SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
Quarterly report pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
for the quarterly period ended September 30, 1997
Commission File Number 0-16515
IDS MANAGED FUTURES, L.P.
Exact name of registrant as specified in its charter)
Delaware 06-1189438
(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification #)
233 South Wacker Dr., Suite 2300, Chicago, IL 60606
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code: (312)460-4000
Not Applicable
Former name, former address and former fiscal year,
if changed since last report.
Indicate by check mark whether the registrant (1) has filed all
reports required to be filed by Section 13 or 15(d) of the
Securities Exchange Act of 1934 during the preceding 12 months
(or for such shorter period that the registrant was required to
file such reports), and (2) has been subject to such filing
requirements for the past 90 days.
Yes X No __
<TABLE>
Part I. Financial Information
Item 1. Financial Statements
Following are Financial Statements for the fiscal quarter ended September 30, 1997,
and the additional time frames as noted:
Fiscal Quarter Year to Date Fiscal Year Fiscal Quarter Year to Date
Ended 9/30/97 To 9/30/97 Ended 12/31/96 Ended 9/30/96 To 9/30/96
-------------- -------------- -------------- --------------------------
<S> <C> <C> <C> <C> <C>
Statement of
Financial Condition X X
Statement of
Operations X X X X
Statement of Changes
in Partners' Capital X
Statement of
Cash Flows X X
Notes to Financial
Statements X
IDS MANAGED FUTURES, L.P.
STATEMENTS OF FINANCIAL CONDITION
UNAUDITED
Sep 30, 1997 Dec 31, 1996
--------------- -------------
<S> <C> <C>
ASSETS
Cash at Escrow Agent $0 $650,100
Equity in commodity futures
trading accounts:
Account balance 43,542,960 39,998,782
Unrealized gain on open
futures contracts 2,593,575 868,069
--------------- -------------
46,136,535 41,516,951
Interest receivable 168,147 152,358
Prepaid G.P. fee 138,526 0
--------------- -------------
Total assets $46,443,208 $41,669,309
=============== =============
LIABILITIES AND PARTNERS' CAPITAL
Liabilities:
Accrued commissions on open
futures contracts due to AXP Advisors and $98,389 $70,003
Accrued management fee 140,515 108,053
Accrued incentive fee 147,390 851,045
Accrued operating expenses 101,171 155,590
Redemptions payable 345,280 132,361
Selling and Offering Expenses Payable 0 57,309
--------------- -------------
Total liabilities 832,745 1,374,361
Partners' Capital:
Limited partners ( 129,750.64 units 44,707,984 39,545,527
outstanding at 9/30/97, 122,175.79
units outstanding at 12/31/96) (see Note 1)
General partners (2,619.16 units outstanding 902,480 749,421
9/30/97 and 2,315.34 at 12/31/96) (see Note 1)
--------------- -------------
Total partners' capital 45,610,464 40,294,948
--------------- -------------
Total liabilities and
partners' capital $46,443,208 $41,669,309
=============== =============
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)
IDS MANAGED FUTURES, L.P.
STATEMENTS OF OPERATIONS
UNAUDITED
Jul 1, 1997 Jan 1, 1997 Jul 1, 1996 Jan 1, 1996
through through through through
Sep 30, 1997 Sep 30, 1997 Sep 30, 1996 Sep 30, 1996
--------------- ------------- -------------- -------------
<S> <C> <C> <C> <C>
REVENUES
Gains on trading of commodity futures
and forwards contracts, physical
commodities and related options:
Realized gain (loss) on closed positions $3,759,900 $2,617,741 ($1,124,549) $1,321,142
Change in unrealized gain (loss)
on open positions 401,130 1,725,506 2,413,677 1,069,387
Interest income 528,568 1,481,801 391,424 1,132,535
Foreign currency transaction gain (loss) (108,780) (312,298) (16,329) (102,287)
--------------- ------------- -------------- -------------
Total revenues 4,580,818 5,512,750 1,664,223 3,420,777
EXPENSES
Commissions paid to AXP Advisors and CIS 298,608 848,043 247,085 678,547
Exchange fees 12,506 29,838 7,818 20,515
Management fees 417,364 1,176,773 261,235 770,078
Incentive fees 149,617 212,007 77,389 109,683
General Partner fee to IDS Futures Corp. and 138,526 415,530 111,767 335,300
Operating expenses 90,328 61,613 28,108 (1,510)
--------------- ------------- -------------- -------------
Total expenses 1,106,949 2,743,804 733,402 1,912,613
--------------- ------------- -------------- -------------
Net profit (loss) $3,473,870 $2,768,946 $930,821 $1,508,164
=============== ============= ============== =============
PROFIT (LOSS) PER UNIT OF
PARTNERSHIP INTEREST $25.61 $20.89 $7.40 $12.25
=============== ============= ============== =============
(see Note 1) (see Note 1) (see Note 1) (see Note 1)
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)
IDS MANAGED FUTURES, L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
For the period January 1, 1997 through September 30, 1997
UNAUDITED
Limited General
Units* Partners Partners Total
--------------- ------------- -------------- -------------
<S> <C> <C> <C> <C>
Partners' capital at January 1, 1997 122,175.79 $39,545,527 $749,421 $40,294,948
Net profit (loss) 2,712,887 56,059 2,768,946
Additional Units Sold 15,496.89 5,596,800 100,000 5,696,800
(see Note 1)
Less Selling and Organizational Costs (492,222) (3,000) (495,222)
Redemptions (see Note 1) (7,922.03) (2,655,009) (2,655,009)
--------------- ------------- -------------- -------------
Partners' capital at June 30, 1997 129,750.64 $44,707,984 $902,480 $45,610,464
=============== ============= ============== =============
Net asset value per unit
January 1, 1997 (see Note 1) 323.68 323.68
Net profit (loss) per unit (see Note 1) 20.89 20.89
------------- --------------
Net asset value per unit
September 30, 1997 $344.57 $344.57
* 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)
IDS MANAGED FUTURES, L.P.
STATEMENTS OF CASH FLOWS
UNAUDITED
Jan 1, 1997 Jan 1, 1996
through through
Sep 30, 1997 Sep 30, 1996
--------------- -------------
<S> <C> <C>
Cash flows from operating activities:
Net profit (loss) $2,768,946 $1,508,164
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 (1,725,506) (1,069,386)
Interest receivable (15,789) 6,052
Prepaid general partner fee (138,526) (111,767)
Accrued liabilities (697,226) 2,102
Redemptions payable 212,919 386,637
Selling and Offering Expenses Payable (57,309) (9,858)
--------------- -------------
Net cash provided by (used in)
operating activities 347,509 711,944
Cash flows from financing activities:
Additional Units Sold 5,696,800 4,226,900
Selling and Offering Expenses (495,222) (369,021)
Partner redemptions (2,655,009) (2,912,435)
--------------- -------------
Net cash provided by (used in)
financing activities 2,546,569 945,444
--------------- -------------
Net increase (decrease) in cash 2,894,078 1,657,388
Cash at beginning of period 40,648,882 31,440,196
--------------- -------------
Cash at end of period $43,542,960 $33,097,584
=============== =============
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)
</TABLE>
IDS MANAGED FUTURES, L.P.
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 1997
(1) GENERAL INFORMATION AND SUMMARY
IDS Managed Futures, L.P. (the "Partnership") is a limited
partnership organized on December 16, 1986 under the Delaware
Revised Uniform Limited Partnership Act. The Partnership was
formed to speculatively trade 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 of the
Partnership are CIS Investments, Inc. ("CISI") and IDS Futures
Corporation ("IDS Futures") (collectively, the "General
Partners"). The General Partners are registered commodity pool
operators under the Commodity Exchange Act, as amended (the "CE
Act") and are responsible for administering the business and
affairs of the Partnership exclusive of trading decisions. CISI
is an affiliate of Cargill Investor Services, Inc. ("CIS"), the
clearing broker for the Partnership. IDS Futures is an
affiliate of American Express Financial Advisors Inc. ("AXP
Advisors"), formerly IDS Financial Services Inc., which acts as
the Partnership's introducing broker and selling agent. Trading
decisions for the Partnership were made by two independent
commodity trading advisors, John W. Henry & Company, Inc. and
Sabre Fund Management Limited, until July 7, 1997. Effective
July 8, 1997 the General Partners added Welton Investment
Corporation as an additional independent commodity trading
advisor for the Partnership and the assets of the Partnership
were re-allocated between the three independent commodity
trading advisors.
Units of limited partnership interest ("Units") were offered
initially by AXP Advisors commencing March 27, 1987 and
concluding June 16, 1987. Subsequent offerings commenced March
29, 1993, January 31, 1994, June 26, 1995 and August 26, 1997.
The total amount of the initial offering was $7,500,000 and the
total amount of the combined reopenings was $80,000,000.
Investors purchase Units at the then current net asset value per
Unit on the last business day of the month; investors affiliated
with the selling agent of the Partnership are not required to
pay selling commissions, and the current offering has varied
selling commission rates depending on the total dollar amount of
the investment. Therefore, the total number of Units authorized
for the Partnership is not determinable and therefore is not
disclosed in the financial statements.
On June 26, 1995, a registration statement on Form S-1 was
declared effective with the SEC to register $50,000,000 of Units
in addition to the unsold portion of the $20,000,000 offered
pursuant to the Prospectus dated January 31, 1994. On July 12,
1996 a post-effective amendment was declared effective with the
SEC to update the information in the Prospectus dated June 26,
1995. The Units were offered pursuant to a Prospectus dated
July 31, 1996 until April 30, 1997, at which time the offering
was temporarily suspended in order to update the July 31, 1996
Prospectus. A post-effective amendment was declared effective
on August 15, 1997 to update the information in the Prospectus
dated July 31, 1996 and to add disclosure regarding the
Partnership's new trading advisor, Welton Investment
Corporation. The Units are currently offered pursuant to a
Prospectus dated August 26, 1997. The minimum subscription size
for the offering is $1,000 for investors not affiliated with AXP
Advisors. There were no sales of the Partnership during the
third quarter of 1997. By September 30, 1997, a total of
51,796.14 Units representing a total investment of $16,397,909
of limited partnership interest had been sold in the offering
period commencing June 26, 1995. During the quarter ended
September 30, 1997, selling commissions of $0 were paid to AXP
Advisors by the new limited partners and all new investors paid
organization and offering expenses totaling $0.
The Offering Expense charged pursuant to the registration
statement effective June 26, 1995 was reduced to 3% from the 6%
which had been charged in the previous two offerings.
No redemptions are permitted by a subscriber during the first
six months after he or she has been admitted to the Partnership.
Thereafter, a Limited Partner may cause any or all of his or
her Units to be redeemed by the Partnership effective as of the
last trading day of any month of the Partnership based on the
Net Asset Value per Unit on ten days written notice to the
General Partners. There are no additional charges to the
investors at redemption. The General Partners may declare
additional redemption dates upon notice to the Limited Partners.
Payment will be made within ten business days of the effective
date of the redemption. The Partnership's Restated and Amended
Limited Partnership Agreement contains a full description of
redemption and distribution procedures.
The Partnership shall be terminated on Dec. 31, 2006 if none of
the following occur prior to that date: (1) investors holding
more than 50 percent of the outstanding Units notify the General
Partners to dissolve the Partnership as of a specific date; (2)
withdrawal, removal, insolvency, bankruptcy, legal disability or
dissolution of the General Partners of the Partnership; (3)
bankruptcy or insolvency 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 General Partners elect to
withdraw from 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.
Financial Accounting Standards Board ("FASB") Interpretation
No. 39 Reporting
Reporting in accordance with FASB Interpretation No. 39 ("FIN
39") is not applicable to the Partnership and the provisions of
FIN 39 do not have any effect on the Partnership's 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 predetermined time for forward
contracts, physical commodities and their related options) as of
the last business day of the quarter-end.
The Partnership earns interest on 100 percent of the
Partnership's average monthly cash balance on deposit with the
Clearing Broker at a rate equal to 90 percent of the average
90-day Treasury bill rate for U.S. Treasury bills issued during
that month.
Commissions
Brokerage commissions, National Futures Association fees, and
clearing and exchange fees are accrued on a round-turn basis on
open commodity futures contracts. The Partnership pays
commissions on trades executed on its behalf at a rate of $35
per round turn contract to CIS which in turn reallocates $20 per
round turn contract to AXP Advisors, an affiliate of IDS Futures.
Foreign Currency Transactions
Trading accounts on foreign currency denominations are
susceptible to both movements on underlying contract markets as
well as fluctuation in currency rates. Foreign currencies are
translated into U.S. dollars for closed positions at an average
exchange rate for the quarter while quarter-end balances are
translated at the quarter-end currency rates. The impact of the
translation is reflected in the statement of operations.
Statements of Cash Flows
For purposes of the statements of cash flows, cash represents
cash on deposit with the 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 John W. Henry & Company, Inc. ("JWH"), Sabre Fund
Management Limited ("Sabre") and Welton Investment Corporation
("Welton"), the Partnership's Commodity Trading Advisors
("CTAs"). Pursuant to an agreement between the Partnership and
JWH, JWH receives 1/3 of 1% of the month-end net asset value of
the Partnership under its management. Pursuant to an agreement
between the Partnership and Sabre effective January 1, 1996,
Sabre's monthly management fee was reduced from 1/4 of 1% to 1/8
of 1% of the Partnership's Net Asset Value subject to Sabre's
trading performance. This reduction in management fees
continued until the cumulative trading performance of Sabre
reached 40%, which was reached at the end of January 1997.
Therefore, the management fee was adjusted back to 1/4 of 1%
effective February 1, 1997. Pursuant to an agreement between
the Partnership and Welton, Welton receives 1/4 of 1% of the
month-end net asset value of the Partnership under its
management. The Partnership pays JWH a quarterly incentive fee
of 15% and pays both Sabre and Welton a quarterly incentive fee
of 18% of trading profits achieved on the NAV of the Partnership
allocated by the General Partners to such Advisor's management.
The Partnership pays an annual administrative fee of 1.125% and
0.25% of the beginning of the year net asset value of the
Partnership to IDS Futures and CISI, 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 Personal Property and Income Tax
based on the operating results of the Partnership. Such tax
amounted to $41,691 and $22,856 for the periods ended September
30, 1997 and September 30, 1996, respectively, and is included
in operating expenses in the Statement of Operations.
(5) FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK
The Partnership was formed to speculatively trade Commodity
Interests. It has commodity transactions and all of its cash on
deposit at its Clearing Broker at all times. In the event that
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 of at least 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 Clearing Broker does not
engage in proprietary trading and thus has no direct market
exposure.
The counterparty of the Partnership for futures contracts traded
in the United States and most non-U.S. exchanges on which the
Partnership 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 nonperformance 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 Partnership holds futures and futures options positions on
the various exchanges throughout the world. The Partnership
does not trade over-the-counter contracts. 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 Trading Advisors 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 three CTAs who make the
trading decisions. Two of the CTAs trade a program diversified
among all commodity groups, while the third is diversified among
the various futures contracts in the financials and metals
group. All three CTAs trade on U.S. and non-U.S. exchanges.
Such diversification should greatly reduce this market risk.
Cash was on deposit with the Clearing Broker in each time period
of the financial statements which exceeded the cash requirements
of the Commodity Interests of the Partnership.
The following chart discloses the dollar amount of the
unrealized gain or loss on open contracts related to exchange
traded contracts for the Partnership as of September 30, 1997:
COMMODITY GROUP UNREALIZED GAIN/(LOSS)
AGRICULTURAL COMMODITIES 15,560
FOREIGN CURRENCIES 262,644
STOCK INDICES 168,538
ENERGIES 95,977
METALS 54,416
INTEREST RATE INSTRUMENTS 1,996,440
TOTAL 2,593,575
The range of maturity dates of these exchange traded open
contracts is October of 1997 to June of 1998. The average open
trade equity for the period of January 1, 1997 to September 30,
1997 was $2,182,067.
The margin requirement at September 30, 1997 was $5,495,437. To
meet this requirement, the Partnership had on deposit with the
Clearing Broker $38,025,664 in segregated funds and $8,110,871
in secured funds.
(6) FINANCIAL STATEMENT PREPARATION
The interim financial statements are unaudited but reflect all
adjustments that are, in the opinion of management, necessary
for a fair statement of the results for the interim periods
presented. These adjustments consist primarily of normal
recurring accruals. These interim financial statements should
be read in conjunction with the audited financial statements of
the Partnership for the year ended December 31, 1996, as filed
with the Securities and Exchange Commission on March 26, 1997,
as part of its Annual Report on Form 10-K.
The results of operations for interim periods are not
necessarily indicative of the operating results to be expected
for the fiscal year.
Item 2. Management's Discussion and Analysis of Financial
Condition and Results of Operation
Fiscal Quarter ended September 30, 1997
The Partnership recorded a gain of $3,473,870 or $25.61 per Unit
for the third quarter of 1997. This compares to a gain of
$930,821 or $7.40 per Unit for the third quarter of 1996. For
the nine month period ended September 30, 1997, the Partnership
posted a gain of $2,768,947 or $20.89 per Unit, which compares
to a profit of $1,508,164 or $12.25 per Unit for the nine month
period ended September 30, 1996.
The Partnership experienced gains during the first and third
months of the quarter as a result of strong profits in global
interest rate positions, metals and some currencies. During the
second month of the quarter, the Partnership suffered losses in
U.S and European interest rates, currencies, crude oil and
metals. Overall, the third quarter of fiscal 1997 ended
positively for the Partnership's accounts managed by John W.
Henry & Company, Inc. and Welton Investment Corporation and
ended negatively for the Partnership's accounts managed by Sabre
Fund Management Limited. At September 30, 1997, John W. Henry &
Company, Inc. was managing 64.5% of the Partnership's assets,
Sabre Fund Management Limited was managing 4.3% of the
Partnership's assets and Welton Investment Corporation was
managing 31.2% of the Partnership's assets.
In July, positions in U.S. Treasuries resulted in strong gains
as did positions in Japanese Government bonds. In the currency
markets, investors traded German marks and Swiss francs for U.S.
dollars, pushing the dollar to new highs against both
currencies. Except for sugar, positions in all other
agricultural commodities traded resulted in losses. Silver and
gold prices fell, reflecting the sale by the Australian central
bank of 60% of its gold reserves; the positions held by the
Partnership in both metals were profitable. The Partnership
recorded a gain of $4,770,193 or $35.24 per Unit in July.
In August, crude oil prices were pressured downward and traded
erratically in part due to the recent return of Iraqi oil to
world markets. Trading volatility also accounted for losses in
the global interest rate sector and metals. Price reversals in
the U.S. 30-year bond and U.S. and Australian 10-year notes
resulted in losses for the Partnership. While losses occurred
in the Deutsche mark and Swiss franc, gains were made in the
Japanese yen and the Nikkei stock index. Positions in coffee,
cotton and corn also resulted in gains for the Partnership.
However, these gains did not offset the losses incurred and the
Partnership recorded a loss of $2,079,893 or $15.51 per Unit in
August.
In September, moderate gains were recorded for the Partnership,
reflecting profitable positions in global interest rate markets
and the Japanese Nikkei. The largest gains were derived from
positions in the British long gilt and Japanese Government bond.
Except for the Australian dollar, positions in all other
currencies traded resulted in losses. Small gains in cotton
failed to offset losses in coffee, sugar and other agricultural
markets. Positions in silver and copper resulted in gains,
offsetting losses in gold. The Partnership recorded a gain of
$783,570 or $5.88 per Unit in September.
There were no additional Units sold during the fiscal quarter of
1997. Investors redeemed a total of 2,981.97 Units during the
quarter. At the end of the quarter there were 132,369.80 Units
outstanding (including 2,619.16 Units owned by the General
Partners).
During the fiscal quarter ended September 30, 1997, the
Partnership had no material credit exposure to a counterparty
which is a foreign commodities exchange.
The Partnership currently only trades on recognized global
futures exchanges. In the event the Partnership begins trading
over the counter contracts, any credit exposure to a
counterparty which exceeds 10% of the Partnership's total assets
will be disclosed.
See Footnote 5 of the Financial Statements for procedures
established by the General Partners to monitor and minimize
market and credit risks for the Partnership. In addition to the
procedures set out in Footnote 5, the General Partners review on
a daily basis reports of the Partnership's performance,
including monitoring of the daily net asset value of the
Partnership. The General Partners also review the financial
situation of the Partnership's Clearing Broker on a monthly
basis. The General Partners rely on the policies of the
Clearing Broker to monitor specific credit risks. The Clearing
Broker does not engage in proprietary trading and thus has no
direct market exposure which provides the General Partners
assurance that the Partnership will not suffer trading losses
through the Clearing Broker.
Effective August 22, 1997, Morris Goodwin, Jr. resigned as a
Director of IDS Futures Corporation, a General Partner of the
Partnership. Effective September 24, 1997. Peter J. Slattery
was elected as a Director of IDS Futures Corporation.
Effective September 12, 1997, Donald J. Zyck resigned as
Secretary and Treasurer of CIS Investments, Inc., one of the
general partners of the Partnership. Effective September 13,
1997, Rebecca S. Steindel was elected Secretary and Richard A.
Driver was elected Treasurer of CIS Investments, Inc.
Fiscal Quarter ended September 30, 1996
The Partnership recorded a gain of $930,821 or $7.40 per Unit
for the third quarter of 1996. This compares to a loss of
$266,795 or $2.36 per Unit for the third quarter of 1995. For
the nine month period ended September 30, 1996, the Partnership
posted a gain of $1,508,164 or $12.25 per Unit, which compares
to a profit of $4,026,526 or $36.02 per Unit for the nine month
period ended September 30, 1995.
The first month of the quarter saw losses in stock indices,
currencies and metals. Favorable positions in global interest
rates, stock indices and metals generated profits in the second
and third months of the quarter. Overall, the third quarter
ended positively for the Partnership's accounts managed by John
W. Henry & Company, Inc. and Sabre Fund Management Limited. At
September 30, 1996, John W. Henry & Company, Inc. was managing
61.4% of the Partnership's assets and Sabre Fund Management
Limited was managing 38.6% of the Partnership's assets.
In July, sharp declines in the U.S. stock market weakened the
dollar against other key currencies as some investors fled U.S.
assets in search of opportunities overseas. In foreign
exchange, the U.S. dollar lost ground against the German mark
and the Japanese yen as the prospect for a hike in U.S. interest
rates seemed more unlikely. Positions in gold and silver were
unprofitable as were positions in global stock indices. In the
commodity markets, changing weather conditions and threats of
further cancellations of major grain export contracts by China
unsettled agricultural markets. The Partnership recorded a loss
of $369,504 or $2.99 per Unit in July.
The Japanese yen, German mark and U.S. dollar fluctuated
throughout the month of August. Market participants in the
financial markets remained cautious, with few willing to take
positions prior to key central bank policy meetings and economic
reports slated at month end. The German Bundesbank's decision
to sharply lower a key interest rate surprised the market and
sparked a European bond rally. Hurricane activity, which posed
a threat to key refineries in the Caribbean and the Gulf of
Mexico, added to upward price pressures in the energy markets.
Prices of both crude oil and heating oil climbed to four month
highs while agricultural commodity markets remained trendless.
The Partnership recorded a profit of $161,189 or $1.29 per Unit
in August.
In September, the U.S. dollar reached a ten-week high against
the Japanese yen, the German mark and the Swiss franc. The
energy markets continued to benefit from upward price pressures
in crude oil and derivative products, reflecting low inventories
worldwide and renewed tension in the Middle East. Overseas
investors followed closely the budget reports of key European
nations seeking to meet Maastricht Treaty criteria for
membership in the EMU. Convinced of the commitment of these
nations to the EMU and of the concurrent necessity for low
European interest rates to ensure economic growth, foreign
investors turned to higher yielding U.S. dollar-denominated
assets. Foreign central banks were heavy buyers of U.S. bonds.
The Partnership recorded a profit of $1,139,136 or $9.10 per
Unit in September.
During the quarter, additional Units sold consisted of 5,481.38
limited partnership units; there were no general partner units
sold. Additional Units sold during the quarter represented a
total of $1,643,300 before the reduction of selling commissions
and organizational costs of $137,717. Investors redeemed a
total of 5,035.44 Units during the quarter. At the end of the
quarter there were 124,092.01 Units outstanding (including
2,315.34 Units owned by the General Partners).
During the fiscal quarter ended September 30, 1996, the
Partnership had no material credit exposure to a counterparty
which is a foreign commodities exchange.
Fiscal Quarter ended June 30, 1997
The Partnership recorded a loss of $2,147,031 or $16.31 per Unit
for the second quarter of 1997. This compares to a gain of
$492,773 or $4.05 per Unit for the second quarter of 1996. For
the six month period ended June 30, 1997, the Partnership posted
a loss of $704,923 or $4.72 per Unit, which compares to a profit
of $577,343 or $4.85 per Unit for the six month period ended
June 30, 1996.
During the first two months of the quarter the Partnership
experienced losses primarily as a result of losses in precious
metals and foreign exchange. The third month experienced gains
due to profitable positions in metals, interest rates and stock
indices. Overall, the second quarter of fiscal 1997 ended
negatively for the Partnership's accounts managed by John W.
Henry & Company, Inc. and only slightly positive for Sabre Fund
Management Limited. At June 30, 1997, John W. Henry & Company,
Inc. was managing 61.8% of the Partnership's assets and Sabre
Fund Management Limited was managing 38.2% of the Partnership's
assets.
In April, yields on the U.S. Treasury 30-year bond soared to a
nine-month high, only to fall by month end resulting in losses
in interest rates. The U.S. dollar continued its rise in the
weeks leading up to the meeting of the G-7 finance ministers,
reaching new highs against the Japanese yen and the German mark.
Gains were realized in coffee as prices soared amid increasing
concerns about adequate supply. In precious metals, both gold
and silver prices declined as investors' concerns over U.S.
inflation subsided. However, the Partnership recorded a loss of
$876,680.83 or $6.70 per Unit in April.
Worldwide political events upset currency markets in May. The
British pound rallied sharply, but briefly, hitting its highest
intraday level since August 1992 after a surprise decision by
Britain's newly elected Labour Government to give the Bank of
England more autonomy in setting interest rates. In Japan,
official warnings of intervention to cap the U.S. dollar's rise
against the Japanese yen and a report that the Bank of Japan
might raise a key interest rate pushed the dollar to a 4 1/2
month low against the Japanese currency. Surprising strength in
the polls by French socialists and sharp disagreement in Germany
over the use of gold reserves to meet criteria for European
union membership threw the future of that monetary union in
doubt. Trading in stock indices and agricultural commodities
generated gains, while trading in metals was mixed. The
Partnership recorded a loss of $2,425,881.10 or $18.10 per Unit
in May.
In June, gold prices fell to a four-year low as the U.S. dollar
strengthened and inflation indicators remained favorable.
Positions in both gold and silver were profitable. Continued
uncertainty surrounding the European currency union benefited
bond markets outside the EMU circle of nations. In the currency
markets, the Swiss monetary authority's determination to keep
the franc from appreciating against major currencies succeeded
in pushing the price of that currency down. After reaching a
20-year high in May, coffee prices fell steadily in June on news
of higher world exports and concerns about the impact of high
prices on demand. The Partnership recorded a gain of
$1,155,530.98 or $8.49 per Unit in June.
During the quarter there were 6,636.42 additional Units sold,
including 303.82 Units sold to the General Partners. Additional
Units sold during the quarter represented a total of $2,325,600
before the reduction of selling commissions and organizational
costs of $199,064. Investors redeemed a total of 2,037.70 Units
during the quarter. At the end of the quarter there were
135,351.77 Units outstanding (including 2,619.16 Units owned by
the General Partners).
During the fiscal quarter ended June 30, 1997, the Partnership
had no material credit exposure to a counterparty which is a
foreign commodities exchange.
Fiscal Quarter ended June 30, 1996
The Partnership recorded a gain of $492,773 or $4.05 per Unit
for the second quarter of 1996. This compares to a profit of
$1,014,167 or $9.02 per Unit for the second quarter of 1995.
During the first quarter of 1996, the Partnership posted a gain
of $84,570 or $0.80 per Unit, which compares to a profit of
$3,279,154 or $29.36 per Unit for the first quarter of 1995.
Favorable positions in global currency and physical commodity
markets generated profits in the first and third months of the
quarter. The second month of the quarter saw losses in metals
and global interest rates. Overall, the second quarter ended
positively for the Partnership's accounts managed by John W.
Henry & Co., Inc. and Sabre Fund Management Limited. At June
30, 1996, John W. Henry & Co., Inc. was managing 61.5% of the
Partnership's assets and Sabre Fund Management Limited was
managing 38.5% of the Partnership's assets.
In April, crude oil prices continued to surge upwards as
refiners pushed to replenish record low inventory levels. In
the agricultural sector, prices of wheat, corn and soybeans
soared as export demand remained strong. The currency markets
saw relatively high U.S. bond yields which attracted investors
to the U.S. dollar, thus strengthening the dollar against the
German mark and Swiss franc. The Partnership recorded a profit
of $1,161,096 or $9.48 per Unit in April.
In May, the grain and oilseed markets were volatile as concerns
over winter crops were replaced by reports of poor planting
conditions for spring crops. Crude oil prices succumbed to
political pressures and the expected impact on world oil
supplies of the long anticipated U.N./Iraq oil agreement. In
the currency markets, the British pound declined to a two-year
low against the U.S. dollar early in the month, but rallied back
by the end of the month well ahead of the dollar as well as the
German mark. The Partnership recorded a loss of $840,378 or
$6.83 per Unit in May.
In June, the metals markets were impacted by repercussions from
the Sumitomo copper trading losses and by an increase in the
world supply of gold; the result of selling by central banks.
Crude oil prices reflected continued inventory shortages and the
renewal of tension in the Middle East. The U.S. dollar reached
a 28-month high against the Japanese yen early in the month, but
ended lower at month's end as investors turned to higher
yielding European currencies. The Partnership recorded a profit
of $172,055 or $1.40 per Unit in June.
During the quarter, additional Units sold consisted of 3,866.82
limited partnership units; there were no general partner units
sold . Additional Units sold during the quarter represented a
total of $1,170,200 before the reduction of selling commissions
and organizational costs of $104,838. Investors redeemed a
total of 2, 775 Units during the quarter. At the end of the
quarter there were 123,646.08 Units outstanding (including
2,315.34 Units owned by the General Partners).
During the fiscal quarter ended June 30, 1996, the Partnership
had no material credit exposure to a counterparty which is a
foreign commodities exchange.
Fiscal Quarter ended March 31, 1997
The Partnership recorded a gain of $1,442,108 or $11.59 per Unit
for the first quarter of 1997. This compares to gain of $84,570
or $0.80 per Unit for the first quarter of 1996.
During the first two months of the quarter, the Partnership
experienced gains primarily as a result of profits in foreign
exchange rates, while during the third month losses were
recorded due in part to the direction of U.S interest rates.
Overall, the first quarter of fiscal 1997 ended positively for
the Partnership's accounts managed by John W. Henry & Company,
Inc. and Sabre Fund Management Limited. At March 31, 1997, John
W. Henry & Company, Inc. was managing 65% of the Partnership's
assets and Sabre Fund Management Limited was managing 35% of the
Partnership's assets.
In January, the U.S. dollar continued to dominate world
currencies, reflecting both sound economic fundamentals and a
policy, shared by both the U.S. central bank and Treasury
administration officials, in support of a strong dollar. The
Japanese yen suffered from problems in the Japanese banking
sector. Rising unemployment and weak economic numbers in
Germany once again drove the German mark down against the U.S.
dollar. Trading in the British pound grew increasingly volatile
as prospects for an interest rate increase in Britain weakened.
Gold prices reached a three year low at mid-month. Therefore,
the Partnership recorded a profit of $1,484,691 or $11.92 per
Unit in January.
In February, the U.S. dollar reached new highs against the
German mark, Japanese yen and Swiss franc. The Federal Reserve
chairman hinted of a possible hike in U.S. interest rates which
sent the dollar soaring. Volatility in global interest rate
markets continued to be fueled by speculation on the direction
of global interest rates. Early in the month, central banks in
Germany, England and the U.S announced their decisions to keep
rates stable. In commodity markets, gold prices rose as demand
was rekindled by the lowest spot prices since 1993. In
agricultural markets, a two-month bull trend in coffee prices
continued as unfavorable weather and labor strife in South
America threatened supply. The Partnership recorded a gain of
$33,813 or $.27 per Unit in February.
In March, speculation over the direction of U.S. interest rates
unsettled financial markets around the world. Rising U.S.
interest rates, unease over first quarter corporate earnings and
lofty stock evaluations resulted in turmoil in U.S equity
markets. In Europe, renewed speculation about a delay in the
European Union's plans for economic and monetary union pushed
the German mark higher against the U.S. dollar. Agricultural
markets recorded profits resulting from persistent supply
concerns. Due to overall market turbulence, the Partnership
recorded a loss of $76,396 or $.60 per Unit in March.
During the quarter, additional units sold consisted of 9,164.28
limited partnership units; no general partner units were sold.
Additional Units sold during the quarter represented a total of
$3,371,200 before the reduction of selling commissions and
organizational costs of $296,158. Investors redeemed a total of
2,902.34 Units during the quarter. At the end of the quarter
there were 130,753.07 Units outstanding (including 2,315.34
Units owned by the General Partners).
During the fiscal quarter ended March 31, 1997, the Partnership
had no material credit exposure to a counterparty which is a
foreign commodities exchange.
Fiscal Quarter ended March 31, 1996
The Partnership recorded a gain of $84,570 or $0.80 per Unit for
the first quarter of 1996. During the first month of the
quarter, the Partnership experienced gains primarily as a result
of profits in foreign exchange rates. The Partnership then
recorded a loss in the following two months due primarily to
unprofitable currency positions and losses in trading of stock
indices and metals. The first quarter of fiscal 1996 ended
positively for the Partnership's accounts managed by John W.
Henry & Company, Inc. and Sabre Fund Management Limited. At
March 31, 1996, John W. Henry & Company, Inc. was managing 60.8%
of the Partnership's assets and Sabre Fund Management Limited
was managing 39.2% of the Partnership's assets.
In January, the primary influence on markets was the U.S.
dollar, which rose against most currencies and hit its highest
level in two years against the Japanese yen. Trading in foreign
exchange generated the majority of profits. Trading in stock
indices was slightly profitable. The Partnership recorded a
profit of $1,324,808 or $10.98 per Unit in January.
In February, the U.S. dollar lost ground against the Japanese
yen, British pound, Swiss franc and German mark, resulting in
the Partnership giving back some of the profits earned in
January. The largest decline occurred in Japanese yen
positions. In the metals markets, subsiding inflation fears and
weakening demand pushed gold prices beneath the $400 threshold
reached only a month before. Trading in interest rates and
stock indices was also unprofitable. The Partnership recorded a
loss of $1,188,721 or $9.76 per Unit in February.
In March, trading was volatile, reflecting investors' confusion
over the direction of the U.S. economy. In addition, political
tensions between China and Taiwan and "Mad Cow" disease outbreak
in Britain further added to economic uncertainties. Elections
in Australia, which resulted in the end of 13 years of Labor
Party rule, strengthened the Australian dollar to levels not
recorded in at least 10 months. Trading in stock indices and
metals was unprofitable. As a result, the Partnership recorded
a loss of $51,517 or $.42 per Unit in March.
During the quarter, additional Units sold consisted of 4,662.19
limited partnership units; there were no general partner units
sold . Additional Units sold during the quarter represented a
total of $1,413,400 before the reduction of selling commissions
and organizational costs of $126,466. Investors redeemed a
total of 2,733.64 Units during the quarter. At the end of the
quarter there were 122,554.27 Units outstanding (including
2,315.34 Units owned by the General Partners).
During the fiscal quarter ended March 31, 1996, the Partnership
had no material credit exposure to a counterparty which is a
foreign commodities exchange.
Part II. OTHER INFORMATION
Item 1. Legal Proceedings
The Partnership and its affiliates are from time to time
parties to various legal actions arising in the normal course
of business. The General Partners believe that there is no
proceeding threatened or pending against the Partnership or any
of its affiliates which, if determined adversely, would have a
material adverse effect on the financial condition or results
of operations of the Partnership.
Item 2. Changes in Securities
None
Item 3. Defaults Upon Senior Securities
None
Item 4. Submission of Matters to a Vote of Security Holders
None
Item 5. Other Information
None
Item 6. Exhibits and Reports on Form 8-K
a) Exhibits
None
b) Reports on Form 8-K
The Partnership filed a Form 8-K (Item 5) with the
Securities and Exchange Commission on July 24, 1997
to report that Welton Investment Corporation had been
added as a commodity trading advisor of the Partnership
effective July 8, 1997.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of
1934, the registrant has duly caused this report to be signed on
its behalf by the undersigned and thereunto duly authorized.
IDS MANAGED FUTURES, L.P.
Date: November 13, 1997 By: CIS Investments, Inc.,
One of its General Partners
By: /s/ Richard A Driver
Richard A. Driver
Treasurer
(Duly authorized officer of
the General Partner and the
Principal Financial Officer of
the General Partner)
<TABLE> <S> <C>
<ARTICLE> 5
<LEGEND>
This schedule contains summary financial information extracted from IDS Managed
Futures, L.P. for the third quarter of 1997 and is qualified in its entirety by
reference to such 10-Q.
</LEGEND>
<CIK> 0000809061
<NAME> IDS MANAGED FUTURES, L.P.
<S> <C>
<PERIOD-TYPE> 3-MOS
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-END> SEP-30-1997
<CASH> 46,136,535
<SECURITIES> 0
<RECEIVABLES> 306,673
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 46,443,208
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 46,443,208
<CURRENT-LIABILITIES> 832,745
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 45,610,464
<TOTAL-LIABILITY-AND-EQUITY> 46,443,208
<SALES> 0
<TOTAL-REVENUES> 4,580,818
<CGS> 0
<TOTAL-COSTS> 1,106,949
<OTHER-EXPENSES> 0
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 3,473,870
<INCOME-TAX> 0
<INCOME-CONTINUING> 3,473,870
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 3,473,870
<EPS-PRIMARY> 25.61
<EPS-DILUTED> 25.61
</TABLE>
