SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
X Quarterly Report Under Section 13 or 15(d) of the
Securities Exchange Act of 1934
For the Quarter Ended September 30, 1995
--------------
Commission File Number 33-13008
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ATA RESEARCH/PROFUTURES DIVERSIFIED FUND, L.P.
----------------------------------------------
(Exact name of registrant)
Delaware 75-2197831
- ----------------------- ------------------------------------
(State of Organization) (I.R.S. Employer Identification No.)
ATA Research, Inc. ProFutures, Inc.
5910 N. Central Expressway 1310 Highway 620
Suite 1520 Suite 200
Dallas, Texas 75206 Austin, Texas 78734
- -------------------------- --------------------
(Address of principal executive offices)
Registrant's telephone numbers
(214) 891-6200 (800) 348-3601
- -------------- --------------
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
PART I - FINANCIAL INFORMATION
Item 1. Financial Statements.
In the opinion of management, the financial statements below
reflect all adjustments, which were of a normal and recurring
nature, required for a fair presentation in accordance with
generally accepted accounting principles.
STATEMENTS OF FINANCIAL CONDITION
September 30, 1995 (Unaudited) and December 31, 1994 (Audited)
1995 1994
ASSETS
Cash and cash equivalents $ 71,533,546 $ 68,520,482
Net option premiums paid
- forward contracts 0 4,199,010
Unrealized gain on open
forward contracts 0 248,843
------------ ------------
71,533,546 72,968,335
------------ ------------
Equity in broker trading accounts
Cash 17,168,346 19,705,053
Net option premiums paid (received) (1,357,165) 662,279
Unrealized gain on open contracts 3,529,338 4,317,622
------------ ------------
Deposits with brokers 19,340,519 24,684,954
------------ ------------
Total assets $ 90,874,065 $ 97,653,289
============ ============
LIABILITIES
Accounts payable $ 24,246 $ 26,602
Administrative charge payable 3,271 0
Commissions and other trading fees
on open contracts 168,355 164,705
Incentive fees payable 484,982 1,024,388
Management fees payable 539,282 501,723
Redemptions payable 1,310,259 774,341
------------ ------------
Total liabilities 2,530,395 2,491,759
------------ ------------
PARTNERS' CAPITAL (Net Asset Value)
General Partners - 574.1020 units
outstanding at September 30, 1995
and December 31, 1994 980,457 1,079,392
Limited Partners - 51,155.2488 and
50,039.9594 units outstanding
at September 30, 1995 and
December 31, 1994 87,363,213 94,082,138
------------ ------------
Total partners' capital
(Net Asset Value) 88,343,670 95,161,530
------------ ------------
$ 90,874,065 $ 97,653,289
============ ============
See accompanying notes.
STATEMENTS OF OPERATIONS
For the Nine Months Ended September 30, 1995 and 1994
(Unaudited)
Nine Months Ended
September 30,
1995 1994
INCOME
Trading gains (losses)
Realized $(3,559,809) $ 1,585,104
Change in unrealized (1,037,128) 1,875,748
----------- -----------
Gain (loss) from trading (4,596,937) 3,460,852
Interest income 4,104,086 2,758,817
----------- -----------
Total income (loss) (492,851) 6,219,669
----------- -----------
EXPENSES
Brokerage commissions 1,857,693 1,952,055
Other trading fees 12,543 19,076
Management fees 3,950,237 3,695,403
Incentive fees 2,548,523 2,870,920
Operating expenses 383,384 390,118
----------- -----------
Total expenses 8,752,380 8,927,572
----------- -----------
NET (LOSS) $(9,245,231) $(2,707,903)
=========== ===========
NET (LOSS) PER UNIT
(based on weighted average number of
units outstanding during the period) $ (175.26) $ (51.23)
=========== ===========
(DECREASE) IN NET ASSET
VALUE PER UNIT $ (172.33) $ (49.99)
=========== ===========
See accompanying notes.
STATEMENTS OF OPERATIONS
For the Three Months Ended September 30, 1995 and 1994
(Unaudited)
Three Months Ended
September 30,
1995 1994
INCOME
Trading gains (losses)
Realized $(7,217,776) $ 3,172,774
Change in unrealized (681,819) (994,913)
----------- -----------
Gain (loss) from trading (7,899,595) 2,177,861
Interest income 1,404,856 1,078,675
----------- -----------
Total income (loss) (6,494,739) 3,256,536
----------- -----------
EXPENSES
Brokerage commissions 624,502 752,541
Other trading fees 4,606 5,658
Management fees 1,187,775 1,295,983
Incentive fees 487,088 442,713
Operating expenses 119,643 118,273
----------- -----------
Total expenses 2,423,614 2,615,168
----------- -----------
NET INCOME (LOSS) $(8,918,353) $ 641,368
=========== ===========
NET INCOME (LOSS) PER UNIT
(based on weighted average number of
units outstanding during the period) $ (167.00) $ 12.28
=========== ===========
INCREASE (DECREASE) IN NET ASSET
VALUE PER UNIT $ (166.28) $ 13.11
=========== ===========
See accompanying notes.
<TABLE>
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
For the Nine Months Ended September 30, 1995 and 1994
(Unaudited)
<CAPTION>
General Limited
Partners Partners Total
----------------- --------------------- --------------------
Units Amount Units Amount Units Amount
<S> <C> <C> <C> <C> <C> <C>
Balances at
December 31, 1994 574 $1,079,392 50,040 $ 94,082,138 50,614 $ 95,161,530
Net (loss) for the
nine months ended
September 30, 1995 (98,935) (9,146,296) (9,245,231)
Additions 0 0 7,549 14,222,901 7,549 14,222,901
Administrative charge 0 (142,229) (142,229)
Redemptions 0 0 (6,434) (11,653,301) (6,434) (11,653,301)
--- ---------- ------ ------------ ------- -----------
Balances at
September 30, 1995 574 $ 980,457 51,155 $ 87,363,213 51,729 $ 88,343,670
=== ========== ====== ============ ====== ============
Balances at
December 31, 1993 571 $1,078,359 52,573 $ 99,341,520 53,144 $100,419,879
Net (loss) for the
nine months ended
September 30, 1994 (28,192) (2,679,711) (2,707,903)
Additions 3 6,000 4,428 7,885,427 4,431 7,891,427
Administrative charge (60) (78,853) (78,913)
Redemptions 0 0 (6,175) (10,970,884) (6,175) (10,970,884)
--- ---------- ------ ----------- ------ ------------
Balances at
September 30, 1994 574 $1,056,107 50,826 $ 93,497,499 51,400 $ 94,553,606
=== ========== ====== =========== ====== ============
</TABLE>
See accompanying notes.
NOTES TO FINANCIAL STATEMENTS
Note 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
A. General Description of the Partnership
ATA Research/ProFutures Diversified Fund, L.P. (the Partnership)
is a Delaware limited partnership which operates as a
commodity investment pool.
B. Regulation
As a registrant with the Securities and Exchange Commission,
the Partnership is subject to the regulatory requirements
under the Securities Acts of 1933 and 1934. As a commodity
investment pool, the Partnership is subject to the
regulations of the Commodity Futures Trading Commission, an
agency of the United States government which regulates most
aspects of the commodity futures industry, rules of the
National Futures Association, an industry self-regulatory
organization, and the requirements of commodity exchanges and
Futures Commission Merchants (brokers) through which the
Partnership trades.
C. Method of Reporting
The Partnership's financial statements are presented in
accordance with generally accepted accounting principles.
Gains or losses are realized when contracts are liquidated.
Unrealized gains or losses on open contracts (the difference
between contract purchase price and market price) at the date
of the statement of financial condition are included in
equity in broker trading accounts. Any change in net
unrealized gain or loss from the preceding period is reported
in the statement of operations.
D. Brokerage Commissions
Brokerage commissions and other trading fees are charged to
expense when contracts are opened.
E. Income Taxes
The Partnership prepares calendar year U.S. and state
information tax returns and reports to the partners their
allocable shares of the Partnership's income, expenses and
trading gains or losses.
F. Cash and Cash Equivalents
Cash and cash equivalents includes cash and short-term
investments in fixed income securities.
G. Syndication Costs
The Partnership, the General Partners and/or the brokers
advance syndication costs for the purpose of funding the
offering of Units. In order to reimburse the Partnership,
the General Partners and/or the brokers for such syndication
costs, each investor in the Partnership pays an
administrative charge of 1% of their investment upon entering
the Partnership.
H. Foreign Currency Transactions
The Partnership's functional currency is the United States
(U.S.) dollar; however, it transacts business in currencies
other than the U.S. dollar. Assets and liabilities
denominated in currencies other than the U.S. dollar are
translated into U.S. dollars at the rates in effect at the
date of the statement of financial condition. Income and
expense items denominated in currencies other than the U.S.
dollar are translated into U.S. dollars at the rates in
effect during the period. Gains and losses resulting from
the translation to U.S. dollars are reported in income
currently.
Note 2. DEPOSITS WITH BROKERS
The Partnership deposits funds with brokers subject to Commodity
Futures Trading Commission and various exchange regulations on
minimum deposits. Margin requirements are satisfied by the
deposit of cash with such brokers. The Partnership earns interest
income on its assets deposited with the brokers.
The Commodity Exchange Act requires a broker to segregate all
customer's regulated futures transactions from such broker's
proprietary funds. A customer's cash and other property deposited
with a broker (for example, U.S. Treasury bills) are considered
co-mingled with all other funds subject to the broker's
segregation requirements. In the event of a broker's insolvency,
recovery may be limited to a pro rata share of segregated funds
available. It is possible that the recovered amount could be less
than total cash and other property deposited.
Note 3. GENERAL PARTNERS
The General Partners of the Partnership are ATA Research, Inc. and
ProFutures, Inc., which conduct and manage the business of the
Partnership. The Agreement of Limited Partnership requires the
General Partners to contribute to the Partnership an amount in the
aggregate equal to the greater of $100,000 or 1% of the aggregate
initial capitalization of the Partnership. As of September 30, 1995,
the General Partners and their principals have contributed
$926,500 to the Partnership.
The Agreement of Limited Partnership also requires that the
General Partners maintain in the aggregate a net worth not less
than the sum of (i) the lesser of $250,000 or 15% of the aggregate
capital contributions of any limited partnerships for which they
act as a General Partner if such contributions are equal to or
less than $2,500,000 and (ii) 10% of the aggregate capital
contributions of any limited partnerships for which they shall act
as a general partner if such contributions exceed $2,500,000.
ProFutures, Inc. has callable subscription agreements with
Internationale Nederlanden (U.S.) Derivatives Clearing, Inc.
(ING), formerly Quantum Financial Services, Inc., the
Partnership's primary broker, whereby ING agrees to purchase or
subscribe, up to $19,000,090, for the number of shares of common
stock of ProFutures, Inc. necessary to maintain the general
partner net worth requirements.
A monthly management fee is paid by the Partnership to each
General Partner. ATA Research, Inc. receives 1/12 of 1% of month-
end Net Asset Value (approximately 1% annually) and ProFutures,
Inc. receives 1/4 of 1% of month-end Net Asset Value (approximately
3% annually). For the nine months ended September 30, 1995 and 1994,
ATA Research, Inc. earned a management fee amounting to $234,299 and
$235,292, respectively, and ProFutures, Inc. earned a management fee
amounting to $705,719 and $708,710, respectively.
Note 4. COMMODITY TRADING ADVISORS
The Partnership has trading management contracts with several
commodity trading advisors, pursuant to which the Partnership
pays selected advisors a quarterly incentive fee ranging from
17.5% to 29% of excess cumulative Trading Profits (as defined in
the Prospectus) and a management fee ranging from 0% to 2.8%
(annually) of Allocated Net Asset Value (as defined in the
Prospectus).
Note 5. OPERATING EXPENSES
All operating expenses of the Partnership are paid by the
Partnership. The General Partners are not reimbursed for indirect
expenses incurred in performing services for the Partnership and
other items generally falling within the category of overhead.
The General Partners may be reimbursed for the actual costs of
legal, accounting and auditing services used for or by the
Partnership, as well as printing and filing fees and extraordinary
expenses incurred for or by the Partnership.
Note 6. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
Investments in the Partnership are made by subscription agreement,
subject to acceptance by the General Partners.
The Partnership is not required to make distributions, but may do
so at the sole discretion of the General Partners. A Limited
Partner may request and receive redemption of units owned, subject
to restrictions in the Agreement of Limited Partnership.
Note 7. MARKET AND CREDIT RISK
The Partnership engages in the speculative trading of futures and
option contracts. Purchase and sale of such contracts requires a
deposit of money (margin) in a segregated account at the broker.
Additional deposits may be necessary for any loss on contract
value. The Partnership is able to acquire (or sell) contracts by
depositing only a small portion of the total contract value. The
ability to control large dollar amounts of contracts with a
comparatively small amount of capital (leverage) results in a
minor price change causing a major gain or loss on contract value.
Theoretically, the Partnership is exposed to a market risk (loss)
equal to the value of contracts purchased and unlimited liability
on contracts sold short. However, the Partnership intends to
close all contracts prior to maturity and not receive or pay the
contract value. Open contracts at September 30, 1995 and December 31,
1994 are marked-to-market and included in the statement of
financial condition and the change in value from the preceding
period is reported in the statement of operations.
As a writer of options, the Partnership received a premium at the
outset and then bears the risk of unfavorable changes in the price
of the contract underlying the option.
As of September 30, 1995 and December 31, 1994, the notional amount of
contracts to purchase totalled approximately $864,667,000 and
$684,000,000, respectively, and the notional amount of contracts
to sell totalled approximately $286,504,000 and $833,000,000,
respectively. These amounts include both financial and non-
financial contracts held as part of a diversified trading
strategy.
As a buyer of options, the Partnership paid a premium at the
outset and then bears the risk of unfavorable changes in the price
of the contract underlying the option. The Partnership's risk of
loss is limited to the premiums paid which amounted to
approximately $602,000 at September 30, 1995. At September 30, 1995,
the notional amount of contracts underlying the options to
purchase totalled approximately $34,825,600 and the
notional amount of contracts underlying the options to sell
totalled approximately $19,706,000.
A portion of the Partnership's assets are on deposit with a broker
and dealer in securities. In the event of a broker and dealer's
insolvency, recovery of Partnership assets on deposit may be
limited to account insurance or other protection afforded such
deposits. In the normal course of business, the Partnership does
not require collateral from the broker and dealer.
The Partnership trades forward contracts in unregulated markets
between principals and assumes the risk of loss from counterparty
non-performance.
The General Partners have established procedures to actively
monitor and minimize market and credit risk. The Limited Partners
bear the risk of loss only to the extent of the market value of
their respective investments and, in certain specific
circumstances, distributions and redemptions received.
Note 8. DERIVATIVE FINANCIAL INSTRUMENTS
The futures, options and forward contracts traded by the
Partnership constitute derivative financial instruments, that is,
their value is derived from the underlying commodity, financial
instrument or other indicator. The average fair value of
derivative financial instruments during the nine months ended
September 30, 1995 and the fair value as of September 30, 1995
are as follows:
Assets Liabilities
Average during the nine months ended
September 30, 1995 $14,913,993 $(10,706,327)
Fair value as of September 30, 1995 $ 8,207,569 $ (6,035,396)
Net trading income (loss) from derivative financial instruments is
reflected in the statement of operations and equals gain (loss) from
trading less brokerage commissions and other trading fees. Such net
gain (loss) from trading arises from the Partnership's speculative
trading of futures and forward contracts and options thereon.
Item 2. Management's Discussion and Analysis of Financial Condition
and Results of Operations.
A. LIQUIDITY: The Registrant is very liquid in that it holds
its assets in cash or near cash investments.
B. CAPITAL RESOURCES: The Registrant has filed several
Registration Statements with the Securities and Exchange
Commission for the sale of Units of Limited Partnership
Interest. The latest offering of $38,547,364 of Units
expired on April 30, 1995.
As of September 30, 1995, 51,729.3508 Units are outstanding,
including 574.1020 General Partner Units, with an aggregate
Net Asset Value of $88,343,760 ($1,707.81 per Unit).
C. RESULTS OF OPERATIONS: The Registrant commenced commodity
trading during August 1987. For the years ended December 31,
1992, 1993 and 1994, the Registrant realized net income
(loss) of $1,646,961, $2,169,428 and $(651,490), respectively.
For the nine months ended September 30, 1995 the Registrant had a
net loss of $9,245,231 and a net loss of $8,918,353 for the three
months ended September 30, 1995. There are no unusual or infrequent
events which materially affected the Registrant's operations.
Due to the speculative nature of trading futures and forward contracts
and options thereon, the Registrant's income or loss from operations
may vary widely from period to period.
D. POSSIBLE CHANGES: The General Partners reserve the right to
terminate some and/or engage additional commodity trading
advisors or change any of the Registrant's brokerage arrangements.
PART II - OTHER INFORMATION
Item 1. Legal Proceedings.
None.
Item 2. Changes in Securities.
None.
Item 3. Defaults Upon Senior Securities.
Not Applicable.
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.
Post-Effective Amendment No. 3 to Registration Statement
No. 33-53324 filed to deregister $20,721,920 of Units of
Limited Partnership Interest which remained unsold upon
expiration of this offering is incorporated herein by
reference.
Exhibits filed herewith:
None
There were no reports filed on Form 8-K.
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 thereunto duly authorized.
ATA RESEARCH/PROFUTURES DIVERSIFIED FUND, L.P.
(Registrant)
Date: November 10, 1995 Aladin T. Abughazaleh, President
ATA Research Inc., General Partner
ATA Research/ProFutures Diversified Fund, L.P.
Date: November 10, 1995 Gary D. Halbert, President
ProFutures, Inc., General Partner
ATA Research/ProFutures Diversified Fund, L.P.
<TABLE> <S> <C>
<ARTICLE> 5
<MULTIPLIER> 1
<S> <C>
<PERIOD-TYPE> 9-MOS
<FISCAL-YEAR-END> DEC-31-1995
<PERIOD-END> SEP-30-1995
<CASH> 71,533,546
<SECURITIES> 0
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 90,874,065
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 90,874,065
<CURRENT-LIABILITIES> 2,530,395
<BONDS> 0
<COMMON> 0
0
0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 90,874,065
<SALES> 0
<TOTAL-REVENUES> (492,851)
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 8,752,380
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> (9,245,231)
<INCOME-TAX> 0
<INCOME-CONTINUING> (9,245,231)
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (9,245,231)
<EPS-PRIMARY> (175.26)
<EPS-DILUTED> (175.26)
</TABLE>
