0 124,757 650,811 10,034 640,777 757,205
<CAPTION>
MANAGEMENT
AND VALUE OF A
INTEREST INCENTIVE OTHER NET ENDING RATE OF UNIT NUMBER OF
INCOME FEES EXPENSES PERFORMANCE EQUITY RETURN INVESTMENT UNITS
MONTH (8) (9) (10) (11) (12) (13) (14) (15)
- ---------------
-----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1990
January 26,048 13,809 973 1,116,729 5,483,114 24.84% 325.46 16,847.31
February 29,016 110,319 46,940 693,134 5,945,905 12.64% 366.60 16,218.99
March 34,644 59,680 38,123 214,519 5,963,388 3.61% 379.83 15,700.24
April 29,772 62,757 11,326 345,500 6,189,544 5.79% 401.83 15,403.24
May 29,163 (33,091) 8,821 (1,040,445) 5,098,710 (16.81%) 334.29 15,252.51
June 27,294 13,122 (28,449) 136,999 5,192,457 2.69% 343.27 15,126.51
July 26,820 14,178 (10,894) 464,589 5,623,014 8.95% 373.98 15,035.51
August 33,701 56,144 2,625 556,498 6,121,562 9.90% 410.99 14,894.51
September 27,912 66,364 (24,292) 345,213 6,446,804 5.64% 434.17 14,848.51
October 31,054 15,766 (18,302) (156,117) 6,123,072 (2.42%) 423.66 14,452.87
November 31,003 17,056 8,316 30,043 6,091,988 0.49% 425.74 14,309.29
December 27,363 13,415 11,657 (98,938) 5,903,376 (1.62%) 418.82 14,095.18
Gross Rate of Return 60.65%
Rate of Return Net of Interest Income 58.26%
Value of a Unit Investment Net of Interest
Income 329.42
1991
January 23,906 14,567 3,779 (91,314) 5,725,883 (1.55%) 412.34 13,886.18
February 21,367 14,603 32,539 100,779 5,788,827 1.76% 419.60 13,796.01
March 23,280 23,796 54,908 34,088 5,773,955 0.59% 422.07 13,680.01
April 20,929 14,204 8,299 (106,637) 5,625,587 (1.85%) 414.28 13,579.28
May 21,800 13,813 (3,160) (114,310) 5,481,114 (2.03%) 405.86 13,504.96
June 19,153 14,232 13,340 197,397 5,614,098 3.60% 420.48 13,351.77
July 19,985 12,485 (14,590) (632,570) 4,948,695 (11.27%) 373.10 13,263.77
August 19,567 12,914 12,358 204,091 5,110,441 4.12% 388.49 13,154.77
September 17,604 41,603 (55,821) 683,324 5,769,542 13.37% 440.43 13,099.77
October 19,371 13,891 (3,045) (227,155) 5,488,231 (3.94%) 423.09 12,971.77
November 17,964 28,634 5,718 192,601 5,657,620 3.51% 437.94 12,918.77
December 17,820 259,654 (15,430) 1,171,577 6,704,441 20.71% 528.63 12,682.77
Gross Rate of Return 26.22%
Rate of Return Net of Interest Income 24.50%
Value of a Unit Investment Net of Interest
Income 410.12
</TABLE>
51
<PAGE>
IDS MANAGED FUTURES, L.P.
PERFORMANCE RECORD
<TABLE>
<CAPTION>
GROSS NET CHANGE IN
REALIZED REALIZED UNREALIZED
BEGINNING PROFIT/ BROKERAGE PROFIT/ PROFIT/
EQUITY ADDITIONS WITHDRAWALS (LOSS) COMMISSIONS (LOSS) (LOSS)
MONTH (1) (2) (3) (4) (5) (6) (7)
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1992
January 6,704,441 0 59,133 (282,279) 12,616 (294,894) (585,841)
February 5,709,834 0 29,600 385,072 22,448 362,624 (875,039)
March 5,141,991 0 56,758 2,540 19,265 (16,725) 61,769
April 5,120,703 0 17,879 (459,518) 17,769 (477,287) 162,659
May 4,780,055 0 76,766 (266,497) 18,312 (284,809) 186,705
June 4,620,080 0 35,313 392,168 26,785 365,382 343,118
July 5,304,490 0 97,635 (21,412) 16,383 (37,795) 1,011,461
August 6,166,230 0 28,126 819,593 13,419 806,174 (283,343)
September 6,626,216 0 76,532 852,784 19,686 833,098 (1,039,969)
October 6,331,987 0 17,098 (183,338) 12,600 (195,938) 15,112
November 6,068,777 0 21,580 103,287 29,920 73,367 (190,902)
December 5,941,995 0 10,210 (35,280) 29,388 (64,668) 47,658
1993
January 5,893,506 0 7,232 (155,688) 30,971 (186,659) 270,731
February 5,956,270 0 4,579 702,629 32,677 669,952 13,009
March 6,594,957 0 0 205,702 29,520 176,182 (240,727)
April 6,541,136 0 43,242 (46,669) 19,894 (66,563) 553,215
May 6,925,981 0 12,452 293,082 31,293 261,789 (137,327)
June 7,006,469 0 4,974 443,457 45,979 397,478 (240,990)
July 7,102,642 598,214 41,365 53,619 30,098 23,521 662,433
August 8,252,806 1,430,318 0 570,558 27,655 542,903 (236,072)
September 9,938,302 1,230,783 58,310 675,473 25,130 650,343 (669,795)
October 11,081,528 1,156,055 0 (133,638) 12,807 (146,445) 173,358
November 12,233,520 988,074 5,537 53,234 40,673 12,561 25,093
December 13,212,536 1,295,090 11,298 150,041 50,022 100,019 238,839
1994
January 14,765,001 1,280,394 7,327 (268,193) 43,967 (312,160) (327,405)
February 15,376,565 696,782 5,871 (407,918) 77,970 (485,888) (1,613)
March 15,560,947 0 19,317 234,499 41,142 193,357 764,885
April 16,438,555 1,678,846 19,122 (177,335) 28,857 (206,192) 118,099
May 17,987,950 1,673,130 32,856 828,216 42,202 786,013 (4,511)
June 20,344,467 860,448 44,647 464,404 45,606 418,798 202,034
July 21,713,376 1,035,371 11,490 (15,068) 21,877 (36,954) (584,599)
August 22,113,907 578,468 27,176 990 49,592 (48,602) (403,790)
September 22,190,564 938,788 39,662 159,498 82,581 76,917 (197,738)
October 22,990,574 822,271 127,874 (760,513) 68,953 (829,466) 814,000
Nov 23,691,780 807,434 10,250 (706,579) 111,416 (817,995) 36,284
Dec 23,657,531 615,634 99,551 (652,247) 40,732 (692,978) 275,892
<CAPTION>
MANAGEMENT
AND VALUE OF A
INTEREST INCENTIVE OTHER NET ENDING RATE OF UNIT NUMBER OF
INCOME FEES EXPENSES PERFORMANCE EQUITY RETURN INVESTMENT UNITS
MONTH (8) (9) (10) (11) (12) (13) (14) (15)
- ---------------
------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1992
January 16,872 11,394 60,217 (935,474) 5,709,834 (13.95%) 454.87 12,552.77
February 12,241 10,069 28,000 (538,243) 5,141,991 (9.43%) 411.99 12,480.93
March 14,299 10,145 13,727 35,469 5,120,703 0.69% 414.83 12,344.11
April 11,884 9,248 10,776 (322,768) 4,780,055 (6.30%) 388.68 12,298.11
May 11,282 9,011 (12,623) (83,210) 4,620,080 (1.74%) 381.92 12,097.11
June 11,686 10,548 (10,084) 719,722 5,304,490 15.58% 441.41 12,017.11
July 13,630 16,129 11,790 959,375 6,166,230 18.09% 521.25 11,829.80
August 12,660 69,920 (22,540) 488,111 6,626,216 7.92% 562.51 11,779.80
September 12,413 (24,435) 47,674 (217,696) 6,331,987 (3.29%) 544.03 11,639.12
October 12,432 15,522 44,196 (228,113) 6,086,776 (3.60%) 524.43 11606.52
November 11,956 15,263 2,360 (123,202) 5,941,995 (2.02%) 513.81 11564.52
December 14,068 15,023 20,314 (38,279) 5,893,506 (0.64%) 510.50 11544.52
Gross Rate of Return (3.43%)
Rate of Return Net of Interest Income (9.74%)
Value of a Unit Investment Net of Interest
Income 370.18
1993
January 11,039 15,348 9,767 69,996 5,956,270 1.19% 516.57 11530.52
February 11,183 69,042 (18,164) 643,266 6,594,957 10.80% 572.35 11522.52
March 13,340 13,237 (10,621) (53,821) 6,541,136 (0.82%) 567.68 11522.52
April 13,855 81,686 (9,266) 428,087 6,925,981 6.54% 604.83 11451.03
May 13,147 41,962 2,707 92,940 7,006,469 1.34% 612.95 11430.71
June 13,971 12,658 56,654 101,147 7,102,642 1.44% 621.80 11422.71
July 15,736 96,027 12,348 593,315 8,252,806 8.35% 673.74 12249.22
August 16,146 49,715 18,084 255,178 9,938,302 3.09% 694.57 14308.50
September 18,854 22,227 6,422 (29,247) 11,081,528 (0.29%) 692.53 16001.53
October 29,899 40,419 20,456 (4,063) 12,233,520 (0.04%) 692.28 17671.45
November 27,851 44,128 24,898 (3,521) 13,212,536 (0.03%) 692.08 19091.14
December 33,391 65,255 38,321 268,673 14,765,001 2.03% 706.15 20909.16
Gross Rate of Return 38.32%
Rate of Return Net of Interest Income 67.01%
Value of a Unit Investment Net of Interest
Income 618.23
1994
January 29,813 42,248 9,503 (661,503) 15,376,565 (4.48%) 674.51 22796.56
February 32,368 44,665 6,731 (506,529) 15,560,947 (3.29%) 652.29 23855.77
March 42,489 114,996 (11,190) 896,925 16,438,555 5.76% 689.89 23827.77
April 44,456 61,080 5,612 (110,329) 17,987,950 (0.67%) 685.26 26249.80
May 54,149 74,627 44,780 716,244 20,344,468 3.98% 712.55 28551.78
June 61,089 154,511 (25,696) 553,106 21,713,374 2.72% 731.92 29666.38
July 69,880 62,890 8,788 (623,351) 22,113,906 (2.87%) 710.91 31106.63
August 73,967 64,331 31,878 (474,634) 22,190,565 (2.15%) 695.65 31899.11
September 80,140 65,887 (7,453) (99,115) 22,990,575 (0.45%) 692.54 33197.41
October 79,567 68,710 (11,417) 6,809 23,691,780 0.03% 692.75 34199.79
Nov 88,654 68,129 70,248 (831,433) 23,657,531 (3.51%) 668.44 35,392.36
Dec 103,677 69,060 13,946 (396,416) 23,777,198 (1.68%) 657.24 36,177.59
Gross Rate of Return (6.93%)
Rate of Return Net of Interest Income (5.31%)
Value of a Unit Investment Net of Interest
Income 585.41
</TABLE>
52
<PAGE>
IDS MANAGED FUTURES, L.P.
PERFORMANCE RECORD
<TABLE>
<CAPTION>
GROSS NET CHANGE IN
REALIZED REALIZED UNREALIZED
BEGINNING PROFIT/ BROKERAGE PROFIT/ PROFIT/
EQUITY ADDITIONS WITHDRAWALS (LOSS) COMMISSIONS (LOSS) (LOSS)
MONTH (1) (2) (3) (4) (5) (6) (7)
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Jan 23,777,198 620,648 25,852 (197,438) 70,420 (267,858) (460,486)
*Feb 23,646,279 0 101,905 1,810,348 73,078 1,737,271 247,943
Mar 25,532,275 0 40,299 65,020 109,391 (44,371) 2,226,282
Apr 27,508,945 0 135,467 2,799,714 29,525 2,770,188 (1,323,604)
NOTES TO IDS MANAGED FUTURES, L.P.
<CAPTION>
MANAGEMENT
AND VALUE OF A
INTEREST INCENTIVE OTHER NET ENDING RATE OF UNIT NUMBER OF
INCOME FEES EXPENSES PERFORMANCE EQUITY RETURN INVESTMENT UNITS
MONTH (8) (9) (10) (11) (12) (13) (14) (15)
- ---------------
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Jan 96,401 68,414 25,358 (725,716) 23,646,279 (3.05%) 637.18 37,111.07
*Feb 94,367 76,794 14,887 1,987,901 25,532,275 8.41% 230.25 110,890.64
Mar 124,537 386,870 (97,390) 2,016,969 27,508,945 7.90% 248.44 110,728.43
Apr 113,091 222,380 40,920 1,296,375 28,669,853 4.71% 260.14 110,207.69
Gross Rate of Return 18.74%
Rate of Return Net of Interest Income 18.22%
Value of a Unit Investment Net of Interest 232.68
NOTES TO IDS MA
<FN>
1. Beginning Equity is the capital committed to trading as of the beginning of
the period.
2. Additions represents all capital additions made after the close of business
on the last day of the month. Commencing July 1993, additions are net of
selling commissions and organization and offering expenses.
3. Withdrawals represents all partial or complete withdrawals and redemptions
made after the close of business on the last day of the month. As of April
30, 1995, IDS Managed Futures, LP has not made any distributions of capital
to its limited partners.
4. Gross Realized Profit (Loss) represents gross realized profit or loss on
all trades closed out during the period.
5. Brokerage Commissions represents the total amount of all brokerage
commissions and clearing fees paid on all trades liquidated during the
period or accrued on open positions at the end of the period.
6. Net Realized Profit (Loss) equals the sum of Gross Realized Profit (Loss)
minus Brokerage Commissions.
7. Changes in Unrealized Profit (Loss) represents the change in unrealized
profits or losses on the quoted market value of unliquidated positions at
the end of each period. A negative number signifies either a decrease in
unrealized profits or an increase in unrealized losses; a positive number
signifies either an increase in unrealized profits or a decrease in
unrealized losses.
8. Interest Income represents interest received and accrued during the month.
9. Management Fees represents a charge of 1/4 of 1% of the net asset value per
month for management services. The Management Fees are paid regardless of
performance. Incentive Fees represents a charge of 18% of the trading
profits as of the end of each quarter. If trading profits for a quarter are
negative it constitutes a carryforward loss for the beginning of the next
fiscal quarter. No Incentive Fees are payable until future trading profits
for the ensuing quarter exceed carryforward loss. Effective January 1,
1992, the management fee paid to Sabre Fund Management Limited was reduced
to 1/8 of 1% per month. It stayed at this level until such time as
cumulative trading performance reached a level as specified in the Advisory
Contract. Effective July 1, 1993, the management fee paid to Sabre was
increased back to the original 1/4 of 1%. Effective July 1, 1992, the
management fee due to John W. Henry was changed to 1/3 of 1% of the assets
allocated to it, and the incentive fee was changed to 15%. The General
Partners, acting on the recommendation of Sabre, increased the leverage on
the assets managed by Sabre by 50%. This change was effective September 14,
1992 and was done in an effort to enhance their performance. This increase
in leverage, however, did not cause a comparable increase in their
management fees.
10. Other Expenses represents Operating Expenses other than Management Fees and
Incentive Fees. Included in the Other Expenses for March 1988 are selling
commissions and organization and offering expenses of $639,102.
11. Net Performance equals Net Realized Profit (Loss) plus change in Unrealized
Profit (Loss) plus Interest Income, minus Management Fees, Incentive Fees
and Other Expenses.
12. Ending Equity represents Beginning Equity plus Additions minus Withdrawls
plus or minus Net Performance.
13. Rate of Return is calculated by dividing Net Performance by Beginning
Equity, except for the first period where Net Performance is divided by
Additions.
14. The Value of a Unit Investment is calculated by dividing the Ending Equity
by the number of Units outstanding at the end of the month. At the end of
each month the amount shown in this column is equal to the net asset value
per unit at month end. The first amount shown in this column includes
reductions for selling commissions and organization and offering expenses
as well as an adjustment for trading results in that month.
15. This represents the number of units outstanding at the end of each month.
On February 28, 1995, the Fund had a 3-for-1 unit split.
16. Gross Rate of Return is calculated by taking the difference in Net Asset
Value per unit for the year and dividing by the beginning of the year Net
Asset Value per unit.
17. Rate of Return Net of Interest Income is calculated in the same manner as
Gross Rate of Return, except the calculation is based on the Net Asset
Value per Unit Net of Interest Income in a carry forward calculation,
assuming the fund earns no interest income.
18. Net Asset Value per Unit Net of Interest Income is calculated in the same
manner as this table, except it is assumed that the fund has no interest
income for the entire life of the fund in a carry forward calculation.
</TABLE>
53
<PAGE>
IDS MANAGED FUTURES II, L.P.
PERFORMANCE RECORDS
<TABLE>
<CAPTION>
GROSS NET CHANGE IN
REALIZED REALIZED UNREALIZED
BEGINNING PROFIT BROKERAGE PROFIT PROFIT
EQUITY ADDITIONS WITHDRAWAL (LOSS) COMMISSION (LOSS) (LOSS)
MONTH (1) (2) (3) (4) (5) (6) (7)
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1988
March $ 0 $3,504,135 $ 0 ($ 163,482) $26,573 ($ 190,055) $ 56,290
April 3,170,966 3,997,185 0 (150,090) 11,919 (162,009) 91,568
May 6,865,511 0 0 (100,153) 32,524 (132,678) 344,580
June 7,062,115 2,823,000 0 206,367 36,702 169,665 594,438
July 10,383,605 0 0 167,997 23,609 144,389 (541,516)
August 10,000,563 2,049,169 9,522 (250,153) 36,673 (286,826) 270,652
September 11,903,516 864,000 54,164 243,482 27,238 216,244 143,704
October 13,008,155 561,000 38,987 (317,667) 43,569 (361,235) 214,507
November 13,381,593 541,370 97,329 359,925 54,437 305,488 (274,750)
December 13,867,151 793,500 127,203 (129,242) 60,229 (189,471) (161,377)
1989
January 14,148,834 427,710 126,684 (353,815) 53,265 (407,080) 519,274
February 14,530,041 0 235,658 (23,797) 43,083 (66,880) (1,028,655)
March 13,238,806 0 204,270 (106,718) 47,084 (153,802) 300,118
April 13,043,593 0 125,514 (210,177) 50,118 (260,295) (113,623)
May 12,500,370 0 293,743 (94,636) 50,461 (145,097) 955,931
June 12,937,849 0 168,253 316,529 53,811 262,718 (917,283)
July 12,071,821 0 196,228 (668,808) 38,718 (707,527) 812,295
August 11,975,743 0 122,564 (7,531) 43,412 (50,943) (408,238)
September 11,316,497 0 189,021 (226,286) 66,203 (292,489) (138,324)
October 10,698,401 0 260,139 (642,484) 44,719 (687,204) 212,173
November 9,952,164 0 226,943 783,615 66,693 716,921 (74,821)
December 10,406,009 0 261,027 503,532 46,022 457,510 (381,561)
1990
January 10,305,231 0 78,233 (228,822) 39,804 (268,627) 1,435,473
February 11,388,560 0 160,663 1,032,436 37,603 994,834 (404,729)
March 11,712,768 0 345,375 583,654 41,615 542,039 (411,291)
April 11,468,545 0 112,788 4,737 54,686 (49,950) 653,462
May 11,929,698 0 152,821 (3,593) 40,503 (44,096) (1,429,671)
June 10,344,244 0 31,238 28,720 49,623 (20,904) 152,956
July 10,521,699 0 136,599 (189,856) 44,912 (234,767) 921,587
August 11,102,396 0 103,911 1,227,339 43,220 1,184,119 (372,908)
September 11,795,678 0 120,131 772,515 45,657 726,858 (262,250)
October 12,125,907 0 289,497 (194,597) 43,038 (237,635) (42,000)
November 11,637,616 0 93,328 229,823 42,326 187,497 (293,847)
December 11,459,124 0 69,943 (161,712) 30,969 (192,681) (37,423)
<CAPTION>
MANAGEMENT
AND VALUE OF A
INTEREST INCENTIVE OTHER NET ENDING RATE OF UNIT NUMBER OF
INCOME FEES EXPENSES PERFORMANCE EQUITY RETURN INVESTMENT UNITS
MONTH (8) (9) (10) (11) (12) (13) (14) (15)
- ---------
------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1988
March $ 13,275 $ 15,334 $ 197,345 ($333,169) 3,170,966 (9.51%) 225.27 14,076.00
April 12,043 11,227 233,016 (302,641) 6,865,511 (9.54%) 220.06 31,198.39
May 31,680 40,383 6,595 196,605 7,062,115 2.86% 226.36 31,198.39
June 31,704 104,120 193,198 498,490 10,383,605 7.06% 247.59 41,938.24
July 45,675 34,511 (2,921) (383,042) 10,000,563 (3.69%) 238.46 41,938.24
August 47,632 42,982 125,170 (136,694) 11,903,516 (1.37%) 238.05 50,004.09
September 57,321 63,965 58,501 294,803 13,008,155 2.48% 244.97 53,100.79
October 64,257 52,674 13,429 (148,575) 13,381,593 (1.14%) 242.79 55,115.17
November 68,121 37,357 19,986 41,517 13,867,151 0.31% 244.13 56,802.99
December 78,598 54,350 58,014 (384,614) 14,148,834 (2.77%) 238.19 59,400.69
1989
January 75,898 54,837 53,074 80,181 14,530,041 0.57% 239.95 60,553.52
February 72,843 37,986 (5,101) (1,055,576) 13,238,806 (7.26%) 222.63 59,464.48
March 82,084 44,307 175,036 9,057 13,043,593 0.07% 222.67 58,577.11
April 67,221 42,227 68,785 (417,709) 12,500,370 (3.20%) 215.54 57,994.78
May 73,948 46,380 107,180 731,221 12,937,849 5.85% 228.15 56,707.28
June 72,755 38,849 77,116 (697,775) 12,071,821 (5.39%) 215.85 55,927.76
July 59,840 40,709 23,750 100,150 11,975,743 0.83% 217.64 55,026.14
August 62,066 38,258 101,310 (536,682) 11,316,497 (4.48%) 207.88 54,436.55
September 59,303 36,413 21,153 (429,075) 10,698,401 (3.79%) 200.00 53,491.44
October 51,822 31,181 31,708 (486,098) 9,952,164 (4.54%) 190.91 52,128.82
November 52,402 30,553 (16,838) 680,788 10,406,009 6.84% 203.97 51,016.19
December 56,357 30,421 (58,364) 160,249 10,305,231 1.54% 207.12 49,755.92
1990
January 55,362 37,268 23,378 1,161,562 11,388,560 11.27% 230.46 49,416.45
February 57,121 148,601 13,754 484,870 11,712,768 4.26% 240.27 48,747.78
March 66,343 70,403 25,535 101,152 11,468,545 0.86% 242.35 47,322.67
April 57,871 79,264 8,178 573,941 11,929,698 5.00% 254.48 46,879.46
May 58,558 (3,387) 20,812 (1,432,633) 10,344,244 (12.01%) 223.92 46,196.98
June 55,131 35,294 (56,804) 208,693 10,521,699 2.02% 228.43 46,060.23
July 53,998 37,589 (14,066) 717,295 11,102,396 6.82% 244.01 45,500.42
August 66,206 78,586 1,638 797,193 11,795,678 7.18% 261.53 45,103.10
September 53,256 86,372 (18,868) 450,360 12,125,907 3.82% 271.51 44,660.65
October 59,049 39,890 (61,683) (198,794) 11,637,616 (1.64%) 267.06 43,576.63
November 59,040 41,108 (3,254) (85,164) 11,459,124 (0.73%) 265.11 43,224.60
December 51,220 31,758 4,162 (214,805) 11,174,377 (1.87%) 260.14 42,955.73
</TABLE>
54
<PAGE>
IDS MANAGED FUTURES II, L.P.
PERFORMANCE RECORDS
<TABLE>
<CAPTION>
GROSS NET CHANGE IN
REALIZED REALIZED UNREALIZED
BEGINNING PROFIT BROKERAGE PROFIT PROFIT
EQUITY ADDITIONS WITHDRAWAL (LOSS) COMMISSION (LOSS) (LOSS)
MONTH (1) (2) (3) (4) (5) (6) (7)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1991
January 11,174,377 0 134,707 (219,448) 29,235 (248,683) (24,825)
February 10,782,032 0 154,512 19,118 29,705 (10,586) (19,075)
March 10,578,601 0 263,664 174,186 25,291 148,895 (12,896)
April 10,399,119 0 152,778 (28,860) 27,226 (56,086) (45,851)
May 10,151,746 0 197,381 (257,644) 25,235 (282,879) 134,685
June 9,830,819 0 146,151 376,355 56,149 320,206 (92,675)
July 9,913,486 0 152,912 (518,420) 27,051 (545,470) (207,402)
August 9,048,151 0 286,747 (454,987) 61,570 (516,557) 669,925
September 8,916,660 0 174,082 400,700 49,409 351,291 1,088,709
October 10,108,490 0 116,502 (384,381) 36,688 (421,069) (128,151)
November 9,472,665 0 102,141 1,542,434 75,957 1,466,477 (774,006)
December 10,042,728 0 303,986 1,240,227 38,639 1,201,588 1,115,293
1992
January 11,750,094 0 196,848 (609,738) 35,245 (644,984) (854,109)
February 9,963,700 0 77,777 387,861 41,877 345,984 (1,415,601)
March 8,767,517 0 152,106 (82,571) 39,278 (121,850) 185,771
April 8,682,059 0 99,526 (645,514) 37,365 (682,878) 188,106
May 8,083,695 0 106,514 (301,438) 39,847 (341,285) 322,963
June 7,980,036 0 79,556 675,071 54,772 620,299 456,899
July 9,006,716 0 431,105 (289,719) 38,660 (328,378) 1,619,057
August 9,859,089 0 168,385 1,238,654 36,090 1,202,564 (472,701)
September 10,404,224 0 150,873 1,495,187 45,223 1,449,964 (1,634,877)
October 10,064,949 0 62,865 (115,681) 25,124 (140,805) (7,283)
November 9,756,208 0 100,915 149,145 41,845 107,300 (311,143)
December 9,412,569 0 58,420 (279,094) 50,119 (329,212) 268,212
1993
January 9,275,289 0 30,595 (189,618) 42,948 (232,566) 278,679
February 9,275,676 0 128,242 1,118,733 50,348 1,068,385 54,419
March 10,214,854 0 132,231 219,174 50,140 169,034 (335,986)
April 9,952,791 0 121,192 (69,028) 33,356 (102,383) 815,839
May 10,468,862 0 121,577 459,252 47,136 412,117 (275,317)
June 10,444,945 0 9,806 793,376 71,906 721,469 (308,532)
July 10,761,669 0 106,610 70,781 46,210 24,571 1,032,805
August 11,572,592 0 75,666 848,191 52,074 796,117 (589,361)
September 11,678,787 0 57,979 779,249 43,670 735,580 (821,026)
October 11,524,625 0 42,933 (47,111) 28,512 (75,623) 91,543
November 11,458,989 0 56,848 57,721 51,769 5,952 (12,874)
December 11,351,701 0 70,221 292,416 45,650 246,766 171,201
<CAPTION>
MANAGEMENT
AND VALUE OF A
INTEREST INCENTIVE OTHER NET ENDING RATE OF UNIT NUMBER OF
INCOME FEES EXPENSES PERFORMANCE EQUITY RETURN INVESTMENT UNITS
MONTH (8) (9) (10) (11) (12) (13) (14) (15)
- ---------
----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1991
January 45,215 36,511 (7,167) (257,637) 10,782,032 (2.31%) 254.14 42,425.68
February 40,360 31,203 28,415 (48,920) 10,578,601 (0.45%) 252.99 41,814.94
March 43,078 35,479 59,416 84,182 10,399,119 0.80% 255.00 40,780.96
April 38,365 29,896 1,126 (94,595) 10,151,746 (0.91%) 252.68 40,176.33
May 39,896 24,579 (9,330) (123,546) 9,830,819 (1.22%) 249.60 39,385.55
June 34,404 24,899 8,217 228,819 9,913,486 2.33% 255.41 38,813.32
July 36,327 22,176 (26,299) (712,423) 9,048,151 (7.19%) 237.06 38,168.29
August 35,794 28,166 5,740 155,256 8,916,660 1.72% 241.13 36,979.11
September 31,640 150,223 (44,495) 1,365,912 10,108,490 15.32% 278.06 36,353.05
October 34,002 20,828 (16,722) (519,323) 9,472,665 (5.14%) 263.78 35,911.39
November 31,764 67,520 (15,488) 672,204 10,042,728 7.10% 282.50 35,549.83
December 31,461 381,259 (44,269) 2,011,352 11,750,094 20.03% 339.08 34,653.32
1992
January 29,490 30,681 89,263 (1,589,546) 9,963,700 (13.53%) 293.21 33,981.97
February 21,582 26,506 43,864 (1,118,405) 8,767,517 (11.22%) 260.29 33,683.16
March 24,832 26,606 (4,500) 66,648 8,682,059 0.76% 262.27 33,103.20
April 20,754 24,450 370 (498,838) 8,083,695 (5.75%) 247.20 32,700.59
May 19,756 24,174 (25,594) 2,855 7,980,036 0.04% 247.29 32,269.86
June 20,483 27,427 (35,982) 1,106,236 9,006,716 13.86% 281.57 31,987.31
July 22,999 31,412 (1,213) 1,283,479 9,859,089 14.25% 321.70 30,647.23
August 20,422 95,586 (58,821) 713,520 10,404,224 7.24% 344.98 30,159.13
September 19,819 (29,975) 53,283 (188,402) 10,064,949 (1.81%) 338.73 29,713.72
October 20,021 29,998 87,812 (245,876) 9,756,208 (2.44%) 330.46 29,523.49
November 19,339 29,121 29,099 (242,725) 9,412,569 (2.49%) 322.23 29,210.31
December 22,142 44,456 (4,455) (78,860) 9,275,289 (0.84%) 319.53 29,027.48
1993
January 17,307 28,528 3,909 30,982 9,275,676 0.33% 320.60 28,932.05
February 17,825 113,413 (40,204) 1,067,420 10,214,854 11.51% 357.50 28,573.33
March 20,795 25,397 (41,723) (129,832) 9,952,791 (1.27%) 352.95 28,198.68
April 21,149 128,570 (31,230) 637,264 10,468,862 6.40% 375.55 27,875.98
May 19,891 67,568 (8,537) 97,660 10,444,945 0.93% 379.05 27,555.24
June 21,289 21,525 86,171 326,530 10,761,669 3.13% 390.90 27,530.15
July 23,684 151,090 12,438 917,532 11,572,592 8.53% 424.23 27,278.85
August 22,832 35,012 12,714 181,862 11,678,787 1.57% 430.90 27,103.25
September 23,250 38,655 (4,669) (96,183) 11,524,625 (0.82%) 427.35 26,967.58
October 23,889 38,466 24,046 (22,703) 11,458,989 (0.20%) 426.51 26,866.92
November 23,123 38,153 28,487 (50,440) 11,351,701 (0.44%) 424.63 26,733.04
December 25,646 57,452 34,303 351,857 11,633,337 3.10% 437.79 26,572.64
</TABLE>
55
<PAGE>
IDS MANAGED FUTURES II, L.P.
PERFORMANCE RECORDS
<TABLE>
<CAPTION>
GROSS NET CHANGE IN
REALIZED REALIZED UNREALIZED
BEGINNING PROFIT BROKERAGE PROFIT PROFIT
EQUITY ADDITIONS WITHDRAWAL (LOSS) COMMISSION (LOSS) (LOSS)
MONTH (1) (2) (3) (4) (5) (6) (7)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1994
Jan 11,633,337 0 61,460 (166,200) 39,254 (205,453) (315,832)
Feb 11,050,372 0 31,626 (428,142) 60,361 (488,503) (46,654)
Mar 10,486,696 0 24,211 (100,248) 34,757 (135,005) 619,310
Apr 10,940,862 0 58,468 (243,158) 30,381 (273,538) 213,307
May 10,816,182 0 89,152 465,624 32,723 432,901 (53,729)
Jun 11,072,052 0 184,052 377,674 51,283 326,391 162,770
Jul 11,358,274 0 61,747 304,963 29,780 275,183 (639,484)
Aug 10,933,124 0 76,773 (324,854) 35,422 (360,276) (134,353)
Sep 10,351,377 0 99,683 132,455 52,311 80,144 (175,587)
Oct 10,172,540 0 40,077 (469,279) 36,739 (506,018) 428,211
Nov 10,070,474 0 37,881 (286,496) 51,334 (337,830) (90,002)
Dec 9,574,642 0 47,038 (283,197) 22,375 (305,572) 43,544
1995
Jan 9,277,141 4,651 75,389 (170,753) 34,891 (205,643) (88,657)
Feb 8,917,698 0 70,172 921,091 33,663 887,428 100,836
Mar 9,829,619 0 195,605 164,873 48,584 116,288 1,049,388
Apr 10,749,248 0 79,318 1,345,557 7,550 1,338,007 (726,937)
NOTES TO IDS MANAGED FUTURES II, L.P.
<CAPTION>
MANAGEMENT
AND VALUE OF A
INTEREST INCENTIVE OTHER NET ENDING RATE OF UNIT NUMBER OF
INCOME FEES EXPENSES PERFORMANCE EQUITY RETURN INVESTMENT UNITS
MONTH (8) (9) (10) (11) (12) (13) (14) (15)
- ---------
----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1994
Jan 21,418 37,163 (15,526) (521,505) 11,050,372 (4.48%) 418.17 26,425.67
Feb 21,133 35,178 (17,152) (532,051) 10,486,696 (4.81%) 398.03 26,346.21
Mar 25,616 85,182 (53,638) 478,377 10,940,862 4.56% 416.19 26,288.04
Apr 26,569 46,745 (14,194) (66,212) 10,816,182 (0.61%) 413.67 26,146.70
May 29,482 51,716 11,916 345,023 11,072,052 3.19% 426.87 25,937.85
Jun 30,189 99,024 (49,947) 470,273 11,358,274 4.25% 445.00 25,524.25
Jul 33,097 36,772 (4,574) (363,403) 10,933,124 (3.20%) 430.76 25,380.90
Aug 32,454 34,877 7,923 (504,974) 10,351,377 (4.62%) 410.87 25,194.05
Sep 33,485 34,355 (17,159) (79,154) 10,172,540 (0.76%) 407.72 24,949.56
Oct 31,436 33,815 (18,197) (61,989) 10,070,474 (0.61%) 405.24 24,850.66
Nov 33,556 30,586 33,089 (457,951) 9,574,642 (4.55%) 386.81 24,752.73
Dec 37,615 30,011 (3,960) (250,463) 9,277,141 (2.62%) 376.69 24,627.86
1995
Jan 33,738 30,062 (1,919) (288,704) 8,917,698 (3.11%) 364.98 24,433.65
Feb 32,518 33,110 5,578 982,093 9,829,619 11.01% 405.17 24,260.46
Mar 44,028 152,648 (58,178) 1,115,235 10,749,248 11.35% 451.14 23,826.88
Apr 40,015 106,636 9,342 535,107 11,205,037 4.98% 473.60 23,659.40
NOTES TO
<FN>
1. Beginning Equity is the capital committed to trading as of the beginning of
the period.
2. Additions represents all capital additions made after the close of business
on the last day of the month. In December of 1994, the fund overstated
redemptions by $4,651. This was corrected in January by showing this amount
of purchases.
3. Withdrawals represents all partial or complete withdrawals and redemptions
made after the close of business on the last day of the month. As of April
28, 1995, IDS Managed Futures II, L.P. has not made any distributions of
capital to its limited partners.
4. Gross Realized Profit (Loss) represents gross realized profit or loss on
all trades closed out during the period.
5. Brokerage Commissions represents the total amount of all brokerage
commissions and clearing fees paid on all trades liquidated during the
period or accrued on open positions at the end of the period.
6. Net Realized Profit (Loss) equals the sum of Gross Realized Profit (Loss)
minus Brokerage Commissions.
7. Changes in Unrealized Profit (Loss) represents the change in unrealized
profits or losses on the quoted market value of unliquidated positions at
the end of each period. A negative number signifies either a decrease in
unrealized profits or an increase in unrealized losses; a positive number
signifies either an increase in unrealized profits or a decrease in
unrealized losses.
9. Management Fees represents a charge of 1/3 of 1% of the net asset value per
month for management services. The Management Fees are paid regardless of
performance. Incentive Fees represents a charge of 15% of the trading
profits as of the end of each quarter. If trading profits for a quarter are
negative it constitutes a carryforward loss for the beginning of the next
fiscal quarter. No Incentive Fees are payable until future trading profits
for the ensuing quarter exceed carryforward loss. Effective January 1,
1992, the management fee paid to Sabre Fund Management Limited was reduced
to 1/6 of 1% per month. It stayed at this level until such time as
cumulative trading performance reached a level as specified in the Advisory
Contract. Effective September 1, 1993, the management fee paid to Sabre was
increased back to the original 1/3 of 1%. The General Partners, acting on
the recommendation of Sabre, increased the leverage on the assets managed
by Sabre by 50%. This change was effective September 14, 1992 and was done
in an effort to enhance their performance. This increase in leverage,
however, did not cause a comparable increase in their management fees.
10. Other Expenses represents Operating Expenses other than Management Fees and
Incentive Fees. Included are foreign exchange gains and losses from trading
valuations. Included in the Other Expenses for March, April, June, August,
September, October, November, December 1988 and January 1989 are selling
commissions of $196,275, $229,230, $163,920, $119,571.22, $51,240, $32,940,
$31,995, $47,550 and $24,405, respectively. Also included in Other Expenses
for March through October 1989 is the reimbursement amount of organization
and offering expenses which were advanced by the General Partners. The
reimbursement amount is equal to interest income earned on the Fund's
assets.
11. Net Performance equals Net Realized Profit (Loss) plus change in Unrealized
Profit (Loss) plus Interest Income, minus Management Fees, Incentive Fees
and Other Expenses.
12. Ending Equity represents Beginning Equity plus Additions minus Withdrawls
plus or minus Net Performance.
13. Rate of Return is calculated by dividing Net Performance by Beginning
Equity, except for the first period where Net Performance is divided by
Additions.
14. The Value of a Unit Investment is calculated by dividing the Ending Equity
by the number of Units outstanding at the end of the month. At the end of
each month the amount shown in this column is equal to the net asset value
per unit at month end. The first amount shown in this column includes
reductions for selling commissions and organization and offering expenses
as well as an adjustment for trading results in that month.
15. This represents the number of units outstanding at the end of each month.
</TABLE>
56
<PAGE>
OYSTER BAY FUTURES FUND
LIMITED PARTNERSHIP
PERFORMANCE RECORD
<TABLE>
<CAPTION>
GROSS NET CHANGE IN
REALIZED REALIZED UNREALIZED
BEGINNING PROFIT BROKERAGE PROFIT PROFIT
EQUITY ADDITIONS WITHDRAWALS (LOSS) COMMISSIONS (LOSS) (LOSS)
MONTH (1) (2) (3) (4) (5) (6) (7)
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1988
AUGUST $0 $773,000 $0 ($40,702) $9,356 ($50,057) $16,531
SEPTEMBER 736,614 0 0 (83,980) 9,007 (93,056) 70,563
OCTOBER 709,448 0 23,328 22,052 9,103 12,949 435
NOVEMBER 697,968 0 0 57,775 8,901 48,874 (37,461)
DECEMBER 699,940 0 0 (16,205) 8,868 (25,073) 25,536
1989
JANUARY 700,656 0 0 (30,334) 8,990 (39,324) 54,601
FEBRUARY 714,504 0 0 24,303 8,429 15,873 (66,441)
MARCH 669,430 0 0 (15,694) 8,622 (24,316) 40,667
APRIL 681,597 0 0 (11,677) 7,911 (19,588) (34,300)
MAY 626,501 0 0 29,317 9,046 20,271 71,600
JUNE 714,735 0 0 62,158 8,429 53,729 (108,217)
JULY 662,750 0 0 (58,437) 8,052 (66,489) 46,661
AUGUST 643,781 0 0 (23,664) 7,499 (31,163) (21,746)
SEPTEMBER 591,827 0 7,740 (788) 6,806 (7,594) (44,096)
OCTOBER 532,479 0 0 (63,154) 5,823 (68,977) (1,018)
NOVEMBER 462,597 0 0 5,446 5,847 (401) (1,522)
DECEMBER 460,749 0 0 (7,587) 5,674 (13,260) 9,920
1990
JANUARY 458,110 0 0 (2,804) 5,764 (8,567) 14,358
FEBRUARY 464,232 0 0 7,632 5,625 2,208 (12,804)
MARCH 453,323 0 0 12,766 5,860 6,906 11,211
APRIL 471,929 0 0 11,100 6,177 4,923 22,521
MAY 498,628 0 0 32,884 6,043 26,841 (37,801)
JUNE 487,077 0 0 (3,242) 5,952 (9,194) (1,147)
JULY 478,308 0 0 3,121 6,389 (3,268) 40,126
AUGUST 509,890 0 0 (8,329) 6,161 (14,490) (3,664)
SEPTEMBER 497,396 0 0 19,143 3,676 15,467 (26,058)
OCTOBER 487,136 0 0 9,382 3,674 5,708 (8,350)
NOVEMBER 484,367 0 131,464 13,449 3,618 9,831 (17,617)
DECEMBER 344,737 0 0 (2,094) 2,073 (4,167) (4,645)
1991
JANUARY 335,718 0 0 (10,434) 2,566 (13,000) 25,218
FEBRUARY 347,157 0 1,729 21,660 2,631 19,029 (20,105)
MARCH 344,115 0 0 10,291 2,628 7,663 (2,135)
APRIL 348,553 0 0 (1,631) 2,626 (4,256) 4,726
MAY 348,289 0 19,252 (5,466) 2,565 (8,031) 1,175
JUNE 321,557 0 0 2,652 2,448 204 3,400
JULY 324,412 0 0 (3,506) 2,369 (5,875) (3,727)
AUGUST 313,935 0 0 6,519 2,506 4,013 12,807
SEPTEMBER 328,691 0 0 7,693 2,500 5,193 86
OCTOBER 331,993 0 0 5,063 2,383 2,680 (15,490)
NOVEMBER 318,479 0 0 1,331 2,344 (1,013) (4,672)
DECEMBER 312,004 0 0 9,647 2,577 7,070 31,914
<CAPTION>
MANAGEMENT
AND VALUE OF A
INTEREST INCENTIVE OTHER NET ENDING RATE OF UNIT NUMBER
INCOME FEES EXPENSES PERFORMANCE EQUITY RETURN INVESTMENT OF UNITS
MONTH (8) (9) (10) (11) (12) (13) (14) (15)
- --------------------
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1988
AUGUST $12,918 $610 $15,168 ($36,386) 736,614 (4.71%) 952.93 773.00
SEPTEMBER 2,595 2,464 4,803 (27,166) 709,448 (3.69%) 917.79 773.00
OCTOBER 2,684 (688) 4,907 11,848 697,968 1.67% 933.11 748.00
NOVEMBER 2,733 7,242 4,933 1,972 699,940 0.28% 935.75 748.00
DECEMBER 3,053 (2,451) 5,250 716 700,656 0.10% 936.71 748.00
1989
JANUARY 2,932 3,511 850 13,848 714,504 1.98% 955.22 748.00
FEBRUARY 2,739 (4,303) 1,548 (45,074) 669,430 (6.31%) 894.96 748.00
MARCH 3,220 5,029 2,375 12,167 681,597 1.82% 911.23 748.00
APRIL 2,585 2,313 1,479 (55,097) 626,501 (8.08%) 837.57 748.00
MAY 2,904 4,904 1,637 88,234 714,735 14.08% 955.53 748.00
JUNE 3,006 (1,115) 1,618 (51,985) 662,750 (7.27%) 886.03 748.00
JULY 2,365 0 1,505 (18,968) 643,781 (2.66%) 860.67 748.00
AUGUST 2,371 0 1,417 (51,954) 591,827 (8.07%) 791.21 748.00
SEPTEMBER 2,132 0 2,050 (51,608) 532,479 (8.72%) 722.22 737.28
OCTOBER 1,850 0 1,736 (69,882) 462,597 (13.12%) 627.44 737.28
NOVEMBER 1,779 0 1,705 (1,849) 460,749 (0.40%) 624.93 737.28
DECEMBER 1,877 0 1,176 (2,639) 458,110 (0.57%) 621.35 737.28
1990
JANUARY 1,741 0 1,410 8,123 464,232 1.34% 629.66 737.28
FEBRUARY 1,663 0 1,976 (10,909) 453,323 (2.35%) 614.86 737.28
MARCH 1,955 0 1,466 18,606 471,929 4.10% 640.09 737.28
APRIL 1,795 1,189 1,351 26,700 498,628 5.66% 676.31 737.28
MAY 1,981 122 2,450 (11,551) 487,077 (2.32%) 660.64 737.28
JUNE 1,939 (1,310) 1,678 (8,769) 478,308 (1.80%) 648.75 737.28
JULY 1,854 5,634 1,496 31,582 509,890 6.60% 691.58 737.28
AUGUST 2,142 (4,984) 1,467 (12,494) 497,396 (2.45%) 674.64 737.28
SEPTEMBER 1,661 (116) 1,445 (10,260) 487,136 (2.06%) 660.72 737.28
OCTOBER 1,852 539 1,441 (2,769) 484,367 (0.57%) 656.96 737.28
NOVEMBER 1,868 599 1,649 (8,166) 344,737 (1.69%) 645.89 533.74
DECEMBER 1,298 417 1,088 (9,019) 335,718 (2.62%) 628.99 533.74
1991
JANUARY 1,055 623 1,210 11,439 347,157 3.41% 650.42 533.74
FEBRUARY 1,008 664 583 (1,314) 344,115 (0.38%) 647.96 531.07
MARCH 1,051 1,035 1,105 4,438 348,553 1.29% 658.32 531.07
APRIL 928 587 1,075 (264) 348,289 (0.08%) 655.83 531.07
MAY 1,028 574 1,078 (7,480) 321,557 (2.15%) 641.74 501.07
JUNE 846 547 1,048 2,855 324,412 0.89% 647.44 501.07
JULY 915 529 1,262 (10,477) 313,935 (3.23%) 628.53 501.07
AUGUST 964 1,983 1,045 14,757 328,691 4.70% 655.98 501.07
SEPTEMBER 812 1,737 1,052 3,302 331,993 1.00% 662.57 501.07
OCTOBER 857 537 1,025 (13,514) 318,479 (4.07%) 635.60 501.07
NOVEMBER 749 526 1,014 (6,475) 312,004 (2.03%) 622.68 501.07
DECEMBER 701 2,159 8,304 29,223 341,227 9.37% 681.00 501.07
</TABLE>
57
<PAGE>
OYSTER BAY FUTURES FUND
LIMITED PARTNERSHIP
PERFORMANCE RECORD
<TABLE>
<CAPTION>
GROSS NET CHANGE IN
REALIZED REALIZED UNREALIZED
BEGINNING PROFIT BROKERAGE PROFIT PROFIT
EQUITY ADDITIONS WITHDRAWALS (LOSS) COMMISSIONS (LOSS) (LOSS)
MONTH (1) (2) (3) (4) (5) (6) (7)
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1992
JANUARY 341,227 0 17,333 12,206 2,415 9,791 (26,386)
FEBRUARY 304,335 0 0 4,606 2,298 2,307 2,149
MARCH 307,801 0 0 (1,335) 2,185 (3,520) (11,593)
APRIL 291,694 0 0 (16,612) 1,603 (18,215) 6,791
MAY 279,592 0 0 0 0 0 0
JUNE 283,292 0 283,466 0 0 0 0
<CAPTION>
MANAGEMENT
AND VALUE OF A
INTEREST INCENTIVE OTHER NET ENDING RATE OF UNIT NUMBER
INCOME FEES EXPENSES PERFORMANCE EQUITY RETURN INVESTMENT OF UNITS
MONTH (8) (9) (10) (11) (12) (13) (14) (15)
- --------------------
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1992
JANUARY 682 542 1,104 (19,559) 304,335 (5.73%) 641.96 474.07
FEBRUARY 546 519 1,019 3,465 307,801 1.14% 649.27 474.07
MARCH 640 491 1,141 (16,107) 291,694 (5.23%) 615.30 474.07
APRIL 543 360 860 (12,102) 279,592 (4.15%) 589.77 474.07
MAY 528 0 (3,172) 3,700 283,292 1.32% 597.57 474.07
JUNE 174 0 0 174 0 0.06% 0.00 0.00
NOTES TO OYSTER BAY FUTURES FUND LIMITED PARTNERSHIP
<FN>
1. Beginning Equity is the capital committed to trading as of the beginning of
the period.
2. Additions represents all capital additions made after the close of business
on the last day of the month.
3. Withdrawals represents all partial or complete withdrawals, redemptions and
distributions made after the close of business on the last day of the
month.
4. Gross Realized Profit (Loss) represents gross realized profit or loss on
all trades closed out during the period.
5. Brokerage Commissions represents the total amount of all brokerage
commissions and clearing fees paid on all trades liquidated during the
period or accrued on open positions at the end of the period.
6. Net Realized Profit (Loss) equals the sum of Gross Realized Profit (Loss)
minus Brokerage Commissions.
7. Changes in Unrealized Profit (Loss) represents the change in unrealized
profits or losses on the quoted market value of unliquidated positions at
the end of each period. A negative number signifies either a decrease in
unrealized profits or an increase in unrealized losses; a positive number
signifies either an increase in unrealized profits or a decrease in
unrealized losses.
8. Interest Income represents interest received and accrued during the month.
9. Incentive Fees represents a charge of 28% of the trading profits as of the
end of each quarter. If trading profits for a quarter are negative it
constitutes a carryforward loss for the beginning of the next fiscal
quarter. No Incentive Fees are payable until future trading profits for the
ensuing quarter exceed carryforward loss. Commencing September 1990, the
fund changed trading advisors and fees paid to 2% management fee and 20%
incentive fee.
10. Other Expenses represents Operating Expenses other than Incentive Fees.
Included in the Other Expenses for August and September 1988 is
reimbursement of organization and offering expenses which were advanced by
the General Partners. The reimbursement amount is equal to interest income
earned on the Funds assets. The amounts for August, September, October,
November and December are $12,907.70, $2,594.87, $2,683.51, $2,732.83 and
$2,271.09 respectively.
11. Net Performance equals Net Realized Profit (Loss) plus change in Unrealized
Profit (Loss) plus Interest Income, minus Management Fees, Incentive Fees
and Other Expenses.
12. Ending Equity represents Beginning Equity plus Additions minus Withdrawals
plus or minus Net Performance.
13. Rate of Return is calculated by dividing Net Performance by Beginning
Equity, except for the first period where Net Performance is divided by
Additions.
14. The Value of a Unit Investment is calculated by dividing the Ending Equity
by the number of Units outstanding at the end of the month. At the end of
each month the amount shown in this column is equal to the net asset value
per unit at month end. The first amount shown in this column includes
reductions for selling commissions and organization and offering expenses
as well as an adjustment for trading results in that month.
15. Number of Units outstanding at the end of the month.
</TABLE>
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BROKERAGE ARRANGEMENTS
THE CLEARING BROKER
The Clearing Broker, Cargill Investor Services, Inc., executes and clears the
Fund's futures transactions and provides other brokerage-related services. The
Clearing Broker is a Delaware corporation. Its principal office is located at
233 South Wacker Drive, Suite 2300, Chicago, Illinois 60606. It has offices and
affiliated offices at numerous other locations in the United States as well as
in England, France, Switzerland, Australia and the Far East. The clients of the
Clearing Broker include commercial and financial institutions that use the
futures markets for risk management purposes as well as private investors. The
Clearing Broker has more than 550 employees. The Clearing Broker is a
wholly-owned, but separately managed, subsidiary of Cargill, Incorporated, a
privately-owned international merchant, warehouser, processor and transporter of
agricultural and other bulk commodities that was founded in 1865.
The Clearing Broker is a clearing member of all of the principal futures
exchanges in the United States and is a clearing broker or has clearing
relationships on all major world futures exchanges. It is registered with the
CFTC as a futures commission merchant and is a member of NFA. Certain employees
of the Clearing Broker are members of U.S. futures exchanges and may serve on
the governing bodies and standing committees of those exchanges and their
clearing houses. In that capacity, these employees have a fiduciary duty to the
exchanges and would be required to act in the best interests of such exchanges,
even if that action might be adverse to the interests of the Fund.
Cargill, Incorporated owns and operates grain elevators and soybean processing
plants that are designated as regular warehouses for delivery of certain
physical commodities in satisfaction of futures contracts under the rules of the
Chicago Board of Trade and similar rules of other U.S. futures exchanges. If the
Fund makes or accepts delivery of grain or soybean products pursuant to a
futures contract, it is possible that, under exchange rules governing settlement
of the contract, the Fund may tender or receive negotiable warehouse receipts
issued by Cargill, Incorporated.
Cargill, Incorporated and its affiliates are substantial users of virtually all
futures contracts for hedging purposes. Such hedging transactions are generally
implemented by employees of Cargill, Incorporated and the Clearing Broker
generally executes or clears those transactions. The volume of trading by
Cargill, Incorporated and its affiliates is likely to result in their competing
with the Fund for futures market positions. Thus, in certain instances, the
Clearing Broker may have orders for trades from the Fund and from Cargill,
Incorporated or its affiliates, and the Clearing Broker might be deemed to have
a conflict of interest between the sequence in which such orders will be
transmitted to the trading floors of futures exchanges. In order to assure
impartial treatment for such orders, the Clearing Broker has an operating policy
of transmitting orders to the trading floors in the sequence received regardless
of which entity has placed the order. The Fund might enter into trades in which
the other party is Cargill, Incorporated or one of its affiliates. It is
possible that the hedging and cash operations of Cargill, Incorporated or
trading by its affiliates may adversely affect the Fund. Records of such trading
will not be made available to Limited Partners. It is possible that these
entities may take positions either similar or opposite to positions taken by the
Fund and that the Fund and these entities may compete for similar positions in
the futures markets. No officers, directors or employees of the Clearing Broker
or its affiliates will trade futures speculatively for their own accounts.
In the ordinary course of its business, the Clearing Broker is engaged in civil
litigation and subject to administrative proceedings which, in the aggregate,
are not expected to have a material effect upon its condition, financial or
otherwise, or the services it will render to the Fund. Neither the Clearing
Broker nor any of its principals have been the subject of any material
administrative, civil or criminal action within the five years preceding the
date of this Prospectus.
The Fund and the Clearing Broker have entered into a Commodity Brokerage
Agreement that provides that, for as long as the Fund maintains an account with
the Clearing Broker, the Clearing Broker will execute trades for the Fund upon
instructions of the Trading Advisors and, effective the first business day of
the month beginning after the initial closing of this offering, will receive a
brokerage commission rate equal to $35 (plus NFA, exchange and clearing fees and
any differential for non-U.S. exchanges, if applicable) per round turn trade.
The Clearing Broker will reallow $20 of each round turn trade commission to
American Express Financial Advisors Inc. in its capacity as Introducing Broker
for the Fund, as described below under the heading "Introducing Broker." If in
the future the Fund pays less than $35 for each round trade, the Clearing Broker
and the Introducing Broker may receive amounts in proportions that differ from
the current allocation. The Commodity Brokerage Agreement is terminable
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on 60 days notice by either party. Should the Fund choose not to renew this
agreement with the Clearing Broker, no assurance may be given that the Fund will
be able to retain the brokerage services of another clearing broker at the same
commission rate. Further, no assurance is given that the Clearing Broker or the
Fund will continue the agreement at the same commission rate. In addition, under
the Amended and Restated Limited Partnership Agreement, Limited Partners owning
more than 50% of the outstanding Units may cause the Fund to terminate the
Commodity Brokerage Agreement. The Clearing Broker is responsible for
transaction execution and clearance of futures contracts (and options, if
traded) as well as for certain administrative duties such as recordkeeping,
transmittal of confirmation statements and calculating equity balance and margin
requirements for the Fund's account. That agreement provides that the Clearing
Broker will not be liable to the Fund except for bad faith or negligence.
The Fund's assets are and will continue to be deposited with Cargill Investor
Services, Inc. in its capacity as the Fund's Clearing Broker. The Clearing
Broker pays monthly to the Fund interest on 100% of its average monthly net
assets on deposit at the Clearing Broker at a rate equal to 90% of the average
90 day Treasury bill rate for Treasury bills issued during that month. The
Clearing Broker receives and retains any increment of interest earned on the
assets of the Fund in excess of the amount paid to the Fund.
THE INTRODUCING BROKER
A summary of the operations of American Express Financial Advisors Inc. is set
forth under the caption "Plan of Distribution." American Express Financial
Advisors Inc. is compensated, in its capacity as Introducing Broker, at a rate
of $20 per round turn, which amount it receives from the Clearing Broker as a
reallowance of a portion of brokerage commissions which are paid by the Fund to
the Clearing Broker for executing trades for the Fund. See "The Clearing
Broker." American Express Financial Advisors Inc. receives such commissions for
its ongoing services to the Fund and to the Limited Partners. Such services
include (1) responding to inquiries from Limited Partners from time to time as
to the Net Asset Value of the Fund's Units; (2) providing information to the
Limited Partners concerning the futures markets and the Fund's activities; (3)
responding to inquiries of Limited Partners related to the Fund's monthly
account statements, annual reports, financial statements, and annual tax
information provided periodically to the Limited Partners; (4) providing
information to Limited Partners regarding redemptions of Units; (5) assisting
Limited Partners in redeeming Units; and (6) providing other services requested
from time to time by Limited Partners. Prospective investors should be aware
that, in receiving a portion of the commodity brokerage commissions generated by
the Fund and allocable to outstanding Units, American Express Financial Advisors
Inc. has a conflict in performing certain services to the Limited Partners,
particularly as to whether or not they should redeem Units. See "Conflicts of
Interest." A description of proceedings involving the Introducing Broker and its
principals appears under "Plan of Distribution."
THE FOREIGN CURRENCY BROKER
CIS Financial Services, Inc. ("CISFS") will act as the Fund's forward contract
broker and in that capacity will arrange for the Fund to contract directly for
forward transactions in foreign currencies. CISFS is a Delaware corporation that
is a wholly-owned subsidiary of CIS Holdings, Inc. CISFS is a direct participant
in the interbank market for foreign currencies. In that capacity it buys and
sells foreign currencies for its customers through direct counterparty
transactions with other participants in the interbank market. CISFS has
established substantial lines of credit with banks participating in the
interbank market, and CISFS will make those lines of credit available to the
Fund for its own currency transactions. In these transactions, the Fund will act
as a principal in each transaction entered into with a bank, and CISFS will act
only as the Fund's agent in brokering these transactions.
GLOSSARY
The following glossary may assist the prospective investor in understanding the
terms used in this Prospectus. It should be noted preliminarily that commodity
futures contracts are made on or through a commodity exchange, and provide for
future delivery of agricultural and industrial commodities, foreign currencies
and financial instruments as well as for cash settlement for certain contracts.
Such contracts are uniform for each commodity and vary only with respect to
price and delivery time. A commodity futures contract to accept delivery (buy)
is referred to as a "long" contract; conversely, a contract to make delivery
(sell) is referred to as a "short" contract. A long contract may generally be
satisfied either by taking delivery of the commodity and paying the entire
purchase price therefor or by offsetting the contractual obligation prior to
delivery through the acquisition of a corresponding short contract on the same
exchange. Likewise, a short contract may generally be satisfied either by making
delivery of the commodity (usually by tendering warehouse receipts, shipping
certificates or similar documents of
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title) or by acquiring a corresponding long contract on the same exchange.
However, certain contracts must be settled in cash by holders of both long and
short contracts if they are not closed out by acquisition of an offsetting
contract prior to expiration of the contract. Contracts based on stock indexes,
for example, are settled in cash rather than by delivery. Commodity exchanges
provide a clearing mechanism to facilitate the matching of offsetting trades.
Until a commodity futures contract is satisfied by delivery or offset it is said
to be an "open" position.
Commodity futures contracts are but one category of commodity trading as it
currently exists in the United States. Two other categories of commodity
transactions are "spot" contracts and "forward" contracts. Both of these are
varieties of cash commodity transactions, as opposed to futures transactions, in
that they relate to the purchase and sale of specified actual physical
commodities. Whereas futures contracts are generally uniform except for price
and delivery time, cash commodity contracts may differ from each other with
respect to such terms as quantity, grade, mode of shipment, terms of payment,
penalties, risk of loss and the like. Spot contracts are generally cash
commodity contracts for the purchase and sale of a specific physical commodity
for immediate delivery. Forward contracts are cash commodity contracts for the
purchase and sale of a specific physical commodity for delivery at some future
time under terms and conditions specifically negotiated by the parties. Cash
commodity transactions may arise in conjunction with commodity futures
transactions. For example, if the holder of a long contract satisfies it by
taking delivery of the commodity, such holder is said to have a cash commodity
position. This cash position, if it is not to be used or processed by the
holder, may be sold through spot or forward contracts, or delivered in
satisfaction of a commodity futures contract. Other terms used herein include
the following:
AFFILIATED PURCHASER. A representative or employee of the Selling Agent or
certain of its corporate affiliates who purchase Units.
AFFILIATE. A person that directly or indirectly controls, or is controlled by,
or is under common control with another person; a person that directly or
indirectly owns, controls or holds power to vote 10% or more of the outstanding
voting securities of another person; a person 10% or more of whose outstanding
voting securities are directly or indirectly owned, controlled or held by
another person; any officer, director or partner of another person; or if a
person is an officer, director or partner, any second person for which the first
person acts in such capacity. The affiliates of the General Partners include
American Express Financial Advisors Inc., the Fund's Selling Agent and
Introducing Broker, and Cargill Investor Services, Inc., the Fund's Clearing
Broker, as well as their respective directors and officers.
CAPITAL CONTRIBUTION. The payment by a Limited Partner of the purchase price for
Units of Limited Partnership Interest or the payment by the General Partners for
Units of General Partnership Interest.
CLEARING BROKER. A member of various organized commodity exchanges and of
related clearing houses of such exchanges. Services performed by a clearing
broker include the clearance and settlement of transactions, ordering executions
on the floor and various back-office type functions. Cargill Investor Services,
Inc. will act as the clearing broker for the Fund on exchanges of which it is a
member and, on exchanges of which it is not a member, will cause the Fund's
commodity transactions to be executed and cleared by clearing brokers of such
exchanges.
COMMISSION. The fee charged by a broker for executing and clearing a trade for a
customer. Effective the first business day of the month beginning after the
initial closing of this offering, the Fund pays a $35 commission (plus NFA,
exchange, and clearing fees) for each transaction executed for the Fund.
Commissions are charged to the Fund on a "round turn" basis, i.e., only upon the
closing of an open position. The Clearing Broker receives $15 (44%), and the
Introducing Broker $20 (56%), of each $35 round turn commission paid by the
Fund. For purposes of calculating the Fund's Net Asset Value, the full "round
turn" commission will be recognized at the time an open position is established.
COMMODITY. The term commodity refers to goods, wares, merchandise, produce and
in general everything that is bought and sold in commerce. Out of this large
class, certain commodities, because of their wide distribution, universal
acceptance and marketability in commercial channels, have become the subjects of
trading on various national and international exchanges located in principal
marketing and commercial areas. Traded commodities include grains such as wheat
and corn; soybeans and soybean products (meal and oil); foods such as livestock
and meat, frozen concentrated orange juice, sugar, cocoa and coffee; fibers such
as cotton and lumber; metals such as copper, silver, gold, and platinum;
financial instruments such as Eurodollars, United States Treasury bills and
corporate commercial paper; stock index contracts; foreign currencies such as
British pounds, Canadian dollars, Deutsche marks, Japanese yen, and Swiss
francs; and energy supplies such as petroleum and petroleum products (heating
oil).
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COMMODITY FUTURES TRADING COMMISSION ("CFTC"). An independent regulatory agency
of the United States Government empowered to regulate accounts, agreements and
transactions relating to commodity futures contracts and other commodity
interests under the Commodity Exchange Act, as amended.
COMMODITY POOL OPERATOR. The sponsor or promoter of a commodity pool such as the
Fund. The General Partners are commodity pool operators registered under the
Commodity Exchange Act, as amended.
COMMODITY TRADING ADVISOR. One who for compensation analyzes or makes
recommendations with respect to commodities and commodity trading, or manages
commodity trading for others. The Trading Advisors are commodity trading
advisors registered under the Commodity Exchange Act, as amended.
DAILY PRICE FLUCTUATION LIMIT. The maximum permitted fluctuation (imposed by an
exchange and approved by the CFTC) in the price of a commodity futures contract
for a given commodity that can occur on a commodity exchange on a given day in
relation to the previous day's settlement price, which maximum permitted
fluctuation is subject to change from time to time by the exchange.
DELIVERY. The process of satisfying a commodity futures contract by transferring
ownership of a specified quantity and grade of a cash commodity to the purchaser
thereof or, in the case of futures contracts on stock indices, by cash payment.
EXCHANGE FOR PHYSICAL. An exchange for physical ("EFP") is a transaction
permitted under the rules of many futures exchanges in which two parties holding
futures positions may close out their positions without making an open,
competitive trade on the exchange. Generally, the holder of a short futures
position buys the physical commodity, while the holder of a long futures
position sells the physical commodity. The prices at which such transactions are
executed are negotiated between the parties.
FORWARD CONTRACT. See "Description of Commodity Trading--Commodity Markets."
FUTURES CONTRACT. See "Description of Commodity Trading--Commodity Markets."
HEDGING. See "Description of Commodity Trading--Hedgers and Speculators."
LIMIT ORDER. A trading order which sets a limit on either price or time of
execution or both. Limit orders (as contrasted with stop orders) do not become
market orders.
MARKET ORDER. A trading order to execute a trade at the most favorable available
price as soon as possible.
MARGIN. Good faith deposits with a broker to assure fulfillment of a purchase or
sale of a commodity futures contract. See "Description of Commodity
Trading--Margins."
MARGIN CALL. A demand for additional funds after the initial good faith deposit
required to maintain a customer's account in compliance with the requirements of
a particular commodity exchange or of a commodity broker.
NATIONAL FUTURES ASSOCIATION ("NFA"). The self-regulatory body of the futures
industry, established pursuant to the Commodity Exchange Act, as amended. The
NFA's functions include registration of futures industry professionals, rule
making, arbitration of certain types of disputes and membership audits. The
Clearing Broker, the Introducing Broker, the Trading Advisors and the General
Partners are members of the NFA. See "Description of Commodity Trading
Regulation."
NET ASSET VALUE. See "Charges to the Fund--Certain Definitions."
OPEN POSITION. A contractual commitment arising under a long contract or short
contract that has not been extinguished by an offsetting trade or delivery.
OFFERING EXPENSE CHARGE. Reimbursement for offering expenses (not including
selling commissions) paid to the General Partners out of the proceeds of the
offering.
POSITION LIMIT. The maximum number of commodity futures contracts in one
commodity (or one contract month of a commodity) that can be held or controlled
on a contract market at one time by one person or a group of persons acting
together. Position limits are imposed by the CFTC or the various commodity
exchanges.
PYRAMIDING. As commonly used in the commodity futures industry, the use of
unrealized profits in an existing position to provide margin for the acquisition
of additional commodity futures contracts in the same or a related commodity.
The Fund will not employ pyramiding as a trading technique. See "Trading
Policies."
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ROUND TURN OR ROUND TURN TRADE. A term used in expressing brokerage commission
rates and indicating that a particular quoted rate applies to the sale and
offsetting purchase of a futures contract, or to the purchase and offsetting
sale of a futures contract.
SALES CHARGE. Selling fee paid to American Express Financial Advisors Inc., the
Selling Agent, for the sale of Units out of the proceeds of the offering.
SETTLEMENT PRICE. The price for commodity futures contracts in a particular
commodity established by a clearing house or exchange after the close of each
day's trading.
SPREAD. See Paragraph 9 under "Trading Policies."
STOP ORDER. An order given to a broker to execute a trade in a commodity futures
contract when the market price for the contract reaches the specified stop order
price. Stop orders are utilized in an attempt to protect gains or limit losses
on open positions. Stop orders become market orders when the stop order price is
reached.
UNITS OF GENERAL PARTNERSHIP INTEREST. Units representing the capital
contribution, or a portion thereof, of the General Partners to the Fund.
UNITS OF LIMITED PARTNERSHIP INTEREST. Units representing the interest of a
Limited Partner in the Fund. The General Partners, the Trading Advisors, the
Clearing Broker, the Selling Agent and Introducing Broker and their directors,
officers, shareholders and employees may purchase such Units.
UNREALIZED PROFIT OR LOSS. The profit or loss which would be realized on an open
position if it were closed out at the current settlement price.
DESCRIPTION OF COMMODITY TRADING
(TO BE READ IN CONJUNCTION WITH "GLOSSARY," ABOVE)
The following general description of commodity trading does not purport to be a
complete explanation of the commodity markets or commodity regulation. Because
commodity trading is a rapidly developing economic activity, a potential
investor should consult with independent qualified sources of investment advice
before determining to invest in the Units.
COMMODITY MARKETS
Commodity futures contracts are but one category of commodity trading as it
currently exists in the United States. It is important to note that trading in
commodity futures contracts involves trading in standardized contracts for
future delivery of commodities and not the buying and selling of particular lots
of commodities. Futures contracts should be distinguished from two other
categories of commodity transactions: "spot" contracts and "forward" contracts.
Both of these are varieties of cash commodity transactions, as opposed to
futures transactions, in that they relate to the purchase and sale of specific
actual physical commodities. Whereas futures contracts are generally uniform
except for price and delivery time, cash commodity contracts may differ from
each other with respect to such terms as quantity, grade, mode of shipment,
terms of payment, penalties, risk of loss and the like. Spot contracts are
generally cash commodity contracts for the purchase and sale of a specific
physical commodity for immediately delivery. Forward contracts are cash
commodity contracts for the purchase and sale of a specific physical commodity
for delivery at some future time under the terms and conditions specifically
negotiated by the parties. For example, forward contracts on foreign currencies
may be purchased or sold for future delivery through banks. In such instances,
the bank generally acts as a principal in the transaction and includes its
anticipated profit and costs of the transaction in the price it quotes for such
forward contracts on foreign currencies.
Cash commodity transactions may arise in conjunction with commodity futures
transactions. For example, if the holder of a long contract satisfies it by
taking delivery of the commodity, such holder is said to have a cash commodity
position. This cash position, if it is not to be used or processed by the
holder, may be sold through spot or forward contracts, or delivered in
satisfaction of a commodity futures contract.
In addition, options on futures contracts are traded on commodity exchanges. An
option on a futures contract gives the purchaser of the option the right (but
not the obligation) to take a position at a specified price (the "striking,"
"strike" or "exercise" price) in the underlying futures contract. A "call"
option gives the purchaser the right to take a long position in the underlying
futures contract, and the purchaser of a "put" option acquires the right to take
a short position in the underlying contract. The purchase price of an option is
referred to as its "premium." The seller (or "writer") of an option is obligated
to take a futures position at a specified price if the option is
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exercised. In the case of a call option, the seller must stand ready to take a
short position in the underlying futures contract at the striking price if the
option is exercised. A seller of a put option, on the other hand, stands ready
to take a long position in the underlying futures contract at the striking price
if the option is exercised.
A call option on a futures contract is said to be "in-the-money" if the striking
price is below current market levels and "out-of-the-money" if such price is
above current market levels. Similarly, a put option on a futures contract is
said to be "in-the-money" if the striking price is above current market levels
and to be "out-of-the-money" if the striking price is below current market
levels.
Options have limited life spans, usually tied to the delivery or settlement date
of the underlying futures contract. Some options, however, expire significantly
in advance of such date. An option that is "out-of-the-money" and not offset by
the time it expires becomes worthless. On certain exchanges, "in-the-money"
options are automatically exercised on their expiration date, but on others
unexercised options simply become worthless after their expiration date. Options
usually trade at a premium above their intrinsic value (the difference between
the market price for the underlying futures contract and the striking price). As
an option nears its expiration date, the market and intrinsic value typically
move into parity. The difference between an option's intrinsic and its market
value is referred to as the "time value" of the option.
The use of interrelated options and futures positions can provide an additional
means of risk management and permit a trader to retain a futures position in the
hope of additional appreciation in that position, while at the same time
allowing the trader to limit the possible adverse effects of a decline in the
position's value through purchasing an option permitting the offsetting of such
position at a pre-established price.
HEDGERS AND SPECULATORS
Two broad classifications of persons who trade in commodity futures contracts
are "hedgers" and "speculators." Hedgers use the futures markets for protection
against certain risks of price variation and include commercial interests who
market or process commodities as well as entities who manage other risks, such
as risks relating to interest rate fluctuation. For example, a seller or
processor is subject to the risk of market price fluctuations between the time
it contracts to sell or process a commodity and the time it must perform on the
contract. In such cases, at the time of the contract, it may simultaneously buy
futures contracts for the necessary equivalent quantity of the commodity it
needs or sell a futures contract for the equivalent commodity it intends to
market at some later date. For example, a cattle feeder may buy a corn contract
for delivery as much as several months ahead and simultaneously sell a cattle
contract that could be satisfied by the delivery of its herd, with the objective
of relieving itself of exposure to price variations in either its raw material
or ultimate market product. Similarly, a farmer may hedge against price
fluctuations between the day he plants his crop and the day it is ready for
delivery. If the futures price quoted for its anticipated date of delivery is
sufficient to cover its costs and leave it a profit it deems adequate, he can
sell the futures contract, and deliver the crop in the local market and close
out the futures position by purchasing a futures contract. In these examples,
the hedger may either make or take delivery in satisfaction of its futures
contract, or else close the position prior to delivery and buy or sell the
necessary equivalent amount of the physical commodity. (Certain futures
contracts, such as stock index futures contracts, are settled in cash rather
than by actual physical delivery of any underlying commodity). In either case,
the price of the commodity is established at the time the hedger initiates his
futures position. Thus, the commodity futures markets enable the hedger to shift
certain risks of price fluctuations to the speculator. The usual objective of
the hedger is to protect the profit which it expects to earn from its farming,
merchandising or processing operations, rather than to profit from its futures
trading.
The speculator, unlike the hedger, generally expects neither to deliver nor
receive the physical commodity. Instead the speculator risks its capital with
the hope of making profits from price fluctuations in commodity futures
contracts. The speculator is, in effect, the risk bearer and assumes the risks
which the hedger seeks to avoid. Speculators rarely take delivery of the
physical commodity but close out their futures positions by entering into
offsetting purchases or sales of futures contracts. Because the speculator may
take either a long or short position in the commodity futures market, it is
possible for it to make profits or incur losses regardless of the direction of
price trends. Futures trades made by the Fund will be speculative, rather than
for hedging purposes. Prospective investors should note that there are always
two parties to a commodity futures contract. If one party to such contract
experiences a gain on the contract, the other party to such contract experiences
an equal amount of loss. Thus, at most, only fifty percent of open futures
contracts can experience gain at any one time, without reference to the
commissions and other costs of trading which may reduce or eliminate such a
gain.
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COMMODITY PRICES
The prices of commodities fluctuate rapidly and over wide ranges, and are listed
in major daily newspapers and financial journals. Except for the effect of
government policies and programs, commodity prices are generally determined by
the interaction of supply and demand. The market is subject to the many
psychological factors working on each buyer and seller, as well as to crop
conditions, deflation or inflation, strikes (especially in the transportation
and commodity storage industries), world conditions, war or threats of war,
interest rates and other factors. Any prediction of commodity prices is
necessarily subject to all of these and other factors, any one of which can
change at any time. Notwithstanding that current and correct information as to
substantially all factors is known, prices still may not react as predicted.
Some of the other factors which affect commodity prices include a country's
balance of payments (surplus or deficit), political stability, treaties,
government policies, international monetary agreements and exchange controls.
Under past federal economic stabilization programs, maximum prices at which
commodities could be traded were imposed. Although no such regulations are
currently in effect, no assurance can be given that price restrictions will not
be imposed again.
COMPETITION
Both the rules of the various exchanges and those of the CFTC are designed to
promote free competition and to restrict manipulative and distortive pricing
practices in the purchase and sale of commodities for future delivery. Countless
hedgers and speculators, many of whom have assets greatly in excess of the
assets of the Fund should the maximum amount of this offering be subscribed,
offer and bid for the available supply of traded commodities. Since the Trading
Advisors manage accounts other than the Fund's, those accounts will compete with
the Fund for the same contracts. See "Risk Factors--Reliance on Trading
Advisors." Thus, were market volume or liquidity to remain static or be reduced,
the Fund may experience greater difficulty in executing trades at a favorable
price or in executing all the contracts called for in an order. See "Conflicts
of Interest."
REGULATION
Commodity exchanges provide centralized market facilities for trading in futures
contracts relating to specified commodities. Among the principal exchanges in
the United States are the Chicago Board of Trade and the Chicago Mercantile
Exchange (including the International Monetary Market Division). Among the
principal foreign commodity exchanges are the London Metal Exchange and the
London International Financial Futures Exchange. In the trading of forward
contracts on foreign currencies with banks, the banks act as principals and may
cover their net long or short positions by trading with other banks in the
interbank market.
Congress has enacted legislation regulating commodity trading, commodity
exchanges, individual brokers who are members of such exchanges, and market
professionals and commodity brokerage houses engaged in commodity trading. The
controlling legislation, known as the Commodity Exchange Act, as amended
("Act"), is generally designed to promote the orderly and systematic marketing
of commodities and commodity futures contracts and to prevent fraud, speculative
excess and price manipulation. The Commodity Futures Trading Commission Act of
1974 amended the Act by making numerous changes in the law relating to commodity
futures contract trading and increasing the scope of governmental regulation
thereof. Under the 1974 amendments to the Act, the CFTC is the governmental
agency having responsibility for implementing the objectives of the Act and for
regulating commodity exchanges and commodity futures trading thereon.
The NFA is a non-governmental, self-regulatory body for the futures industry.
The objective of the NFA is to implement a comprehensive regulatory program for
the commodities industry, with special attention devoted to the uniform
regulation of the retail activities of its members. The NFA is generally
responsible for the registration of futures commission merchants, floor brokers,
introducing brokers, associated persons, commodity trading advisors and
commodity pool operators. Pursuant to a provision of the Commodity Exchange Act
permitting a registered futures association to require membership of CFTC
registrants in one such association, the by-laws of the NFA prohibit certain
members of the NFA from accepting futures orders from another person required to
be registered with the CFTC (except a direct customer) unless such other person
belongs to either the NFA or another registered futures association. The
Clearing Broker, the Introducing Broker, the General Partners and the Trading
Advisors are members of the NFA.
Under the Act, futures trading in all commodities traded on United States
exchanges is regulated. The Act provides that domestic commodity futures
exchanges must be designated as "contract markets" by the CFTC. Transactions in
spot or forward contracts or on foreign exchanges may not be within the
jurisdiction of the CFTC and to the
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extent the Fund engages in such transactions it may be dealing in "unregulated"
commodities. Forward contracts on foreign currencies are traded through banks,
which are regulated in various ways by federal banking agencies, such as the
Federal Reserve Board and the Comptroller of the Currency, and state banking
authorities.
The Act is implemented by rules and regulations promulgated by the CFTC and NFA
providing for, among other things: (i) the designation of contract markets; (ii)
the monitoring of commodity exchange rules; (iii) speculative position limits
(see "Glossary"); (iv) segregation of customers' funds; (v) minimum financial
requirements; (vi) recordkeeping and reporting requirements; and (vii)
registration and periodic audits of commodity market professionals, including
floor brokers, brokerage houses ("futures commission merchants"), introducing
brokers, commodity trading advisors, commodity pool operators and their
associated persons. In addition, the CFTC has administrative authority to: (i)
hear and adjudicate customer complaints against all individuals and firms
registered or subject to registration under the Act in "reparations
proceedings;" (ii) seek injunctions and restraining orders; (iii) issue orders
to cease and desist; (iv) initiate disciplinary proceedings; (v) revoke or
suspend registrations; (vi) levy fines; and (vii) require exchange action in the
event of market emergencies.
The Act makes unlawful any device, scheme or artifice to defraud any current or
prospective client or participant in a commodity pool and prohibits any
transaction, practice or course of business which operates as a fraud or deceit
upon any current or prospective client or pool participant. The CFTC and NFA
have extensive jurisdiction to regulate commodity trading advisors and commodity
pool operators, and have adopted a comprehensive scheme for the regulation of
their activities. In accordance with the Act, the Trading Advisors are
registered as commodity trading advisors and the General Partners are registered
as commodity pool operators. SUCH REGISTRATIONS IN NO WAY IMPLY THAT THE CFTC OR
NFA HAS APPROVED THE QUALIFICATIONS OF SUCH ENTITIES TO ACT AS DESCRIBED IN THIS
PROSPECTUS OR THE BUSINESS ACTIVITIES ENGAGED IN BY SUCH ENTITIES. The CFTC
requires registered commodity trading advisors and commodity pool operators to
make filings with the CFTC setting forth their form of organization and the
identity of their management and controlling persons. The Act authorizes the
CFTC and NFA to require and review books, records and documents prepared by
commodity trading advisors and commodity pool operators. The CFTC requires a
commodity pool operator to keep accurate, current and orderly records with
respect to each pool it operates. The Act authorizes the NFA to deny, suspend or
revoke the registration of a commodity trading advisor or a commodity pool
operator if it finds that such person's trading practices tend to disrupt
orderly market conditions, that such person or any controlling person thereof
has been subject to certain sanctions or is subject to an order denying such
person trading privileges on any exchange and in certain other circumstances. If
the registration of both General Partners were to be suspended or terminated,
the Fund would no longer be able to trade until a substitute general partner or
partners could be duly elected and registered as a commodity pool operator(s).
If the registration of a Trading Advisor were similarly suspended or terminated,
that Trading Advisor would no longer be permitted by the General Partners to
advise the Fund.
Under currently effective CFTC rules, the General Partners are obligated to make
specific disclosures to prospective investors, including disclosures concerning
the risks involved in investing in the Fund and concerning the past trading
performance, if any, of the General Partners, the Trading Advisors and their
principals; to segregate the Fund's monies and assets in a separate account or
accounts; to maintain certain books and records; and to render monthly account
statements and an annual report to the Limited Partners. Upon request by the
CFTC, the names and addresses of the Limited Partners in the Fund would be
required to be furnished to the CFTC, along with copies of all transactions
with, and reports and other communications to, the Limited Partners.
Cargill Investor Services, Inc., the Fund's commodity broker, is subject to
regulation by and registration with the CFTC as a "futures commission merchant."
The CFTC requires all futures commission merchants to meet and maintain
specified fitness and financial requirements, comply with certain trading
requirements, account separately for all customers' funds and positions and
maintain specified books and records on customer transactions open to inspection
by the representatives of the CFTC. Should the registration of Cargill Investor
Services, Inc. as a futures commission merchant be suspended or terminated, the
Fund would no longer be able to maintain its account with Cargill Investor
Services, Inc. and a new clearing broker would be retained by the General
Partners.
Limited Partners are afforded certain rights to institute reparations
proceedings under the Act. The CFTC has adopted rules implementing the
reparation provisions of the Act which provide that any person may file a
reparation claim with the CFTC for violation of the Act, or rules, regulations
and orders promulgated thereunder, against a floor broker, a futures commission
merchant and its associated persons, a commodity trading advisor or a commodity
pool operator. Limited Partners are also afforded certain rights under the rules
of the NFA concerning arbitration of complaints or grievances against NFA
members.
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Commodity exchanges have promulgated rules and regulations to control and
regulate their members and clearing houses as well as the trading conducted on
their floors. Examples of exchange regulations include establishment of initial
and maintenance margins, speculative position limits, limits on daily price
fluctuations and contract specifications. Such rules and regulations relating to
terms and conditions of contracts of sale or to other trading requirements,
other than the setting of margins, must be approved by the CFTC and, under
certain circumstances, may be required by the CFTC to be amended or modified.
Most United States commodity exchanges (but currently not certain non-U.S.
exchanges, or banks in the case of forward contracts on foreign currencies)
limit the amount of fluctuation in commodity futures contract prices during a
single trading day by regulations. These regulations specify what are referred
to as "daily price fluctuation limits" or "daily limits." The daily limits
establish the maximum amount the price of a futures contract may vary either up
or down from the previous day's settlement price at the end of the trading
session. Once the daily limit has been reached in a particular commodity, no
trades may be made at a price beyond the limit. Positions in the commodity could
then be taken or liquidated only if traders are willing to effect trades at or
within the limit during the period for trading on such day. Because the "daily
limit" rule only governs price movement for a particular trading day, it does
not limit losses. In the past, futures prices have moved the daily limit for
numerous consecutive trading days and thereby prevented prompt liquidation of
futures positions on one side of the market, subjecting commodity futures
traders holding such positions to substantial losses for those days. See "Risk
Factors-- Commodity Futures Markets May Be Illiquid."
The CFTC and domestic exchanges have established speculative position limits,
often referred to as "position limits," on the maximum net long or net short
position which any person, or group of persons acting in concert, may hold or
control in commodity futures contracts. See "Glossary." Speculative position
limits are designed to prevent excessive speculation and attempted manipulation
of a market. If the CFTC determines that a market emergency exists, it is
authorized, among other things, to set retroactively speculation position limits
that apply to a position acquired prior to the date of that action. These limits
are subject to certain exemptions, such as bona fide hedging transactions. The
position limits currently established by the CFTC include those applicable to
grains, soybeans, and cotton. In addition, domestic exchanges have established
position limits with respect to other commodities traded on those exchanges.
Certain New York exchanges set limits on the total net position that may be held
by a clearing broker. Under the Act, the CFTC has jurisdiction to establish
position limits with respect to all commodities traded on commodity futures
exchanges located in the United States. The CFTC adopted a rule which requires
commodity exchanges to impose position limits on all commodities traded on the
exchange (other than commodities subject to federally established speculative
limits). All commodity accounts, including that of the Fund, controlled by a
Trading Advisor and its affiliates are combined for speculative position limit
purposes. It is possible that the Fund's account might be aggregated with other
accounts that might hereafter be managed by the General Partners or their
officers, directors, affiliates or shareholders for purposes of determining
speculative position limits. If required or effected, such aggregation of
commodity futures positions could adversely affect the operations and
profitability of the Fund. See "Risk Factors--Effects of Speculative Position
Limits."
Although the CFTC is prohibited by statute from regulating trading on foreign
commodity markets, the CFTC has adopted rules with respect to the regulation of
persons outside the U.S. engaging in foreign futures and options transactions
(i.e., transactions in futures and options on non-U.S. exchanges) with persons
in the United States and has also published a statement concerning its
jurisdiction in the foreign currency forward market. Previously, the marketing
of foreign futures in the United States was substantially unregulated while the
sale of foreign options was prohibited. These relatively new rules permit, for
the first time since 1978, foreign options to be offered and sold in the United
States, subject to prior CFTC approval. Notwithstanding the foregoing, the CFTC
does not regulate the activities of foreign exchanges or the cash forward
market. See "Risk Factors" for the risks associated with the foregoing
transactions.
The regulation of commodities transactions in the United States is a rapidly
changing area of law and the various regulatory procedures described herein are
subject to modification by United States Congressional action, changes in CFTC
rules and amendments to exchange regulations and NFA regulations. For example,
given the growing proliferation of stock index products, there is a tendency for
stock index trading to affect the stock market itself. As a result, it has been
suggested that various commodities and securities exchanges amend their
contracts to try and cut down on stock index-related price movements,
particularly when various stock index contracts expire simultaneously. Exchanges
also may be required to lower their speculative positions limits during the
trading days immediately prior to contract expirations, and also may be required
to alter their price settlement procedures. It is also possible that additional
regulatory controls will be imposed in the future by the CFTC and/or the SEC.
The Act also gives the various states powers to enforce its provisions and the
regulations of the CFTC.
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The CFTC by law must be reauthorized periodically by Congress or lapse. On April
21, 1995, a new appropriations bill was enacted which reauthroized the CFTC
through fiscal year 2000.
The CFTC does not regulate futures trading on exchanges outside of the United
States (see "Commodity Futures Trading Commission Foreign Futures and Foreign
Options Risk Disclosure Statement"), forward contracts with banks or
transactions in physical commodities generally. No regulatory scheme currently
exists in relation to the foreign currency forward market, except for regulation
of general banking activities and exchange controls in the various jurisdictions
where trading occurs or in which the currency originates. Moreover, neither
foreign commodity exchanges nor foreign banks currently are subject to
regulation by the CFTC or any other United States governmental agency, and may
not be subject to any regulation. Foreign commodity exchanges differ in certain
respects from their United States counterparts. In contrast to the United States
exchanges on which the exchange or an affiliated clearing corporation assumes
the opposite side of each transaction, certain foreign exchanges are "principal"
markets where trades remain the liability only of the traders involved.
Some foreign exchanges also have no position limits, with each dealer
establishing the size of the positions it will permit traders to hold. To the
extent that the Fund will engage in transactions on foreign exchanges, it will
be subject to the risk of fluctuations in the exchange rate between the native
currencies of any foreign exchange on which it trades and the United States
dollar (which risks may be hedged by the Fund) and the possibility that exchange
controls could be imposed in the future. For example, trading in stock index
contracts on the Hong Kong Exchange was suspended for a considerable period as a
result of the market turbulence of October 1987 (considerably longer than the
suspensions experienced in the United States stock index trading). There is no
limitation on daily price moves on forward contracts in foreign currencies
traded through banks, brokers or dealers. While margin calls are not required by
foreign exchanges, the Fund may be subject to daily margin calls in foreign
markets. The Fund may in the future engage in option transactions on foreign
exchanges.
The Fund, under current law, is not subject to registration as an investment
company with the SEC under the Investment Company Act of 1940. See "RISK
FACTORS--ABSENCE OF REGULATION APPLICABLE TO SECURITIES MUTUAL FUNDS AND THEIR
ADVISORS." Generally, that law and the regulations promulgated pursuant to it
apply to "MUTUAL FUNDS" and comparable investment vehicles which trade and
invest in securities, e.g., stocks and bonds. Because the trading activities of
the Fund will be restricted, pursuant to its trading policies, to commodity
interests, it is not subject to regulation as an investment company. See
"Trading Policies." However, the Fund is subject to regulation under the
Securities Exchange Act of 1934, and regulations promulgated thereunder, which
are administered by the SEC. The Fund is subject to certain continuing
disclosure and periodic reporting requirements that provide for the preparation
of quarterly and annual reports, as well as reports dealing with any material
modifications in or development related to the Fund's organization or
activities. All of these reports required to be filed with the SEC are publicly
available and may be inspected without charge at the public reference facilities
maintained by the SEC in Washington, D.C., and copies thereof may be obtained
from the SEC at its office in Washington, D.C. upon payment of the prescribed
fees.
MARGINS
Margins are good faith deposits which must be deposited with a broker in order
to initiate or maintain an open position in a commodity futures contract. When
commodity futures contracts are traded, both buyer and seller are required to
post margins with the brokers handling their trades as security for the
performance of their buying and selling undertakings and to offset losses in
their trades due to daily fluctuations in the markets. Minimum margins are set
by commodity exchanges and generally range from less than 1% to 20% of the value
of the commodity underlying the contract. Because of these low margins, price
fluctuations occurring in commodity futures markets may create profits and
losses which are greater than are customary in other forms of investment or
speculation.
Margins with respect to transactions on certain foreign exchanges generally are
established by member firms rather than by the exchanges themselves. However, in
the case of International Commodity Clearing House Limited ("ICCH") cleared
transactions, ICCH (as the independent clearing house) requires margins and
deposits from its members and such members generally require their clients to
put up amounts at least equal to the ICCH charges.
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Brokerage firms, including the Clearing Broker, carrying accounts for traders in
commodity futures contracts may increase the amount of margin required as a
matter of policy in order to accord further protection for themselves. Margin
requirements may be altered from time to time by the Clearing Broker and can be
made to apply retroactively at the discretion of the Clearing Broker. In
addition, applicable margin requirements are modified from time to time by
commodity exchanges.
If the Fund trades forward contracts on foreign currencies through banks, the
Foreign Currency Broker will require margin from the Fund with respect to such
trading. The margin (or collateral) levels established by CISFS are higher than
those required for foreign currency futures contracts on the International
Monetary Market of the Chicago Mercantile Exchange. This is because the risk is
different for forward contracts.
Unlike futures trading, there are no clearing houses which guarantee the
performance of each trade. There is a one to one counterparty risk between the
contracting parties. Further, the market risk in an unregulated market is
different from that in a regulated, standard contract market.
TRADING POLICIES
The objective of the Fund is to achieve substantial appreciation of its assets
through speculative trading in commodity interests, including futures contracts,
forward contracts, physical commodities and related options thereon on major
United States and certain foreign commodity exchanges and in the interbank
forward markets. Commodity interests may include any instruments and items which
are now, or may hereafter be, the subject of futures trading, such as physical
commodities, Treasury bills, mortgage-backed securities, foreign currencies,
options and indexes on securities. The Fund will attempt to accomplish its
objective by following the Trading Policies set forth below:
(i) Fund assets will be invested only in futures contracts which are traded in
sufficient volume to permit, in the independent opinions of the Trading
Advisors, ease of taking and liquidating positions. The Trading Advisors may at
any time independently determine to expand or reduce the number of commodity
interests traded by that portion of the Fund's assets under their control.
(ii) No Trading Advisor will acquire on behalf of the Fund additional positions
in any commodity if such additional positions, when added to the existing open
positions initiated by the Trading Advisor, would result in a net long or short
position for that commodity requiring as margin or premiums more than 15% of the
Fund's assets allocated to that Trading Advisor's management. For purposes of
implementing this policy, soybeans will be treated as one commodity and soybean
oil and soybean meal will be treated together as one commodity.
(iii) The Fund will not normally be as highly leveraged as permitted in the case
of an investment by an individual. On the basis of information supplied by the
Trading Advisors, the General Partners estimate that between 20% and 60% of the
Fund's assets will normally be committed as initial margin (although the
percentage may be more or less than such range from time to time). This
requirement may be changed and, to reduce the Clearing Broker's risk, additional
restrictions on the leverage of the Fund may be imposed by the Clearing Broker
without notice at any time.
(iv) No Trading Advisor will acquire on behalf of the Fund additional positions
in any commodity interest if such additional positions, when added to the
existing open positions initiated by the Trading Advisor, would result in
aggregate net long or short positions (including any forward contracts) for all
commodities requiring as margin or premiums more than 66 2/3% of the Fund's
assets allocated to that Trading Advisor's management.
(v) The Fund will not generally enter into an open position for a particular
commodity during a delivery month for that commodity. However, the Fund may
occasionally make or accept delivery of a commodity. This may occur because a
Trading Advisor's trading strategies may, from time to time, identify certain
trends which occur in delivery months which can be taken advantage of by the
Fund. The Fund may take delivery of a commodity and take a corresponding short
position in the commodity by selling futures contracts for the commodity. The
Fund will not engage in cash commodity transactions, except as indicated above,
unless the cash position is hedged.
(vi) The Fund will not employ the trading technique, commonly known as
"pyramiding," in which the speculator uses unrealized profits on existing
positions as margin for the purchase or sale of additional positions in the same
or a related commodity. However, a Trading Advisor may take into account the
Fund's open trade equity in assets of the Fund in determining whether to acquire
additional commodity futures contracts on behalf of the Fund.
(vii) The Fund will not purchase, sell or trade in securities or write,
purchase, sell or trade in options to purchase or sell securities, commodity
futures contracts or physical commodities unless such options have been approved
for
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trading on a designated contract market by the CFTC. The Fund may trade in
foreign options if permitted under the Commodity Exchange Act, as amended, and
CFTC regulations, but only when and to the extent authorized in writing by the
General Partners to the Trading Advisors. The Fund may trade in futures
contracts on securities.
(viii) The Fund will not generally utilize borrowings, except for short-term
borrowings where the Fund takes delivery of any cash commodity or to the extent
that the Fund's Clearing Broker obtains lines of credit for the trading of
forward contracts with banks. The Fund will not make any loans.
(ix) A Trading Advisor may, from time to time, employ trading techniques such as
spreads or straddles on behalf of the Fund. The term "spread" or "straddle"
describes a transaction involving the simultaneous buying and selling of
commodity interests dealing with the same or a different commodity interest but
involving different delivery dates or markets, and in which the trader expects
to earn profits from a widening or narrowing movement of the two prices of the
commodity interests. See "Federal Income Tax Considerations--Partnership
Taxation: Allocation of Fund Profits and Losses" for a discussion of the tax
effects of such trading.
(x) The Fund may trade in futures contracts on foreign currencies through
foreign and domestic commodity exchanges, including the International Monetary
Market Division of the Chicago Mercantile Exchange. The Fund may also establish
positions in foreign currencies through banks or in the interbank market.
Forward contracts on foreign currencies will be transacted only with banks
having in excess of $100,000,000 in combined capital and surplus. No specific
limitation on the percentage or amount of forward contracts, if any, engaged in
by the Fund has been imposed.
(xi) The Fund's assets will not be commingled with the assets of any other
person; funds used to satisfy margin requirements will not be considered
commingled for this purpose.
(xii) No Trading Advisor to the Fund will be permitted to engage in churning the
Fund's assets (i.e., direct excessive trading for the purpose of generating
brokerage commissions without regard for the best interests of the Fund).
(xiii) No rebates or give ups may be paid to or received by the General
Partners, nor may the General Partners participate in any reciprocal business
arrangements which could circumvent this prohibition, but retention of Cargill
Investor Services, Inc. to act as the Fund's clearing broker and the retention
of American Express Financial Advisors Inc. to act as the Fund's introducing
broker shall not be deemed to violate this prohibition.
If Net Asset Value per Unit (as defined under "Charges to the Fund-Certain
Definitions") declines to less than $125 (after adding back any distributions
made previously by the Fund to the Limited Partners), at the close of business
on any trading day, the Fund will attempt to close out all open positions as
expeditiously as possible and suspend trading. No assurance can be or is given
that the Fund would be able to close out all open positions without incurring
substantial additional losses.
Within ten business days after the date of suspension of trading due to a
decrease in Net Asset Value per Unit below $125 (after adding back any
distributions), the General Partners must either give notice to the Limited
Partners of their intention to withdraw from the Fund, or declare a business day
within 30 business days from the date of suspension of trading to be a special
redemption date. Notice of a special redemption date must be sent to each
Limited Partner at least ten business days before such date. Any Limited Partner
who elects to have his or her Units redeemed on a special redemption date will
receive from the Fund for each Unit redeemed an amount equal to the Net Asset
Value per Unit determined as of the close of business on the special redemption
date. See "Redemptions." If after the special redemption date the Fund's Net
Asset Value is at least $500,000, it will resume trading, unless the General
Partners elect to withdraw from the Fund. Notwithstanding the foregoing, the
Fund will terminate in the event of a decline of the Fund's Net Asset Value to
less than $500,000 as of the close of business on any trading day. In addition,
each Limited Partner will be notified within seven business days from the date
of any decline in the Net Asset Value per Unit to less than 50% of the Net Asset
Value per Unit as of the last preceding business day on which the Fund's Net
Asset Value was calculated, and shall at that time be provided with a
description of Limited Partners' voting rights.
Material changes in the Trading Policies described above must be approved by a
vote of a majority of the outstanding Units (including Units held by
representatives and employees of the Selling Agent and of its corporate
affiliates but not including Units held by the General Partners or their
corporate affiliates). A change in commodities traded, however, will not be
deemed to be a material change in the Trading Policies. In the event the
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General Partners shall, in their sole discretion, using their prudent business
judgment, determine that any trading instructions issued by a Trading Advisor
violate the Trading Policies of the Fund, then the General Partners may negate
such trading instructions.
The Fund will conform in all respects to the rules, regulations and guidelines
of the commodity exchanges on which its trades are executed. Neither the Chicago
Board of Trade nor any other commodity exchange will endorse or approve any
program, practice or offering of the Fund, or of any other commodity pool.
Trading may take place on any United States commodity exchange which has
received designation as a contract market by the CFTC. It is currently
anticipated that a substantial portion of the Fund's trading will take place on
the Chicago Board of Trade, the Chicago Mercantile Exchange, Commodity Exchange,
Inc., the New York Mercantile Exchange, the New York Coffee, Sugar & Cocoa
Exchange, Inc., New York Futures Exchange and the New York Cotton Exchange. In
addition, trading may take place on foreign commodity exchanges which have not
received designation as contract markets by the CFTC.
THE TRADING ADVISORS
Two firms have acted as the Fund's commodity trading advisors since the Fund
began trading: John W. Henry & Co., Inc. ("JWH") and Sabre Fund Management
Limited ("Sabre"). Collectively, the two advisors are sometimes referred to as
the "Trading Advisors." The Trading Advisors were selected by the General
Partners on the basis of their review of the past performance of each of the
Trading Advisors and their respective trading methods. Each Trading Advisor was
initially allocated one half of the Fund's assets to manage. On February 7,
1991, the Fund's assets were reallocated in order to adjust the then-current
allocation so that each Trading Advisor had an equal portion of the Fund's
assets to manage. As of the date of this Prospectus John W. Henry & Co., Inc.
managed approximately ___% of the Fund's assets and Sabre Fund Management
Limited managed approximately ___% of the Fund's assets. The General Partners
currently intend that each Trading Advisor be allocated an equal portion of the
Fund's assets raised in connection with this offering. The Trading Advisors are
independent commodity trading advisors and are not affiliated with each other,
either General Partner, the Clearing Broker, the Introducing Broker or the Fund.
Each Trading Advisor will direct trading for the Fund completely independently
of the other Trading Advisor, and will have no knowledge of trading decisions
being made by the other Trading Advisor. Each Trading Advisor is registered
under the Commodity Exchange Act, as amended, as a commodity trading advisor,
and is a member in good standing of the NFA. Although a Trading Advisor or its
principals may purchase Units in the Fund, there are no arrangements or
commitments for any of them to purchase Units.
There have been no material civil, administrative or criminal proceedings
against either of the Trading Advisors or their respective principals pending,
completed or on appeal during the five years preceding the date of this
Prospectus.
Each of the Trading Advisors is described in the following sections of the
Prospectus. Following the description of each Trading Advisor is a summary of
the trading methods employed by it. Those summaries have been developed by the
Trading Advisors, and accordingly represent only those aspects of each trading
method deemed by the respective Trading Advisors to be worthy of emphasis. In
addition, a summary of a Trading Advisor may include information about certain
aspects of the operation or implementation of its trading program which may in
practice be similar to the trading program of the other Trading Advisor but are
not mentioned or emphasized in that Trading Advisor's summary. The Trading
Advisors' respective trading methods are proprietary and confidential, and
therefore the summaries presented hereafter are general and do not include
specific details about them. In addition, the Trading Advisors engage in ongoing
research concerning the commodity interests markets and may modify and refine
their trading methods from time to time. As a result of such modifications, the
trading methods that might be used by the Trading Advisors in the future in
directing trading for the Fund might differ from those presently used by them.
Investors in the Fund will not be advised of such changes in trading methods.
Trading methods require the exercise of judgment by each Trading Advisor.
Judgment is required in the evaluation of the trading methods used by each
Trading Advisor, in the evaluation and consideration of modifications of the
trading methods from time to time, and in the implementation of the trading
methods. The decision not to trade certain commodity interests or not to make
certain trades may at times result in missing price moves and, therefore,
profits of great magnitude, which other trading managers who are willing to
trade those commodity interests may be able to capture. There can be no
assurance that the trading methods employed by either Trading Advisor will
result in profitable trading for the Fund.
The performance of the Trading Advisors is presented under "Past Performance of
the Trading Advisors."
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THE ADVISORY CONTRACT
The Fund has entered into an Advisory Contract with the Trading Advisors. The
contract provides that the Trading Advisors will have sole responsibility for
determining transactions in commodity interests with respect to Fund assets. The
General Partners currently intend that each Trading Advisor will be allocated an
equal portion of the Fund's assets raised in connection with this offering, but
at any time thereafter the General Partners, in their sole discretion, may
reallocate assets among the Trading Advisors or among other trading advisors
which may be appointed by them. The Advisory Contract was entered into on March
27, 1987 and has been renewed each year since then. On January 23, 1992, the
Advisory Contract was amended to provide for the continuation of the Trading
Advisors' services to the Fund. The current Advisory Contract, as amended, was
renewed on June 30, 1994 for an additional year. On June 30, 1995 the existing
Advisory Contract permits another such extension. The Advisory Contract may be
terminated if certain specified events occur which would affect a Trading
Advisor's ability to render advisory services. The Advisory Contract may also be
terminated by the General Partners upon notice for cause. A Trading Advisor may
terminate the Advisory Contract if certain specified events occur, or on 60 days
written notice to the General Partners during any renewal term. John W. Henry &
Co., Inc. may terminate the Advisory Contract at any time upon 60 days written
notice to the General Partners. The Advisory Contract will terminate
automatically if the Fund is terminated.
No assurance is given that, after the expiration or termination of the Advisory
Contract, the Fund will be able to retain the advisory services of the same
Trading Advisors or that if such services are available they will be on the same
terms as those of the initial Advisory Contract. The General Partners may, in
their sole discretion, employ additional trading advisors or replace existing
trading advisors. Upon termination or expiration of the Advisory Contract, the
Fund may retain other advisors whose compensation may be determined without
regard to the previous performance of the Fund, or it may renew its Advisory
Contract with the Trading Advisors on the same or different terms. The
compensation payable by the Fund to each Trading Advisor for its services under
the Advisory Contract is described under the caption "Charges to the Fund."
A Trading Advisor, its principals and employees will not be liable to the Fund,
its partners, any of its successors or assigns or the General Partners except by
reason of acts or omissions due to bad faith, misconduct, negligence or for not
having acted in good faith in the reasonable belief that its actions were taken
in, or not opposed to, the best interests of the Fund. The Fund will indemnify a
Trading Advisor, its principals and employees to the full extent permitted by
law for any liability incurred in connection with any acts or omissions related
to such Trading Advisor's management of its allocable share of Fund assets,
provided that there has been no judicial determination that such liability was
the result of negligence, misconduct or bad faith nor any judicial determination
that the conduct which was the basis for such liability was not done in a good
faith belief that it was in, or not opposed to, the best interests of the Fund.
Any such indemnification involving a material amount, unless ordered or
expressly permitted by a court, will be made by the Fund only upon the opinion
of mutually acceptable independent legal counsel that the Trading Advisor has
met the applicable standard of conduct described above. A Trading Advisor could
be liable to the Fund for any excessive trading directed by it for the Fund if
one of the above standards for liability were violated. However, it may be
difficult to establish as a basis for liability that trading has been excessive
due to the vagueness of the standards defining excessive trading; most cases
that have addressed the issue of excessive trading have dealt with cases in
which the party with discretionary trading authority over an account also was
compensated (at least in part) for such service by receipt of a portion of
commodity brokerage commissions payable by that account, so that the trader had
a direct financial incentive to engage in heavy trading. In contrast, the
Trading Advisors are not affiliated with the Clearing Broker and will not
receive any compensation based on or related to the brokerage commissions
payable by the Fund. In addition, it may also be difficult to establish that
trading directed for the Fund has been excessive due to the broad trading
discretion granted to the Trading Advisors in the Advisory Contract.
The Advisory Contract prohibits a Trading Advisor from receiving any commission,
compensation, remuneration or payment whatever from any broker with whom the
Fund carries any account by reason of the Fund's transactions. The Fund will pay
each Trading Advisor a quarterly incentive fee and a monthly management fee as
described under "Charges to the Fund."
Each Trading Advisor and its principals, affiliates and employees shall be free
to trade for their own accounts and to manage other commodity accounts during
the term of the Advisory Contract and to use the same information and trading
strategy which the Trading Advisor obtains, produces or utilizes in the
performance of services for the Fund. See "Risk Factors--Reliance on Trading
Advisors" and "Conflicts of Interest--Other Commodity Pools and Accounts."
Limited Partners will not be allowed to inspect the records of such accounts in
light of the confidential
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nature of such records. However, the Advisory Contract provides that the General
Partners may inspect all the records of a Trading Advisor related to commodity
trading to determine whether the Fund has been treated equitably with other
accounts of the Trading Advisor. The General Partners shall have the right to
receive from a Trading Advisor pertinent information on the overall performance
of all of the Trading Advisor's accounts for the purpose of confirming that the
Fund has been treated equitably in light of the Trading Advisor's trading for
other accounts during the term of the Advisory Contract, including information
as to priorities of order entry assigned by the Trading Advisor to all its
accounts and any modifications which might have to be made to the Trading
Advisor's trading decisions as a result of the application of speculative
position limits to its accounts. See "Risk Factors--Reliance on Trading
Advisors" and "Description of Commodity Trading--Regulation."
COMMODITY TRADING METHODS IN GENERAL
This section contains a general description of commodity trading methods to
assist the reader in understanding the subsequent discussions of the trading
methods used by each Trading Advisor. Because of the general nature of this
section, it should not be inferred that any element of a trading system
described here will necessarily be followed by either of the Trading Advisors.
Commodity futures traders basically rely on one of two types of
analysis--"technical" or "fundamental"--for their trading decisions. Technical
analysis is based on the theory that a study of the markets themselves will
provide a means of anticipating the external factors that affect the supply and
demand of a particular commodity in order to predict future prices. On the other
hand, fundamental analysis relies on a study of those external factors. As an
example with respect to an agricultural commodity, some of the fundamental
factors that affect the supply of soybeans include the acreage planted, crop
conditions (drought, flood, disease, etc.), labor disputes affecting planting,
harvesting, and distribution, and the previous year's crop carryover. The demand
for soybeans consists of domestic usage and exports, which are affected by
general world economic conditions and the cost of soybeans in relation to the
cost of competing food products. As an example with respect to currency, some of
the fundamental factors that affect the demand for a currency, e.g., British
pounds, include the inflation and interest rates of the currency's domestic
market, exchange controls, and that country's balance of trade, business, and
political stability. The supply of a currency can be determined by, among other
things, government spending, credit controls, domestic money supply and prior
years' trade balances.
Technical analysis of the markets generally includes a study of, among other
things, the actual daily, weekly and monthly price fluctuations, volume
variations, or changes in open interest, utilizing charts, computers, or a
combination of the two for analysis of these items. Such approaches to the
commodity futures markets may use a series of mathematical measurements and
calculations designed to monitor market activity for the particular strategies
used. Trading recommendations are based on signals generated by charts, manual
calculations or computers. As an example with respect to a financial commodity,
one set of procedures might evaluate the following factors, among others, on a
daily basis: (1) the price trends of a financial commodity and the levels at
which to initiate new positions and terminate old positions; (2) the volatility
that the particular financial commodity has displayed in the past; (3) the
condition of the market of the financial commodity being traded in terms of
whether it is a trending market or an erratic and non-trending market; and (4)
the state of the financial commodity markets in terms of determining the proper
points for initiating new positions and allowing increases in existing
commitments.
At the end of each trading day, a trader using a technical trading system
generally obtains settlement and other price information for each commodity
which its system follows. This price information is used to generate a series of
trading signals. If a trading system is maintained on a computer, the prices
will be entered into the computer and a program, which consists of a series of
mathematical calculations. If the trading system does not operate on a computer,
the trader will manually apply such information to a series of rules or
equations which constitute its trading system. Certain trading systems signal
the trend in each commodity followed and indicate any changes in such trend,
thus permitting the trader to adjust his or her positions accordingly. In other
types of trading systems, the trading system will indicate an exact price at
which to open and close positions for each commodity followed and the trader
will attempt to enter or exit positions in accordance with such prices.
JOHN W. HENRY & CO., INC.
John W. Henry & Company began managing assets in 1981 as a sole proprietorship
and was incorporated as John W. Henry & Co., Inc. ("JWH"), a California
corporation, in 1982 to conduct business as a commodity trading advisor. JWH's
registration as a commodity trading advisor became effective in February 1982
and its registration
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as a commodity pool operator became effective in July 1989. JWH is a member of
the NFA in these capacities. The sole shareholder of JWH is The John W. Henry
Trust dated July 27, 1990. The offices of JWH are located in Boca Raton, Florida
and Westport, Connecticut.
Mr. John W. Henry is Chairman of the JWH Board of Directors and is trustee and
sole beneficiary of the John W. Henry Trust dated July 27, 1990. He currently
concentrates his activities at JWH on portfolio management, business issues and
frequent dialogue with trading supervisors. Mr. Henry is the exclusive owner of
certain trading systems licensed to Elysian Licensing Corporation, a corporation
wholly owned by Mr. Henry and sublicensed by Elysian Licensing Corporation to
JWH and utilized by JWH in managing client accounts. Over the last ten years,
Mr. Henry has developed many innovative investment programs which have enabled
JWH to become one of the most successful money managers in the foreign exchange,
futures and fixed income markets.
Mr. Henry has served on the Board of Directors of the National Association of
Futures Trading Advisors and on the Nominating Committee of the National Futures
Association. Mr. Henry also has served on the Board of Directors of the Managed
Futures Trade Association and currently serves on the Board of Directors of the
Futures Industry Association. In 1989, Mr. Henry established residency in
Florida, and since that time has performed services from that location as well
as from the offices of JWH in Westport, Connecticut. Mr. Henry is a principal of
Westport Capital Management Corporation, Global Capital Management Limited and
JWH Investments, Inc., all of which are affiliates of JWH. Since the beginning
of 1987, Mr. Henry has, and will continue to devote considerable time to
business activities unrelated to JWH and its affiliates.
Mr. Bruce I. Nemirow is the President of JWH, President of Westport Capital
Management Corporation, President of JWH Investments, Inc., and President and
Chairman of the Board of Directors of Global Capital Management Limited.
Effective July 7, 1995, Mr. Nemirow will resign from his positions with JWH and
its affiliates. Mr. Nemirow currently serves as a Director of the Managed
Futures Association and is Co-Chairman of its Membership Committee. Mr. Nemirow
joined JWH in March 1990 as Senior Vice President and Director of Sales and
Marketing, and beginning January 1992, was Executive Vice President of JWH.
Prior to joining JWH, Mr. Nemirow was Senior Vice President and National Sales
Manager for Capital Markets Products at Shearson Lehman Hutton. He received his
B.A. from Rutgers University.
Mr. Mark H. Mitchell is Executive Vice President and a member of the Operating
Committee of JWH. Prior to joining employment at JWH in January 1994, Mr.
Mitchell was a partner of Chapman and Cutler, a Chicago law firm, where he
headed its futures law practice since August 1983. From August 1980 to March
1991, he served as General Counsel of the National Association of Futures
Trading Advisors and, from March 1991 to December 1993, he served as General
Counsel of the Managed Futures Association. Mr. Mitchell is currently a member
of the Government Relations Committee of the Managed Futures Association, the
Commodity Pool Operator/Commodity Trading Advisor Committee and the Special
Committee for the Review of a Multi-tiered Regulatory Approach to NFA Rules,
both of the NFA, and the Executive Committee of the Law and Compliance Division
of the Futures Industry Association and Compliance Division of the Futures
Industry Association. In 1985, he received the Richard P. Donchian Award for
Outstanding Contributions to the Field of Commodity Money Management. He has
been an editor of FUTURES INTERNATIONAL LAW LETTER and its predecessor
publication, COMMODITIES LAW LETTER. He received an A.B. with honors from
Dartmouth College and a J.D. from the University of California at Los Angeles,
where he was named to the Order of the Coif, the national legal honorary
society.
Mr. Peter F. Karpen is a Managing Director and a member of the Operating
Committee of JWH (NFA registration pending). Mr. Karpen is also President and
Director of Westport Capital Management Corporation (NFA registration pending).
Mr. Karpen joined JWH in June 1995 from CS First Boston where he was Director of
Futures and Options since 1988 and Vice President since 1981. Mr. Karpen has
been a member of the board of the Futures Industry Association since 1984 and a
member of its Executive Committee since 1988. In addition, he is a Trustee of
the Futures Industry Institute, a Public Director of the New York Cotton
Exchange and serves on the CFTC's Financial Products Advisory Committee. Mr.
Karpen was Chairman of the FIA from 1994-1995. He has been a member of the
CFTC's Regulatory Coordination Advisory Committee and a member of several
commodities and securities exchanges in the United States. He received his BA
from Boston University and MBA from Boston College.
Mr. James E. Johnson, Jr. is Chief Financial Officer and Chief Administrative
Officer for JWH. He also serves as a member of the company's Operating
Committee. Mr. Johnson joined JWH in May of 1995 from Bankers Trust Company
where he was Managing Director and Chief Financial Officer for their
Institutional Asset Management Division since January 1983. His areas of
responsibility included finance, operations and technology for the
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$160 billion global asset advisor. Prior to joining Bankers Trust, Mr. Johnson
was a Product Manager at American Express Company responsible for research and
market strategies for the Gold Card. He received a BA with honors from Columbia
University and an MBA in Finance and Marketing from New York University.
Ms. Elizabeth A.M. Kenton is a Senior Vice President, Director of Compliance,
and a member of the Operating Committee of JWH. Since joining JWH in March 1989,
Ms. Kenton has held positions of increasing responsibility in Research and
Development, Administration and Regulatory Compliance. Ms. Kenton is also a
Director and Treasurer of Westport Capital Management Corporation, the Executive
Vice President of JWH Investment Advisory Services, Inc., and a Director of
Global Capital Management Limited since September 30, 1993. Prior to her
employment at JWH, Ms. Kenton was Associate Manager of Financial and Trading
Operations at Krieger Investments, a currency and commodity trading firm. From
July 1987 to September 1988, Ms. Kenton worked for Bankers Trust Company as a
Product Specialist for foreign exchange and treasury options trading. She
received a B.S. in Finance from Ithaca College.
Ms. Mary Beth Hardy is Vice President, Manager of Trading Administration, and a
member of the Operating Committee of JWH. Since joining JWH in September 1990,
Ms. Hardy has held positions of increasing responsibility in Research and
Development and Trading. Prior to her employment at JWH, Ms. Hardy held the
position of Associate Editor at Waters Information Services, a publishing
company, where she wrote weekly articles covering technological advances in the
securities and futures markets. Prior to joining Waters in 1989, Ms. Hardy was
at Shearson Lehman Brothers Inc. ("Shearson") where she held the position of
Assistant Director of the Managed Futures Trading Department. Prior to that, Ms.
Hardy was an institutional salesperson for Shearson, in a group specializing in
financial futures and options. Previously, Ms. Hardy was an institutional
salesperson for Donaldson, Lufkin and Jenrette with a group which also
specialized in financial futures and options. Ms. Hardy is a member of the
Managed Futures Association's Trading and Markets committee. She received a
B.B.A. in Finance from Pace University.
Mr. Michael J. Scoyni is the Managing Director of JWH and a principal of
Westport Capital Management Corporation. Mr. Scoyni has been associated with Mr.
Henry since 1974 and with JWH since 1982. He was engaged in research and
development for John W. Henry & Company (the predecessor of JWH) from November
1981 to December 1982. Mr. Scoyni has been employed by JWH since 1982 in
positions of increasing responsibility. He received a B.A. in Anthropolgy from
California State University in 1974.
Mr. Thomas C. Bozarth, C.P.A., is a Senior Vice President and the Director of
Research and Development for JWH. Mr. Bozarth joined JWH in February 1987 as
Vice President responsible for the day-to-day administration of finance,
accounting, research and product development. Prior to his association with JWH,
Mr. Bozarth actively provided management, financial and accounting support as a
consultant to various companies in the mergers/ acquisition and petroleum
industries. From 1982 to 1984, Mr. Bozarth was the Finance Manager for the
Middle Eastern subsidiary of Alexander and Alexander, an international insurance
brokerage firm in Riyadh, Saudi Arabia. Prior to 1982, Mr. Bozarth was
self-employed as a Certified Public Accountant, after working two years with
Price Waterhouse & Co. He earned his B.S. in Business Administration from the
University of Southern California.
Mr. Jack M. Ryng, C.P.A., joined JWH as the Controller in November 1991. He is
also Secretary and Chief Financial Officer of JWH Investments, Inc. Prior to
that time, he was a Senior Manager with Deloitte & Touche where he held
positions of increasing responsibility since September of 1985 of commodities
and securities industry clients. His clients included the largest commodity pool
operator in the United States along with other broker/dealers, futures
commission merchants, investment banks, and foreign exchange operations in the
areas of accounting regulatory compliance and consulting. Prior to his
employment by the Financial Services Center of Touche Ross & Co. (the
predecessor firm of Deloitte & Touche), he worked for Leonard Rosen & Co. as a
senior accountant. Mr. Ryng is a member of AICPA and the New York C.P.A.
Society. He received a B.S. in Business Administration from Duquesne University.
Mr. Kevin S. Koshi is a Senior Vice President and Chief Trader of JWH,
responsible for the supervision and administration of all aspects of order
execution strategies and implementation of trading policies and procedures. Mr.
Koshi joined JWH in August 1988 as a professional in the Finance department, and
since 1990 has held positions of increasing responsibility in the Trading
department. He received a B.S. in Finance from California State University at
Long Beach in 1988.
Mr. Michael D. Gould is Director of Sales at JWH. He is responsible for general
business development and oversees the investor services function. He joined JWH
in April 1994 from Smith Barney Inc. where he served as Senior Sales Manager and
Vice President-Futures for the Managed Futures Department. He held the identical
position
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with the predecessor firms of Shearson Lehman Bros. and Lehman Bros. Prior to
that time, he was engaged in a proprietary trader development program at Tricon
USA from September 1990 to October 1991. He was a registered financial
consultant with Merrill Lynch from 1985 through August 1990. His professional
career began in 1982 as an owner-operator of a non-ferrous metals trading and
export business which he ran until September 1985. He attended the Indiana
University School of Business.
Mr. Edwin B. Twist is a Director of JWH and has held that position since August
1993. Mr. Twist joined JWH as Internal Projects Manager in September 1991. Mr.
Twist's responsibilities include assistance in the day-to-day administration of
JWH's Florida office and internal projects. Mr. Twist was Secretary and
Treasurer of J.W. Henry Enterprises Corp., a Florida corporation engaged in
administrative and financial consulting services, for which he performed
financial, consulting and administrative services from January 1991 to August
1991. Prior to his employment with JWH, Mr. Twist was an owner and manager for
16 years of a 2,500 acre commercial farm in eastern Arkansas.
Ms. Glenda G. Twist is a Director of JWH and has held that position since August
1993. Ms. Twist joined JWH in September 1991 with responsibilities for corporate
liaison and she continues her duties in that area. Her responsibilities include
assistance in the day-to-day administration of the Florida office, and review
and compilation of financial information for JWH. Ms. Twist was President of
J.W. Henry Enterprises Corp., for which she performed financial, consulting and
administrative services from January 1991 to August 1991. From 1988 to 1990, Ms.
Twist was Executive Director of Cities in Schools, a program in Arkansas
designed to prevent students from leaving school before completing their high
school education. She received her B.S. in Education from Arkansas State
University.
JWH, its principals and its employees may trade for their own accounts. Such
trading may or may not be in accordance with the trading system described below.
The results of such trading will be available for inspection by the General
Partners, but not by the individual Limited Partners.
THE JWH TRADING METHOD
JWH employs several trading methods in directing trading for clients' accounts.
All of these methods are technical in nature, and generally operate in the
manner described for technical trading methods under "Commodity Trading Methods
in General," above.
All of the trading methods employed by JWH are operated as completely separate
and independent trading systems. In directing trading for the Fund, JWH will
employ, and has employed, the Financial and Metals Portfolio.
Researched throughout 1983, a systematic method was first traded in a format
using solely financial and metals futures in August 1984. That program, the
Financial and Metals Portfolio, which uses an intermediate term, technical,
trend following system, participates in four major market sectors--interest
rates, world currencies, stock indices and precious metals--and initiates trades
according to trend emergence and computerized determination of relative risk.
This is the program which JWH implements for the Fund.
The Financial and Metals Portfolio may take along, short or neutral positions in
up to 38 markets within the four market sectors traded, may use stop orders and
generally commits 35% and 60% of equity to margin on open positions. Because
assets are concentrated in interest rates, currencies, stock indices and metals
only, volatility can be higher than in a more diversified portfolio.
JWH TRADING POLICIES
TRADING TECHNIQUES
The technical trading methods of JWH are long-term trend-following systems,
guided by a proprietary set of mathematical formulas that provide signals for
trading decisions integrated within a strict money-management framework.
JWH trading techniques focus on long-term trends rather than day-to-day
fluctuations. Positions held for two to four months are not unusual, and
positions have been held for more than one year. Historically, only 30 - 40
percent of all trades have been profitable. Large profits on a few trades in
positions that typically exist for several months have produced favorable
overall results. Generally, the majority of losing trades have been liquidated
within weeks. The maximum equity retracement JWH has experienced in any single
program was nearly 60 percent. Clients should understand that similar or greater
drawdowns are possible in the future.
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JWH as its sole discretion may override computer-generated trading signals, and
may at times use discretion in the application of its trading systems which may
affect performance positively or negatively. Subjective aspects of JWH's trading
methods also include the determination of portfolio leverage, commencement of
trading in an account, contracts traded, contract month selection, margin
utilization, and effective trade execution.
PROGRAM MODIFICATIONS
In an effort to maintain and improve trading performance, JWH has engaged, and
continues to engage in a extensive program of research. While the basic
parameters underlying the firm's trading approach have remained intact
throughout its history, the potential benefits of employing more than one
trading parameter alternatively, or in varying combinations, is a subject of
continual testing, review and evaluation. Extensive research and analysis may
suggest substitution of alternative parameters with respect to particular
contracts in light of relative differences in historical trading performance
achieved through use of testing different parameters. In addition, risk
management research and analysis may suggest modifications regarding the
relative weighting among various futures, the addition or deletion of particular
contracts for a program or a change in the degree of leverage employed.
As capital in each JWH trading program increases, additional emphasis and
weighting may be placed on certain markets which have historically demonstrated
the greatest liquidity and profitability. Furthermore, the weighting of capital
committed to various markets in the trading programs is dynamic, and JWH may
vary the weighting at its discretion as market conditions, liquidity, position
limit considerations and other factors warrant. Clients will not be informed of
changes.
LEVERAGE
Leverage adjustments have been and continue to be an integral part of JWH's
trading methods. At its discretion, JWH may adjust leverage in certain markets
or entire trading programs. Leverage adjustments may be made at certain times
for some trading programs but not for others. Factors which may affect the
decision to adjust leverage include: ongoing research, portfolio volatility,
current market volatility, risk exposure, and subjective judgment and evaluation
of these and other general market conditions. Such decisions to change leverage
may positively or negatively affect performance, and will alter risk exposure
for an account. Leverage adjustments may lead to greater profits or losses, more
frequent or larger margin calls, and greater brokerage expense. JWH reserves the
right, in its sole discretion, to adjust its leverage policy without
notification to investors. No assurance is given that such actions will be to
the financial advantage of JWH clients.
As a result of the factors mentioned above, on several occasions, JWH has
decreased leverage over the last five years, in certain markets and entire
trading programs. These actions have reduced the volatility of certain trading
programs when compared to the volatility prior to the decreases in leverage.
While historical returns represent actual performance achieved, investors should
be aware that the degree of leverage currently utilized may be significantly
different from that used during previous time periods.
ADDITIONS, REDEMPTIONS AND REALLOCATION OF CAPITAL FOR COMMODITY POOL OR FUND
ACCOUNTS
JWH has developed procedures for trading fund accounts that provide for the
addition, redemption and/or reallocation of capital. Investors who purchase or
redeem units in a fund are most frequently permitted to do so at a price equal
to the net asset value per unit on the close of business on the last business
day of the month or quarter. Further, funds may reallocate capital among
advisors at the close of business on the last business day of the month. In
order to provide market exposure commensurate with equity in the account on the
date of these transactions JWH's practice is to adjust positions as near to the
close of business on the last trading date of the month as possible. The
intention is to provide for additions, redemptions and reallocations at a net
asset value per unit that will be the same for each of these transactions and to
eliminate possible variation in net asset value per unit that could occur as a
result of inter-day price changes when additions are calculated on the first day
of the subsequent month. Therefore, JWH may, in its sole discretion, adjust its
trading of the assets associated with the addition, redemption and reallocation
of capital as near as possible to the close of business on the last trading day
of the month to reflect the amount then available for trading. Based on JWH's
determination of liquidity or other market conditions, JWH may decide to
commence trading earlier in the day on, or before, the last business day of the
month. In the case of an addition to a fund account, JWH may also, in its sole
discretion, delay the actual start of trading for those new assets. No assurance
is given that JWH will be able to achieve the objectives described above in
connection with funding level changes. JWH may from time to time trade in
physical or cash commodities for immediate or deferred delivery, including
specifically gold bullion, as well as futures, options, and forward contracts
when it believes that cash markets offer comparable or superior market liquidity
or ability to execute
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transactions at a single price. Cash transactions, as opposed to futures
transactions, relate to the purchase and sale of specific physical commodities.
Whereas futures contracts are generally uniform except for price and delivery
time, cash contracts may differ from each other with respect to such terms as
quantity, grade, mode of shipment, terms of payment, penalties, risk of loss and
the like. There is no limitation on daily price movements of cash or forward
contracts transacted through banks, brokerage firms, or government dealers, and
those entities are not required to continue to make markets in any commodity. In
addition, the CFTC does not comprehensively regulate cash transactions, which
are subject to the risk of these entities' failure or inability or refusal to
perform with respect to such contracts.
OTHER JWH PROGRAMS
In addition to the Financial and Metals Portfolio, JWH currently operates nine
other trading programs for U.S. and foreign investors, none of which will be
utilized by the Fund. With the exception of InterRate-TM-, these programs are
long-term, technical, trend-following systems designed to achieve speculative
rates of return. The Original Investment Program (begun in 1981), uses a
long-term, trend-following reversal system in which positions are held (either
long or short) in every market traded by the program at all times. This program
trades in seven different market sectors trading 20-25 commodities on both U.S.
and non-U.S. exchanges. The KT Diversified Program (begun in 1983) closed in
February 1994. It has participated in 8 market sectors and traded 19-24
commodities only on U.S. exchanges. The World Financial Perspective (begun in
1986) involves trading the financial and energy sector markets from the
perspective of the Japanese yen, German mark, Swiss franc, British pound,
Australian dollar, French franc, Canadian dollar and the U.S. dollar. This
pricing of key global markets in terms of foreign currencies provides a level of
diversification not generally found in futures portfolios. The International
Foreign Exchange Program (begun in 1986), concentrates on trading between 10 to
15 foreign currencies in both outright and cross-rate positions, primarily
through forward contracts. Portfolios are dynamic and include from time to time
various matrices of futures positions. The Global Diversified Portfolio, which
began trading in 1988, expanded the KT Diversified Program to include forward
contracts and a wide range of futures contracts traded on foreign exchanges.
InterRate-TM-, which commenced trading in November 1987, uses a portfolio of
foreign currency contracts that seeks to capture interest rate differentials
between countries. This program utilizes leverage that is significantly lower
than other JWH programs, reducing risk as it seeks to generate returns
significantly enhanced over the rates of prevailing 90-day U.S. government
securities. In February 1991, JWH began trading a portfolio in which the same
trading techniques utilized in the International Foreign Exchange Program are
primarily applied to the currencies of the major industrial nations known as the
"Group of Seven" countries, plus Switzerland. These currencies are among the
most liquid, actively-traded currencies in the world. The G-7 Currency Portfolio
makes use of both outright positions and cross-rate positions. Positions are
primarily taken in the Interbank market, and from time to time on futures
exchanges. The Yen Financial Portfolio, begun in August 1991, uses the same
trading system as the Financial and Metals Portfolio. The Yen Financial
Portfolio concentrates trading specifically in the Japanese Financial markets
trading only the Japanese Yen, the 10-year Japanese Government Bond, the Euroyen
and the Nikkei 225 Stock Index. The International Currency and Bond Portfolio,
begun in January 1993, combines the techniques employed in the G-7 Currency
Portfolio and the global bond sector of the Financial and Metals Portfolio to
make a combined portfolio of currencies and international long-term bonds. The
Global Financial Portfolio, which began trading in June 1994, utilizes the same
long-term, trend-following reversal approach as JWH's first portfolio, the
Original Investment Program. The portfolio is comprised of diverse financial
markets including select global currencies, interest rates and stock indexes, as
well as energy.
All the trading programs make use of proprietary trading formulae which
determine all trading signals. The subjective aspects of the programs include
determination of (a) which futures will comprise each portfolio, (b) in which
contract months to enter positions and (c) how much capital must be available
for a particular program to be applied. The portfolios may be changed in
accordance with JWH's judgment in response to varying market conditions.
The Fund employed the Original Investment Program through October 13, 1989.
SABRE FUND MANAGEMENT LTD.
BACKGROUND
Sabre Fund Management Limited ("Sabre"), a company established under the laws of
England in 1982, has been registered with the CFTC as a commodity trading
advisor and as a commodity pool operator and a member of the
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NFA since September 1984. Sabre has also been a member of the Association of
Futures Brokers and Dealers (the "AFBD") and was regulated by the AFBD until the
merger of that organization in April 1991 with another self-regulatory
organization to form the Securities and Futures Authority which now regulates
Sabre's UK business.
Sabre is one of the longest operating and largest, in terms of both personnel
and of assets under management, of any active UK-based trading advisors. As of
April 30, 1995 Sabre had approximately $180 million in client assets under
management, of which approximately $149 million was being traded pursuant to the
Pattern Recognition System (the "System" or the "PRS System"). Of this $149
million, $10 million was being traded in Financial Accounts and $139 million in
Diversified Accounts.
Sabre specializes in institutional and substantial individual client accounts.
It maintains its office at 55 St. James' Street, London, SW1A 1LA, England, UK
(telephone number 011-44-71-361-2800, telefax number 011-44-71-361-0180).
Inquiries regarding Sabre may be directed to that office.
Sabre is a wholly-owned subsidiary of Sabre Limited, a UK holding company. Peter
Swete, Robin Edwards and Michael Grimme, the principals of Sabre, presently own
100% of the issued share capital of Sabre Limited.
PRINCIPALS AND DIRECTORS
PETER GERALD SWETE, born in 1943, Executive Director. Mr. Swete is responsible
for directing Sabre's marketing. He qualified as a Chartered Accountant with
Touche Ross & Co., Chartered Accountants, in 1970. After gaining further
experience with a computer services company and in financial management, he
spent five years as financial director of the international commodities and
currency research group, Commodities Research Unit Ltd. In January 1981, he
joined G.N.I. Ltd., a UK futures commission merchant, to promote futures
management to institutions, leaving at the end of 1982 to form Sabre.
ROBIN WARWICK EDWARDS, born in 1947, Executive Director. Mr. Edwards is
responsible for directing Sabre's trading activities. He qualified as a
Chartered Accountant in 1970. In 1971, he joined Arthur Andersen & Co.,
Chartered Accountants, in London. During 1975 and 1976, Mr. Edwards managed his
own capital in the futures and currency markets while living in Australia, and
in 1976 he moved to Luxembourg. Mr. Edwards spent three years in Luxembourg
developing the fund management approach now used by Sabre, returning to London
in 1979 to promote his fund management activities to institutions and private
clients. Mr. Edwards and Mr. Swete met in the summer of 1981, and in 1982 Mr.
Edwards joined G.N.I. Ltd. as a manager of the futures trading accounts. At the
end of 1982, he left to form Sabre with Mr. Swete.
MICHAEL J. GRIMME, born in 1956, Executive Director. Mr. Grimme is responsible
for Sabre's strategic direction, trading and marketing. He graduated from the
Univeristy of Delaware with a Bachelor of Science Degree in Mechanical and
Aerospace Engineering in 1978. Mr. Grimme then joined Sun Refining and Marketing
Company in Philadelphia, Pennsylvania and remained with them through the end of
1986, working in numerous capacities (engineering, economics and trading). While
at Sun, Mr. Grimme received a Masters in Business Administration with a
Concentration in Finance from Widener in Chester, Pa. In 1987, he joined Phibro
Energy, one of the largest and most successful trading companies in the world,
in Greenwich, Connecticut. After an initial two year period in Greenwich as a
crude oil trader, in 1989, Mr. Grimme transferred to Zug, Switzerland and
eventually moved the office to London, England as the central headquarters for
all of Philbro Energy trading services in Europe, Africa and the Middle East. He
became Managing Director of this office. In November 1994 Mr. Grimme joined
Sabre.
The rules of the CFTC require that any material civil, criminal or
administrative proceedings brought within the past five years against Sabre or
any of its principals be described in this Disclosure Document. Neither Sabre
nor any of its principals has ever been the subject of any material
administrative, civil or criminal action--pending, settled, or on appeal.
THE SABRE TRADING METHOD
The Sabre Pattern Recognition System is a technical, trend-following system,
trading in a wide range of derivative instruments including agricultural
commodities, equity, bond, interest-rate and currency-related futures and
options contracts primarily in the United States, Europe and Japan. As of April
30, 1995, Sabre Diversified accounts ranged in size from $500,000 to $30,000,000
with an average account size of $8.6 million. Management fees ranged from 0% to
3% and quarterly performance fees ranged from 15% to 25%.
Mr. Swete and Mr. Edwards, principals of Sabre, have worked together since 1981
in refining the technical, trend-following systems used by Mr. Edwards since
1976 and which will be applied by Sabre in directing the investments
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of PRS System Accounts ("Accounts" or "PRS Accounts"). The PRS System relies on
technical analysis (based primarily on chart analysis) and statistical
evaluation of a proprietary database. The System seeks to take positions in
markets in which a major change in prices is perceived to be imminent.
Unlike many technical trading systems, the Sabre trading method employed for the
Accounts does not rely exclusively on computer trading models but combines the
extensive trading skills of principals with the disciplines of the computerized
statistical database.
Sabre generally does not attempt to generate income by realizing small profits
on a large number of trades, but rather attempts to capitalize on more
infrequent, but significant, price movements in order to recognize less numerous
but more substantial profits. Sabre's trading has been and will continue to be
based primarily on technical strategies, using its pattern recognition
technology and experience. The buy and sell signals generated by Sabre's pattern
recognition strategies are not derived from analysis of fundamental factors
affecting commodity prices (for example, weather conditions or the likelihood of
central bank intervention), but rather from evaluation of factors that are
intrinsic to the market itself, such as historical price fluctuations, volume
variations and the past duration of price trends. Such strategies are, in
virtually all instances, the basis on which specific trades (as opposed to more
general decisions relating to position size and the commodity groups to be
traded) are determined.
The computerized analytical model developed by Sabre generates stop-loss levels
and profit objectives from Sabre's database once patterns have been identified
manually. Beginning in December 1991, Sabre began using a computer database of
historic market price movements and patterns which it had compiled over the past
few years. This information was previously prepared manually. This database has
been subjected to detailed statistical analysis using Sabre's in-house computer
programs, and the results of this work are now used extensively as part of the
PRS System. These developments to the System were implemented in December 1991.
For some time (since April 1989), Sabre has been trading Accounts which
emphasized the financial markets. Clients in the past have and will continue to
be able to select the extent to which their Accounts will emphasize different
markets.
The PRS System involves ongoing analysis of periodic price movements in
approximately 60 different futures and forward contracts which are continuously
updated by Sabre using the chart graphics system which it developed for such
purposes. In addition, Sabre maintains an extensive pattern library of both
failed and successful trading patterns, which it refers to in formulating its
strategies. The patterns in this library are maintained in the computerized
database developed by Sabre to allow detailed and systematic research and
analysis into individual markets. Despite the increasing systematization of
certain aspects of the System, the judgmental analysis of the Sabre principals,
based on their years of experience in the markets traded by the System, remains
an integral part of both the risk control and the long-term profit potential of
the PRS Accounts.
Sabre currently offers a variety of portfolios to clients who can select the
relative emphasis between financial and non-financial commodities to be used for
their PRS Accounts. There are two basic PRS Account types:
1. Diversified accounts which invest in a wide range of markets including
financials and agricultural commodities-- "Diversified Accounts."
2. Financial accounts which do not invest in agricultural commodities but
instead concentrate on the financial markets including (at the discretion of
investors) the energy and metals markets--"Financial Accounts."
In directing trading for the Fund, Sabre will treat the Fund's account as a
Diversified Account.
The General Partners agreed with the recommendation of Sabre to trade the Fund's
account at 50% greater leverage than the leverage historically utilized for
accounts managed by Sabre, in an attempt to increase the rate of return
generated by its trading method. In managing its accounts, Sabre alters its
utilization of leverage from time to time depending on its view of the overall
market conditions. Sabre's method is conceived of by its principals as more
conservative than most commodity advisory methods and is generally directed
towards achieving rates of return somewhat lower than those which speculative
commodity pools typically seek to achieve. Increasing the leverage at which
Sabre trades is an attempt to give the Fund the potential to achieve rates of
return more comparable to those ordinarily expected from a speculative trading
approach, although there can, of course, be no assurance that increasing the
leverage at which Sabre trades will have such a result. Increasing its trading
leverage can, however, be expected to increase the volatility of its performance
by increasing both trading profits and losses.
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OTHER SABRE PROGRAMS
In addition to the PRS System, Sabre also offers several other trading systems.
These will not be used by the Fund. The Sabre Commodity Recovery Portfolio ("CRP
System") is a technical and discretionary trend-based system trading in a wide
range of commodities primarily in the United States and the United Kingdom. The
CRP System acquires long positions exclusively; it does not "short" any
commodity.
Unlike many technical trading systems, the Sabre trading method employed for the
accounts traded pursuant to the CRP system does not rely exclusively on computer
trading models but combines the extensive trading skills of the principals with
the disciplines of the computerized statistical database. The CRP System is
designed to provide investors with an actively managed exposure to a basket of
underlying commodities. Each commodity is allocated a fixed initial percentage
of the total portfolio and exposure is adjusted by reference to these portfolio
allocations. The allocations between commodity markets and sectors are varied by
Sabre based on its research. At any given time, Sabre may have no exposure to a
particular commodity (if the market is expected to fall), a partial exposure if
Sabre has no view on the direction of a market or a full exposure if a market is
expected to rise. Sabre may also at its discretion increase exposure to a
particular commodity above the "full" exposure level.
Another trading system used by Sabre is the Sabre Swing Trading System ("ST
System"). The ST System uses short-term signals which have the potential to be
successful in volatile, choppy markets. Unlike many trading systems, the ST
System does not require strong trending market prices to be profitable. The ST
System trades in a wide range of derivative instruments, including agricultural
commodities and equity, bond, interest rate and currency-related futures and
options contracts, primarily in the United States, Europe and Japan.
The ST System uses statistical analysis of short-term price patterns to generate
trading signals. The ST System is capable of capitalizing on short-term price
fluctuations if the patterns identified by the system are, in fact, realized in
the market. The short-term price patterns applied by the ST System anticipate
rather than react to price moves. Each price pattern is categorized in relation
to the price movement, time lapse, volume and open interest to determine the
confidence level. These patterns are not customized for individual markets but
can be applied to any market displaying certain identifiable characteristics.
Sabre and its principals trade futures, options and forward markets for their
own accounts and expect to continue to do so in the future. The records of such
trading will be made available for inspection by the General Partners.
[Generally, positions taken by Sabre for its clients' accounts are also taken
for Sabre's own trading account.] Such trading could result in competition with
client accounts (including that of the Fund) for execution of similar trades. It
is possible, however, that Sabre or its principals could take positions in
commodity interests opposite to positions taken for clients. Trading conducted
by Sabre for its own account could involve positions opposite to those taken for
the Fund at Sabre's direction only as a consequence of straddles assumed in
Sabre's trading account or from testing of a new trading system.
PAST PERFORMANCE OF THE TRADING ADVISORS
The results set forth in the following tables for accounts managed by each of
the Trading Advisors and their respective principals are not indicative of the
results which may be achieved by that Trading Advisor or the Fund in the future.
Past results are no guarantee of future results. No representation is made that
the Fund will or is likely to achieve profits or incur losses comparable to
those shown. The following performance results are presented on a composite
basis rather than for each account managed by each Trading Advisor. The
experience of individual accounts, including Fund accounts, have differed and
will differ from the composite results shown. Since the Trading Advisors have
modified and will continue to modify their respective trading methods from time
to time, the results shown in the tables do not necessarily reflect the precise
trading methods to be used by any Trading Advisor on behalf of the Fund. In
addition, the markets in which performance records were achieved have been and
are changing. A trading method that was successful in a particular set of market
conditions might not be successful in other market conditions. The performance
of particular accounts managed by a Trading Advisor may vary also from the
performance of other accounts managed by that Trading Advisor due to such
factors, among others, as account size, brokerage commissions and advisory fees
payable by an account, degree of diversification, the particular commodity
interests traded, and the times when accounts began trading, as well as the
period during which accounts are active, leverage employed, the amount of
interest income earned by an account (which will depend on the portion of an
account invested in interest-bearing obligations such as U.S. Treasury bills),
and the timing of orders to open or close positions.
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Table A sets forth the composite performance record for accounts managed by JWH
employing the Financial and Metals Portfolio which is the method utilized in
managing that portion of the assets of the Fund which are and will be managed by
JWH.
This program began trading in August 1984 with 1 proprietary account which
comprised the entire track record until October 1984. The absence of management
and incentive fees, as well as reduced commissions during this period may have
had a material effect on the rate of return. However, this potential material
effect has decreased as client funds have comprised the entire track record
since July 1987.
The Financial and Metals Portfolio as of March 31, 1995 was comprised of 105
open accounts of which 105 were profitable and 0 were unprofitable. To that date
241 accounts had closed, of which 205 were profitable and 36 were unprofitable.
JWH currently accepts minimum account values of $5,000,000 although accounts
previously accepted may have had lower minimum values.
In May 1992, 35 percent of the assets in the Financial and Metal Portfolio was
deleveraged 50 percent at the request of a client. The effect of this
deleveraging has decreased since September 1992 when JWH was instructed to
resume full leverage on new positions.
The deleveraging materially affected the rates of return in JWH's performance
records. The 1992 annual rate of return for these deleveraged accounts was
negative 24.3 percent. The 1992 annual rate of return for the Financial and
Metals Portfolio Composite Performance Record was negative 10.9 percent. If
these accounts had been excluded from the Financial and Metals performance
record, the 1992 annual rate of return would have been negative 3.9 percent.
Table B-1 sets forth the composite performance record for all accounts managed
by JWH for the period indicated. This table reflects the performance of all
trading programs employed by JWH (excluding InterRate-TM-), including the
Financial and Metals Portfolio. As of March 31, 1995, the composite of all
accounts managed by JWH (excluding InterRate-TM-) was comprised of 183 open
accounts of which 182 were profitable and 1 was unprofitable. To that date 771
accounts had closed, of which 518 were profitable and 253 were unprofitable.
Table B-2 sets forth the composite performance record for all accounts managed
by JWH employing the InterRate-TM- Program for the period indicated. This
program began trading in November 1987 with 1 proprietary account which
comprised the entire track record until December 1988 when it closed profitable.
The lack of fees and reduced commissions during this time may have had an effect
on the rate of return. As of March 31, 1995, the composite of all JWH accounts
managed pursuant to InterRate-TM- was comprised of 1 open account, which was
profitable. To that date 5 accounts had closed, of which 4 were profitable and 1
was unprofitable.
INTERRATE-TM- IS QUALITATIVELY DIFFERENT FROM THE METHODS WHICH GENERATED THE
COMPOSITE TRACK RECORD OF OTHER JWH PROGRAMS. THE PROGRAMS REPRESENTED IN THE
COMPOSITE TRACK RECORD DIFFER FROM INTERRATE-TM- WITH RESPECT TO: (A) FEES
CHARGED, (B) LENGTH OF TIME FOR WHICH POSITIONS ARE HELD, (C) POSITIONS TAKEN,
(D) LEVERAGE USED AND (E) RATE-OF-RETURN OBJECTIVES.
JWH Investments, Inc. ("JWHII"), an affiliate of John W. Henry & Co., Inc.,
began managing an account pursuant to the Financial and Metals Portfolio,
commencing in September 1991 which, as of March 31, 1995, was profitable. The
performance of this account is set forth in Table B-3.
JWHII also began managing a second account pursuant to the InterRate-TM-
Program, commencing in February 1992. This account closed unprofitable in
November 1993. The performance of this account is set forth in Table B-4.
In 1993 Sabre began to offer a Financial Program in addition to its Diversified
Program. Accordingly, Sabre has revised the performance tables previously
provided by it to its clients to present the results of each program separately.
Table C sets forth the revised composite performance record for accounts managed
by Sabre (since January 1, 1983) and its principals (Mr. Edwards individually in
1981, and Mr. Edwards and Mr. Swete jointly in 1982) employing its Pattern
Recognition System for Diversified Accounts, which is the method it utilizes in
managing the portion of the assets of the Fund which are and will be managed by
Sabre.
While as a general matter the experience of individual accounts has differed
from the composite results shown, the General Partners have directed Sabre to
continue to trade a more diversified portfolio (with greater emphasis on
physical commodities) for the Fund than Sabre trades for its other Diversified
Accounts (which are more oriented
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toward financial futures). As a result, the composite rates of return shown in
Table C are less indicative of the rates of return which have been or will be
achieved by Sabre for the Fund than they would be in the absence of the greater
diversification directed by the General Partners.
The Diversified System as of April 30, 1995, was comprised of 16 managed
accounts, of which 12 have been profitable and 4 unprofitable. Since trading
commenced 80 accounts have been closed of which 19 showed net losses and 61 net
profits. Of the closed accounts, the one with the largest loss was 15% over 21
months and the one with the largest gain was 225% over 126 months. As of April
30, 1995, Sabre Diversified accounts ranged in size from $500,000 to $30,000,000
with an average account size of $8.6 million. Management fees ranged from 0% to
3% and performance fees ranged from 15% to 25%, with an average of 1.5%
management fee and 17% performance fee.
Table D sets forth the composite performance record of PRS accounts managed by
Sabre employing its Pattern Recognition System for Financial Accounts. The first
Financial Account opened in 1989. As of April 30, 1995, 4 accounts were open, of
which 2 were profitable and 2 were unprofitable. Since trading commenced 7
accounts have closed, 2 of which were profitable and 5 of which incurred losses.
As of April 30, 1995, the accounts ranged in size from $400,000 to $8,000,000
with an average account size of $2,500,000.
Table E presents the monthly performance of all Commodity Recovery Portfolio
("CRP") Standard Accounts managed by Sabre. As of April 30, 1995, the table
consisted of four accounts, all of which were profitable. Since trading
commenced, no accounts have been closed. As of April 30, 1995, the accounts
ranged in size from $1,000,000 to $6,000,000 with an average account size of
$2,900,000.
Table F presents the monthly performance of all accounts managed by Sabre using
the Swing Trading System which began trading in October 1994. As of April 30,
1995, 14 accounts were open, of which 14 were unprofitable. Since trading
commenced 2 accounts have been closed, and incurred losses. As of April 30,
1995, the accounts ranged in size from $100,000 to $2,000,000 with an average
account size of $600,000.
Table G presents the monthly composite trading results of all accounts managed
by Sabre (since February 1991) using trading systems which are either not
currently offered to U.S. investors or which have been discontinued. Of the
trading systems operated by Sabre that have been discontinued or are not traded
in the U.S., there was 1 open account as of April 30, 1995, which was
profitable. As of April 30, 1995, the average account size was $2,000,000.
Table H presents the actual monthly performance of all CRP Accounts that were
traded at half the leverage of the standard accounts. Three accounts selected an
equity level, or nominal account size, which exceeded the actual funds in the
trading account. Performance results in the table are based upon the nominal
account size. As of April 30, 1995, the table consisted of 5 accounts. Four
accounts were open, all of which were profitable. Since trading commenced, one
account has been closed at a profit. As of April 30, 1995, on a nominal basis,
the accounts ranged in size from $3,000,000 to $10,000,000 with an average
account size of $5,750,000. On an actual funds basis, the accounts ranged in
size from $600,000 to $2,000,000, with an average account size of $1,900,000.
For all types of accounts, as of April 30, 1995, Sabre was managing or advising
43 individual accounts of which 38 were U.S. Dollar-based, 4 were Pound
Sterling-based and 1 was Deutschemark-based. All Sabre performance tables are
denominated in U.S. dollars.
SABRE--GENERAL
EXCHANGE-RATE ADJUSTMENT. Sabre has historically managed or advised both U.S.
Dollar based accounts and accounts based in other currencies. Sabre's non-U.S.
resident clients may select their base currency when opening an account. The
currency base chosen determines the selection of the currency in which cash
balances are held. As a result, there have been both realized and unrealized
exchange-rate profits and losses when cash balances in foreign currencies were
converted into U.S. Dollars.
For the purpose of comparing the respective trading performance of accounts
based in different currencies, a "Currency Conversion Gain/(Loss)" column has
been included in the Tables, reflecting the difference between Beginning Net
Asset Value converted at the opening and closing rates of exchange for each
month. The "Currency Conversion Gain/(Loss)" is unrelated to the performance of
Sabre in managing its clients' accounts. All accounts in Table A are U.S.
Dollar-denominated.
EFFECTS OF COMPOSITE TREATMENT. The data in the Tables do not reflect the actual
performance of any one account. Accordingly, investors in specific accounts
included in the composite figures may have had more or less favorable results
than the Tables indicate. Not all accounts advised by Sabre, even if trading the
same portfolio, have parallel performance in all instances due to different
times of market entry and varying amounts of capital. Larger account
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size may result in larger relative positions, degree of diversification and a
wider range of markets traded. Clients have also been free to select different
portfolios of markets to be traded by their accounts. These factors could result
in differencial performance by different accounts.
SABRE-HISTORICAL VARIATION OF FEES
Prospective investors should be aware that the management and performance fees
charged to the accounts included in these Tables have differed significantly
from those which may be charged to a client's Account. Sabre reserves the right
to charge different clients different advisory fees. The accounts included in
these Tables were charged management fees ranging from 0% to 3% per year of the
equity in the account, and quarterly performance fees ranging from 15% to 25% of
new trading profit. Management and performance fees have a substantial effect on
the overall return to the investor.
PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE PERFORMANCE AND NO
REPRESENTATION IS, OR COULD BE, MADE THAT AN ACCOUNT IS LIKELY TO ACHIEVE
RESULTS SIMILAR TO THOSE SHOWN IN THE FOLLOWING PERFORMANCE TABLES.
THE FOLLOWING PERFORMANCE TABLES FOR THE TRADING ADVISORS ARE REQUIRED TO BE
DISCLOSED PURSUANT TO CFTC RULE 4.21(A)(5). INVESTORS SHOULD NOTE THAT THE
PERFORMANCE TABLES PRESENTED FOR THE TRADING ADVISORS ARE A COMPOSITE OF
INDIVIDUAL ACCOUNTS WHICH VARY AS TO SIZE, TRADING LEVERAGE, FEES AND TRADING
OBJECTIVES. THESE ACCOUNTS ARE NEGOTIATED ON A CLIENT BY CLIENT BASIS AND THE
TRADING FEES AND LEVERAGE AS WELL AS ACCOUNT SIZE FOR EACH INDIVIDUAL ACCOUNT
MAY BE MORE OR LESS THAN THAT OF THE FUND. CONSEQUENTLY, THE FOLLOWING
PERFORMANCE TABLES MAY NOT PRESENT AS MEANINGFUL INFORMATION TO INVESTORS AS THE
ACTUAL PERFORMANCE RECORD FOR THE FUND AND INVESTORS ARE URGED TO REVIEW
CAREFULLY THE PERFORMANCE HISTORY OF THE FUND BEGINNING ON PAGE 49 OF THE
PROSPECTUS. PAST RESULTS ARE NOT INDICATIVE OF FUTURE PERFORMANCE.
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TABLE A
JOHN W. HENRY & CO., INC.
FINANCIAL AND METALS PORTFOLIO COMPOSITE PERFORMANCE RECORD
<TABLE>
<CAPTION>
GROSS NET INC/DEC
REALIZED REALIZED UNREALIZED
BEGINNING PROFIT BROKERAGE PROFIT INTEREST PROFIT
EQUITY ADDITIONS WITHDRAWALS (LOSS) COMMISSIONS (LOSS) INCOME (LOSS)
(1) (2) (3) (4) (5) (6) (7) (8)
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1984
August 0 15,000 0 0 0 0 0 1,313
September 16,313 0 0 0 0 0 0 4,883
October 21,195 15,000 0 (720) 133 (853) 0 1,434
November 36,776 50,000 0 (3,496) 367 (3,863) 0 1,193
December 84,034 20,000 0 4,559 (19) 4,578 202 7,673
1985
January 116,227 0 26,855 929 530 399 342 7,133
February 95,288 25,000 34,917 2,059 61 1,997 333 13,134
March 100,493 30,000 0 10,310 1,669 8,641 173 (20,922)
April 118,384 71,105 31,638 (6,900) 913 (7,814) 0 (3,359)
May 145,585 30,000 0 (20,615) 2,704 (23,319) 324 10,483
June 162,089 44,070 22,651 9,193 1,637 7,556 360 (9,900)
July 180,291 10,370 32,174 (15,204) 3,437 (18,641) 258 85,643
August 223,886 50,000 48,628 17,704 883 16,821 600 (38,778)
September 202,467 10,000 36,570 (41,963) 4,773 (46,736) 488 (556)
October 127,840 25,000 0 2,544 2,234 310 301 9,802
November 162,582 0 5,000 0 0 0 154 42,675
December 199,548 0 13,009 78,797 2,692 76,105 506 (71,838)
1986
January 190,148 0 0 (10,890) 905 (11,795) 546 24,213
February 199,262 0 43,579 14,269 1,349 12,920 517 20,743
March 189,733 0 126 1,981 845 1,136 238 (11,469)
April 177,654 0 28,219 (11,788) 886 (12,674) 486 23,567
May 154,922 0 16 (8,681) 548 (9,229) 323 (17,914)
June 127,764 0 0 73,305 1,290 72,015 246 (48,966)
July 150,212 0 21,976 (6,013) 839 (6,852) 487 38,784
August 160,233 0 27,192 5,698 589 5,109 157 8,438
September 145,571 0 0 34,864 731 34,133 0 (33,495)
October 145,233 1,000,000 0 (29,674) 1,438 (31,112) 364 61,031
November 1,174,521 100,000 0 (37,873) 1,957 (39,830) 557 2,196
December 1,229,125 0 0 (86,530) 4,657 (91,187) 3,591 88,748
<CAPTION>
MANAGEMENT
AND ADJUSTED
INCENTIVE NET ENDING RATE OF
FEES PERFORMANCE EQUITY RETURN
(9) (10) (11) (12)
- ------------------
-----------------------------------------------
<S> <C> <C> <C> <C>
1984
August 0 1,313 16,313 8.8
September 0 4,883 21,195 29.9
October 0 581 36,776 1.6
November 73 (2,743) 84,034 (3.2)
December 260 12,193 116,227 11.7
Compounded Rate of Return (5 months) 55.33%
1985
January 1,958 5,916 95,288 6.6
February 343 15,122 100,493 17.7
March 0 (12,109) 118,384 (9.3)
April 1,094 (12,267) 145,585 (7.8)
May 983 (13,495) 162,089 (7.7)
June 1,233 (3,217) 180,291 (1.8)
July 1,862 65,398 223,886 41.3
August 1,434 (22,791) 202,467 (10.1)
September 1,253 (48,057) 127,840 (27.3)
October 671 9,742 162,582 6.4
November 863 41,966 199,548 26.6
December 1,165 3,608 190,148 1.9
Compounded Annual Rate of Return: 20.68%
1986
January 3,849 9,115 199,262 4.8
February 130 34,050 189,733 21.9
March 1,858 (11,953) 177,654 (6.3)
April 5,893 5,486 154,922 3.7
May 322 (27,142) 127,764 (17.5)
June 847 22,448 150,212 17.6
July 423 31,996 160,233 25.0
August 1,173 12,531 145,571 9.4
September 976 (338) 145,233 (0.2)
October 996 29,287 1,174,521 2.6
November 8,319 (45,396) 1,229,125 (3.6)
December 6,821 (5,669) 1,223,456 (0.5)
Compounded Annual Rate of Return: 61.54%
</TABLE>
85
<PAGE>
TABLE A (cont'd)
JOHN W. HENRY & CO., INC.
FINANCIAL AND METALS PORTFOLIO COMPOSITE PERFORMANCE RECORD
<TABLE>
<CAPTION>
GROSS NET
REALIZED REALIZED INC/DEC
BEGINNING PROFIT BROKERAGE PROFIT INTEREST UNREALIZED
EQUITY ADDITIONS WITHDRAWALS (LOSS) COMMISSIONS (LOSS) INCOME PROFIT (LOSS)
(1) (2) (3) (4) (5) (6) (7) (8)
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1987
January 1,223,456 0 0 (70,725) 2,537 (73,262) 243 482,403
February 1,627,350 0 0 (17,446) 1,018 (18,464) 0 216,489
March 1,824,197 609,970 1,568,443 945,540 16,497 929,043 282 (631,313)
April 1,162,114 241,862 8,154 (91,081) 6,129 (97,210) 3,482 354,750
May 1,650,279 2,510,000 61,398 183,905 10,543 173,362 0 (427,366)
June 3,805,231 1,950,000 261,915 (157,184) 39,205 (196,389) 0 (350,643)
July 4,905,987 1,904,611 175,978 (572,531) 33,401 (605,932) 0 1,443,849
August 7,447,056 4,030,000 366 (719,034) 76,821 (795,855) 152 (865,557)
September 9,800,267 550,000 558,047 (992,164) 78,635 (1,070,799) 24,980 186,659
October 8,921,833 706,062 1,166,195 903,500 113,163 790,337 61,338 1,540,714
November 10,832,262 746,172 1,387,289 (168,046) 124,183 (292,229) 27,270 3,615,871
December 13,507,517 142,987 1,080,595 4,007,481 82,613 3,924,868 19,583 (1,062,568)
1988
January 15,235,901 3,005,180 395,172 (40,805) 70,274 (111,079) 69,360 (1,906,873)
February 15,604,050 530,023 449,989 73,247 26,713 46,534 26,192 1,767,206
March 17,215,901 2,303,294 733,014 2,487,639 208,051 2,279,587 31,496 (2,696,185)
April 18,354,099 1,199,397 1,231,545 (2,386,877) 99,425 (2,486,302) 54,453 (146,675)
May 15,569,387 1,261,793 38,932 (1,920,907) 154,878 (2,075,785) 18,926 2,118,605
June 16,840,026 1,583,388 3,442,543 1,211,835 254,555 957,281 22,636 5,829,885
July 21,601,107 1,412,521 1,178,354 (995,716) 57,647 (1,053,363) 51,475 2,319,613
August 23,029,134 5,358,839 1,526,936 3,056,302 153,574 2,902,728 88,036 (801,420)
September 28,711,398 2,408,186 783,194 6,328,011 173,121 6,154,889 66,695 (8,352,152)
October 27,881,295 12,607,349 3,538,745 (3,050,881) 177,860 (3,228,741) 168,478 4,104,201
November 37,872,596 483,965 867,577 (754,252) 254,221 (1,008,473) 83,271 3,144,753
December 39,431,184 7,048,264 883,130 2,779,966 367,135 2,412,831 215,212 (11,239,446)
1989
January 36,844,489 2,408,627 1,524,114 (3,511,905) 138,596 (3,650,501) 254,438 15,405,823
February 49,685,530 5,051,769 1,090,067 1,105,470 316,736 788,735 54,954 (5,213,502)
March 49,001,153 3,208,044 1,008,521 6,483,684 336,122 6,147,561 142,521 (1,779,021)
April 55,556,345 2,981,639 1,383,205 (3,090,918) 344,679 (3,435,597) 237,997 5,232,861
May 58,965,442 231,450 7,647,763 1,669,062 214,342 1,454,720 182,301 18,038,817
June 70,637,791 667,658 2,557,250 24,988,896 573,912 24,414,985 207,430 (28,834,066)
July 64,188,050 2,111,968 3,895,784 (8,275,081) 199,951 (8,475,032) 740,943 11,424,452
August 65,169,302 2,875,965 845,184 131,229 429,380 (298,152) 183,341 (3,775,423)
September 61,711,379 1,825,630 1,121,425 (6,340,627) 439,266 (6,779,892) 208,310 (2,493,224)
October 53,102,975 21,101,304 3,466,068 (10,783,777) 381,086 (11,164,863) 379,413 (1,500,434)
November 58,338,456 327,653 327,941 4,483,517 184,748 4,298,768 212,348 8,380,981
December 70,958,700 2,722,369 2,237,084 6,356,725 353,198 6,003,527 131,957 (9,206,750)
<CAPTION>
MANAGEMENT
AND ADJUSTED
INCENTIVE NET ENDING RATE OF
FEES PERFORMANCE EQUITY RETURN
(9) (10) (11) (12)
- ------------------
-------------------------------------------------
<S> <C> <C> <C> <C>
1987
January 5,490 403,894 1,627,350 33.0
February 1,178 196,847 1,824,197 12.1
March 1,622 296,390 1,162,114 34.2
April 6,565 254,457 1,650,279 18.2
May 39,646 (293,650) 3,805,231 (7.2)
June 40,298 (587,330) 4,905,987 (10.7)
July 25,482 812,435 7,447,056 12.2
August 15,163 (1,676,423) 9,800,267 (14.6)
September 11,226 (870,386) 8,921,833 (8.9)
October 21,827 2,370,562 10,832,262 28.0
November 34,541 3,316,371 13,507,517 32.5
December 215,891 2,665,992 15,235,901 21.2
Compounded Annual Rate of Return: 252.37%
1988
January 293,267 (2,241,859) 15,604,050 (12.6)
February 308,115 1,531,817 17,215,901 9.8
March 46,980 (432,082) 18,354,099 (2.3)
April 174,039 (2,752,563) 15,569,387 (15.0)
May 13,967 47,779 16,840,026 0.3
June 189,566 6,620,236 21,601,107 44.2
July 123,864 1,193,861 23,029,134 5.5
August 338,982 1,850,361 28,711,398 6.9
September 324,527 (2,455,095) 27,881,295 (8.1)
October 121,241 922,697 37,872,596 2.5
November 277,350 1,942,200 39,431,184 5.2
December 140,426 (8,751,829) 36,844,489 (19.2)
Compounded Annual Rate of Return: 4.00%
1989
January 53,232 11,956,528 49,685,530 31.7
February 276,266 (4,646,079) 49,001,153 (8.7)
March 155,393 4,355,669 55,556,345 8.5
April 224,598 1,810,663 58,965,442 3.2
May 587,177 19,088,662 70,637,791 37.0
June 348,498 (4,560,149) 64,188,050 (6.6)
July 925,295 2,765,068 65,169,302 4.4
August 1,598,471 (5,488,704) 61,711,379 (8.2)
September 247,803 (9,312,609) 53,102,975 (14.9)
October 113,871 (12,399,756) 58,338,456 (17.5)
November 271,565 12,620,533 70,958,700 21.6
December 166,278 (3,237,544) 68,206,440 (4.5)
Compounded Annual Rate of Return: 34.61%
</TABLE>
86
<PAGE>
TABLE A (cont'd)
JOHN W. HENRY & CO., INC.
FINANCIAL AND METALS PORTFOLIO COMPOSITE PERFORMANCE RECORD
<TABLE>
<CAPTION>
GROSS NET
REALIZED REALIZED INC/DEC
BEGINNING PROFIT BROKERAGE PROFIT INTEREST UNREALIZED
EQUITY ADDITIONS WITHDRAWALS (LOSS) COMMISSIONS (LOSS) INCOME PROFIT (LOSS)
(1) (2) (3) (4) (5) (6) (7) (8)
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1990
January 68,206,440 10,905,388 2,338,197 (7,902,958) 871,768 (8,774,726) 309,834 30,197,931
February 98,251,434 88,306 6,976,958 23,747,687 304,670 23,443,017 663,536 (6,036,289)
March 109,178,944 329,848 1,814,289 12,814,954 566,931 12,248,023 210,917 245,316
April 119,972,471 2,009,138 5,179,851 (1,629,017) 378,063 (2,007,080) 500,367 8,552,675
May 119,616,857 14,113,109 1,188,529 4,697,037 758,776 3,938,261 351,405 (33,578,700)
June 102,416,878 4,018,000 2,572,860 (892,720) 777,633 (1,670,353) 295,065 9,064,649
July 111,034,208 40,064,254 3,778,848 (1,174,123) 591,397 (1,765,520) 464,571 19,312,851
August 165,226,429 1,201,707 2,762,785 14,136,846 846,584 13,290,262 633,929 4,736,204
September 181,934,306 5,001,706 3,966,715 44,289,784 956,670 43,333,114 553,543 (28,079,910)
October 198,189,944 14,872,464 10,220,810 (9,093,230) 1,066,969 (10,160,199) 637,422 4,332,348
November 192,681,398 44,850,186 11,106,039 7,329,731 952,881 6,376,850 670,828 779,243
December 233,429,121 55,586,725 3,908,384 1,961,911 1,306,459 655,452 685,053 (10,016,608)
1991
January 274,606,156 55,202,610 11,719,963 (17,917,088) 863,296 (18,780,385) 913,027 11,128,864
February 310,822,742 21,326,081 83,291 16,465,555 1,291,999 15,173,556 1,559,314 (3,781,481)
March 344,668,999 4,307,947 2,807,691 (282,331) 1,870,786 (2,153,117) 1,315,582 17,618,889
April 361,616,405 8,366,239 14,062,953 (3,687,685) 1,765,779 (5,453,464) 1,211,685 3,242,954
May 353,124,190 18,916,983 5,900,529 (9,420,422) 1,368,361 (10,788,783) 908,313 9,594,179
June 364,960,544 22,004,332 19,836,789 28,395,244 1,649,989 26,745,255 1,247,723 (30,809,098)
July 362,406,488 56,601,553 10,301,175 (42,985,402) 1,978,254 (44,963,656) 1,222,097 (10,256,509)
August 353,983,768 10,782,886 2,785,863 (37,025,772) 1,503,273 (38,529,045) 1,117,066 55,937,500
September 379,285,630 1,160,545 3,967,219 (6,899,707) 1,804,439 (8,704,146) 1,112,927 106,336,607
October 473,618,485 1,962,144 12,542,091 42,887 1,801,833 (1,758,946) 1,427,584 (30,267,733)
November 427,182,073 1,760,823 7,137,770 96,726,907 1,865,102 94,861,805 975,904 (65,621,859)
December 449,740,885 3,848,339 9,317,487 42,331,569 2,662,643 39,668,926 1,459,851 168,059,178
1992
January 619,175,827 39,138,956 18,902,118 4,394,460 2,434,886 1,959,574 1,270,825 (113,807,531)
February 526,978,161 6,871,773 13,629,859 78,900,669 2,805,371 76,095,298 1,074,009 (146,138,484)
March 449,814,550 7,869,542 9,609,349 (15,106,014) 2,020,266 (17,126,280) 1,094,270 31,388,204
April 461,435,949 5,118,153 23,259,165 (52,820,079) 2,400,686 (55,220,765) 1,215,380 787,237
May 388,501,060 13,471,568 12,749,362 (25,337,770) 1,897,421 (27,235,191) 730,371 6,082,330
June 367,106,823 5,853,455 27,224,329 15,369,706 1,427,292 13,942,414 1,003,528 63,516,783
July 422,527,783 19,149,505 10,001,117 4,108,908 1,611,353 2,497,555 1,053,923 110,113,941
August 541,601,698 2,031,350 27,202,653 121,737,106 2,200,510 119,536,596 743,484 (59,846,638)
September 569,007,686 5,358,358 17,567,429 67,181,542 2,700,328 64,481,214 1,207,691 (96,840,223)
October 527,688,678 4,897,798 20,175,783 (12,400,923) 1,733,240 (14,134,163) 675,799 (7,757,779)
November 489,361,472 5,437,327 8,114,149 12,279,142 1,732,138 10,547,004 748,312 (13,693,724)
December 482,783,906 11,551,135 24,773,602 (10,296,161) 1,779,375 (12,075,536) 1,199,932 401,243
<CAPTION>
MANAGEMENT
AND ADJUSTED
INCENTIVE NET ENDING RATE OF
FEES PERFORMANCE EQUITY RETURN
(9) (10) (11) (12)
- ------------------
---------------------------------------------------
<S> <C> <C> <C> <C>
1990
January 255,236 21,477,803 98,251,434 28.0
February 254,102 17,816,162 109,178,944 19.5
March 426,288 12,277,968 119,972,471 11.4
April 4,230,863 2,815,099 119,616,857 2.4
May 835,526 (30,124,559) 102,416,878 (22.7)
June 517,171 7,172,190 111,034,208 6.9
July 105,087 17,906,815 165,226,429 12.2
August 391,440 18,268,955 181,934,306 11.2
September 586,100 15,220,647 198,189,944 8.3
October 4,969,771 (10,160,200) 192,681,398 (5.0)
November 823,345 7,003,576 233,429,121 3.1
December 1,825,204 (10,501,306) 274,606,156 (3.7)
Compounded Annual Rate of Return: 83.59%
1991
January 527,567 (7,266,060) 310,822,742 (2.3)
February 347,923 12,603,466 344,668,999 3.8
March 1,334,204 15,447,150 361,616,405 4.5
April 1,796,676 (2,795,501) 353,124,190 (0.8)
May 893,809 (1,180,100) 364,960,544 (0.3)
June 1,905,479 (4,721,599) 362,406,488 (1.3)
July 725,030 (54,723,098) 353,983,768 (13.4)
August 1,220,682 17,304,839 379,285,630 4.8
September 1,605,859 97,139,529 473,618,485 25.8
October 5,257,370 (35,856,465) 427,182,073 (7.7)
November 2,280,091 27,935,759 449,740,885 6.6
December 34,283,865 174,904,090 619,175,827 39.4
Compounded Annual Rate of Return: 61.88%
1992
January 1,857,372 (112,434,504) 526,978,161 (18.0)
February 1,436,348 (70,405,525) 449,814,550 (13.5)
March 1,994,988 13,361,206 461,435,949 3.0
April 1,575,729 (54,793,877) 388,501,060 (12.2)
May 1,693,953 (22,116,443) 367,106,823 (5.7)
June 1,670,891 76,791,834 422,527,783 21.9
July 3,739,892 109,925,527 541,601,698 25.5
August 7,856,151 52,577,291 569,007,686 10.2
September (2,041,381) (29,109,937) 527,688,678 (5.2)
October 1,833,078 (23,049,221) 489,361,472 (4.5)
November 1,502,336 (3,900,744) 482,783,906 (0.8)
December 1,683,325 (12,157,686) 457,403,753 (2.6)
Compounded Annual Rate of Return: (10.89%)
</TABLE>
87
<PAGE>
TABLE A (cont'd)
JOHN W. HENRY & CO., INC.
FINANCIAL AND METALS PORTFOLIO COMPOSITE PERFORMANCE RECORD
<TABLE>
<CAPTION>
GROSS NET
REALIZED REALIZED INC/DEC
BEGINNING PROFIT BROKERAGE PROFIT INTEREST UNREALIZED
EQUITY ADDITIONS WITHDRAWALS (LOSS) COMMISSIONS (LOSS) INCOME PROFIT (LOSS)
(1) (2) (3) (4) (5) (6) (7) (8)
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1993
January 457,403,753 52,993,474 19,014,261 (6,900,361) 1,708,918 (8,609,279) 735,267 25,847,029
February 507,776,132 11,475,392 11,663,991 63,761,395 1,957,246 61,804,149 937,672 15,339,127
March 578,070,695 6,350,070 9,663,351 13,505,173 2,027,790 11,477,383 1,142,849 (13,450,586)
April 573,034,705 11,683,213 24,101,562 (2,902,522) 1,848,454 (4,750,976) 775,761 66,085,358
May 612,950,356 9,461,322 8,777,471 48,525,109 2,628,180 45,896,929 963,326 (21,487,359)
June 634,161,879 11,859,946 8,199,010 24,492,236 2,555,722 21,936,514 1,427,821 (19,503,601)
July 638,605,736 17,700,537 11,640,928 (212,005) 1,876,208 (2,088,213) 976,109 77,200,146
August 707,110,671 24,131,359 20,181,382 66,570,156 2,643,809 63,926,347 1,129,766 (70,778,360)
September 705,524,334 20,057,701 10,223,600 55,938,457 2,926,406 53,012,051 1,559,525 (51,013,813)
October 716,912,323 6,820,282 17,904,133 (7,202,568) 2,238,278 (9,440,846) 1,110,771 2,946,046
November 698,084,108 4,531,646 7,694,846 6,507,360 2,258,952 4,248,408 1,409,184 (5,610,135)
December 692,631,195 8,753,439 11,720,284 12,218,953 2,336,664 9,882,289 1,117,691 12,096,186
1994
January 709,499,977 33,365,438 33,787,867 294,891 2,230,581 (1,935,690) 1,864,760 (18,497,105)
February 688,273,411 24,895,094 29,638,547 1,399,179 2,325,743 (926,564) 1,477,188 (2,251,789)
March 679,749,760 20,680,251 26,760,314 16,561,912 2,277,146 14,284,766 1,231,357 38,465,206
April 722,263,702 56,167,995 24,010,432 (2,726,677) 2,058,175 (4,784,852) 1,484,104 12,958,587
May 761,124,071 25,259,912 17,321,567 36,914,825 2,416,547 34,498,278 2,023,319 (23,047,470)
June 778,969,144 9,584,484 13,338,486 7,172,591 2,424,506 4,748,085 1,885,664 38,656,044
July 809,845,842 37,701,265 31,308,200 13,076,580 2,407,612 10,668,968 1,998,277 (59,976,551)
August 766,402,650 11,598,105 18,244,013 (21,040,311) 2,491,720 (23,532,031) 2,584,218 (8,079,384)
September 728,470,380 18,468,570 10,755,279 11,489,496 2,274,452 9,215,044 1,866,795 2,311,728
October 747,167,363 27,358,253 66,397,470 (22,776,129) 2,280,301 (25,056,430) 2,625,685 36,515,744
November 719,831,990 14,423,584 16,151,075 (1,463,583) 2,437,131 (3,900,714) 3,024,931 (28,487,170)
December 686,663,492 10,466,028 16,112,466 (50,028,041) 2,441,576 (52,469,617) 1,886,647 28,720,760
1995
January 657,087,488 50,192,523 33,475,913 1,297,873 2,581,713 (1,283,840) 2,656,154 (24,670,605)
February 648,468,119 4,665,437 19,178,309 94,806,811 2,510,191 92,296,620 2,526,103 7,070,526
March 733,308,707 2,118,286 18,278,073 336,920 2,809,232 (2,472,312) 1,882,726 126,887,915
<CAPTION>
MANAGEMENT
AND ADJUSTED
INCENTIVE NET ENDING RATE OF
FEES PERFORMANCE EQUITY RETURN
(9) (10) (11) (12)
- ------------------
---------------------------------------------------
<S> <C> <C> <C> <C>
1993
January 1,579,851 16,393,166 507,776,132 3.3
February 7,597,786 70,483,162 578,070,695 13.9
March 892,355 (1,722,709) 573,034,705 (0.3)
April 9,776,143 52,334,000 612,950,356 9.3
May 4,845,224 20,527,672 634,161,879 3.3
June 3,077,813 782,921 638,605,736 0.1
July 13,642,716 62,445,326 707,110,671 9.7
August (185,933 ) (5,536,314) 705,524,334 (0.8)
September 2,003,875 1,553,888 716,912,323 0.2
October 2,360,335 (7,744,364) 698,084,108 (1.1)
November 2,337,170 (2,289,713) 692,631,195 (0.3)
December 3,260,539 19,835,627 709,499,977 2.9
Compounded Annual Rate of Return: 46.82%
1994
January 2,236,102 (20,804,137) 688,273,411 (2.9)
February 2,079,033 (3,780,198) 679,749,760 (0.6)
March 5,387,324 48,594,005 722,263,702 7.2
April 2,955,033 6,702,806 761,124,071 0.9
May 3,567,399 9,906,728 778,969,144 1.3
June 10,659,093 34,630,700 809,845,842 4.5
July 2,526,951 (49,836,257) 766,402,650 (6.1)
August 2,259,165 (31,286,362) 728,470,380 (4.1)
September 2,409,875 10,983,692 747,167,363 1.5
October 2,381,155 11,703,844 719,831,990 1.7
November 2,078,054 (31,441,007) 686,663,492 (4.4)
December 2,067,356 (23,929,566) 657,087,488 (3.5)
Compounded Annual Rate of Return: (5.32%)
1995
January 2,037,688 (25,335,979) 648,468,119 (3.8)
February 2,539,789 99,353,460 733,308,707 15.7
March 16,217,013 110,081,316 827,230,236 15.3
Compounded Rate of Return (3 months) 28.41%
</TABLE>
88
<PAGE>
TABLE B-1
JOHN W. HENRY & CO., INC.
PERFORMANCE RECORD--COMPOSITE OF JWH INVESTMENT PROGRAMS
(EXCLUDING INTERRATE-TM-)
<TABLE>
<CAPTION>
GROSS NET INC (DEC)
REALIZED REALIZED UNREALIZED
BEGINNING PROFIT BROKERAGE PROFIT INTEREST PROFIT
EQUITY ADDITIONS WITHDRAWALS (LOSS) COMMISSION (LOSS) INCOME (LOSS)
(1) (2) (3) (4) (5) (6) (7) (8)
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1981
June 0 75,119 0 (723) 420 (1,143) 399 10,791
July 85,166 0 0 (19,456) 560 (20,016) 509 14,839
August 80,498 0 0 (4,623) 420 (5,043) 518 5,914
September 81,887 0 0 1,399 490 909 529 6,712
October 90,037 0 0 (3,957) 910 (4,867) 500 (8,298)
November 77,372 0 0 2,096 560 1,536 496 9,839
December 89,244 97,500 0 5,618 272 5,346 1,002 (8,254)
1982
January 184,838 40,000 7,000 (16,999) 1,496 (18,495) 1,803 7,335
February 208,481 0 13,000 5,736 1,224 4,512 1,612 14,206
March 215,811 0 20,000 (8,597) 272 (8,869) 2,024 45,224
April 234,190 0 9,526 17,459 816 16,643 2,069 (15,246)
May 228,130 0 0 26,168 2,040 24,128 2,114 (11,304)
June 243,068 0 0 131 1,390 (1,259) 2,056 (1,189)
July 242,676 0 13,439 (11,523) 1,898 (13,421) 2,153 (29,606)
August 188,363 0 10,000 2,276 1,762 514 1,852 42,344
September 223,073 0 10,000 9,399 662 8,738 1,696 36,897
October 260,404 25,000 30,428 (3,222) 1,185 (4,407) 1,696 20,842
November 273,107 337,164 0 75,138 6,314 68,824 2,132 (173,652)
December 507,444 487,385 0 (63,482) 8,872 (72,354) 3,550 96,629
1983
January 1,021,814 565,915 57,359 (38,513) 5,330 (43,843) 1,391 265,114
February 1,750,205 699,512 9,467 (60,679) 17,493 (78,172) 6,620 (618,362)
March 1,743,301 570,346 80,146 (460,490) 22,212 (482,702) 12,948 509,889
April 2,269,855 630,302 21,522 (51,007) 3,743 (54,750) 4,679 195,399
May 3,018,576 563,887 145,652 (258,478) 22,341 (280,819) 10,761 568,021
June 3,720,932 357,919 120,908 499,755 33,011 466,744 18,053 (854,230)
July 3,577,638 1,781 65,439 (130,380) 21,924 (152,304) 14,977 538,712
August 3,897,350 55,528 127,048 (245,523) 33,618 (279,141) 13,790 800,625
September 4,338,820 368,590 83,957 50,982 31,558 19,424 30,580 (359,796)
October 4,285,486 568,531 285,974 414,284 13,146 401,139 19,525 (555,088)
November 4,423,155 100,800 225,604 (57,362) 44,804 (102,166) 21,553 (134,203)
December 4,032,277 90,623 625,276 (187,635) 44,300 (231,936) 30,954 137,217
<CAPTION>
MANAGEMENT
AND ADJUSTED
INCENTIVE NET RATE OF
FEES PERFORMANCE ENDING EQUITY RETURN (%)
(9) (10) (11) (12)
- ------------------
---------------------------------------------------
<S> <C> <C> <C> <C>
1981
June 0 10,047 85,165 13.4
July 0 (4,668) 80,498 (5.5)
August 0 1,389 81,887 1.7
September 0 8,150 90,037 10.0
October 0 (12,665) 77,372 (14.1)
November 0 11,872 89,244 15.3
December 0 (1,906) 184,838 (1.0)
Compounded Rate of Return (7 months) 17.59%
1982
January 0 (9,357) 208,481 (4.3)
February 0 20,330 215,811 10.4
March 0 38,379 234,190 19.6
April 0 3,466 228,130 1.5
May 0 14,938 243,068 6.5
June 0 (392) 242,676 (0.2)
July 0 (40,874) 188,363 (17.8)
August 0 44,710 223,073 25.1
September 0 47,331 260,404 22.2
October 0 18,131 273,107 7.1
November 130 (102,827) 507,444 (16.8)
December 840 26,985 1,021,814 2.7
Compounded Annual Rate of Return: 56.83%
1983
January 2,827 219,835 1,750,205 14.4
February 7,035 (696,949) 1,743,301 (28.6)
March 3,781 36,354 2,269,855 1.6
April 5,387 139,941 3,018,576 4.9
May 13,842 284,121 3,720,932 8.3
June 10,872 (380,305) 3,577,638 (9.6)
July 18,015 383,370 3,897,350 10.9
August 22,284 512,990 4,338,820 13.4
September 28,175 (337,967) 4,285,486 (7.3)
October 10,464 (144,888) 4,423,155 (3.2)
November 51,258 (266,074) 4,032,277 (6.2)
December 12,572 (76,336) 3,421,287 (2.2)
Compounded Annual Rate of Return: (11.73%)
</TABLE>
89
<PAGE>
TABLE B-1 (cont'd)
JOHN W. HENRY & CO., INC.
PERFORMANCE RECORD--COMPOSITE OF JWH INVESTMENT PROGRAMS
(EXCLUDING INTERRATE-TM-)
<TABLE>
<CAPTION>
GROSS NET INC/DEC
REALIZED REALIZED UNREALIZED
BEGINNING PROFIT BROKERAGE PROFIT INTEREST PROFIT
EQUITY ADDITIONS WITHDRAWALS (LOSS) COMMISSIONS (LOSS) INCOME (LOSS)
(1) (2) (3) (4) (5) (6) (7) (8)
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1984
January 3,421,287 396,555 410,963 (187,558) 22,925 (210,483) 15,774 385,802
February 3,578,501 109,475 177,053 309,545 40,684 268,861 16,215 (468,372)
March 3,305,661 498,348 362,119 (49,571) 33,143 (82,714) 33,864 (196,220)
April 3,183,606 245,178 458,551 (158,182) 21,430 (179,612) 11,478 94,444
May 2,883,287 325 127,660 (32,664) 16,080 (48,744) 15,038 524,385
June 3,234,702 322,659 89,623 89,775 37,396 52,379 36,147 (392,254)
July 3,141,409 2,327 621,138 129,246 16,143 113,103 8,635 789,526
August 3,418,112 378,992 210,748 218,676 24,291 194,385 16,836 (581,038)
September 3,199,457 168,153 197,537 364,228 16,868 347,360 30,972 (14,505)
October 3,522,260 66,632 118,347 7,086 22,963 (15,877) 7,275 (174,622)
November 3,231,370 108,000 197,191 112,443 43,530 68,913 20,832 (165,950)
December 3,045,934 20,000 131,910 100,566 12,198 88,368 36,277 271,300
1985
January 3,318,233 704,547 458,266 140,253 24,301 115,952 12,344 18,641
February 3,681,966 257,033 151,270 540 34,568 (34,028) 15,750 112,452
March 3,873,279 504,561 98,767 140,987 53,848 87,139 22,225 (406,325)
April 3,970,043 139,843 64,710 (457,669) 47,716 (505,384) 15,126 (46,408)
May 3,476,710 149,586 73,378 (129,282) 33,066 (162,348) 21,017 497,730
June 3,894,000 152,070 149,197 320,293 43,106 277,188 17,731 (226,177)
July 3,953,096 107,378 278,646 (156,056) 45,831 (201,886) 12,391 1,131,079
August 4,698,706 121,054 110,867 147,722 17,461 130,261 17,152 (39,221)
September 4,800,233 125,844 99,284 301,508 87,505 214,004 37,789 (1,116,228)
October 3,941,854 272,178 752,679 (172,068) 43,553 (215,621) 12,557 755,914
November 3,992,350 81,045 80,375 194,734 35,019 159,716 16,738 129,539
December 4,276,935 176,840 477,721 200,452 48,231 152,221 15,702 964,042
1986
January 4,949,701 1,916,882 1,460,697 762,048 90,880 671,168 17,122 (1,258,217)
February 4,769,065 881,606 145,476 397,727 55,930 341,797 21,307 481,536
March 6,331,423 1,131,658 175,934 53,519 35,804 17,715 18,570 840,803
April 8,115,226 1,619,381 208,991 (603,318) 66,754 (670,072) 25,398 294,015
May 9,037,164 2,231,309 133,806 701,189 79,714 621,475 25,230 (1,261,392)
June 10,493,127 2,199,898 433,433 457,547 142,378 315,169 38,250 536,149
July 13,107,421 1,873,148 154,754 391,123 130,469 260,654 23,281 643,836
August 15,645,006 3,578,861 454,418 (837,478) 287,310 (1,124,788) 12,363 2,635,969
September 20,213,939 6,064,021 521,831 1,269,716 114,306 1,155,410 47,278 (1,389,681)
October 25,487,510 4,646,983 822,119 (2,369,289) 312,037 (2,681,327) 115,429 (55,630)
November 26,606,787 3,342,388 729,808 297,990 162,769 135,221 59,744 (196,268)
December 29,019,809 3,703,772 1,149,186 (2,087,674) 250,144 (2,337,818) 48,943 2,230,978
<CAPTION>
MANAGEMENT
AND ADJUSTED
INCENTIVE NET RATE OF
FEES PERFORMANCE ENDING EQUITY RETURN (%)
(9) (10) (11) (12)
- ------------------
---------------------------------------------------
<S> <C> <C> <C> <C>
1984
January 19,471 171,621 3,578,501 5.0
February 21,966 (205,262) 3,305,661 (5.8)
March 13,215 (258,284) 3,183,606 (7.5)
April 13,258 (86,947) 2,883,287 (2.9)
May 11,930 478,750 3,234,702 17.4
June 22,601 (326,329) 3,141,409 (9.4)
July 15,749 895,514 3,418,112 35.5
August 17,082 (386,899) 3,199,457 (10.8)
September 11,640 352,188 3,522,260 11.1
October 55,950 (239,175) 3,231,370 (6.9)
November 20,040 (96,245) 3,045,934 (3.1)
December 11,736 384,209 3,318,233 13.1
Compounded Annual Rate of Return: 29.44%
1985
January 29,486 117,451 3,681,966 3.3
February 8,623 85,550 3,873,279 2.3
March 12,069 (309,030) 3,970,043 (7.2)
April 31,799 (568,466) 3,476,710 (14.1)
May 15,316 341,082 3,894,000 9.6
June 12,519 56,223 3,953,096 1.4
July 24,706 916,878 4,698,706 24.2
August 16,851 91,341 4,800,233 1.9
September 20,503 (884,938) 3,941,854 (18.3)
October 21,853 530,997 3,992,350 15.3
November 22,078 283,915 4,276,935 7.1
December 158,320 973,645 4,949,701 24.5
Compounded Annual Rate of Return: 48.97%
1986
January 66,893 (636,820) 4,769,065 (11.8)
February 18,412 826,228 6,331,423 15.0
March 49,009 828,079 8,115,226 11.4
April 137,792 (488,451) 9,037,164 (5.1)
May 26,853 (641,540) 10,493,127 (5.8)
June 41,739 847,829 13,107,421 6.9
July 108,580 819,191 15,645,006 5.5
August 79,055 1,444,489 20,213,939 7.7
September 81,627 (268,620) 25,487,510 (1.0)
October 84,059 (2,705,587) 26,606,787 (9.2)
November 198,256 (199,559) 29,019,809 (0.7)
December 254,087 (311,984) 31,262,411 (1.0)
Compounded Annual Rate of Return: 8.42%
</TABLE>
90
<PAGE>
TABLE B-1 (cont'd)
JOHN W. HENRY & CO., INC.
PERFORMANCE RECORD--COMPOSITE OF JWH INVESTMENT PROGRAMS
(EXCLUDING INTERRATE-TM-)
<TABLE>
<CAPTION>
GROSS NET INC/DEC
REALIZED REALIZED UNREALIZED
BEGINNING PROFIT BROKERAGE PROFIT INTEREST PROFIT
EQUITY ADDITIONS WITHDRAWALS (LOSS) COMMISSIONS (LOSS) INCOME (LOSS)
(1) (2) (3) (4) (5) (6) (7) (8)
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1987
January 31,262,411 1,369,871 1,131,494 (1,816,402) 345,737 (2,162,139) 45,144 5,053,952
February 34,352,492 3,879,056 420,551 (7,020) 241,477 (248,497) 43,994 1,955,140
March 39,431,485 5,731,700 3,703,697 9,261,366 552,490 8,708,876 105,865 (5,338,157)
April 44,769,310 7,705,122 7,759,901 (1,597,149) 417,882 (2,015,031) 207,115 7,834,106
May 50,516,585 15,503,124 1,486,050 2,554,874 424,160 2,130,714 84,188 (6,751,344)
June 59,648,885 15,307,263 8,609,573 4,379,697 609,797 3,769,900 127,493 (5,167,535)
July 64,656,224 11,584,900 1,758,227 (1,814,126) 591,112 (2,405,238) 116,466 4,582,580
August 76,358,291 30,490,938 962,621 (5,467,515) 616,285 (6,083,800) 208,877 (6,216,498)
September 93,476,978 4,779,822 5,706,919 (1,206,483) 932,380 (2,138,863) 321,634 (2,735,059)
October 87,714,777 3,479,908 4,160,227 1,170,131 732,587 437,544 448,962 16,155,297
November 103,796,688 1,008,856 9,033,342 235,823 625,926 (390,103) 233,621 17,548,459
December 112,916,689 510,959 5,214,636 13,328,581 399,980 12,928,601 320,702 5,758,753
1988
January 126,225,394 16,984,857 4,443,948 (3,060,099) 640,423 (3,700,522) 464,457 (16,873,697)
February 116,345,338 4,337,944 2,806,231 13,500,801 493,634 13,007,167 365,894 (7,597,214)
March 122,729,161 8,546,731 5,146,748 (1,662,065) 1,395,953 (3,058,018) 352,278 (1,650,820)
April 121,365,798 5,867,512 5,789,545 (6,306,255) 614,363 (6,920,618) 390,550 6,850,187
May 121,312,512 4,682,804 6,633,422 (2,122,617) 1,060,922 (3,183,539) 312,775 21,219,450
June 137,495,710 7,768,207 16,985,823 23,834,739 1,420,828 22,413,911 357,918 8,670,679
July 157,272,630 6,667,250 10,824,259 3,588,667 732,288 2,856,379 579,681 (12,462,435)
August 142,698,337 16,514,003 5,654,634 3,214,232 659,836 2,554,396 725,271 7,418,266
September 163,066,526 7,447,796 4,806,903 26,792,454 1,046,439 25,746,015 572,573 (29,459,411)
October 161,444,514 42,664,497 12,114,316 (11,936,703) 1,010,264 (12,946,967) 747,685 9,835,027
November 189,033,022 10,000,856 3,384,358 7,954,018 1,155,022 6,798,996 576,775 4,815,159
December 206,950,923 17,486,539 3,869,398 (3,283,665) 1,550,199 (4,833,864) 895,102 (17,471,581)
1989
January 198,500,151 4,486,645 7,056,758 (10,528,060) 1,305,500 (11,833,560) 1,303,877 34,585,148
February 219,046,617 9,789,490 11,740,980 2,094,187 1,562,348 531,839 731,071 (30,766,041)
March 186,570,043 5,492,357 3,982,890 12,313,819 1,533,172 10,780,647 779,677 3,438,716
April 202,164,982 7,505,901 5,678,206 (5,116,742) 986,846 (6,103,588) 1,139,309 8,083,508
May 206,347,377 2,044,662 9,417,860 21,726,606 1,162,236 20,564,370 783,141 23,845,335
June 243,237,569 2,793,098 13,387,138 48,724,171 1,932,596 46,791,575 890,258 (58,924,171)
July 219,668,558 17,759,325 11,121,768 (30,501,018) 1,027,860 (31,528,878) 1,724,503 21,606,046
August 216,395,275 15,719,025 9,340,105 (15,844,354) 1,723,909 (17,568,263) 1,008,637 (15,156,409)
September 188,377,565 15,441,179 3,273,156 (37,175,919) 2,030,443 (39,206,362) 876,479 5,984,113
October 167,620,065 25,203,604 13,954,937 (23,442,893) 958,716 (24,401,609) 1,172,398 5,847,857
November 160,946,801 3,574,479 2,301,541 2,286,809 1,002,963 1,283,846 686,078 21,728,398
December 185,219,727 7,006,703 4,538,234 23,240,850 1,151,681 22,089,169 603,951 (12,522,635)
<CAPTION>
MANAGEMENT
AND ADJUSTED
INCENTIVE NET RATE OF
FEES PERFORMANCE ENDING EQUITY RETURN (%)
(9) (10) (11) (12)
- ------------------
---------------------------------------------------
<S> <C> <C> <C> <C>
1987
January 85,253 2,851,704 34,352,492 9.1
February 130,149 1,620,488 39,431,485 4.3
March 166,761 3,309,823 44,769,310 8.0
April 224,136 5,802,054 50,516,585 13.0
May 348,332 (4,884,774) 59,648,885 (7.6)
June 420,209 (1,690,351) 64,656,224 (2.5)
July 418,414 1,875,394 76,358,291 2.5
August 318,209 (12,409,630) 93,476,978 (11.7)
September 282,816 (4,835,104) 87,714,777 (5.2)
October 279,572 16,762,231 103,796,688 19.3
November 247,490 17,144,487 112,916,689 17.9
December 995,674 18,012,382 126,225,394 16.6
Compounded Annual Rate of Return: 75.81%
1988
January 2,311,203 (22,420,965) 116,345,338 (16.2)
February 923,737 4,852,110 122,729,161 4.1
March 406,786 (4,763,346) 121,365,798 (3.8)
April 451,372 (131,253) 121,312,512 (0.1)
May 214,870 18,133,816 137,495,710 15.2
June 2,447,972 28,994,536 157,272,630 22.6
July 1,390,909 (10,417,284) 142,698,337 (6.8)
August 1,189,113 9,508,820 163,066,526 6.2
September 1,122,082 (4,262,905) 161,444,514 (2.6)
October 597,418 (2,961,673) 189,033,022 (1.5)
November 889,527 11,301,403 206,950,923 5.8
December 657,570 (22,067,913) 198,500,151 (10.0)
Compounded Annual Rate of Return: 7.09%
1989
January 938,886 23,116,579 219,046,617 11.8
February 1,021,953 (30,525,084) 186,570,043 (14.1)
March 913,568 14,085,472 202,164,982 7.5
April 764,529 2,354,700 206,347,377 1.2
May 929,456 44,263,390 243,237,569 22.2
June 1,732,633 (12,974,971) 219,668,558 (5.6)
July 1,712,511 (9,910,840) 216,395,275 (4.4)
August 2,680,595 (34,396,630) 188,377,565 (15.4)
September 579,753 (32,925,523) 167,620,065 (16.4)
October 540,577 (17,921,931) 160,946,801 (10.0)
November 698,334 22,999,988 185,219,727 14.2
December 457,044 9,713,441 197,401,637 5.2
Compounded Annual Rate of Return: (11.94%)
</TABLE>
91
<PAGE>
TABLE B-1 (cont'd)
JOHN W. HENRY & CO., INC.
PERFORMANCE RECORD--COMPOSITE OF JWH INVESTMENT PROGRAMS
(EXCLUDING INTERRATE-TM-)
<TABLE>
<CAPTION>
GROSS NET INC (DEC)
REALIZED REALIZED UNREALIZED
BEGINNING PROFIT BROKERAGE PROFIT INTEREST PROFIT
EQUITY ADDITIONS WITHDRAWALS (LOSS) COMMISSIONS (LOSS) INCOME (LOSS)
(1) (2) (3) (4) (5) (6) (7) (8)
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1990
January 197,401,637 13,997,321 9,566,762 (4,762,756) 1,995,600 (6,758,356) 1,258,393 26,815,648
February 222,598,752 1,604,975 10,680,382 31,890,164 995,837 30,894,327 1,199,225 (11,679,594)
March 233,394,092 3,073,157 5,671,446 22,014,827 1,326,809 20,688,018 739,293 5,561,665
April 257,032,489 3,578,798 14,778,865 (6,956,670) 915,292 (7,871,962) 1,357,645 24,936,605
May 259,090,951 14,476,977 8,913,194 7,923,548 1,638,639 6,284,909 845,650 (48,412,874)
June 222,231,042 7,275,424 6,139,558 4,513,822 1,837,190 2,676,632 760,476 16,734,711
July 242,489,780 41,948,647 15,691,265 (11,590,677) 1,282,362 (12,873,039) 1,215,299 51,706,443
August 308,173,313 1,844,818 10,287,086 40,369,798 1,715,166 38,654,632 1,214,610 4,994,372
September 343,864,605 26,647,221 18,164,376 88,474,672 1,765,665 86,709,007 990,553 (68,256,566)
October 370,602,511 17,803,426 18,387,346 (8,419,521) 1,739,808 (10,159,329) 1,171,331 3,985,902
November 357,124,673 48,911,855 17,306,251 12,102,458 1,593,750 10,508,708 1,203,394 (5,760,983)
December 393,149,036 74,695,359 10,209,141 1,640,389 1,873,424 (233,036) 1,143,955 (14,319,820)
1991
January 441,300,061 58,784,599 19,359,954 (31,241,736) 1,733,132 (32,974,868) 1,602,975 13,839,674
February 461,812,703 62,340,606 2,420,773 15,013,227 1,966,569 13,046,658 2,177,250 (6,366,293)
March 529,867,265 5,217,796 5,752,536 (3,591,233) 3,170,125 (6,761,358) 1,770,452 49,211,043
April 571,464,525 12,464,209 20,980,218 (6,733,543) 2,498,658 (9,232,201) 1,942,660 8,037,100
May 560,569,683 23,586,173 9,665,518 2,490,228 2,081,668 408,560 1,323,857 5,918,695
June 580,615,169 25,654,249 29,194,954 55,345,726 2,935,362 52,410,364 1,722,622 (46,755,658)
July 581,738,133 71,406,730 15,735,820 (45,698,264) 3,079,188 (48,777,452) 1,706,053 (33,549,641)
August 554,876,905 15,524,403 4,859,357 (48,193,654) 2,348,054 (50,541,708) 1,660,471 61,514,341
September 576,314,119 2,450,482 7,289,904 (17,428,287) 2,804,220 (20,232,507) 1,520,196 125,630,796
October 675,947,241 8,629,768 21,158,366 3,520,371 2,636,579 883,792 2,312,218 (34,686,952)
November 625,480,853 10,176,659 12,961,168 107,356,208 2,661,872 104,694,336 1,666,837 (72,974,308)
December 652,521,304 6,331,915 25,681,265 45,458,495 3,432,613 42,025,882 2,097,083 219,035,963
1992
January 858,016,361 54,911,961 31,565,304 28,491,261 3,500,920 24,990,341 1,796,420 (168,357,832)
February 737,202,999 10,615,483 17,054,048 80,755,218 3,986,736 76,768,482 1,493,896 (164,556,860)
March 642,350,678 39,589,552 12,581,548 (22,338,018) 2,957,511 (25,295,529) 1,416,538 39,946,618
April 682,796,146 23,006,348 38,247,405 (64,313,465) 3,587,628 (67,901,093) 1,673,418 4,686,672
May 603,618,353 22,653,234 17,163,277 (31,506,689) 2,991,304 (34,497,993) 1,037,627 16,695,107
June 589,939,873 9,988,724 36,991,711 18,836,248 2,837,031 15,999,217 1,576,884 85,580,112
July 662,789,396 22,917,820 17,561,027 15,085,844 2,367,451 12,718,393 1,518,607 121,411,234
August 798,274,739 4,271,186 40,303,685 144,285,488 2,861,354 141,424,134 1,097,514 (44,703,555)
September 847,324,301 9,514,253 28,521,168 91,655,415 4,295,108 87,360,307 1,609,613 (131,402,267)
October 787,975,849 8,976,348 31,000,399 (11,956,667) 2,599,854 (14,556,521) 1,121,443 (11,495,136)
November 738,071,444 13,307,247 20,108,239 20,936,700 2,515,163 18,421,537 1,095,372 (18,247,611)
December 730,279,767 20,674,253 30,539,962 112,463 2,649,516 (2,537,053) 1,641,638 (8,656,067)
<CAPTION>
MANAGEMENT
AND ADJUSTED
INCENTIVE NET RATE OF
FEES PERFORMANCE ENDING EQUITY RETURN (%)
(9) (10) (11) (12)
- ------------------
---------------------------------------------------
<S> <C> <C> <C> <C>
1990
January 549,129 20,766,556 222,598,752 10.3
February 543,211 19,870,747 233,394,092 9.3
March 752,290 26,236,686 257,032,489 11.4
April 5,163,759 13,258,529 259,090,951 5.4
May 1,141,377 (42,423,692) 222,231,042 (16.0)
June 1,048,947 19,122,872 242,489,780 8.6
July 622,552 39,426,151 308,173,313 14.7
August 730,054 44,133,560 343,864,605 14.7
September 1,187,933 18,255,061 370,602,511 5.2
October 7,891,822 (12,893,918) 357,124,673 (3.5)
November 1,532,360 4,418,759 393,149,036 1.1
December 2,926,292 (16,335,192) 441,300,061 (3.6)
Compounded Annual Rate of Return: 68.00%
1991
January 1,379,783 (18,912,002) 461,812,703 (3.9)
February 722,886 8,134,729 529,867,265 1.6
March 2,088,137 42,132,000 571,464,525 8.0
April 3,126,392 (2,378,833) 560,569,683 (0.4)
May 1,526,281 6,124,831 580,615,169 1.1
June 2,713,659 4,663,669 581,738,133 0.8
July 1,911,098 (82,532,138) 554,876,905 (12.9)
August 1,860,936 10,772,168 576,314,119 1.9
September 2,445,941 104,472,544 675,947,241 18.3
October 6,446,848 (37,937,790) 625,480,853 (5.7)
November 3,561,905 29,824,960 652,521,304 4.8
December 38,314,521 224,844,407 858,016,361 35.5
Compounded Annual Rate of Return: 50.11%
1992
January 2,588,948 (144,160,019) 737,202,999 (16.7)
February 2,119,274 (88,413,756) 642,350,678 (12.1)
March 2,630,163 13,437,464 682,796,146 2.0
April 2,395,733 (63,936,736) 603,618,353 (9.4)
May 2,403,178 (19,168,437) 589,939,873 (3.1)
June 3,303,703 99,852,510 662,789,396 17.3
July 5,519,684 130,128,550 798,274,739 19.4
August 12,736,032 85,082,061 847,324,301 11.2
September (2,090,810) (40,341,537) 787,975,849 (4.9)
October 2,950,140 (27,880,354) 738,071,444 (3.6)
November 2,259,983 (990,685) 730,279,767 (0.1)
December 2,627,337 (12,178,819) 708,235,239 (1.7)
Compounded Annual Rate of Return: (8.10%)
</TABLE>
92
<PAGE>
TABLE B-1 (cont'd)
JOHN W. HENRY & CO., INC.
PERFORMANCE RECORD--COMPOSITE OF JWH INVESTMENT PROGRAMS
(EXCLUDING INTERRATE-TM-)
<TABLE>
<CAPTION>
GROSS NET INC/DEC
REALIZED REALIZED UNREALIZED
BEGINNING PROFIT BROKERAGE PROFIT INTEREST PROFIT
EQUITY ADDITIONS WITHDRAWALS (LOSS) COMMISSIONS (LOSS) INCOME (LOSS)
(1) (2) (3) (4) (5) (6) (7) (8)
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1993
January 708,235,239 122,323,738 26,561,503 (6,373,533) 2,994,136 (9,367,669) 1,113,953 14,164,797
February 807,761,515 20,333,660 15,260,244 69,478,961 2,700,267 66,778,694 1,449,321 39,695,379
March 909,925,640 14,883,575 14,124,013 13,230,172 3,048,159 10,182,013 1,832,770 (10,784,402)
April 909,883,409 32,197,571 35,756,337 9,450,253 3,006,299 6,443,954 1,267,687 60,831,520
May 962,976,779 15,831,369 14,545,086 57,333,257 3,775,729 53,557,528 1,610,444 (23,907,769)
June 989,033,848 18,363,145 15,078,284 31,805,666 3,912,898 27,892,768 2,185,206 (15,818,263)
July 1,001,836,914 28,881,710 22,525,190 (677,088) 2,644,940 (3,322,028) 1,647,725 107,543,390
August 1,095,415,284 32,261,427 25,522,330 88,773,853 3,827,277 84,946,576 1,678,500 (110,485,004)
September 1,079,566,691 38,474,934 24,905,183 53,998,300 4,406,832 49,591,468 2,248,255 (56,137,651)
October 1,086,579,158 16,084,834 23,615,560 (14,356,634) 3,243,696 (17,600,330) 1,940,566 (2,212,395)
November 1,057,599,666 18,530,759 16,333,396 5,123,999 3,424,194 1,699,805 2,093,958 (2,482,450)
December 1,057,381,280 17,588,245 19,451,969 6,067,828 3,226,704 2,841,124 1,679,459 29,234,125
1994
January 1,084,215,850 71,090,257 45,888,297 4,112,953 3,018,168 1,094,785 2,724,599 (26,970,803)
February 1,082,906,028 64,889,626 85,230,517 5,961,939 3,528,556 2,433,383 2,194,218 (11,432,521)
March 1,053,486,647 61,158,840 48,113,093 14,298,345 3,405,421 10,892,924 1,993,411 51,364,743
April 1,123,834,370 90,528,695 32,351,866 (12,641,383) 3,190,153 (15,831,536) 2,206,962 24,278,166
May 1,188,255,342 32,738,051 28,757,662 39,041,595 3,565,314 35,476,281 3,065,695 (15,713,299)
June 1,208,615,282 48,046,450 22,172,865 29,258,036 3,957,635 25,300,401 2,980,295 50,591,669
July 1,298,630,377 55,460,660 47,214,674 11,498,633 3,574,428 7,924,205 3,182,605 (76,482,503)
August 1,237,554,996 76,185,549 46,576,917 (15,446,475) 3,822,906 (19,269,381) 3,775,725 (26,802,000)
September 1,221,202,725 21,513,765 17,326,577 18,275,978 3,786,192 14,489,786 3,654,181 2,595,921
October 1,242,240,142 29,989,223 124,818,971 (39,381,572) 3,581,304 (42,962,876) 3,967,950 51,374,089
November 1,155,891,874 29,178,483 26,434,484 (3,059,571) 3,925,104 (6,984,675) 4,510,870 (30,735,319)
December 1,122,000,559 18,010,025 34,582,861 (67,357,459) 3,741,840 (71,099,299) 3,442,267 36,831,363
1995
January 1,071,353,229 69,720,810 44,039,327 1,037,343 4,044,695 (3,007,352) 4,009,473 (39,941,627)
February 1,054,742,812 7,929,066 28,459,281 129,003,368 3,711,118 125,292,250 4,116,890 23,612,063
March 1,182,540,675 4,958,245 33,388,993 37,029,861 4,331,887 32,697,974 3,338,391 175,507,419
<CAPTION>
MANAGEMENT
AND ADJUSTED
INCENTIVE NET RATE OF
FEES PERFORMANCE ENDING EQUITY RETURN (%)
(9) (10) (11) (12)
- ------------------
---------------------------------------------------
<S> <C> <C> <C> <C>
1993
January 2,147,040 3,764,041 807,761,515 0.5
February 10,832,685 97,090,709 909,925,640 11.9
March 2,032,174 (801,793) 909,883,409 (0.1)
April 11,891,025 56,652,136 962,976,779 6.3
May 6,489,417 24,770,786 989,033,848 2.6
June 4,741,506 9,518,205 1,001,836,914 1.0
July 18,647,237 87,221,850 1,095,415,284 8.7
August (1,272,238) (22,587,690) 1,079,566,691 (2.0)
September 2,259,356 (6,557,284) 1,086,579,158 (0.6)
October 3,576,607 (21,448,766) 1,057,599,666 (2.0)
November 3,727,062 (2,415,749) 1,057,381,280 (0.2)
December 5,056,414 28,698,294 1,084,215,850 2.7
Compounded Annual Rate of Return: 31.37%
1994
January 3,360,363 (26,511,782) 1,082,906,028 (2.4)
February 2,273,570 (9,078,490) 1,053,486,647 (0.8)
March 6,949,102 57,301,976 1,123,834,370 5.4
April 4,409,449 6,244,143 1,188,255,342 0.5
May 6,449,126 16,379,551 1,208,615,282 1.4
June 14,730,855 64,141,510 1,298,630,377 5.2
July 3,945,674 (69,321,367) 1,237,554,996 (5.3)
August 3,665,247 (45,960,903) 1,221,202,725 (3.6)
September 3,889,659 16,850,229 1,242,240,142 1.4
October 3,897,683 8,481,480 1,155,891,874 0.7
November 3,426,190 (36,635,314) 1,122,000,559 (3.2)
December 3,248,825 (34,074,494) 1,071,353,229 (3.1)
Compounded Annual Rate of Return: (4.36%)
1995
January 3,352,394 (42,291,900) 1,054,742,812 (3.9)
February 4,693,125 148,328,078 1,182,540,675 14.3
March 25,540,829 186,002,955 1,340,112,882 16.1
Compounded Rate of Return (3 months) 27.61%
</TABLE>
93
<PAGE>
TABLE B-2
JOHN W. HENRY & CO., INC.
PERFORMANCE RECORD--COMPOSITE OF THE INTERRATE-TM- PROGRAM
<TABLE>
<CAPTION>
GROSS
REALIZED NET REALIZED INC/DEC
BEGINNING PROFIT BROKERAGE PROFIT INTEREST UNREALIZED
EQUITY ADDITIONS WITHDRAWALS (LOSS) COMMISSIONS (LOSS) INCOME PROFIT (LOSS)
(1) (2) (3) (4) (5) (6) (7) (8)
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1987
November 0 801,383 0 0 1,083 (1,083) 0 15,313
December 815,613 0 0 (13,910) 297 (14,207) 0 22,594
1988
January 824,000 0 0 (7,681) 1,449 (9,131) 8,696 13,985
February 837,551 0 0 54,412 927 53,486 3,880 (40,975)
March 853,942 0 0 0 1,135 (1,135) 4,281 (2,573)
April 854,515 0 0 17,306 0 17,306 3,880 10,756
May 886,457 0 0 11,096 1,126 9,970 4,391 19,395
June 920,213 0 0 (13,318) 622 (13,941) 4,673 7,043
July 917,989 0 0 42,539 933 41,606 4,829 (34,701)
August 929,723 0 0 20,533 897 19,636 5,013 (24,967)
September 929,405 0 0 (5,867) (4,894) (974) 5,592 (1,865)
October 932,158 0 0 13,991 2,699 11,292 5,778 (18,875)
November 930,353 0 0 (26,967) 757 (27,724) 5,778 50,029
December 958,436 11,710,726 1,119,771 19,753 14,157 5,596 62,298 13,369
1989
January 11,619,178 3,604,926 421,873 206,870 20,684 186,186 100,063 383,379
February 15,454,130 3,161,016 643,447 (4,900) 21,896 (26,796) 100,564 (614,927)
March 17,411,772 114,794 408,969 216,249 27,468 188,781 140,264 141,894
April 17,564,992 703,173 704,323 (36,158) 23,701 (59,859) 119,712 (117,240)
May 17,486,140 311,334 2,735,255 506,082 24,672 481,410 119,835 (447,829)
June 15,194,488 205,342 1,846,728 788,551 21,495 767,056 101,396 (808,200)
July 13,594,930 773,160 1,235,299 (630,725) 18,615 (649,340) 92,522 297,373
August 12,857,390 0 1,134,149 (721,801) 18,733 (740,534) 88,206 693,461
September 11,748,317 14,962 1,915,941 (379,470) 14,726 (394,196) 70,786 (180,352)
October 9,330,954 0 539,137 (378,838) 13,391 (392,229) 64,501 442,100
November 8,894,711 0 863,543 (343,179) 12,382 (355,561) 55,371 371,749
December 8,092,114 0 721,898 183,985 11,091 172,894 59,383 21,224
1990
January 7,614,210 0 516,782 (36,562) 11,581 (48,143) 51,162 70,190
February 7,160,717 0 622,692 48,810 9,261 39,549 40,125 50,080
March 6,659,841 0 1,929,953 143,100 8,884 134,216 39,998 94,063
April 4,990,544 0 449,521 21,550 6,620 14,930 27,784 28,940
May 4,607,006 0 211,620 172,905 6,635 166,270 25,358 (206,825)
June 4,374,318 0 792,422 312,375 5,933 306,442 22,177 (115,319)
July 3,790,115 0 407,020 (5,925) 5,572 (11,497) 17,894 214,678
August 3,599,394 0 10,353 226,801 5,795 221,006 15,456 (120,949)
September 3,699,587 0 147,452 302,296 5,000 297,296 13,850 (237,738)
October 3,621,258 0 271,620 0 5,620 (5,620) 14,656 92,040
November 3,445,896 0 108,256 (63,404) 5,036 (68,440) 11,468 28,824
December 3,305,177 39,895 0 162,424 4,691 157,733 11,233 (195,166)
<CAPTION>
MANAGEMENT
AND ADJUSTED
INCENTIVE NET ENDING RATE OF
FEES PERFORMANCE EQUITY RETURN
(9) (10) (11) (12)
- ------------------
-------------------------------------------------
<S> <C> <C> <C> <C>
1987
November 0 14,230 815,613 1.78
December 0 8,387 824,000 1.03
Compounded Rate of Return (2 months) 2.82%
1988
January 0 13,551 837,551 1.64
February 0 16,391 853,942 1.96
March 0 574 854,515 0.07
April 0 31,942 886,457 3.74
May 0 33,756 920,213 3.81
June 0 (2,224) 917,989 (0.24)
July 0 11,734 929,723 1.28
August 0 (318) 929,405 (0.03)
September 0 2,753 932,158 0.30
October 0 (1,805) 930,353 (0.19)
November 0 28,083 958,436 3.02
December 11,476 69,787 11,619,178 0.60
Compounded Annual Rate of Return: 17.02%
1989
January 17,729 651,899 15,454,130 4.40
February 18,768 (559,927) 17,411,772 (3.12)
March 23,544 447,395 17,564,992 2.61
April 20,315 (77,702) 17,486,140 (0.44)
May 21,147 132,269 15,194,488 0.88
June 18,424 41,828 13,594,930 0.31
July 15,956 (275,401) 12,857,390 (2.10)
August 16,057 25,076 11,748,317 0.21
September 12,622 (516,384) 9,330,954 (5.24)
October 11,478 102,894 8,894,711 1.17
November 10,613 60,946 8,092,114 0.76
December 9,507 243,994 7,614,210 3.31
Compounded Annual Rate of Return: 2.38%
1990
January 9,920 63,289 7,160,717 0.89
February 7,938 121,816 6,659,841 1.86
March 7,621 260,656 4,990,544 5.51
April 5,671 65,983 4,607,006 1.45
May 5,871 (21,068) 4,374,318 (0.48)
June 5,081 208,219 3,790,115 5.81
July 4,776 216,299 3,599,394 6.39
August 4,967 110,546 3,699,587 3.08
September 4,285 69,123 3,621,258 1.95
October 4,818 96,258 3,445,896 2.87
November 4,315 (32,463) 3,305,177 (0.97)
December 4,021 (30,221) 3,314,851 (0.90)
Compounded Annual Rate of Return: 30.76%
</TABLE>
94
<PAGE>
TABLE B-2 (cont'd)
JOHN W. HENRY & CO., INC.
PERFORMANCE RECORD--COMPOSITE OF THE INTERRATE-TM- PROGRAM
<TABLE>
<CAPTION>
GROSS
REALIZED NET REALIZED INC/DEC
BEGINNING PROFIT BROKERAGE PROFIT INTEREST UNREALIZED
EQUITY ADDITIONS WITHDRAWALS (LOSS) COMMISSIONS (LOSS) INCOME PROFIT (LOSS)
(1) (2) (3) (4) (5) (6) (7) (8)
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1991
January 3,314,851 0 311,833 (120,753) 4,761 (125,514) 9,941 22,758
February 2,906,122 40,196,436 57,936 (15,382) 91,237 (106,619) 7,128 (674,516)
March 42,267,333 499,963 64,172 (120,136) 58,370 (178,506) 193,157 433,421
April 43,097,718 0 528,662 (431,747) 50,610 (482,357) 209,938 (42,974)
May 42,235,168 0 114,513 272,557 25,338 247,219 192,972 (67,175)
June 42,440,520 2,528,923 5,938 (402,966) 64,834 (467,800) 194,470 371,401
July 45,008,577 0 214,540 (185,094) 32,464 (217,558) 192,924 134,587
August 44,853,779 0 849,830 (783,522) 56,081 (839,603) 196,253 324,016
September 43,623,483 0 157,269 693,769 60,602 633,167 187,503 1,133,154
October 45,362,235 0 544,481 467,632 58,526 409,106 177,533 (898,691)
November 44,439,812 0 130,955 1,365,495 74,910 1,290,585 174,336 (771,480)
December 44,944,075 206 26,436 645,356 35,818 609,538 157,252 4,132,217
1992
January 48,821,917 1,000,124 1,973,887 1,942,995 77,783 1,865,212 165,439 (5,377,611)
February 44,433,407 2,000,000 9,817 (491,811) 77,443 (569,254) 146,491 (736,053)
March 45,206,043 658,320 36,843 (1,821,134) 89,655 (1,910,789) 134,702 1,971,173
April 45,967,125 0 18,531 (233,481) 76,225 (309,706) 210,315 501,788
May 46,291,185 0 1,499,776 (3,327) 78,905 (82,232) 132,476 637,139
June 45,421,167 86,216 61,685 654,124 58,641 595,483 143,355 2,811,471
July 48,909,304 1,749,503 4,420,712 2,549,451 76,938 2,472,513 126,741 (274,599)
August 48,499,725 1,285 18,045 2,269,266 32,046 2,237,220 116,150 1,590,407
September 52,360,272 97,585 166,990 3,339,056 98,604 3,240,452 117,436 (8,376,422)
October 47,205,593 0 2,063,963 69,392 22,930 46,462 102,584 (1,001,617)
November 44,212,517 0 94,608 (3,734,824) 17,447 (3,752,271) 101,956 3,630,316
December 44,040,814 0 1,784,340 (523,239) 19,886 (543,125) 108,234 455,797
1993
January 42,218,880 0 1,872,136 (130,019) 78,287 (208,306) 106,175 (254,689)
February 39,932,544 8 8,044,903 (180,255) 28,581 (208,836) 99,432 512,918
March 32,238,667 0 336,495 (371,406) 28,357 (399,763) 65,919 201,854
April 31,717,020 0 1,692,146 231,873 59,503 172,370 70,732 (29,471)
May 30,206,357 0 1,021,281 181,344 30,572 150,772 68,938 (30,661)
June 29,333,926 0 2,653,485 237,527 33,527 204,000 80,233 (490,374)
July 26,435,001 0 1,074,801 (318,837) 25,423 (344,260) 65,619 88,644
August 25,132,067 0 319,076 143,550 19,268 124,282 63,701 (185,744)
September 24,782,713 0 267,104 (265,349) 40,515 (305,864) 70,861 78,985
October 24,328,822 0 261,050 (147,631) 16,224 (163,855) 57,117 (279,100)
November 23,651,561 0 281,644 (588,512) 32,928 (621,440) 62,422 183,848
December 22,964,995 0 358,495 (332,538) 21,243 (353,781) 59,719 349,464
<CAPTION>
MANAGEMENT
AND ADJUSTED
INCENTIVE NET ENDING RATE OF
FEES PERFORMANCE EQUITY RETURN
(9) (10) (11) (12)
- ------------------
-------------------------------------------------
<S> <C> <C> <C> <C>
1991
January 4,081 (96,896) 2,906,122 (3.23)
February 3,281 (777,288) 42,267,333 (1.81)
March 53,478 394,594 43,097,718 0.92
April 18,495 (333,888) 42,235,168 (0.78)
May 53,151 319,865 42,440,520 0.76
June 52,999 45,072 45,008,577 0.10
July 50,211 59,742 44,853,779 0.13
August 61,132 (380,466) 43,623,483 (0.86)
September 57,803 1,896,021 45,362,235 4.36
October 65,890 (377,942) 44,439,812 (0.84)
November 58,223 635,218 44,944,075 1.43
December 994,935 3,904,072 48,821,917 8.69
Compounded Annual Rate of Return: 8.69%
1992
January 67,787 (3,414,747) 44,433,407 (7.14)
February 58,731 (1,217,547) 45,206,043 (2.68)
March 55,481 139,605 45,967,125 0.30
April 59,806 342,591 46,291,185 0.75
May 57,625 629,758 45,421,167 1.41
June 86,703 3,463,606 48,909,304 7.62
July 63,025 2,261,630 48,499,725 4.60
August 66,470 3,877,307 52,360,272 8.00
September 66,740 (5,085,274) 47,205,593 (9.72)
October 76,542 (929,113) 44,212,517 (2.06)
November 57,096 (77,095) 44,040,814 (0.17)
December 58,500 (37,594) 42,218,880 (0.09)
Compounded Annual Rate of Return: (0.72%)
1993
January 57,380 (414,200) 39,932,544 (1.03)
February 52,496 351,018 32,238,667 1.10
March 53,162 (185,152) 31,717,020 (0.58)
April 32,148 181,483 30,206,357 0.60
May 40,199 148,850 29,333,926 0.51
June 39,299 (245,440) 26,435,001 (0.92)
July 38,136 (228,133) 25,132,067 (0.90)
August 32,517 (30,278) 24,782,713 (0.12)
September 30,769 (186,787) 24,328,822 (0.76)
October 30,373 (416,211) 23,651,561 (1.73)
November 29,752 (404,922) 22,964,995 (1.73)
December 28,611 26,791 22,633,291 0.12
Compounded Annual Rate of Return: (5.35%)
</TABLE>
95
<PAGE>
TABLE B-2 (cont'd)
JOHN W. HENRY & CO., INC.
PERFORMANCE RECORD--COMPOSITE OF THE INTERRATE-TM- PROGRAM
<TABLE>
<CAPTION>
GROSS
REALIZED NET REALIZED INC (DEC)
BEGINNING PROFIT BROKERAGE PROFIT INTEREST UNREALIZED
EQUITY ADDITIONS WITHDRAWALS (LOSS) COMMISSIONS (LOSS) INCOME PROFIT (LOSS)
(1) (2) (3) (4) (5) (6) (7) (8)
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1994
January 22,633,291 0 1,643,575 71,733 4,496 67,237 60,264 (78,494)
February 21,010,275 0 274,654 196,438 9,875 186,563 55,470 (539,264)
March 20,410,826 0 1,185,349 (686,258) 8,100 (694,358) 51,843 720,512
April 19,278,051 0 402,101 (56,792) 4,096 (60,888) 60,252 122,764
May 18,974,038 0 543,351 0 1,772 (1,772) 62,331 28,466
June 18,496,053 0 252,515 205,222 8,480 196,742 68,449 13,810
July 18,499,471 0 668,161 58,019 2,535 55,484 64,724 (43,312)
August 17,885,143 0 192,307 99,117 760 98,357 69,734 (70,961)
September 17,767,669 0 242,840 56,254 15,781 40,473 69,684 226,508
October 17,839,326 0 326,235 0 2,579 (2,579) 69,942 489,729
November 18,047,930 0 271,846 0 11,567 (11,567) 77,172 (586,242)
December 17,232,929 0 229,282 (169,205) 9,695 (178,900) 77,746 104,957
1995
January 16,985,954 0 270,319 0 22,719 (22,719) 84,992 (463,274)
February 16,293,436 0 231,359 0 8,262 (8,262) 84,939 (199,058)
March 15,919,368 0 382,400 (727,446) 6,772 (734,218) 72,643 630,018
<CAPTION>
MANAGEMENT
AND ADJUSTED
INCENTIVE NET ENDING RATE OF
FEES PERFORMANCE EQUITY RETURN
(9) (10) (11) (12)
- ------------------
-------------------------------------------------
<S> <C> <C> <C> <C>
1994
January 28,448 20,559 21,010,275 0.10
February 27,564 (324,795) 20,410,826 (1.57)
March 25,423 52,574 19,278,051 0.27
April 24,040 98,088 18,974,038 0.52
May 23,659 65,366 18,496,053 0.35
June 23,068 255,933 18,499,471 1.40
July 23,063 53,833 17,885,143 0.30
August 22,297 74,833 17,767,669 0.42
September 22,168 314,497 17,839,326 1.79
October 22,253 534,839 18,047,930 3.05
November 22,518 (543,155) 17,232,929 (3.06)
December 21,496 (17,693) 16,985,954 (0.10)
Compounded Annual Rate of Return: 3.42%
1995
January 21,198 (422,199) 16,293,436 (2.53)
February 20,328 (142,709) 15,919,368 (0.89)
March 19,840 (51,397) 15,485,571 (0.33)
Compounded Rate of Return (3 months): (3.71%)
</TABLE>
96
<PAGE>
TABLE B-3
JWH INVESTMENTS, INC.
FINANCIAL AND METALS PORTFOLIO
COMPOSITE PERFORMANCE RECORD
<TABLE>
<CAPTION>
GROSS INC (DEC)
REALIZED NET REALIZED UNREALIZED
BEGINNING PROFIT BROKERAGE PROFIT INTEREST PROFIT
EQUITY ADDITIONS WITHDRAWALS (LOSS) COMMISSIONS (LOSS) INCOME (LOSS)
(1) (2) (3) (4) (5) (6) (7) (8)
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1991
September 0 990,994 0 (31,350) 298 (31,649) (130) 123,114
October 1,082,330 16,094 0 (49,323) 578 (49,901) (86) (32,821)
November 1,015,616 0 16 42,104 1,024 41,080 736 31,741
December 1,089,157 0 44 211,825 3,193 208,632 12,166 199,047
1992
January 1,508,958 0 45 (158,455) 1,391 (159,846) 1,916 (91,906)
February 1,259,077 0 26 141,746 9,393 132,353 887 (260,876)
March 1,131,415 0 65 (9,201) 835 (10,036) 11,646 36,799
April 1,155,631 0 60 (125,674) 5,984 (131,658) 2,314 3,558
May 1,029,785 0 40 (90,167) 1,107 (91,274) 1,354 49,435
June 989,260 0 62 48,576 370 48,206 2,073 175,593
July 1,203,250 0 58 (34,354) 2,351 (36,705) 1,970 347,824
August 1,445,081 0 60 351,771 1,579 350,192 1,742 (200,046)
September 1,598,919 0 120 267,109 5,518 261,591 13,656 (321,536)
October 1,561,502 0 119 (44,418) 1,515 (45,933) 3,845 3,052
November 1,487,104 0 65 13,998 2,057 11,941 1,855 (13,837)
December 1,486,954 0 11,103 (18,625) 1,674 (20,299) 2,993 (6,182)
1993
January 1,436,343 0 60 (38,812) 1,838 (40,650) 1,801 106,112
February 1,503,546 900,000 156 241,728 4,411 237,317 3,343 63,836
March 2,663,582 544,771 187 55,173 6,358 48,815 5,845 (126,731)
April 3,147,799 0 180 (67,907) 2,923 (70,830) 4,904 411,032
May 3,459,029 0 9,165 209,786 5,944 203,842 6,097 (79,392)
June 3,537,086 0 312 215,808 9,517 206,291 6,677 (183,909)
July 3,539,862 0 260 (56,672) 2,838 (59,510) 7,033 452,393
August 3,880,586 0 265 261,247 5,811 255,436 7,430 (266,277)
September 3,848,071 0 262 369,275 10,047 359,228 26,996 (338,577)
October 3,892,358 5,000,000 9,243 (98,709) 5,167 (103,876) 17,953 58,347
November 8,855,539 0 826 (1,067) 9,977 (11,044) 20,239 (20,644)
December 8,843,264 0 965 84,845 3,819 81,026 25,984 199,741
<CAPTION>
MANAGEMENT
AND ADJUSTED
INCENTIVE NET ENDING RATE OF
FEES PERFORMANCE EQUITY RETURN
(9) (10) (11) (12)
- ------------------
---------------------------------------------------
<S> <C> <C> <C> <C>
1991
September 0 91,336 1,082,330 15.4
October 0 (82,808) 1,015,616 (7.5)
November 0 73,557 1,089,157 7.2
December 0 419,845 1,508,958 38.5
Compounded Rate of Return (4 months) 58.49%
1992
January 0 (249,836) 1,259,077 (16.6)
February 0 (127,636) 1,131,415 (10.1)
March 14,128 24,281 1,155,631 2.1
April 0 (125,786) 1,029,785 (10.9)
May 0 (40,485) 989,260 (3.9)
June 11,820 214,052 1,203,250 21.6
July 71,200 241,889 1,445,081 20.1
August (2,010) 153,898 1,598,919 10.7
September (8,992) (37,297) 1,561,502 (2.3)
October 35,243 (74,279) 1,487,104 (4.8)
November 44 (85) 1,486,954 (0.0)
December 16,020 (39,508) 1,436,343 (2.7)
Compounded Annual Rate of Return: (4.04%)
1993
January 0 67,263 1,503,546 4.7
February 44,304 260,192 2,663,582 12.1
March (11,704) (60,367) 3,147,799 (1.9)
April 33,696 311,410 3,459,029 9.9
May 43,325 87,222 3,537,086 2.5
June 25,971 3,088 3,539,862 0.1
July 58,932 340,984 3,880,586 9.6
August 28,839 (32,250) 3,848,071 (0.8)
September 3,098 44,549 3,892,358 1.2
October 0 (27,576) 8,855,539 (0.3)
November 0 (11,449) 8,843,264 (0.1)
December 64,742 242,009 9,084,308 2.7
Compounded Annual Rate of Return: 46.10%
</TABLE>
97
<PAGE>
TABLE B-3 (cont'd)
JWH INVESTMENTS, INC.
FINANCIAL AND METALS PORTFOLIO
COMPOSITE PERFORMANCE RECORD
<TABLE>
<CAPTION>
GROSS
REALIZED NET REALIZED INC (DEC)
BEGINNING PROFIT BROKERAGE PROFIT INTEREST UNREALIZED
EQUITY ADDITIONS WITHDRAWALS (LOSS) COMMISSIONS (LOSS) INCOME PROFIT (LOSS)
(1) (2) (3) (4) (5) (6) (7) (8)
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1994
January 9,084,308 0 624 (12,403) 5,684 (18,087) 19,001 (212,500)
February 8,896,594 0 795 34,836 8,671 26,165 18,630 (26,467)
March 8,914,127 0 877 255,641 14,924 240,717 31,379 435,174
April 9,452,465 2,000,000 2,828 (46,653) 4,232 (50,885) 21,503 263,450
May 11,651,821 0 951 464,645 8,160 456,485 30,810 (297,289)
June 11,816,996 2,000,000 1,132 42,859 10,559 32,300 44,258 654,922
July 14,444,261 0 1,157 194,965 4,635 190,330 42,215 (956,584)
August 13,756,538 2,119,371 1,699 (466,472) 23,987 (490,459) 61,550 (108,499)
September 15,426,646 0 3,541 21,829 17,131 4,698 41,783 246,803
October 15,678,665 0 1,342 (600,855) 14,228 (615,083) 53,185 846,793
November 15,689,430 0 0 40 11,084 (11,044) 52,986 (551,918)
December 15,179,454 4,000,000 0 (940,241) 11,680 (951,921) 56,937 292,179
1995
January 18,576,649 0 0 (57,044) 17,937 (74,981) 76,402 (561,515)
February 18,016,555 0 0 2,609,025 18,170 2,590,855 117,251 219,579
March 20,809,379 0 0 (395,536) 29,198 (424,734) 106,542 4,053,814
<CAPTION>
MANAGEMENT
AND ADJUSTED
INCENTIVE NET ENDING RATE OF
FEES PERFORMANCE EQUITY RETURN
(9) (10) (11) (12)
- ------------------
---------------------------------------------------
<S> <C> <C> <C> <C>
1994
January (24,496) (187,090) 8,896,594 (2.1)
February 0 18,328 8,914,127 0.2
March 168,055 539,215 9,452,465 6.0
April 31,884 202,184 11,651,821 1.8
May 23,880 166,126 11,816,996 1.4
June 103,083 628,397 14,444,261 5.2
July (37,473) (686,566) 13,756,538 (4.8)
August (89,844) (447,564) 15,426,646 (2.8)
September 37,725 255,560 15,678,665 1.7
October 272,788 12,107 15,689,430 0.1
November 0 (509,976) 15,179,454 (3.3)
December 0 (602,805) 18,576,649 (3.7)
Compounded Annual Rate of Return: (0.77%)
1995
January 0 (560,094) 18,016,555 (3.0)
February 134,861 2,792,824 20,809,379 15.5
March 676,780 3,058,842 23,868,221 14.7
Compounded Rate of Return (3 months) 28.49%
</TABLE>
98
<PAGE>
TABLE B-4
JWH INVESTMENTS, INC.
PERFORMANCE RECORD
INTERRATE-TM- PROGRAM
<TABLE>
<CAPTION>
BEGINNING
BEGINNING EQUITY ADDITIONS TO WITHDRAWALS NET REALIZED
EQUITY NOMINAL NOMINAL TO NOMINAL GROSS REALIZED BROKERAGE PROFIT
ACTUAL FUND ACCOUNT SIZE ACCOUNT SIZE ACCOUNT SIZE PROFIT (LOSS) COMMISSIONS (LOSS)
(1A) (1) (2) (3) (4) (5) (6)
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1992
February 0 0 5,000,000 3,410 0 8,806 (8,806)
March 1,691,685 4,875,269 0 3,801 0 10,572 (10,572)
April 1,680,685 4,864,269 0 3,816 (3,760) 10,884 (14,644)
May 1,895,986 4,884,042 0 3,929 (79,346) 11,488 (90,834)
June 1,955,966 4,944,196 0 4,079 (52,656) 12,200 (64,856)
July 2,309,790 5,298,020 0 4,233 397,595 12,776 384,819
August 2,507,892 5,496,122 0 4,376 172,435 13,485 158,950
September 2,918,900 5,907,130 389,949 246,192 103,957 12,361 91,596
October 2,260,782 5,490,824 29,288 4,187 (74,658) 12,124 (86,782)
November 2,168,739 5,398,781 5,547 3,894 (37,352) 10,493 (47,845)
December 1,834,202 5,378,242 4,367 3,701 (13,014) 10,625 (23,639)
1993
January 1,817,393 5,361,433 15,949 2,307 (52,116) 10,794 (62,910)
February 1,765,804 5,309,713 0 12,582 (3,210) 10,867 (14,077)
March 1,792,727 5,336,636 19,804 1,902 (33,502) 10,168 (43,670)
April 1,771,284 5,315,193 0 8,310 (72,056) 10,066 (82,122)
May 1,794,182 5,330,276 6,734 4,387 97,000 10,072 86,928
June 1,798,555 5,341,197 12,319 2,291 (35,246) 10,984 (46,230)
July 1,864,253 5,299,584 195 2,487 (1,010) 10,933 (11,943)
August 1,803,964 5,239,296 0 3,037 10,958 11,757 (799)
September 2,129,992 5,214,919 0 4,349 (94,714) 12,999 (107,713)
October 2,073,052 5,157,979 0 4,448 35,901 12,975 22,926
November 1,951,230 5,036,157 0 4,934,523 (200,793) 6,154 (206,947)
<CAPTION>
INC/DEC ENDING EQUITY ADJUSTED
INTEREST UNREALIZED MANAGEMENT NET NOMINAL RATE OF
INCOME PROFIT (LOSS) FEES PERFORMANCE ACCOUNT SIZE RETURN
(7) (8) (9) (10) (11) (12)
- ------------------
-----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
1992
February 0 (108,223) 4,292 (121,321) 4,875,269 (4.25)
March 0 8,526 5,153 (7,199) 4,864,269 (0.15)
April 0 43,538 5,305 23,589 4,884,042 0.49
May 0 160,516 5,599 64,083 4,944,196 1.31
June 0 428,705 5,946 357,903 5,298,020 7.24
July 0 (176,257) 6,227 202,335 5,496,122 3.82
August 0 263,006 6,572 415,384 5,907,130 7.56
September 37,791 (683,426) 6,024 (560,063) 5,490,824 (9.26)
October 4,973 (29,426) 5,909 (117,144) 5,398,781 (2.12)
November 4,985 25,782 5,114 (22,192) 5,378,242 (0.41)
December 5,001 6,341 5,178 (17,475) 5,361,433 (0.32)
Compounded Rate of Return (11 months): 2.77%
1993
January 4,831 (586) 6,697 (65,362) 5,309,713 (1.22)
February 3,483 56,794 6,695 39,505 5,336,636 0.75
March 3,679 7,300 6,654 (39,345) 5,315,193 (0.73)
April 3,551 108,646 6,682 23,393 5,330,276 0.44
May 3,381 (75,036) 6,699 8,574 5,341,197 0.16
June 3,758 (2,533) 6,636 (51,641) 5,299,584 (0.97)
July 4,107 (43,600) 6,560 (57,996) 5,239,296 (1.09)
August 4,410 (18,420) 6,531 (21,340) 5,214,919 (0.41)
September 3,536 58,047 6,461 (52,591) 5,157,979 (1.01)
October 2,888 (136,879) 6,309 (117,374) 5,036,157 (2.28)
November 1,952 107,183 3,822 (101,634) 0 (3.96)
Compounded Rate of Return (11 months): (9.92%)
</TABLE>
99
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
JOHN W. HENRY & COMPANY, INC.
AND JWH INVESTMENTS, INC.
FOOTNOTES TO COMPOSITE TABLES A, B-1, B-2, B-3 AND B-4
During the periods covered by the following performance records, and
particularly since 1989, JWH increased and decreased leverage in certain markets
and entire trading programs, and also altered the composition of the markets and
contracts that it traded for certain programs. In general, before 1993 JWH
traded its programs with greater leverage than it does currently. In addition,
the subjective aspects of JWH's trading methods may have had a more pronounced
effect on performance results during recent periods. In reviewing the JWH
performance records, prospective investors should bear in mind the possible
effects on returns of these variations in the application of JWH's trading
methods over time.
The composite rates of return indicated should not be taken as representative of
any rate of return actually achieved by any single account represented in the
records. Investors are further cautioned that the data set forth in the
performance records is not indicative of any trading results which may be
attained by JWH in the future since past results are not necessarily indicative
of future results. JWH has decreased leverage in certain markets and entire
trading programs on certain occasions over the last five years. These actions
have reduced the volatility of certain trading programs when compared to the
volatility prior to the decreases in leverage. While historical returns
represent actual performance achieved, investors should be aware that the degree
of leverage currently utilized may be significantly different from that used
during previous time periods. The following notes are an integral part of the
performance records which are presented on a cash basis unless otherwise stated.
Prior to December 1991 for JWH and July 1992 for JWHII, performance records are
presented on a cash basis except as otherwise stated in the footnotes to the
records. The recording of items on a cash basis should not, for most months, be
materially different to presenting such rates of return on an accrual basis. Any
differences in monthly rates of return between the two methods would be
immaterial to the overall performance presented. Beginning with the change to
the accrual basis of accounting for incentive fees in December 1991 for JWH and
July 1992 for JWHII, the net effect to monthly net performance and the rate of
return in the performance records of continuing to record interest income,
management fees, commissions and other expenses on a cash basis is materially
equivalent to the full accrual basis.
(1a),(1) "Beginning Equity" represents the sum of the actual equity (including
cash and cash equivalents) deposited in the accounts plus equity allocated but
not actually deposited in such accounts. In the case of Table B-3, Beginning
Equity represents the sum of the actual equity (including cash and cash
equivalents) deposited in the account. See below the Note for the JWHII Track
Record regarding the Beginning Equity figures in Table B-4. Additions represent
Beginning Equity for the initial months of the Tables. For purposes of
determining Beginning Equity, an account is not considered open until the date
it executes its first trade. This method of calculating Beginning Equity can
have a distorting effect on Adjusted Rate of Return calculations in certain
periods.
(2) "Additions" include all the capital actually contributed or committed during
the month. In the case of Table B-3, Additions include all capital actually
contributed during the month. Transfers to one trading program from another are
treated as Additions in Tables A, B-1 and B-2. The Additions in Tables B-3 and
B-4 do not represent transfers.
(3) "Withdrawals" include all capital actually withdrawn and reductions of
capital committed during the month. In the case of Table B-3, Withdrawals
include all capital actually withdrawn during the month. Withdrawals also
include administrative expenses not directly related to the trading programs
such as those charged by commodity pools managed but not organized by JWH or
JWHII. Including such expenses in Withdrawals reduces Ending Equity, but not Net
Performance. Transfers from one trading program to another are included as
Withdrawals in Tables A, B-1 and B-2. The Withdrawals in Tables B-3 and B-4 do
not represent transfers.
(4) "Gross Realized Profit (Loss)" represents realized trading gains and losses
for the month and is not adjusted for Brokerage Commissions.
(5) "Brokerage Commissions" represents the cash actually paid out of the
accounts for trading commissions, typically on the closing-out of open
positions. Recording Brokerage Commissions on a cash rather than an accrual
basis can have a distorting effect on Net Performance and Adjusted Rate of
Return during certain periods, as unrealized profits on open positions will be
included in Net Performance without reduction for the brokerage commissions
related to such positions and which must be incurred before any such profits are
in fact realized.
(6) "Net Realized Profit (Loss)" represents Gross Realized Profit (Loss) less
Brokerage Commissions.
(7) "Interest Income" represents interest actually received on U.S. Treasury
bills, money market funds and/or (in certain accounts) the equity in the
account, net of related expenses. Interest Income is recorded on a cash, not an
100
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
accrual basis. Reporting Interest Income on a cash rather than an accrual basis
can have a distorting effect on Net Performance and Adjusted Rate of Return
during certain periods, as all of the interest due in respect of an instrument
held, for example, three months will be recorded in the month of maturity.
(8) "Increase/(Decrease) in Unrealized Profit (Loss)" represents the
month-to-month change in unrealized trading profits and losses on open positions
and is not adjusted for any Brokerage Commissions or other expenses that would
be incurred upon liquidation of such positions.
(9) "Management and Incentive Fees" represent monthly or quarterly management
and monthly, quarterly or annual incentive fees. Management and Incentive Fees
were not paid on proprietary accounts.
Prior to December 1991, Incentive Fees were recorded on a cash, not an accrual,
basis. In December 1991, JWH began reflecting incentive fees on an accrual
basis. In July 1992, JWHII began reflecting incentive fees on an accrual basis.
Advisory fees vary from account to account managed pursuant to all programs.
Management fees vary from 0% to 6% of assets under management; incentive fees
vary from 0% to 25% of trading profits. Such variations in advisory fees may
have a material impact on the performance of an account from time to time.
(10) "Net Performance" represents Net Realized Profit (Loss) plus or minus the
Increase/(Decrease) in Unrealized Profit (Loss) plus Interest Income less
Management and Incentive Fees.
(11) "Ending Equity" represents the sum of Beginning Equity plus Net Performance
and Additions less Withdrawals. Ending Equity reflects the total net asset value
of all accounts included in the Tables as of each month-end.
(12) "Adjusted Rate of Return" is calculated by dividing Net Performance by the
sum of Beginning Equity plus Additions and minus Withdrawals. For such purposes,
all Additions and Withdrawals are effectively treated as if they had been made
on the first day of the month even if, in fact, they occurred later, unless,
beginning in December 1991, they are material to the performance of a program,
in which case they are time-weighted. For September 1991 in the JWHII Financial
and Metals Table and for February 1992 in the JWHII InterRate Table, additions
were time-weighted. (See "Additional Note" below).
"Annual Rates of Return" are calculated by compounding the monthly adjusted
Rates of Return over the number of periods in a given year. For example, each
month's Adjusted Rate of Return in hundredths is added to one (1) and the result
is multiplied by the previous month's compounded Adjusted Rate of Return
similarly expressed. One (1) is then subtracted from the product.
ADDITIONAL NOTE FOR THE JWH INVESTMENTS, INC.
("JWHII") INTERRATE-TM- TRACK RECORD:
The level of Actual Funds in the account that makes up the JWHII InterRate-TM-
Track Record currently requires additional disclosure. Actual Funds (Column
[1a]) are the amount of margin-qualifying assets on deposit. Nominal Account
Size (Column [1]) is a dollar amount that JWHII and its clients have agreed in
writing will determine the level of trading in an account regardless of the
amount of Actual Funds. Notional Funds are the amount by which the Nominal
Account Size exceeds the amount of Actual Funds. The existing JWHII
InterRate-TM- account currently exceeds the 10 percent disclosure limit of
Notional Funds established by the CFTC.
The JWHII InterRate-TM- Track Record reflects the adoption of a method of
presenting rate-of-return and performance disclosure referred to as the
"Fully-Funded Subset" method, pursuant to an Advisory published by the CFTC.
This method permits notional and fully-funded accounts to be included in a
single performance record.
To qualify for use of the Fully-Funded Subset method, the Advisory requires that
certain computations be made in order to arrive at the Fully-Funded Subset and
that the accounts for which performance is so reported meet two tests which are
designed to provide assurance that the Fully-Funded Subset and the resultant
Adjusted Rates of Return are representative of the trading program.
JWHII has performed these computations since the inception of trading. They were
designed to provide assurance that the performance presented and calculated on a
Fully-Funded Subset basis would be representative of such performance calculated
on a basis which includes notional equity in Beginning Equity. The Adjusted
Rates of Return are calculated by dividing Net Performance by the sum of
Beginning Equity plus Additions minus Withdrawals. This method yields
substantially the same Adjusted Rates of Return as would the Fully-Funded Subset
method were there any fully-funded accounts and the Adjusted Rates of Return
presented in the JWHII InterRate-TM- track record are representative of the
trading program for the periods presented.
101
<PAGE>
TABLE C--PRS DIVERSIFIED
COMPOSITE PERFORMANCE OF ALL DIVERSIFIED ACCOUNTS MANAGED
USING THE SABRE PATTERN RECOGNITION SYSTEM (IN US DOLLARS)
<TABLE>
<CAPTION>
TIME CURRENCY GROSS NET
BEGINNING WEIGHTED CONVERSION REALIZED REALIZED
NET ASSET MONTHLY GAIN/ GAIN/ COMMISSIONS GAIN/
VALUE ADDITIONS WITHDRAWALS EQUITY (LOSS) (LOSS) & EXPENSES (LOSS)
MONTH/YEAR (1) (2) (3) (4) (5) (6) (7) (8)
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Jan-81 142,316 0 0 142,316 0 18,134 4,564 13,570
Feb-81 162,698 0 0 162,698 0 5,867 1,682 4,185
Mar-81 165,709 0 0 165,709 0 (10,667) 1,762 (12,429)
Apr-81 160,507 0 0 160,507 0 (3,089) 1,058 (4,147)
May-81 166,662 0 0 166,662 0 31,506 5,372 26,134
Jun-81 171,117 0 0 171,117 0 (7,825) 1,710 (9,535)
Jul-81 169,391 0 0 169,391 0 (113) 0 (113)
Aug-81 169,178 0 0 169,178 0 (4,297) 1,397 (5,694)
Sep-81 175,698 0 0 175,698 0 15,719 2,595 13,124
Oct-81 171,950 0 0 171,950 0 (215) 499 (714)
Nov-81 188,695 80,000 0 188,695 0 (7,296) 1,498 (8,794)
Dec-81 284,026 0 0 284,026 0 28,970 1,570 27,400
TOTAL 80,000 0 0 66,694 23,707 42,987
Jan-82 280,371 0 20,000 280,371 0 54,655 2,061 52,594
Feb-82 334,749 0 0 334,749 0 (9,856) 1,431 (11,287)
Mar-82 306,466 0 0 306,466 0 44,800 2,232 42,568
Apr-82 337,452 86,400 0 337,452 0 16,312 553 15,759
May-82 452,930 0 0 452,930 0 (6,117) 553 (6,670)
Jun-82 463,275 0 0 463,275 0 1,133 5,812 (4,679)
Jul-82 441,103 340,000 30,000 441,103 0 (8,027) 2,675 (10,702)
Aug-82 804,132 0 0 804,132 0 98,789 2,675 96,114
Sep-82 851,816 340,000 0 851,816 0 (29,019) 8,727 (37,746)
Oct-82 1,164,502 70,508 0 1,164,502 (6,495) 32,814 5,965 26,849
Nov-82 1,213,905 64,679 23,400 1,213,905 (11,314) (60,366) 21,034 (81,400)
Dec-82 1,144,661 1,909,070 123,997 1,144,661 (1,153) (3,405) 4,395 (7,800)
TOTAL 2,810,657 197,397 (18,962) 131,713 58,113 73,600
Jan-83 2,961,237 50,000 31,987 2,961,237 (124,917) 224,341 18,166 206,175
Feb-83 3,419,710 192,611 0 3,419,710 (6,406) 204,875 21,035 183,840
Mar-83 3,433,401 366,108 0 3,433,401 (40,742) 64,793 8,605 56,188
Apr-83 3,942,009 73,803 0 3,942,009 123,655 37,807 10,761 27,046
May-83 4,015,988 442,372 0 4,015,988 69,234 (95,528) 12,417 (107,945)
Jun-83 4,773,267 70,286 42,000 4,773,267 (111,096) 585,351 18,211 567,140
Jul-83 4,841,947 532,937 0 4,841,947 (23,343) 33,807 20,576 13,231
Aug-83 5,455,510 60,534 0 5,455,510 (48,481) 25,372 19,970 5,402
Sep-83 5,427,803 19,767 0 5,427,803 5,386 23,778 19,970 3,808
Oct-83 5,450,120 60,000 49,146 5,450,120 (3,655) 21,150 3,846 17,304
Nov-83 5,502,601 550,000 6,240 5,502,601 (58,481) (3,552) 14,615 (18,167)
Dec-83 6,066,228 332,165 0 6,066,228 (20,102) (68,103) 19,999 (88,102)
TOTAL 2,750,583 129,373 (238,948) 1,054,091 188,171 865,920
<CAPTION>
CHANGE IN NET ASSET
UNREALIZED PERIOD VALUE
GAIN/ INTEREST ADVISORY OTHER NET ENDING NET RATE OF PER $1,000 @
(LOSS) INCOME FEES EXPENSES PERFORMANCE ASSET VALUE RETURN JAN. 1981)
MONTH/YEAR (9) (10) (11) (12) (13) (14) (15) (16)
- ------------------
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Jan-81 5,911 901 0 0 20,382 162,698 14.3% 1,143
Feb-81 (2,205) 1,030 0 0 3,010 165,709 1.9% 1,164
Mar-81 6,178 1,049 0 0 (5,202) 160,507 (3.1%) 1,128
Apr-81 10,390 0 88 0 6,155 166,662 3.8% 1,171
May-81 (19,896) 0 1,783 0 4,455 171,117 2.7% 1,202
Jun-81 7,272 0 (537) 0 (1,726) 169,391 (1.0%) 1,190
Jul-81 (1,735) 2,248 614 0 (213) 169,178 (0.1%) 1,189
Aug-81 9,432 2,253 (528) 0 6,520 175,698 3.9% 1,235
Sep-81 (15,347) 2,352 3,876 0 (3,747) 171,950 (2.1%) 1,208
Oct-81 16,344 1,260 145 0 16,745 188,695 9.7% 1,326
Nov-81 22,719 1,384 (21) 0 15,330 284,026 8.1% 1,434
Dec-81 (29,225) 2,092 3,921 0 (3,654) 280,371 (1.3%) 1,415
TOTAL 9,838 14,570 9,340 0 58,055 41.5%
Jan-82 31,934 1,063 11,213 0 74,378 334,749 26.5% 1,791
Feb-82 (20,332) 1,269 (2,066) 0 (28,284) 306,466 (8.4%) 1,639
Mar-82 (3,601) 1,162 9,142 0 30,986 337,452 10.1% 1,805
Apr-82 15,616 2,008 4,305 0 29,078 452,930 8.6% 1,961
May-82 13,386 2,696 (932) 0 10,345 463,275 2.3% 2,005
Jun-82 (20,690) 2,761 (436) 0 (22,171) 441,103 (4.8%) 1,909
Jul-82 62,768 1,048 85 0 53,029 804,132 12.0% 2,139
Aug-82 (44,109) 1,911 6,233 0 47,684 851,816 5.9% 2,266
Sep-82 6,696 2,025 (1,712) 0 (27,314) 1,164,502 (3.2%) 2,193
Oct-82 (44,883) 4,720 1,296 0 (14,610) 1,213,905 (1.3%) 2,166
Nov-82 (15,604) 4,591 6,796 0 (99,209) 1,144,661 (8.2%) 1,989
Dec-82 38,763 4,673 2,980 0 32,656 2,961,237 2.9% 2,045
TOTAL 19,944 29,928 36,904 0 86,568 44.5%
Jan-83 389,202 9,975 39,975 0 565,377 3,419,710 19.1% 2,436
Feb-83 (331,126) 11,539 36,768 0 (172,514) 3,433,401 (5.0%) 2,313
Mar-83 131,482 11,558 15,985 0 183,242 3,942,009 5.3% 2,436
Apr-83 (154,171) 14,899 11,253 0 (123,479) 4,015,988 (3.1%) 2,360
May-83 340,971 15,152 2,505 0 245,673 4,773,267 6.1% 2,504
Jun-83 (355,329) 18,026 78,347 0 151,490 4,841,947 3.2% 2,584
Jul-83 77,594 27,643 14,499 0 103,969 5,455,510 2.1% 2,639
Aug-83 (61,634) 31,143 14,670 0 (39,760) 5,427,803 (0.7%) 2,620
Sep-83 (24,336) 30,997 13,304 0 (2,836) 5,450,120 (0.1%) 2,619
Oct-83 6,543 32,031 10,596 0 45,282 5,502,601 0.8% 2,641
Nov-83 75,927 32,329 11,741 0 78,348 6,066,228 1.4% 2,678
Dec-83 (106,841) 35,641 13,688 145 (173,135) 6,205,156 (2.9%) 2,602
TOTAL (11,718) 270,932 263,332 145 861,657 27.2%
</TABLE>
102
<PAGE>
TABLE C--PRS DIVERSIFIED (con't)
COMPOSITE PERFORMANCE OF ALL DIVERSIFIED ACCOUNTS MANAGED
USING THE SABRE PATTERN RECOGNITION SYSTEM (IN US DOLLARS)
<TABLE>
<CAPTION>
TIME CURRENCY GROSS NET
BEGINNING WEIGHTED CONVERSION REALIZED REALIZED
NET ASSET MONTHLY GAIN/ GAIN/ COMMISSIONS GAIN/
VALUE ADDITIONS WITHDRAWALS EQUITY (LOSS) (LOSS) & EXPENSES (LOSS)
MONTH/YEAR (1) (2) (3) (4) (5) (6) (7) (8)
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Jan-84 6,205,156 6,203 17,318 6,205,156 (101,502) (124,507) 31,022 (155,529)
Feb-84 6,104,227 80,272 95,545 6,104,227 177,132 (194,986) 13,960 (208,946)
Mar-84 5,911,453 100,000 42,622 5,911,453 (95,532) 12,598 32,574 (19,976)
Apr-84 5,937,294 3,699 228,794 5,937,294 (84,621) (154,923) 14,799 (169,722)
May-84 5,499,888 0 95,343 5,499,888 (25,002) (17,694) 3,984 (21,678)
Jun-84 5,508,497 150,000 28,406 5,508,497 (65,388) 121,498 38,135 83,363
Jul-84 5,547,003 466,695 0 5,547,003 (85,886) 255,338 14,098 241,240
Aug-84 6,571,158 352,453 0 6,571,158 1,952 206,455 22,558 183,897
Sep-84 6,723,007 0 113,471 6,723,007 (142,493) (17,902) 19,738 (37,640)
Oct-84 6,595,399 13,657 18,336 6,595,399 (29,357) (94,828) 23,550 (118,378)
Nov-84 6,386,685 40,000 102,456 6,386,685 (48,229) 14,318 13,457 861
Dec-84 6,339,431 40,000 180,697 6,339,431 (81,780) 13,257 30,279 (17,022)
TOTAL 1,252,979 922,988 (580,706) 18,624 258,154 (239,530)
Jan-85 6,097,616 56,344 504,653 6,097,616 (59,243) 65,572 38,611 26,961
Feb-85 5,757,028 653,318 0 5,757,028 (107,906) (110,348) 16,831 (127,179)
Mar-85 6,352,716 0 27,202 6,352,716 332,183 167,203 43,561 123,642
Apr-85 6,558,916 23,898 0 6,558,916 13,157 (20,299) 29,089 (49,388)
May-85 7,148,819 234 0 7,148,819 115,781 246,458 26,935 219,523
Jun-85 7,468,829 33,373 45,891 7,468,829 63,154 436,722 51,715 385,007
Jul-85 7,378,345 38,134 2,000 7,378,345 278,928 (242,695) 28,233 (270,928)
Aug-85 7,405,751 70,000 2,534 7,405,751 (42,693) (102,205) 12,833 (115,038)
Sep-85 7,472,946 0 453,439 7,472,946 45,539 94,265 44,488 49,777
Oct-85 7,005,336 152,683 55,807 7,005,336 87,878 31,298 6,328 24,970
Nov-85 7,636,216 275,000 17,328 7,636,216 19,223 (128,349) 25,313 (153,662)
Dec-85 8,205,364 35,000 0 8,205,364 (8,238) 239,746 73,829 165,917
TOTAL 1,337,984 1,108,854 737,763 677,368 397,766 279,602
Jan-86 7,836,800 139,048 217,039 7,836,800 (90,224) (303,545) 41,658 (345,203)
Feb-86 7,958,261 927,607 125,104 7,958,261 95,863 457,294 75,380 381,914
Mar-86 9,153,429 795,966 44,951 9,153,429 104,321 854,223 81,332 772,891
Apr-86 10,571,551 200,663 31,492 10,571,551 235,059 457,621 71,463 386,158
May-86 11,304,031 720,000 0 11,304,031 (277,159) (146,877) 101,033 (247,910)
Jun-86 11,051,751 671,033 207,910 11,051,751 210,500 (178,399) 73,927 (252,326)
Jul-86 11,707,782 164,001 116,510 11,707,782 (139,894) (117,910) 62,812 (180,722)
Aug-86 12,049,828 1,053,500 200,199 12,049,828 (13,989) 337,628 44,322 293,306
Sep-86 13,129,119 21,897 0 13,129,119 (143,391) 146,003 86,196 59,807
Oct-86 13,027,884 479,003 193,663 13,027,884 (176,534) 177,906 60,898 117,008
Nov-86 13,128,279 262,036 25,000 13,128,279 117,690 (707) 33,485 (34,192)
Dec-86 13,385,261 1,506,084 496,419 13,385,261 205,956 94,755 67,151 27,604
TOTAL 6,940,838 1,658,287 128,198 1,777,992 799,657 978,335
<CAPTION>
CHANGE IN NET ASSET
UNREALIZED PERIOD VALUE
GAIN/ INTEREST ADVISORY OTHER NET ENDING NET RATE OF PER $1,000 @
(LOSS) INCOME FEES EXPENSES PERFORMANCE ASSET VALUE RETURN JAN. 1981)
MONTH/YEAR (9) (10) (11) (12) (13) (14) (15) (16)
- ------------------
-----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Jan-84 121,636 56,164 10,583 0 11,688 6,104,227 0.2% 2,607
Feb-84 (190,298) 55,251 10,640 0 (354,633) 5,911,453 (5.8%) 2,455
Mar-84 40,724 53,507 10,260 0 63,995 5,937,294 1.1% 2,482
Apr-84 25,075 37,945 20,988 0 (127,690) 5,499,888 (2.2%) 2,428
May-84 124,837 35,221 9,427 0 128,953 5,508,497 2.3% 2,485
Jun-84 (135,478) 35,274 859 0 (17,700) 5,547,003 (0.3%) 2,477
Jul-84 396,751 35,946 30,591 0 643,346 6,571,158 11.6% 2,765
Aug-84 (402,171) 42,574 26,856 0 (202,556) 6,723,007 (3.1%) 2,679
Sep-84 132,266 43,543 9,812 0 128,356 6,595,399 1.9% 2,731
Oct-84 (106,708) 62,279 11,871 0 (174,678) 6,386,685 (2.6%) 2,658
Nov-84 16,456 60,308 14,194 0 63,431 6,339,431 1.0% 2,685
Dec-84 (44,365) 59,822 12,993 4,780 (19,338) 6,097,616 (0.3%) 2,677
TOTAL (21,275) 577,835 169,075 4,780 143,175 2.9%
Jan-85 113,600 47,728 21,325 0 166,964 5,757,028 2.7% 2,750
Feb-85 132,307 45,107 (40) 0 50,275 6,352,716 0.9% 2,774
Mar-85 (238,012) 49,828 33,496 742 (98,780) 6,558,916 (1.6%) 2,731
Apr-85 564,735 50,485 12,985 0 552,847 7,148,819 8.4% 2,961
May-85 (22,064) 55,044 48,507 0 203,996 7,468,829 2.9% 3,045
Jun-85 (507,658) 57,505 70,893 5,081 (141,120) 7,378,345 (1.9%) 2,988
Jul-85 (55,472) 56,423 17,679 0 (287,656) 7,405,751 (3.9%) 2,871
Aug-85 115,346 56,658 14,545 0 42,421 7,472,946 0.6% 2,888
Sep-85 (152,675) 57,180 12,677 1,314 (59,709) 7,005,336 (0.8%) 2,865
Oct-85 389,465 49,646 17,955 0 446,126 7,636,216 6.4% 3,047
Nov-85 399,756 54,130 7,971 0 292,253 8,205,364 3.8% 3,164
Dec-85 (592,370) 58,205 26,100 978 (395,326) 7,836,800 (4.8%) 3,011
TOTAL 146,958 637,939 284,093 8,115 772,291 12.5%
Jan-86 597,259 53,032 15,412 0 289,676 7,958,261 3.7% 3,123
Feb-86 (80,195) 54,087 59,004 0 296,802 9,153,429 3.7% 3,239
Mar-86 (166,806) 62,081 101,807 3,573 562,787 10,571,551 6.1% 3,438
Apr-86 198,547 65,762 322,217 0 328,250 11,304,031 3.1% 3,545
May-86 (635,335) 72,033 (116,090) 0 (695,121) 11,051,751 (6.1%) 3,327
Jun-86 45,643 69,354 (120,961) 1,223 (17,592) 11,707,782 (0.2%) 3,322
Jul-86 572,696 66,760 24,285 0 434,449 12,049,828 3.7% 3,445
Aug-86 (74,570) 68,758 47,515 0 239,979 13,129,119 2.0% 3,514
Sep-86 (81,566) 74,889 32,670 200 20,259 13,027,884 0.2% 3,519
Oct-86 (148,373) 73,346 50,392 0 (8,411) 13,128,279 (0.1%) 3,517
Nov-86 (108,321) 72,347 27,578 0 (97,744) 13,385,261 (0.7%) 3,491
Dec-86 161,909 80,602 41,003 600 228,512 14,829,394 1.7% 3,550
TOTAL 280,888 813,050 484,832 5,596 1,581,845 17.9%
</TABLE>
103
<PAGE>
TABLE C--PRS DIVERSIFIED (con't)
COMPOSITE PERFORMANCE OF ALL DIVERSIFIED ACCOUNTS MANAGED
USING THE SABRE PATTERN RECOGNITION SYSTEM (IN US DOLLARS)
<TABLE>
<CAPTION>
TIME CURRENCY GROSS NET
BEGINNING WEIGHTED CONVERSION REALIZED REALIZED
NET ASSET MONTHLY GAIN/ GAIN/ COMMISSIONS GAIN/
VALUE ADDITIONS WITHDRAWALS EQUITY (LOSS) (LOSS) & EXPENSES (LOSS)
MONTH/YEAR (1) (2) (3) (4) (5) (6) (7) (8)
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Jan-87 14,829,394 209,089 34,948 14,829,394 132,220 554,040 69,327 484,713
Feb-87 15,455,425 6,998 132,535 15,455,425 141,695 22,180 52,367 (30,187)
Mar-87 15,462,281 702,126 235,963 15,462,281 257,396 (288,709) 65,012 (353,721)
Apr-87 16,032,482 729,291 93,341 16,032,482 239,867 1,672,970 64,595 1,608,375
May-87 18,346,940 122,522 256,097 18,346,940 (145,408) 111,954 118,142 (6,188)
Jun-87 18,418,323 3,493,078 74,056 18,418,323 (77,852) 418,547 80,101 338,446
Jul-87 22,350,399 336,747 117,859 22,350,399 (104,113) 589,840 115,002 474,838
Aug-87 22,408,161 71,587 33,809 22,408,161 199,769 (432,329) 65,785 (498,114)
Sep-87 22,989,488 1,598,431 8,627 22,989,488 (37,728) 443,311 104,130 339,181
Oct-87 25,402,233 534,660 8,938 25,402,233 465,715 2,093,692 169,106 1,924,586
Nov-87 26,617,773 1,464,821 360,863 26,617,773 545,195 (41,239) 52,407 (93,646)
Dec-87 28,603,614 2,486,045 520,158 28,603,614 258,497 (255,594) 165,082 (420,676)
TOTAL 11,755,395 1,877,194 1,875,253 4,888,663 1,121,056 3,767,607
Jan-88 30,437,113 6,613,578 114,334 30,437,113 (529,933) (957,883) 155,310 (1,113,193)
Feb-88 35,783,378 3,407,732 1,104,902 35,783,378 (73,506) (435,448) 112,879 (548,327)
Mar-88 37,203,784 12,383,075 644,914 37,203,784 815,992 (447,954) 184,525 (632,479)
Apr-88 50,069,871 1,582,405 86,795 50,069,871 (49,651) (842,673) 178,378 (1,021,051)
May-88 51,706,665 1,882,370 1,205,057 51,706,665 (284,514) 923,963 221,578 702,385
Jun-88 51,231,014 613,374 2,889,989 51,231,014 (941,838) (249,262) 237,326 (486,588)
Jul-88 54,743,076 924,429 456,360 54,743,076 18,057 6,709,734 295,857 6,413,877
Aug-88 55,787,026 1,107,179 695,611 55,787,026 (217,565) (1,047,608) 191,168 (1,238,776)
Sep-88 55,871,183 4,734,148 479,891 55,871,183 56,393 3,645,778 243,848 3,401,930
Oct-88 60,684,102 2,213,604 1,131,550 60,684,102 667,991 (119,893) 265,147 (385,040)
Nov-88 64,230,808 1,278,718 278,029 64,230,808 697,518 2,270,675 249,601 2,021,074
Dec-88 65,654,629 6,534,073 1,115,654 65,654,629 (355,971) (645,630) 175,685 (821,315)
TOTAL 43,274,685 10,203,086 (197,027) 8,803,799 2,511,302 6,292,497
Jan-89 73,381,937 1,368,490 2,450,050 73,381,937 (501,819) (442,582) 273,822 (716,404)
Feb-89 71,158,018 3,136,182 746,266 71,158,018 (52,235) 1,276,654 213,934 1,062,720
Mar-89 72,317,035 5,054,806 4,323,294 72,317,035 (497,698) (883,473) 318,466 (1,201,939)
Apr-89 71,725,449 2,026,299 2,812,009 71,725,449 13,287 (1,675,663) 257,415 (1,933,078)
May-89 67,624,874 1,035,174 1,248,496 67,624,874 (1,048,642) (2,165,178) 152,312 (2,317,490)
Jun-89 64,155,215 168,729 484,424 64,155,215 (401,432) (2,890,590) 281,576 (3,172,165)
Jul-89 61,230,938 982,006 17,244,472 61,230,938 1,205,821 (2,507,768) 218,522 (2,726,289)
Aug-89 44,136,407 2,513,284 1,228,598 44,136,407 (426,055) (321,811) 155,074 (476,885)
Sep-89 45,328,721 75,996 2,532,861 45,328,721 178,956 50,900 179,834 (128,934)
Oct-89 44,436,790 369,994 1,808,651 44,436,790 (162,946) 33,828 121,479 (87,651)
Nov-89 44,027,193 16,548,630 325,391 44,027,193 (15,547) 1,712,511 166,934 1,545,577
Dec-89 62,586,006 38,675 279,373 62,586,006 219,789 1,552,316 374,306 1,178,010
33,318,265 35,483,885 (1,488,521) (6,260,856) 2,713,673 (8,974,529)
<CAPTION>
CHANGE IN NET ASSET
UNREALIZED PERIOD VALUE
GAIN/ INTEREST ADVISORY OTHER NET ENDING NET RATE OF PER $1,000 @
(LOSS) INCOME FEES EXPENSES PERFORMANCE ASSET VALUE RETURN JAN. 1981)
MONTH/YEAR (9) (10) (11) (12) (13) (14) (15) (16)
- ------------------
---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Jan-87 (128,851) 82,786 117,281 1,697 319,670 15,455,425 2.2% 3,627
Feb-87 (38,519) 88,206 25,500 3,302 (9,302) 15,462,281 (0.1%) 3,625
Mar-87 85,303 104,974 (10,234) 148 (153,358) 16,032,482 (1.0%) 3,589
Apr-87 45,924 94,392 309,160 890 1,438,641 18,346,940 9.0% 3,911
May-87 302,170 102,011 46,076 1,551 350,366 18,418,323 1.9% 3,985
Jun-87 250,030 105,539 104,409 (1,300) 590,906 22,350,399 3.2% 4,113
Jul-87 (539,952) 118,901 108,832 1,968 (57,013) 22,408,161 (0.3%) 4,103
Aug-87 772,442 116,411 46,053 906 343,780 22,989,488 1.5% 4,166
Sep-87 488,675 123,885 85,696 5,376 860,669 25,402,233 3.7% 4,321
Oct-87 (1,555,163) 107,776 253,990 (894) 224,103 26,617,773 0.9% 4,360
Nov-87 450,039 70,675 86,383 3,997 336,688 28,603,614 1.3% 4,415
Dec-87 (113,369) 91,741 (47,726) (3,693) (390,885) 30,437,113 (1.4%) 4,354
TOTAL 18,729 1,207,297 1,125,420 13,948 3,854,265 22.7%
Jan-88 396,606 123,965 45,317 (14,893) (623,046) 35,783,378 (2.0%) 4,265
Feb-88 (344,061) 157,722 67,221 7,031 (808,918) 37,203,784 (2.3%) 4,169
Mar-88 783,584 268,088 101,432 5,827 311,934 50,069,871 0.8% 4,204
Apr-88 1,059,879 258,380 104,333 2,040 190,835 51,706,665 0.4% 4,220
May-88 (1,706,568) 247,216 103,444 8,039 (868,450) 51,231,014 (1.7%) 4,149
Jun-88 7,427,921 266,247 475,483 1,582 6,730,515 54,743,076 13.1% 4,694
Jul-88 (5,643,684) 268,192 472,324 8,237 557,824 55,787,026 1.0% 4,742
Aug-88 1,003,553 268,512 109,606 33,529 (109,846) 55,871,183 (0.2%) 4,733
Sep-88 (2,918,872) 336,348 302,689 14,448 502,269 60,684,102 0.9% 4,775
Oct-88 2,099,890 389,747 288,004 19,932 1,796,661 64,230,808 3.0% 4,916
Nov-88 (2,493,510) 374,135 158,096 17,989 (274,386) 65,654,629 (0.4%) 4,895
Dec-88 3,328,668 486,333 243,788 85,038 2,664,860 73,381,937 4.1% 5,094
TOTAL 2,993,406 3,444,885 2,471,737 188,799 10,070,252 17.0%
Jan-89 (274,182) 540,576 152,133 38,397 (640,540) 71,158,018 (0.9%) 5,050
Feb-89 (2,374,969) 335,068 135,245 66,238 (1,178,664) 72,317,035 (1.7%) 4,966
Mar-89 123,092 489,156 154,458 81,251 (825,400) 71,725,449 (1.1%) 4,909
Apr-89 (1,812,298) 549,640 112,687 19,729 (3,328,152) 67,624,874 (4.6%) 4,682
May-89 (223,761) 488,123 141,686 12,881 (2,207,695) 64,155,215 (3.3%) 4,529
Jun-89 591,852 554,668 153,792 27,713 (2,207,150) 61,230,938 (3.4%) 4,373
Jul-89 362,166 453,107 87,985 38,885 (2,037,886) 44,136,407 (3.3%) 4,227
Aug-89 633,940 287,772 100,312 10,832 333,683 45,328,721 0.8% 4,259
Sep-89 1,383,105 242,209 98,664 11,739 1,385,978 44,436,790 3.1% 4,390
Oct-89 1,066,206 310,706 81,163 16,092 1,192,006 44,027,193 2.7% 4,507
Nov-89 737,091 219,423 129,956 21,014 2,351,121 62,586,006 5.3% 4,748
Dec-89 (362,247) 332,183 253,841 18,177 875,927 63,441,024 1.4% 4,814
(150,005) 4,802,632 1,601,922 362,948 (6,286,772) (5.5%)
</TABLE>
104
<PAGE>
TABLE C--PRS DIVERSIFIED (con't)
COMPOSITE PERFORMANCE OF ALL DIVERSIFIED ACCOUNTS MANAGED
USING THE SABRE PATTERN RECOGNITION SYSTEM (IN US DOLLARS)
<TABLE>
<CAPTION>
TIME CURRENCY GROSS NET
BEGINNING WEIGHTED CONVERSION REALIZED REALIZED
NET ASSET MONTHLY GAIN/ GAIN/ COMMISSIONS GAIN/
VALUE ADDITIONS WITHDRAWALS EQUITY (LOSS) (LOSS) & EXPENSES (LOSS)
MONTH/YEAR (1) (2) (3) (4) (5) (6) (7) (8)
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Jan-90 63,441,024 888,086 1,155,376 63,441,024 330,890 1,930,798 371,109 1,559,689
Feb-90 65,973,229 9,285 415,730 65,973,229 47,707 1,170,344 264,845 905,499
Mar-90 64,718,612 3,209,092 1,376,238 64,718,612 (210,932) (2,540,649) 267,661 (2,808,310)
Apr-90 65,254,199 1,187,746 0 65,254,199 (37,809) 2,256,891 367,094 1,889,797
May-90 70,702,906 256,618 1,668,430 70,702,906 188,589 191,767 444,426 (252,659)
Jun-90 63,342,605 82,529 5,678,744 63,342,605 340,639 (1,192,315) 260,505 (1,452,820)
Jul-90 57,256,295 366,395 1,534,652 57,256,295 575,433 (203,106) 179,554 (382,660)
Aug-90 59,823,429 818,871 1,506,803 59,823,429 156,783 6,639,034 396,301 6,242,734
Sep-90 63,660,295 67,456 3,477,875 63,660,295 (104,267) (414,830) 226,343 (641,173)
Oct-90 63,704,760 673,690 757,015 63,704,760 107,690 736,148 257,994 478,154
Nov-90 60,702,540 577,878 2,616,967 60,702,540 (24,754) (388,154) 287,632 (675,786)
Dec-90 55,821,702 9,786,920 194,057 55,821,702 (50,085) (2,988,261) 218,726 (3,206,987)
TOTAL 17,924,566 20,381,887 1,319,884 5,197,666 3,542,190 1,655,476
Jan-91 63,639,793 510,641 7,667,116 60,769,802 295,357 (356,207) 294,827 (651,034)
Feb-91 54,527,068 1,229,969 3,793,129 53,753,361 (303,515) (750,781) 130,256 (881,037)
Mar-91 51,860,939 210,321 8,957,095 49,800,939 (881,031) (360,979) 76,650 (437,629)
Apr-91 41,553,965 2,235,000 1,664,902 42,647,747 (80,488) (336,604) 110,834 (447,438)
May-91 41,672,664 1,949,671 347,432 43,502,335 (120,324) (1,211,085) 170,575 (1,381,660)
Jun-91 42,182,820 6,320,268 1,118,922 43,477,903 (410,372) 1,448,220 164,632 1,283,588
Jul-91 50,655,089 (2,645) 2,180,732 49,023,561 345,806 164,144 186,128 (21,984)
Aug-91 46,173,005 1,837,250 1,056,984 47,235,041 (24,306) (2,095,041) 144,571 (2,239,611)
Sep-91 46,478,007 11,893 638,049 46,410,415 400,399 3,536,403 163,158 3,373,244
Oct-91 49,550,957 732,358 5,413,267 48,898,848 (17,860) 143,940 201,535 (57,595)
Nov-91 43,751,775 61,644 2,616,409 43,156,359 134,983 (521,902) 156,161 (678,063)
Dec-91 40,934,856 3,050,000 396,355 40,934,856 468,710 (482,841) 109,330 (592,170)
TOTAL 18,146,370 35,850,392 (192,641) (822,732) 1,908,656 (2,731,389)
Jan-92 45,248,098 150,000 7,839,945 41,546,000 (377,480) (224,244) 142,681 (366,925)
Feb-92 35,917,237 682 434,273 35,917,236 (126,268) (1,293,916) 148,547 (1,442,464)
Mar-92 33,878,970 15,160 889,641 33,246,640 (48,692) 302,489 142,992 159,497
Apr-92 32,333,573 1,659,986 5,418,342 28,575,216 93,057 (1,826,735) 25,712 (1,852,447)
May-92 27,470,217 99,056 135,208 27,396,022 132,884 (87,145) 227,719 (314,863)
Jun-92 28,580,344 0 165,104 28,415,239 213,404 1,496,445 113,520 1,382,926
Jul-92 30,396,800 9,989,747 861,408 34,437,722 65,021 (477,452) 52,360 (529,811)
Aug-92 39,919,739 0 281,384 39,919,738 306,485 2,051,695 155,332 1,896,363
Sep-92 41,563,355 4,462 1,513,384 40,054,432 (1,003,570) 1,859,563 207,240 1,652,323
Oct-92 40,568,242 61 267,890 40,494,325 (1,015,870) 615,345 205,658 409,688
Nov-92 39,624,975 321 359,626 39,265,669 (62,184) 148,097 290,298 (142,202)
Dec-92 38,514,880 45,677 2,773,232 38,514,880 2,069 676,710 258,332 418,377
TOTAL 11,965,152 20,939,437 (1,821,144) 3,240,851 1,970,390 1,270,461
<CAPTION>
CHANGE IN NET ASSET
UNREALIZED PERIOD VALUE
GAIN/ INTEREST ADVISORY OTHER NET ENDING NET RATE OF PER $1,000 @
(LOSS) INCOME FEES EXPENSES PERFORMANCE ASSET VALUE RETURN JAN. 1981)
MONTH/YEAR (9) (10) (11) (12) (13) (14) (15) (16)
- ------------------
------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Jan-90 779,144 311,632 167,391 14,469 2,468,605 65,973,229 3.9% 5,002
Feb-90 (1,932,394) 262,553 153,954 (22,418) (895,879) 64,718,612 (1.4%) 4,934
Mar-90 1,533,308 265,724 25,100 51,957 (1,086,336) 65,254,199 (1.7%) 4,851
Apr-90 2,494,827 333,949 413,317 6,486 4,298,770 70,702,906 6.6% 5,171
May-90 (6,447,548) 446,807 (155,760) 39,438 (6,137,078) 63,342,605 (8.7%) 4,722
Jun-90 502,397 317,006 146,012 51,304 (830,733) 57,256,295 (1.3%) 4,660
Jul-90 3,249,061 453,546 111,223 48,767 3,159,957 59,823,429 5.5% 4,917
Aug-90 (1,434,367) 373,836 778,485 35,702 4,368,016 63,660,295 7.3% 5,276
Sep-90 3,931,402 305,063 18,954 17,187 3,559,151 63,704,760 5.6% 5,571
Oct-90 (3,771,321) 402,720 100,071 36,067 (3,026,585) 60,702,540 (4.8%) 5,306
Nov-90 (2,445,906) 379,350 110,450 (35,797) (2,816,995) 55,821,702 (4.6%) 5,060
Dec-90 1,402,902 193,787 95,289 19,101 (1,724,688) 63,639,793 (3.1%) 4,904
TOTAL (2,138,495) 4,045,973 1,964,486 262,263 1,336,206 1.9%
Jan-91 (1,695,047) 170,881 59,600 16,806 (2,251,606) 54,527,068 (3.7%) 4,722
Feb-91 865,529 301,288 62,992 22,242 200,546 51,860,939 0.4% 4,740
Mar-91 (445,221) 348,748 51,174 93,895 (679,170) 41,553,965 (1.4%) 4,675
Apr-91 (75,941) 228,553 41,349 34,735 (370,911) 41,672,664 (0.9%) 4,634
May-91 285,193 214,041 61,413 27,920 (971,759) 42,182,820 (2.2%) 4,531
Jun-91 2,288,556 170,319 61,169 0 3,681,294 50,655,089 8.5% 4,915
Jul-91 (2,851,934) 313,593 59,933 24,254 (2,644,512) 46,173,005 (5.4%) 4,649
Aug-91 1,603,344 259,123 45,737 28,077 (450,958) 46,478,007 (1.0%) 4,605
Sep-91 (214,150) 192,550 47,341 5,596 3,298,707 49,550,957 7.1% 4,932
Oct-91 (1,256,149) 282,616 49,488 19,798 (1,100,414) 43,751,775 (2.3%) 4,821
Nov-91 65,626 252,960 37,661 (2) (397,136) 40,934,856 (0.9%) 4,777
Dec-91 1,518,149 298,977 26,704 7,366 1,190,886 45,248,098 2.9% 4,916
TOTAL 87,955 3,033,650 604,561 280,687 (495,032) 0.2%
Jan-92 (1,049,288) 209,349 51,868 4,704 (1,263,436) 35,917,237 (3.0%) 4,766
Feb-92 (225,287) 232,874 37,221 6,310 (1,478,407) 33,878,970 (4.1%) 4,570
Mar-92 (858,298) 112,589 28,511 7,501 (622,224) 32,333,573 (1.9%) 4,485
Apr-92 631,962 68,520 29,678 16,415 (1,198,058) 27,470,217 (4.2%) 4,297
May-92 1,167,400 190,153 26,733 2,562 1,013,395 28,580,344 3.7% 4,456
Jun-92 247,996 177,000 33,579 6,186 1,768,156 30,396,800 6.2% 4,733
Jul-92 901,397 28,377 36,218 34,165 329,579 39,919,739 1.0% 4,778
Aug-92 (391,116) 112,746 3,798 (4,320) 1,618,515 41,563,355 4.1% 4,972
Sep-92 (98,605) 48,147 83,765 721 1,517,378 40,568,242 3.8% 5,160
Oct-92 (29,151) 107,088 146,311 881 340,433 39,624,975 0.8% 5,204
Nov-92 (586,147) 69,980 26,844 3,393 (688,606) 38,514,880 (1.8%) 5,112
Dec-92 426,043 93,829 70,879 (177) 867,548 36,656,943 2.3% 5,228
TOTAL 136,905 1,450,652 575,404 78,341 2,204,274 6.3%
</TABLE>
105
<PAGE>
TABLE C--PRS DIVERSIFIED (con't)
COMPOSITE PERFORMANCE OF ALL DIVERSIFIED ACCOUNTS MANAGED
USING THE SABRE PATTERN RECOGNITION SYSTEM (IN US DOLLARS)
<TABLE>
<CAPTION>
TIME CURRENCY GROSS NET
BEGINNING WEIGHTED CONVERSION REALIZED REALIZED
NET ASSET MONTHLY GAIN/ GAIN/ COMMISSIONS GAIN/
VALUE ADDITIONS WITHDRAWALS EQUITY (LOSS) (LOSS) & EXPENSES (LOSS)
MONTH/YEAR (1) (2) (3) (4) (5) (6) (7) (8)
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Jan-93 36,656,943 744 3,320,399 33,337,288 (45,799) (463,729) 382,708 (846,437)
Feb-93 32,683,421 324,514 96,689 32,846,244 (66,708) 2,217,876 311,344 1,906,532
Mar-93 35,202,765 2,650 192,646 35,012,767 107,047 192,882 385,592 (192,710)
Apr-93 34,647,855 1,788 520,368 34,129,274 69,479 1,175,123 228,343 946,780
May-93 34,797,243 0 26,557 34,770,685 (9,947) (164,809) 288,483 (453,291)
Jun-93 34,059,974 0 343,608 33,716,366 (74,325) 942,269 433,162 509,107
Jul-93 36,046,748 0 579,949 35,466,799 58,773 1,892,871 305,619 1,587,252
Aug-93 37,533,858 2,009,246 0 37,836,616 (5,849) 3,233,195 325,582 2,907,613
Sep-93 41,786,093 994,807 508,759 42,272,141 4,739 1,234,649 228,927 1,005,722
Oct-93 42,120,261 666,564 79,702 42,707,122 (12,180) (471,859) 148,924 (620,783)
Nov-93 42,970,359 1,574,505 2,962,677 43,470,359 3,285 1,761,543 170,726 1,590,817
Dec-93 42,332,708 1,727,444 1,274,119 42,332,708 (13,539) 626,702 229,744 396,960
TOTAL 7,302,262 9,905,473 14,976 12,176,713 3,439,153 8,737,562
Jan-94 43,947,334 1,147,762 157,532 44,294,269 44,219 (2,093,389) 233,027 (2,326,416)
Feb-94 41,428,464 4,112,554 278,998 44,371,661 (25,145) (3,255,972) 307,411 (3,563,383)
Mar-94 42,603,799 10,354,203 16,849 47,943,237 (5,675) 1,470,116 269,093 1,201,023
Apr-94 54,320,809 70,844 11,897 54,739,756 47,638 113,881 265,490 (151,609)
May-94 53,446,923 1,317,404 19,062 54,525,698 1,118 2,852,665 167,987 2,684,678
Jun-94 59,881,160 3,292,086 373,329 61,846,651 42,777 2,709,381 258,002 2,451,379
Jul-94 61,913,419 4,568,176 295,915 61,617,102 (402) (24,971) 196,698 (221,669)
Aug-94 67,179,848 3,217,367 2,891,037 65,605,813 (13,035) 2,136,089 179,329 1,956,760
Sep-94 67,094,711 1,000,136 695,148 67,425,251 75,688 (3,187,000) 260,838 (3,447,838)
Oct-94 64,987,962 1,508,959 1,365,797 65,194,143 78,313 (3,014,145) 232,038 (3,246,183)
Nov-94 63,878,493 557,483 491,947 63,852,252 (91,777) (1,720,606) 284,135 (2,004,741)
Dec-94 62,941,862 1,901,341 171,974 64,364,874 969 (848,946) 172,296 (1,021,242)
33,048,315 6,769,485 154,688 (4,862,897) 2,826,344 (7,689,241)
Jan-95 65,589,883 338,179 3,302,908 63,751,114 24,991 1,404,892 190,171 1,214,720
Feb-95 60,615,851 76,901,052 1,074,551 59,541,301 (8,001) 558,779 156,368 402,412
Mar-95 136,554,199 250,000 1,052,565 135,805,105 53,471 (4,445,922) 238,899 (4,684,821)
Apr-95 133,367,389 85,172 3,152,914 130,277,976 (21,671) 2,208,097 143,789 2,064,308
<CAPTION>
CHANGE IN NET ASSET
UNREALIZED PERIOD VALUE
GAIN/ INTEREST ADVISORY OTHER NET ENDING NET RATE OF PER $1,000 @
(LOSS) INCOME FEES EXPENSES PERFORMANCE ASSET VALUE RETURN JAN. 1981)
MONTH/YEAR (9) (10) (11) (12) (13) (14) (15) (16)
- ------------------
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Jan-93 214,500 92,987 68,405 713 (608,068) 32,683,421 (1.8%) 5,132
Feb-93 691,696 81,942 264,163 57,780 2,358,227 35,202,765 7.2% 5,501
Mar-93 (508,441) 77,844 (153,918) 2,572 (471,961) 34,647,855 (1.3%) 5,427
Apr-93 (379,578) 67,121 36,006 (172) 598,490 34,797,243 1.8% 5,522
May-93 (315,894) 97,253 11,545 17,287 (700,765) 34,059,974 (2.0%) 5,410
Jun-93 1,812,293 110,071 11,716 15,049 2,404,706 36,046,748 7.1% 5,796
Jul-93 312,539 60,436 (5,625) (42,435) 2,008,287 37,533,858 5.7% 6,125
Aug-93 (570,199) 85,815 164,484 9,907 2,248,838 41,786,093 5.9% 6,489
Sep-93 (1,036,375) 96,507 225,956 (3,483) (156,619) 42,120,261 (0.4%) 6,465
Oct-93 890,394 120,171 113,346 1,019 275,417 42,970,359 0.6% 6,506
Nov-93 (762,547) 89,679 155,513 15,200 747,236 42,332,708 1.7% 6,618
Dec-93 771,564 93,724 69,422 17,986 1,174,840 43,947,334 2.8% 6,802
TOTAL 1,119,952 1,073,549 961,013 91,423 9,878,628 30.1%
Jan-94 (1,285,540) 90,166 28,271 3,258 (3,553,319) 41,428,464 (8.0%) 6,256
Feb-94 1,023,106 95,681 60,521 127,959 (2,633,076) 42,603,799 (5.9%) 5,885
Mar-94 29,992 239,626 75,566 9,744 1,385,331 54,320,809 2.9% 6,055
Apr-94 (918,704) 135,759 26,101 19,816 (980,471) 53,446,923 (1.8%) 5,946
May-94 2,380,435 141,467 54,931 16,872 5,134,777 59,881,160 9.4% 6,506
Jun-94 (3,519,929) 224,471 45,708 39,488 (929,275) 61,913,419 (1.5%) 6,409
Jul-94 1,032,354 207,085 21,332 1,868 994,570 67,179,848 1.6% 6,512
Aug-94 (2,550,489) 235,105 11,703 28,105 (398,432) 67,094,711 (0.6%) 6,473
Sep-94 754,460 244,781 26,014 12,814 (2,487,425) 64,987,962 (3.7%) 6,234
Oct-94 1,722,000 238,969 43,852 1,878 (1,330,944) 63,878,493 (2.0%) 6,106
Nov-94 857,193 283,762 45,492 1,112 (910,390) 62,941,862 (1.4%) 6,019
Dec-94 1,737,841 254,431 39,098 14,248 917,685 65,589,883 1.4% 6,105
1,262,719 2,391,303 478,589 277,162 (4,790,969) (10.2%)
Jan-95 (3,477,044) 328,657 63,265 37,362 (2,034,293) 60,615,851 (3.2%) 5,910
Feb-95 (416,651) 200,668 54,704 11,878 119,848 136,554,199 0.2% 5,922
Mar-95 1,691,856 616,364 49,488 11,627 (2,437,716) 133,367,389 (1.8%) 5,816
Apr-95 5,952,571 655,716 5,397 116,188 8,551,010 138,828,986 6.6% 6,198
</TABLE>
106
<PAGE>
TABLE D--PRS FINANCIAL
COMPOSITE PERFORMANCE RECORD OF ALL FINANCIAL ACCOUNTS MANAGED
USING THE SABRE PATTERN RECOGNITION SYSTEM
(DENOMINATED IN US DOLLARS)
<TABLE>
<CAPTION>
TIME GROSS NET CHANGE IN
BEGINNING WEIGHTED REALIZED BROKERAGE REALIZED UNREALIZED
NET ASSET MONTHLY GAIN/ COMMISSIONS GAIN/ GAIN/
VALUE ADDITIONS WITHDRAWALS EQUITY (LOSS) & EXPENSES (LOSS) (LOSS)
MONTH/YEAR (1) (2) (3) (4) (6) (7) (8) (9)
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Apr-89 0 10,000,000 0 0 0 0 0 (92,424)
May-89 9,962,974 0 0 9,962,974 (65,880) 0 (65,880) (81,029)
Jun-89 9,871,463 0 0 9,871,463 (469,284) 3,838 (473,123) 31,401
Jul-89 9,485,140 0 0 9,485,140 (384,574) (2,300) (382,275) (33,086)
Aug-89 9,125,177 0 0 9,125,177 (38,926) 464 (39,389) 226,024
Sep-89 9,367,209 0 0 9,367,209 47,260 3,024 44,236 178,251
Oct-89 9,655,657 0 0 9,655,657 51,522 648 50,874 381,662
Nov-89 10,145,694 0 0 10,145,694 326,821 2,247 324,574 318,848
Dec-89 10,869,802 0 0 10,869,802 460,892 4,867 456,025 (290,027)
TOTAL (9 MONTHS) 10,000,000 0 (72,169) 12,788 (84,957) 639,620
Jan-90 11,106,632 0 0 11,106,632 235,496 4,860 230,636 204,814
Feb-90 11,592,299 0 0 11,592,299 191,610 5,110 186,500 (340,643)
Mar-90 11,487,497 20,000,000 0 24,487,497 579,108 6,705 572,403 408,828
Apr-90 32,589,082 0 0 32,589,082 (1,218,219) 6,543 (1,224,762) 822,917
May-90 32,404,884 0 0 32,404,884 (696,164) 16,344 (712,508) (1,918,860)
Jun-90 29,940,205 0 0 29,940,205 (494,067) 5,706 (499,773) 337,038
Jul-90 29,944,159 0 0 29,944,159 (587,753) 2,155 (589,908) 990,203
Aug-90 30,511,143 0 0 30,511,143 3,603,212 21,638 3,581,574 (80,418)
Sep-90 34,146,079 0 0 34,146,079 1,536,499 6,309 1,530,190 1,244,128
Oct-90 36,412,787 0 0 36,412,787 492,521 5,939 486,582 (1,778,338)
Nov-90 35,332,299 0 0 35,332,299 (358,535) 15,596 (374,131) (1,139,697)
Dec-90 34,029,738 0 0 34,029,738 (1,438,736) 11,684 (1,450,420) 573,796
TOTAL 20,000,000 0 1,844,973 108,588 1,736,385 (676,232)
Jan-91 33,364,381 0 0 33,364,381 345,401 12,723 332,678 (493,563)
Feb-91 33,418,633 0 0 33,418,633 (746,348) 5,517 (751,865) 849,452
Mar-91 33,699,138 0 0 33,699,138 505,857 1,728 504,129 598,699
Apr-91 34,984,079 0 0 34,984,079 (42,190) 5,643 (47,833) (1,076,054)
May-91 34,044,196 0 0 34,044,196 (1,405,508) 14,571 (1,420,079) 450,957
Jun-91 33,221,649 0 0 33,221,649 1,489,363 13,068 1,476,295 856,575
Jul-91 35,674,518 0 0 35,674,518 993,495 11,529 981,966 (1,673,935)
Aug-91 35,095,076 0 0 35,095,076 988,968 1,138 987,829 1,834,992
Sep-91 38,035,921 0 0 38,035,921 62,397 34,169 28,229 (353,763)
Oct-91 37,812,197 0 0 37,812,197 383,937 25,756 358,181 (1,532,212)
Nov-91 36,738,166 0 0 36,738,166 (268,170) 22,868 (291,038) 49,267
Dec-91 36,596,395 0 0 36,596,395 (726,673) 11,072 (737,746) 2,080,233
TOTAL 0 0 1,580,528 159,783 1,420,746 1,590,648
Jan-92 38,040,998 0 0 38,040,998 (668,685) 18,553 (687,238) (1,295,199)
Feb-92 36,166,357 0 0 36,166,357 (1,634,054) 7,577 (1,641,630) (82,151)
Mar-92 34,574,832 0 0 34,574,832 1,024,073 20,000 1,004,073 (247,404)
Apr-92 35,464,501 0 0 35,464,501 (1,870,692) 33,730 (1,904,422) 1,351,790
May-92 35,029,767 0 0 35,029,767 129,548 23,125 106,422 (378,321)
Jun-92 34,864,405 0 0 34,864,405 459,589 29,931 429,658 552,278
Jul-92 35,952,502 0 0 35,952,502 (598,448) 22,192 (620,640) 1,756,329
Aug-92 37,235,942 0 0 37,235,942 3,273,191 18,022 3,255,170 (471,237)
Sep-92 40,119,957 0 0 40,119,957 2,151,462 19,562 2,131,900 (1,441,945)
Oct-92 40,930,806 120,000 0 40,930,806 316,454 23,229 293,225 (309,070)
Nov-92 41,147,946 0 0 41,147,946 (887,728) 17,105 (904,832) 336,545
Dec-92 40,677,194 15,000,000 0 41,806,226 926,575 42,700 883,876 (278,430)
TOTAL 15,120,000 0 2,621,286 275,723 2,345,563 (506,814)
<CAPTION>
NET ASSET
PERIOD VALUE
INTEREST ADVISORY NET ENDING NET RATE OF PER $1,000 @
INCOME FEES PERFORMANCE ASSET VALUE RETURN APR. 1989)
MONTH/YEAR (10) (11) (13) (14) (15) (16)
- --------------------
----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Apr-89 55,398 0 (37,026) 9,962,974 (0.4%) 996
May-89 55,398 0 (91,511) 9,871,463 (0.9%) 987
Jun-89 55,398 0 (386,324) 9,485,140 (3.9%) 949
Jul-89 55,398 0 (359,963) 9,125,177 (3.8%) 913
Aug-89 55,398 0 242,033 9,367,209 2.7% 937
Sep-89 65,962 0 288,448 9,655,657 3.1% 966
Oct-89 57,501 0 490,037 10,145,694 5.1% 1,015
Nov-89 80,685 0 724,107 10,869,802 7.1% 1,087
Dec-89 70,832 0 236,831 11,106,632 2.2% 1,111
TOTAL (9 MONTHS) 551,969 0 1,106,632 11.1%
Jan-90 50,217 0 485,667 11,592,299 4.4% 1,159
Feb-90 49,340 0 (104,802) 11,487,497 (0.9%) 1,149
Mar-90 225,712 105,359 1,101,585 32,589,082 4.5% 1,200
Apr-90 217,647 0 (184,198) 32,404,884 (0.6%) 1,194
May-90 166,689 (0) (2,464,679) 29,940,205 (7.6%) 1,103
Jun-90 166,689 0 3,954 29,944,159 0.0% 1,103
Jul-90 166,689 0 566,984 30,511,143 1.9% 1,124
Aug-90 133,780 0 3,634,936 34,146,079 11.9% 1,258
Sep-90 211,268 718,878 2,266,708 36,412,787 6.6% 1,341
Oct-90 211,268 0 (1,080,488) 35,332,299 (3.0%) 1,301
Nov-90 211,267 0 (1,302,561) 34,029,738 (3.7%) 1,253
Dec-90 211,267 0 (665,357) 33,364,381 (2.0%) 1,229
TOTAL 2,021,833 824,237 2,257,748 10.7%
Jan-91 215,137 0 54,252 33,418,633 0.2% 1,231
Feb-91 182,918 0 280,505 33,699,138 0.8% 1,241
Mar-91 182,114 0 1,284,941 34,984,079 3.8% 1,289
Apr-91 184,004 0 (939,882) 34,044,196 (2.7%) 1,254
May-91 146,575 0 (822,547) 33,221,649 (2.4%) 1,224
Jun-91 120,000 0 2,452,870 35,674,518 7.4% 1,314
Jul-91 112,526 0 (579,443) 35,095,076 (1.6%) 1,293
Aug-91 118,024 0 2,940,845 38,035,921 8.4% 1,401
Sep-91 101,810 0 (223,724) 37,812,197 (0.6%) 1,393
Oct-91 100,000 0 (1,074,031) 36,738,166 (2.8%) 1,353
Nov-91 100,000 0 (141,771) 36,596,395 (0.4%) 1,348
Dec-91 102,116 0 1,444,603 38,040,998 3.9% 1,401
TOTAL 1,665,223 0 4,676,617 14.0%
Jan-92 107,797 0 (1,874,640) 36,166,357 (4.9%) 1,332
Feb-92 132,256 0 (1,591,526) 34,574,832 (4.4%) 1,274
Mar-92 133,000 0 889,669 35,464,501 2.6% 1,306
Apr-92 117,898 0 (434,734) 35,029,767 (1.2%) 1,290
May-92 106,537 0 (165,362) 34,864,405 (0.5%) 1,284
Jun-92 106,161 0 1,088,098 35,952,502 3.1% 1,324
Jul-92 147,750 0 1,283,440 37,235,942 3.6% 1,372
Aug-92 100,082 0 2,884,015 40,119,957 7.7% 1,478
Sep-92 120,893 0 810,849 40,930,806 2.0% 1,508
Oct-92 112,985 0 97,140 41,147,946 0.2% 1,511
Nov-92 97,738 203 (470,752) 40,677,194 (1.1%) 1,494
Dec-92 88,159 203 693,401 56,370,595 1.7% 1,519
TOTAL 1,371,256 407 3,209,597 8.4%
</TABLE>
107
<PAGE>
TABLE D--PRS FINANCIAL (con't)
COMPOSITE PERFORMANCE RECORD OF ALL FINANCIAL ACCOUNTS MANAGED
USING THE SABRE PATTERN RECOGNITION SYSTEM
(DENOMINATED IN US DOLLARS)
<TABLE>
<CAPTION>
TIME CHANGE IN
BEGINNING WEIGHTED GROSS BROKERAGE UNREALIZED
NET ASSET MONTHLY REALIZED COMMISSIONS NET REALIZED GAIN/
VALUE ADDITIONS WITHDRAWALS EQUITY GAIN/(LOSS) & EXPENSES GAIN/(LOSS) (LOSS)
MONTH/YEAR (1) (2) (3) (4) (6) (7) (8) (9)
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Jan-93 56,370,595 0 0 56,370,595 (870,881) 34,801 (905,682) 1,747,331
Feb-93 57,316,466 0 65,000 57,316,466 4,085,628 12,447 4,073,181 1,608,739
Mar-93 62,135,682 0 0 62,135,682 3,098,415 46,759 3,051,656 (2,061,940)
Apr-93 63,214,295 72,292 0 63,286,588 1,380,103 51,576 1,328,527 27,140
May-93 64,572,363 0 0 64,572,363 800,604 38,705 761,898 (1,329,330)
Jun-93 64,189,550 0 0 64,189,550 974,158 59,629 914,529 2,521,753
Jul-93 67,401,719 0 0 67,401,719 1,711,045 47,437 1,663,608 294,887
Aug-93 69,187,190 3,100,000 0 72,287,190 4,659,297 30,220 4,629,077 (1,159,286)
Sep-93 75,680,197 1,250,000 0 76,930,197 1,562,418 56,614 1,505,804 (1,362,830)
Oct-93 77,226,854 1,750,000 0 78,976,855 (167,631) 50,548 (218,179) 998,991
Nov-93 79,915,473 0 980,931 79,915,474 1,516,664 28,130 1,488,534 (1,324,509)
Dec-93 79,037,697 0 717,403 79,037,698 660,185 41,839 618,346 2,683,126
TOTAL 6,172,292 1,763,334 19,410,005 498,706 18,911,299 2,644,072
Jan-94 81,451,314 2,209,884 743,808 82,080,089 (4,443,655) 50,626 (4,494,281) (848,913)
Feb-94 77,631,259 8,041,111 1,095,462 83,705,482 (4,631,513) 107,544 (4,739,057) 2,686,730
Mar-94 82,629,726 10,500,000 497,206 90,549,083 5,492,528 91,857 5,400,671 (1,263,983)
Apr-94 96,969,051 0 0 96,969,051 626,156 63,727 562,429 (2,335,381)
May-94 95,440,230 0 0 95,440,230 (1,467,502) 37,856 (1,505,358) 4,056,607
Jun-94 98,218,293 1,113,750 0 98,775,168 5,393,554 66,072 5,327,482 (4,991,184)
Jul-94 99,963,300 0 0 99,963,300 740,695 66,172 674,523 (2,834,540)
Aug-94 98,081,762 500,000 0 98,194,761 2,449,466 40,901 2,408,565 (387,409)
Sep-94 100,895,329 0 475,000 100,420,328 (5,097,982) 53,320 (5,151,302) 1,554,523
Oct-94 97,257,982 700,000 2,353,387 95,678,605 (4,088,513) 64,245 (4,152,758) 2,793,987
Nov-94 94,554,288 0 0 94,554,288 (2,825,434) 76,511 (2,901,945) (2,995,662)
Dec-94 88,996,963 0 17,403 88,979,561 (3,168,474) 126,171 (3,294,645) 1,525,912
TOTAL 23,064,745 5,182,266 (11,020,674) 845,002 (11,865,676) (3,039,313)
Jan-95 87,630,674 0 0 87,630,674 (1,609,284) (21,773) (1,587,511) (7,053)
Feb-95 86,348,925 0 76,080,833 86,348,925 501,757 26,362 475,395 (801,343)
Mar-95 10,348,661 0 457,924 9,890,737 (105,536) 3,883 (109,418) 73,251
Apr-95 9,912,319 0 0 9,912,319 41,585 1,510 40,075 209,414
<CAPTION>
NET ASSET
PERIOD VALUE
INTEREST ADVISORY NET ENDING NET RATE OF PER $1,000 @
INCOME FEES PERFORMANCE ASSET VALUE RETURN APR. 1989)
MONTH/YEAR (10) (11) (13) (14) (15) (16)
- --------------------
------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Jan-93 120,714 16,492 945,871 57,316,466 1.7% 1,544
Feb-93 132,848 930,552 4,884,216 62,135,682 8.5% 1,676
Mar-93 139,869 50,971 1,078,614 63,214,295 1.7% 1,705
Apr-93 138,163 208,054 1,285,775 64,572,363 2.0% 1,740
May-93 192,332 7,714 (382,813) 64,189,550 (0.6%) 1,729
Jun-93 143,886 367,998 3,212,170 67,401,719 5.0% 1,816
Jul-93 135,155 308,180 1,785,470 69,187,190 2.6% 1,864
Aug-93 181,230 258,014 3,393,007 75,680,197 4.7% 1,951
Sep-93 187,522 33,839 296,657 77,226,854 0.4% 1,959
Oct-93 162,529 4,722 938,619 79,915,473 1.2% 1,982
Nov-93 203,085 263,955 103,155 79,037,697 0.1% 1,985
Dec-93 213,144 383,596 3,131,020 81,451,314 4.0% 2,063
TOTAL 1,950,478 2,834,087 20,671,761 35.9%
Jan-94 173,583 116,520 (5,286,131) 77,631,259 (6.4%) 1,931
Feb-94 206,070 100,925 (1,947,182) 82,629,726 (2.3%) 1,886
Mar-94 216,195 16,352 4,336,531 96,969,051 4.8% 1,976
Apr-94 260,024 15,893 (1,528,821) 95,440,230 (1.6%) 1,945
May-94 253,036 26,222 2,778,063 98,218,293 2.9% 2,001
Jun-94 309,885 14,926 631,257 99,963,300 0.6% 2,014
Jul-94 303,092 24,613 (1,881,538) 98,081,762 (1.9%) 1,976
Aug-94 329,431 37,020 2,313,567 100,895,329 2.4% 2,023
Sep-94 456,203 21,771 (3,162,347) 97,257,982 (3.1%) 1,959
Oct-94 342,943 34,479 (1,050,307) 94,554,288 (1.1%) 1,938
Nov-94 354,589 14,306 (5,557,324) 88,996,963 (5.9%) 1,824
Dec-94 446,275 26,429 (1,348,887) 87,630,674 (1.5%) 1,796
TOTAL 3,651,326 449,456 (11,703,119) (13.0%)
Jan-95 324,672 11,857 (1,281,749) 86,348,925 (1.5%) 1,770
Feb-95 423,136 16,619 80,569 10,348,661 0.1% 1,771
Mar-95 41,669 (16,080) 21,582 9,912,319 0.2% 1,775
Apr-95 41,051 11,735 278,806 10,191,124 2.8% 1,825
</TABLE>
108
<PAGE>
SABRE FUND MANAGEMENT LTD.
NOTES TO COMPOSITE PERFORMANCE RECORD TABLES C AND D
(1) "Beginning Net Asset Value" in Tables C and D is the sum of cash, U.S.
Treasury Bills and other securities at cost plus accrued interest plus the
market value of open positions, and generally includes accrued income and
liabilities at the beginning of the period.
(2) "Additions" represent all new deposits to the accounts during the period. No
offsetting additions are recorded when a performance fee is accrued but not
paid.
(3) "Withdrawals" represent all withdrawals from the accounts (including account
closures) during the period.
(4) "Time Weighted Monthly Equity" represents the average equity available for
trading in each month calculated by taking the number of days that funds were
available for trading divided by the total number of days in the period.
Time Weighted Monthly Equity is used in the calculation of "Period Rate of
Return" (the figure calculated in Note (15) below) in order to comply with a
CFTC Advisory issued February 27, 1991. Time Weighted Monthly Equity has been
used in Tables C and D beginning in January 1991. Beginning Net Asset Value has
been used for earlier periods as the use of Time Weighted Monthly Equity would
not have a material impact on the "Period Rate of Return" for these periods.
(5) "Currency Conversion Gain/(Loss)": Sabre manages accounts denominated in a
variety of currencies other than the U.S. Dollar, primarily in pounds Sterling.
In order to generate a U.S. Dollar-based performance record, it is necessary to
convert the values of these accounts into U.S. Dollars. "Currency Conversion
Gain/(Loss)" represents the change in value in successive months between the
"Beginning Net Asset Value" of accounts denominated other than in U.S. Dollars
converted into U.S. Dollars at (i) the opening and (ii) the closing rates of
exchange applicable to that currency as of the beginning and end of each month.
This adjustment largely compensates for any exchange-rate distortions resulting
from the conversion of non-U.S. Dollar-based equity into U.S. Dollars.
Prospective investors should note that currency conversion profits and losses
are unrelated to Sabre's management.
(6) "Gross Realized Gain/(Loss)" is the gross profit or loss on closed trades
and the unrealized exchange-rate profits or losses on the conversion into the
base currency of balances held by an account other than in the base currency in
which the account is denominated.
(7) "Brokerage Commissions & Expenses" represent cash paid on closed trades; the
recognition of these commissions and expenses on an accrual basis would not be
materially different.
(8) "Net Realized Gain/(Loss)" equals Gross Realized Gain/(Loss) minus Brokerage
Commissions & Expenses.
(9) "Change in Unrealized Gain/(Loss)" is the difference between unrealized gain
(loss) as of the end of a month and unrealized gain (loss) as of the end of the
preceding month, including open positions only, and is calculated without
adjustment for the change in brokerage commissions which would be incurred upon
liquidation of such positions or the change in any other expenses; the effect of
incorporating the change in accrued commissions and the change in other expenses
(other than advisory fees which are separately presented) would not be material.
(10) "Interest Income" is the sum of all interest earned or accrued during the
month.
(11) "Advisory Fees" represent the management and performance fees paid by the
accounts, recorded on an accrual basis. Negative performance fees are recorded
when previously accrued performance fees are reversed due to losses. No
offsetting entries are made to Additions and Withdrawals to reflect performance
fees accrued but not paid, previously accrued and then reversed or previously
accrued and then paid. The accounts paid a variety of different advisory fees.
(12) "Other Expenses" consist of organization costs, if any, paid by accounts
and all operating expenses other than Brokerage Commissions & Expenses and
Advisory Fees.
(13) "Net Performance" equals (A) the sum of Gross Realized Gain/(Loss), plus or
minus Change in Unrealized Gain/(Loss) and Interest Income, less (B) the sum of
Brokerage Commissions & Expenses, Advisory Fees and Other Expenses.
(14) "Ending Net Asset Value" equals Beginning Net Asset Value plus Additions,
minus Withdrawals, plus or minus Net Performance.
(15) "Period Rate of Return" is calculated from January 1991 on by dividing Net
Performance by the Time Weighted Monthly Equity. Prior to January 1991, Period
Rate of Return was calculated by dividing Net Performance by Beginning Net Asset
Value.
109
<PAGE>
(16) "Net Asset Value Per $1,000" is arrived at by applying the Period Rate of
Return calculated in Note (15) above to a hypothetical initial investment of
$1,000, assumed to have been made on January 1, 1981 (for C) and on April 15,
1989 (for D). This value does not reflect the performance of any individual
account included in Tables C and D and assumes a continuous hypothetical
investment with no additions or withdrawals.
The annual rates of return are calculated by multiplying on a compound basis,
the monthly rates of return and not by adding or averaging such rates of return.
110
<PAGE>
TABLE E--COMMODITY RECOVERY PORTFOLIO
COMPOSITE OF ALL STANDARD LEVERAGE ACCOUNTS
<TABLE>
<CAPTION>
BEGINNING ENDING MONTHLY NET ASSET
NET ASSET NET NET ASSET RATE OF VALUE
VALUE ADDITIONS WITHDRAWALS PERFORMANCE VALUE RETURN PER $1,000
MONTH/YEAR (1) (2) (3) (5) (6) (7) (8)
<S> <C> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------
Jun-94 0 1,000,000 0 0 1,000,000 0.0% 1,000
Jul-94 1,000,000 4,500,000 0 19,955 5,519,955 0.6% 1,006
Aug-94 5,519,955 132,828 (1,023,660) 5,965 4,635,088 0.1% 1,007
Sep-94 4,635,088 1,020,350 (10,000) (6,963) 5,638,475 (0.2%) 1,006
Oct-94 5,638,475 25,125 (53,725) 67,865 5,677,740 1.2% 1,018
Nov-94 5,677,740 4,507,702 0 266,175 10,451,617 3.1% 1,049
Dec-94 10,451,617 0 0 229,780 10,681,397 2.2% 1,072
TOTALS (7 MONTHS) 11,186,005 (1,087,385) 582,777 7.2%
Jan-95 10,681,397 114,747 0 (141,121) 10,655,024 (1.3%) 1,058
Feb-95 10,655,024 192,163 (83,780) (21,111) 10,742,296 (0.2%) 1,056
Mar-95 10,742,296 1,020,000 (156,799) 50,843 11,656,339 0.4% 1,061
Apr-95 11,656,339 29,012 0 79,120 11,764,471 0.7% 1,068
TOTAL 1,355,922 (240,579)
</TABLE>
TABLE F--SWING TRADING SYSTEM
COMPOSITE PERFORMANCE RECORD OF ALL ACCOUNTS MANAGED USING THE SABRE SWING
TRADING SYSTEM (DENOMINATED IN US DOLLARS)
<TABLE>
<CAPTION>
BEGINNING ENDING MONTHLY NET ASSET
NET ASSET NET NET ASSET RATE OF VALUE
VALUE ADDITIONS WITHDRAWALS PERFORMANCE VALUE RETURN PER $1,000
MONTH/YEAR (1) (2) (3) (5) (6) (7) (8)
<S> <C> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------
1,000
Oct-94 0 1,000,000 0 (11,225) 988,775 (1.1%) 989
Nov-94 988,775 0 0 (4,189) 984,586 (0.4%) 985
Dec-94 984,586 1,000,000 46,919 (15,285) 1,922,382 (0.8%) 977
TOTAL (3 MONTHS) 2,000,000 46,919 (30,699)
Jan-95 1,922,382 953,256 0 (106,289) 2,769,349 (3.7%) 941
Feb-95 2,769,349 0 0 6,349 2,775,698 0.2% 943
Mar-95 2,775,698 10,037,055 2,754,994 (63,001) 9,994,759 (0.5%) 936
Apr-95 9,994,759 0 0 (1,532,685) 8,462,074 (15.3%) 843
</TABLE>
111
<PAGE>
TABLE G
COMPOSITE PERFORMANCE RECORD OF ALL ACCOUNTS MANAGED
BY SABRE FUND MANAGEMENT LIMITED IN CLOSED PROGRAMS
OR PROGRAMS NOT CURRENTLY OFFERED IN THE US
<TABLE>
<CAPTION>
CURRENCY
BEGINNING CONVERSION ENDING MONTHLY
NET ASSET GAIN/ NET NET ASSET RATE OF
VALUE ADDITIONS WITHDRAWALS (LOSS) PERFORMANCE VALUE RETURN
MONTH/YEAR (1) (2) (3) (4) (5) (6) (7)
<S> <C> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------
Feb-91 0 108,116 0 0 (2,687) 105,429 (2.5%)
Mar-91 105,429 2,000,000 0 0 13,915 2,119,344 0.7%
Apr-91 2,119,344 2,060,000 0 0 8,529 4,187,873 0.3%
May-91 4,187,873 3,000,000 0 0 12,069 7,199,942 0.2%
Jun-91 7,199,942 1,150,000 0 0 246,105 8,596,047 3.1%
Jul-91 8,596,047 551,035 0 0 (278,685) 8,868,397 (3.0%)
Aug-91 8,868,397 0 0 0 75,942 8,944,339 0.9%
Sep-91 8,944,339 500,000 27 0 357,499 9,801,811 3.9%
Oct-91 9,801,811 0 0 0 145,163 9,946,974 1.5%
Nov-91 9,946,974 3,500,000 0 0 (115,744) 13,331,230 (1.0%)
Dec-91 13,331,230 0 0 0 272,349 13,603,579 2.0%
TOTAL 12,869,151 27 0 734,455
Jan-92 13,603,579 7,491,500 0 0 (1,072,608) 20,022,471 (6.2%)
Feb-92 20,022,471 515,000 514,251 0 (591,956) 19,431,264 (2.9%)
Mar-92 19,431,264 0 190,400 0 (160,836) 19,080,028 (0.8%)
Apr-92 19,080,028 3,785,762 50,000 0 (993,033) 21,822,757 (4.6%)
May-92 21,822,757 100,000 0 0 585,337 22,508,094 2.7%
Jun-92 22,508,094 550,000 0 0 (13,059) 23,045,035 (0.1%)
Jul-92 23,045,035 0 10,174,832 0 105,938 12,976,141 0.6%
Aug-92 12,976,141 3,643 0 0 853,765 13,833,549 6.6%
Sep-92 13,833,549 500,000 0 0 347,516 14,681,065 2.4%
Oct-92 14,681,065 0 0 0 (154,430) 14,526,635 (1.1%)
Nov-92 14,526,635 1,000,000 0 0 242,944 15,769,579 1.6%
Dec-92 15,769,579 15,000,000 1,482,642 0 (146,949) 29,139,988 (0.9%)
TOTAL 28,945,905 12,412,125 0 (997,371)
Jan-93 29,139,988 142,544 3,295,972 0 (1,413,677) 24,572,883 (5.4%)
Feb-93 24,572,883 1,049,482 343,298 0 567,003 25,846,070 2.2%
Mar-93 25,846,070 42,164 65,000 0 152,417 25,975,651 0.6%
Apr-93 25,975,651 99,975 591,219 0 1,608,784 27,093,191 6.1%
May-93 27,093,191 (15,097) 970,136 0 119,245 26,227,203 0.5%
Jun-93 26,227,203 1,500,000 49,452 0 (1,355,816) 26,321,936 (4.9%)
Jul-93 26,321,936 41,411 1,409,731 37,905 (649,726) 24,341,794 (2.6%)
Aug-93 24,341,794 61,098 0 0 (1,068,784) 23,334,108 (4.4%)
Sep-93 23,334,108 0 1,399,940 3,072 (278,168) 21,659,072 (1.3%)
Oct-93 21,659,072 0 20,568 (7,994) 352,019 21,982,530 1.6%
Nov-93 21,982,530 0 0 2,297 (458,679) 21,526,149 (2.1%)
Dec-93 21,526,149 0 43,911 (7,083) 566,285 22,041,440 2.6%
TOTAL 2,921,577 8,189,227 28,197 (1,859,096)
Jan-94 22,041,440 0 2,209,898 16,041 (778,834) 19,068,749 (3.7%)
Feb-94 19,068,749 2,000,000 15,798,690 (9,007) (145,073) 5,115,979 (1.4%)
Mar-94 5,115,979 0 65,565 (1,730) 12,479 5,061,162 0.2%
Apr-94 5,061,162 816 152,980 25,198 (91,084) 4,843,113 (2.1%)
May-94 4,843,113 9,484 251 (4,417) (32,822) 4,815,107 (0.7%)
Jun-94 4,815,107 (0) 0 20,605 199,105 5,034,817 3.2%
Jul-94 5,034,817 0 0 (321) (33,339) 5,001,157 (0.7%)
Aug-94 5,001,157 0 2,014,205 (6,107) (67,146) 2,913,698 (1.3%)
Sep-94 2,913,698 0 42,910 26,597 36,849 2,934,235 1.3%
Oct-94 2,934,235 (2) 7,211 34,975 28,447 2,990,444 1.0%
Nov-94 2,990,444 (1) 0 (41,932) (4,895) 2,943,617 (0.2%)
Dec-94 2,943,617 0 0 473 (12,962) 2,931,128 (0.4%)
TOTAL 2,010,298 20,291,710 60,375 (889,275)
Jan-95 2,931,128 1,000,000 28,938 12,511 11,904 3,926,605 0.4%
Feb-95 3,926,605 37,094 859,908 (4,152) 65,344 3,164,982 1.7%
Mar-95 3,164,982 (0) (1) 2,741 (6,543) 3,203,477 (0.2%)
Apr-95 3,203,477 0 (6,847) (1,076) (47,375) 3,161,874 (1.5%)
</TABLE>
112
<PAGE>
SABRE FUND MANAGEMENT LTD.
NOTES TO COMPOSITE PERFORMANCE RECORD TABLES E, F AND G
(1) "Beginning Net Asset Value" is the sum of cash, U.S. Treasury Bills and
other securities at cost plus accrued interest plus the market of open
positions, and generally includes accrued income and liabilities at the
beginning of the period.
(2) "Additions" represents all new deposits to the accounts during the period.
No offsetting additions are recorded when a performance fee is accrued but not
paid.
(3) "Withdrawals" represent all withdrawals from the accounts (including account
closures) during the period. No offsetting additions are recorded when a
previously accrued performance fee is paid.
(4) "Currency Conversion Gain/(Loss)." Sabre manages accounts denominated in a
variety of currencies other than the U.S. Dollar, primarily in pounds Sterling.
In order to generate a U.S. Dollar-based performance record, it is necessary to
convert the value of these accounts into U.S. Dollars. Currency Conversion
Gain/(Loss) represents the change in value in successive months between the
"Beginning Net Asset Value" of accounts denominated other than in U.S. Dollars
converted into U.S. Dollars at (i) the opening and (ii) the closing rates of
exchange applicable to that currency as of the beginning and end of each month.
This adjustment largely compensates for any exchange-rate distortions resulting
from the conversion of non-U.S. Dollar-based equity into U.S. Dollars. All
accounts included in Table F were, in fact, denominated in U.S. Dollars so that
no Currency Conversion Gain/(Loss) has been recorded for such Table. Prospective
investors should note that currency conversion profits and losses are unrelated
to Sabre's management.
(5) "Net Performance" equals the sum of gross realized gain/(loss), plus or
minus change in unrealized gain/(loss) and interest income, less expenses.
(6) "Ending Net Asset Value" equals Beginning Net Asset Value plus Additions,
minus Withdrawals, plus or minus Net Performance.
(7) "Monthly Rate of Return" is calculated by dividing Net Performance by
Beginning Net Asset Value.
(8) "Net Asset Value Per $1,000" is arrived at by multiplying the Monthly Rate
of Return calculated in Note (7) above to a hypothetical initial investment of
$1,000.
113
<PAGE>
TABLE H--COMMODITY RECOVERY PORTFOLIO
COMPOSITE OF ALL HALF STANDARD LEVERAGE ACCOUNTS
<TABLE>
<CAPTION>
BEGINNING CURRENCY
BEGINNING EQUITY - CONVERSION ENDING MONTHLY
NET ASSET NOTIONAL NOMINAL GAIN/ NET NET ASSET RATE OF
VALUE ADJUSTMENT AMOUNT ADDITIONS WITHDRAWALS (LOSS) PERFORMANCE VALUE RETURN
DATE (1) (1A) (1B) (2) (3) (4) (5) (6) (7)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------------
May-93 0 4,300,000 0 5,015,097 0 0 (8,564) 9,306,533 (0.20%)
Jun-93 706,533 4,300,000 5,006,533 0 0 0 23,656 5,030,188 0.50%
Jul-93 730,188 4,300,000 5,030,188 0 0 0 86,164 5,116,353 1.70%
Aug-93 816,353 4,300,000 5,116,353 0 0 0 (87,927) 5,028,426 (1.70%)
Sep-93 728,426 4,300,000 5,028,426 0 0 0 (6,909) 5,021,516 (0.10%)
Oct-93 721,516 4,300,000 5,021,516 0 0 0 47,924 5,069,441 1.00%
Nov-93 769,441 4,300,000 5,069,441 0 0 0 73,597 5,143,037 1.50%
Dec-93 843,037 4,300,000 5,143,037 0 0 0 34,756 5,177,793 0.70%
TOTALS 5,015,097 0 162,696
Jan-94 877,793 4,300,000 5,177,793 0 0 0 (11,847) 5,165,946 (0.20%)
Feb-94 865,946 6,637,770 7,503,716 3,000,000 0 0 18,323 8,184,269 0.40%
Mar-94 1,546,499 6,637,770 8,184,269 0 0 0 (77,304) 8,106,966 (0.90%)
Apr-94 1,469,196 6,637,770 8,106,966 0 (114,338) 0 (104,025) 7,888,602 (1.30%)
May-94 1,250,832 6,637,770 7,888,602 0 0 0 496,198 8,384,800 6.30%
Jun-94 1,747,030 6,637,770 8,384,800 2,047,244 0 0 141,357 10,573,401 1.70%
Jul-94 3,935,631 6,637,770 10,573,401 3,000,000 (336,390) 4,183 180,109 13,421,303 1.40%
Aug-94 6,783,533 6,637,770 13,421,303 0 0 3,872 (175,844) 13,249,331 (1.30%)
Sep-94 6,611,561 6,637,770 13,249,331 1,869,135 0 40,967 (8,918) 15,150,515 (0.10%)
Oct-94 7,306,652 7,843,863 15,150,515 0 0 65,001 83,509 15,299,026 0.50%
Nov-94 7,455,163 7,843,863 15,299,026 0 (3,075,181) (91,160) 227,682 12,360,367 1.70%
Dec-94 4,516,504 7,843,863 12,360,367 0 0 28,838 102,550 12,491,755 0.80%
TOTALS 9,916,379 (3,525,909) 51,701 871,791
Jan-95 4,647,892 7,843,863 12,491,755 10,000,000 (164,328) 47,244 (61,211) 22,313,460 (0.50%)
Feb-95 6,469,597 15,843,863 22,313,460 0 0 76,821 (8,882) 22,381,399 0.00%
Mar-95 6,537,536 15,843,863 22,381,399 730,727 0 160,436 75,483 23,348,045 0.30%
Apr-95 7,504,182 15,843,863 23,348,045 0 0 (31,871) 127,505 23,443,679 0.50%
<CAPTION>
VALUE OF
$1,000
DATE (8)
<S> <C>
- --------------------
1,000
May-93 998
Jun-93 1,003
Jul-93 1,020
Aug-93 1,003
Sep-93 1,001
Oct-93 1,011
Nov-93 1,026
Dec-93 1,032
TOTALS
Jan-94 1,030
Feb-94 1,034
Mar-94 1,024
Apr-94 1,011
May-94 1,074
Jun-94 1,093
Jul-94 1,107
Aug-94 1,093
Sep-94 1,092
Oct-94 1,098
Nov-94 1,116
Dec-94 1,126
TOTALS
Jan-95 1,120
Feb-95 1,120
Mar-95 1,124
Apr-95 1,130
</TABLE>
114
<PAGE>
SABRE FUND MANAGEMENT LTD.
NOTES TO COMPOSITE PERFORMANCE RECORD TABLE H
(1) "Beginning Net Asset Value" is the sum of cash, U.S. Treasury Bills and
other securities at cost plus accrued interest plus the market value of open
positions, and generally includes accrued income and liabilities at the
beginning of the period.
(a) "Notional Adjustment" is the amount necessary to increase Beginning
Net Asset Value to the nominal account size.
(b) "Beginning Equity--Nominal Amount" is Beginning Net Asset Value plus
Notional Adjustment.
(2) "Additions" represent all new deposits including notional funds to the
accounts during the period. No offsetting additions are recorded when a
performance fee is accrued but not paid.
(3) "Withdrawals" represent all withdrawals from the Accounts (including Account
closures) during the period. No offsetting additions are recorded when a
previously accrued performance fee is paid.
(4) "Currency Conversion Gain/(Loss)" Sabre manages accounts denominated in a
variety of currencies other than the U.S. Dollar, primarily in pounds Sterling.
In order to generate a U.S. Dollar-based performance record, it is necessary to
convert the value of these accounts into U.S. Dollars. "CURRENCY CONVERSION
GAIN/(LOSS)" represents the change in value in successive months between the
"Beginning Net Asset Value" of Accounts denominated other than U.S. Dollars
converted into U.S. Dollars at (i) the opening and (ii) the closing rates of
exchange applicable to that currency as of the beginning and end of each month.
This adjustment largely compensates for any exchange-rate distortions resulting
from the conversion of non-U.S. Dollar-based equity into U.S. Dollars.
Prospective investors should note that currency conversion profits and losses
are unrelated to Sabre's management.
(5) "Net Performance" equals the sum of gross realized gain/(loss)," plus or
minus change in unrealized gain/ (loss)" and interest income less expenses.
(6) "Ending Net Asset Value" equals "Beginning Net Asset Value"--Nominal Amount"
plus "Additions" minus "Withdrawals," plus or minus "Net Performance."
(7) "Monthly Rate of Return" is calculated by dividing "Net Performance" by the
"Beginning Equity - Nominal Amount." Monthly Rate of Return is presented in the
format required for the fully-funded subset method. However, for the period from
May 1993 until June 1994, the only accounts traded under this program were
notionally funded and since that period over half of the funds in the accounts
are notional funds. Therefore, actual equity is replaced by the nominal account
size for the computation of the rate of return.
(8) "Net Asset Value Per $1,000" is arrived at by applying the Monthly Rate of
Return calculated in Note 7 above to a hypothetical initial investment of
$1,000.
The matrix below presents rates of returns that may have been achieved at
various funding levels.
<TABLE>
<CAPTION>
ACTUAL RATES OF
RETURN (1) RATES RETURN BASED ON VARIOUS FUNDING LEVELS (3)
<S> <C> <C> <C> <C> <C>
-1.7% -1.7% -2.1% -2.8% -4.2% -8.5%
-0.2% -0.2% -0.2% -0.3% -0.5% -1.0%
0.5% 0.5% 0.6% 0.8% 1.2% 2.5%
1.5% 1.5% 1.9% 2.5% 3.8% 7.5%
6.3% 6.3% 7.9% 10.5% 15.8% 31.5%
100% 80% 60% 40% 20%
LEVEL OF FUNDING (2)
</TABLE>
Notes to Matrix:
(1) This column represents the range of actual rates of return for the accounts
reflected in the accompanying performance table.
(2) This represents various possible levels of funding.
(3) This represents what the rates of return might be at various levels of
funding.
PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE PERFORMANCE
115
<PAGE>
DESCRIPTION OF UNITS
A purchaser of Units of the Fund will be a Limited Partner of the Fund. Units
will be fully paid and nonassessable when purchased and paid for pursuant to
this offering. Capital contributions of Limited Partners are subject to the
risks of the Fund's business. See "Risk Factors." However, a Limited Partner
will not be personally liable for any debts, losses or obligations of the Fund
beyond the amount of his or her capital contribution and profits attributable to
it, if any. Under applicable law, the Fund may not make a distribution to the
Limited Partners to the extent that at the time of distribution, after giving
effect to the distribution, all liabilities of the Fund exceed the fair value of
the assets of the Fund. A Limited Partner who receives a distribution in
violation of this law and who knew at the time of the distribution that the
distribution violated the law will be liable to the Fund for three years for the
amount of the distribution. A Limited Partner who receives a distribution and
who did not know at the time of the distribution that the distribution violated
applicable law will not be liable for the amount of the distribution. Limited
Partners will not participate in the management of the Fund as a consequence of
its organization in the form of a limited partnership and the desirability of
maintaining limited liability for the Limited Partners. Limited Partners may
have the opportunity to vote on certain significant matters affecting the
organization, operation or continuation of the Fund (see Amended and Restated
Limited Partnership Agreement Exhibit A). Limited Partners will be provided with
periodic reports and statements by the Fund, as required by applicable CFTC
regulations.
The General Partners determined that it was in the best interests of the Fund
that outstanding Units be split on a 3-for-1 basis as of the close of business
on February 28, 1995, and that the Net Asset Value per Unit be adjusted
accordingly. The Fund's records, and subsequent communications with Limited
Partners, reflect the fact that Limited Partners holding Units before that date
thereafter hold three Units for each previously outstanding Unit continuing to
be held by Limited Partners. Such Limited Partners' allocations and voting
participation were not altered on a pro rata basis.
Because of the significant appreciation that has occurred in the Net Asset Value
of Units since their initial issuance, the General Partners believe that the 3:1
split of Units will also enable Limited Partners to adjust the amounts of any
redemptions they wish to make more accurately in relation to the level of Net
Asset Value per Unit.
PLAN OF DISTRIBUTION
The offering of Units will be made by the Fund through American Express
Financial Advisors Inc. on a best efforts basis without any firm underwriting
commitment. The offering of Units will be made pursuant to a Selling Agreement
(the "Selling Agreement") among the Fund, the Selling Agent and the General
Partners. The Fund will pay the Selling Agent the Sales Charge for each Unit
sold to an investor other than an Affiliated Purchaser. Purchasers of Units who
are Affiliated Purchasers will pay no Sales Charge in connection with their
purchase. The General Partners will receive from the proceeds of the offering
the Offering Expense Charge for each Unit sold to an investor.
American Express Financial Advisors Inc., a Delaware corporation organized in
1894, is a wholly-owned subsidiary of American Express Financial Corporation.
American Express Financial Corporation is a wholly-owned subsidiary of American
Express Company. American Express Financial Advisors Inc. is registered as a
broker-dealer and investment adviser with the SEC, and is a member of the
National Association of Securities Dealers, Inc. American Express Financial
Advisors Inc. does business as a broker-dealer in 51 jurisdictions. As of March
31, 1995, American Express Financial Advisors Inc. had 6,735 employees and in
addition maintained a nationwide financial planning force of 8,015 persons.
American Express Financial Advisors Inc. was named and did business as IDS
Financial Services Inc. until January 1, 1995. IDS Futures Corporation, a
Minnesota corporation organized in December of 1986, is a wholly-owned
subsidiary of IDS Management Corporation, a Minnesota corporation organized in
December, 1986. IDS Management Corporation is a wholly-owned subsidiary of
American Express Financial Corporation, which was named IDS Financial
Corporation until January 1, 1995. Other subsidiaries of IDS Management
Corporation are engaged in the organization and management of limited
partnerships investing in assets other than commodity interests. American
Express Financial Advisors Inc. and its affiliates are engaged in providing a
variety of financial products and services to individuals, businesses and
institutions. These products and services include life insurance and annuities,
face amount certificates, mutual funds, client paid financial planning
116
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
services, investment advisory services, limited partnership interests and
brokerage services. During the ordinary course of its business, American Express
Financial Advisors Inc. is engaged in civil litigation and subject to
administrative proceedings, which, in the aggregate, are not expected to have a
material effect upon its condition, financial or otherwise, or the services it
will render to the Fund. Neither American Express Financial Advisors Inc. nor
any of its principals have been the subject of any material administrative,
civil or criminal action pending, completed or on appeal within the five years
preceding the date of this Prospectus.
During the Offering Period, the minimum subscription (including subscriptions
for certain retirement plans) is $1,000; any greater subscription amount must be
in increments of $100. Purchasers must subscribe for at least the minimum
purchase amount. Subscription checks must be made out to FirsTier Bank, N.A.,
Lincoln, Nebraska, as Escrow Agent for IDS Managed Futures, L.P. All
subscription checks will be forwarded by the Selling Agent to the Escrow Agent
by noon of the next business day after receipt of such subscriptions.
The Units are being sold by the Fund when, as and if subscriptions therefor are
accepted by the General Partners, subject to the satisfaction of certain
conditions set forth in the Selling Agreement. In the Selling Agreement, the
Fund and the General Partners have agreed to indemnify the Selling Agent against
certain liabilities incurred in connection with the issuance and sale of the
Units. Under the Securities Act of 1933, as amended, such indemnification may be
contrary to public policy and, therefore, unenforceable.
THE OFFERING PERIOD
The Units will be offered until ________, 1997 or such earlier date when all
Units registered are sold. Units will continue to be offered to Affiliated
Purchasers at a price per Unit equal to Net Asset Value per Unit as of the close
of business on the last business day of the month in which the General Partners
accept such subscriptions and admit subscribers as Limited Partners, plus the
amount of the Offering Expense Charge on a per Unit basis. Units will be offered
to non-Affiliated Purchasers at a price per Unit equal to the Net Asset Value
per Unit as of the close of business on the last business day of the month in
which the General Partners accept such subscriptions and admit subscribers as
Limited Partners, plus the amounts of the Sales Charge and the Offering Expense
Charge on a per Unit basis. Purchasers are likely to receive fractional Units.
Subscriptions for Units which are received after the tenth calendar day of a
calendar month will be held in the escrow account, due to the length of time
required to process subscriptions, and, if not rejected, the subscribers will be
admitted to the Fund at the subsequent admission of subscribers to the Fund
after the end of such month. See "Free Look Alternative." Additional Limited
Partners will be admitted to the Fund on the last business day of each full
calendar month during the Offering Period, if such proceeds were received by the
tenth calendar day of that month. All subscription funds will be held in escrow
in interest-bearing instruments by FirsTier Bank, N.A., Lincoln, Nebraska, as
Escrow Agent, until such subscriptions have been accepted by the General
Partners. All Funds held in the escrow account will earn interest during that
time. Subscribers will receive interest on funds deposited with the Escrow Agent
within 30 days after the date on which they are admitted to the Fund, except
that if any subscriber's accrued interest is less than $10, such interest shall
be paid to the Fund and not the subscriber. The Selling Agent shall receive from
the proceeds of the offering the Sales Charge for each Unit sold to investors
other than Affiliated Purchasers. The General Partners shall receive from the
proceeds of the offering the Offering Expense Charge for each Unit sold to
investors.
FREE LOOK ALTERNATIVE
CFTC Rule 4.21(f) requires that, in connection with soliciting investors for the
Fund, the General Partners must attach to this Disclosure Document copies of the
Fund's most recent Account Statement. However, the General Partners requested,
and were granted, an exemption from this rule by the CFTC in return for
providing investors with a "Free-Look Alternative."
Under the Free-Look Alternative, prospective investors will sign the appropriate
subscription documents and will forward these documents along with their
subscription check to the home office of the Selling Agent. The Selling Agent
will then send by mail a confirmation of the subscription and a copy of the
Fund's most recent Account Statement to the prospective investor on the next
business day. The mailing of the confirmation and the Account Statement by the
Selling Agent marks the beginning of the "Free-Look" period.
The Free-Look period is 16 days. During this time, prospective investors will
have the opportunity to review the Fund's most recent Account Statement and to
determine whether they wish their subscription to be retained by the Fund.
Prospective investors may rescind their subscriptions during the Free-Look
period for any reason.
117
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
Prospective investors may notify the Selling Agent of their decision to withdraw
their subscriptions from the Fund either by mail or by telephone pursuant to
instructions received from the Selling Agent in the confirmation.
The Selling Agent must receive the subscription by the tenth calendar day of the
month in order for the General Partner to accept the subscription as of the
close of business on the last day of the month. Subscriptions received after the
tenth calendar day of the month will be eligible for acceptance by the General
Partner on the last business day of the following month.
THE REPRESENTATION AGREEMENT
The Fund, the Selling Agent, the General Partners, the Clearing Broker and the
Trading Advisors have entered into a Representation Agreement concerning the
Registration Statement and Prospectus. In this Agreement, the various parties
set forth their various duties and obligations to one another with respect to
the Fund's Registration Statement filed with the SEC and the Prospectus. The
Representation Agreement consists generally of representations between and among
the parties related to the accuracy and completeness of statements contained in
the Registration Statement and Prospectus concerning them, the parties'
respective authority to enter into the Representation Agreement and to perform
their obligations under that agreement and any other agreements concerning the
Fund to which they are parties, their legal organization, and their possession
of necessary licenses or registrations. The Representation Agreement also
establishes the ongoing obligations of the parties with respect to any necessary
modification of the Registration Statement and the Prospectus during the course
of the offering of Units. In addition, the Representation Agreement specifies
the obligations of the parties to deliver and exchange certain opinions and
certificates at the initial closing of the offering. In the Representation
Agreement, there are also certain indemnification provisions. Each Trading
Advisor agrees to indemnify and hold harmless the other parties and their
controlling persons and employees against losses or damages incurred by any of
them due to (i) a misrepresentation, alleged misrepresentation, breach of
warranty, covenant or agreement (or alleged breach thereof) of the Trading
Advisor in the Representation Agreement, or (ii) an untrue statement or alleged
untrue statement of a material fact in the Registration Statement or Prospectus
or an omission or alleged omission of a material fact required to be included in
the Registration Statement or the Prospectus or necessary to make the statements
therein not misleading, to the extent that such an untrue statement, alleged
untrue statement, omission or alleged omission was made in reliance upon and in
conformity with information furnished by the Trading Advisor related to the
Trading Advisor. In a similar manner, each General Partner agrees to indemnify
and hold harmless the Trading Advisors and the Clearing Broker and their
controlling persons and employees against losses or damages incurred by any of
them due to (i) a misrepresentation, alleged misrepresentation, breach of
warranty, covenant or agreement (or alleged breach thereof) of the Fund or that
General Partner in the Representation Agreement, or (ii) an untrue statement or
alleged untrue statement of a material fact in the Registration Statement or
Prospectus or an omission or alleged omission of a material fact required to be
included in the Registration Statement or the Prospectus or necessary to make
the statements therein not misleading except to the extent that such statement
or omission was made in reliance upon and in conformity with information
furnished by the Clearing Broker or the Trading Advisors. Unlike other
agreements to which the Fund is a party and which provide the specific terms
upon which the Fund will receive brokerage, advisory or selling agent services,
the Representation Agreement does not establish the terms upon which a service
is to be rendered. Instead, in it all of the parties to the offering exchange
representations and/or covenants concerning the Registration Statement and the
Prospectus to the extent that such representations and/or covenants are not
otherwise provided for in the specific service-related agreements concerning the
Fund or the offering.
OFFERING EXPENSE CHARGE
The General Partners have agreed to advance the expenses of the offering which
include legal, auditing, accounting, marketing, filing, registration and
recording fees plus printing expenses and escrow charges. All Limited Partners
investing in the Fund will be charged the Offering Expense Charge of 3% of the
gross per Unit price, and the General Partners shall be responsible for any
expenses in excess of the Offering Expense Charge. However, if this charge
exceeds the actual expenses incurred, the excess shall be retained by the
General Partners.
SUBSCRIPTION PROCEDURE
In order to purchase Units, an investor must (a) receive the Fund's current
monthly and annual reports, (b) complete and execute a copy of the Subscription
Agreement and Power of Attorney attached hereto as Exhibit C
118
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
and (c) deliver or mail the Subscription Agreement and Power of Attorney and a
check for the full purchase price of the Units subscribed for to American
Express Financial Advisors Inc. Additional copies of the Subscription Agreement
and Power of Attorney will be furnished upon request to the Selling Agent.
Checks should be made out to FirsTier Bank, N.A., as escrow agent for IDS
Managed Futures, L.P. The documents and checks will be promptly forwarded
through American Express Financial Advisors Inc. to the Escrow Agent by noon of
the next business day after receipt of such subscriptions, with copies to the
General Partners for determination of whether to accept the subscription. If the
subscription is rejected, in whole or in part for any reason (which is in the
sole discretion of the General Partners), the subscription funds or the rejected
portion thereof will be promptly returned to the subscriber without interest.
The minimum subscription (including subscriptions for Keogh and self-directed
IRA plans) is $1,000; any greater subscription amount to be in increments of
$100. Purchasers must subscribe for at least the minimum purchase amount. Each
subscriber must represent and warrant in the Subscription Agreement that, among
other things, he or she can afford the risks of an investment in the Fund,
including the risk of losing his or her entire investment, and that he has (a) a
net worth of at least $150,000 (exclusive of home, furnishings and automobiles)
or (b) a net worth of at least $45,000 (exclusive of home, furnishings and
automobiles) and a minimum annual gross income in the most recent tax year of at
least $45,000 (see Subscription Requirements, attached as Exhibit B; certain
states have higher suitability requirements). Subscriptions will be held in
escrow by FirsTier Bank, N.A., Lincoln, Nebraska until the funds so deposited
are returned to prospective subscribers or are deposited with the Fund's
Clearing Broker. Assets attributable to such accepted subscriptions will be
deposited with the Clearing Broker on the first trading day of the month after
the subscribers are admitted to the Fund. See "Plan of Distribution." Any
interest earned by a subscriber on subscriptions from the time of deposit with
the Escrow Agent to the time the funds are released by the Escrow Agent will be
distributed to the subscriber within 30 days after the date on which the
subscriber is admitted to the Fund as a Limited Partner, except that if any
subscriber's accrued interest is less than $10, such interest shall be paid to
the Fund and not the subscriber.
A Limited Partner of the Fund may contibute additional capital to the Fund. The
minimum subscription requirement for such investment is $100. In order to
subscribe for additional Units an investor must complete the Subscription
Agreement and Power of Attorney (Exhibit C) and deliver or mail it with a check
for the full purchase price of additional Units to the Selling Agent. Checks
should be made payable to FirsTier Bank, N.A., as escrow agent for IDS Managed
Futures, L.P.
UNITS MAY NOT BE PURCHASED BY ERISA-COVERED PLANS IF THE GENERAL PARTNERS,
SELLING AGENT OR THEIR AFFILIATES (A) HAVE INVESTMENT DISCRETION WITH RESPECT TO
THAT PORTION OF THE ASSETS OF THE PLAN TO BE INVESTED IN UNITS OR (B) REGULARLY
GIVE INDIVIDUALIZED INVESTMENT ADVICE WHICH SERVES AS A PRIMARY BASIS FOR THE
INVESTMENT DECISIONS MADE WITH RESPECT TO SUCH ASSETS. THIS PROHIBITION IS
DESIGNED TO PREVENT POTENTIAL VIOLATIONS OF CERTAIN PROVISIONS OF ERISA.
All subscription documents from a potential investor must be received by
American Express Financial Advisors, Inc. by the tenth calendar day of the month
if they are to be considered for acceptance by the Fund in that month. American
Express Financial Advisors, Inc. will promptly send a confirmation of the
investment and a copy of the Fund's most recent monthly account statement to the
potential investor. The investor will then have sixteen days from the date of
the confirmation from American Express Financial Advisors, Inc. to determine and
confirm to American Express Financial Advisors, Inc. whether he or she wishes
his or her subscription to be retained by the Fund. The potential investor must
notify American Express Financial Advisors, Inc. by mail or telephone (pursuant
to instructions in the notice from American Express Financial Advisors, Inc.) of
his or her decision not to invest. No further action is required in response to
the notification from American Express Financial Advisors, Inc. if the investor
elects to subscribe. The investor's negative response must be received by
American Express Financial Advisors, Inc. not later than sixteen days from the
date of the confirmation from American Express Financial Advisors, Inc.
Investors electing to withdraw their subscription pursuant to the above
alternative will receive a return of their subscription funds from the escrow
agent. The investor may withdraw his or her subscription for any reason during
this review period. All subscriptions are subject to acceptance by the General
Partner. See "Plan of Distribution--Free Look Alternative."
REDEMPTIONS
No redemptions are permitted by a subscriber during the first six months after
he or she has been admitted to the Fund. Thereafter, a Limited Partner may cause
any or all of his or her Units to be redeemed by the Fund effective
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as of the last trading day of any month of the Fund based on the Net Asset Value
per Unit (as defined under "Charges to the Fund--Certain Definitions") on ten
days written notice to the General Partners. Requests for redemption (Exhibit D)
should be sent to American Express Financial Advisors Inc., c/o Unit 580, P.O.
Box 534, Minneapolis, Minnesota 55440. The General Partners may declare
additional redemption dates upon notice to the Limited Partners.
All requests for redemption in proper form will be honored and payment will be
made within 10 business days of the effective date of redemption, except as
described below. The profits and losses of the Fund shall be allocated to the
partners in proportion to their respective Units and to their respective dates
of redemption. The Fund's commodity positions will be liquidated to the extent
necessary to effect redemptions. The right to obtain redemption is contingent on
receipt by the General Partners of a Request for Redemption in the form attached
hereto as Exhibit D (or any other form approved by the General Partners) ten
days prior to the last trading day of the month in which redemption is
requested. It is also contingent upon the Fund having property sufficient to
discharge its liabilities (contingent or otherwise) on the effective date of
redemption. The request for redemption must specify either the number of Units
to be redeemed or the dollar amount of the requested redemption. The minimum
redemption amount, whether requested in terms of dollars or Units, is the lesser
of $500 or the Net Asset Value of two Units, unless the Limited Partner is
redeeming his or her entire interest in the Fund. Under special circumstances,
including but not limited to inability to liquidate commodity positions or
default or delay in payments due to the Fund from banks or other persons, the
Fund may in turn delay payment to partners requesting redemption of Units of the
proportionate part of net assets represented by the sums which are the subject
of such default or delay. See "Risk Factors--Limited Ability to Liquidate
Investment in Units."
Under applicable law, the Fund may not make a distribution to the Limited
Partners to the extent that at the time of the distribution, after giving effect
to the distribution, all liabilities of the Fund exceed the fair value of the
assets of the Fund. A Limited Partner who receives a distribution in violation
of this law and who knew at the time of the distribution that the distribution
violated the law will be liable to the Fund for three years for the amount of
the distribution. A Limited Partner who receives such a distribution and who did
not know at the time of the distribution that the distribution violated
applicable law will not be liable for the amount of the distribution.
If the Net Asset Value per Unit decreases, after the 3-for-1 split, below $125
at the close of business on any trading day (after adding back any distributions
from the Fund to the Limited Partners), the Fund will attempt to close out all
open positions as expeditiously as possible and suspend trading. No assurance
can be or is given that the Fund will be able to close out all open positions
without incurring substantial additional losses. Unless the General Partners
then elect to withdraw, a special redemption date will be declared. The rights
of a Limited Partner to redeem Units held by him on a special redemption date
are described in detail under "Trading Policies" and in the Fund's Amended and
Restated Limited Partnership Agreement. In general, Limited Partners who elect
to redeem Units on such a special redemption date will receive from the Fund for
each Unit redeemed an amount equal to the Net Asset Value per Unit determined as
of the close of business on such special redemption date. If after a special
redemption date the Fund's Net Asset Value is at least $500,000 the Fund will
resume trading unless the General Partners then elect to withdraw.
The federal income tax aspects of redemptions are described under "Federal
Income Tax Considerations-- Recognition of Gain on Redemptions, Distributions
and Sale of Units."
AMENDED AND RESTATED LIMITED PARTNERSHIP AGREEMENT
The rights and duties of the General Partners and the Limited Partners are
governed by the provisions of the Delaware Revised Uniform Limited Partnership
Act and by the Amended and Restated Limited Partnership Agreement (the
"Agreement") which is attached hereto as Exhibit A. Certain features of this
Agreement are explained below, but reference should be made to the Agreement for
complete details of its terms and conditions.
NATURE OF THE FUND
The Fund was organized on December 16, 1986, pursuant to the Revised Uniform
Limited Partnership Act of the State of Delaware. Interests in the Fund, other
than the general partnership interests of the General Partners, are Units of
Limited Partnership Interest, which when purchased and paid for pursuant to this
offering will be fully paid and nonassessable. A Limited Partner's capital
contribution is subject to the risks of the Fund's business. However, a Limited
Partner will not be personally liable for any debts or losses of the Fund beyond
the amount of his or her capital contribution and profits attributable thereto
(if any). Under applicable law, the Fund may not make a distribution to the
Limited Partners to the extent that at the time of the distribution, after
giving effect to
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the distribution, all liabilities of the Fund exceed the fair value of the
assets of the Fund. The General Partners will be liable for all obligations of
the Fund to the extent that assets of the Fund and amounts which may be claimed
against Limited Partners, as described above, are insufficient to discharge such
obligations. After the commencement of commodity trading, no interest will be
paid by the Fund on any capital contribution. The Agreement provides that the
death of a Limited Partner will not terminate or dissolve the Fund and that the
legal representatives of such Limited Partner have no right to withdraw or
demand an accounting of the value of his or her interest except by redemption of
Units. In addition, each Limited Partner waives on behalf of himself and his or
her estate the filing of any inventory, audit, accounting or appraisal of the
Fund's assets.
MANAGEMENT OF THE FUND
Under the Agreement, the General Partners shall have the exclusive management
and control of all aspects of the business of the Fund. Management
responsibility must be vested solely in the General Partners in order to limit
the liability of the Limited Partners. If by the exercise of the voting rights
under the Agreement (see "Amendments and Meetings" below) Limited Partners
participate in the management of the Fund's affairs, such Limited Partners may
lose their limited liability for the obligations of the Fund. In the course of
their management the General Partners may, in their discretion, retain such
persons, including affiliates of the General Partners, as they deem necessary
for the efficient operation of the Fund, except that no affiliate of the General
Partners may act as a commodity trading advisor to the Fund. The Fund shall not
enter into any contract with the General Partners, any of their affiliates or
any commodity trading advisor which has a term of more than one year and which
does not provide that it may be cancelled by the Fund without penalty upon 60
days notice. Limited Partners holding more than 50% of the then outstanding
Units (including Units held by representatives and employees of the Selling
Agent and of its corporate affiliates, but not including Units held by the
General Partners or their corporate affiliates), however, (i) may terminate any
agreement with an affiliate of either General Partner on 60 days notice without
penalty, (ii) may remove the General Partners and elect successors and (iii) may
terminate the Fund. For a description of the obligations imposed upon the
General Partners with respect to maintaining a minimum net worth and a minimum
investment in the Fund, see "The General Partners."
The Agreement requires the General Partners to retain commodity trading advisors
not affiliated with the General Partners and delegate the management of the
Fund's commodity accounts to such advisors. Pursuant to the Agreement, John W.
Henry & Co., Inc. and Sabre Fund Management Limited have had responsibility to
manage the Fund's commodity accounts. The Agreement prohibits any person who
shares or participates in commodity brokerage commissions paid by the Fund from
receiving, directly or indirectly, any management or incentive fees for trading
advice or trading management. The Agreement also prohibits any broker retained
by the Fund from paying, directly or indirectly, rebates or give-ups to any
commodity trading advisor of the Fund or the General Partners. In the event the
General Partners shall, in their sole discretion, determine that any trading
instructions issued by a Trading Advisor violate the Fund's established trading
policies (see "Trading Policies"), then the General Partners may negate such
trading instructions. The General Partners have the right to terminate the
contract with a Trading Advisor for cause or upon a determination that such
termination is necessary for the protection of the Fund upon written notice to
the Trading Advisor. See "The Trading Advisors--The Advisory Contract."
The responsibilities of the General Partners include, but are not limited to,
the following: determining whether the Fund will make distributions of profits
to partners; administering transfers and redemptions of Units; preparing monthly
and annual reports to the Limited Partners; filing reports required by the CFTC,
the SEC and any other federal or state agencies; calculating the Net Asset Value
and applicable management and incentive fees; executing various documents on
behalf of the Fund and the Limited Partners pursuant to powers of attorney; and
supervising the liquidation of the Fund if an event causing termination of the
Fund occurs. The General Partners will also keep all records of the Fund's
activities; the General Partners will keep copies of all subscription agreements
(including suitability records) signed by Limited Partners in connection with
public offerings of Units for a period of six years. To facilitate the execution
of various documents by the General Partners on behalf of the Fund and the
Limited Partners, the Limited Partners will appoint the General Partners their
attorneys-in-fact with power of substitution by executing a copy of the
Subscription Agreement and Power of Attorney which is attached hereto as Exhibit
C. Such documents include, without limitation, amendments to the Agreement, the
Certificate of Limited Partnership of the Fund and customer agreements with
commodity brokers. All operating and administrative expenses attributable to the
Fund will be paid by the Fund, and include brokerage commissions, the General
Partners' administrative fees, the Trading Advisors' management and incentive
fees, and other charges incidental to trading,
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advisory fees, legal, accounting, auditing, printing, recording and filing fees,
and extraordinary expenses. See "Charges to the Fund." For a discussion of the
General Partners' legal duties and obligations as fiduciaries of the Fund, see
"Fiduciary Responsibility of the General Partners."
DISTRIBUTIONS BY THE FUND
The Agreement does not provide for regular or periodic cash distributions, but
gives the General Partners sole discretion in determining what distributions, if
any, the Fund will make to its partners. The General Partners do not currently
intend to declare such distributions, and it is possible that no distributions
will be made in some years in which profits are achieved. However, a Limited
Partner has the right to redeem a portion or all of his or her Units in
accordance with the redemption procedures set forth under "Redemptions." Any
distribution shall become a liability of the Fund for purposes of calculating
Net Asset Value as of the date of its declaration. The allocation of the Fund's
net profit or loss for federal income tax purposes is discussed under "Federal
Income Tax Considerations--Taxation of Limited Partners." Upon liquidation of
the Fund, the assets of the Fund will be distributed to each partner in the
ratio that his or her capital account bears to the accounts of all partners. To
date, the Fund has not made any distributions.
REDEMPTIONS
The Agreement sets forth certain restrictive redemption provisions. No
redemptions are permitted by a subscriber during the first six months after such
subscriber has been admitted to the Fund. A special redemption date shall be
declared by the General Partners in the event of a decline in the Net Asset
Value per Unit below $125 (after adding back any distributions) at the close of
business on any trading day. See "Redemptions."
ADDITIONAL PARTNERS
The General Partners have the sole discretion to admit additional limited
partners. Subsequent to this offering the Fund may offer and sell additional
Units, and there is no limitation on the total number of Units which may be
outstanding. Net proceeds per Unit to the Fund from any Units subsequently
offered must equal at least the Fund's then current Net Asset Value per Unit.
TRANSFERS OF UNITS
Subject to compliance with suitability requirements of the Fund, federal and
state securities laws and rules of other governmental authorities, a Limited
Partner may assign his or her Units upon notice to the General Partners as
described in the Agreement. No assignment of Units will be effective against the
Fund or the General Partners until the General Partners receive such notice. No
assignee, except with the consent of the General Partners (which consent may be
withheld at their sole and absolute discretion), may become a substituted
limited partner. An assignee who becomes a substituted limited partner will be
subject to all of the rights and liabilities of the assigning limited partner.
An assignee who does not become a substituted limited partner will have none of
the rights of a limited partner except the right to receive distributions and to
redeem Units to the extent to which the assigning limited partner would have
otherwise been entitled. Under the Delaware Revised Uniform Limited Partnership
Act, an assigning limited partner remains liable to the Fund for any amounts for
which he or she may be liable under such Act regardless of whether any assignee
to whom he or she has assigned Units becomes a substituted limited partner.
There is not now a public market for the Units and it is unlikely that one will
develop in the future. The General Partners may not permit a transfer of Units
if, in their judgment, such assignment may cause the Fund to be taxable as a
corporation or as an association, rather than as a partnership under the
Internal Revenue Code.
INDEMNIFICATION
The Agreement provides that the General Partners and their affiliates shall not
be liable to the Fund or to the Limited Partners for any loss suffered by the
Fund that arises out of any action or inaction of the General Partners, if such
action or inaction did not constitute negligence or misconduct of the General
Partners or their affiliates and if the General Partners or their affiliates, in
good faith, determined that their action or inaction was in the best interest of
the Fund and within the scope of their authority. In addition, the Fund may
indemnify a General Partner against expenses, including attorneys' fees,
judgments and amounts paid in settlement, actually and reasonably incurred by a
General Partner in connection with the Fund, provided that the expense for which
indemnification is sought was not the result of negligence or misconduct by the
General Partner. Notwithstanding
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the above, the General Partner shall not be indemnified for any losses,
liabilities or expenses arising from or out of an alleged violation of federal
or state securities laws unless (1) there has been a successful adjudication on
the merits of each count involving alleged securities violations as to the
particular indemnitee, or (2) such claims have been dismissed with prejudice on
the merits by a court of competent jurisdiction as to the particular indemnitee,
or (3) a court of competent jurisdiction approves a settlement of the claims
against a particular indemnitee. Under certain circumstances, as described in
the Fund's Amended and Restated Limited Partnership Agreement, affiliates of the
General Partners may also be granted indemnification.
Insofar as indemnification for liabilities arising under the Securities Act of
1933 may be permitted to the General Partners, their principals or persons
controlling the Fund pursuant to the foregoing provisions, the Fund has been
informed that in the opinion of the SEC such indemnification is against public
policy as expressed in the Act and is therefore unenforceable.
The Fund has also agreed to indemnify the Trading Advisors and their affiliates
under certain conditions. See "The Trading Advisors--The Advisory Contract."
ELECTION, REMOVAL AND WITHDRAWAL OF GENERAL PARTNERS
The General Partners may be removed, and additional or successor general
partners may be elected, by a vote of a majority of the outstanding Units (not
including Units held by the General Partners or their corporate affiliates). The
General Partners may not transfer or withdraw their required minimum investment
in the Fund for so long as they act as General Partners of the Fund; however, a
General Partner may withdraw as General Partner of the Fund upon 120 days'
notice to the Limited Partners. If the Limited Partners or the remaining General
Partner elect to continue the Partnership, the withdrawing General Partner shall
pay all expenses incurred as a result of its withdrawal.
TERMINATION OF THE FUND
The affairs of the Fund will be wound up, its liabilities discharged, its
remaining assets distributed pro rata to the Unit holders and the Fund
liquidated as soon as practicable upon the first to occur of the following: (i)
December 31, 2006; (ii) receipt by the General Partners of a notice to dissolve
the Fund at a specified time by Limited Partners owning more than 50% of the
Units (including Units held by representatives and employees of the Selling
Agent and of its corporate affiliates, but not including any Units held by the
General Partners or their corporate affiliates), which notice is sent by
registered mail to the General Partners not less than 90 days prior to the
effective date of such dissolution; (iii) withdrawal, removal, insolvency,
bankruptcy, dissolution or legal disability of the General Partners unless a new
General Partner has been substituted; (iv) the insolvency or bankruptcy of the
Fund; (v) a decrease in the Fund's Net Asset Value below $500,000 as of the
close of business on any trading day; or (vi) the occurrence of any event which
shall make it unlawful for the existence of the Fund to be continued or
requiring termination of the Fund. To the extent the Fund has open commodity
positions at such time, it will use its best efforts to close such positions,
although no assurance can be given that market conditions might not delay
liquidation and that further substantial losses might not be incurred. See "Risk
Factors--Commodity Futures Markets May Be Illiquid." Further, if the Net Asset
Value per Unit decreases below $125 at the close of business on any trading day
(after adding back any distributions), after the 3-for-1 split, the Fund will
close out all open positions, suspend trading and declare a special redemption
date.
AMENDMENTS AND MEETINGS
The Agreement may be amended in any respect, except to change the Fund to a
general partnership, to change the liability or reduce the capital account of
the General Partners or the Limited Partners, to extend the duration of the Fund
or to modify the percentage of profits, losses or distributions to which the
General Partners or the Limited Partners are entitled. Any amendment must be
approved by a vote of the holders of a majority of the outstanding Units
(including Units held by representatives and employees of the Selling Agent and
of its corporate affiliates, but not including Units held by the General
Partners or their corporate affiliates), either pursuant to a written vote or at
a duly called meeting of the Limited Partners. Any Limited Partner upon written
request addressed to the General Partners may obtain, upon payment of the costs
of reproduction and mailing, a list of the names and addresses of record of all
Limited Partners and the number of Units held by each; provided, however, that
any Limited Partner requesting such list shall give written assurances that the
list will not in any event be used for commercial purposes. In addition, such
list will be made available at the Fund's principal office for the
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review of any Limited Partner or his representative at reasonable times. An
amendment may be proposed or a meeting may be called by the General Partners or
by the holders of at least 10% of the outstanding Units. It is not expected that
the General Partners will call any annual meetings of the Limited Partners.
FISCAL YEAR
The fiscal year of the Fund generally shall begin on January 1 of each year and
end on December 31 of that year. The first fiscal year of the Fund commenced on
the date the Fund's Certificate of Limited Partnership was filed, and ended on
December 31, 1986.
REPORTS AND ACCOUNTING
Books and records of the Fund required by the CFTC will be maintained at the
principal offices of the Fund. Limited Partners have the right at all times
during normal business hours to inspect and copy (upon payment of reasonable
reproduction costs) such books and records, in person or by their authorized
representative. Upon request, copies of such books and records shall be sent to
any Limited Partner by mail after reasonable reproduction and distribution costs
are paid by such Limited Partner. The Net Asset Value per Unit is available
daily from the General Partners upon request of any Limited Partner.
The Fund will keep its books on an accrual basis. The books of the Fund shall be
audited at least annually at Fund expense by an independent public accountant to
be designated by the General Partners. Each Limited Partner shall be furnished
with an annual report containing audited financial statements examined by an
independent public accountant and such other information as the CFTC requires.
The CFTC currently requires that an annual report be provided to the Limited
Partners within 90 days after the close of each fiscal year, setting forth,
among other matters:
a. the Net Asset Value of the Fund and the Net Asset Value per Unit at the end
of the fiscal year or the total value of a partner's interest in the Fund;
b. the total amount of (a) management, administrative and advisory fees, (b)
brokerage commissions and fees for commodity and other investment transactions
during the fiscal year and (c) all other expenses incurred or accrued by the
Fund during the fiscal year;
c. any change in the Fund's commodity trading advisors or any material change
in the management of the Fund's commodity trading advisors;
d. any other material business dealings between the Fund, the General Partners,
its commodity trading advisors, its commodity brokers or any principal of any
of the foregoing;
e. the actual performance of the Fund during prescribed time periods;
f. a statement of financial condition as of the close of the fiscal year and
preceding fiscal year;
g. cash flow statements for the fiscal year and the previous fiscal year; and
h. appropriate footnote disclosures and such further material information as
may be necessary to make the financial statements not misleading.
In addition to the annual report, CFTC rules currently require that the General
Partners furnish each Limited Partner within 30 days of the end of the month
with an account statement (unaudited) covering such month, which statement shall
contain generally the same type of information set forth in items (a) - (e)
above.
Limited Partners will also be furnished with such additional information as the
General Partners, in their discretion, deem appropriate, as well as any
information required to be provided by any governmental authority having
jurisdiction over the Fund.
The General Partners will also furnish each Limited Partner with tax information
not later than March 15 of each year in a form which may be utilized in the
preparation of income tax returns.
FEDERAL INCOME TAX CONSIDERATIONS
The discussion below is necessarily general and is intended to describe the
federal income tax consequences of an investment in the Fund by individuals who
are citizens or residents of the U.S. The applicability or effect of
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matters discussed below may vary depending upon a limited partner's individual
circumstances. Therefore, each prospective limited partner and any foreign,
tax-exempt or corporate prospective investor must consult his own tax advisor to
satisfy himself as to the federal, state, local and foreign tax consequences of
an investment in the Fund.
The following discussion of the federal income tax consequences of an investment
in the Fund is based upon the existing provisions of the Internal Revenue Code
of 1986, as amended (the "Code"), the rules and regulations promulgated
thereunder, and existing court decisions. Any future legislative or regulatory
changes could be retroactive with respect to transactions prior to the date of
such changes and could significantly modify the statements herein.
PARTNERSHIP STATUS
The federal income tax consequences to the Fund and its limited partners will
depend upon whether the Fund is classified as a partnership or as an association
taxable as a corporation for federal income tax purposes.
Chapman and Cutler has rendered its opinion to the Fund that, if the Fund is
organized and operated in accordance with the provisions of the Agreement and of
state law, and assuming the factual matters and representations in this
Prospectus and the corresponding representations by the General Partners are
true and correct, under present law and regulations and judicial interpretations
thereof (all of which are subject to change) the Fund will be classified and
treated as a partnership for federal income tax purposes as opposed to an
association taxable as a corporation. Specifically, the General Partners have
represented that together they will satisfy the net worth requirements
applicable to a sole corporate general partner of a limited partnership, and
that they will not act at the direction or under the control of the limited
partners, but rather pursue their own economic self-interests. An opinion of
counsel has no binding effect, and in the absence of a ruling, there can be no
assurance that the Service will not contend that the Fund should be treated as
an association taxable as a corporation. No opinion from the Service with
respect to the status of the Fund as a partnership has been, or will be, sought.
Code Section7704 provides that except for certain partnerships with passive-type
income, publicly traded partnerships will be treated as corporations. Code
Section7704 defines a publicly traded partnership as a partnership whose
interests are traded on an established securities market or are readily
tradeable on a secondary market (or the substantial equivalent thereof). The
General Partners have represented to Counsel that they will not list interests
for trading on an established securities market, as that term is defined for
purposes of Code Section7704. However, there is no clear definition of the
substantial equivalent of a secondary market. The Internal Revenue Service has
issued Notice 88-75, which sets forth safe harbors under which a partnership
will be treated as not being a publicly traded partnership. Generally, the safe
harbors only apply to partnerships whose interests are privately placed and to
partnerships that have a limited number of transfers (including redemptions) of
partnership interests. The Fund, however, does not satisfy the private placement
exemption and the General Partners will not attempt to restrict redemptions of
Fund interests except as provided in the Amended and Restated Limited
Partnership Agreement. If the Fund is a publicly traded partnership, it should
not be taxed as a corporation because of an exception in the statute for
partnerships with certain passive-type income. Code Section7704 generally
provides that a publicly traded partnership will not be treated as a corporation
if 90% or more of the gross income of the partnership consists of certain types
of income, including interest and income and gains from commodities or futures
and options with respect to commodities. The General Partners expect that more
than 90% of the Funds gross income will be derived from these sources so that
the Fund should not be treated as a corporation even if it is a publicly traded
partnership.
If the Fund were to be classified in any given taxable year as an association
taxable as a corporation, the limited partners would be treated for Federal
income tax purposes as shareholders of a corporation. The Fund would recognize
and be taxed upon its income, gain, losses, deductions, and credits at corporate
tax rates, and such items would not flow through to the limited partners. If the
Fund is classified as an association taxable as a corporation, Fund
distributions would be taxable to the limited partners (at ordinary income tax
rates to the extent of the Fund's current or accumulated earnings and profits)
in the same manner that corporate dividends are generally taxed to shareholders.
Accordingly, treatment of the Fund as an association taxable as a corporation
would probably result in a material reduction on a limited partner's cash flow
and after tax return.
For purposes of the remainder of this discussion of federal income tax
consequences, it has been assumed that the Fund will be classified as a
partnership for federal income tax purposes.
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PARTNERSHIP TAXATION
PARTNERS, RATHER THAN FUND, SUBJECT TO FEDERAL INCOME TAX. The Fund itself will
not pay any federal income tax. Instead, the Fund will report to each partner
his or her distributive share of the Fund's income, gains, losses, deductions
and credits. Each limited partner then reports on his federal income tax return
such limited partner's share of the items of partnership income or loss for the
Fund's taxable year that ends with or within the limited partner's taxable year.
The characterization of an item of profit or loss will usually be determined at
the Fund level. With certain exceptions, income tax is not imposed on or
measured by cash distributions (or constructive distributions) by the Fund, but
on the Fund's "taxable income." Conversely, the absence of cash or constructive
distributions does not, of itself, necessarily limit or affect the recognition
of taxable income by the limited partners. See "Recognition of Gain on
Redemptions, Distributions and Sale of Units: Cash Distributions" below.
FEES AND EXPENSES. Under prior law, individual taxpayers could deduct expenses
of producing income. Now, non-trade or business expenses of producing income,
including investment advisory fees and other investment expenses, are to be
aggregated with employee business expenses (collectively, the "Investment
Expenses"), and the aggregate amount of such expenses are deductible only to the
extent such amounts exceed two percent of a taxpayer's adjusted gross income and
satisfy any general limitations on deductibility.
The General Partners intend to treat incentive fees, management fees and other
expenses of the Fund as fully deductible expenses, which are not subject to the
two percent limitation. Whether this characterization is correct involves legal
and factual questions upon which counsel is unable to opine. Generally, relevant
authorities provide that a determination of whether a taxpayer is in the trade
or business of trading commodities involves an analysis of trading strategies
and the frequency and volume of the taxpayer's trading activity. However, these
authorities do not provide any clear guidelines for determining when activities
rise to the level of a trade or business. Further, this determination may depend
to some extent on factors, such as future trading activity and experience, which
are not known at this time. See "Risk Factors - (30) Deductibility of
Partnership Expenses." The Service may assert that expenses of the Fund, such as
incentive fees and management fees are subject to the two percent floor.
There can be no assurance that the Service will not attempt to reallocate Fund
expenses in a manner which adversely affects the interests of the limited
partners or recharacterize a portion or all of expenses as Investment Expenses
that are subject to the two percent floor discussed above. If the Service is
successful in such an attempt, limited partners may not be able to deduct a
substantial amount of the expenses of the Fund.
ALLOCATIONS OF FUND PROFITS AND LOSSES. For federal income tax purposes, a
limited partner's distributive share of items of Fund income, gain, loss,
deduction or credit will be determined by the terms of the Fund's Amended and
Restated Limited Partnership Agreement (see Exhibit A), unless an allocation
under that Agreement does not have "substantial economic effect" or is not in
accordance with the limited partner's interest in the Fund. If such an
allocation were determined to lack "substantial economic effect," a limited
partner's share of the Fund's profits and losses would be determined in
accordance with his or her interest in the Fund, taking into consideration all
relevant facts and circumstances.
The Fund establishes an account to keep track of tax allocations to each partner
as well as a capital account to keep track of each partner's interest in the Net
Asset Value of the Fund. Generally, increases and decreases in the Net Asset
Value of the Fund are allocated monthly to Units based on beginning of the month
capital account balances, such that at the end of each month each Partner's
capital account balance equals the Partner's interest in the entire Net Asset
Value of the Fund. Taxable income or loss is allocated to the Partners to
eliminate tax capital and book capital account differences. Special allocations
are made to redeemed Units so that tax capital account balances equal both book
capital account balances and amounts paid on redemption. Thus, the allocation
provisions in the Fund's Amended and Restated Limited Partnership Agreement are
designed to reconcile tax allocations with economic allocations. The General
Partners expect that such allocations will be recognized for tax purposes.
However, if the allocations provided by the Amended and Restated Limited
Partnership Agreement are not recognized for federal income tax purposes, the
amount of gain or loss allocated to limited partners for such tax purposes might
be increased or decreased.
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RECOGNITION OF GAIN ON REDEMPTIONS AND DISTRIBUTIONS
In general, the Code provides that a partner's tax basis in his or her
partnership interest is equal to his or her contribution, increased by the
amount of taxable income and gain allocated to the partner and reduced by
allocations of taxable loss and distributions to the partner. Tax basis is
significant because it is the measure by which gain, income and loss are
determined on distributions to partners and redemptions of interests.
CASH DISTRIBUTIONS AND PARTIAL REDEMPTIONS. Cash received as a distribution or
in redemption of less than all of the partner's interest is applied first to
reduce the tax basis of a limited partner's Units, and any cash received in
excess of such tax basis will generally be taxable as a gain from the sale of
Units; e.g., capital gain. To the extent cash distributions do not exceed a
limited partner's basis in his or her Units as adjusted for the Fund's
operations for the year, the cash distributed will be treated as a return of
capital resulting in no tax liability.
COMPLETE REDEMPTIONS. A limited partner may realize gain or loss upon redemption
for cash of all of the partner's interest in the Fund. Gain or loss will be
recognized to the extent the proceeds of a complete redemption differ from such
Units' basis (after allocation of income, loss and special allocations, if any,
of the Fund through the month of redemption and the corresponding adjustment to
basis of the redeeming partner's Units).
LOSS LIMITATIONS. A limited partner in the Fund can only deduct losses to the
extent of the lesser of the limited partner's tax basis or the amount "at risk"
with respect to his or her Units as of the end of the Fund's taxable year in
which such loss occurs. See also "Capital Gain and Loss" below.
In general, a limited partner will be considered to be "at risk" only with
respect to the amount of the purchase price of his or her Units. A taxpayer's
amount at risk is increased by any income derived from the activity, and
decreased by any losses derived from the activity and any distributions from the
activity. "Loss" from an activity is defined as being the excess of allowable
deductions for a taxable year from that activity over the amount of income
actually received or accrued by the taxpayer during such year from that
activity. The amount of such loss that is disallowed in any taxable year may be
carried over to the first succeeding taxable year, but may only be deducted in
that year (or in years following) to the extent that the taxpayer's amount "at
risk" increases in the subsequent year(s).
FUND INCOME AND LOSSES AND THE PASSIVE LOSS RULES. The passive loss rules
generally provide that certain taxpayers, including individuals, may only deduct
losses from interests in passive activities to the extent of passive gains and
income. In effect, passive losses may not be deducted against active income,
which include salaries, or portfolio income, which generally includes interest,
dividends and capital gains or losses on the sale of property that generates
portfolio income.
An activity of trading personal property, such as commodities and related
securities, or other property of the type that is actively traded for the
account of owners of interests in the activity is not a passive activity. Thus,
a Limited Partner's share of income or loss of the Fund will not constitute
passive income or loss.
GAINS AND LOSSES ON SECTION 1256 CONTRACTS. The Code provides different tax
treatment for Section 1256 Contracts from the tax treatment accorded other
interests in property ("Non-Section 1256 Contracts"). Section 1256 Contracts
include regulated futures contracts, foreign currency contracts, nonequity
options, and dealer equity options. However, not all of the forward contracts in
foreign currencies traded by the Fund will necessarily be Section 1256
Contracts. See "Other Options and Foreign Currency Contracts," below.
Section 1256 Contracts held by the Fund at its fiscal year-end will be treated
as sold for their fair market value on the last business day of such taxable
year, i.e., marked to market. Generally, this will result in all realized and
unrealized gains and losses on Section 1256 Contracts being recognized for
federal income tax purposes. As a consequence, the limited partners may have tax
liability for unrealized Fund profits in open positions at year-end. All gains
and losses from Section 1256 Contracts will be treated as 60% long-term and 40%
short-term capital gain or loss, regardless of the actual holding period of the
individual contract and regardless of whether the trade constituted a "long" or
"short" position. See "Taxation of Limited Partners: Capital Gain and Loss,"
below. Each limited partner's distributive share of such gain or loss for a
taxable year will be combined with his or her other items of capital gain or
loss for such year in computing his or her federal income tax liability.
Appropriate adjustment will be made to the gain or loss realized upon the Fund's
ultimate disposition of Section 1256 Contracts which were previously marked to
market in order to reflect the fact that unrealized gain or loss was previously
reported.
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GAINS AND LOSSES ON NON-SECTION 1256 CONTRACTS. Generally, gains or losses with
respect to Non-Section 1256 Contracts will be taken into account for tax
purposes only when realized. Generally, such gain or loss will be short-term
capital gain or loss if such contracts are held for one year or less and
long-term capital gain or loss if held for more than one year.
STRADDLES: GENERALLY. The Code contains special provisions regarding taxation of
straddles. Two or more positions are treated as offsetting and therefore as a
straddle if there is a substantial diminution in risk of loss from holding any
position in personal property by reason of holding one or more other positions
in personal property. Code Section1092(c)(3) provides a rebuttable presumption
that two or more positions are offsetting in certain situations such as where
the positions are marketed as offsetting positions or are in the same personal
property. Any position held by the Fund could result in a limited partner's
individually-held position (if he or she engages in trading individually) being
classified as an offsetting position; in certain situations, adverse tax
consequences (such as the capitalization of interest under Section 263(g) of the
Code) may result to such limited partner. Generally, losses with respect to
straddles including Non-Section 1256 Contracts will be allowed only to the
extent such losses exceed the unrecognized gains on the offsetting position at
the close of the tax year. The disallowed losses are deferred until the
subsequent tax year when such gains are recognized or there is no unrecognized
gain. The rules governing gains and losses on straddles are technical and highly
complex. Limited Partners should consult their tax advisors to determine how
these rules affect them.
MIXED STRADDLES. Temporary regulations apply the wash sale and short sale rules
of the Code to straddles which cause substantially all gains and losses from
Non-Section 1256 Contracts which are part of a straddle to be treated as
short-term capital gains and losses (except as described below). Where the
positions of a straddle are comprised of both Section 1256 Contracts and
Non-Section 1256 Contracts, the Fund will be subject to the "mixed straddle"
rules. The appropriate tax treatment of any gains or losses from trading in
mixed straddles will depend on elections which may be made from time to time by
the General Partners.
First, the Fund may elect to treat the Section 1256 Contract as a Non-Section
1256 Contract, and the mixed straddle would be subject to the rules governing
straddles comprised solely of Non-Section 1256 Contracts. Second, the Fund may
identify the positions of a particular straddle as an "identified mixed
straddle" under Section 1092(b)(2) of the Code and, thereby, net the gain or
loss attributable to the offsetting positions. Third, the Fund may place the
positions in a "mixed straddle account" which is marked to market daily. Under
this alternative, gain or loss for positions in the "mixed straddle account"
will be recognized daily. Fourth, if the Fund does not make any of the
aforementioned elections, the loss on all such positions will be treated as 60%
long-term and 40% short-term, while any gain would be treated as 60% long-term
and 40% short-term or all short-term depending upon whether the net gain was
attributable to Section 1256 Contracts or Non-Section 1256 Contracts,
respectively.
IDENTIFIED STRADDLES. Any loss incurred by the Fund with respect to an
"identified straddle" involving Non-Section 1256 Contracts is treated as
sustained not earlier than the day on which the Fund disposes of all positions
comprising the identified straddle. Such loss is not deferred even though the
Fund continues to hold other positions that offset the loss portion of the
identified straddle. An "identified straddle" (for these purposes, as opposed to
those described in the subparagraph concerning mixed straddles, immediately
above) is one which was clearly identified as such on the Fund's records on the
day on which the straddle was acquired, which is not part of a larger straddle
and in which all of the original positions were acquired on the same day and
were either disposed of on the same day during the taxable year or remained
intact as of the close of the taxable year.
OTHER OPTIONS AND FOREIGN CURRENCY CONTRACTS. Generally, foreign currency gain
or loss realized on certain transactions denominated in foreign currencies,
including transactions involving debt instruments and forwards, futures, options
and similar instruments ("SECTION 988 TRANSACTIONS") is treated as ordinary
income or loss for federal income tax purposes. Special rules apply to a
"qualified fund," which is a partnership that has properly elected to be treated
as a qualified fund and that satisfies certain ownership, activity and income
requirements. The General Partners filed an election for the Fund to be treated
as a qualified fund for 1992 and thereafter, and they believe the Fund will
satisfy the other requirements for being a qualified fund. All gain or loss on
positions held by a qualified fund which would be marked to market under Section
1256 if held at year end is capital gain or loss. See "Capital Gain or Loss"
below. Bank forward contracts, foreign currency futures contracts traded on a
foreign exchange, or to the extent provided in regulations any similar
instruments, which are not otherwise Section 1256 Contracts must be treated by
qualified funds and their partners as Section 1256 Contracts. Also, a qualified
fund must mark to market such currency contracts and treat gain or loss on such
currency contracts as short-term capital gain or loss.
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In addition, foreign currency gain or loss realized with respect to certain
foreign currency "hedging" transactions will be treated as ordinary income or
loss, regardless of whether they would otherwise be marked to market, to the
extent provided in the Treasury Regulations.
Each partner should discuss Code Section988 with his or her tax advisor and
decide what elections, if any, should be made by the partner based on his or her
individual facts and circumstances.
CAPITAL GAIN AND LOSS. Under current law, gain or loss recognized in connection
with a cash distribution or sale or redemption of Units generally will be
treated as capital gain or loss if the holder of such Units is not a dealer in
Units. If such Units are held for more than one year, gain or loss recognized
will generally be long-term capital gain or loss. Otherwise, such gain or loss
will generally be short-term gain or loss. Long-term capital gains are currently
taxed at a maximum rate of 28% for individuals and 34% for corporations.
The excess of capital losses over capital gains is deductible by an individual
against ordinary income on a 1-for-1 basis, subject to an annual limitation of
$3,000. Excess capital losses which are not used to reduce ordinary income in a
particular taxable year may be carried forward and treated as capital losses
incurred in future years. Because of the limitations imposed upon the
deductibility of capital losses, a limited partner's share of the Fund's net
capital losses, including short-term capital losses, if any, will not materially
reduce the federal income tax on his or her ordinary income.
The net loss from Section 1256 Contracts will be treated as 60% long-term
capital loss and 40% short-term capital loss. Any net losses from Section 1256
Contracts can be carried back by an individual taxpayer for three years, if he
or she so elects, and applied against gains from Section 1256 Contracts in those
years, but not against other income. To the extent that such losses are not
depleted by a carryback, they can be carried forward under existing capital loss
carryforward rules, but they will retain their character as 60% long-term
capital loss and 40% short-term capital loss. See "Other Options and Foreign
Currency Contracts," above.
INTEREST DEDUCTION LIMITATION. Restrictions on the deductibility of "investment
interest" may result in the disallowance in whole or in part of a limited
partner's share of the Fund's deduction for interest on its obligations, or
deductions for interest on any obligations incurred by the limited partner to
finance the purchase price of his or her Unit. These restrictions are applied on
a partner-by-partner basis, and each investor is advised to consult with his or
her tax advisor to determine whether or not his or her becoming a limited
partner will cause the disallowance of any portion of his or her investment
interest deduction. If a partner borrows money to acquire units, interest
payable on such borrowing will be investment interest subject to the investment
interest limitation to the extent that it is attributable to the Fund's
portfolio income (within the meaning of the passive loss rules). Income of a
Limited Partner from the Fund should constitute investment income for this
purpose.
ALTERNATIVE MINIMUM TAX. The alternative minimum tax is equal to the excess (if
any) of an amount equal to 28% of so much of the "alternative minimum taxable
income" as exceeds the exemption amount ($22,500 for married taxpayers filing
separate returns and estates and trusts, $33,750 for single taxpayers and
$45,000 for taxpayers filing joint or surviving spouse returns and corporations)
over the regular federal income tax for the taxable year, with the first
$175,000 of any such excess taxed at 26% and any remaining excess taxed at 28%.
Alternative minimum taxable income is generally computed by adding the amount of
tax preference items to adjusted gross income and then subtracting allowable
deductions. Potential investors are urged to consult their personal tax advisors
regarding the effect of the alternative minimum tax on their investment in the
Fund.
TAX RETURNS AND INFORMATION. The Fund will file its information return using the
accrual method of accounting. By March 15 of each year, the Fund will furnish
each limited partner (and any assignee of a Unit of any limited partner) copies
of (i) the Fund's Schedule K-1 indicating the limited partner's distributive
share of tax items, and (ii) such additional information as is reasonably
necessary to permit the limited partners to prepare their own federal and state
tax returns. The Fund's tax returns will be prepared by independent certified
public accountants selected by the General Partners.
FUND TAX ACCOUNTING. The Fund's taxable year will be the calendar year.
FUND TAX AUDITS
Any tax audit of the Fund likely will take place under the unified audit
("TEFRA") rules. All partnerships except certain small partnerships with ten or
fewer partners are subject to the TEFRA rules. The TEFRA rules require in
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IDS MANAGED FUTURES, L.P.
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general that the IRS must make adjustments to any partnership item by means of
an audit of the partnership. If adjustments are made to partnership items as a
result of an audit at the partnership level, the partners usually must take the
adjustments into account on their individual returns.
The statute of limitations for assessment with respect to partnership items (or
affected items) for any partnership taxable year expires three years from the
date of filing the partnership federal income tax return. The period may be
extended by agreement with any partner with respect to such partner or, for all
partners, by agreement with the Fund's "tax matters partner." Both General
Partners will be the Fund's tax matters partners. The General Partners have the
authority, as tax matters partner, to enter into a settlement with the Service
on behalf of, and binding upon, limited partners provided that such limited
partners do not file a statement with the Service declaring that the tax matters
partner does not have authority to settle a tax controversy on the limited
partner's behalf.
There can be no assurance that the Fund's tax returns will not be audited by the
Service, or that no adjustments to such will be required as a result of such an
audit. If the Fund's tax return were audited by the Service and any items of
income or loss were adjusted as a result of such audit, such adjustments might
require that each limited partner file an amended federal (and possibly state
and/or local) income tax return. In the course of such audit, all items on such
limited partner's returns, and not merely items of Fund income or loss, would be
subject to adjustment.
If the Fund's tax return were audited, the Fund would probably incur legal and
accounting expenses in seeking to sustain the Fund's position. In addition, the
limited partners might incur personal legal and accounting expenses in
connection with any amendment or audit of their returns.
FOREIGN INVESTORS
The federal income tax consequences to a nonresident alien individual investor
will depend upon whether the Fund is engaged in a U.S. trade or business for
federal income tax purposes. The Fund intends to qualify for an exemption from
trade or business characterization which applies to partnerships trading only
commodities of a kind customarily dealt in on an organized commodity exchange in
transactions of a kind customarily consummated at such places. There can be no
assurance that the Treasury will not impose additional reporting requirements on
such limited partners in the future. Each prospective limited partner who is a
nonresident alien is advised to consult with his or her personal tax advisor
regarding the impact for federal income tax purposes of an investment in the
Fund.
STATE AND LOCAL TAXES
In addition to the federal income tax consequences described herein, the Fund
and Limited Partners may be subject to state and local taxes. The Fund will be
subject to the Illinois Personal Property Replacement Tax to the extent net
income of the Fund is attributable to Illinois. Fund income which is subject to
this tax will be taxed at a rate of 1.5%. To the extent income of the Fund is
derived from trade or business activities (this income may include interest
received by the Fund from the Clearing Broker) and is attributable to Illinois,
each Limited Partner, whether or not a resident of Illinois, is required
annually to file an Illinois income tax return and pay Illinois income tax at
the rate of 3.0% of his or her share of such income. To date the General
Partners have treated all income of the Fund as being attributable to, and
taxable by, Illinois, however, the General Partners can not determine at this
time what portion, if any, of future Fund income will be attributable to
Illinois because this determination is dependent upon factual issues which
cannot be predicted with any level of certainty. A Limited Partner who is not an
Illinois resident may be required to include his or her share of Fund income in
determining his or her taxable income in the jurisdiction in which he or she is
a resident. Additionally, other states or jurisdictions in which the Fund
conducts business may require a Limited Partner to file tax returns and may
impose a tax on his or her share of Fund income derived from activities in such
other states or localities. Taxable income for state and local purposes may
differ from federal taxable income, and a Limited Partner may be liable for
state or local tax even though he or she has no federal income tax liability
attributable to his or her investment in the Fund. To the extent a nonresident
Limited Partner pays tax to Illinois or another jurisdiction due to the Fund's
conduct of business there, he or she may be entitled to a deduction or credit
against taxes owed to his state of residence with respect to the same income.
Since Limited Partners may be affected in different ways by state and local law,
each prospective Limited Partner is advised to consult his or her personal tax
advisor regarding the state and local taxes payable in connection with an
investment in the Fund.
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THIS ANALYSIS IS NOT INTENDED AS A SUBSTITUTE FOR CAREFUL TAX PLANNING,
PARTICULARLY SINCE CERTAIN OF THE INCOME TAX CONSEQUENCES OF INVESTMENT IN THE
FUND MAY NOT BE IDENTICAL FOR ALL PURCHASERS. THIS ANALYSIS PRIMARILY REVIEWS
THE FEDERAL INCOME TAX CONSEQUENCES OF AN INVESTMENT IN THE FUND FOR INDIVIDUALS
WHO ARE U.S. CITIZENS AND WHO HOLD UNITS AS A CAPITAL ASSET. EACH PROSPECTIVE
PURCHASER OF UNITS IS ENCOURAGED TO CONSULT WITH HIS OR HER PERSONAL TAX ADVISOR
WITH SPECIFIC REFERENCE TO HIS OR HER OWN TAX SITUATION UNDER FEDERAL, STATE AND
LOCAL LAWS.
It is emphasized that no assurance can be given that legislative, administrative
or judicial changes will not occur which would modify the foregoing statements,
which are based upon the existing provisions of the Code and the existing
administrative and judicial interpretations thereof and the current information
available.
LEGAL MATTERS
Legal matters in connection with the securities being offered hereby have been
passed upon for the Fund and the General Partners by Chapman and Cutler,
Chicago, Illinois. Chapman and Cutler has also acted as counsel for John W.
Henry & Co., Inc. in connection with this offering. Chapman and Cutler may
continue to represent such entities after completion of this offering, and such
representation may include advice with respect to the responsibilities of such
entities to the Fund. Chapman and Cutler has rendered its opinion to the General
Partners to the effect that the Fund should be classified as a partnership for
federal income tax purposes and not as an association taxable as a corporation.
In addition, Chapman and Cutler may represent affiliates of the General
Partners, including American Express Financial Advisors Inc. and Cargill
Investor Services, Inc., on matters unconnected with the Fund.
EXPERTS
The financial statements of IDS Managed Futures, L.P. as of December 31, 1994
and December 31, 1993 and for each of the years in the three-year period ended
December 31, 1994 included in this Prospectus have been examined by KPMG Peat
Marwick LLP, certified public accountants, as set forth in their report
appearing elsewhere herein. Such financial statements are included herein in
reliance upon such report and upon the authority of such firm as experts in
auditing and accounting.
The balance sheet of IDS Futures Corporation at November 30, 1994, appearing in
this Prospectus and Registration Statement has been audited by Ernst & Young
LLP, independent auditors, as set forth in their report thereon appearing
elsewhere herein and in the Registration Statement and is included in reliance
upon such report given upon the authority of such firm as experts in accounting
and auditing.
The financial statements of CISI as of May 31, 1994 and May 31, 1993 have been
examined by KPMG Peat Marwick LLP. Such financial statements are set forth in
their respective reports appearing elsewhere herein. Such financial statements
are included herein in reliance upon such reports and upon the authority of such
firm as experts in auditing and accounting.
ADDITIONAL INFORMATION
This Prospectus constitutes part of the Registration Statement on Form S-1 filed
by the Fund with the Securities and Exchange Commission in Washington, D.C.
Copies of the Registration Statement have also been provided to the Commodity
Futures Trading Commission. This Prospectus does not contain all the information
set forth in such Registration Statement and the exhibits thereto, certain
portions of which have been omitted pursuant to the rules and regulations of the
Securities and Exchange Commission. Such Registration Statement and exhibits may
be inspected without charge at the public reference facilities maintained by the
Securities and Exchange Commission in Washington, D.C., and copies of all or
part thereof may be obtained from the Commission at its office in Washington,
D.C. upon payment of the prescribed fees.
ADDITIONAL DEFINITIONS
The following definitions have been added to this Prospectus at the request of
various state securities administrators.
ADVISOR. Any person who for any consideration engages in the business of
advising others, either directly or indirectly, as to the value, purchase, or
sale of Commodity Contracts or commodity options.
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COMMODITY CONTRACT. A contract or option thereon providing for the delivery or
receipt at a future date of a specified amount and grade of a traded commodity
at a specified price and delivery point.
NET ASSETS. The total assets, less total liabilities, of the Fund determined on
the basis of generally accepted accounting principles. Net Assets shall include
any unrealized profits or losses on open positions, and any fee or expense
including Net Asset fees accruing to the Fund.
NET WORTH. The excess of total assets over total liabilities as determined by
generally accepted accounting principles. Net Worth shall be determined
exclusive of home, home furnishings and automobiles.
NEW TRADING PROFITS. The excess, if any, of Net Assets at the end of the period
over Net Assets at the end of the highest previous period or Net Assets at the
date trading commences, whichever is higher, and as further adjusted to
eliminate the effect on Net Assets resulting from new Capital Contributions,
redemptions, or capital distributions, if any, made during the period decreased
by interest or other income, not directly related to trading activity, earned on
Fund assets during the period, whether the assets are held separately or in a
margin account.
ORGANIZATIONAL AND OFFERING EXPENSES. All expenses incurred by the Fund in
connection with and in preparing a Fund for registration and subsequently
offering and distributing it to the public, including, but not limited to, total
underwriting and brokerage discounts and commissions (including fees of the
underwriter's attorneys), expenses for printing, engraving, mailing, salaries of
employees while engaged in sales activity, charges of transfer agents,
registrars, trustees, escrow holders, depositories, experts, expenses of
qualification of the sale of its limited partnership interests under federal and
state law, including taxes and fees, accountants' and attorneys' fees.
PIT BROKERAGE FEE. This includes the floor brokerage, clearing fees, National
Futures Association fees, and exchange fees.
SPONSOR. Any person directly or indirectly instrumental in organizing a fund or
any person who will manage or participate in the management of a fund, including
a fund who pays any portion of the organizational expenses of the fund, and the
general partner(s) and any other person who regularly performs or selects the
persons who perform services for the fund. "Sponsor" does not include wholly
independent third parties such as attorneys, accountants, and underwriters whose
only compensation is for professional services rendered in connection with the
offering of the units. The term "Sponsor" shall be deemed to include its
affiliates.
VALUATION DATE. The date as of which the Net Assets of the Fund are determined.
VALUATION PERIOD. A regular period time between valuation dates.
FINANCIAL STATEMENTS
The following financial statements are presented for the Fund and both General
Partners. Investors should note that they are purchasing an interest in the Fund
and not the General Partners.
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INDEPENDENT AUDITORS' REPORT
The Partners
IDS Managed Futures, L.P.:
We have audited the accompanying statements of financial condition of IDS
Managed Futures, L.P. as of December 31, 1994 and 1993, and the related
statements of operations, partners' capital, and cash flows for each of the
years in the three-year period ended December 31, 1994. These financial
statements are the responsibility of the Partnership's management. Our
responsibility is to express an opinion on these financial statements based on
our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in
all material respects, the financial position of IDS Managed Futures, L.P. as of
December 31, 1994 and 1993, and the results of its operations and its cash flows
for each of the years in the three-year period ended December 31, 1994, in
conformity with generally accepted accounting principles.
KPMG Peat Marwick LLP
January 13, 1995
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IDS MANAGED FUTURES, L.P.
Statements of Financial Condition
December 31, 1994 and 1993
<TABLE>
<CAPTION>
ASSETS 1994 1993
----------- -----------
<S> <C> <C>
Assets:
Cash $ 699,380 1,466,665
Equity in commodity futures trading accounts:
Cash on deposit with Clearing Broker 22,041,930 12,986,861
Unrealized gain on open futures contracts 1,340,020 648,483
----------- -----------
24,081,330 15,102,009
Interest receivable 103,566 32,807
----------- -----------
$24,184,896 15,134,816
----------- -----------
----------- -----------
LIABILITIES AND PARTNERS' CAPITAL
Liabilities:
Accrued commissions on open futures contracts due to IDS and CIS 98,322 40,781
Accrued exchange, clearing, and NFA fees 2,318 1,083
Accrued management fees 69,060 40,470
Accrued incentive fees -- 39,295
Accrued operating expenses 54,700 65,314
Accrued selling commissions and organization and offering expenses 83,746 171,575
Redemptions payable 99,551 11,298
----------- -----------
Total liabilities 407,697 369,816
----------- -----------
Partners' capital:
Limited partners (35,537.41 and 20,413.94
units outstanding at December 31, 1994
and 1993, respectively) 23,356,449 14,415,300
General partners (640.18 and 495.22 units outstanding at
December 31, 1994 and 1993, respectively) 420,750 349,700
----------- -----------
Total partners' capital 23,777,199 14,765,000
----------- -----------
$24,184,896 15,134,816
----------- -----------
----------- -----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
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IDS MANAGED FUTURES, L.P.
Statements of Operations
Years ended December 31, 1994, 1993, and 1992
<TABLE>
<CAPTION>
1994 1993 1992
----------- ---------- -----------
<S> <C> <C> <C>
Revenues:
Gain on trading of commodity futures contracts:
Realized gain (loss) on closed positions $(1,300,245) 2,811,801 1,307,120
Increase (decrease) in unrealized gain on open
futures contracts 691,537 411,766 (1,146,613)
Interest income 760,250 218,411 155,423
Foreign currency transaction gain (loss) 127,359 1,901 (57,722)
----------- ---------- -----------
Total revenues 278,901 3,443,879 258,208
----------- ---------- -----------
Expenses:
Commission paid to IDS and CIS 639,227 367,379 232,189
Exchange, clearing, and NFA fees 15,677 9,339 6,403
Management fees 704,158 297,038 156,234
Incentive fees 186,976 254,665 11,604
General partner fee to IDSFC and CISI 203,019 81,036 117,328
Operating expenses 60,072 72,473 18,757
----------- ---------- -----------
Total expenses 1,809,129 1,081,930 542,515
----------- ---------- -----------
Net profit (loss) $(1,530,228) 2,361,949 (284,307)
----------- ---------- -----------
----------- ---------- -----------
Profit (loss) per unit of limited partnership interest $ (48.91) 195.65 (18.13)
Profit (loss) per unit of general partnership interest (48.91) 195.65 (18.13)
----------- ---------- -----------
----------- ---------- -----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
135
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
IDS MANAGED FUTURES, L.P.
Statements of Partners' Capital
Years ended December 31, 1994, 1993 and 1992
<TABLE>
<CAPTION>
Total
Limited General partners'
Units* partners partners capital
--------- ----------- ----------- ----------
<S> <C> <C> <C> <C>
Balance at December 31, 1991 12,256.77 $ 6,479,247 225,194 6,704,441
Net loss -- (276,587) (7,720) (284,307)
Redemptions (1,138.25) (526,628) -- (526,628)
--------- ----------- ----------- ----------
Balance at December 31, 1992 11,118.52 5,676,032 217,474 5,893,506
Sale of partnership interests 9,586.80 7,519,735 52,000 7,571,735
Selling commissions and organization and
offering costs -- (870,081) (3,120) (873,201)
--------- ----------- ----------- ----------
Net sales of partnership interests 9,586.80 6,649,654 48,880 6,698,534
Net profit -- 2,278,603 83,346 2,361,949
Redemptions (291.38) (188,989) -- (188,989)
--------- ----------- ----------- ----------
Balance at December 31, 1993 20,413.94 14,415,300 349,700 14,765,000
Sale of partnership interests 15,770.18 12,353,922 108,000 12,461,922
Selling commissions and organization and
offering costs -- (1,464,994) (9,360) (1,474,354)
--------- ----------- ----------- ----------
Net sales of partnership interests 15,770.18 10,888,928 98,640 10,987,568
Net loss -- (1,502,638) (27,590) (1,530,228)
Redemptions (646.71) (445,141) -- (445,141)
--------- ----------- ----------- ----------
Balance at December 31, 1994 35,537.41 $23,356,449 420,750 23,777,199
--------- ----------- ----------- ----------
--------- ----------- ----------- ----------
Net asset value per unit at December 31, 1994 $ 657.24 657.24
----------- -----------
----------- -----------
Net asset value per unit at December 31, 1993 $ 706.15 706.15
----------- -----------
----------- -----------
Net asset value per unit at December 31, 1992 $ 510.50 510.50
----------- -----------
----------- -----------
</TABLE>
*UNITS OF LIMITED PARTNERSHIP INTEREST
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
136
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
IDS MANAGED FUTURES, L.P.
Statements of Cash Flows
Years ended December 31, 1994, 1993, and 1992
<TABLE>
<CAPTION>
1994 1993 1992
----------- ----------- ----------
<S> <C> <C> <C>
Cash flows from operating activities:
Net profit (loss) $(1,530,228) $ 2,361,949 $ (284,307)
Adjustments to reconcile net profit (loss) to net
cash provided by (used in) operating activities:
Change in assets and liabilities:
Decrease (increase) in unrealized gain on open
futures contracts (691,537) (411,766) 1,146,613
Decrease (increase) in interest receivable (70,759) (18,739) 3,752
Increase (decrease) in accrued liabilities (50,372) 282,100 (277,434)
----------- ----------- ----------
Net cash provided by (used in) operating activities (2,342,896) 2,213,544 588,624
----------- ----------- ----------
Cash flows from financing activities:
Net proceeds from sale of units 10,987,568 6,698,534 --
Partner redemptions (356,888) (187,901) (641,175)
----------- ----------- ----------
Net cash provided by (used in) financing activities 10,630,680 6,510,633 (641,175)
----------- ----------- ----------
Net increase (decrease) in cash 8,287,784 8,724,177 (52,551)
Cash at beginning of year 14,453,526 5,729,349 5,781,900
----------- ----------- ----------
Cash at end of year $22,741,310 $14,453,526 $5,729,349
----------- ----------- ----------
----------- ----------- ----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
137
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
IDS MANAGED FUTURES, L.P.
Notes to Financial Statements
December 31, 1994, 1993, and 1992
1. GENERAL INFORMATION AND SUMMARY
IDS Managed Futures, L.P. (the Partnership), a limited partnership organized
on December 16, 1986 under the Delaware Revised Uniform Limited Partnership
Act, was formed to engage in the speculative trading of commodity interests
including futures contracts, forward contracts, physical commodities, and
related options thereon pursuant to the trading instructions of independent
trading advisors. The general partners are IDS Futures Corporation (IDSFC) and
CIS Investments, Inc. (CISI). The clearing broker is Cargill Investor
Services, Inc. (Clearing Broker or CIS), the parent company of CISI.
Units of limited partnership interest were offered by IDS Financial Services,
Inc. (IDS) commencing March 27, 1987. The total amount of the offering was
$7,500,000. By June 16, 1987, a total of 29,442 units representing a total
investment of $7,372,260 of limited partnership interest had been sold.
Selling commissions of $353,280 were paid to IDS. Each of the general partners
purchased 213 units. The Partnership began trading on June 16, 1987.
Units of the limited partnership representing an additional investment of
$10,000,000 were offered by IDS commencing March 29, 1993. An additional
investment of $20,000,000 was offered by IDS commencing January 31, 1994. By
December 31, 1994, a total of 25,356.98 units representing a total investment
of $19,873,657 of limited partnership interest had been sold in the combined
offerings. During the re-offering the general partners purchased a total of
214.18 additional units representing a total investment of $160,000. Selling
commissions of $1,145,552 were paid to IDS by the new limited partners. All
new investors paid organization and offering expenses totaling $1,202,003.
The Partnership shall be terminated on December 31, 2006 if none of the
following occur prior to that date: (1) investors holding more than 50% of the
outstanding units notify the general partners to dissolve the Partnership as
of a specific date; (2) disassociation of the general partners with the
Partnership; (3) bankruptcy of the Partnership; (4) decrease in the net asset
value to less than $500,000; (5) the Partnership is declared unlawful; or (6)
the net asset value per unit declines to less than $125 per unit and the
Partners elect to terminate the Partnership.
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The accounting and reporting policies of the Partnership conform to generally
accepted accounting principles and to general practices within the commodities
industry. The following is a description of the more significant of those
policies which the Partnership follows in preparing its financial statements.
REVENUE RECOGNITION
Commodity futures contracts, forward contracts, physical commodities, and
related options are recorded on the trade date. All such transactions are
reported on an identified cost basis. Realized gains and losses are determined
by comparing the purchase price to the sales price when the trades are offset.
Unrealized gains and losses reflected in the statements of financial condition
represent the difference between original contract amount and market value (as
determined by exchange settlement prices for futures contracts and related
options and cash dealer prices at a pre-determined time for forward contracts,
physical commodities, and their related options) as of the last business day
of the year or as of the last date of the financial statements.
Prior to August 1, 1993, the Partnership earned interest on 100% of the
Partnership's average monthly cash balance on deposit with the clearing broker
at a rate equal to 80% of the average 90-day treasury bill rate for treasury
bills issued during that month. Effective August 1, 1993 the rate was changed
to 90% of the average 90-day treasury bill rate for treasury bills issued
during that month.
138
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
IDS MANAGED FUTURES, L.P.
Notes to Financial Statements
COMMISSIONS
Brokerage commissions and National Futures Association (NFA), clearing and
exchange fees are accrued on a round-turn basis on open commodity futures
contracts. The Partnership pays IDS, an affiliate of IDSFC, and CIS
commissions on trades executed on its behalf at a rate of $50.00 per
round-turn contract. The Partnership pays this commission directly to CIS and
CIS then reallocates the appropriate portion to IDS.
FOREIGN CURRENCY TRANSACTIONS
Trading accounts in foreign currency denominations are susceptible to both
movements in the underlying contract markets as well as fluctuation in
currency rates. Translation of foreign currencies into U.S. dollars for closed
positions are translated at an average exchange rate for the year, while
year-end balances are translated at the year-end currency rates. The impact of
the translation is reflected in the statements of operations.
STATEMENTS OF CASH FLOWS
For purposes of the statements of cash flows, cash includes cash on deposit
with Clearing Broker in commodity futures trading accounts.
3. FEES
Management fees are accrued and paid monthly, incentive fees are accrued
monthly and paid quarterly, and general partners' administrative fees are paid
annually and amortized monthly. Trading decisions for the period of these
financial statements were made by the following Commodity Trading Advisors
(CTAs): John W. Henry & Company, Inc. (Henry) and Sabre Fund Management
Limited (Sabre). Under agreements signed with the CTAs, the CTAs will receive
a monthly management fee of 1/4 of 1% of the month-end net asset value of the
Partnership under their management and 18% of the Partnership's net trading
profits, if any, in each quarter attributable to each CTA's trading.
Effective December 1, 1991 the agreement with Sabre was changed to reduce the
management fees paid to them to 1/8th of 1% of the month-end net assets. This
rate was to remain in place until the assets under their management showed a
profit of 25%. Effective July 1, 1993 the monthly management fee was increased
back to 1/4 of 1% of the month-end net assets.
Effective July 1, 1992 the agreement with Henry was changed so that their
management fees paid became 1/3 of 1% of the month-end net asset value of the
Partnership under their management and their quarterly incentive fees became
15% of the Partnership's net trading profits, if any, attributable to their
management.
The Partnership pays an annual administrative fee of 1.45% and .3% of the
beginning of the year net asset value of the Partnership to IDSFC and CISI,
respectively. On January 1, 1993, these fees were reduced to 1.125% and .25%,
respectively.
4. INCOME TAXES
No provision for Federal income taxes has been made in the accompanying
financial statements as each partner is responsible for reporting income
(loss) based on the pro rata share of the profits or losses of the
Partnership. The Partnership is responsible for the Illinois State Partnership
Information and Replacement Tax based on the operating results of the
Partnership. Such tax amounted to $21,393 for the year ended December 31, 1993
and is included in operating expenses in the statement of operations. No such
tax was incurred for the years ended December 31, 1994 and 1992 as the
Partnership sustained net losses.
5. FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK
The Partnership was formed to speculatively trade commodity interests. The
Partnership's commodity interest transactions and its related cash balance are
on deposit with the Clearing Broker at all times. In the event that
139
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
IDS MANAGED FUTURES, L.P.
Notes to Financial Statements
volatility of trading of other customers of the Clearing Broker impaired the
ability of the Clearing Broker to satisfy its obligations to the Partnership,
the Partnership would be exposed to off-balance sheet risk. Such risk is
defined in Statement of Financial Accounting Standards No. 105 (SFAS 105) as a
credit risk. To mitigate this risk, the Clearing Broker, pursuant to the
mandates of the Commodity Exchange Act, is required to maintain funds
deposited by customers relating to futures contracts in regulated commodities
in separate bank accounts which are designated as segregated customers'
accounts. In addition, the Clearing Broker has set aside funds deposited by
customers relating to foreign futures and options in separate bank accounts
which are designated as customer secured accounts. Lastly, the Clearing Broker
is subject to the Securities and Exchange Commission's Uniform Net Capital
Rule which requires the maintenance of minimum net capital at least equal to
4% of the funds required to be segregated pursuant to the Commodity Exchange
Act. The Clearing Broker has controls in place to make certain that all
customers maintain adequate margin deposits for the positions which they
maintain at the Clearing Broker. Such procedures should protect the
Partnership from the off-balance sheet risk as mentioned earlier.
The contractual amounts of commitments to purchase and sell exchange traded
futures contracts on December 31, 1994 was $367,657,629 and $283,946,414,
respectively. The contractual amounts of these instruments reflect the extent
of the Partnership's involvement in the related futures contracts and do not
reflect the risk of loss due to counterparty performance. Such risk is defined
by SFAS 105 as credit risk. The counterparty of the Partnership for futures
contracts traded in the United States and most non-U.S. exchanges on which the
fund trades is the Clearing House associated with the exchange. In general,
Clearing Houses are backed by the membership and will act in the event of
non-performance by one of its members or one of the members' customers and as
such should significantly reduce this credit risk. In the cases where the
Partnership trades on exchanges on which the Clearing House is not backed by
the membership, the sole recourse of the Partnership for nonperformance will
be the Clearing House.
The average fair value of commodity interests during 1994 was $859,000. Fair
value as of December 31, 1994 was $1,340,020. The net gains or losses arising
from the trading of commodity interests are presented in the statement of
operations.
The Partnership holds futures and futures options positions on the various
exchanges throughout the world. As defined by SFAS 105, futures positions are
classified as financial instruments. SFAS 105 requires that the Partnership
disclose the market risk of loss from all of its financial instruments. Market
risk is defined as the possibility that future changes in market prices may
make a financial instrument less valuable or more onerous. If the markets
should move against all of the futures positions held by the Partnership at
the same time, and if the markets moved such that the CTAs were unable to
offset the futures positions of the Partnership, the Partnership could lose
all of its assets and the partners would realize a 100% loss. The Partnership
has contracts with two CTAs who make the trading decisions. One of the CTAs
trades a program diversified among all commodity groups, while the other is
diversified among the various futures contracts in the financial and metals
groups. Both CTAs trade on U.S. and non-U.S. exchanges. Such diversification
should greatly reduce this market risk.
The cash requirement of the commodity interests of the Partnership was
$2,923,318 at December 31, 1994. Cash was on deposit with the Clearing Broker
at the time which exceeded this amount.
140
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
IDS MANAGED FUTURES, L.P.
Notes to Financial Statements
ACKNOWLEDGEMENT
December 31, 1994, 1993, and 1992
To the best of my knowledge and belief, the information contained herein is
accurate and complete.
/S/ DONALD J. ZYCK
--------------------------------------------
Donald J. Zyck
Treasurer, CIS Investments, Inc.,
one of the General Partners and Commodity Pool Operators of
IDS Managed Futures, L.P.
141
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
IDS MANAGED FUTURES, L.P.
Statements of Financial Condition
Unaudited
<TABLE>
<CAPTION>
ASSETS MAR 31, 1995 DEC 31, 1994
- --------------------------------------------------------------- -------------- -------------
<S> <C> <C>
Cash at Escrow Agent $ 0 $ 699,380
Equity in commodity futures trading accounts:
Account balance 24,418,852 22,041,930
Unrealized gain on open futures contracts 3,353,759 1,340,020
-------------- -------------
27,772,611 24,081,330
Interest receivable 124,537 103,566
Prepaid G.P. fee 245,202 0
-------------- -------------
Total assets $ 28,142,350 $24,184,896
-------------- -------------
-------------- -------------
<CAPTION>
LIABILITIES AND PARTNERS' CAPITAL
- ---------------------------------------------------------------
<S> <C> <C>
Liabilities:
Accrued commissions on open futures contracts
due to IDS and CIS $ 106,839 $ 100,640
Accrued management fee 84,501 69,060
Accrued incentive fee 302,369 0
Accrued operating expenses 99,398 54,700
Redemptions payable 40,299 99,551
Selling and Offering Expenses Payable 0 83,746
-------------- -------------
Total liabilities 633,406 407,697
Partners' Capital:
Limited partners (108,794.33 units
outstanding at 3/31/95, 35,537.41
units outstanding at 12/31/94) (see Note 1) 27,028,443 23,356,449
General partners (1,943.10 units outstanding at
3/31/95 and 640.18 at 12/31/94) (see Note 1) 480,502 420,750
-------------- -------------
Total partners' capital 27,508,945 23,777,199
-------------- -------------
Total liabilities and partners' capital $ 28,142,350 $24,184,896
-------------- -------------
-------------- -------------
</TABLE>
IN THE OPINION OF MANAGEMENT, THESE STATEMENTS REFLECT ALL ADJUSTMENTS
NECESSARY
TO FAIRLY STATE THE FINANCIAL CONDITION OF IDS MANAGED FUTURES, L.P. (SEE
NOTE 6)
142
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
IDS MANAGED FUTURES, L.P.
Statements of Operations
Unaudited
<TABLE>
<CAPTION>
JAN 1, 1995 JAN 1, 1994
THROUGH THROUGH
MAR 31, 1995 MAR 31, 1994
-------------- --------------
<S> <C> <C>
Revenues:
Gains on trading of commodity futures and forwards contracts,
physical commodities and related options:
Realized gain (loss) on closed positions $ 1,677,931 $ (441,612)
Change in unrealized gain (loss) on open positions 2,013,739 435,866
Interest income 315,305 104,671
Foreign currency transaction gain (loss) 204,487 43,522
-------------- --------------
Total revenues 4,211,462 142,446
Expenses:
Commissions paid to IDS and CIS 247,888 159,036
Exchange fees 5,001 4,043
Management fees 229,709 136,656
Incentive fees 302,369 65,252
General Partner fee to IDS and CIS 81,734 50,755
Operating expenses 65,607 (2,190)
-------------- --------------
Total expenses 932,308 413,552
-------------- --------------
Net profit (loss) $ 3,279,154 $ (271,106)
-------------- --------------
-------------- --------------
Profit (Loss) per unit of partnership interest $ 29.36 $ (16.26)
-------------- --------------
-------------- --------------
(see Note 1)
</TABLE>
THIS STATEMENT OF OPERATIONS, IN THE OPINION OF MANAGEMENT, REFLECTS ALL
ADJUSTMENTS
NECESSARY TO FAIRLY STATE THE FINANCIAL CONDITION OF IDS MANAGED FUTURES,
L.P. (SEE NOTE 6)
143
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
IDS MANAGED FUTURES, L.P.
Statements of Cash Flows
Unaudited
<TABLE>
<CAPTION>
JAN 1, 1995 JAN 1, 1994
THROUGH THROUGH
MAR 31, 1995 MAR 31, 1994
-------------- --------------
<S> <C> <C>
Cash flows from operating activities:
Net profit (loss) $ 3,279,154 $ (271,106)
Adjustments to reconcile net profit (loss) to net cash
provided by (used in) operating activities:
Change in assets and liabilities:
Unrealized gain (loss) on open futures contracts (2,013,739) (435,867)
Interest receivable (20,971) (9,533)
Prepaid general partner fee (245,202) (152,264)
Accrued liabilities 368,706 5,724
Redemptions payable (59,252) 8,019
Selling and Offering Expenses Payable (83,746) (171,575)
-------------- --------------
Net cash provided by (used in) operating activities 1,224,950 (1,026,601)
Cash flows from financing activities:
Additional Units Sold 701,402 2,241,690
Selling and Offering Expenses (80,754) (264,514)
Partner redemptions (168,056) (32,514)
-------------- --------------
Net cash provided by (used in) financing activities 452,592 1,944,662
-------------- --------------
Net increase (decrease) in cash 1,677,542 918,060
Cash at beginning of period 22,741,310 14,453,526
-------------- --------------
Cash at end of period $ 24,418,852 $ 15,371,586
-------------- --------------
-------------- --------------
</TABLE>
THIS STATEMENT OF CASH FLOWS, IN THE OPINION OF MANAGEMENT, REFLECTS ALL
ADJUSTMENTS
NECESSARY TO FAIRLY STATE THE FINANCIAL CONDITION OF IDS MANAGED FUTURES,
L.P. (SEE NOTE 6)
144
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
IDS MANAGED FUTURES, L.P.
Statements of Changes in Partners' Capital
For the period January 1, 1995 through March 31, 1995
<TABLE>
<CAPTION>
Limited General
Units* partners partners Total
----------- ----------- --------- -----------
<S> <C> <C> <C> <C>
Partners' capital at January 1, 1995 35,537.41 $23,356,449 $ 420,750 $23,777,199
Net profit (loss) -- 3,222,282 56,872 3,279,154
Additional Units Sold or Created from
3-for-1 Split (see Note 1) 73,902.29 698,522 2,880 701,402
Less Selling and Organizational Costs -- (80,754) 0 (80,754)
Redemptions (see Note 1) (645.37) (168,056) -- (168,056)
----------- ----------- --------- -----------
Partners' capital at March 31, 1995 108,794.33 $27,028,443 $ 480,502 $27,508,945
----------- ----------- --------- -----------
----------- ----------- --------- -----------
Net asset value per unit
January 1, 1995 (see Note 1) 219.08 219.08
Net profit (loss) per unit (see Note 1) 29.36 29.36
----------- ---------
Net asset value per unit
March 31, 1995 $ 248.44 $ 248.44
</TABLE>
*UNITS OF LIMITED PARTNERSHIP INTEREST.
THIS STATEMENT OF CHANGES IN PARTNERS' CAPITAL, IN THE OPINION OF
MANAGEMENT, REFLECTS ALL ADJUSTMENTS
NECESSARY TO FAIRLY STATE THE FINANCIAL CONDITION OF IDS MANAGED FUTURES,
L.P. (SEE NOTE 6)
145
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
IDS MANAGED FUTURES, L.P.
Statements of Financial Condition
Unaudited
<TABLE>
<CAPTION>
ASSETS APR 30, 1995
- ------------------------------------------------------------------------------- -------------
<S> <C>
Cash at Escrow Agent $ 0
Equity in commodity futures trading accounts:
Account balance 26,870,136
Unrealized gain on open futures contracts 2,030,155
-------------
28,900,291
Interest receivable 113,091
Prepaid G.P. fee 217,958
-------------
Total assets $29,231,340
-------------
-------------
<CAPTION>
LIABILITIES AND PARTNERS' CAPITAL
- -------------------------------------------------------------------------------
<S> <C>
Liabilities:
Accrued commissions on open futures contracts due to IDS and CIS $ 83,362
Accrued management fee 87,759
Accrued incentive fee 134,620
Accrued operating expenses 120,278
Redemptions payable 135,467
Selling and Offering Expenses Payable 0
-------------
Total liabilities 561,487
Partners' Capital:
Limited partners (108,273.59 units
outstanding at 4/30/95, 108,794.33
units outstanding at 3/31/95) (see Note 1) 28,166,707
General partners (1,934.10 units outstanding at
4/30/95 and 1,934.10 at 3/31/95) (see Note 1) 503,146
-------------
Total partners' capital 28,669,853
-------------
Total liabilities and partners' capital $29,231,340
-------------
-------------
</TABLE>
IN THE OPINION OF MANAGEMENT, THESE STATEMENTS REFLECT ALL ADJUSTMENTS
NECESSARY
TO FAIRLY STATE THE FINANCIAL CONDITION OF IDS MANAGED FUTURES, L.P. (SEE
NOTE 6)
146
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
INDEPENDENT AUDITORS' REPORT
The Board of Directors
CIS Investments, Inc.:
We have audited the accompanying balance sheets of CIS Investments, Inc. (a
wholly owned subsidiary of Cargill Investor Services, Inc.) as of May 31, 1994
and 1993, and the related statements of earnings, changes in stockholder's
equity, and cash flows for the years then ended. These financial statements are
the responsibility of the Company's management. Our responsibility is to express
an opinion on these financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in
all material respects, the financial position of CIS Investments, Inc. as of May
31, 1994 and 1993, and the results of its operations and its cash flows for the
years then ended in conformity with generally accepted accounting principles.
KPMG Peat Marwick
July 8, 1994
147
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
CIS INVESTMENTS, INC.
BALANCE SHEETS
MAY 31, 1994 AND 1993
ASSETS
<TABLE>
<CAPTION>
1994 1993
----------- -----------
<S> <C> <C>
Accounts receivable from limited partnerships $ 177,484 $ 742,785
Investments in limited partnerships 336,788 252,723
Accrued management fees -- 388
----------- -----------
514,272 995,896
----------- -----------
----------- -----------
LIABILITIES AND STOCKHOLDER'S EQUITY
Liabilities:
Unearned management fees 21,782 8,595
Due to Parent 238,817 809,178
Accrued taxes payable 7,717 7,681
----------- -----------
Total liabilities 268,316 825,454
Stockholder's equity:
Common stock, $100 par value. Authorized 30,000 shares; issued 10 shares 1,000 1,000
Common stock subscribed, 12,437 shares 1,243,700 1,243,700
Paid-in capital 250,000 250,000
Accumulated deficit (5,044) (80,558)
----------- -----------
1,489,656 1,414,142
Less subscriptions receivable (note 4) (1,243,700) (1,243,700)
----------- -----------
Total stockholder's equity 245,956 170,442
----------- -----------
$ 514,272 $ 995,896
----------- -----------
----------- -----------
</TABLE>
See accompanying notes to financial statements.
(PLEASE NOTE THAT THE PURCHASER OF UNITS IS NOT PURCHASING AN INTEREST IN THE
COMPANY WHOSE BALANCE SHEET APPEARS ABOVE.)
148
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
CIS INVESTMENTS, INC.
STATEMENT OF EARNINGS
YEARS ENDED MAY 31, 1994 AND 1993
<TABLE>
<CAPTION>
1994 1993
--------- ---------
<S> <C> <C>
Revenues:
Management fees $ 43,686 $ 61,133
Unrealized gain on investments in limited partnerships 37,065 91,804
Other income 38,206 --
--------- ---------
Total revenues 118,957 152,937
Expenses:
Interest 14,262 40,501
Operating 3,959 1,386
--------- ---------
Total expenses 18,221 41,887
--------- ---------
Income before income taxes 100,736 111,050
Income tax expense 25,222 77,288
--------- ---------
Net income $ 75,514 $ 33,762
</TABLE>
See accompanying notes to financial statements.
(PLEASE NOTE THAT THE PURCHASER OF UNITS IS NOT PURCHASING AN INTEREST IN THE
COMPANY WHOSE BALANCE SHEET APPEARS ABOVE.)
149
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
CIS INVESTMENTS, INC.
STATEMENTS OF CHANGES IN STOCKHOLDER'S EQUITY
YEARS ENDED MAY 31, 1994 AND 1993
<TABLE>
<CAPTION>
COMMON PAID-IN COMMON STOCK ACCUMULATED SUBSCRIPTIONS
STOCK CAPITAL SUBSCRIBED DEFICIT RECEIVABLE TOTAL
----------- ----------- ------------ -------------- --------------- ---------
<S> <C> <C> <C> <C> <C> <C>
Balance at May 31, 1992 $ 1,000 250,000 1,243,700 (114,320) (1,243,700) 136,680
Net income -- -- -- 33,762 -- 33,762
----------- ----------- ------------ -------------- --------------- ---------
Balance at May 31, 1993 1,000 250,000 1,243,700 (80,558) (1,243,700) 170,442
Net income -- -- -- 75,514 -- 75,514
Balance at May 31, 1994 $ 1,000 250,000 1,243,700 (5,044) (1,243,700) 245,956
----------- ----------- ------------ -------------- --------------- ---------
----------- ----------- ------------ -------------- --------------- ---------
</TABLE>
See accompanying notes to financial statements.
(PLEASE NOTE THAT THE PURCHASER OF UNITS IS NOT PURCHASING AN INTEREST IN THE
COMPANY WHOSE BALANCE SHEET APPEARS ABOVE.)
150
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
CIS INVESTMENTS, INC.
STATEMENTS OF CASH FLOWS
YEARS ENDED MAY 31, 1994 AND 1993
<TABLE>
<CAPTION>
1994 1993
--------- ---------
<S> <C> <C>
Cash flows from operating activities:
Net income $ 75,514 33,762
Adjustments to reconcile net income to net cash provided by operating activities:
Unrealized gain on investments in limited partnerships (37,065) (91,804)
Decrease (increase) in assets:
Accounts receivable from limited partnerships 565,301 300,325
Accrued management fees 388 (2)
Increase (decrease) in liabilities:
Unearned management fees 13,187 (1,736)
Accounts payable (570,361) (297,244)
Accrued taxes payable 36 42,872
--------- ---------
Net cash provided by (used in) operating activities 47,000 (13,827)
--------- ---------
Cash flows provided by (used in) investing activities:
Purchase of limited partnership units (47,000) --
Return of limited partnership units -- 13,827
--------- ---------
Net cash provided by (used in) investing activities (47,000) 13,827
--------- ---------
Net change in cash -- --
Cash at beginning of year -- --
--------- ---------
Cash at end of year $ -- --
--------- ---------
--------- ---------
Supplemental disclosures of cash flow information:
Cash paid during the year for:
Income taxes $ 25,186 38,501
Interest expense 14,262 30,486
--------- ---------
--------- ---------
</TABLE>
See accompanying notes to financial statements.
(PLEASE NOTE THAT THE PURCHASER OF UNITS IS NOT PURCHASING AN INTEREST IN THE
COMPANY WHOSE BALANCE SHEET APPEARS ABOVE.)
151
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
CIS INVESTMENTS, INC.
NOTES TO FINANCIAL STATEMENTS
(1) General Information and Summary of Significant Accounting Policies
General
CIS Investments, Inc. (the Company), a wholly owned subsidiary of Cargill
Investor Services, Inc., (the Parent) is the general partner in various
limited partnerships organized for the purpose of engaging in the speculative
trading of commodity interests, including futures contracts, physical
commodities, and related options.
Management Fees
Unearned management fees are amortized over one year using the straight-line
method.
Investments in Limited Partnerships
Investments in limited partnerships are recorded at a value which
approximates the Company's proportionate share of the limited partnership's
net asset value.
Income Taxes
The Company is included in the consolidated Federal income tax return of the
Parent.
In February 1992, the Financial Accounting Standards Board issued Statement
of Financial Accounting Standards No. 109 (Statement 109), Accounting for
Income Taxes. Statement 109 requires a change from the deferred method of
accounting for income taxes of APB Opinion 11 to the asset and liability
method of accounting for income taxes. Under the asset and liability method
of Statement 109, deferred tax assets and liabilities are recognized for the
future tax consequences attributable to differences between the financial
statement carrying amounts of existing assets and liabilities and their
respective tax bases. Deferred tax assets and liabilities are measured using
enacted tax rates expected to apply to taxable income in the years in which
those temporary differences are expected to be recovered or settled. Under
Statement 109, the effect on deferred tax assets and liabilities of a change
in tax rates is recognized in income in the period that includes the
enactment date.
Expenses
General and administrative overhead costs of the Company are expensed and
paid by the Parent. As such, they are not reflected in these financial
statements.
(2) Investments in Limited Partnerships
Investments in limited partnerships at May 31, 1994 and 1993 are as follows:
<TABLE>
<CAPTION>
1994 1993
-------------------- --------------------
Units Amount Units Amount
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
IDS Managed Futures, L.P. 280 $ 199,205 213 $ 130,567
IDS Managed Futures II, L.P. 322 137,583 322 122,156
--------- ---------
$ 336,788 $ 252,723
--------- ---------
--------- ---------
</TABLE>
All investments are in general partnership units.
(3) Net Worth Requirements
The Company is required to maintain net worth, as defined, of not less than
(i) the lesser of $250,000 or 15% of the aggregate capital contributions of
any limited partnership for which it shall act as a general partner if such
contributions are less than $2,500,000 and (ii) 10% of the aggregate capital
contributions of any limited partnership for which it shall act as a general
partner if such contributions are equal to or exceed $2,500,000. At May 31,
1994 the Company is in compliance with its net worth requirements.
152
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
CIS INVESTMENTS, INC.
NOTES TO FINANCIAL STATEMENTS
(4) Common Stock Subscriptions
The Company and its Parent entered into stock subscription agreements whereby
the Parent subscribed to purchase up to 12,437 shares of the Company's stock
at $100 per share in order to ensure the Company's continued compliance with
its net worth requirements. No subscribed stock was issued, nor is it known
when and if any will be issued in the future. As such, the subscribed stock
receivable amount is shown as a deduction from stockholder's equity.
(5) Income Taxes
As discussed in note 1, the Company adopted Statement 109 as of June 1, 1993.
There were no significant temporary differences that gave rise to deferred
tax assets and/or deferred tax liabilities, therefore the implementation of
Statement 109 has no effect on the financial statements of the Company.
153
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
CIS INVESTMENTS, INC.
UNAUDITED BALANCE SHEET
AS OF APRIL 30, 1995
ASSETS
<TABLE>
<S> <C>
Accounts Receivable $ 0
Investment in IDS Managed Futures, L.P. 249,803
Investment in IDS Managed Futures II, L.P. 152,606
Accrued income 388
----------
Total assets $ 402,797
----------
----------
LIABILITIES AND EQUITY
Unearned Management Fees $ 39,879
Intercompany Payable 46,039
Income Taxes Payable 20,323
----------
Total Accounts Payable 106,241
Common Stock $100 par value, 20,000 authorized, 10 issued 1,000
Subscribed Stock 17,437 shares 1,743,700
Paid-in-Capital 250,000
Retained Earnings 45,556
----------
Total Stockholders Equity 2,040,256
Less--subscriptions receivable (1,743,700)
----------
Total Liabilities and Equity $ 402,797
----------
----------
Unaudited
</TABLE>
This Balance Sheet, in the opinion of management, reflects all adjustments
necessary to fairly state the financial condition of CIS Investments, Inc. at
April 30, 1995.
(PLEASE NOTE THAT THE PURCHASER OF UNITS IS NOT PURCHASING AN INTEREST IN THE
COMPANY WHOSE BALANCE SHEET APPEARS ABOVE.)
154
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
REPORT OF INDEPENDENT AUDITORS
We have audited the accompanying balance sheet of IDS Futures Corporation as of
November 30, 1994. This balance sheet is the responsibility of the Company's
management. Our responsibility is to express an opinion on this balance sheet
based on our audit.
We conducted our audit in accordance with generally accepted auditing standards.
Those standards require that we plan and perform the audit to obtain reasonable
assurance about whether the balance sheet is free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the balance sheet. An audit also includes assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall financial statement presentation. We believe that our
audit of the balance sheet provides a reasonable basis for our opinion.
In our opinion, the balance sheet referred to above presents fairly, in all
material respects, the financial position of IDS Futures Corporation at November
30, 1994, in conformity with generally accepted accounting principles.
ERNST & YOUNG LLP
January 5, 1995
155
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
IDS FUTURES CORPORATION
Balance Sheet
November 30, 1994
<TABLE>
<CAPTION>
ASSETS
- ---------------------------------------------------------------------------------------------
<S> <C>
Cash $ 122,647
Accounts receivable -- Limited Partnerships 915
Investment in IDS Cash Management 695,378
Investment in Limited Partnerships (market value -- $438,598) 207,090
Deferred income taxes (NOTE 4) 58,235
Due from affiliate (NOTE 5) 38,071
-----------
Total assets $ 1,122,336
-----------
-----------
<CAPTION>
LIABILITIES AND STOCKHOLDER'S EQUITY
- ---------------------------------------------------------------------------------------------
<S> <C>
Liabilities:
Due to Limited Partners (NOTE 6) $ 540,247
-----------
Total liabilities 540,247
Stockholder's equity:
Common Stock, $1 par value:
Authorized and issued shares -- 100 100
Additional paid-in capital 1,974,900
Retained earnings 232,089
-----------
2,207,089
Less notes receivable from affiliate (NOTE 3) (1,625,000)
-----------
Net stockholder's equity 582,089
-----------
Total liabilities and stockholder's equity $ 1,122,336
-----------
-----------
Commitments (NOTE 2)
</TABLE>
SEE ACCOMPANYING NOTES.
(PLEASE NOTE THAT THE PURCHASER OF UNITS IS NOT PURCHASING AN
INTEREST IN THE COMPANY WHOSE BALANCE SHEET APPEARS ABOVE.)
156
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
IDS FUTURES CORPORATION
Notes to Balance Sheet
November 30, 1994
1. ORGANIZATION, PURPOSE AND ACCOUNTING POLICY
IDS Futures Corporation (the Company) is a wholly-owned subsidiary of IDS
Management Corporation, which is a wholly-owned subsidiary of IDS Financial
Corporation (IDS). The Company was organized on December 12, 1986 and is
registered under the Commodity Exchange Act. The Company acts as a general
partner in limited partnerships.
The investment in Limited Partnerships is accounted for at the lower of cost
or market value.
2. PARTNERSHIP PARTICIPATION
The Company has entered into Agreements of Limited Partnership whereby the
general partners have agreed that they will contribute to the capital of each
Managed Futures Partnership (Partnership) an amount which will make its total
contributions to each Partnership equal to the greater of (i) 3% of the
aggregate capital contributions of the Partnerships or $100,000, whichever is
less, or (ii) 1% of the aggregate capital contributions of the Partnership.
Each partner of the Partnership will share in profits and losses of the
Partnership in proportion to the amount of the interest in the partnership
owned by each. The Agreements of Limited Partnership also require that, at all
times after the admission of limited partners to the Partnership, they
maintain together net worth at least equal to (i) the lesser of $250,000 or
15% of the aggregate capital contributions of any limited partnerships for
which they shall act as general partners and which are capitalized at less
than or equal to $2,500,000, and (ii) 10% of the aggregate capital
contributions of any limited partnerships for which they shall act as general
partners and which are capitalized at greater than $2,500,000. For this
purpose, net worth shall reflect the carrying of all assets at fair market
value and shall exclude capital contributions by it to any limited partnership
of which it may be a general partner. The Company meets its net worth
requirement through promissory notes from IDS.
3. NOTES RECEIVABLE
On April 7, 1987, IDS issued a $375,000 demand note, with interest accruing on
funds outstanding at the prime rate of Norwest Bank, Minneapolis, as a capital
contribution to IDS Futures Corporation.
On February 22, 1988, IDS issued an additional $750,000 demand note, with
interest accruing on funds outstanding at the prime rate of Norwest Bank,
Minneapolis, as a capital contribution to IDS Futures Corporation.
On June 23, 1988, IDS issued an additional $500,000 demand note, with interest
accruing on funds outstanding at the prime rate of Norwest Bank, Minneapolis,
as a capital contribution to IDS Futures Corporation.
These notes have been treated as a reduction in capital. All accrued interest
on the above notes has been waived by the parties to the notes.
4. TAX POLICY
It is the policy of IDS and its subsidiaries that IDS will reimburse a
subsidiary for any tax return benefit on losses incurred by the subsidiary and
the subsidiary will pay IDS if it has a tax return liability.
The deferred tax asset at November 30, 1994 represents temporary differences
that have passed through to the Company from its investment in limited
partnerships.
(PLEASE NOTE THAT THE PURCHASER OF UNITS IS NOT PURCHASING AN
INTEREST IN THE COMPANY WHOSE BALANCE SHEET APPEARS ABOVE.)
157
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
IDS FUTURES CORPORATION
Notes to Balance Sheet
November 30, 1994
5. DUE TO/FROM AFFILIATE
The Company is allocated various expenses from IDS, such as programming, data
processing, legal and other administrative costs. The receivable balance at
November 30, 1994 represents adjustments to those allocations that are due
from IDS.
6. DUE TO LIMITED PARTNERS
This account represents an excess of offering expense charges. According to
the Prospectus, "The General Partners will receive from the proceeds of the
offering, the Offering Expense Charge (OEC) for each unit sold to an investor.
The OEC includes fees for legal, accounting, auditing, marketing, filing,
registration and recording fees, printing expenses and escrow charges. If the
total OEC received by the General Partners exceeds the actual offering
expenses incurred, the excess shall be rebated to the Limited Partners."
(PLEASE NOTE THAT THE PURCHASER OF UNITS IS NOT PURCHASING AN
INTEREST IN THE COMPANY WHOSE BALANCE SHEET APPEARS ABOVE.)
158
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
IDS FUTURES CORPORATION
BALANCE SHEETS
April 30, 1995
(unaudited)
<TABLE>
<CAPTION>
UNAUDITED AUDITED
APR. 30, 1995 NOV. 30, 1994
-------------- --------------
<S> <C> <C>
ASSETS
Cash $ 76,574 $ 122,647
Accounts receivable -- Limited Partnerships 0 915
Investment in IDS Cash Management 513,565 695,378
Investment in Limited Partnerships 204,500 207,090
Deferred income taxes (NOTE 4) 58,235 58,235
Due from Limited Partners (NOTE 6) 6,793 0
Due from affiliate (Note 5) 0 38,071
-------------- --------------
Total assets $ 859,667 $ 1,122,336
-------------- --------------
-------------- --------------
LIABILITIES AND STOCKHOLDER'S EQUITY
Liabilities:
Due to Limited Partners (NOTE 6) 0 540,247
Due to affiliate (NOTE 5) 93,829 0
-------------- --------------
Total liabilities 93,829 540,247
Stockholder's equity:
Common Stock, $1 par value:
Authorized and issued shares -- 100 100 100
Additional paid-in capital 1,974,900 1,974,900
Retained earnings 415,838 232,089
-------------- --------------
2,390,838 2,207,089
Less notes receivable from affiliate (NOTE 3) (1,625,000) (1,625,000)
-------------- --------------
Net stockholder's equity 765,838 582,089
-------------- --------------
Total liabilities and stockholder's equity $ 859,667 $ 1,122,336
-------------- --------------
-------------- --------------
Commitments (NOTE 2)
</TABLE>
SEE ACCOMPANYING NOTES.
(PLEASE NOTE THAT THE PURCHASER OF UNITS IS NOT PURCHASING AN
INTEREST IN THE COMPANY WHOSE BALANCE SHEET APPEARS ABOVE.)
159
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
IDS FUTURES CORPORATION
Notes to Balance Sheets
April 30, 1995
(Unaudited)
1. ORGANIZATION, PURPOSE AND ACCOUNTING POLICY
IDS Futures Corporation (the Company) is a wholly-owned subsidiary of IDS
Management Corporation, which is a wholly-owned subsidiary of American Express
Financial Corporation (AEFC) formerly IDS Financial Corporation (IDS). The
Company was organized on December 12, 1986 and is registered under the
Commodity Exchange Act. The Company acts as a general partner in limited
partnerships.
The investment in Limited Partnerships is accounted for at lower of cost or
market value.
2. PARTNERSHIP PARTICIPATION
The Company has entered into Agreements of Limited Partnership whereby the
general partners have agreed that they will contribute to the capital of each
Managed Futures Partnership (Partnership) an amount which will make its total
contributions to each Partnership equal to the greater of (i) 3% of the
aggregate capital contributions of the Partnership or $100,000, whichever is
less, or (ii) 1% of the aggregate capital contributions of the Partnership.
Each partner of the Partnership will share in profits and losses of the
Partnership in proportion to the amount of the interest in the partnership
owned by each. The Agreements of Limited Partnership also require that, at all
times after the admission of limited partners to the Partnership, they
maintain together net worth at least equal to (i) the lesser of $250,000 or
15% of the aggregate capital contributions of any limited partnerships for
which they shall act as general partners and which are capitalized at less
than or equal to $2,500,000. For this purpose, net worth shall reflect the
carrying of all assets at fair market value and shall exclude capital
contributions by it to any limited partnership of which it may be general
partner. The Company meets its net worth requirement through promissory notes
from IDS.
3. NOTES RECEIVABLE
On April 7, 1987, IDS issued a $375,000 demand note, with interest accruing on
funds outstanding from the date of disbursement at the then prime rate of
Norwest Bank, Minneapolis, as a capital contribution to IDS Futures
Corporation.
On February 22, 1988, IDS issued an additional $750,000 demand note, with
interest accruing on funds outstanding from the date of disbursement at the
then prime rate of Norwest Bank, Minneapolis, as a capital contribution to IDS
Futures Corporation.
On June 23, 1988, IDS issued an additional $500,000 demand note, with interest
accruing on funds outstanding from the date of disbursement at the then prime
rate of Norwest Bank, Minneapolis, as a capital contribution to IDS Futures
Corporation.
4. TAX POLICY
It is the policy of IDS and its subsidiaries that IDS will reimburse a
subsidiary for any tax return benefit on losses incurred by the subsidiary and
the subsidiary will pay IDS if it has a tax return liability.
The deferred tax asset at April 30, 1995 represents temporary differences that
have passed through to the Company from its investment in limited
partnerships.
(PLEASE NOTE THAT THE PURCHASER OF UNITS IS NOT PURCHASING AN INTEREST IN THE
COMPANY WHOSE BALANCE SHEET APPEARS ABOVE.)
160
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
IDS FUTURES CORPORATION
Notes to Balance Sheets (continued)
April 30, 1995
(Unaudited)
5. DUE TO/FROM AFFILIATE
The Company is allocated various expenses from AEFC, such as programming, data
processing, legal and other administrative costs.
6. DUE TO/FROM LIMITED PARTNERS
This account represents an excess/underage of offering expense charges.
According to the January 31, 1994 Prospectus, "The General Partners will
receive from the proceeds of the offering, the Offering Expense Charge (OEC)
for each unit sold to an investor. The OEC includes fees for legal,
accounting, auditing, marketing, filing, registration and recording fees,
printing expenses and escrow charges. If the total OEC received by the General
Partners exceeds the actual offering expenses incurred, the excess shall be
rebated to the Limited Partners." In April 1995 this excess was rebated back
to investors. The receivable balance at April 30, 1995 represents expenses
incurred for current offering for which no OEC has been collected.
(PLEASE NOTE THAT THE PURCHASER OF UNITS IS NOT PURCHASING AN INTEREST IN THE
COMPANY WHOSE BALANCE SHEET APPEARS ABOVE.)
161
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
EXHIBIT A
IDS MANAGED FUTURES, L.P.
AMENDED AND
RESTATED LIMITED PARTNERSHIP AGREEMENT
CIS Investments, Inc. and IDS Futures Corporation (hereinafter referred to
collectively as the "General Partners and individually referred to as a "General
Partner") in their capacities as general partners and as attorneys-in-fact for
those who hereafter execute this agreement, as amended or by separate
instrument, and for the limited partners of IDS Managed Futures, L.P. (the
"Partnership") hereby agree to and adopt this Amended and Restated Limited
Partnership Agreement (the "Agreement") as of this day, September 30, 1994, and
hereby amend and revise that certain Limited Partnership Agreement of the
Partnership dated June 16, 1987 and amended on January 28, 1992, March 29, 1993,
January 25, 1994, and September 30, 1994.
STRUCTURE OF THE PARTNERSHIP
1. FORMATION AND NAME.
The parties hereto do hereby form a limited partnership under the Delaware
Revised Uniform Limited Partnership Act, as amended and in effect on June 16,
1987 (the "Act"). The name of the limited partnership is IDS Managed Futures,
L.P. (the "Partnership"). The General Partners shall execute and file a
Certificate of Limited Partnership in accordance with the provisions of the Act
and execute, file, record and publish as appropriate such amendments, assumed
name certificates and other documents as are or become necessary or advisable as
determined by the General Partners. Each Limited Partner hereby undertakes to
furnish to the General Partners a power of attorney which may be filed with the
Certificate of Limited Partnership and any amendments thereto and such
additional information as is required from him to complete such documents and to
execute and cooperate in the filing, recording or publishing of such documents
at the request of the General Partners.
2. PRINCIPAL OFFICES.
The principal offices of the Partnership shall be at the offices of CIS
Investments, Inc. or such other places as the General Partners may designate
from time to time.
3. BUSINESS.
The Partnership business and purpose is to trade, buy, sell, spread or otherwise
acquire, hold or dispose of commodity interests including futures contracts,
forward contracts, physical commodities, and related options thereon. The
objective of the Partnership business is appreciation of its assets through
speculative trading in such commodity interests.
4. TERM, DISSOLUTION AND FISCAL YEAR.
(a) TERM. The term of the Partnership shall commence on the day on which the
Certificate of Limited Partnership is filed in the Office of the Secretary of
State of Delaware pursuant to the provisions of the Act and shall end upon the
first to occur of the following: (1) December 31, 2006; (2) receipt by the
General Partners of a notice to dissolve the Partnership at a specified time by
Limited Partners owning more than 50% of the outstanding Units of Limited
Partnership Interest ("Units"), including Units held by representatives and
employees of the Partnership's Selling Agent and of its corporate affiliates,
but not including any Units held by the General Partners or their corporate
affiliates, which notice is sent by registered mail to the General Partners not
less than ninety days prior to the effective date of such dissolution; (3)
withdrawal, removal, insolvency, bankruptcy, legal disability or dissolution of
the General Partners unless the Partnership is continued pursuant to paragraph
22 below; (4) the insolvency or bankruptcy of the Partnership; (5) a decrease in
the Net Asset Value of the Partnership to less than $500,000 as of the close of
business on any trading day; or (6) the occurrence of any event which shall make
it unlawful for the existence of the Partnership to be continued or requiring
termination of the Partnership.
(b) DISSOLUTION. Upon the occurrence of an event causing the termination of the
Partnership, the Partnership shall terminate and be dissolved. Dissolution,
payment of creditors and distribution of the Partnership assets shall be
162
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
effected as soon as practicable in accordance with the Act, and the General
Partners and Limited Partners (and any assignees) shall share in the assets of
the Partnership, if any, pro rata in accordance with their respective capital
accounts, less any amount owing by such Partners (or assignees) to the
Partnership.
(c) FISCAL YEAR. The fiscal year of the Partnership shall begin on January 1 of
each year and end on December 31; provided, however, that the first fiscal year
of the Partnership shall commence on the date its Certificate of Limited
Partnership is filed.
(d) CERTAIN DEFINITIONS.
"Advisor" means any person who for any consideration engages in the business of
advising others, either directly or indirectly, as to the value, purchase, or
sale of Commodity Contracts or commodity options.
"Commodity Contract" means a contract or option thereon providing for the
delivery or receipt at a future date of a specified amount and grade of a traded
commodity at a specified price and delivery point.
"Net Asset Value" of the Partnership means the total assets less total
liabilities, including any liability for organization and offering expenses of
the Partnership, to be determined on the basis of generally accepted accounting
principles, consistently applied, unless otherwise specified below. As of the
close of business on February 28, 1995, regardless of whether Units are then
being offered, each Unit shall be divided into three Units, each of which shall
have Net Asset Value per Unit equal to one-third the Net Asset Value per Unit on
that date prior to such division. The resulting Net Asset Value per Unit will
constitute the Net Asset Value per Unit thereafter.
"Net Asset Value per Unit" means the Net Asset Value divided by the number of
Units outstanding on the date of calculation. For purposes of these
calculations:
(a) Net Asset Value shall include any unrealized profit or loss on securities
and open commodity positions and any other credit or debit accruing to the
Partnership but unpaid or not received by the Partnership.
(b) All securities and open commodity positions shall be valued at their then
market value which means, with respect to open commodity positions, the
settlement price as determined by the exchange on which the transaction is
effected or the most recent appropriate quotation as supplied by the clearing
broker or banks through which the transaction is effected. If there are no
trades on the date of the calculation due to the operation of the daily price
fluctuation limits or due to a closing of the exchange on which the
transaction is executed, the contract will be valued at fair market value as
determined by the General Partners. Interest, if any, shall accrue monthly.
(c) Brokerage commissions on open commodity positions shall be accrued in full
upon the initiation of such open positions as a liability of the Partnership.
Management fees shall be paid monthly and deducted prior to the calculation of
the quarterly incentive fee.
"Net Worth" means the excess of total assets over total liabilities as
determined by generally accepted accounting principles. Net Worth shall be
determined exclusive of home, home furnishings and automobiles.
"Trading Profits" means Trading Profits (for purposes of calculating each
Advisor's incentive fees only) is defined as the excess (if any) of (A) the Net
Asset Value of the Partnership's assets under management of an Advisor as of the
last day of any calendar quarter (before deduction of incentive fees payable for
such quarter) over (B) the highest Net Asset Value of the Partnership's assets
under the management of such Advisor as of the last day of the most recent
calendar quarter for which an incentive fee was due and owing. In computing
Trading Profits, the difference between (A) and (B) above shall be (i) decreased
by all interest realized on the Advisor's allocable share of Partnership assets
subject to such Advisor's management between the dates referred to in (A) and
(B), and (ii) increased by the Advisor's allocable share of any distributions or
redemptions paid or payable by the Partnership as of, or subsequent to, the date
in (B) through the date in (A), and (iii) adjusted (either increased or
decreased, as the case may be) to reflect the Advisor's allocable share of any
additional allocations or negative reallocations of Partnership assets from the
date in (B) to the last day of the calendar quarter as of which the current
incentive fee calculation is made. The incentive fee shall not be payable on
interest earned on Partnership assets. For purposes of calculating Trading
Profits attributable to the assets under the management of each Advisor only,
the definition of Net Asset Value shall be modified, insofar as it takes into
consideration the amount of incentive and management fees payable by and
brokerage commissions accrued by the Partnership, to provide for
163
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
the allocation of such incentive and management fees and brokerage commissions
specifically to the assets under the management of the Advisor which is entitled
to such fees or whose trading decisions generated those brokerage commissions.
"Organizational and Offering Expenses" means all expenses incurred by the
Partnership in connection with and in preparing for registration and
subsequently offering and distributing units to the public, including, but not
limited to, total underwriting and brokerage discounts and commissions
(including fees of the underwriter's attorneys), expenses for printing,
engraving, mailing, salaries of employees while engaged in sales activity,
charges of transfer agents, registrars, trustees, escrow holders, depositories,
experts, expenses of qualification of the sale of its limited partnership
interests under federal and state law, including taxes and fees, accountants'
and attorneys' fees.
"Pit Brokerage Fee" means the floor brokerage, clearing fees, National Futures
Association fees, and exchange fees.
"Sponsor" means any person directly or indirectly instrumental in organizing the
Partnership or any person who will manage or participate in the management of
the Partnership, including a person who pays any portion of the organizational
expenses of the Partnership, and the general partner(s) and any other person who
regularly performs or selects the persons who perform services for the
Partnership. "Sponsor" does not include wholly independent third parties such as
attorneys, accountants, and underwriters whose only compensation is for
professional services rendered in connection with the offering of the units. The
term "Sponsor" shall be deemed to include its affiliates.
"Valuation Date" means the date as of which the Net Asset Value of the
Partnership is determined.
"Valuation Period" means a regular period time between valuation dates.
5. MANAGEMENT OF THE PARTNERSHIP.
Subject to the limitations of this Agreement, the General Partners shall have
exclusive management and complete control of the management of all aspects of
the Partnership's business for the purposes herein stated. The General Partners
shall make all decisions affecting Partnership affairs (except that the General
Partners shall not select the purchases and sales of any commodity interests for
the Partnership, but shall employ non-affiliated commodity trading advisors to
provide such services), and shall have the exclusive right to act for the
Partnership including, inter alia, the power to enter into contracts with third
parties for trading advisory services and brokerage services, which brokerage
services may be performed by entities affiliated with the General Partners at
rates that may exceed the lowest rates which might otherwise be available to the
Partnership, with respect to the following matters:
(a) Retaining or replacing any commodity trading advisor to the Partnership;
(b) Retaining any futures commission merchant or introducing broker to act as
the Partnership's broker, or materially revising the terms or conditions upon
which any futures commission merchant, or introducing broker, shall be
retained;
(c) Appointing any person, including any person affiliated with the General
Partners, to act as a selling agent, clearing broker, introducing broker,
underwriter, or otherwise to act on behalf of the Partnership to sell or
solicit the purchase of Units in the Partnership;
(d) Determining to offer additional Units in the Partnership pursuant to its
prospectus;
(e) Settling claims against the Partnership;
(f) Retaining attorneys and accountants to assist in the organization and
operation of the Partnership.
The General Partners shall exercise good faith in carrying out their duties and
exercising their powers in regard to, or on behalf of, the Partnership, and
shall devote sufficient efforts to the furtherance of the business of the
Partnership as reasonably necessary and appropriate. The General Partners shall
retain commodity trading advisors not affiliated with either General Partner and
will delegate the management of the Partnership's commodity accounts to such
advisors.
No Limited Partner shall take part in the management of the business or transact
any business for the Partnership, and no Limited Partner shall have power to
sign for or bind the Partnership. No Limited Partner shall be entitled to any
salary, draw or other compensation from the Partnership on account of his
investment in the
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Partnership. The General Partners shall have sole discretion in determining what
distributions of profits and income, if any, shall be made to the Partners. Any
distributions shall become a liability of the Partnership for purposes of
calculating Net Asset Value as of the dates of their declaration.
The General Partners may engage and compensate on behalf of the Partnership from
funds of the Partnership, such persons, firms or corporations, including (except
as described in this Agreement) the General Partners and any affiliated person
or entity, as the General Partners in their sole judgment shall deem advisable
for the conduct and operation of the business of the Partnership.
The General Partners are hereby authorized on behalf of the Partnership to enter
into the advisory contract between the Partnership and John W. Henry & Co., Inc.
and Sabre Fund Management Limited described in the Prospectus, pursuant to which
such entities will have responsibility with respect to the determination of the
Partnership's commodity trading decisions. In the event the General Partners
shall, in their sole discretion, using their prudent business judgment,
determine that any trading instructions issued by such entities or any other
commodity trading advisor to the Partnership, violate established trading
policies of the Partnership (as described in paragraph 12 below), then the
General Partners may negate such trading instructions. The General Partners may,
in their sole discretion, select additional commodity trading advisors to direct
trading for the Partnership. The General Partners are further authorized, on
behalf of the Partnership, (i) to enter into the brokerage agreement and related
customer agreements with their affiliates, Cargill Investor Services, Inc. and
American Express Financial Advisors Inc., described in the Prospectus, pursuant
to which those firms will render brokerage services to the Partnership, (ii) to
cause the Partnership to pay brokerage commissions at the rates provided for in
the brokerage agreement, and National Futures Association, exchange, clearing,
delivery, insurance, storage, service and other fees and charges incidental to
the Partnership's trading and (iii) to receive an annual administrative fee
equal, in the case of IDS Futures Corporation, to 1.125% of the Partnership's
Net Asset Value on the first business day of each fiscal year and, in the case
of CIS Investments, Inc., to 0.25% of the Partnership's Net Asset Value on the
first business day of each fiscal year. The Partnership shall not pay brokerage
commissions to Cargill Investor Services, Inc. and American Express Financial
Advisors Inc. (exclusive of National Futures Association, exchange, clearing,
delivery, insurance, storage, service and other fees and charges incidental to
the Partnership's trading and outside the control of Cargill Investor Services,
Inc. and American Express Financial Advisors Inc.) or annual administrative fees
to the General Partners at rates higher than those established in the
Partnership's initial Prospectus for a period of 60 months from the date the
Partnership commences trading.
The Partnership shall not enter into any contract with the General Partners, any
of their affiliates, or any commodity trading advisor which has a term of more
than one year and which does not provide that it may be canceled by the
Partnership without penalty upon 60 days notice. No such contract between the
Partnership and the General Partners or any of their affiliates shall be
canceled by the General Partners or such affiliates without 60 days prior
written notice to the Limited Partners. The Partnership shall make no loans. No
person who shares or participates in commodity brokerage commissions may
receive, directly or indirectly, any management or incentive fees for trading
advice or trading management (provided, however, that this prohibition shall not
apply to the administrative fees payable to the General Partners); no broker of
the Partnership may pay, directly or indirectly, rebates or give-ups to any
commodity trading advisor of the Partnership or the General Partners.
The General Partners may take such actions on behalf of the Partnership as they
deem necessary or desirable to manage the business of the Partnership including,
but not limited to, the following: opening bank accounts; determining the
amounts and frequency of distributions to the Partners; calculating and paying,
or authorizing the payment of, distributions to the Partners and expenses of the
Partnership such as organization and offering expenses (including selling
commissions), management, administrative and incentive fees, brokerage
commissions, legal, auditing and accounting fees, printing fees, filing and
recording fees, and extraordinary expenses (which expenses shall be billed
directly to the Partnership); administering transfers and redemptions of Units;
filing reports required by any federal or state agency; executing various
documents on behalf of the Partnership and the Limited Partners pursuant to
powers of attorney; supervising the liquidation of the Partnership if an event
causing termination of the Partnership occurs; and investing or directing the
investment of the Partnership's funds not involving the purchase or sale of
commodity futures contracts or other commodity interests. The General Partners
may keep the Partnership's assets on deposit with Cargill Investor Services,
Inc. The Partnership will be credited by Cargill Investor Services, Inc., with
interest earned on 100% of the Partnership's average monthly Net Asset Value at
a rate equal to 90% of the average yield on 90-day U.S. Treasury bills issued
during that month. Cargill Investor Services, Inc. may retain for its own
account any incremental interest earned on the Partnership's assets in excess of
the amounts so credited to the Partnership. The General Partners shall have
fiduciary responsibility to the Partnership with respect to the safekeeping and
use of all funds and assets of the Partnership, whether or not
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in their immediate possession or control, and they shall not employ or permit
others to employ such funds and assets except as specifically provided herein in
any manner other than for the exclusive benefit of the Partnership. The General
Partners shall keep and retain, at the principal office of the Partnership, such
books and records relating to the business of the Partnership as are required by
state securities administrators and by the Commodity Exchange Act, as amended,
and the rules and regulations promulgated thereunder.
The General Partners may engage in other business activities and, subject to
this paragraph 5, shall not be required to refrain from any other activity nor
forego any profits from any such activity, including any activity as a commodity
broker, a commodity pool operator, or a commodity trading advisor of additional
commodity pools organized to trade in commodity interests.
The General Partners shall give notice to each Limited Partner within seven
business days from the effective date of: (i) any material change in contracts
with commodity trading advisors, including any change in advisors or any
modification in connection with the method of calculating the incentive fee;
(ii) any other material change affecting the compensation of any party.
Additionally, no decision shall be made by the General Partners to materially
adversely change the brokerage commission to Net Asset Value ratio until notice
is given to the Limited Partners and the Limited Partners are provided the
opportunity to redeem their Units in the Partnership. The General Partners shall
include with each such notification a description of the Limited Partners
redemption rights and voting rights, and a description of any material effect
such changes may have on the interests of the Limited Partners.
In reviewing the Partnership's brokerage arrangements, the General Partners
shall insure that the brokerage commissions represent the best price and
services available, taking into consideration, in particular, when the commodity
broker is an "affiliate" of a General Partner: (i) the size of the Partnership;
(ii) the commodity interest trading activity; (iii) the services provided by the
commodity broker, the General Partner or any affiliate thereof to the
Partnership; (iv) the cost incurred by the commodity broker, the General Partner
or any affiliate thereof in organizing and operating the Partnership and
offering Units; and (v) the overall costs to the Partnership.
No person dealing with the General Partners shall be required to determine their
authority to make any undertaking on behalf of the Partnership, nor to determine
any fact or circumstance bearing upon the existence of their authority.
CAPITAL STRUCTURE AND PARTNERSHIP FINANCES
6. NET WORTH OF GENERAL PARTNERS.
The General Partners agree that at all times after the admission of Limited
Partners to the Partnership pursuant to the public offering of the Partnership's
Units of Limited Partnership Interest described in paragraph 17 hereof, so long
as they remain General Partners of the Partnership, they will maintain together
Net Worth (as defined below) at least equal to (i) the lesser of $250,000 or 15%
of the aggregate capital contributions of any limited partnerships (including
the Partnership, if applicable) for which they shall act as general partners and
which are capitalized at less than $2,500,000, and (ii) 10% of the aggregate
capital contributions of any limited partnerships (including the Partnership, if
applicable) for which they shall act as general partners and which are
capitalized at greater than $2,500,000. For the purposes of this paragraph 6,
Net Worth shall be calculated in accordance with generally accepted accounting
principles, consistently applied, with all current assets valued at then current
fair market values, and may include promissory notes or stock subscriptions
issued to the General Partners by their respective parent corporations and shall
exclude any interest held by the General Partners in the Partnership or any
other limited partnership.
The requirements of the preceding paragraph may be modified in accordance with
the voting procedures set forth in paragraph 22, provided the General Partners
obtain an opinion of counsel for the Partnership that a proposed modification
will not adversely affect the classification of the Partnership as a partnership
for federal income tax purposes or result in a violation of the securities laws
of any states in which Units of Limited Partnership Interest are sold.
7. CAPITAL CONTRIBUTIONS AND PARTNERSHIP UNITS.
The General Partners shall purchase for their own account Units of General
Partnership Interest amounting to the greater of (i) 3% of the aggregate capital
contributions of the Partnership or $100,000, whichever is less, or (ii) 1% of
the aggregate capital contributions of the Partnership. Capital contributions by
the General Partners shall be credited to their capital accounts, when and as
paid. The General Partners and their affiliates may purchase Units
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of Limited Partnership Interest and shall share in all Partnership income,
gains, losses, deductions and credits to the extent of their interest in the
Partnership. The Units of General Partnership Interest representing the minimum
capital contribution of the General Partners may not be transferred or redeemed
so long as they act as General Partners.
Interests in the Partnership other than the general partnership interests of the
General Partners shall be Units of Limited Partnership Interest ("Units" or,
individually, a "Unit"). The initial Limited Partner, Wendell Halvorson, has
contributed $235 in cash to the capital of the Partnership in consideration for
one Unit. In accordance with the latest Prospectus of the Partnership from time
to time filed with the Securities and Exchange Commission pursuant to Rule 424
(the "Prospectus"), the Partnership may issue and sell Units to other persons.
The General Partners and their affiliates, including their directors, officers,
shareholders and employees (including representatives of American Express
Financial Advisors Inc., the Partnership's selling agent), and the Trading
Advisors, may purchase Units and such Units shall be included in determining
whether the initial $1,000,000 subscription requirement, as set forth in
paragraph 17 below, is met. The initial purchase price of each Units shall be
$250 to members of the public, and $235 for representatives and employees of
American Express Financial Advisors Inc. and certain of its corporate affiliates
during the offering of Units as specified in the initial Prospectus. Net
proceeds per Unit to the Partnership from any Units subsequently offered must
equal at least the Partnership's then current Net Asset Value per Unit (as
defined in paragraph 4(d) above). The Units need not be evidenced by
certificates.
8. MAINTENANCE OF CAPITAL ACCOUNTS; ALLOCATION OF PROFITS AND LOSSES.
(a) CAPITAL ACCOUNTS. A capital account shall be established for each Partner
and shall be maintained and adjusted in accordance with Treasury Regulation
Section 1.704(b)(2)(iv). The initial balance of each Partner's capital
account shall be the Partner's initial capital contribution to the
Partnership.
(b) MONTHLY ALLOCATIONS. The following determinations and allocations shall be
made:
(1)
The Net Asset Value shall be determined.
(2)
Any increase or decrease in Net Asset Value as of the end of the month
shall then be credited or charged to the Partners' capital accounts in the
ratio that the balance of each capital account bears to the balance of all
capital accounts.
(3)
The amount of any distribution to a Partner, the amount of any accrued but
unpaid incentive fees attributable to redeemed Units and the amount paid
to a Partner on redemption of Units shall be charged to that Partner's
capital account.
(c) ALLOCATION OF PROFIT AND LOSS FOR FEDERAL INCOME TAX PURPOSES. As of the end
of each fiscal year, Partnership profit or loss ("Profit and/or "Loss")
shall be allocated for federal income tax purposes among the Partners
pursuant to the following paragraphs. Allocations of Profit and Loss shall
be pro rata from net capital gain or loss and net ordinary income or loss
realized by the Partnership unless allocations of items of gain or income or
loss or expense are necessary to satisfy the requirements in paragraphs (bb)
and (dd) that sufficient Profit and Loss be allocated to allocation accounts
such that allocation accounts attributable to redeemed Units equal
distributions in redemption of such Units. Notwithstanding the foregoing
requirement that annual allocations of Profit and Loss be pro rata from
capital and ordinary income, gain, loss and expense, adjustments to such
allocations shall be made to reflect the extent to which income or expense
is otherwise determined and periodically allocated to the Partners, and such
periodic allocations and adjustments shall be determined in a manner that in
the judgment of the General Partners is consistent with the intent of this
Paragraph 8(c).
(1)
Partnership Profit and Loss shall be allocated as follows:
(aa) For the purpose of allocating Profit or Loss among the Partners,
there shall be established an allocation account with respect to each
Partner. The initial balance of each allocation account shall be the
amount paid to the Partnership for such Partner's Units. Allocation
accounts shall be adjusted as of the end of each fiscal year and as of
the date a Partner redeems any Units as follows:
(i) Each allocation account shall be increased by the amount of
Profit allocated to the Partner pursuant to paragraph (cc) below.
(ii) Each allocation account shall be decreased by the amount of
Loss allocated to the Partner pursuant to paragraph (ee) below and
by the amount of any distributions the Partner has received with
respect to his Units.
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(bb) Profit shall be allocated first to each Partner who has redeemed
any Units during the fiscal year up to the excess, if any, of the
amount received upon redemption of the basis over the allocation
account attributable on a pro rata basis to the redeemed Units.
(cc) Profit remaining after the allocation thereof pursuant to paragraph
(bb) shall be allocated next among all Partners whose capital accounts
are in excess of their allocation accounts (after the adjustments in
paragraph (bb)) in the ratio that each such Partner's excess bears to
all such Partners' excesses. In the event that gain to be allocated
pursuant to this paragraph (cc) is greater than the excess of all such
Partners' capital accounts over all such allocation accounts, the
excess will be allocated among all Partners in the ratio that each
Partner's capital account bears to all Partners' capital accounts.
(dd) Loss shall be allocated first to each Partner who has redeemed any
Units during the fiscal year up to the excess, if any, of the
allocation account attributable on a pro rata basis to the redeemed
Units over the amount received upon redemption of the Units.
(ee) Loss remaining after the allocation thereof pursuant to paragraph
(dd) shall be allocated next among all Partners whose allocation
accounts are in excess of their capital accounts (after the adjustments
in paragraph (dd)) in the ratio that each such Partner's excess bears
to all such Partners' excesses. In the event that loss to be allocated
pursuant to this paragraph (ee) is greater than the excess of all such
allocation accounts over all such Partners' capital accounts, the
excess loss will be allocated among all Partners in the ratio that each
Partner's capital accounts bears to all Partners' capital accounts.
(2)
In the event that a Unit has been assigned, the allocations prescribed by
this Paragraph (c) shall be made with respect to such Unit without regard
to the assignment, except that in the year of assignment the allocations
prescribed by this Paragraph (e) shall, to the extent permitted for
federal income tax purposes, be allocated between the assignor and
assignee using the interim closing of the books method.
(3)
The allocation for federal income tax purposes of Profit and Loss, as set
forth herein, is intended to allocate taxable profit and loss among
Partners generally in the ratio and to the extent that net profit and net
loss are allocated to such Partners under paragraph (b) hereof so as to
eliminate, to the extent possible, any disparity between a Partner's
capital account and his allocation account with respect to each Unit then
outstanding, consistent with the principles set forth in Section 704(c) of
the Internal Revenue Code of 1986, as amended (the "Code").
(d) DEFICIT BALANCES. Notwithstanding anything herein to the contrary, in the
event that at the end of any Partnership taxable year any Partner's capital
account is adjusted for, or such Partner is allocated, or there is distributed
to such Partner any item described in Treasury Regulation Section
1.704-1(b)(2)(ii)(d)(4), (5) or (6) in an amount not reasonably expected at the
end of such year, and such treatment creates a deficit balance in such Partner's
capital account, then such Partner shall be allocated all items of income and
gain of the Partnership for such year and for all subsequent taxable years of
the Partnership until such deficit balance has been eliminated. In the event
that any such unexpected adjustments, allocations or distributions create a
deficit balance in the capital accounts of more than one Partner in any
Partnership taxable year, all items of income and gain of the Partnership for
such taxable year and all subsequent taxable years shall be allocated among all
such Partners in proportion to their respective deficit balances until such
deficit balances have been eliminated. Upon the dissolution and termination of
the Partnership, each General Partner must contribute an amount equal to any
deficit balance in his capital account.
(e) REDEMPTIONS AND DISTRIBUTIONS. No Limited Partner shall have priority over
any other Limited Partner either as to return of cash contributions or as to
profits, losses or distributions.
(f) JUDGMENT OF GENERAL PARTNERS. Except with respect to matters as to which the
General Partners are granted discretion hereunder, the opinion of the
independent public accountants retained by the Partnership from time to time
shall be final and binding with respect to all computations and determinations
required to be made hereunder, provided, however, that if, in the event that any
computation or determination involves a choice of different alternatives, the
accountants making such computations and determinations shall be permitted to
rely upon the judgment of the General Partners. Notwithstanding any provision
herein to the contrary, if in the judgment of the General Partners, the
allocations for federal income tax purposes (i) shall not satisfy the
requirements of Section 704(b) of the Code or Regulations promulgated
thereunder, (ii) shall violate any other provision of the Code or Regulations or
(iii) shall not properly take into account any expenditure by, or receipt of,
the Partnership, the
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General Partners shall adjust the allocations accordingly. No adjustment made by
the General Partners pursuant to this paragraph 8(f) shall materially and
adversely affect the amount of cash which would otherwise be credited to a
Limited Partner, without his consent.
9. EXPENSES AND LIMITATION THEREOF.
IDS Financial Services Inc. (the "Selling Agent") was paid $15 for each Unit
sold by it to members of the public in the initial offering of Units, but no
selling commission shall be charged in connection with any sales of Units to
representatives and employees of IDS Financial Services Inc. and certain of its
corporate affiliates. The General Partners initially advanced all other
organization and offering expenses of the Partnership, including legal,
accounting, auditing, filing, registration and recording fees, printing expenses
and escrow charges. The General Partners were subsequently reimbursed by the
Partnership for advancing the Partnership's organization and offering expenses
prior to the commencement of trading by the Partnership. However, the General
Partners were entitled to any of the payments called for by this paragraph 9
only if subscriptions for at least $1,000,000 were received and accepted by the
General Partners, subject to a maximum reimbursement of such expenses, when
added to the selling commissions, equal to 15% of the value of the Units sold
prior to any reduction for selling commissions. The terms and provisions of this
Section 9 that pertain to the Partnership's original offering to the public
shall be superseded by the terms and provisions of the prospectus given to
investors in connection with any subsequent offering.
The Partnership's assets will be deposited in the Partnership's account with
Cargill Investor Services, Inc., the Partnership's clearing broker. Cargill
Investor Services, Inc. will credit the Partnership at month-end with interest
income on 100% of the Partnership's average monthly Net Asset Value at a rate
equal to 90% of the average yield on the 90 day U.S. Treasury Bills issued
during that month.
The General Partners shall each receive as compensation for acting as General
Partners an annual administrative fee equal, in the case of IDS Futures
Corporation, to 1.45% of the Partnership's Net Asset Value on the first business
day of each Partnership fiscal year and, in the case of CIS Investments, Inc.,
to 0.3% of the Partnership's Net Asset Value on the first business day of each
Partnership fiscal year.
After December 31, 1992, the annual administrative fee payable to IDS Futures
Corporation will be 1.125% of the Partnership's beginning Net Asset Value on the
first business day of each Partnership fiscal year, and the annual
administrative fee payable to CIS Investments, Inc. will be 0.25% of the
Partnership's Net Asset Value on the first business day of each Partnership
fiscal year.
Each General Partner shall share in all Partnership income, gain, losses,
deductions and credits to the extent of its interest in the Partnership. The
Partnership will pay its periodic operating expenses relating to legal,
accounting, auditing, printing, filing and recording fees; management and
incentive fees; brokerage commissions and any incidental trading charges
(including all delivery, insurance, storage, service or other charges paid to
third parties in connection with the Partnership's trading); extraordinary
expenses, and any items for which payment may be made by the Partnership as set
forth in paragraph 21. All of such expenses shall be billed directly to the
Partnership. The aggregate annual expenses of every character paid or incurred
by the Partnership, including management and advisory fees based on the
Partnership's Net Asset Value but excluding commodity brokerage commissions,
incentive fees, legal, audit and extraordinary expenses calculated at least
quarterly on a basis consistently applied, shall be reasonable but in no event
shall exceed 1/2 of 1% of Net Asset Value per month. Appropriate reserves may be
created, accrued and charged against the Partnership's assets for contingent
liabilities, if any, as of the date any such contingent liability becomes known
to the General Partners.
Additionally, the summation of the Administrative Fees and Administrative
Expenses, Brokerage Commissions and transaction fees and costs to be paid by the
Partnership, any Management Fee, any Advisory Fee, and any financial benefit
from interest income earned on Partnership assets in excess of the interest paid
to the Partnership shall total no more than 14% of the Partnership's Net Asset
Value available for trading and the Net Asset Value available for trading shall
not exceed 100% of the Partnership's Net Asset Value. The General Partners will
annually review the total of these expenses paid by the Partnership to ensure
that they do not exceed 14% of the Net Asset Value available for trading. Should
these expenses total more than 14% of the Net Asset Value available for trading,
the General Partners will pay and will not be reimbursed by the Partnership for
such excess.
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10. LIMITED LIABILITY OF LIMITED PARTNERS.
Each Unit, when purchased in accordance with this Agreement, shall be fully paid
and nonassessable. Any provisions of this Agreement to the contrary
notwithstanding, no Limited Partner shall be liable for the Partnership
obligations in excess of the capital contributed by him and profits attributable
thereto, if any, and such other amounts as he may be liable for pursuant to the
Act. If the Partnership were unable otherwise to meet its obligations, the
Limited Partners might be required to repay to the Partnership for a period of
one year after the return of a Limited Partner's capital contribution or any
part thereof such returned capital contribution, including profits, if any, any
distributions and amounts received upon redemption, and interest thereon, but
only to the extent necessary to discharge the Partnership's liabilities to
creditors who extended credit to the Partnership during the period such capital
contribution was held by the Partnership.
11. RETURN OF LIMITED PARTNER'S CAPITAL CONTRIBUTION.
Except to the extent that a Limited Partner shall have the right to withdraw
capital in accordance with paragraph 16 below, no Limited Partner shall have any
right to demand the return of his capital contribution or any profits added
thereto, except upon termination and dissolution of the Partnership. In no event
shall a Limited Partner be entitled to demand or receive property other than
cash.
The General Partners shall not be personally liable for the return or repayment
of all or any portion of the capital or profits of any Partner (or assignee), it
being expressly agreed that any such return of capital or profits made pursuant
to this Agreement shall be made solely from the assets (which shall not include
any right of contribution from the General Partners) of the Partnership.
CONDUCT OF THE PARTNERSHIP'S BUSINESS
12. TRADING POLICIES.
The Partnership shall adhere to the following trading policies:
(a) Funds will be invested only in futures contracts which are traded in
sufficient volume to permit, in the opinion of the Advisors to the Partnership,
ease of taking and liquidating positions. The Advisors may at any time determine
to expand or reduce the number of commodity interests traded by that portion of
assets under their respective control.
(b) No Advisor will acquire on behalf of the Partnership additional positions in
any commodity interest if such additional positions, when added to the existing
open positions initiated by the Advisor, would result in a net long or short
position for that commodity interest requiring as margin or premiums more than
15% of the Partnership assets allocated to that Advisor's management. For
purposes of implementing this policy, soybeans will be treated as one commodity
interest and soybean oil and soybean meal will be treated together as one
commodity interest.
(c) The Partnership will not normally be as highly leveraged as permitted in the
case of an investment by an individual. On the basis of information supplied by
the Advisors, the General Partners estimate that between 20% and 60% of the
Partnership's assets will normally be committed as initial margin (although the
percentage may be more or less than such range from time to time). To reduce the
Clearing Broker's risk, additional restrictions on the leverage of the
Partnership may be imposed by the Clearing Broker without notice at any time.
(d) No Advisor will acquire on behalf of the Partnership additional positions in
any commodity interest if such additional positions, when added to the existing
open positions initiated by the Advisor, would result in aggregate net long or
short positions (including any forward contracts) for all commodity interests
requiring as margin or premiums more than 66 2/3% of the Partnership's assets
allocated to that Advisor's management.
(e) The Partnership will not generally enter into an open position for a
particular commodity during a delivery month for that commodity. However, the
Partnership may occasionally make or accept delivery of a commodity. This may
occur because an Advisor's trading strategy may, from time to time, identify
certain trends which occur in delivery months which can be taken advantage of by
the Partnership. The Partnership may take delivery of a commodity and take a
corresponding short position in the commodity by selling futures contracts for
the commodity. The Partnership will not engage in cash commodity transactions,
except as indicated above, unless the cash position is hedged.
(f) The Partnership will not employ the trading technique, commonly known as
"pyramiding," in which the speculator uses unrealized profits on existing
positions as margin for the purchase or sale of additional positions in
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the same or a related commodity interest. However, the Advisors may take into
account the Partnership's open trade equity in assets of the Partnership in
determining whether to acquire additional commodity futures contracts on behalf
of the Partnership.
(g) The Partnership will not purchase, sell or trade in securities or write,
purchase, sell or trade in options to purchase or sell securities, commodity
futures contracts or physical commodities unless such options have been approved
for trading on a designated contract market by the CFTC. The Partnership may
trade in foreign options if permitted under the Commodity Exchange Act, as
amended, and CFTC regulations, but only when and to the extent authorized in
writing by the General Partners to the Advisors. The Partnership may trade in
futures contracts on securities.
(h) The Partnership will not generally utilize borrowings, except for short-term
borrowings where the Partnership takes delivery of any cash commodity or to the
extent that Cargill Investor Services, Inc., as the Partnership's clearing
broker, obtains lines of credit for the trading of forward contracts with banks.
The Partnership will not make any loans.
(i) The Advisors may, from time to time, employ trading techniques such as
spreads or straddles on behalf of the Partnership. The term "spread" or
"straddle" describes a transaction involving the simultaneous buying and selling
of commodity interests dealing with the same or different commodity interests
but involving different delivery dates or markets, and in which the trader
expects to earn profits from a widening or narrowing movement of the two prices
of the commodity interests.
(j) The Partnership may trade in futures contracts on foreign currencies through
foreign and domestic commodity exchanges, including the International Monetary
Market Division of the Chicago Mercantile Exchange. The Partnership may also
establish positions in foreign currencies through banks or in the interbank
market. Forward contracts on foreign currencies will be transacted only with
banks having in excess of $100,000,000 in combined capital and surplus. No
specific limitation on the percentage or amount of forward contracts, if any,
engaged in by the Partnership has been imposed.
(k) The Partnership's assets will not be commingled with the assets of any other
person; funds used to satisfy margin requirements will not be considered
commingled.
(l) No Advisor to the Partnership will be permitted to engage in churning the
assets of the Partnership.
(m) No rebates or give ups may be paid to or received by the General Partners,
nor may the General Partners participate in any reciprocal business arrangements
which could circumvent this prohibition, but retention of Cargill Investor
Services, Inc. to act as the Partnership's clearing broker and retention of
American Express Financial Advisors Inc. to act as the Partnership's introducing
broker shall not be deemed to violate this prohibition. The General Partners and
their affiliates shall not establish or participate in any reciprocal business
arrangements which would circumvent the restrictions against dealing with
affiliates or other interested parties, but this prohibition shall not be deemed
to prevent the Partnership from using the services of Cargill Investor Services,
Inc. as clearing broker or American Express Financial Advisors Inc. as
introducing broker.
Material changes in the trading policies described above must be approved by a
vote of a majority of the outstanding Units (not including Units held by the
General Partners or their corporate affiliates). A change in commodity interests
traded shall not be deemed to be a material change in the trading policies. If
the General Partners determine, in their sole discretion, using prudent business
judgment, that any trading instructions issued by the Partnership's Advisors
violate one of the Partnership's trading policies, the General Partners may
negate such trading instructions.
13. REPORTS AND STATEMENTS.
The General Partners, in their sole discretion, may cause the Partnership to
make, refrain from making or, once having made, revoke, the election referred to
in Section 754 of the Internal Revenue Code of 1986, as amended, and any similar
election provided by state or local law or any similar provision enacted in lieu
thereof. Each Limited Partner shall be furnished as of the end of each month and
as of the end of each fiscal year with (i) such reports (in such detail) as are
required to be given to Limited Partners by the rules of the Commodity Futures
Trading
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Commission, (ii) any other reports (in such detail) as are required by any other
governmental authority which has jurisdiction over the activities of the
Partnership; and (iii) any other reports or information which the General
Partners, in their discretion, determine to be necessary or appropriate. Each
Limited Partner shall be furnished an annual report containing audited financial
statements examined by an independent public accountant within 90 days after the
close of each fiscal year, setting forth, among other matters:
(a) The Net Asset Value of the Partnership and the Net Asset Value per Unit at
the end of the fiscal year or the total value of a Partner's interest in the
Partnership;
(b) the total amount of (i) management, administrative, and advisory fees, (ii)
brokerage commissions and fees for commodity and other investment transactions
during the fiscal year and (iii) all other expenses incurred or accrued by the
Partnership during the fiscal year;
(c) any change in the Partnership's commodity trading advisors or any material
change in the management of the Partnership's commodity trading advisors;
(d) any other material business dealings between the Partnership, the General
Partners, the commodity trading advisors, its commodity broker or any principal
of any of the foregoing;
(e) the actual performance of the Partnership during prescribed time periods;
(f) a statement of financial condition as of the close of the fiscal year and
preceding fiscal year;
(g) statements of income (loss), changes in financial position and changes in
partners' equity during the fiscal year and the previous fiscal year; and
(h) appropriate footnote disclosures and such further material information as
may be necessary to make the financial statements not misleading.
In addition to the annual report, the General Partners will furnish each Limited
Partner, within 30 days of the end of each month, with an account statement
(unaudited) covering such month, which statement shall contain generally the
same type of information set forth in the items (a)-(e) above. Each Limited
Partner shall also be notified within seven business days from the date of any
decline in the Net Asset Value per Unit to less than 50% of the Net Asset Value
per Unit since the last business day on which the Partnership's Net Asset Value
was calculated, and shall at that time be provided with a description of Limited
Partners' voting rights hereunder. The General Partners will also furnish each
Limited Partner with tax information not later than March 15 of each year in a
form which may be utilized in the preparation of income tax returns.
14. PARTNERSHIP RECORDS.
Proper books of account and records relating to the Partnership's business shall
be made and kept by the General Partners as required by the Commodity Exchange
Act, as amended, and the rules and regulations promulgated thereunder. Such
books and records shall be kept on an accrual basis. Limited Partners or their
duly authorized representatives may inspect and copy (upon payment of reasonable
reproduction costs) such books and records during normal business hours at the
Partnership's principal office. Upon request, copies of such books and records
will be sent to any Limited Partner if reasonable reproduction and distribution
costs are paid by such Limited Partner, or as otherwise required by the
Commodity Exchange Act, as amended, and the rules and regulations promulgated
thereunder.
ADMISSION AND WITHDRAWAL OF PARTNERS
15. TRANSFERS OF UNITS.
Subject to compliance with the suitability standards of the Partnership, federal
and state securities laws and the rules of any other applicable governmental
authority, Units may be assigned, transferred or disposed of at the election of
a Limited Partner upon written notice to the General Partners. No consent of the
General Partners is necessary. No assignment, transfer or disposition shall be
effective against the Partnership or the General Partners until the General
Partners receive the written notice described below. The assignee shall become a
substituted Limited Partner in the Partnership only upon the consent of the
General Partners (which consent may be granted or withheld at their sole
discretion). An assignee who becomes a substituted limited partner will be
subject to all of the rights and liabilities of the assigning limited partner.
An assignment of Units will not be permitted if, in the judgment of the General
Partners, such assignment may cause the partnership to be taxable under the
Internal Revenue Code as a corporation or an association rather than as a
partnership.
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The written notice of assignment shall specify the name and address of the
assignee, the date of assignment, shall include a statement by the assignee that
he agrees to give written notice to the General Partners upon any subsequent
assignment and shall be signed by the assignor (or his duly authorized
representative) and assignee. The General Partners may, in their sole
discretion, waive receipt of the above-described notice or waive any defect
therein. If an assignment, transfer or disposition occurs by reason of the death
of a Limited Partner or assignee, written notice of such assignment may be given
by the duly authorized representative of the estate of the Limited Partner or
assignee and shall be supported by such proof of legal authority and valid
assignment as may be reasonably requested by the General Partners. Neither the
estate nor any beneficiary of a deceased Limited Partner or assignee will have
any right to withdraw any capital or profits from the Partnership except by
redemption of Units. A substituted Limited Partner shall have all rights and
powers and shall be subject to all the restrictions and liabilities of his
assignor; provided, however, that a substituted Limited Partner shall not be
subject to those liabilities of which he was ignorant at the time he became a
substituted Limited Partner and which could not be ascertained from the
Certificate of Limited Partnership. Each Limited Partner agrees that with the
consent of the General Partners any assignee may become a substituted Limited
Partner without the further act or consent of any Limited Partner. Each Limited
Partner agrees that he has no right to consent to and will not consent to any
person or entity becoming a substituted Limited Partner, except as set forth in
the preceding sentence. If the General Partners withhold consent, an assignee
shall not become a substituted Limited Partner and shall not have any of the
rights of a Limited Partner, except that the assignee shall be entitled to
receive that share of capital or profits and shall have that right of redemption
to which his assignor would otherwise have been entitled. An assigning Limited
Partner shall remain liable to the Partnership as provided in the Act,
regardless of whether his assignee becomes a substituted Limited Partner.
16. REDEMPTION OF UNITS.
No redemptions are permitted during the first six months after an investor has
been first admitted to the Partnership. Thereafter, a Limited Partner (or any
assignee of Units whom the General Partners have received written notice as
described in paragraph 15 above) may withdraw from the Partnership all or any
part of his capital contributions and undistributed profits, if any, effective
as of the last trading day of any month. Redemption amounts may be designated
either in terms of a number of Units or an amount in dollars. The minimum
redemption amount, whether requested in terms of dollars or Units, is the lesser
of $500 or the Net Asset Value of two Units, unless the Limited Partner is
redeeming his entire interest in the Partnership. Redemptions may be obtained by
a Limited Partner by requiring the Partnership to redeem any or all of his Units
based on Net Asset Value per Unit, calculated as of the close of business (as
determined by the General Partners) on the effective date of redemption;
provided, that (1) there remains property of the Partnership sufficient to pay
all liabilities, contingent or otherwise, of the Partnership (except any
liability to Partners on account of their capital contributions) and (2) the
General Partners shall have timely received a Request for Redemption as
hereinafter defined. As used herein, Request for Redemption shall mean a letter
in the form specified by the General Partners sent by a Limited Partner (or any
assignee of whom the General Partners have received written notice as described
in paragraph 15 above) and received by the General Partners ten days prior to
the end of the month of the requested redemption. A form of Request for
Redemption may be obtained by written request to the General Partners. The
General Partners may declare additional redemption dates upon notice to the
Limited Partners. Upon redemption, a Partner (or any assignee of whom the
General Partners have received written notice as described above) shall receive
from the Partnership for each Unit redeemed an amount based on the Net Asset
Value per Unit, less any amount owing by such Partner (and assignees, if any) to
the Partnership. If redemption is requested by an assignee, all amounts owed by
the Partner to whom such Units was sold by the Partnership as well as all
amounts owed by all assignees who owned such Unit shall be deducted from the
amount paid to such assignee upon redemption of his Units. An assignee shall not
be entitled to redemption until the General Partners have received written
notice (as described in Paragraph 15 above) of the assignment, transfer or
disposition under which the assignee claims an interest in the Units to be
redeemed and shall have no claim against the Partnership or the General Partners
with respect to distributions or amounts paid on redemption of Units prior to
the receipt by the General Partners or such notice. Profits and losses shall be
allocated to Partners in proportion to their respective units and to their
respective dates of redemption in accordance with Section 8(b) hereof. The
Partnership's commodity positions will be liquidated to the extent necessary to
effect redemptions. Redemptions are contingent upon the Partnership having
property sufficient to discharge its liabilities (contingent or otherwise) on
the effective date of redemption. If the General Partners determine that
permitting the number of redemptions
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sought would be detrimental to the tax status of the Partnership, they may
restrict the number of redemptions to be permitted, and shall select by lot so
many redemptions as will not, in their judgment, impair the Partnership's tax
status.
After the 3-for-1 split of Units (as described in paragraph 17 hereof) occurs,
if the Net Asset Value per Unit (as defined in paragraph 4(a) hereof) decreases
below $125 (after adding back any distributions from the Partnership to the
Limited Partners), at the close of business on any trading day, the Partnership
will attempt to liquidate all open positions as expeditiously as possible and
suspend trading. Within ten business days after the date of any such suspension
of trading, the General Partners shall either give notice to the Limited
Partners of their intention to withdraw from the Partnership or shall declare a
special redemption date. Such special redemption date, if declared, shall be a
business day within 30 business days from the date of suspension of trading by
the Partnership, and the General Partners shall mail notice of such date to each
Limited Partner (and assignee of Units of whom they have notice pursuant to
paragraph 15 above) by first class mail, postage prepaid, not later than ten
business days prior to such special redemption date together with instructions
as to the procedure such Partner or assignee must follow to have his Units
redeemed on such date. Upon redemption pursuant to a special redemption date, a
Partner (or any assignee of whom the General Partners have received written
notice as described in paragraph 15 above) shall receive from the Partnership
for each Unit redeemed an amount equal to the Net Asset Value per Unit
determined as of the close of business on such special redemption date less any
amount owing by such Partner (and assignees, if any) to the Partnership. If
redemption is requested by an assignee, all amounts owed by the Partner to whom
such Unit was sold by the Partnership as well as all amounts owed by all
assignees who owned such Unit shall be deducted from the amount paid to such
assignee upon redemption of his Unit. An assignee shall not be entitled to
redemption until the General Partners have received written notice (as described
in paragraph 15 above) of the assignment, transfer or disposition under which
the assignee claims an interest in the Units to be redeemed. If, after such
special redemption date, the Partnership's Net Asset value is at least $500,000,
the Partnership will resume trading, unless the General Partners elect to
withdraw from the Partnership.
Payment will be made within ten business days after the effective date of
redemption or special date of redemption, except that under special
circumstances, including but not limited to inability to liquidate commodity
positions as of the effective date of redemption (including any special
redemption date) or default or delay in payments due the Partnership from
commodity brokers, banks or other persons, the Partnership may in turn delay
payment to Partners requesting redemption of Units of the proportionate part of
the Net Asset Value of the Units represented by the sums which are the subject
of such default or delay.
The General Partners may require any subscriber which is an employee benefit
plan subject to Title I of the Employee Retirement Income Security Act of 1974
to withdraw in whole or in part from the Partnership through redemption of its
Units if such withdrawal, in the General Partners' sole good faith judgment, is
necessary to avoid violation by the Partnership and/or Limited Partners which
are employee benefit plans of applicable provisions of such statute.
17. OFFERING OF UNITS OF LIMITED PARTNERSHIP INTEREST.
The General Partners on behalf of the Partnership shall (i) cause to be filed a
registration statement or registration statements, and such amendments thereto
as the General Partners deem advisable, with the Securities and Exchange
Commission for the registration and public offering of Units, (ii) qualify Units
for sale under the securities laws of such States of the United States or other
jurisdictions as the General Partners shall deem advisable and (iii) take such
action with respect to the matters described in (i) and (ii) as it shall deem
advisable or necessary. The expenses of the Partnership in connection with such
filings, qualifications and offerings, other than selling commissions, shall be
advanced by the General Partners, but the Partnership will subsequently
reimburse the General Partners for such expenses out of the proceeds of the
offering. The terms and provisions of this Section 17 that pertain to the
Partnership's original offering to the public shall be superseded by the terms
and provisions of the prospectus given to investors in connection with any
subsequent offering.
The General Partners are authorized to take such action and make such
arrangements for the sale of the Units as they deem appropriate, including
without limitation (i) the execution on behalf of the Partnership of a selling
agreement appointing American Express Financial Advisors Inc. as agent of the
Partnership for the offer and sale of the Units during the offering period as
contemplated in a prospectus and appointing American Express Financial Advisors
Inc. as the Fund's introducing broker, and (ii) the indemnification of American
Express Financial Advisors Inc. and John W. Henry & Co., Inc. and Sabre Fund
Management Limited (the Partnership's initial Advisors) and
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each person controlling them against certain liabilities incurred in connection
with the issuance and sale of the Units. The General Partners will keep copies
of all subscription agreements (including suitability records) signed by Limited
Partners in connection with public offerings of Units for a period of six years.
If the Partnership shall not have obtained during the period of its initial
public offering of the Units subscriptions representing an aggregate offering
price of $1,000,000 this Agreement shall terminate, and all capital contributed
to the Partnership shall be promptly returned to the contributors thereof. In
addition, any interest which shall have accrued (from the time of deposit of
each subscription to the time such funds are released by the Escrow Agent
referred to below) shall be promptly distributed to such contributors. The
General Partners and officers, directors, shareholders and employees of Cargill
Investor Services, Inc. and American Express Financial Advisors Inc., may
subscribe for Units and any such subscriptions shall be included in determining
whether the minimum subscription requirement is met. All initial subscriptions
will be held in escrow by the Marquette Bank Minneapolis, N.A. (the "Escrow
Agent"). The Partnership shall not commence trading operations unless and until
the General Partners have accepted subscriptions for Units representing an
aggregate offering price of $1,000,000 pursuant to the Partnership's initial
public offering of Units. The allocable portion of any interest earned on each
subscription shall be distributed to each subscriber. The General Partners may
terminate any offering of Units at any time. The aggregate of all capital
contributions shall be available to the Partnership to carry on its business,
and no interest shall be paid by the Partnership on any such contributions after
such contributions are released by the Escrow Agent.
All Units subscribed for upon receipt of a check or draft of the subscriber are
issued subject to the collection of the funds represented by such check or
draft. In the event a check or draft of a subscriber for Units representing
payment for Units is returned unpaid, the Partnership shall cancel the Units
issued to such subscriber represented by such returned check or draft and the
General Partners shall file an amendment, if required, to the Partnership's
Certificate of Limited Partnership reflecting such cancellation. Any losses or
profits sustained by the Partnership in connection with the Partnership's
commodity trading allocable to such canceled Units shall be deemed an increase
or decrease in Net Asset Value and allocated among the remaining partners as
described in paragraph 8 above. Each subscriber agrees to reimburse the
Partnership for any expenses or losses incurred in connection with any such
cancellation of Units issued to him.
As of the close of business on February 28, 1995, regardless of whether Units
are then being offered, each Unit shall be divided into three Units, each of
which shall have Net Asset Value per Unit equal to one-third the Net Asset Value
per Unit on that date prior to such division. The resulting Net Asset Value per
Unit will constitute the Net Asset Value per Unit thereafter.
18. ADMISSION OF ADDITIONAL PARTNERS.
At any time the General Partners may, in their sole discretion and subject to
applicable law, admit additional Limited Partners, each of which newly admitted
Limited Partner shall contribute cash to the capital of the Partnership for each
Unit of Limited Partnership Interest to be acquired in at least the minimum
amount specified in paragraph 7. Pursuant to paragraph 15, the General Partners
may consent to and admit any assignee of Units as a substituted Limited Partner.
There is no limit on the total number of Units which may be outstanding.
19. POWER OF ATTORNEY.
Each Limited Partner, by the execution of this Agreement, whether by counterpart
or separate instrument, does irrevocably constitute and appoint the General
Partners his true and lawful attorneys and agents, with full power of
substitution and with full power and authority in his name, place and stead, to
admit additional Limited Partners, to file, prosecute, defend, settle or
compromise any and all actions at law or suits in equity for or on behalf of the
Partnership with respect to any claim, demand or liability asserted or
threatened by or against the Partnership, and to execute, acknowledge, swear to,
deliver, file and record in the appropriate public offices and publish (i) all
certificates and other instruments (including counterparts of this Agreement)
which the General Partners deem appropriate to qualify or continue the
Partnership as a limited partnership in the jurisdictions in which the
Partnership may conduct business or which may be required to be filed by the
Partnership under the laws of any jurisdiction; (ii) all instruments which the
General Partners deem appropriate to reflect a change or modification of the
Partnership in accordance with the terms of this Agreement relating to the
Partnership or any amendment thereto; (iii) all conveyances and other
instruments which the General Partners deem appropriate to reflect the
dissolution and termination of the Partnership; and (iv) certificates of assumed
name. The Power of Attorney granted herein shall be irrevocable and deemed to be
a power coupled with an interest and shall survive
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the incapacity or death of a Limited Partner. Each Limited Partner hereby agrees
to be bound by any representation made by the General Partners and by any
successor thereto, acting in good faith pursuant to such Power of Attorney. Each
Limited Partner agrees to execute a special Power of Attorney on a document
separate from this Agreement. In the event of any conflict between this
Agreement and any instruments filed by the General Partners pursuant to the
Power of Attorney granted in this paragraph 19, this Agreement shall control.
20. WITHDRAWAL OF A PARTNER.
The Partnership shall terminate and be dissolved upon the withdrawal of the
General Partners. A General Partner may withdraw from the Partnership at any
time on 120 days' written notice by first class mail, postage prepaid to each
Limited Partner. If the Limited Partners or the remaining General Partner elect
to continue the Partnership, the withdrawing General Partner shall pay all
expenses incurred as a result of its withdrawal. The withdrawing General Partner
shall cease to be a General Partner as of the day of such withdrawal, and shall
then receive a return of its capital plus any portion of compensation as a
General Partner accrued and owing to it at such time.
If any of the events specified below occurs in regard to a General Partner, the
General Partner shall be considered to have submitted a notice of withdrawal
from the Partnership as of the date of the occurrence of such event:
(a) any levy or attachment by a creditor on or by any person claiming a lien on
any material interest of the General Partner if such levy or attachment is not
cured within 10 days;
(b) any assignment by the General Partner of any interest for the benefit of
creditors;
(c) any voluntary filing by the General Partner, or filing by another against
the General Partner, of any petition for adjudication of such General Partner as
insolvent or bankrupt;
(d) any use of any insolvency or similar act by the General Partner;
(e) any filing by the General Partner of a petition for reorganization or
arrangement under any provision of state or federal bankruptcy laws then in
force and effect;
(f) any appointment in any insolvency proceeding of any receiver or trustee for
the General Partner or any material portion of the General Partner's property;
(g) any adjudgement of bankruptcy or insolvency, or entry of an order for relief
in any bankruptcy or insolvency proceeding;
(h) the filing of any petition for, or consent to, any of the foregoing by the
General Partner or the filing of an answer or other pleading admitting or
failing to contest material allegations contained in a petition filed against it
in any proceeding of such nature.
Unless written consent from all Limited Partners is obtained permitting a
General Partner to continue to act in that capacity, a General Partner shall be
considered to have submitted a notice of withdrawal if 120 days after the
commencement of any proceeding against it seeking reorganization, arrangement,
composition, readjustment, liquidation, dissolution, or similar relief under any
statute, law or regulation such proceeding has not been dismissed, or if within
90 days after the appointment without its consent or acquiescence of a trustee,
receiver or liquidator of the General Partner or all or any substantial part of
its properties, the appointment is not vacated or stayed, or within 90 days
after the expiration of any such stay, the appointment is not vacated.
A Limited Partner will cease to be a Partner upon redemption or assignment of
all of his Units. The death, legal disability, withdrawal, insolvency or
dissolution of a Limited Partner shall not terminate or dissolve the Partnership
and such Limited Partner, his estate, custodian or personal representative shall
have no right to withdraw or value such Limited Partner's interest in the
Partnership except as provided in paragraph 16 above. Each Limited Partner (and
any assignee of a Limited Partner's interest) expressly agrees that, in the
event of his death, he waives on behalf of himself and his estate and any person
interested therein to waive, the furnishing of any inventory, accounting or
appraisal of the assets of the Partnership and any right to an audit of the
Partnership other than those expressly granted or established in paragraph 13.
INDEMNIFICATION
21. INDEMNIFICATION.
(a) A General Partner and its Affiliates, shall bear no liability to the
Partnership or to any Limited Partner for any loss suffered by the Partnership
which arises out of any action or inaction of the General Partner or its
Affiliates if
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such action or inaction did not constitute negligence or misconduct of the
General Partner or its Affiliate and if the General Partner or its Affiliate, in
good faith, determined that its course of conduct for which exculpation is
sought was in the best interest of the Partnership, and if the General Partner
or its Affiliate was acting on behalf of or performing services for the
Partnership and wholly within the scope of authority of the General Partner.
(b) A General Partner and its Affiliates, may be indemnified by the Partnership,
but only out of the assets of the Partnership and not from the assets of the
Limited Partners, against expenses, including attorney's fees, judgments and
amounts paid in settlement, actually and reasonably incurred by the General
Partner or such Affiliates in connection with the Partnership provided that such
expense were not the result of negligence or misconduct on the part of the
General Partner or its Affiliate, the General Partner or its Affiliate
determined in good faith that its course of conduct was in the best interests of
the Partnership, and the General Partner or its Affiliate was acting on behalf
of or performing services for the Partnership and wholly within the scope of
authority of the General Partner. The Partnership shall not advance Partnership
funds to a General Partner or any of its Affiliates for legal expenses and other
costs incurred as a result of any legal action brought against the General
Partner or its Affiliate.
(c) Notwithstanding subparagraph (a) and subparagraph (b) of this paragraph 21,
the General Partner and its Affiliates and any person acting as a broker-dealer
shall not be indemnified for any losses, liabilities or expenses arising from or
out of an alleged violation of federal or state securities laws unless (1) there
has been a successful adjudication on the merits of each count involving alleged
securities law violations as to the particular indemnitee, or (2) such claims
have been dismissed with prejudice on the merits by a court of competent
jurisdiction as to the particular indemnitee, or (3) a court of competent
jurisdiction approves a settlement of the claims against a particular indemnitee
and finds that indemnification of the settlement and related costs should be
made.
(d) In any claim for indemnification for federal or state securities law
violations, the party seeking indemnification shall place before the court the
positions of the Securities and Exchange Commission and the Massachusetts
Securities Division, and the position of any state regulatory authority where
partnership interests were offered or sold with respect to the issue of
indemnification for securities law violations.
(e) For purposes of this Paragraph 21 an Affiliate is: any person owning or
controlling, directly or indirectly, either General Partner or who is under
common control with a General Partner, and any officer or director of either
General Partner, and each affiliate may be entitled to exculpation or
indemnification under this Paragraph 21 in circumstances in which such Affiliate
is being sued for an act of such General Partner solely because of its
relationship to the General Partner, or in circumstances in which such person is
actually performing the duties of the General Partner in regard to the
Partnership.
(f) The Partnership shall not incur the cost of that portion of any liability
insurance which may insure either General Partner and its Affiliates who are
performing services on behalf of the Partnership for any liability as to which
such person is prohibited from being indemnified hereunder.
GOVERNANCE OF THE PARTNERSHIP
22. AMENDMENTS AND MEETINGS.
(a) AMENDMENTS PROPOSED BY THE GENERAL PARTNERS. If at any time during the term
of the Partnership the General Partners shall deem it necessary or desirable to
amend this Agreement, such amendment shall be effective only if embodied in an
instrument signed by the General Partners and by Limited Partners owning more
than fifty percent (50%) of the Units then owned by the Limited Partners (not
including any Units held by the General Partners or their corporate affiliates)
and if made in accordance with and to the extent permissible under the Act. For
purposes of obtaining a written vote, the General Partners may require response
within a specified time with respect to amendments proposed by them. Any such
supplemental or amendatory agreement shall be adhered to and have the same
effect from and after its effective date as if the same had originally been
embodied in and formed a part of this Agreement; provided, however, that no such
supplemental or amendatory agreement shall change or alter this paragraph 22,
extend the term of the Partnership, change the Partnership to a general
partnership, change the liability or reduce the capital account of any Partner
or modify the percentage or profits, losses or distributions to which any
Partner is entitled. In addition, reduction of the capital account of any
assignee or modification of the percentage of profits, losses or distributions
to which an assignee is entitled hereunder shall not be effected by amendment or
supplement to this Agreement without such assignee's consent.
The General Partners may amend this Agreement without the consent of the Limited
Partners in order: (i) to clarify any inaccuracy, ambiguity or reconcile any
inconsistency; (ii) to add to the representations, duties or
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obligations of the General Partners or surrender any right or power of the
General Partners for the benefit of the Limited Partners; (iii) to delete or add
any provision of this Agreement required to be deleted or added by the staff of
the Securities and Exchange Commission or other federal agency or any state
securities official or similar official or in order to opt to be governed by any
amendment or successor statute to the Act; (iv) change the name of the
Partnership or the location of the principal place of business of the
Partnership; (v) change this Agreement in any manner that is appropriate or
necessary to qualify or maintain the qualification of the Partnership as a
limited partnership or a partnership in which the Limited Partners have limited
liability under the laws of any state or that is appropriate or necessary to
ensure that the Partnership will not be treated as an association taxable as a
corporation for federal income tax purposes; (vi) change this Agreement in any
manner that does not adversely affect the Limited Partners in any material
respect or that is required or contemplated by other provisions of this
Agreement; (vii) make any amendment that is appropriate or necessary, in the
opinion of the General Partners, to prevent the Partnership or the General
Partners or their directors or officers from in any manner being subjected to
the provisions of the Investment Company Act of 1940, as amended, the Investment
Advisers Act of 1940, as amended, or "plan asset" regulations adopted under
ERISA, regardless of whether substantially similar to plan asset regulations
currently applied or proposed by the United States Department of Labor; or
(viii) make any other amendment similar to the foregoing; provided, that no such
amendment will be adverse to the interests of the Limited Partners.
(b) MEETINGS; AMENDMENTS PROPOSED BY THE LIMITED PARTNERS. Upon payment of the
costs of reproduction and mailing, any Limited Partner upon written request
addressed to the General Partners shall be entitled to obtain from the General
Partners a list of the names and addresses of record of all Limited Partners and
the number of Units held by each; provided, however, that any Limited Partner
requesting such list shall give written assurance that the list will not in any
event be used for commercial purposes. In addition, such list will be made
available at the Partnership's principal office for the review of any Limited
Partner or his representative at reasonable times. Upon receipt of a written
request, signed by Limited Partners owning at least 10% of the Units then owned
by Limited Partners, that a meeting of the Partnership be called to vote upon
any matter which the Limited Partners may vote upon pursuant to this Agreement,
the General Partners shall, by written notice to each Limited Partner of record
delivered in person or by certified mail, within fifteen days after such
receipt, call a meeting of the Partnership. Such meeting shall be held at least
thirty but not more than fifty days after the mailing of such notice, and such
notice shall specify the date, a reasonable place and time, and the purpose of
such meeting. Partners may vote in person or by proxy at any such meeting. At
any meeting called pursuant to this subparagraph 22(b), upon affirmative vote
(which may be in person or by proxy) of Limited Partners owning more than 50% of
the Units then owned by the Limited Partners (not including any Units held by
the General Partners or their corporate affiliates), the following actions may
be taken: (i) this Amended and Restated Limited Partnership Agreement may be
amended in accordance with and only to the extent permissible under the Act;
provided, however, that no amendment shall alter this paragraph 22, extend the
term of the Partnership, change the Partnership to a general partnership, change
the liability or reduce the capital account of any Partner or modify the
percentage of profits, losses or distributions to which any Partner is entitled
(in addition, reduction of the capital account of any assignee or modification
of the percentage of profits, losses or distributions to which an assignee is
entitled hereunder shall not be effected by amendment or supplement to this
Agreement without such assignee's consent); (ii) the Partnership may be
dissolved; (iii) the General Partners may be removed; (iv) a successor (or
successors) general partner may be elected as long as the Partnership continues
to have one General Partner, provided that the election of a general partner at
a time when there is no remaining General Partner, after an event of withdrawal
or removal of the last remaining General Partner, may only be conducted in
accordance with the Act; (v) a new general partner or general partners may be
elected if the General Partners elect to withdraw from the Partnership,
provided, that the appointment of the new general partner(s) is effective as of
the date of any such withdrawal; (vi) any contracts with the General Partners or
any of their affiliates may be terminated on sixty days notice without penalty;
and (vii) the sale of all the assets of the Partnership may be approved.
(c) PROXY RULES. In the event the Partnership is required to comply with
Regulation 14A under the Securities Exchange Act of 1934 (the "proxy rules") or
any successor regulation, the foregoing time periods specified in this paragraph
22 may be altered by the General Partners so as not to conflict therewith.
23. GOVERNING LAWS.
The validity and construction of this Agreement shall be governed by and
construed by the laws of the State of Delaware without regard to principles of
conflicts of law; provided, that the foregoing choice of law shall not restrict
the application of any state's securities laws to the sale of Units to its
residents or within such state.
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24. MISCELLANEOUS
(a) NOTICES. All notices or other communications required or permitted to be
given pursuant to this Agreement shall be in writing and shall be considered as
properly given or made if mailed postage prepaid, or if telegraphed, by prepaid
telegram, and addressed, if to IDS Managed Futures, L.P. c/o CIS Investments,
Inc., and IDS Futures Corporation, 233 South Wacker Drive, Suite 2300, Chicago,
Illinois 60606, and if to a Limited Partner, to the address set forth above such
Limited Partner's signature on the signature page annexed hereto. Any Limited
Partner may change his address by giving notice in writing to the General
Partners stating his new address, and the General Partners may change their
address by giving such notice to all Partners. Commencing on the tenth day after
the giving of such notice by any Limited Partner or the General Partners, such
newly designated address shall be such Partner's address for the purpose of all
notices or other communications required or permitted to be given pursuant to
this Agreement.
(b) BINDING EFFECT. This Agreement shall inure to and be binding upon all of the
parties, their successors and assigns, custodians, estates, heirs and personal
representatives. For purposes of determining the rights of any Partner or
assignee hereunder, the Partnership and the General Partners may rely upon the
Partnership records as to who are Partners and assignees and all Partners and
assignees agree that their rights shall be determined and that they shall be
bound thereby.
(c) HEADINGS. Paragraph headings in no way define, extend or describe the scope
of this Agreement or the effect of any of its provisions.
(d) COUNTERPARTS. This Agreement may be executed in multiple counterparts, each
of which shall be deemed an original but all of which shall constitute one
instrument.
CIS INVESTMENTS, INC.
General Partner
By:/s/ Hal T. Hansen
President
IDS FUTURES CORPORATION
General Partner
By:/s/ Janis E. Miller
President
FOR THE LIMITED PARTNERS:
CIS INVESTMENTS, INC.
As Attorney-in-Fact
By:/s/ Hal T. Hansen
President
IDS FUTURES CORPORATION
As Attorney-in-Fact
By:/s/ Janis E. Miller
President
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IDS MANAGED FUTURES, L.P.
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EXHIBIT B
IDS MANAGED FUTURES, L.P.
SUBSCRIPTION REQUIREMENTS
The purchase of Units of Limited Partnership Interest in IDS Managed Futures,
L.P. may be made only by persons who have (i) a net worth of at least $150,000
(exclusive of home, furnishings and automobiles) or (ii) a net worth (similarly
calculated) of at least $45,000 and a minimum annual gross income of at least
$45,000. Residents of certain states in which Units may be qualified for sale
may be subject to greater net worth (similarly calculated), annual income and
other financial requirements. See "Suitability Requirements," below.
Purchaser represents (for Purchaser, and if Purchaser is an entity, on behalf of
and with respect to each of Purchaser's shareholders, partners or beneficiaries)
by executing and delivering the Partnership's Subscription Agreement and Power
of Attorney, that he/she meets the financial requirements applicable to his/her
state of residence and that he/she is of legal age to execute this Agreement. If
Purchaser no longer meets such financial requirements, or if any other
information provided in connection with this subscription becomes inaccurate,
prior to his/her admission to the Partnership as a limited partner, he/she will
immediately notify the General Partners. Purchaser is urged to review carefully
the responses, representations and warranties he/she is making herein and in the
Subscription Agreement and Power of Attorney. Purchaser agrees that this
subscription may be accepted or rejected in whole or in part by CIS Investments,
Inc. and IDS Futures Corporation (the "General Partners") in their sole and
absolute discretion. Purchaser certifies that he/she has received a Prospectus
of the Partnership dated . Purchaser acknowledges that the
representations and warranties herein are made through the Partnership's
Subscription Agreement and Power of Attorney to, and may be relied upon by, the
Partnership, the General Partners, and the Selling Agent.
Purchaser should read the following notices: (a) he/she can lose his/her entire
investment in the Partnership; (b) there is no assurance that the Partnership
will have results similar to the past performance of the Trading Advisors or the
Partnership (see the captions "The General Partners--Past Performance of the
General Partners" and "Trading Advisors--Past Performance" in the Prospectus);
(c) CIS Investments, Inc., a General Partner, is a wholly-owned subsidiary of
Cargill Investor Services, Inc., the Partnership's clearing broker, and IDS
Futures Corporation, a General Partner, is an affiliate of American Express
Financial Advisors, Inc., the Partnership's selling agent and introducing
broker, and conflicts of interest therefore exist (see the captions "Conflicts
of Interest," and "Fiduciary Responsibility of the General Partners" in the
Prospectus); (d) Cargill Investor Services, Inc., the Partnership's clearing
broker, and American Express Financial Advisors Inc., the Partnership's
introducing broker, will receive, pursuant to the brokerage agreement described
in the Prospectus, substantial brokerage commissions from the Partnership which
will exceed the lowest such rates which are otherwise available (see the caption
"Conflicts of Interest" in the Prospectus); (e) the redemption of Units is
restricted (see the caption "Redemptions" in the Prospectus), he/she will have
no right to demand distributions from the Partnership and the transferability of
Units is also restricted; (f) investment in the Partnership and trading in
commodity interests have certain special federal income tax aspects and that
he/she should seek such advice from qualified sources (e.g., attorneys or
accountants) as he/she deems necessary; (g) the data in the tables under "The
General Partners--Past Performance of the General Partners" and "Trading
Advisors--Past Performance" in the Prospectus should be read only in conjunction
with the Notes accompanying such tables, and that such data should not be
interpreted to mean that the Partnership will have performance results similar
to those reported in the future or that it will realize any profits; and (h) the
Partnership has entered into an advisory agreement with John W. Henry & Co.,
Inc. and Sabre Fund Management Limited as the Partnership's commodity trading
advisors and with American Express Financial Advisors Inc. and Cargill Investor
Services, Inc. as the Partnership's introducing and clearing brokers,
respectively.
Purchaser also agrees by delivering the Partnership's Subscription Agreement and
Power of Attorney that he/she shall become a limited partner, and he/she hereby
agrees to each and every term of the Limited Partnership Agreement as if his/her
signature were subscribed thereto. The General Partners, as the Purchaser's
Attorneys-in-Fact, may subscribe his/her name to the Certificate of Limited
Partnership and the Limited Partnership Agreement.
SPECIAL REQUIREMENTS FOR EMPLOYEE PENSION PLANS OR INDIVIDUAL RETIREMENT
ACCOUNTS.
In addition to all of the foregoing representations, acknowledgements, and
agreements, any subscriber to the Partnership which is a trust or other entity
established to fund an employee benefit plan subject to the fiduciary
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IDS MANAGED FUTURES, L.P.
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provisions of Title I of the Employee Retirement Income Security Act of 1974
("ERISA") or of Section 4975 of the Internal Revenue Code ("Code") also makes
through the Partnership's Subscription Agreement and Power of Attorney the
representations and agreements enumerated below.
Plans subject to ERISA generally include all funded retirement or deferred
compensation plans, whether or not qualified for tax purposes (including Keogh
plans and IRAs), and certain types of funded fringe benefit plans (such as
VEBAs). All employee benefit plans will be assumed to be subject to ERISA unless
the plan demonstrates to the satisfaction of CIS Investments, Inc. and IDS
Futures Corporation, the General Partners, that it is exempt.
For all such entities, the Subscription Agreement and Power of Attorney must be
executed by a "named fiduciary" of the plan (as defined by Section 402(a)(2) of
ERISA), who has the authority under the terms of the plan to authorize an
investment in IDS Managed Futures, L.P. Generally, the named fiduciary must be a
trustee of the trust, unless authority to direct trust investments has been
delegated to another named fiduciary or to an investment manager pursuant to
Section 403(a) of ERISA. Execution of the Subscription Agreement and Power of
Attorney by the employer maintaining the plan is not sufficient unless such
employer is also a named fiduciary.
The person executing the Fund's Subscription Agreement and Power of Attorney on
behalf of a subscribing plan (the "Plan"), in consideration of the Plan being
permitted to acquire interests in IDS Managed Futures, L.P., a Delaware limited
partnership, agrees by executing its Subscription Agreement and Power of
Attorney to the following terms and conditions, which terms and conditions shall
be treated as though incorporated in the Subscription Agreement and Power of
Attorney of the Plan of such date herewith, and shall be in addition to and
shall not supersede the terms and conditions set forth therein.
1. The undersigned hereby represents and warrants as follows:
(a) The undersigned is either a named fiduciary of the Plan (as defined in
Section 402(a)(2) of ERISA) or an investment manager of the Plan (as defined
in Section 3(38) of ERISA) with full authority under the terms of the Plan and
full authority from all Plan beneficiaries, if required, to cause the Plan to
invest in the Partnership, to execute the Subscription Agreement and Power of
Attorney in favor of CIS Investments, Inc. and IDS Futures Corporation, as
general partners of IDS Managed Futures, L.P. Such investment has been duly
approved by all other named fiduciaries whose approval is required, if any,
and is not prohibited or restricted by any provisions of the Plan or of any
related instrument.
(b) As a named fiduciary or investment manager, the undersigned has
independently determined that the investment by the Plan in the Partnership
satisfies all requirements of Section 404(a)(1) of ERISA, specifically
including the "prudent man" standard of Section 404(a)(1)(B) and the
"diversification" standard of Section 404(a)(1)(C), and will not be prohibited
under any of the provisions of Section 406 of ERISA or of Section 4975(c)(1)
of the Code. The undersigned has requested and received all information from
the General Partners which it, after due inquiry, considered relevant to such
determinations. In determining that the requirements of Section 404(a)(1) are
satisfied, the undersigned has taken into account the fact that the
Partnership was not specifically designed as an investment vehicle for
employee benefit plans, and will not be administered with the requirements of
such plans in mind. Specifically, the undersigned has taken into account the
facts that (i) there is a substantial risk of a complete loss of the Plan's
investment; and (ii) an investment in the Partnership will be illiquid, except
for certain redemption rights, and funds so invested will not be readily
available for the payment of employee benefits. Taking these factors, and all
other factors relating to the Partnership into account, the undersigned has
concluded that investment in the Partnership constitutes an appropriate part
of the Plan's overall investment program.
2. The undersigned hereby agrees that he/she or it will notify the General
Partners, in writing, of (a) any termination, substantial contraction, merger or
consolidation of the Plan, or transfer of its assets to any other plan, (b) any
amendment to the Plan or any related instrument which materially affects the
investments of the Plan or the authority of any named fiduciary or investment
manager to authorize Plan investments; and (c) any alteration in the identity of
any named fiduciary or investment manager, including itself, who has the
authority to approve Plan investments.
3. It is the understanding of the Plan and the undersigned that the General
Partners will not, as a result of the Plan's investment in the Partnership, be
considered fiduciaries of the Plan as defined in Section 3(21) of ERISA. If,
however, a General Partner or any officer, employee, or agent of the General
Partners is ever held to be a fiduciary, it is agreed that, in accordance with
the provisions of Sections 402(c)(1), 405(b)(1), 405(c)(2), and 405(d) of ERISA,
that the fiduciary responsibilities of such person shall be limited to his or
its duties in administering the business of the Partnership, and he, she or it
shall not be responsible for any other duties with respect to the Plan
(specifically
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IDS MANAGED FUTURES, L.P.
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including evaluating the initial or continued appropriateness of the Plan's
investment in the Partnership under Section 404(a)(1) of ERISA). The undersigned
hereby further agrees that he, she or it will indemnify and hold harmless any
such person against any liability asserted against such person under Section 409
of ERISA or any tax assessed against such person under Section 4975 of the Code,
including costs and attorneys' fees reasonably incurred in defending against
such liability, and any additional tax imposed on such person by reason of
payments made pursuant to such indemnity.
4. It is further understood by the Plan and the undersigned that, anything else
contained in the Limited Partnership Agreement to the contrary notwithstanding,
if at any time the General Partners, in their sole discretion, determine that
the continued participation by the Plan in the Partnership would cause a
violation of any of the provisions of Section 406 of ERISA or Section 4975 of
the Code, the General Partners may require the Plan to withdraw in whole or part
from the Partnership in accordance with the provisions of Section 16 of the
Fund's Limited Partnership Agreement. Nothing herein shall be construed to
impose any responsibility on the General Partners to determine whether an
investment in the Partnership satisfies the requirements of Section 404(a)(1) of
ERISA, or to relieve the undersigned or any other fiduciary of responsibility
for preventing the Plan from violating the provisions of Section 406 of ERISA or
Section 4975 of the Code.
5. CIS Investments, Inc., IDS Futures Corporation, Cargill Investor Services,
Inc., American Express Financial Advisors Inc., John W. Henry & Co., Inc., Sabre
Fund Management Limited and their respective affiliates do not render any
investment advice on a regular basis pursuant to a mutual understanding,
arrangement, or agreement, written or otherwise, between the Plan and any of
such parties who will act in regard to the Partnership and none of such parties
renders any investment advice to the Plan which furnishes the primary basis for
investment decisions with respect to assets of the Plan.
SUITABILITY REQUIREMENTS
The states listed below require that residents of those states must meet higher
minimum suitability requirements and/or higher minimum investments than those
established by the Fund of a net worth of at least $45,000 (exclusive of home,
furnishings and automobiles) plus a minimum annual gross income of at least
$45,000 or, in the alternative, a net worth of $150,000 (exclusive of home,
furnishings and automobiles) and a minimum investment of $1,000.
Massachusetts, Minnesota, Missouri, North Carolina and South Dakota require that
residents of those states must meet minimum suitability requirements of a net
worth (excluding home, furnishings and automobiles) of at least $60,000 plus a
gross annual income of at least $60,000 or, in the alternative, a net worth of
at least $225,000 (exclusive of home, furnishings and automobiles).
California: Net worth of at least $100,000 (exclusive of home, furnishings and
automobile) plus an annual gross income of at least $65,000 or, in the
alternative, a net worth of at least $250,000.
Iowa: Net worth of at least $100,000 (exclusive of home, furnishings and
automobile) plus an annual taxable income of at least $75,000 or, in the
alternative, a net worth of at least $350,000.
Michigan: Net worth of at least $60,000 (exclusive of home, furnishings,
automobiles and investment in the Fund) plus a gross annual income of at least
$60,000 or, in the alternative, a net worth (as defined above) of at least
$225,000.
Pennsylvania: Net worth of at least $275,000 (exclusive of home, furnishings and
automobiles). Additionally, if subscriber's net worth, as described above, is
less than $1,000,000, then subscriber's investment in the Fund may not exceed
10% of his/her net worth.
Tennessee: A gross income of at least $65,000 in the most recent past tax year
and in the current tax year and a net worth of $65,000 (exclusive of home,
furnishings and automobile) or, in the alternative, a net worth (exclusive of
home, furnishings and automobile) of at least $250,000.
Oregon and Texas: Net worth of at least $60,000 (exclusive of home, home
furnishings and automobiles) plus an annual taxable income of at least $60,000
or, in the alternative, a net worth of at least $225,000.
Washington: Net worth (exclusive of home, furnishings and automobiles) or joint
net worth with spouse in excess of $1,000,000 or an income in excess of $200,000
or joint income with spouse in excess of $300,000 in each of the last two tax
years and reasonably expects to achieve the same level of income in the current
year.
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MINIMUM INVESTMENT CRITERIA
Although the General Partners of the Fund believe that a minimum investment of
$1,000 is appropriate for the Fund, the states listed below require that
residents of those states must make a larger initial minimum investment in the
Fund.
<TABLE>
<S> <C>
Iowa: $3,000
Minnesota: $2,500
Nebraska: $5,000
North Carolina: $5,000
Texas: $5,000
</TABLE>
ATTENTION CALIFORNIA RESIDENTS:
The General Partners, pursuant to Section 260.141.11 of the California Code of
Regulations, are required to deliver to each California investor a copy of the
rules regarding the restriction on transferring your limited partnership units.
RULE 260.141.11. RESTRICTION ON TRANSFER.
(a) The issuer of any security upon which a restriction on transfer has been
imposed pursuant to Sections 260.102.6, 260.141.10 or 260.534 shall cause a
copy of this section to be delivered to each issuee or transferee of such
security at the time the certificate evidencing the security is delivered to
the issuee or transferee.
(b) It is unlawful for the holder of any such security to consummate a sale or
transfer of such security, or any interest therein, without the prior
written consent of the Commissioner (until this condition is removed
pursuant to Section 260.141.12 of these rules), except:
(1) to the issuer;
(2) pursuant to the order or process of any court;
(3) to any person described in Subdivision (i) of Section 25102 of the Code
or Section 260.105.14 of these rules;
(4) to the transferor's ancestors, descendants or spouse, or any custodian
or trustee for the account of the transferor or the transferor's
ancestors, descendants, or spouse; or to a transferee by a trustee or
custodian for the account of the transferee or the transferee's
ancestors, descendants or spouse;
(5) to holders of securities of the same class of the same issuer;
(6) by way of gift or donation inter vivos or on death;
(7) by or through a broker-dealer licensed under the Code (either acting as
such or as a finder) to a resident of a foreign state, territory or
country who is neither domiciled in this state to the knowledge of the
broker-dealer, nor actually present in this state if the sale of such
securities is not in violation of any securities law of the foreign
state, territory or country concerned;
(8) to a broker-dealer licensed under the Code in a principal transaction,
or as an underwriter or member of an underwriting syndicate or selling
group;
(9) if the interest sold or transferred is a pledge or other lien given by
the purchaser to the seller upon a sale of the security for which the
Commissioner's written consent is obtained or under this rule not
required;
(10) by way of a sale qualified under Sections 25111, 25112, 25113 or 25121
of the Code, of the securities to be transferred, provided that no order
under Section 25140 or subdivision (a) of Section 25143 is in effect with
respect to such qualification;
(11) by a corporation to a wholly owned subsidiary of such corporation, or
by a wholly owned subsidiary of a corporation to such corporation;
(12) by way of an exchange qualified under Section 25111, 25112 or 25113 of
the Code, provided that no order under Section 25140 or subdivision (a)
of Section 25143 is in effect with respect to such qualification;
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(13) between residents of foreign states, territories or countries who are
neither domiciled nor actually present in this state;
(14) to the State Controller pursuant to the Unclaimed Property Law or to
the administrator of the unclaimed property law of another state; or
(15) by the State Controller pursuant to the Unclaimed Property Law or by
the administrator of the unclaimed property law of another state, if, in
either such case, such person (i) discloses to potential purchasers at
the sale that transfer of the securities is restricted under this rule,
(ii) delivers to each purchaser a copy of this rule, and (iii) advises
the Commissioner of the name of each purchaser;
(16) by a trustee to a successor trustee when such transfer does not involve
a change in the beneficial ownership of the securities;
(17) by way of an offer and sale of outstanding securities in an issuer
transaction that is subject to the qualification requirement of Section
25110 of the Code but exempt from that qualification requirement by
subdivision (f) of Section 25102; provided that any such transfer is on
the condition that any certificate evidencing the security issued to such
transferee shall contain the legend required by this section.
(c) The certificates representing all such securities subject to such a
restriction on transfer, whether upon initial issuance or upon any transfer
thereof, shall bear on their face a legend, prominently stamped or printed
thereon in capital letters of not less than 10-point size, reading as
follows:
IT IS UNLAWFUL TO CONSUMMATE A SALE OR TRANSFER OR THIS SECURITY, OR ANY
INTEREST THEREIN, OR TO RECEIVE ANY CONSIDERATION THEREFOR, WITHOUT THE PRIOR
WRITTEN CONSENT OF THE COMMISSIONER OF CORPORATIONS OF THE STATE OF CALIFORNIA,
EXCEPT AS PERMITTED IN THE COMMISSIONER'S RULES.
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SUBSCRIPTION INSTRUCTIONS
Subscribers for Units of Limited Partnership Interest in IDS Managed Futures,
L.P. must deliver an executed copy of the Subscription Agreement and Power of
Attorney (Exhibit C) with a check for the amount of such subscription payable to
American Express Financial Advisors Inc. The minimum subscription (including
subscriptions of Individual Retirement Accounts and Keogh Plans) is $1,000
(certain states have higher minimum amounts); any greater subscription amount
must be in increments of $100. Each subscriber should review carefully the
Subscription Requirements (Exhibit B) before completing and executing the
Subscription Agreement and Power of Attorney (Exhibit C).
The subscriber should return the completed Subscription Agreement and Power of
Attorney and the check to: American Express Financial Advisors Inc., Geographic
Service Team, P.O. Box 74, Minneapolis, Minnesota 55440. Subscription checks
must be made payable to FirsTier Bank, N.A., Lincoln, Nebraska as Escrow Agent
for IDS Managed Futures, L.P.
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IDS MANAGED FUTURES, L.P.
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EXHIBIT C
IDS MANAGED FUTURES, L.P.
SUBSCRIPTION AGREEMENT AND POWER OF ATTORNEY
American Express Financial Advisors Inc.
Geographic Service Team
P.O. Box 74
Minneapolis, Minnesota 55440
1. SUBSCRIPTIONS. The undersigned ("SUBSCRIBER") hereby subscribes for $______
worth of Units of Limited Partnership Interest ("UNITS") in IDS Managed Futures,
L.P. (the "PARTNERSHIP") at a price per Unit, if an Affiliated Purchaser, equal
to the Net Asset Value per Unit as of the close of business on the last business
day of the month in which the General Partners accept such subscriptions and
admit the subscribers as Limited Partners, plus the amount of the Offering
Expense Charge on a per Unit basis, and if a non-Affiliated Purchaser, at a
price per Unit equal to the Net Asset Value per Unit as of the last business day
of the month in which the General Partners accept such subscriptions and admit
the subscribers as Limited Partners, plus the amount of the Sales Charge and the
Offering Expense Charge on a per Unit basis (minimum subscription: $1,000
including subscriptions for Individual Retirement Accounts and Keogh Plans).
Concurrently with or prior to delivery of this Subscription Agreement and Power
of Attorney, the Subscriber is delivering a check payable to FirsTier Bank,
N.A., as escrow agent for IDS Managed Futures, L.P. for the amount of his/her
subscription to American Express Financial Advisors Inc., Geographic Service
Team, P.O. Box 74, Minneapolis, Minnesota 55440. The General Partners may, in
their sole and absolute discretion, accept or reject this subscription, and this
Subscription cannot be revoked, cancelled, or terminated by Subscriber, except
as provided below. If this subscription is accepted, subscriber agrees to
contribute the amount of the subscription to the Partnership and to be bound by
the terms of its Limited Partnership Agreement.
All subscription documents from a potential investor must be received by
American Express Financial Advisors Inc. by the tenth calendar day of the month
if they are to be considered for acceptance by the Fund in that month. American
Express Financial Advisors Inc. will promptly send a confirmation of the
investment and a copy of the Fund's most recent monthly account statement to the
potential investor. The mailing of the confirmation and the account statement
marks the beginning of the "Free Look" period. The Free Look period is 16 days.
During this time the prospective investor will have the opportunity to determine
and confirm to American Express Financial Advisors Inc. whether he or she wishes
his or her subscription to be retained by the Fund. The potential investor must
notify American Express Financial Advisors Inc. by mail or telephone (pursuant
to instructions in the notice from American Express Financial Advisors Inc.) of
his or her decision not to invest. No further action is required in response to
the notification from American Express Financial Advisors Inc. if the investor
elects to subscribe. The investor's negative response must be received by
American Express Financial Advisors Inc. during the Free Look period. Investors
electing to withdraw their subscription pursuant to the above alternative will
promptly receive a return of their subscription funds from the escrow agent. The
investor may withdraw his or her subscription for any reason during the Free
Look period. All subscriptions are subject to acceptance by the General
Partners.
2. NOTICES. The Subscriber has the opportunity to ask questions relating to the
Subscription Requirements and the Prospectus. The investment is not liquid
except for limited redemption provisions.
3. POWER OF ATTORNEY. In connection with the interest in IDS Managed Futures,
L.P. acquired or to be acquired pursuant to this subscription, Subscriber hereby
irrevocably constitutes and appoints CIS Investments, Inc. and IDS Futures
Corporation (the General Partners of the Partnership), with full power of
substitution, his/her true and lawful attorneys-in-fact, with full power and
authority in his name, place and stead, to admit additional limited partners to
the Partnership, to file, prosecute, defend, settle or compromise any and all
actions at law or suits in equity for or on behalf of the Partnership with
respect to any claim, demand or liability asserted or threatened by or against
the Partnership, and to execute, acknowledge, swear to, deliver, file and record
on his/her behalf in the appropriate public offices and publish (i) all
certificates and other instruments (including but not limited to a Certificate
of Limited Partnership and a certificate of doing business under an assumed
name) which the General Partners deem appropriate to qualify or continue the
Partnership as a limited partnership in the jurisdictions in which the
Partnership may conduct business or which may be required to be filed by the
Partnership or the Partners under the laws of any jurisdiction; (ii) all
instruments which the General Partners deem appropriate to reflect a change or
modification of the Partnership in accordance with the terms of the Limited
Partnership Agreement relating to the Partnership or any amendment thereto; and
(iii) all conveyances and other instruments which the General Partners deem
appropriate to reflect the dissolution and termination of the Partnership. The
foregoing grant of authority is a special power of attorney coupled with an
interest, is irrevocable, and shall survive Subscriber's death or incapacity.
Subscriber hereby agrees to be bound by any representation made by the General
Partners and by any successor thereto, acting in good faith pursuant hereto.
187
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
IDS MANAGED FUTURES, L.P. SUBSCRIPTION AGREEMENT
COMPLETE IF NONQUALIFIED INVESTMENT
Name in which Units are to be Registered (Unless Form on the right is
applicable)
----------------------------------------------------------
Name of Subscribing Individual or Entity
--------------------------------------------------------------------------
--------------------------------------------------------------------------
--------------------------------------------------------------------------
Taxpayer Number (for IRS Reporting) Tax Year End*
*If other than December 31
COMPLETE IF QUALIFIED INVESTMENT
Name in which IRA, Keogh or Qualified Plan Units are to be Registered
AMERICAN EXPRESS TRUST COMPANY
----------------------------------------------------------
Name of Custodian (Trustee)
--------------------------------------------------------------------------
FBO
51-6041053
----------------------------------------------------------
Custodian Tax ID (for IRS Reporting) Tax Year End*
<TABLE>
<S> <C> <C>
Investor's --------------------------------------------------------------------
Mailing Address Street or P.O. Box
--------------------------------------------------------------------------------
City State Zip
()
Distribution Address --------------------------------------------------------------------------------
if Different From Phone
Investor's Address --------------------------------------------------------------------------------
MAKE CHECK PAYABLE Street or P.O. Box
TO: --------------------------------------------------------------------------------
FIRSTIER BANK, N.A. CityStateZip
--------------------------------------------------------------------------------
Account Number for Distributions
Investment Amount
</TABLE>
<TABLE>
<S> <C> <C>
$
</TABLE>
Please circle ownership type:
Individual Owner IRA Keogh JTRS Community
Property Tenants-in-Common Trust Corporation Partnership
UGMA State:
Other (Specify)
If this investment is for a qualified employee benefit plan, an individual
retirement account or other tax-exempt investor, in making this investment on
behalf of such entity, I (we) acknowledge specifically that the Prospectus
contains pertinent tax sections with respect to benefit plans entitled "Tax
Information--Tax-Exempt Investors" and "Purchases by Employee Benefit
Plans--ERISA Considerations," and in particular the inclusion therein relating
to unrelated business taxable income, and I (we) have satisfied myself
(ourselves) as to the potential tax consequences of such provisions on this
investment.
Signature
-----------------------------------------------------------------
Signature (if joint owner)
---------------------------------------------------
______________________________________ ______________________________________
Date City and State
--------------------------------------------------------------------------
Name of Subscribing Individual or Entity--Printed
--------------------------------------------------------------------------
Signature of Authorized Fiduciary, Trustee, Partner or Corporate Officer
(Specify Title)
--------------------------------------------------------------------------
Name of Authorized Fiduciary, Trustee, Partner or Corporate Officer
(if applicable)--Printed
The trustee, corporate officer or partner whose signature appears above
certifies that he has full power and authority from all beneficiaries,
shareholders or partners of the entity named above to execute this
Subscription Agreement on behalf of the entity and to make the representations
and warranties made herein on their behalf and that investment in the
Partnership has been affirmatively authorized by the governing board or body
of such entity and is not prohibited by law or the governing documents of the
entity.
ACKNOWLEDGEMENTS
Each Subscriber acknowledges the following by initialing separately each of
the following: (if other than individual ownership all subscribers must
initial)
---------- I (we) meet the minimum income and net worth standards established
for the Partnership;
---------- I (we) am (are) purchasing interests in the Partnership for my
(our) own account;
---------- I (we) have received a copy of the Prospectus and the Annual
Report for the Partnership.
- -----------------------------------------------------------------------------
For Use by American Express financial advisor
I have reasonable grounds to believe, based on information obtained from the
investor concerning his/her investment objectives, other investments,
financial situation and needs and any other information known by me, that an
investment in the Partnership is suitable for such investor in light of
his/her financial position, net worth and other suitability characteristics. I
have also informed the investor of the unlikelihood of a public trading market
developing for the Units during the term of the Partnership and of the
restrictions of the redemption of Units.
The Financial Advisor MUST sign below in order to substantiate compliance with
Appendix F to Articles 3 and 4, Section 34 of the NASD's Rules of Fair
Practice.
--------------------------------------------------------------------------
Financial Advisor Date
188
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
LIMITED PARTNERSHIP
PURCHASE PLAN AGREEMENT
Please complete this form for each limited partnership sponsored by companies in
the American Express Financial Corporation Group of Companies when making
purchases without a sales commission. Mail or route this form, the American
Express Financial Corporation application, the partnership subscription
agreement and a check to:
AMERICAN EXPRESS FINANCIAL ADVISORS INC.
Geographic Service Team
P.O. Box 74
Minneapolis, MN 55440
The following individuals are eligible to purchase limited partnership interests
without paying a sales commission:
Advisors, managers and employees of companies in the American Express
Financial Corporation Group.
Eligible persons may purchase limited partnership interests in partnerships
sponsored by the American Express Financial Corporation Group without paying the
sales charge which is the base selling commission payable to American Express
Financial Corporation, not including any dealer/manager fee or other similar
charge.
I UNDERSTAND THAT THE TOTAL DISCOUNT I RECEIVE WILL BE REPORTED ON MY FORM W-2
OR 1099 AS TAXABLE INCOME TO ME. (100% TO INDEPENDENT CONTRACTORS; 80% FOR
EMPLOYEES).
I REPRESENT THAT I HAVE PURCHASED THESE LIMITED PARTNERSHIP INTERESTS AS AN
INVESTMENT AND NOT WITH A VIEW TOWARD THEIR RESALE.
Please check the appropriate box and fill out your employee or planner number
below. Advisor numbers must include the check digit.
I am an
1. / / Independent Contractor (veteran Advisor, district manager)
2. / / American Express Employee (first year advisors, division V.P., region
V.P., associate manager, training and recruiting manager, division
staff, home office staff)
Advisor/Employee Number ________________________________________________________
Unit/DO Number _____________________ Advisor/Employee Name _____________________
Partnership Name __ Partnership Account Number _________________________________
(Entered by New Business)
INVESTMENT AMOUNT $ _______________________
Signature _________________________________________ Date _______________________
189
<PAGE>
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
IDS MANAGED FUTURES EXHIBIT D
REQUEST FOR REDEMPTION ______________ , 19__
IDS Managed Futures, L.P.
American Express Financial Advisors Inc.
c/o Unit 580
P.O. Box 534
Minneapolis, Minnesota 55440
Dear Sirs:
The undersigned hereby requests redemption of $__________ or __________ Units
(please designate redemption amount in terms of dollars or Units) of the
partnership identified below, less any amount the undersigned owes to such
Partnership. The undersigned hereby represents and warrants that he, she, or it
is the true and lawful owner of the Unit or Units to which this request relates
with full power and authority to request redemption of such Unit(s). The
undersigned acknowledges that no redemptions are permitted during the first six
months after he/she has been first admitted to the Partnership. Further, the
undersigned acknowledges that if he/she redeems any of his/her Units, he/she
will not be permitted to purchase any Units offered by the Partnership for six
months following the date of any such redemption. In addition, the undersigned
acknowledges that if he/she purchases any Units of the Partnership in connection
with a public offering of Units, he/she will not be permitted to redeem such
Units or any previously purchased Units of the same partnership for a period of
six months from the date of the most recent purchase. Such Unit(s) are not
subject to any pledge or otherwise encumbered in any fashion. Redemption shall
be effective as of the last trading day of the month in which the General
Partners receive this Request, provided that the General Partners receive notice
ten days in advance of such date, and shall be in an amount based on Net Asset
Value per Unit on such date. The minimum redemption amount, whether requested in
terms of dollars or Units, is the lesser of $500 or the Net Asset Value of two
Units, unless the undersigned is redeeming his/her entire interest in the
Partnership.
SIGNATURES MUST BE IDENTICAL TO NAME(S) IN WHICH UNITS OF
LIMITED PARTNERSHIP INTEREST ARE REGISTERED
<TABLE>
<S> <C>
PLEASE FORWARD SUCH FUNDS BY MAIL TO THE UNDERSIGNED AT:
- ----------------------------------------------------------------------------------------------------------------------------------
Name Street, City, State and Zip Code
PLEASE FORWARD SUCH FUNDS TO THE FOLLOWING IDS ACCOUNT:
- ------------------------------------------------------------ --------------------------------------------------------------------
Product Name Account Number
</TABLE>
<TABLE>
<S> <C>
ENTITY LIMITED PARTNER: INDIVIDUAL LIMITED PARTNER:
(or Assignee) (or Assignee)
- ------------------------------------------------------------ --------------------------------------------------------------------
(Name of entity)
By ------------------------------------------------ ---------------------------------------------------
(Authorized trustee, partner or corporate officer)
- ------------------------------------------------------------ --------------------------------------------------------------------
(Print title of authorized trustee, partner or corporate (Signature of all partners or assignees)
officer)
- ------------------------------------------------------------ --------------------------------------------------------------------
Customer Account Number Name of Partnership
</TABLE>
190
<PAGE>
PART II
INFORMATION NOT REQUIRED IN PROSPECTUS
ITEM 22. INDEMNIFICATION OF DIRECTORS AND OFFICERS.
Section 21 of the Limited Partnership Agreement included herein as Exhibit
3.1, provides for indemnification of the General Partners, their officers,
directors and persons owning or controlling the General Partners, under the
circumstances described therein.
ITEM 23. OTHER EXPENSES OF ISSUANCE AND DISTRIBUTION.
Set forth below are estimates of the approximate amounts of fees and
expenses payable by the Registrant in connection with the issuance and sale of
Units of Limited Partnership Interest (such fees and expenses will be paid
jointly by the General Partners, and in return, the General Partners will
receive the Offering Expense Charge as described in the Prospectus):
<TABLE>
<CAPTION>
APPROXIMATE
AMOUNT
--------------
<S> <C>
Securities and Exchange Commission Registration Fee*.................................... $ 17,240.00
National Association of Securities Dealers, Inc. filing fee*............................ 5,500.00
Printing Expenses....................................................................... 85,000.00
Accounting Fees and Expenses............................................................ 25,000.00
Seminars................................................................................ 100,000.00
Blue Sky Fees and Expenses (Including Legal Fees)....................................... 40,000.00
Legal Fees and Expenses................................................................. 75,000.00
Escrow Fees............................................................................. 26,700.00
Marketing Expenses...................................................................... 85,000.00
Miscellaneous Expenses.................................................................. 50,000.00
--------------
Total............................................................................... $ 509,440.00
--------------
--------------
<FN>
- ------------------------
*Fees marked with an asterisk are exact rather than estimated and approximate.
</TABLE>
ITEM 24. RECENT SALES OF UNREGISTERED SECURITIES.
One Unit of Limited Partnership Interest was sold for $235 to Wendell
Halvorson, the initial Limited Partner, in order to permit establishment of IDS
Managed Futures, L.P. as a Delaware limited partnership on December 16, 1986.
The sale of such Unit was exempt from registration under the Securities Act of
1933 pursuant to Section 4(2) thereof. No discounts or commissions were paid in
connection therewith; no purchaser other than Mr. Halvorson was solicited.
ITEM 25. EXHIBITS AND FINANCIAL SCHEDULES.
1. EXHIBITS.
The following documents are filed herewith and made a part of this
Registration Statement.
<TABLE>
<CAPTION>
EXHIBIT
NUMBER DESCRIPTION OF DOCUMENT
- ----------- ---------------------------------------------------------------------------------------------
<S> <C>
1.1* Form of Selling Agreement among Registrant, American Express Financial Advisors Inc., IDS
Futures Corporation and CIS Investments, Inc.
3.1 Amended and Restated Limited Partnership Agreement (attached to Prospectus as Exhibit A).
3.2 Subscription Requirements (attached to Prospectus as Exhibit B).
3.3 Subscription Agreement and Power of Attorney (attached to Prospectus as Exhibit C).
3.4 Request for Redemption (attached to Prospectus as Exhibit D).
5.1* Securities Opinion and Consent of Chapman and Cutler to the Registrant.
8.1* Tax Opinion and Consent of Chapman and Cutler to the Registrant.
</TABLE>
II-1
<PAGE>
<TABLE>
<CAPTION>
EXHIBIT
NUMBER DESCRIPTION OF DOCUMENT
- ----------- ---------------------------------------------------------------------------------------------
<S> <C>
10.1.1* Advisory Contract between Registrant and John W. Henry & Co., Inc. and Sabre Fund Management
Limited.
10.1.2* Amendment to Advisory Contract between Registrant and John W. Henry & Co., Inc.
10.1.3* Amendment to Advisory Contract between Registrant and Sabre Fund Management Limited.
10.2 Escrow Agreement between Registrant and FirsTier Bank, N.A.
10.3* Brokerage Agreement between Registrant, Cargill Investor Services, Inc., and IDS Financial
Services Inc.
10.4* Form of Net Worth Agreement between Cargill Investor Services, Inc. and CIS Investments, Inc.
and between IDS Financial Corporation and IDS Futures Corporation.
10.5* Form of Representation Agreement between IDS Managed Futures, L.P., IDS Financial Services
Inc., CIS Investments, Inc., Cargill Investor Services, Inc., IDS Futures Corporation, John
W. Henry & Co., Inc. and Sabre Fund Management Limited.
10.6* Foreign Exchange Account Agreement between CIS Financial Services, Inc. and Registrant.
24.1 The consent of KPMG Peat Marwick LLP.
24.2 The consent of Ernst & Young LLP.
24.3 The consent of Chapman and Cutler.
<FN>
- ------------------------
*Documents so indicated are not included in this Amendment No. 1 and are not
hereby amended but were previously filed as exhibits to the Registration
Statement.
</TABLE>
2. FINANCIAL STATEMENTS AND SCHEDULES
The following financial statements and schedules are filed herewith:
Included in the Prospectus:
(a) Financial Statements of IDS Managed Futures, L.P., at December 31,
1994, and Report of Certified Public Accountants dated January 13, 1995,
unaudited Financial Statements dated March 31, 1995, and an unaudited update
of the Statement of Financial Condition dated April 30, 1995.
(b) Balance Sheet of CIS Investments, Inc., as of May 31, 1994 and
Report of Certified Public Accountants dated July 8, 1994, plus an unaudited
Balance Sheet dated April 30, 1995.
(c) Balance Sheet of IDS Futures Corporation as of November 30, 1994,
and Report of Certified Public Accountants dated January 5, 1995, plus an
unaudited update of the Balance Sheet dated April 30, 1995.
II-2
<PAGE>
ITEM 26. UNDERTAKINGS.
The undersigned Registrant hereby undertakes:
1. To file, during any period in which offers or sales are being made,
a post-effective amendment to this Registration Statement:
(a) To include any prospectus required by section 10(a)(3) of the
Securities Act of 1933;
(b) To reflect in the Prospectus any facts or events arising after
the effective date of the Registration Statement (or the most recent
post-effective amendment thereof) which, individually or in the
aggregate, represent a fundamental change in the information set forth in
the Registration Statement;
(c) To include any material information with respect to the plan of
distribution not previously disclosed in the Registration Statement or
any material change to such information in the Registration Statement;
5. That, for the purpose of determining any liability under the
Securities Act of 1933, each such post-effective amendment shall be deemed
to be a new registration statement relating to the securities offered
therein, and the offering of such securities at that time shall be deemed to
be the initial bona fide offering thereof.
6. To remove from registration by means of a post-effective amendment
any of the securities being registered which remain unsold at the
termination of the offering.
Insofar as indemnification for liabilities arising under the Securities Act
of 1933 may be permitted to directors, officers and controlling persons of the
Registrant pursuant to the foregoing provisions, or otherwise, the Registrant
has been advised that in the opinion of the Securities and Exchange Commission
such indemnification is against public policy as expressed in the Act and is,
therefore, unenforceable. In the event that a claim for indemnification against
such liabilities (other than the payment by the Registrant of expenses, incurred
or paid by a director, officer or controlling person of the Registrant in the
successful defense of any action, suit or proceeding) is asserted by such
director, officer or controlling person in connection with the securities being
registered, the Registrant will, unless in the opinion of its counsel the matter
has been settled by controlling precedent, submit to a court of appropriate
jurisdiction the question whether such indemnification by it is against public
policy as expressed in the Act and will be governed by the final adjudication of
such issue.
II-3
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Act of 1933, the Registrant
certifies that it has reasonable grounds to believe that it meets all of the
requirements for filing on Form S-1 and has duly caused this Amendment No. 1 to
the Registration Statement to be signed on its behalf by the undersigned,
thereunto duly authorized, in the City of Minneapolis and State of Minnesota on
June 19, 1995.
IDS MANAGED FUTURES, L.P.
By: IDS Futures Corporation
By: /s/ JANIS E. MILLER
--------------------------------------
Janis E. Miller
PRESIDENT
Pursuant to the requirements of the Securities Act of 1933, this Amendment
No. 1 to the Registration Statement on Form S-1 has been signed by the following
persons in the capacities and on the dates indicated.
<TABLE>
<CAPTION>
SIGNATURE TITLE DATE
- --------------------------------------------------- ---------------------------------------- ------------------
<C> <S> <C>
/s/ JANIS E. MILLER
---------------------------------------- President and Director of IDS Futures June 19, 1995
Janis E. Miller Corporation
/s/ MICHAEL L. WEINER
---------------------------------------- Vice President, Secretary and Treasurer June 19, 1995
Michael L. Weiner of IDS Futures Corporation
/s/ WILLIAM H. DUDLEY
---------------------------------------- Director of IDS Futures Corporation June 19, 1995
William H. Dudley
/s/ LORI J. LARSON
---------------------------------------- Vice President and Director IDS Futures June 19, 1995
Lori J. Larson Corporation
</TABLE>
(Being the principal executive officer, the principal financial and accounting
officer and all of the directors of IDS Futures Corporation)
IDS FUTURES CORPORATION
General Partner of
Registrant June 19, 1995
By: /s/ JANIS E. MILLER
- --------------------------------------
Janis E. Miller
PRESIDENT
II-4
<PAGE>
IDS MANAGED FUTURES, L.P.
By: CIS Investments, Inc.
--------------------------------------
(GENERAL PARTNER)
By: /s/ HAL T. HANSEN
--------------------------------------
Hal T. Hansen
PRESIDENT
Pursuant to the requirements of the Securities Act of 1933, this Amendment
No. 1 to the Registration Statement on Form S-1 has been signed by the following
persons in the capacities and on the dates indicated.
<TABLE>
<CAPTION>
SIGNATURE TITLE DATE
- --------------------------------------------------- ---------------------------------------- ------------------
<C> <S> <C>
/s/ HAL T. HANSEN
---------------------------------------- President and Director of CIS June 19, 1995
Hal T. Hansen Investments, Inc.
/s/ L. CARLTON ANDERSON
---------------------------------------- Vice President and Director of CIS June 19, 1995
L. Carlton Anderson Investments, Inc.
/s/ CHRISTOPHER MALO
---------------------------------------- Vice President of CIS Investments, Inc. June 19, 1995
Christopher Malo
/s/ RICHARD A. DRIVER
---------------------------------------- Vice President and Director of CIS June 19, 1995
Richard A. Driver Investments, Inc.
/s/ BARBARA A. PFENDLER
---------------------------------------- Vice President of CIS Investments, Inc. June 19, 1995
Barbara A. Pfendler
/s/ DONALD ZYCK
---------------------------------------- Treasurer and Secretary of CIS June 19, 1995
Donald Zyck Investments, Inc.
/s/ BRUCE H. BARNETT
---------------------------------------- Assistant Secretary of CIS Investments, June 19, 1995
Bruce H. Barnett Inc.
</TABLE>
(Being the principal executive officer, the principal financial and accounting
officer and all of the directors of CIS Investments, Inc.)
CIS INVESTMENTS, INC.--General Partner of Registrant June 19, 1995
By: /s/ HAL T. HANSEN
- --------------------------------------
Hal T. Hansen
PRESIDENT
II-5
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
------------------------
FORM S-1
AMENDMENT NO. 1
REGISTRATION STATEMENT
UNDER
THE SECURITIES ACT OF 1933
------------------------
EXHIBITS
------------------------
IDS MANAGED FUTURES, L.P.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<PAGE>
<TABLE>
<CAPTION>
EXHIBIT
NUMBER DESCRIPTION OF DOCUMENT
- ------------- ----------------------------------------------------------------------------------------------------
<C> <S>
1.1* Form of Selling Agreement among Registrant, IDS Financial Services Inc., IDS Futures Corporation and
CIS Investments, Inc.
3.1 Amended and Restated Limited Partnership Agreement (attached to Prospectus as Exhibit A).
3.2 Subscription Requirements (attached to Prospectus as Exhibit B).
3.3 Subscription Agreement and Power of Attorney (attached to Prospectus as Exhibit C).
3.4 Request for Redemption (attached to Prospectus as Exhibit D).
5.1* Securities Opinion and Consent of Chapman and Cutler to the Registrant.
8.1* Tax Opinion and Consent of Chapman and Cutler to the Registrant.
10.1.1* Advisory Contract between Registrant and John W. Henry & Co., Inc. and Sabre Fund Management
Limited.
10.1.2* Amendment to Advisory Contract between Registrant and John W. Henry & Co., Inc.
10.1.3* Amendment to Advisory Contract between Registrant and Sabre Fund Management Limited.
10.2 Escrow Agreement between Registrant and FirsTier Bank, N.A.
10.3* Brokerage Agreement between Registrant, Cargill Investor Services, Inc., and IDS Financial Services
Inc.
10.4* Form of Net Worth Agreement between Cargill Investor Services, Inc. and CIS Investments, Inc. and
between IDS Financial Corporation and IDS Futures Corporation.
10.5* Form of Representation Agreement between IDS Managed Futures, L.P., IDS Financial Services Inc., CIS
Investments, Inc., Cargill Investor Services, Inc., IDS Futures Corporation, John W. Henry & Co.,
Inc. and Sabre Fund Management Limited.
10.6* Foreign Exchange Account Agreement between CIS Financial Services, Inc. and Registrant.
24.1 The consent of KPMG Peat Marwick LLP.
24.2 The consent of Ernst & Young LLP.
24.3 The consent of Chapman and Cutler.
</TABLE>
<PAGE>
EXHIBIT 10.2
ESCROW AGREEMENT
This Escrow Agreement (herein "Agreement") entered into on the ____ day of
____________, 1995, by and between IDS Managed Futures, L.P. (herein "the
Partnership"), American Express Financial Advisors Inc. (herein "Selling
Agent"), and FirsTier Bank, N.A., a national banking association (herein "Escrow
Agent"), all being duly authorized to execute and deliver this Agreement.
WITNESSETH
The duties and responsibilities of the Escrow Agent shall be limited to
those expressly set forth in this Agreement. No implied duties of the Escrow
Agent shall be read into this Agreement and the Escrow Agent shall not be
subject to, or obliged to recognize any other agreement between, or direction or
instruction of, any or all of the parties hereto even though reference thereto
may be made herein.
The Escrow Agent may consult with legal counsel of its own choosing and
shall be fully protected in acting or refraining from acting in good faith and
in accordance with the opinion of such counsel.
DUTIES AND RESPONSIBILITIES OF ESCROW AGENT
As Escrow Agent, you are hereby directed to hold, deal with and dispose of
the aforesaid property and any other property at any time held by you hereunder
in the following manner, subject, however, to the terms and conditions
hereinafter set forth:
1._Escrow Agent shall receive the proceeds of subscriptions to the
Partnership for the duration of the offering period. The Escrow Agent shall
segregate subscriptions received after the first payment according to the dates
Selling Agent receives the subscriptions. Such subscriptions shall be grouped
from and after the 11th calendar day of the month through and including the 10th
calendar day of the next succeeding calendar month ("Monthly Groups"). If the
first payment to the Partnership as described above includes subscriptions after
the 10th calendar day of the calendar month, the first Monthly Grouping shall
begin on the 11th day and shall run through the 10th calendar day of the next
succeeding calendar month. If the 10th calendar day falls on a holiday or
weekend, the Monthly Grouping shall be extended to the next business day, and
the succeeding Monthly Grouping shall commence on the day after the last day of
the preceding Monthly Grouping. The Escrow Agent shall pay and deliver to the
Partnership on the last business day of each calendar month, subscriptions
received by the Selling Agent from the Subscribers comprising the Monthly Group
from which subscriptions were received prior to the 11th calendar day of the
month.
Escrow Agent shall pay to subscribers or, at their discretion, to Selling
Agent any interest earnings equal to or exceeding $10.00. Subscription checks
must be made payable to "FirsTier Bank, National Association, Lincoln, Nebraska
as escrow agent for IDS Managed Futures, L.P."
2._Prior to delivery of the escrowed Proceeds to the Partnership as
described above, the Partnership shall have no title to nor interest in the
Proceeds on deposit in this escrow or in any interest earned thereon, and such
Proceeds and interest shall under no circumstances be subject to the liabilities
or indebtedness of the Partnership.
3._The Escrow Agent shall cause all Proceeds deposited with it pursuant to
this Agreement to be maintained and invested as the General Partners of the
Partnership shall from time to time direct, by certificate executed by an
officer of each General Partner and delivered to the Escrow Agent, in
certificates of deposit, savings accounts, direct United States Government
obligations, money market funds, or other interest-bearing instruments, which
can be readily liquidated so that 100% of the Proceeds so deposited and interest
thereon can if necessary, be returned to the subscribers in accordance with
paragraph 2 above. The Escrow Agent will incur no liability for any loss
suffered so long as
1
<PAGE>
the Escrow Agent follows such directions. In the event that 100% of the Proceeds
so deposited is not realized upon such liquidation, the General Partners shall
pay the difference into this escrow for distribution to the subscribers.
4._At any time prior to the termination of this escrow, for whatever
reason, the General Partners may notify the Escrow Agent that a subscription
agreement of a subscriber has not been accepted and such General Partners may
direct the Escrow Agent to return as soon thereafter as may be practicable any
such proceeds held in this escrow for the benefit of such subscriber directly to
such subscriber, without interest.
5._The offering period shall mean a period commencing __________________
and ending __________________, or such earlier date if the total amount of Units
registered are sold.
6._The Escrow Agent shall not be obligated to inquire as to the form,
manner of execution or validity of any documents herewith or hereafter deposited
pursuant to the provisions hereof, nor shall the Escrow Agent be obliged to
inquire as to the identity, authority or rights of the persons executing the
same. Said Escrow Agent shall be liable under this Agreement only for its
failure to exercise due care in the performance of its duties expressly set
forth in this Agreement. In case of conflicting demands upon it, said Escrow
Agent may withhold performance of this escrow until such time as said
conflicting demands shall have been withdrawn or the rights of the respective
parties shall have been settled by court adjudication, arbitration, joint order
or otherwise.
7._Any notice required or permitted to be given hereunder shall be
delivered by messenger, or dispatched by registered mail, cable or telex, to the
respective party at its address specified below, namely: if to FirsTier Bank,
N.A., addressed to the attention of Kathy Beerenstrauch, Corporate Trust
Department at 13th and M Streets, Lincoln, Nebraska 68508; if to the Partnership
or the General Partners, to them at CIS Investments, Inc., 233 South Wacker
Drive, Suite 2300, Chicago, Illinois 60606, Attention: Carlton Anderson and IDS
Futures Corporation, IDS Tower 10, Minneapolis, Minnesota 55440, Attention:
Janis E. Miller; if to American Express Financial Advisors Inc., to it at IDS
Tower 10, Minneapolis, Minnesota 55440, Attention: Ronald W. Powell; or at such
other address as such party may have furnished in writing to each of the other
parties hereto. Any notice so given shall be effective when received.
8._Your fees as Escrow Agent shall be determined in accordance with, and
shall be payable as specified in, the Schedule of Fees for Escrow Services dated
December 14, 1994, and attached as Exhibit A. You shall also be reimbursed by
the Partnership for any reasonable expenses incurred in connection with this
Agreement, including but not limited to the reasonable cost of legal services
should you deem it necessary to retain counsel.
9._You shall not be liable for any action taken or omitted by you in good
faith in accordance with the advice of your counsel and in no event shall you be
liable or responsible except for your own negligence or willful misconduct. You
shall not be responsible for any loss to the Proceeds resulting from the
investment hereof in accordance with the terms of this Agreement.
10._The Partnership and the General Partners warrant to and agree with you
that, unless otherwise expressly set forth in this Agreement: there is no
security interest in the Proceeds or any part thereof; no financing statement
under the Uniform Commercial Code is on file in any jurisdiction claiming a
security interest in or describing (whether specifically or generally) the
Proceeds or any part thereof; and you shall have no responsibility at any time
to ascertain whether or not any security interest exists in the Proceeds or any
part thereof or to file any financing statement under the Uniform Commercial
Code with respect to the Proceeds or any part thereof.
11._The Escrow Agent's duties and responsibilities shall be limited to those
expressly set forth in this Agreement, and the Escrow Agent shall not be subject
to, nor obliged to recognize, any other agreement between, or direction or
instruction of, any or all of the parties hereto; provided, however, with the
Escrow Agent's written consent, this Agreement may be amended at any time or
times by an instrument in writing signed by all the undersigned.
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12._If any property subject hereto is at any time attached, subject to
garnishment or levied upon, under any court order, or in case the payment,
assignment, transfer, conveyance or delivery of any such property shall be
stayed or enjoined by any court order, or in case any order, judgment or decree
shall be made or entered by any court affecting such property, or any part
thereof, then in any such events, the Escrow Agent is authorized to rely upon
and comply with any such order, writ, judgment or decree, which it is advised by
legal counsel of its own choosing is binding upon it, and if it complies with
any such order, writ, judgment or decree, it shall not be liable to any of the
parties hereto or any other person, firm, or corporation by reason of such
compliance, even though such order, writ, judgment or decree may be subsequently
reversed, modified, annulled, set aside or vacated.
13._This Agreement shall be construed, enforced, and administered in
accordance with the laws of the State of Minnesota applicable to contracts.
14._The Escrow Agent may resign by giving five days written notice by
registered or first class mail sent to the undersigned at their respective
addresses herein set forth; and thereafter shall deliver all remaining deposits
in said escrow to a successor escrow agent acceptable to all parties hereto
which acceptance shall be evidenced by the joint written and signed order of the
undersigned. If no such order is received by the Escrow Agent within thirty days
after mailing such notice, it is unconditionally and irrevocably authorized and
empowered to send any and all items deposited hereunder by registered mail to
the respective depositors thereof.
15._The Escrow Agent is not required to separately record on its books the
name, address and amount of each subscription as received, but shall keep
documents necessary to evidence the name and address of each subscriber, the
aggregate amount of his subscription, and the date such subscription was
received.
INDEMNIFICATION
1._In conjunction with the solicitation of subscriptions, Selling Agent
obtains a W-9 Certification from each subscriber including the Internal Revenue
Service ("IRS") Tax I.D. Number ("TIN") satisfactory to the IRS and forwards
this information on the subscription form to Escrow Agent for its requirements
to the IRS. Selling Agent makes its best effort to report to Escrow Agent the
correct TIN for each subscriber as reported on the W-9 Certification.
2._The original W-9 Certification is to be retained by the Selling Agent
and no copy of the W-9 Certification will be provided to the Escrow Agent.
3._Escrow Agent relies upon the veracity of the TIN numbers as reported by
the Selling Agent in making its annual income tax reports to the IRS as required
by law.
NOW, THEREFORE, the undersigned jointly represent, state and agree as
follows:
1._Selling Agent certified to Escrow Agent that is has a W-9 Certification
for each subscriber it has reported to Escrow Agent in accordance with the
Escrow Agreement.
2._Selling Agent represents that the subscriber TIN which it certifies to
Escrow Agent is the true and accurate number reported to it on the W-9
Certificate in its custody.
3._Selling Agent agrees to indemnify and hold Escrow Agent harmless from
any and all liabilities, expense or penalty Escrow Agent may incur arising from
Escrow Agent's use of the TIN numbers provided by Selling Agent to Escrow Agent
which are different from those certified to Selling Agent.
4._Selling Agent does not indemnify Escrow Agent for use of a TIN
incorrectly reported by an investor on the form W-9 certification or in
connection with any usage of any TIN by Escrow Agent which is not in compliance
with state or federal regulations.
This Agreement shall not become effective (and you shall have no
responsibility hereunder except to return the property deposited in escrow to
the subscribers) until you shall have received the
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following and shall have advised each of the Partnership and the General
Partners in writing that the same are in form and substance satisfactory to you:
(1) a certified resolution of the General Partners' boards of directors
authorizing the making and performance of this Agreement and (2) a certificate
as to the names and specimen signatures of its officers or representatives
authorized to sign this Agreement and notices, instructions and other
communications hereunder.
This Agreement shall terminate upon completion of this offering or as
otherwise provided by written instruction from the General Partners to the
Escrow Agent.
Dated: __________________
Parties to the Escrow
IDS MANAGED FUTURES, L.P.
By: CIS Investments, Inc.
General Partner
--------------------------------------
Its
--------------------------------------
By: IDS FUTURES CORPORATION
General Partner
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Its
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CIS INVESTMENTS, INC.
By
--------------------------------------
Its
--------------------------------------
IDS FUTURES CORPORATION
By
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Its
--------------------------------------
AMERICAN EXPRESS FINANCIAL ADVISORS
INC.
By
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Its
--------------------------------------
ACCEPTED:
FIRSTIER BANK, N.A.
By
- --------------------------------------
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EXHIBIT 24.1
CONSENT OF CERTIFIED PUBLIC ACCOUNTANTS
We consent to the reference to our firm under the caption "Experts" and to
the use of our report dated January 13, 1995 with respect to the financial
statements of IDS Managed Futures, L.P. as of December 31, 1994 and 1993 and for
each of the years in the three-year period then ended, and to the use of our
report dated July 8, 1994 with respect to the financial statements of CIS
Investments, Inc. as of May 31, 1994 and 1993 included in Amendment No. 1 to the
Registration Statement and related Prospectus of IDS Managed Futures, L.P. for
the registration of $50,000,000 of limited partnership interests.
KPMG Peat Marwick LLP
June 20, 1995
Chicago, Illinois
<PAGE>
EXHIBIT 24.2
CONSENT OF CERTIFIED PUBLIC ACCOUNTANTS
We consent to the reference to our firm under the caption "Experts" and to
the use of our report dated January 5, 1995 with respect to the balance sheet of
IDS Futures Corporation dated November 30, 1994 included in Amendment No. 1 to
the Registration Statement (Form S-1 No. 33-86894) and related Prospectus of IDS
Managed Futures, L.P. for the registration of $50,000,000 of limited partnership
interests.
Ernst & Young LLP
June 23, 1995
Minneapolis, Minnesota
<PAGE>
EXHIBIT 24.3
CONSENT OF ATTORNEYS
We consent to the references to our firm under the heading "Legal Matters"
in the Prospectus, and to the reference to our opinion in Amendment No. 1 to the
Registration Statement and related Prospectus of IDS Managed Futures, L.P. (the
"Partnership") for the registration of $50,000,000 of limited partnership
interests. We also consent to the inclusion in Amendment No. 1 to the
Registration Statement of our opinion as to the tax consequences of an
investment in the Partnership (filed as Exhibit 8.1) and also to the inclusion
of our opinion as to the legality of the Partnership's securities (filed as
Exhibit 5.1).
CHAPMAN AND CUTLER
June 23, 1995
Chicago, Illinois
