SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
(Mark One)
X Quarterly report pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
For the quarterly period ended September 30, 1996 or
Transition report pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
For the transition period from to
Commission File Number 0-17443
IDS MANAGED FUTURES II, L.P.
(Exact name of registrant as specified in its charter)
Delaware 06-1207252
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
Former name, former address and former fiscal year, if changed
since last report. Not Applicable
Indicate by check mark whether the registrant (1) has filed
all reports required to be filed by Section 13 or 15(d) of the
Securities Exchange Act of 1934 during the preceding 12 months
(or for such shorter period that the registrant was required to
file such reports), and (2) has been subject to such filing
requirements for the past 90 days. Yes X No
<TABLE>
Part I. Financial Information
Item 1. Financial Statements
Following are Financial Statements for the fiscal quarter ended September 30, 1996,
and the additional time frames as noted:
Fiscal Quarter Year to Date Fiscal Year Fiscal Quarter Year to Date
Ended 9/30/96 To 9/30/96 Ended 12/31/95 Ended 9/30/95 To 9/30/95
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Statement of
Financial Condition X X
Statement of
Operations X X X X
Statement of Changes
in Partners' Capital X
Statement of
Cash Flows X X
Notes to Financial
Statements X
IDS MANAGED FUTURES II, L.P.
STATEMENTS OF FINANCIAL CONDITION
Sep 30, 1996 Dec 31, 1995
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ASSETS
Equity in commodity futures
trading accounts:
Account balance $9,929,023 $10,585,211
Unrealized gain on open
futures contracts 1,086,807 565,658
--------------- --------------
11,015,830 11,150,869
Interest receivable 34,031 39,588
--------------- --------------
Total assets $11,049,861 $11,190,457
=============== ==============
LIABILITIES AND PARTNERS' CAPITAL
Liabilities:
Accrued commissions on open
futures contracts due to AXP Advisors and $70,388 $36,853
Accrued management fee 32,965 36,944
Accrued incentive fee 20,076 10,682
Accrued operating expenses 34,763 70,279
Redemptions payable 43,394 19,908
--------------- --------------
Total liabilities 201,586 174,666
Partners' Capital:
Limited partners (20,658.93 units 10,520,103 10,700,674
outstanding at 9/30/96, 21,884.34
units outstanding at 12/31/95) (see Note 1)
General partners (644.45 units out- 328,172 315,117
standing at 9/30/96 and 12/31/95) (see Note 1)
--------------- --------------
Total partners' capital 10,848,275 11,015,791
--------------- --------------
Total liabilities and
partners' capital $11,049,861 $11,190,457
=============== ==============
See accompanying notes to financial statements.
UNAUDITED
IDS MANAGED FUTURES II, L.P.
STATEMENTS OF OPERATIONS
Jul 1, 1996 Jan 1, 1996 Jul 1, 1995 Jan 1, 1995
through through through through
Sep 30, 1996 Sep 30, 1996 Sep 30, 1995 Sep 30, 1995
--------------- -------------- ------------- -------------
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REVENUES
Gains on trading of commodity futures
and forwards contracts, physical
commodities and related options:
Realized gain (loss) on closed positions ($470,775) $319,366 ($101,870) $3,003,837
Change in unrealized gain (loss)
on open positions 895,875 521,149 43,058 (486,715)
Interest income 108,576 326,931 118,162 356,650
Foreign currency transaction gain (loss) (5,978) (31,963) 427 94,151
--------------- -------------- ------------- -------------
Total revenues $527,699 $1,135,482 $59,777 $2,967,924
EXPENSES
Commissions paid to AXP Advisors and CIS 140,230 362,300 94,137 252,247
Exchange fees 2,594 6,504 1,164 4,867
Management fees 96,744 295,915 108,475 322,154
Incentive fees 20,076 25,194 0 175,165
Operating expenses 13,234 7,163 5,376 59,809
--------------- -------------- ------------- -------------
Total expenses 272,878 697,076 209,151 814,242
--------------- -------------- ------------- -------------
Net profit (loss) $254,821 $438,406 ($149,375) $2,153,682
=============== ============== ============= =============
PROFIT (LOSS) PER UNIT OF
PARTNERSHIP INTEREST $11.97 $20.27 ($6.53) $88.54
=============== ============== ============= =============
See accompanying notes to financial statements.
UNAUDITED
IDS MANAGED FUTURES II, L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
For the period January 1, 1996 through September 30, 1996
Limited General
Units* Partners Partners Total
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Partners' capital at January 1, 1996 21,884.34 $10,700,674 $315,117 $11,015,791
Net profit (loss) 425,351 13,055 438,406
Redemptions (see Note 1) (1,225.41) (605,922) 0 (605,922)
--------------- -------------- ------------- -------------
Partners' capital at September 30, 1996 20,658.93 $10,520,103 $328,172 $10,848,275
=============== ============== ============= =============
Net asset value per unit
January 1, 1996 $488.96 $488.96
Net profit (loss) per unit 20.27 20.27
-------------- -------------
Net asset value per unit
September 30, 1996 $509.23 $509.23
* Units of Limited Partnership interest.
See accompanying notes to financial statements.
UNAUDITED
IDS MANAGED FUTURES II, L.P.
STATEMENTS OF CASH FLOWS
Jan 1, 1996 Jan 1, 1995
through through
Sep 30, 1996 Sep 30, 1995
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Cash flows from operating activities:
Net profit/(loss) $438,406 $2,153,682
Adjustments to reconcile net loss
to net cash provided by (used in)
operating activities:
Change in assets and liabilities:
Unrealized gain (loss) on open
futures contracts (521,149) 486,715
Interest receivable 5,557 (2,060)
Accrued liabilities 3,434 15,632
Redemptions payable 23,486 23,881
--------------- --------------
Net cash provided by (used in)
operating activities (50,266) 2,677,850
Cash flows from financing activities:
Partner redemptions (605,922) (852,432)
--------------- --------------
Net cash provided by (used in)
financing activities (605,922) (852,432)
--------------- --------------
Net increase (decrease) in cash (656,188) 1,825,418
Cash at beginning of period 10,585,211 8,850,144
--------------- --------------
Cash at end of period $9,929,023 $10,675,561
=============== ==============
See accompanying notes to financial statements.
UNAUDITED
</TABLE>
IDS MANAGED FUTURES II, L.P.
NOTES TO FINANCIAL STATEMENTS
September 30, 1996
(1) GENERAL INFORMATION AND SUMMARY
IDS Managed Futures II, L.P. (the "Partnership") is a
limited partnership organized on April 21, 1987 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, and are responsible for administering the
business and affairs of the Partnership exclusive of trading
decisions. CISI is an affiliate of Cargill Investor Services,
Inc. ("CIS"), the clearing broker for the Partnership. IDS
Futures is an affiliate of American Express Financial Advisors
Inc. ("AXP Advisors"), formerly IDS Financial Services Inc.,
which acts as the Partnership's introducing broker and selling
agent.
Units of limited partnership interest ("Units") were offered
by AXP Advisors commencing July 14, 1987 through December 31,
1988. The total amount of the offering was $40,000,000. There
is no definite number of Units authorized for the Partnership
because investors affiliated with the Selling Agent of the
Partnership were not required to pay selling commissions. As of
December 31, 1988, 60,127.14 Units representing a total
investment of $14,983,249 had been sold and accepted into the
Partnership (excluding 627.95 Units purchased by the General
Partners for $150,110). A final group of investors purchasing
Units worth $423,750 between December 20, 1988 and December 31,
1988 were admitted into the Partnership on January 31, 1989, at a
Net Asset Value of $255.27. The General Partners also purchased
an additional $3,960 of Units on January 31, 1989.
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 Limited Partnership
Agreement contains a full description of redemption and
distribution procedures.
The Partnership shall be terminated on December 31, 2007 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 $1,500,000; (5)
the Partnership is declared unlawful, or (6) the net asset value
per Unit declines to less than $125 per Unit and the General
Partners elect to withdraw from the Partnership.
(2) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The accounting and reporting policies of the Partnership
conform to generally accepted accounting principles and to
general practices within the commodities industry. The following
is a description of the more significant of those policies which
the Partnership follows in preparing its financial statements.
Financial Accounting Standards Board ("FASB") Interpretation
No. 39 Reporting
Reporting in accordance with FASB Interpretation No. 39
("FIN 39") is not applicable to the Partnership and the
provisions of FIN 39 do not have any effect on the Partnership's
financial statements.
Revenue Recognition
Commodity futures contracts, forward contracts, physical
commodities and related options are recorded on the trade date.
All such transactions are reported on an identified cost basis.
Realized gains and losses are determined by comparing the
purchase price to the sales price when the trades are offset.
Unrealized gains and losses reflected in the statements of
financial condition represent the difference between original
contract amount and market value (as determined by exchange
settlement prices for futures contracts and related options and
cash dealer prices at a predetermined time for forward contracts,
physical commodities and their related options) as of the last
business day of the quarter.
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 80 percent of the average
90-day Treasury bill rate for U.S. Treasury bills issued during
that month.
Commissions
Brokerage commissions, National Futures Association fees,
and clearing and exchange fees are accrued on a round-turn basis
on open commodity futures contracts. The Partnership pays
commissions on trades executed on its behalf at a rate of $58.75
per round turn contract to CIS which in turn reallocates $37.25
per round turn contract to AXP Advisors, an affiliate of IDS
Futures.
Foreign Currency Transactions
Trading accounts on foreign currency denominations are
susceptible to both movements on underlying contract markets as
well as fluctuation in currency rates. Foreign currencies are
translated into U.S. dollars for closed positions at an average
exchange rate for the quarter while quarter-end balances are
translated at the quarter-end currency rates. The impact of the
translation is reflected in the statement of operations.
Statements of Cash Flow
For purposes of the statements of cash flows, cash
represents cash on deposit with the Clearing Broker in commodity
futures trading accounts.
(3) FEES
Management fees are accrued and paid monthly, and incentive
fees are accrued monthly and paid quarterly. Trading decisions
for the period of these financial statements were made by John W.
Henry & Company, Inc. ("JWH") and Sabre Fund Management Limited
("Sabre") the Partnership's Commodity Trading Advisors ("CTAs").
Pursuant to an agreement between the Partnership and JWH, JWH
receives 1/3 of 1% of the month-end net asset value of the
Partnership under its management. Pursuant to an agreement
between the Partnership and Sabre dated December 26, 1995 and
effective January 1, 1996, Sabre's monthly management fee was
reduced from 1/3 of 1% to 1/6 of 1% of the Partnership's Net
Asset Value subject to Sabre's trading performance. This
reduction in management fees will continue until such time that
the cumulative trading performance of Sabre reaches 40%. The
Partnership pays each Advisor a quarterly incentive fee of 15% of
trading profits achieved on the NAV of the Partnership allocated
by the General Partners to such Advisor's management.
(4) INCOME TAXES
No provision for Federal Income Taxes has been made in the
accompanying financial statements as each partner is responsible
for reporting income (loss) based on the pro-rata share of the
profits or losses of the Partnership. The Partnership is
responsible for the Illinois Personal Property and Income Tax
based on the operating results of the Partnership. Such tax
amounted to $6,638 and $31,842 for the periods ended September
30, 1996 and September 30, 1995, respectively, and is included in
operating expenses in the Statements of Operations.
(5) FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK
The Partnership was formed to speculatively trade Commodity
Interests. It has commodity transactions and all of its cash on
deposit at its Clearing Broker at all times. In the event that
volatility of trading of other customers of the Clearing Broker
impaired the ability of the Clearing Broker to satisfy its
obligations to the Partnership, the Partnership would be exposed
to off-balance sheet risk. Such risk is defined in Statement of
Financial Accounting Standards No. 105 ("SFAS 105") as a credit
risk. To mitigate this risk, the Clearing Broker, pursuant to
the mandates of the Commodity Exchange Act, is required to
maintain funds deposited by customers relating to futures
contracts in regulated commodities in separate bank accounts
which are designated as segregated customers' accounts. In
addition, the Clearing Broker has set aside funds deposited by
customers relating to foreign futures and options in separate
bank accounts which are designated as customer secured accounts.
Lastly, the Clearing Broker is subject to the Securities and
Exchange Commission's Uniform Net Capital Rule which requires
the maintenance of minimum net capital at least equal to 4% of
the funds required to be segregated pursuant to the Commodity
Exchange Act. The Clearing Broker has controls in place to make
certain that all customers maintain adequate margin deposits for
the positions which they maintain at the Clearing Broker. Such
procedures should protect the Partnership from the off-balance
sheet risk as mentioned earlier. The 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 non-performance by one of
its members or one of the members' customers and as such should
significantly reduce this credit risk. In the cases where the
Partnership trades on exchanges on which the Clearing House is
not backed by the membership, the sole recourse of the
Partnership for nonperformance will be the Clearing House.
The Partnership holds futures and futures options positions
on the various exchanges throughout the world. The Partnership
does not trade over the counter contracts. As defined by SFAS
105, futures positions are classified as financial instruments.
SFAS 105 requires that the Partnership disclose the market risk
of loss from all of its financial instruments. Market risk is
defined as the possibility that future changes in market prices
may make a financial instrument less valuable or more onerous.
If the markets should move against all of the futures positions
held by the Partnership at the same time, and if the markets
moved such that the Trading Advisors were unable to offset the
futures positions of the Partnership, the Partnership could lose
all of its assets and the partners would realize a 100% loss.
The Partnership has contracts with 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. 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, 1996:
COMMODITY GROUP UNREALIZED GAIN/(LOSS)
AGRICULTURAL COMMODITIES 20,783
FOREIGN CURRENCIES 183,093
STOCK INDICES 12,844
ENERGIES 0
METALS 157,921
INTEREST RATE INSTRUMENTS 712,166
TOTAL 1,086,807
The range of maturity dates of these exchange traded open
contracts is October of 1996 through June of 1997. The average
open trade equity for the period of January 1, 1996 to September
30, 1996 was $723,402.
The margin requirement at September 30, 1996 was $1,731,398.
To meet this requirement, the Partnership had on deposit with the
Clearing Broker $8,620,682 in segregated funds and $2,395,148 in
secured funds.
(6) FINANCIAL STATEMENT PREPARATION
The interim financial statements are unaudited but reflect
all adjustments that are, in the opinion of management, necessary
to a fair statement of the results for the interim periods
presented. These adjustments consist primarily of normal
recurring accruals.
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, 1996
The Partnership recorded a gain of $254,821 or $11.97 per
Unit for the third quarter of 1996. This compares to a loss of
$149,375 or $6.53 per Unit for the third quarter of 1995. For
the nine month period ended September 30, 1996, the Partnership
posted a gain of $438,406 or $20.27 per Unit, which compares to a
profit of $2,153,682 or $88.54 per Unit for nine month period
ended September 30, 1995.
The first month of the quarter saw losses in stock indices,
currencies and metals. Favorable positions in global interest
rates, stock indices and metals generated profits in the second
and third months of the quarter. Overall, the third quarter
ended positively for the Partnership's accounts managed by John
W. Henry & Company, Inc. and Sabre Fund Management Limited. At
September 30, 1996, John W. Henry & Company, Inc. was managing
80.7% of the Partnership's assets and Sabre Fund Management
Limited was managing 19.3% of the Partnership's assets.
In July, sharp declines in the U.S. stock market weakened
the dollar against other key currencies as some investors fled
U.S. assets in search of opportunities overseas. In foreign
exchange, the U.S. dollar lost ground against the German mark and
the Japanese yen as the prospect for a hike in U.S. interest
rates seemed more unlikely. Positions in gold and silver were
unprofitable as were positions in global stock indices. In the
commodity markets, changing weather conditions and threats of
further cancellations of major grain export contracts by China
unsettled agricultural markets. The Partnership recorded a loss
of $176,053 or $8.16 per Unit in July.
The Japanese yen, German mark and U.S. dollar fluctuated
throughout the month of August. Market participants in the
financial markets remained cautious, with few willing to take
positions prior to key central bank policy meetings and economic
reports slated at month end. The German Bundesbank's decision to
sharply lower a key interest rate surprised the market and
sparked a European bond rally. Hurricane activity, which posed a
threat to key refineries in the Caribbean and the Gulf of Mexico,
added to upward price pressures in the energy markets. Prices of
both crude oil and heating oil climbed to four month highs while
agricultural commodity markets remained trendless. The
Partnership recorded a profit of $87,467 or $4.08 per Unit in
August.
In September, the U.S. dollar reached a ten-week high
against the Japanese yen, the German mark and the Swiss franc.
The energy markets continued to benefit from upward price
pressures in crude oil and derivative products, reflecting low
inventories worldwide and renewed tension in the Middle East.
Overseas investors followed closely the budget reports of key
European nations seeking to meet Maastricht Treaty criteria for
membership in the EMU. Convinced of the commitment
of these nations to the EMU and of the concurrent necessity for
low European interest rates to ensure economic growth, foreign
investors turned to higher yielding U.S. dollar-denominated
assets. Foreign central banks were heavy buyers of U.S. bonds.
The Partnership recorded a profit of $343,407 or $16.05 per Unit
in September.
Effective July 23, 1996 Peter Swete resigned as a Director
of Sabre Fund Management Limited ("Sabre"), one of the commodity
trading advisors of the Partnership and Simon Wilson, Tushar
Patel and Zbigniew Hermaszewski were all appointed as Directors
of Sabre. Effective September 16, 1996 Colin Barrow was
appointed as a Director of both Sabre and its parent company,
Sabre Limited . On September 12, 1996 changes occurred in the
ownership of Sabre Limited which resulted in the following new
ownership interests: Robin Edwards, 25.36%; Walbrook Trustees
(Jersey) Ltd., 16.14%; and Firefirst Solutions Ltd., 58.50%
(which is controlled by Robin Edwards). Further effective as of
October 30, 1996, the ownership of Sabre Limited was changed as
follows: Robin Edwards, 19%; Walbrook Trustees (Jersey) Ltd.,
12.1%; Firefirst Solutions Ltd., 43.9%; Colin Barrow, 2.5%;
Angelia Barrow, 2.5%; and Credit Suisse Fides Trust Ltd., 20%.
Wendell Halvorson was appointed as President and a Director
of IDS Futures Corporation on July 23, 1996, replacing Janis E.
Miller, who resigned as President and a Director of IDS Futures
Corporation on March 29, 1996.
In September 1996, John W. Henry & Company, Inc. ("JWH"),
one of the commodity trading advisors of the Partnership, was
named as a co-defendant in class action lawsuits brought in the
California Superior Court, Los Angeles County and the New York
Supreme Court, New York County. The actions, which seek
unspecified damages, purport to be brought on behalf of investors
in certain Dean Witter, Discover & Co. commodity pools, some of
which are advised by JWH, and are primarily directed at Dean
Witter's alleged fraudulent selling practices in connection with
the marketing of those pools. JWH is essentially alleged to have
aided and abetted or directly participated with Dean Witter in
those practices. JWH believes the allegations against it are
without merit and intends to contest these allegations.
During the quarter, investors redeemed a total of 261.95
Units. At the end of the quarter there were 21,303.38 Units
outstanding (including 644.45 Units owned by the General
Partners).
During the fiscal quarter ended September 30, 1996, the
Partnership had no material credit exposure to a counterparty
which is a foreign commodities exchange.
The Partnership currently only trades on recognized global
futures exchanges. In the event the Partnership begins trading
over the counter contracts, any credit exposure to a counterparty
which exceeds 10% of the Partnership's total assets will be
disclosed.
See Footnote 5 of the Financial Statements for procedures
established by the General Partners to monitor and minimize
market and credit risks for the Partnership. In addition to the
procedures set out in Footnote 5, the General Partners review on
a daily basis reports of the Partnership's performance, including
monitoring of the daily net asset value of the Partnership. The
General Partners also review the financial situation of the
Partnership's Clearing Broker on a monthly basis. The General
Partners rely on the policies of the Clearing Broker to monitor
specific credit risks. The Clearing Broker does not engage in
proprietary trading and thus has no direct market exposure which
provides the General Partners assurance that the Partnership will
not suffer trading losses through the Clearing Broker.
Fiscal Quarter ended September 30, 1995
The Partnership recorded a loss of $149,375 or $6.52 per
Unit for the third quarter of 1995. The first and third months
of the quarter posted losses due in part to trend reversals in
several key markets and difficult foreign exchange markets,
respectively. The second month of the quarter posted a gain
primarily as a result of profitable foreign exchange markets.
Overall, the third quarter ended negatively for the Partnership's
accounts managed by John W. Henry & Company, Inc. and Sabre Fund
Management Limited. At September 30, 1995, John W. Henry &
Company, Inc. was managing 81% of the Partnership's assets and
Sabre Fund Management Limited was managing 19% of the
Partnership's assets.
During July, the financial sector was influenced by
worldwide interest rate fluctuations. The U.S. saw the first
interest rate reduction in nearly three years. Japan and certain
European countries also took action to dampen rates, which, along
with the U.S. initiative, generated improved global market
sentiment. U.S. interest rate trading suffered losses, as did
positions in global stock indexes. The Partnership recorded a
loss of $64,997 or $2.80 per Unit in July.
The weakened Japanese yen dominated the trading environment
in August. In the wake of Japan's new regulatory package
designed to encourage overseas investing, the yen plummeted
against most major currencies. The U.S. dollar clearly benefited
from this action, soaring to its highest level against the
Japanese yen in six months. Traditional commodity trading was
poor overall. The Partnership recorded a profit of $92,516 or
$4.01 per Unit in August.
In the foreign exchange markets, the U.S. dollar continued
to rise until the last week of September, when it nose-dived four
to five percent against other currencies. The dollar's swift
decline followed a negative U.S. trade deficit report and lack of
continued dollar support from the Bank of Japan. Trading in
interest rates, particularly Japanese Government bonds, also led
to small losses. Crude oil positions incurred substantial losses
for the month, and trading in copper and aluminum was
unprofitable. As a result, the Partnership recorded a loss of
$176,894 or $7.73 per Unit in September.
During the quarter investors redeemed a total of 449.31
Units. At the end of the quarter there were 22,737.74 Units
outstanding (including 644.45 Units owned by the General
Partners).
During the fiscal quarter ended September 30, 1995, the
Partnership had no material credit exposure to a counterparty
which is a foreign commodities exchange.
Fiscal Quarter ended June 30, 1996
The Partnership recorded a gain of $189,919 or $8.65 per
Unit for the second quarter of 1996. This compares to a profit
of $494,432 or $20.62 per Unit for the second quarter of 1995.
Favorable positions in global currency and physical
commodity markets generated profits in the first and third months
of the quarter. The second month of the quarter saw losses in
metals and global interest rates. Overall, the second quarter
ended positively for the Partnership's accounts managed by John
W. Henry & Company, Inc. and Sabre Fund Management Limited. At
June 30, 1996, John W. Henry & Company, Inc. was managing 80.7%
of the Partnership's assets and Sabre Fund Management Limited was
managing 19.3% of the Partnership's assets.
In April, crude oil prices continued to surge upwards as
refiners pushed to replenish record-low inventory levels. In the
agricultural sector, prices of wheat, corn and soybeans soared as
export demand remained strong. The currency markets saw
relatively high U.S. bond yields which attracted investors to the
U.S. dollar, thus strengthening the dollar against the German
mark and Swiss franc. The Partnership recorded a profit of
$309,559 or $14.02 per Unit in April.
In May, the grain and oilseed markets were volatile as
concerns over winter crops were replaced by reports of poor
planting conditions for spring crops. Crude oil prices succumbed
to political pressures and the expected impact on world oil
supplies of the long-anticipated U.N./Iraq oil agreement. In the
currency markets, the British pound declined to a two-year low
against the U.S. dollar early in the month, but rallied back by
the end of the month well ahead of the dollar as well as the
German mark. The Partnership recorded a loss of $271,870 or
$12.37 per Unit in May.
In June, the metals markets were impacted by repercussions
from the Sumitomo copper trading losses and by an increase in the
world supply of gold; the result of selling by central banks.
Crude oil prices reflected continued inventory shortages and the
renewal of tension in the Middle East. The U.S. dollar reached a
28-month high against the Japanese yen early in the month, but
ended lower at month's end as investors turned to higher yielding
European currencies. The Partnership recorded a profit of
$152,230 or $7.00 per Unit in June.
During the quarter, investors redeemed a total of 516.07
Units. At the end of the quarter there were 21,565.36 Units
outstanding (including 644.45 Units owned by the General
Partners).
During the fiscal quarter ended June 30, 1996, the
Partnership had no material credit exposure to a counterparty
which is a foreign commodities exchange.
Fiscal Quarter ended June 30, 1995
The Partnership recorded a profit of $494,432 or $20.62 per
Unit for the second quarter of 1995. The first month of the
quarter was profitable with the strongest gains derived from
foreign currency markets. The next two months saw losses in
interest rates and foreign exchange. Overall, the second quarter
ended positively for the Partnership's accounts managed by John
W. Henry & Company, Inc. and Sabre Fund Management Limited.
The decline of the U.S. dollar continued in April, with the
U.S. dollar falling 19% against the Japanese yen, 15% against the
Swiss franc and 13% against the German mark. Therefore,
positions in the foreign currency and global interest rate
markets, including those of the United States, the United
Kingdom, France and Australia resulted in strong gains for the
Partnership. The Partnership recorded a profit of $535,107 or
$22.46 per Unit in April.
The fixed income markets in the U.S. rose steadily in May.
Behind this move were beliefs that the U.S. economy was slowing,
inflation remained in check, and the federal reserve was unlikely
to raise interest rates again and would possibly lower them in
the next few months. Positions in U.S. and international fixed
income markets generated strong gains during the month, but
performance results in foreign exchange partially offset these
gains. As a result, the Partnership recorded a profit of
$207,190 or $8.76 per Unit in May.
The financial sector in the month of June was influenced by
economic and political uncertainties in several major countries,
specifically the U.S., Japan, Great Britain and Germany. The
global marketplace was also confronted with the mid-month G-7
meeting in Nova Scotia, the perception that the Bundesbank would
lower the discount and Lombard rates, and the continued
U.S.-Japan trade dispute. The failing Japanese economy and
problems in the banking sector contributed to the decline of the
Nikkei, which fell below 15,000 for the first time since August
1992. As a result of these uncertainties, the Partnership
recording a loss of $247,865 or $10.60 per Unit in June.
During the quarter investors redeemed a total of 639.79
Units. At the end of the quarter there were 23,187.07 Units
outstanding (including 644.45 Units owned by the General
Partners).
Fiscal Quarter ended March 31, 1996
The Partnership recorded a loss of $6,334 or $0.35 per Unit
for the first quarter of 1996. The first month experienced gains
primarily as a result of profits in foreign exchange. The next
two months saw losses due to unprofitable currency positions and
losses in trading of stock indices and metals. The first quarter
ended negatively for the Partnership's accounts managed by John
W. Henry & Company, Inc. and Sabre Fund Management Limited. At
March 31, 1996, John W. Henry & Company, Inc. was managing 80% of
the Partnership's assets and Sabre Fund Management Limited was
managing 20% of the Partnership's assets.
In January, the primary influence on markets was the U.S.
dollar, which rose against most currencies and hit its highest
level in two years against the Japanese yen. Trading in foreign
exchange generated the majority of profits. Trading in stock
indexes was slightly profitable. The Partnership recorded a
profit of $529,633 or $23.51 per Unit in January.
In February, the U.S. dollar lost ground against the
Japanese yen, British pound, Swiss franc and German mark,
resulting in the Partnership giving back some of the profits
earned in January. The largest decline occurred in Japanese yen
positions. In the metals markets, subsiding inflation fears and
weakening demand pushed gold prices beneath the $400 threshold
reached only a month before. Trading in interest rates and stock
indexes was also unprofitable. The Partnership recorded a loss
of $514,051 or $22.88 per Unit in February.
In March, trading was volatile, reflecting investors'
confusion over the direction of the U.S. economy. In addition,
political tensions between China and Taiwan and "Mad Cow" disease
in Britain further added to economic uncertainties. Elections in
Australia, which put an end to 13 years of Labor Party rule,
boosted the Australian dollar to levels not seen in over 10
months. Trading in stock indices and metals was unprofitable.
As a result, the Partnership recorded a loss of $21,916 or $0.99
per Unit in March.
During the quarter, investors redeemed a total of 447.35
Units. At the end of the quarter there were 22,081.44 Units
outstanding (including 644.45 Units owned by the General
Partners).
During the fiscal quarter ended March 31, 1996, the
Partnership had no material credit exposure to a counterparty
which is a foreign commodities exchange.
Fiscal Quarter ended March 31, 1995
The Partnership recorded a profit of $1,808,624 or $74.45
per Unit for the first quarter of 1995. The first month of the
year was difficult due in part to losses in global interest rates
and foreign exchange. However, the next two months saw
profitable trends in the financial markets. As a result, the
first quarter ended positively for the Partnership's accounts
managed by John W. Henry & Company, Inc. and Sabre Fund
Management Limited.
In January the financial markets were impacted by
speculation regarding a possible Federal Reserve monetary
tightening as a further effort to moderate domestic economic
growth and inflation. The continued uncertainty regarding the
financial crisis in Mexico and possible ramifications of the
earthquake in Kobe, Japan also weighed on the financial markets.
Therefore, the Partnership recorded a loss of $288,704 or $11.72
per Unit in January.
During the month of February, global political and financial
events, including the sudden demise of the British merchant bank,
Barings PLC, sent stock prices falling around the world and
investors rushing to safety in German marks and U.S. bonds. The
German mark benefited substantially from the uncertain state of
many world economies and gained steadily versus the U.S. and
other European currencies. There was a global lack of support
for the U.S. dollar as it declined against many European
currencies and sank to new postwar lows versus Japanese yen.
Long positions in foreign exchange and favorable positions in the
Japanese markets generated substantial gains for the Partnership.
As a result, the Partnership recorded a profit of $982,093 or
$40.20 per Unit in February.
The decline in value of the U.S. dollar gained momentum and
accelerated in March. Market participants ignored efforts by
central bankers to support the dollar, including an unanticipated
move by the German Bundesbank to lower short term rates late in
March. By month end, the dollar reached yet another postwar low.
Positive performance during the month was dominated by strong
trends in foreign exchange. Gains in currency positions,
global interest rates and stock indexes resulted in the
Partnership recording a profit of $1,115,235 or $45.97 per Unit
in March.
During the quarter, investors redeemed a total of 800.98
Units. At the end of the quarter there were 23,826.88 Units
outstanding (including 644.45 Units owned by the General
Partners).
Part II. OTHER INFORMATION
Item 1. Legal Proceedings
None
Item 2. Changes in Securities
None
Item 3. Defaults Upon Senior Securities
None
Item 4. Submission of Matters to a vote of Security Holders
None
Item 5. Other Information
None
Item 6. Exhibits and Reports on Form 8-K
a) Exhibits
None
b) Reports on Form 8-K
None
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.
Date: November 14, 1996 IDS MANAGED FUTURES II, L.P.
By: CIS Investments, Inc.
One of its General Partners
Date: November 14, 1996 By:/s/ Donald J. Zyck
Donald J. Zyck,
Secretary & Treasurer
(Duly authorized Officer of the
General Partner and the Principal
Financial Officer of the General
Partner)
<TABLE> <S> <C>
<ARTICLE> 5
<LEGEND>
This schedule contains summary financial information extracted from IDS Managed
Futures II, L.P. for the third quarter of 1996 and is qualified in its entirety
by reference to such 10-Q.
</LEGEND>
<CIK> 0000813831
<NAME> IDS MANAGED FUTURES II, L.P.
<S> <C>
<PERIOD-TYPE> 3-MOS
<FISCAL-YEAR-END> DEC-31-1995
<PERIOD-END> SEP-30-1996
<CASH> 11,015,830
<SECURITIES> 0
<RECEIVABLES> 34,031
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 11,049,861
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 11,049,861
<CURRENT-LIABILITIES> 201,586
<BONDS> 0
<COMMON> 0
0
0
<OTHER-SE> 10,848,275
<TOTAL-LIABILITY-AND-EQUITY> 11,049,861
<SALES> 0
<TOTAL-REVENUES> 527,699
<CGS> 0
<TOTAL-COSTS> 272,878
<OTHER-EXPENSES> 0
<LOSS-PROVISION> 0
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<INCOME-PRETAX> 254,821
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<INCOME-CONTINUING> 254,821
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<EPS-DILUTED> 11.97
</TABLE>
