<PAGE>
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 June 30, 2000
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
--- ---
<PAGE>
IDS MANAGED FUTURES, L.P.
NOTES TO FINANCIAL STATEMENTS
JUNE 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"), 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 June 30, 2000, a total of 108,968.41 Units
representing a total investment of $37,630,120 of limited partnership interest
had been sold in the offering period commencing June 26, 1995. During the
quarter ended June 30, 2000, selling commissions of $13,424 were paid to AEFA
by the new limited partners and all new investors paid organization and
offering expenses totaling $7,062.
<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 mark 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 Partnership assets under its
management and 18% of the Partnership's net trading profits, if any,
attributable to its 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 State Partnership
Information and Replacement Tax based on the operating results of the
Partnership. Such tax amounted to $0 for both the periods ended June 30, 2000
and June 30, 1999.
(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
<PAGE>
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 Trust's
forward transactions. CISFS policies require that they execute transactions
only with top rated financial institutions with assets in excess of
$100,000,000.
The Trust holds futures positions on the various exchanges throughout the
world and forwards 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
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. As of June 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 metals group. Both CTAs
trade on U.S. and non-U.S. exchanges. Such diversification should greatly
reduce this market risk.
<PAGE>
The margin requirement at June 30, 2000 was $4,033,665. To meet this
requirement, the Partnership had on deposit with the Clearing Broker
$27,968,029 in segregated funds, $4,769,863 in secured funds, and $391,172 in
non-regulated funds.
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 June 30, 2000:
<TABLE>
<CAPTION>
COMMODITY GROUP UNREALIZED GAIN/(LOSS)
--------------- ----------------------
<S> <C>
AGRICULTURAL COMMODITIES 113,169
FOREIGN CURRENCIES (356,279)
STOCK INDICES (74,258)
ENERGIES 79,435
METALS (312,099)
INTEREST RATE INSTRUMENTS 60,991
----------
TOTAL (489,041)
</TABLE>
The range of maturity dates of these exchange traded open contracts is July
2000 to March 2001. The average open trade equity for the period of January 1,
2000 to June 30, 2000 was $2,263,248. At June 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.
(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 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.
<PAGE>
PART I. FINANCIAL INFORMATION
Item 1. Financial Statements
Following are Financial Statements for the fiscal quarter ended June 30, 2000
and the additional time frames as noted:
<TABLE>
<CAPTION>
Fiscal Quarter Year to Date Fiscal Year Fiscal Quarter Year to Date
Ended 6/30/00 Ended 6/30/00 Ended 12/31/99 Ended 6/30/99 Ended 6/30/99
-------------- ------------- -------------- -------------- -------------
<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>
JUN 30, 2000 DEC 31, 1999
------------ ------------
<S> <C> <C>
ASSETS
Cash at Escrow Agent $ 0 $ 0
Equity in commodity futures
trading accounts:
Account balance 33,618,106 45,354,529
Unrealized gain (loss) on open
futures contracts (489,041) 2,294,971
-------------------- --------------------
33,129,065 47,649,500
Interest receivable 148,682 183,939
Prepaid G.P. fee 318,340 0
-------------------- --------------------
TOTAL ASSETS $33,596,086 $47,833,439
==================== ====================
LIABILITIES AND PARTNERS' CAPITAL
Liabilities:
Accrued commissions on open
futures contracts due to AXP Advisors and CIS $ 29,931 $ 40,846
Accrued management fee 100,812 143,998
Accrued incentive fee 0 0
Accrued operating expenses 23,660 38,000
Redemptions payable 593,332 1,287,696
Selling and Offering Expenses Payable (5,607) 18,912
-------------------- --------------------
Total liabilities 742,129 1,529,452
Partners' Capital:
Limited partners (126,180.35 units
outstanding at 6/30/00, 145,413.46
units outstanding at 12/31/99) (see Note 1) 32,119,926 45,403,623
General partners (2,883.58 units outstanding at
6/30/00 and 12/31/99) (see Note 1) 734,031 900,364
-------------------- --------------------
Total partners' capital 32,853,957 46,303,987
-------------------- --------------------
TOTAL LIABILITIES AND
PARTNERS' CAPITAL $33,596,086 $47,833,439
==================== ====================
Net asset per oustanding unit of partnership interest $ 254.56 $ 312.24
</TABLE>
These Statements of Financial Condition, in the opinion of management, reflects
all adjustments necessary to fairly state the financial condition of IDS
Managed Futures, L.P. (See Note 6)
See accompanying notes to financial statements.
<PAGE>
IDS MANAGED FUTURES, L.P.
STATEMENTS OF OPERATIONS
UNAUDITED
<TABLE>
<CAPTION>
Apr 1, 2000 Jan 1, 2000
Through Through
Jun 30, 2000 Jun 30, 2000
------------ ------------
<S> <C> <C>
REVENUES
Gains on trading of commodity futures
and forwards contracts, physical
commodities and related options:
Realized gain (loss) on closed positions $(1,046,887) $(4,348,924)
Change in unrealized gain (loss)
on open positions (2,349,124) (2,784,012)
Interest income 462,803 977,831
Foreign currency transaction gain (loss) (60,466) (235,602)
------------------------- ----------------------
Total revenues (2,993,674) (6,390,707)
EXPENSES
Commissions paid to AXP Advisors and CIS 241,614 648,283
Exchange fees 11,822 31,077
Management fees 330,242 711,580
Incentive fees 0 0
General Partner fee to IDS Futures Corp. and CIS 159,170 318,340
Taxes Withheld 0 (42,790)
Operating expenses 9,605 19,105
------------------------- ----------------------
Total expenses 752,453 1,685,595
------------------------- ----------------------
NET PROFIT (LOSS) $(3,746,127) $(8,076,302)
========================= ======================
PROFIT (LOSS) PER UNIT OF
PARTNERSHIP INTEREST $ (28.18) $ (57.68)
========================= ======================
(see Note 1) (see Note 1)
<CAPTION>
Apr 1, 2000 Jan 1, 2000
Through Through
Jun 30, 2000 Jun 30, 2000
------------ ------------
<S> <C> <C>
REVENUES
Gains on trading of commodity futures
and forwards contracts, physical
commodities and related options:
Realized gain (loss) on closed positions
Change in unrealized gain (loss) $2,507,422 $ 2,656,432
on open positions
Interest income 3,160,658 (1,650,301)
Foreign currency transaction gain (loss) 524,972 1,063,667
(19,826) (167,661)
------------------------ -----------------------
Total revenues
6,173,226 1,902,137
EXPENSES
Commissions paid to AXP Advisors and CIS
Exchange fees 448,343 754,806
Management fees 24,015 39,622
Incentive fees 506,045 1,000,609
General Partner fee to IDS Futures Corp. and CIS 107,651 107,651
Taxes Withheld 198,492 396,984
Operating expenses 0 0
14,274 27,774
------------------------ -----------------------
Total expenses
1,298,820 2,327,446
------------------------ -----------------------
NET PROFIT (LOSS)
$4,874,406 $ (425,309)
======================== =======================
PROFIT (LOSS) PER UNIT OF
PARTNERSHIP INTEREST
$ 32.32 $ (2.83)
======================== =======================
(see Note 1) (see Note 1)
</TABLE>
These Statements 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)
See accompanying notes to the financial statements.
<PAGE>
IDS MANAGED FUTURES, L.P.
STATEMENT OF CHANGES IN PARTNERS' CAPITAL
FOR THE PERIOD JANUARY 1, 2000 THROUGH JUNE 30, 2000
<TABLE>
<CAPTION>
UNAUDITED
Limited
Units* Partners
------ --------
<S> <C> <C>
Partners' capital at January 1, 2000 145,413.46 $ 45,403,623
Net profit (loss) (7,909,968)
Additional Units Sold 2,163.73 667,600
(see Note 1)
Less Selling and Organizational Costs (54,412)
Redemptions (see Note 1) (21,396.84) (5,986,917)
------------------------- ----------------------
Partners' capital at June 30, 2000 126,180.35 $ 32,119,926
========================= ======================
Net asset value per unit
January 1, 2000 (see Note 1) 312.24
Net profit (loss) per unit (see Note 1) (57.68)
----------------------
Net asset value per unit
June 30, 2000 $ 254.56
<CAPTION>
General
Partners Total
-------- -----
<S> <C> <C>
Partners' capital at January 1, 2000 $ 900,364 $46,303,987
Net profit (loss) (166,333) (8,076,301)
Additional Units Sold 0 667,600
(see Note 1)
Less Selling and Organizational Costs 0 (54,412)
Redemptions (see Note 1) (5,986,917)
------------------------ -----------------------
Partners' capital at June 30, 2000 $ 734,031 $32,853,957
======================== =======================
Net asset value per unit
January 1, 2000 (see Note 1) 312.24
Net profit (loss) per unit (see Note 1) (57.68)
------------------------
Net asset value per unit
June 30, 2000 $ 254.56
</TABLE>
* Units of Limited Partnership interest.
This Statement of Changes in Partners' Capital, in the opinion of management,
reflects all adjustments necessary to fairly state the financial condition of
IDS Managed Futures, L.P. (See Note 6)
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
Jun 30, 2000 Jun 30, 1999
------------ ------------
<S> <C> <C>
Cash flows from operating activities:
Net profit (loss) $ (8,076,301) $ (425,309)
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 2,784,012 1,650,301
(Increase) Decrease in interest receivable 35,257 (7,048)
(Increase) Decrease in prepaid general partner fee (318,340) (396,984)
Increase (Decrease) in accrued liabilities (68,440) 36,674
Increase (Decrease) in redemptions payable (694,364) 832,023
Increase (Decrease) in selling and offering
expenses payable (24,519) (47,969)
------------ -----------
Net cash provided by (used in)
operating activities (6,362,694) 1,641,688
Cash flows from financing activities:
Additional Units Sold 667,600 3,798,000
Selling and Offering Expenses (54,412) (336,176)
Partner redemptions (5,986,917) (4,332,774)
------------ -----------
Net cash provided by (used in)
financing activities (5,373,729) (870,950)
------------ -----------
Net increase (decrease) in cash (11,736,423) 770,737
Cash at beginning of period 45,354,529 52,649,782
------------ -----------
Cash at end of period $ 33,618,106 $53,420,519
============ ===========
</TABLE>
These Statements 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)
See accompanying notes to the financial statements.
<PAGE>
Item 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATION
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 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 Partnerhip 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
<PAGE>
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.
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.
<PAGE>
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 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
<PAGE>
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-Registered Trademark- and Welton. At March 31,
2000, 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
<PAGE>
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 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
<PAGE>
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 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.
<PAGE>
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).
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 Financial Data Schedule
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: August 14, 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)
