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, 2000
Commission File Number 0-16515
IDS MANAGED FUTURES, L.P.
--------------------------
(Exact name of registrant as specified in its charter)
Delaware 06-1189438
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(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification #)
233 South Wacker Dr., Suite 2300, Chicago, IL 60606
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(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
--- ---
<PAGE>
PART I. FINANCIAL INFORMATION
Item 1. Financial Statements
Following are Financial Statements for the fiscal quarter ended September 30,
2000 and the additional time frames as noted:
<TABLE>
<CAPTION>
Fiscal Quarter Year to Date Fiscal Year Fiscal Quarter Year to Date
Ended 9/30/00 Ended 9/30/00 Ended 12/31/99 Ended 9/30/99 Ended 9/30/99
------------- ------------- -------------- ------------- -------------
<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
</TABLE>
<PAGE>
IDS MANAGED FUTURES, L.P.
STATEMENTS OF FINANCIAL CONDITION
UNAUDITED
<TABLE>
<CAPTION>
Sep 30, 2000 Dec 31, 1999
------------ ------------
<S> <C> <C>
ASSETS
Cash at Escrow Agent $0 $0
Equity in commodity futures
trading accounts:
Account balance 30,246,294 45,354,529
Unrealized gain (loss) on open
futures contracts (1,804,060) 2,294,971
----------------- ---------------
28,442,234 47,649,500
Interest receivable 140,560 183,939
Prepaid G.P. fee 159,170 0
----------------- ---------------
TOTAL ASSETS $28,741,964 $47,833,439
================= ===============
LIABILITIES AND PARTNERS' CAPITAL
Liabilities:
Accrued commissions on open
futures contracts due to AXP Advisors and CIS $40,059 $40,846
Accrued management fee 86,126 143,998
Accrued incentive fee 0 0
Accrued operating expenses 29,246 38,000
Redemptions payable 521,554 1,287,696
Selling and Offering Expenses Payable 2,295 18,912
----------------- ---------------
Total liabilities 679,280 1,529,452
Partners' Capital:
Limited partners (118,559.18 units 27,396,355 45,403,623
outstanding at 9/30/00, 145,413.46
units outstanding at 12/31/99) (see Note 1)
General partners (2,883.58 units outstanding at 666,329 900,364
9/30/00 and 12/31/99) (see Note 1)
----------------- ---------------
Total partners' capital 28,062,684 46,303,987
----------------- ---------------
TOTAL LIABILITIES AND
PARTNERS' CAPITAL $28,741,964 $47,833,439
================= ===============
Net asset per oustanding unit of partnership interest $231.08 $312.24
</TABLE>
See accompanying notes to financial statements.
<PAGE>
IDS MANAGED FUTURES, L.P.
STATEMENTS OF OPERATIONS
UNAUDITED
<TABLE>
<CAPTION>
Jul 1, 2000 Jan 1, 2000 Jul 1, 1999 Jan 1, 1999
through through through through
Sep 30, 2000 Sep 30, 2000 Sep 30, 1999 Sep 30, 1999
------------ ------------ ------------ ------------
<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 ($1,271,187) ($5,620,111) ($624,794) $2,031,638
Change in unrealized gain (loss)
on open positions (1,315,019) ($4,099,031) (5,230,180) (6,880,481)
Interest income 428,516 $1,406,347 572,971 1,636,638
Foreign currency transaction gain (loss) (75,751) ($311,353) 90,885 (76,777)
-------- ---------- ------ --------
Total revenues (2,233,441) (8,624,148) (5,191,118) (3,288,982)
EXPENSES
Commissions paid to AXP Advisors and CIS 304,158 $952,441 381,998 1,136,804
Exchange fees 10,726 $41,803 19,452 59,074
Management fees 276,277 $987,857 487,506 1,488,115
Incentive fees 0 $0 0 107,651
General Partner fee to IDS Futures Corp. and CIS 159,170 $477,510 198,492 595,477
Taxes Withheld (49,334) ($92,124) 0 0
Operating expenses 9,394 $28,499 13,500 41,274
----- ------- ------ ------
Total expenses 710,391 2,395,986 1,100,948 3,428,395
------- --------- --------- ---------
NET PROFIT (LOSS) ($2,943,832) ($11,020,134) ($6,292,066) ($6,717,377)
=========== ============ =========== ===========
PROFIT (LOSS) PER UNIT OF
PARTNERSHIP INTEREST ($23.48) ($81.16) ($42.18) ($45.01)
======= ======= ======= =======
</TABLE>
See accompanying notes to the financial statements.
<PAGE>
IDS MANAGED FUTURES, L.P.
STATEMENT OF CHANGES IN PARTNERS' CAPTIAL
FOR THE PERIOD JANUARY 1, 2000 THROUGH SEPTEMBER 30, 2000
UNAUDITED
<TABLE>
<CAPTION>
Limited General
Units* Partners Partners Total
------ -------- -------- -----
<S> <C> <C> <C> <C>
Partners' capital at January 1, 2000 145,413.46 $45,403,623 $900,364 $46,303,987
Net profit (loss) (10,786,099) (234,035) (11,020,134)
Additional Units Sold 2,579.70 778,100 0 778,100
(see Note 1)
Less Selling and Organizational Costs (64,357) 0 (64,357)
Redemptions (see Note 1) (29,433.98) (7,934,912) (7,934,912)
- ---------- ---------- ---------- ----------
Partners' capital at September 30, 2000 118,559.18 $27,396,355 $666,329 $28,062,684
========== =========== ======== ===========
Net asset value per unit
January 1, 2000 (see Note 1) $312.24 $312.24
Net profit (loss) per unit (see Note 1) (81.16) (81.16)
- ------ ------
Net asset value per unit
September 30, 2000 $231.08 $231.08
</TABLE>
* Units of Limited Partnership interest.
See accompanying notes to the financial statements.
<PAGE>
IDS MANAGED FUTURES, L.P.
STATEMENTS OF CASH FLOWS
UNAUDITED
<TABLE>
<CAPTION>
Jan 1, 2000 Jan 1, 1999
through through
Sep 30, 2000 Sep 30, 1999
------------ ------------
<S> <C> <C>
Cash flows from operating activities:
Net profit (loss) ($11,020,134) ($6,717,377)
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 and forward contracts 4,099,031 6,874,069
(Increase) Decrease in interest receivable 43,379 (4,612)
(Increase) Decrease in prepaid general partner fee (159,170) (198,492)
Increase (Decrease) in accrued liabilities (84,030) (132,076)
----------------- ---------------
Net cash provided by (used in)
operating activities (7,120,924) (178,488)
Cash flows from financing activities:
Net proceeds from sale of units 713,743 4,988,121
Partner redemptions (8,701,054) (5,430,163)
----------------- ---------------
Net cash provided by (used in)
financing activities (7,987,311) (442,042)
----------------- ---------------
Net increase (decrease) in cash (15,108,235) (620,531)
Cash at beginning of period $45,354,529 52,649,782
----------------- ---------------
Cash at end of period $30,246,294 $52,029,251
================= ===============
</TABLE>
See accompanying notes to the financial statements.
<PAGE>
IDS MANAGED FUTURES, L.P.
NOTES TO FINANCIAL STATEMENTS
September 30, 2000
(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" or the "Clearing
Broker"), the clearing broker for the Partnership. IDS Futures is an affiliate
of American Express Financial Advisors Inc. ("AEFA"), formerly IDS Financial
Services Inc., which acts as the Partnership's introducing broker and selling
agent. Trading decisions for the Partnership during the period of these
financials were made by two independent commodity trading advisors, John W.
Henry & Company, Inc. ("JWH") and Welton Investment Corporation ("Welton").
Units of limited partnership interest ("Units") were offered initially by AEFA
commencing March 27, 1987 and concluding June 16, 1987. Subsequent offerings
commenced March 29, 1993, January 31, 1994 and June 26, 1995. 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.
The Units are currently offered pursuant to a Prospectus dated April 11, 2000.
The minimum subscription size for the offering is $1,000 for investors not
affiliated with AEFA. By September 30, 2000, a total of 109,384.38 Units
representing a total investment of $37,730,675 of limited partnership interest
had been sold in the offering period commencing June 26, 1995. During the
quarter ended September 30, 2000, selling commissions of $6,630 were paid to
AEFA by the new limited partners and all new investors paid organization and
offering expenses totaling $3,315.
<PAGE>
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 Amended and Restated Limited Partnership
Agreement contains a full description of redemption and distribution procedures.
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 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.
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 and marked to market daily. 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.
<PAGE>
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 91-day Treasury bill rate for U.S. Treasury bills issued
during that month.
REDEMPTIONS
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 10 days' written notice to the General Partners.
Payment will be made within 10 business days of the effective date of the
redemption. The Partnership's Limited Partnership Agreement contains a full
description of redemption and distribution procedures.
COMMISSIONS
Brokerage commissions, National Futures Association fees, and clearing and
exchange fees are accrued on a half-turn basis on open commodity futures
contracts. The Partnership pays commissions on trades executed on its behalf at
a rate of $17.50 per half-turn contract to CIS which in turn reallocates $10 per
half-turn contract to AEFA, an affiliate of IDS Futures.
FOREIGN CURRENCY TRANSACTIONS
Trading accounts in 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 escrow agent and on deposit with the Clearing Broker in commodity
futures trading accounts.
<PAGE>
USE OF ESTIMATES
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of increase and decrease in net assets from operations
during the period. Actual results could differ from those estimates.
(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 periods covered in these
financial statements were made by JWH and Welton, the Partnership's Commodity
Trading Advisors ("CTAs"). See Note 1 for the specific periods of trading for
each CTA.
Under signed agreement, JWH receives a monthly management fee of 1/3 of 1% of
the month-end Net Asset Value of the Partnership assets under its management and
15% of the Partnership's net trading profits, if any, attributable to its
management.
Under signed agreement, Welton receives a monthly management fee of 1/4 of 1% of
the month-end Net Asset Value of the 1Partnership assets under its management
and 18% of the Partnership's net trading profits, if any, attributable to its
management.
Effective October 1, 2000, the management and incentive fees earned by JWH and
Welton will change to a monthly management fee of 1/6 of 1% of the month-end Net
Asset Value of the Partnership assets under each CTA's management and 20% of the
Partnership's net trading profits, if any, attributable to each CTA'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.
(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 the Clearing Broker at
all times.
<PAGE>
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 Forwards
Currency Broker is the counterparty for the Partnership's forward transactions.
CISFS policies require that it executes transactions only with top rated
financial institutions with assets in excess of $100,000,000.
The Partnership holds futures positions on the various exchanges throughout the
world and forward positions with CISFS which transacts with various top rated
banks throughout the world. As defined by SFAS 105, futures and forward currency
contracts 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. As of
September 30, 2000 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 financials and
<PAGE>
metals group. Both CTAs trade on U.S. and non-U.S. exchanges. Such
diversification should greatly reduce this market risk.
The margin requirement at September 30, 2000 was $4,117,956. To meet this
requirement, the Partnership had on deposit with the Clearing Broker $24,044,855
in segregated funds, $3,729,835 in secured funds, and $667,544 in non-regulated
funds. At September 30, 2000, 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, 2000:
<TABLE>
<CAPTION>
COMMODITY GROUP UNREALIZED GAIN/(LOSS)
--------------- ----------------------
<S> <C>
AGRICULTURAL COMMODITIES (34,770)
FOREIGN CURRENCIES (1,267,265)
STOCK INDICES (13,935)
ENERGIES (375,438)
METALS (113,406)
INTEREST RATE INSTRUMENTS 754
-------------------
TOTAL (1,804,060)
</TABLE>
The range of maturity dates of these exchange traded open contracts is October
2000 to September 2001. The average open trade equity for the period of January
1, 2000 to September 30, 2000 was $1,461,139.
(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, 1999, as filed
<PAGE>
with the Securities and Exchange Commission on March 28, 2000, 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, 2000
The Partnership recorded a loss of $2,943,832 or $23.48 per unit for the third
quarter of 2000. This compares to a loss of $6,292,067 or $42.18 per Unit for
the third quarter of 1999.
The Partnership posted losses in July and September. Performance in August was
up slightly. Markets continued the erratic, trend-less patterns that occurred in
the second quarter. Both the John W. Henry & Company, Inc. (JWH) and the Welton
Investment Corporation (Welton) experienced losses this quarter. As of September
30, 2000 JWH was managing 61% of the Partnership's assets while Welton was
managing the remaining 39%.
In July, an apparent economic slowdown in the U.S., uncertainty over the ending
of zero interest rates in Japan and one-half of one percent rise in European
interest rates provided a difficult trading environment for the Partnership.
Currency trading provided the lion's share of the losses in the portfolio.
Profits in long U.S. dollar positions waned as signs of a slowdown in the U.S.
economy weakened the dollar versus major currencies. Most damaging was the
aforementioned rise in the European interest rate, which served to bolster an
increasingly positive Euro sentiment. The rally in the Euro resulted in the
majority of currency losses in June. Many global interest rate positions proved
to be unprofitable as short-term volatility over the likely direction of
interest rates denied the Partnership of profitable trends. The index sector was
down in sympathy with interest rates.
On the positive side, surging petroleum prices allowed long positions in the
energy sector to continue to accrue profits. Profitable positions in sugar,
soybeans and coffee supported performance in the non-financial markets. Metals'
trading was slightly negative. In summation, the Partnership recorded a loss of
$1,086,380 or $8.41 per unit in July.
The Partnership benefited from a strong U.S. dollar and a resurgence in energy
prices to record a gain in August. Energies contributed the majority of the
profits for the month with Brent crude oil prices hitting 10-year highs and U.S.
crude coming within $1 of a new post Gulf War record. Long U.S. dollar positions
posted gains for the portfolio when the beleaguered Euro sank to a three-month
low against the U.S. dollar and dragged
<PAGE>
the Swiss franc along with it. The British pound also set six-year lows against
the U.S. dollar amid the perception that interest rates will hold for some time
in Britain. These gains were somewhat offset by losses which occurred when the
Japanese economy strengthened, causing a rally against our short Yen position.
Short Nikkei positions proved unprofitable when the Index rose for the month in
response to the Bank of Japan's decision to hike interest rates thus ending
their 18-month zero interest rate policy. Interest rates, metals and
agricultural commodities were unchanged for the month. Profits made by Welton
overcame a small loss for JWH which made August a profitable month. The
Partnership recorded a gain of $170,910 or $1.35 per Unit in August.
Currency markets were caught off guard September 22 when massive central bank
intervention supported the Euro and temporarily halted its decline. After having
been up almost 6% earlier in the month, performance suffered when the central
banks from Canada, Japan, the United Kingdom and the U.S. agreed to purchase
over 6 billion Euros. The Central Bankers intervened because the Euro had
declined to a level that could create inflation in its member countries. Their
action led to reverberations throughout the currency and interest rate markets.
Despite the gains seen early in the month, this intervention caused positions in
European and Asian currencies and foreign and U.S. debt markets to be mostly
unprofitable. In the energy sector, crude oil prices, after rising to over $39 a
barrel, fell sharply on news that OPEC increased production and the Clinton
administration released 30 million barrels from the U.S. strategic supply.
Despite this increase in supply, crude oil inventory is at a 20 year low and
remains susceptible to additional price dislocations. With consumption expected
to increase in winter, we feel optimistic about the Partnership's long
positions.
Metals were profitable across the board in September with short gold positions
tracking the Euro to end the month lower. In addition, long copper positions
supported by falling inventories and robust demand were profitable. Agricultural
commodities were off slightly due to losses in sugar as world sugar supplies
remain burdensome and potential sales from India continue to weigh on the
market. The Partnership suffered a loss of $2,028,362 or $16.42 per unit in
September.
Effective October 1, fees paid to the Partnership's Trading Advisors, the Welton
Investment Company and the John W. Henry Company, were changed. The annual
Management fee will now be 2% (down from 4%) while the incentive fee will be 20%
(up from 15%) of new net high profits. These changes will reduce the "breakeven"
for the Partnership by 2% and put a greater emphasis on profitability.
During the 3rd Quarter, there were 415.97 additional Units sold to Limited
Partners (there were no units sold to General Partners). Additional Units sold
during the quarter represented a total of $110,500 before the reduction of
selling commissions and organizational costs of $9,945. Investors redeemed a
total of 8,037.15 Units during the quarter. At the end of the quarter there were
121,442.76 Units outstanding (including 2,883.58 Units owned by the General
Partner).
<PAGE>
During the fiscal quarter ended September 30, 2000, the Partnership had no
material credit exposure to a counter-party which is a foreign commodities
exchange or to any counter-party dealing in over the counter contracts which was
material.
Fiscal Quarter ended September 30, 1999
The Partnership recorded a loss of $6,292,067 or $42.18 per Unit for the third
quarter of 1999. This compares to a gain of $10,563,430 or $71.50 per Unit for
the third quarter of 1998.
In the first month of the quarter the Partnership posted a loss resulting
primarily from excessive volatility in the currency markets. The Partnership
posted a small loss during the second month of the quarter resulting primarily
from losses in global interest rates and the Japanese Nikkei stock index. During
the third month of the quarter, the Partnership surrendered profits due to
rapidly escalating gold prices and the Partnership's short gold positions.
Overall, the third quarter of fiscal 1999 ended negatively for the Partnership
accounts managed by JWH. At September 30, 1999, JWH was managing 68% of the
Partnership's assets and Welton was managing 32% of the Partnership's assets.
The Partnership posted a loss for July, largely due to excessive volatility in
the currency markets. After gaining value versus the world's currencies for
several weeks, the U.S. dollar ran out of steam by the mid-month. As a result,
the Partnership posted losses from long Dollar positions against the Euro, Swiss
franc and Japanese yen. The decline of the Dollar continued through month end,
which prompted short Dollar positions to be established.
Losses in the currency markets wiped out smaller gains that came from global
interest rates, metals, energy and the agricultural sectors. Short positions in
the 10-year and 30-year U.S. bonds provided profits as the long bond yield rose
above 6.1%. The Partnership's strongest gains in this sector came from Europe
where interest rates continued to rise. Profits were earned from short positions
in the Euro Bund, Euro Bobl and U.K. Gilt. Likewise, the Partnership continued
to profit from its short positions in the gold market as the price of gold fell
to its lowest level in 20 years; $253.70 per troy ounce. All in all, the
Partnership posted a loss of $1,663,100 or $11.16 per Unit in July.
In August, the Partnership posted another small loss. Gains for the Partnership
were the result of a weaker U.S. dollar, versus the Yen and Euro specifically.
Stronger crude oil prices and lower gold prices also provided gains.
Unfortunately, these gains were offset by losses in global interest rates and
the Japanese Nikkei stock index. Long positions in the Japanese stock index (the
Nikkei) that were profitable for the entire year were closed out and small
losses were recorded during August.
Currencies provided some resurrection in the form of a stronger Yen and Euro
versus the U.S. dollar. Since mid-July, the Partnership held profitable long
positions in the Yen and Euro looking for these currencies to strengthen against
the Dollar. Long positions
<PAGE>
in crude oil performed well as prices rose $2 per barrel during August exceeding
$22 per barrel. Gold prices again plummeted through a 20-year low to $253.00 per
troy ounce. Notwithstanding these gains, the Partnership posted a loss of
$1,689,683 or $11.34 per Unit in August.
The Partnership had a difficult time in the markets during September. Losses
were primarily attributable to its short gold position, as the price rose over
$50 per ounce. The price of gold escalated rapidly after 15 European central
banks announced that they wouldn't sell or lease additional gold for the next
five years.
Unfortunately, gains in Crude oil and the Japanese Yen were offset by losses in
gold, as well as short positions in the U.S. and Japanese bond markets. The
Partnership's long positions in Crude oil performed well as prices rose nearly
another $2 per barrel. Currencies provided small gains as the Japanese yen
strengthened against the U.S. dollar for the second consecutive month. In
addition, long yen positions proved profitable relative to the European
currencies. Notwithstanding these gains, the Partnership posted a loss of
$2,939,284 or $19.68 per Unit in September.
During the quarter there were 4,331.77 additional Units sold to the Limited
Partners (there were no Units sold to the General Partners). Additional Units
sold during the quarter represented a total of $1,526,297.00 before the
reduction of selling commissions and organizational costs of $137,403. Investors
redeemed a total of 3,240.39 Units during the quarter. At the end of the quarter
there were 150,020.91 Units outstanding (including 2,884.19 Units owned by the
General Partners).
During the fiscal quarter ended September 30, 1999, the Partnership had no
material credit exposure to a counterparty which is a foreign commodities
exchange.
Fiscal Quarter ended June 30, 2000
The Partnership recorded a loss of $3,746,127 or $28.18 per Unit for the second
quarter of 2000. This compares to a gain of $4,874,406 or $32.32 per Unit for
the second quarter of 1999.
The Partnership posted losses every month in the second quarter. The world's
interest rate, currency, stock index and metals markets had been focusing on
inflation indicators which had been sending mixed signals. This led to
trend-less, erratic markets which are difficult for managers utilizing long-term
trend following strategies such as the John W. Henry & Company, Inc. ("JWH") and
Welton Investment Corporation ("Welton"). At June 30, 2000, JWH was managing 65%
of the Partnership's assets and Welton was managing 35% of the Partnership's
assets.
In April, volatility in stocks led to a stronger U.S. dollar versus Euro and
profits for the Partnership. Despite an interest rate increase by European
central banks, the dollar reached an all time high versus the Euro. Additional
profits were accrued in long dollar
<PAGE>
positions against the British, Swiss, and Australian currencies. Stock index
trading suffered, especially in Japan. Although the Partnership's metals
positions were up slightly, overall trading in non-financial markets was down
slightly with the energy and food markets showing losses. This was an especially
difficult area for Welton, who was down over 7%. The Partnership recorded a loss
of $308,529 or $2.22 per unit in April.
In May, mixed inflationary signals set the scene for two major trend reversals.
The U.S. interest rate market had a volatile change of direction as rates headed
lower and the Euro abruptly reversed its long term down trend versus the U.S.
dollar. After having been profitable for the majority of May, the Partnership
closed lower when both trends reversed. Trading in U.S. bonds was down sharply,
as was Euro denominated interest rate trading. After hitting all-time lows
against the dollar in April, the Euro appreciated and profits accumulated in
April by the Partnership were given back. Short positions in the Nikkei made the
stock index sector the only positive performing financial area. Long positions
in the energy sector produced positive results as petroleum prices continued to
surge. Trading in metals, foods and fibers was flat. The Partnership recorded a
loss of $1,065,042 or $7.89 per unit in May.
In June, uncertainty regarding an economic slowdown in the U.S. and an interest
rate rise in Europe provided a conflicting climate for trading. These events
created problems in the currency sector, which was the worst performing area in
June. JWH found this area especially difficult. The Partnership's positions in
interest rates, metals and stock indices were unprofitable as well. On the
positive side surging petroleum prices allowed long positions in the energy
sector to continue to accrue profits. Profitable positions in sugar and soybean
oil allowed the agricultural sector to show a small positive return for the
month. However, the Partnership recorded a loss of $2,372,556 or $18.07 per unit
in June.
During the quarter there were 786.67 additional Units sold to the Limited
Partners (there were no Units sold to the General Partners). Additional Units
sold during the quarter represented a total of $235,400 before the reduction of
selling commissions and organizational costs of $20,486. Investors redeemed a
total of 10,488.61 Units during the quarter. At the end of the quarter there
were 129,063.93 Units outstanding (including 2,883.58 Units owned by the General
Partners).
During the fiscal quarter ended June 30, 2000, the Partnership had no material
credit exposure to a counter-party which is a foreign commodities exchange or to
any counter-party dealing in over the counter contracts which was material.
Fiscal Quarter ended June 30, 1999
The Partnership recorded a gain of $4,874,406 or $32.32 per Unit for the second
quarter of 1999. This compares to a loss of $3,634,300 or $25.03 per Unit for
the second quarter of 1998.
<PAGE>
In the first month of the quarter the Partnership posted a gain resulting
primarily from an appreciating Japanese stock market, rising crude oil prices,
falling commodity prices and continued appreciation of the U.S. dollar versus
the Euro and Swiss franc. The Partnership posted a gain during the second month
of the quarter resulting primarily from the declining price of gold and the
continued decline of the Euro currency. During the third month of the quarter,
the Partnership posted a gain as it continued to benefit from the freefall in
gold prices and the declining Euro currency. Overall, the second quarter of
fiscal 1999 ended positively for the Partnership accounts managed by both JWH
and Welton. At June 30, 1999, JWH was managing 68.7% of the Partnership's assets
and Welton was managing 31.3% of the Partnership's assets.
In April, currencies were the most favorable sector for the Partnership. The
continued flight to quality to the U.S. dollar provided opportunities for the
Partnership to profit from long U.S. dollar positions versus the Euro and Swiss
franc. As the conflict in Kosovo persisted, the flow of money into the U.S.
dollar continued. Trading in the Japanese yen and Australian dollar was also
profitable. Confidence in the Japanese stock market restored performance in the
Nikkei 225 as the index was up approximately 20% year to date. A long position
in the Nikkei helped the Partnership generate profits as did long positions in
the S&P 500 Index and Hang Seng Index.
During April, the unprofitable trading sectors were mainly interest rates and
precious metals. As Europe cut interest rates mid-month, the Partnership's
position went from short to long. Short U.S. bond positions generated a small
profit by month end. Short gold positions were also unprofitable. In the
interim, this position turned profitable as the United Kingdom decided to sell
off over 50% of its gold reserves putting severe pressure on the price of gold.
All in all, the Partnership posted a gain of $742,505 or $4.93 per Unit in
April.
In May, gold fell below $270 per ounce, a 20 year low. The Partnership benefited
from this price decline since it held short gold positions during the month. The
interest rate rumors in the U.S., coupled with the inflation fears caused the
continuation of the decline in the U.S. 10-year and 30-year bonds. The
Partnership held short positions in this sector during May, resulting in profits
for the period. In addition, the Partnership held long positions in the Japanese
government bond which were profitable.
For the third consecutive month, currencies continued to provide gains for the
Partnership. Profit opportunities came from long U.S. dollar positions versus
the Euro and Swiss franc. During May, the Euro fell to its lowest level versus
the U.S. dollar since its inception at the beginning of the year. Pressure on
the Euro surrounded the conflict in Kosovo, as investors saw the dollar as a
safe haven. Small gains also came from the Japanese yen. Overall, the
Partnership posted a gain of $1,365,404 or $9.05 per Unit in May.
In June, the rumor of the Fed raising interest rates in the U.S. became a
reality. The Partnership's short positions in the 10-year and 30-year bonds
provided profits and
<PAGE>
strong gains were posted as European bond prices continued to erode. A big
reason was the weakening Euro, which declined 13%, depreciating in a straight
line against the U.S. dollar since its inception January 1, 1999. Short
positions in the German Bund, the German Bobl and U.K. Gilt provided the lion's
share of performance. Currencies also provided gains for the Partnership for the
fourth consecutive month. Once again, the profit opportunities came from long
U.S. dollar positions versus the Euro and Swiss franc. Pressure on the Euro
which initially resulted from the conflict in Kosovo, now also seemed to be
attributable to investors losing confidence in the Euro.
During June, the Partnership continued to profit from its short positions in the
gold market. Long positions in the Nikkei stock index had been profitable for
the Partnership for the entire year, as the percentage gain in this index for
1999 was 26.64%. Short positions in the agricultural complex, especially in
coffee, caused losses as the prices of these commodities rebounded.
Additionally, continued long positions in crude oil were favorable as oil prices
gained nearly 80% in 1999. Overall, the Partnership posted a gain of $2,766,497
or $18.34 per Unit in June.
During the quarter there were 4,782.51 additional Units sold to the Limited
Partners (there were no Units sold to the General Partners). Additional Units
sold during the quarter represented a total of $1,726,327 before the reduction
of selling commissions and organizational costs of $110,562. Investors redeemed
a total of 6,578.46 Units during the quarter. At the end of the quarter there
were 148,929.54 Units outstanding (including 2,884.19 Units owned by the General
Partners).
During the fiscal quarter ended June 30, 1999, IDS Futures elected Patricia L.
Moren to replace former vice-president John M. Knight and CISI experienced the
following officer changes: Shaun D. O'Brien replaced former Vice President and
Treasurer Richard A. Driver; James Clemens replaced Henry W. Gjersdal as
Assistant Secretary; Lillian Lundeen replaced Bruce H. Barnett as Assistant
Secretary.
During the fiscal quarter ended June 30, 1999, the Partnership had no material
credit exposure to a counterparty which is a foreign commodities exchange.
Fiscal Quarter ended March 31, 2000
The Partnership recorded a loss of $4,330,175 or $29.50 per Unit for the first
quarter of 2000. This compares to a loss of $5,299,715 or $35.15 per Unit for
the first quarter of 1999.
In the first month of the quarter the Partnership posted a loss resulting
primarily from volatility in the currency sector. The Partnership posted a loss
for the second month of the quarter resulting primarily from trading in global
interest rates. During the third month of the quarter currency destabilization
and massive capital shifts out of the U.S. dollar resulted in a loss for the
Partnership. Overall, the first quarter of fiscal 2000 ended negatively for the
Fund accounts managed by JWH(R) and Welton. At March 31, 2000,
<PAGE>
JWH was managing approximately 60% of the Fund's assets and Welton was managing
approximately 40% of the Fund's assets.
January 2000 marked the turning of the millennium. This coupled with the
build-up to Y2K came and went without a hitch. However, the currency sector was
all but quiet as extreme volatility prompted large swings in the price of the
U.S. dollar relative to the Japanese yen. Within the first couple of days of the
New Year, the Japanese banks intervened and started pouring money into the
dollar. This abrupt reversal in the dollar/yen relationship resulted in a
reversal of partnership positions from long yen to short yen within a matter of
days. Short Australian dollar positions proved difficult and also resulted in
losses. Stock indices, namely the Nikkei fell in response to volatility in the
tech sector, which is factored into that index. . Long positions hurt the
Partnership performance as did long positions in the S&P 500 and Paris CAC-40
index. Sustained long coffee positions were unprofitable as coffee prices
continue to fall. Despite realizing profits from short U.S. bond and long
Japanese Government Bond positions, as well as maintaining long profitable crude
oil and short aluminum positions, the Partnership posted overall losses. All in
all, the Partnership posted a loss of $2,423,590 or $16.34 per Unit in January.
Changing expectations regarding economic growth and inflation created a
difficult trading environment in February. The strategic news item was the U.S.
Federal Reserve's decision to buy back part of the debt, which led to a powerful
rally in the U.S.30-year bond. The decision by the Fed created havoc in
partnership interest rate portfolio, which was dominated by short positions.
Losses were taken in North American, Asian, and European interest rates. The
yield on the 10-year U.S. government bond currently exceeds that of the 30-year,
creating an inverted yield curve, which is a very unusual occurrence. Currency
trading was mixed. Profitable long U.S. dollar positions were bolstered by the
revised 4th quarter GNP number, which reflected a robust economy. However, gains
in the dollar were offset by losses incurred by long European/short Japanese
positions. Surging energy prices supported performance in non-financial markets.
Food and grain markets were once again featureless. Precious metals trading
suffered as gold prices rallied and then fell sharply. Equity indices gained on
some lost ground in January as U.S. and European equity indices rose. Long
positions here had a small positive impact. On March 2, the General Partners
received a letter from Verne Sedlacek, President of John W. Henry & Company,
Inc. detailing modifications to the Financial and Metals trading program. All
changes are designed to add balance to the program without giving up any upside
potential. Most noteworthy are the dramatic reductions in precious metals and
Far Eastern interest rate trading as well as the addition of offshore stock
indices, base metals, and expansion of non-dollar currency trading. JWH remains
steadfast in their commitment to research. Overall, the Partnership posted a
loss of $1,495,665 or $10.30 per Unit in February.
In March, profit taking in U.S. stocks led to massive capital shifts out of the
U.S. dollar and into the Japanese yen. These events destabilized currency and
stock markets worldwide and resulted in losses for the Partnership. The
appreciation of the yen contributed to Partnership losses in that long positions
in the dollar and euro versus the
<PAGE>
yen both suffered. Marginal gains in dollar positions against Europe and
Australia's currencies proved inadequate in offsetting these losses.
Non-financial markets were, for the most part, quiet in March. Profits in long
crude oil, heating oil, and gasoline positions were reduced when OPEC agreed to
expand oil production. Performance in precious, as well as, industrial metals
was down slightly. The food and grain markets were featureless. Positive
performance in March came from the interest rate sector. The 7% correction in
tech stocks coupled with the U.S. treasury's continued buying of longer dated
bonds led to positive performance in our bond position. The European Central
Bank's decision to raise short-term interest rates led to purchasing European
bonds, which assisted our position as well. Stock indices, namely the
appreciation in the S&P 500 contributed to Partnership performance. Overall, the
Partnership posted a loss of $410,920 or $2.86 per Unit in March.
During the quarter there were 1,377.06 additional Units sold to the Limited
Partners (there were no Units sold to the General Partners). Additional Units
sold during the quarter represented a total of $432,200 before the reduction of
selling commissions and organizational costs of $33,926. Investors redeemed a
total of 10,908.23 Units during the quarter. At the end of the quarter there
were 138,765.87 Units outstanding (including 2,883.58 Units owned by the General
Partners).
During the fiscal quarter ended March 31, 2000, the Partnership had no material
credit exposure to a counterparty which is a foreign commodities exchange.
Fiscal Quarter ended March 31, 1999
The Partnership recorded a loss of $5,299,715 or $35.15 per Unit for the first
quarter of 1999. This compares to a loss of $1,141,392 or $8.18 per Unit for the
first quarter of 1998.
In the first month of the quarter the Partnership posted a loss resulting
primarily from volatility in the currency sector as well as Japanese interest
rates. The Partnership posted a small loss for the second month of the quarter
resulting primarily from trading in interest rates. During the third month of
the quarter concerns about the military conflict in Kosovo mounted. As a result
the global markets experienced increased volatility, namely in precious metals
and interest rates, and the Partnership posted a small loss. Overall, the first
quarter of fiscal 1999 ended negatively for the Partnership accounts managed by
JWH and Welton. At March 31, 2000, JWH was managing 66% of the Partnership's
assets and Welton was managing 34% of the Partnership's assets.
Currencies were the most volatile sector for the month of January; namely short
positions in the British pound and long positions in the Japanese yen. The
anxiously awaited Euro began trading and started out the year on a positive note
as short positions rendered small profits for the Partnership. The only
profitable interest rate market was in Germany where the Partnership maintained
a long German bund position, thereby taking advantage of falling German rates.
Short positions in the Japanese government bond and Australian bond positions
created losses for the
<PAGE>
Partnership. Coffee prices vacillated; rising in December and falling in
January. The Partnership posted losses from long coffee positions. Long sugar
positions were also unprofitable. The Nikkei stock index provided the majority
of the loss in the stock indices, as short positions were unprofitable. Crude
oil prices showed no direction during the month. Short positions were retained
during January and resulted in a small loss for the Partnership. All in all, the
Partnership posted a loss of $2,423,515 or $16.03 per Unit in January.
In February, agricultural prices declined steadily throughout the month as the
Partnership was positioned to profit from short positions coffee, corn, wheat,
and soybeans. Energy prices eroded allowing short positions in crude and heating
oil to provide profits. Long silver positions in the precious metals sector were
profitable and the Nikkei stock index provided gains amidst a falling and then
rising market. Currency trading rendered gains from short positions in the Euro,
British pound and Swiss franc as each currency declined against the U.S. dollar.
These gains were able to cover losses in the Australian dollar and Japanese yen.
Interest rates were the only unprofitable sector for the Partnership. On the
plus side, the Partnership was able to take advantage of rising interest rates
in the U.S. 10-year notes and 30-year bonds. However, long Japanese government
bond and German bund positions recorded more significant losses. Overall, the
Partnership posted a loss of $356,905 or $2.36 per Unit in February.
In March, silver and gold positions were extremely volatile as the Partnership
recorded losses from long silver positions and short gold positions. Short bond
positions in Australia and in the United Kingdom were unprofitable as interest
rates in both began to rise. However, long Japanese government bond positions
were the largest loser in this sector as bond prices plummeted. The price
decline in the agricultural complex, which provided profit opportunities during
February from short positions, saw a reversal in March as sustained short corn
and coffee positions gave back profits. Currencies were the most favorable
sector for the Partnership. A flight to quality in the U.S. dollar has provided
opportunities for the Partnership to profit from long U.S. dollar positions
versus the Euro and Swiss franc. The conflict in Kosovo has exacerbated the
crisis-related selling of the Euro and the flow of money into the U.S. dollar.
The Nikkei stock index moved sharply higher during March and the Partnership
profited from long positions. Long positions in the Australian All-Ordinaries
index were also profitable. A sharp rise in energy prices gave way to profits
from long positions in crude oil. Rumors of gasoline shortages as well as the
decision of world oil producers to cut oil production pushed crude prices higher
throughout the month. Overall, the Partnership posted a loss of $2,519,295 or
$16.76 per Unit in March.
During the quarter there were 4,855.95 additional Units sold to the Limited
Partners (there were no Units sold to the General Partners). Additional Units
sold during the quarter represented a total of $1,904,300 before the reduction
of selling commissions and organizational costs of $168,803. Investors redeemed
a total of 5,349.65 Units during the quarter. At the end of the quarter there
were 150,725.48 Units outstanding (including 2,884.19 Units owned by the General
Partners).
<PAGE>
During the fiscal quarter ended March 31, 1999, the Partnership had no material
credit exposure to a counterparty which is a foreign commodities exchange.
<PAGE>
Item 3. Quantitative and Qualitative Disclosures
About Market Risk
There has been no material change with respect to market risk since the
"Quantitative and Qualitative Disclosures About Market Risk" was made in the
Form 10K of the Trust dated December 31, 1999.
<PAGE>
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
Exhibit 27
b) Reports on Form 8-K
None.
<PAGE>
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 9, 2000 By: CIS Investments, Inc.,
One of its General Partners
By: /s/ Rebecca Steindel
--------------------
Rebecca Steindel
Treasurer and Secretary
(Duly authorized officer of the
General Partner and the Principal
Financial Officer of the General
Partner)
