UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 10-Q
[X] Quarterly report pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
For the 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 33-21532
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
(Exact name of registrant as specified in its charter)
Delaware 13-3469595
(State or other jurisdiction of (I.R.S. Employer
Incorporation or organization) Identification No.)
c/o Demeter Management Corp.
Two World Trade Center, New York, NY 62 Fl. 10048
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (212) 392-5454
(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>
<TABLE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
INDEX TO QUARTERLY REPORT ON FORM 10-Q
September 30, 1996
<CAPTION>
PART I. FINANCIAL INFORMATION
<S> <C>
Item 1. Financial Statements
Statements of Financial Condition
September 30, 1996 (Unaudited) and December 31, 1995..2
Statements of Operations for the Quarters Ended
September 30, 1996 and 1995 (Unaudited)...............3
Statements of Operations for the Nine Months Ended
September 30, 1996 and 1995 (Unaudited)...............4
Statements of Changes in Partners' Capital for
the Nine Months Ended September 30, 1996 and 1995
(Unaudited)...........................................5
Statements of Cash Flows for the Nine Months Ended
September 30, 1996 and 1995 (Unaudited)...............6
Notes to Financial Statements......................7-12
Item 2. Management's Discussion and Analysis
of Financial Condition and Results of
Operations.....................................13-19
PART II. OTHER INFORMATION
Item 6. Exhibits and Reports on Form 8-K..................20
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
STATEMENTS OF FINANCIAL CONDITION
<CAPTION>
September 30, December 31,
1996 1995
$ $
(Unaudited)
ASSETS
<S> <C> <C>
Equity in Commodity futures trading accounts:
Cash 10,964,008 14,884,093
Net unrealized gain on open contracts 1,055,747 976,590
Total Trading Equity 12,019,755 15,860,683
Interest receivable from DWR 38,824 56,131
Total Assets 12,058,579 15,916,814
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable 174,996 205,081
Accrued management fees (DWFCM) 30,141 39,778
Accrued brokerage commissions (DWR) 16,427 119,337
Accrued transaction fees and costs 2,122 5,280
Total Liabilities 223,686 369,476
Partners' Capital
Limited Partners (12,073.373 and
14,078.727 Units, respectively) 11,542,352 15,216,606
General Partner (306 Units) 292,541 330,732
Total Partners' Capital 11,834,893 15,547,338
Total Liabilities and Partners' Capital 12,058,579 15,916,814
NET ASSET VALUE PER UNIT 956.02 1,080.82
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Quarters Ended September 30,
1996 1995
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized 106,020 70,692
Net change in unrealized 803,643 (1,976,952)
Total Trading Results 909,663 (1,906,260)
Interest Income (DWR) 118,460 171,468
Total Revenues 1,028,123 (1,734,792)
EXPENSES
Brokerage fees (DWR) 243,148 400,635
Management fees (DWFCM) 89,822 133,545
Transaction fees and costs 16,181 37,015
Total Expenses 349,151 571,195
NET INCOME (LOSS) 678,972 (2,305,987)
NET INCOME (LOSS) ALLOCATION
Limited Partners 662,549 (2,259,573)
General Partner 16,423 (46,414)
NET INCOME (LOSS) PER UNIT
Limited Partners 53.68 (151.68)
General Partner 53.68 (151.68)
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Nine Months Ended September 30,
1996 1995
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized (1,042,523) 3,679,718
Net change in unrealized 79,157 (3,431,069)
Total Trading Results (963,366) 248,649
Interest Income (DWR) 382,915 626,429
Total Revenues (580,451) 875,078
EXPENSES
Brokerage fees (DWR) 836,641 1,280,732
Management fees (DWFCM) 287,654 426,911
Transaction fees and costs 69,832 105,787
Total Expenses 1,194,127 1,813,430
NET LOSS (1,774,578) (938,352)
NET LOSS ALLOCATION
Limited Partners (1,736,387) (917,762)
General Partner (38,191) (20,590)
NET LOSS PER UNIT
Limited Partners (124.80) (67.29)
General Partner (124.80) (67.29)
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
For the Nine Months Ended September 30, 1996 and 1995
(Unaudited)
<CAPTION>
Units of
Partnership Limited General
Interest Partners Partner Total
<S> <C> <C> <C> <C>
Partners' Capital
December 31, 1994 16,768.804 $19,003,112 $ 353,218 $19,356,330
Net Loss - (917,762) (20,590) (938,352)
Redemptions (1,814.372) (2,162,222) - (2,162,222)
Partners' Capital
September 30, 1995 14,954.432 $15,923,128 $ 332,628 $16,255,756
Partners' Capital
December 31, 1995 14,384.727 $15,216,606 $330,732 $15,547,338
Net Loss - (1,736,387) (38,191) (1,774,578)
Redemptions (2,005.354) (1,937,867) - (1,937,867)
Partners' Capital
September 30, 1996 12,379.373 $11,542,352 $ 292,541 $11,834,893
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
STATEMENTS OF CASH FLOWS
(Unaudited)
<CAPTION>
For the Nine Months Ended September 30,
1996 1995
$ $
CASH FLOWS FROM OPERATING ACTIVITIES
<S> <C> <C>
Net loss (1,774,578) (938,352)
Noncash item included in net loss:
Net change in unrealized (79,157) 3,431,069
Decrease in operating assets:
Interest receivable from DWR 17,307 16,101
Increase (decrease) in operating liabilities:
Accrued management fees (DWFCM) (9,637) (8,009)
Accrued brokerage commissions (DWR) (102,910) (24,028)
Accrued transaction fees and costs (3,158) 3,521
Net cash provided by (used for) operating activities (1,952,133) 2,480,302
CASH FLOWS FROM FINANCING ACTIVITIES
Decrease in redemptions payable (30,085) (71,041)
Redemptions of units (1,937,867) (2,162,222)
Net cash used for financing activities (1,967,952) (2,233,263)
Net increase (decrease) in cash (3,920,085) 247,039
Balance at beginning of period 14,884,093 17,153,766
Balance at end of period 10,964,008 17,400,805
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
The financial statements include, in the opinion of management, all
adjustments necessary for a fair presentation of the results of
operations and financial condition. The financial statements and
condensed notes herein should be read in conjunction with the
Partnership's December 31, 1995 Annual Report on Form 10-K.
1. Organization
Dean Witter Multi-Market Portfolio L.P. (formerly Dean Witter
Principal Guaranteed Fund L.P.) (the "Partnership") is a limited
partnership organized to engage in the speculative trading of
commodity futures contracts and forward contracts on foreign
currencies. The General Partner for the Partnership is Demeter
Management Corporation (the "General Partner"). The commodity
broker is Dean Witter Reynolds Inc. ("DWR"). The trading manager
who makes all trading decisions for the Partnership is Dean Witter
Futures and Currency Management Inc. ("DWFCM"). The General
Partner, DWFCM and DWR are wholly owned subsidiaries of Dean
Witter, Discover & Co.
2. Summary of Significant Accounting Policies
Effective September 1, 1996, brokerage commissions are accrued at
80% of DWR's published non-member rates on a half-turn basis with
maximum total brokerage commissions and transaction fees chargeable
to the Partnership capped at .65% per month of adjusted Net Assets
as defined in the Limited Partnership Agreement.
<PAGE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
3. Related Party Transactions
The Partnership's cash is on deposit with DWR in commodity trading
accounts to meet margin requirements as needed. DWR pays interest
on these funds based on current 13-week U.S. Treasury Bill rates.
Brokerage expenses incurred by the Partnership are paid to DWR.
Management fees and incentive fees (if any) are paid to DWFCM.
4. Financial Instruments
The Partnership trades futures and forward contracts in interest
rates, stock indices, commodities, currencies, petroleum and
precious metals. Futures and forwards represent contracts for
delayed delivery of an instrument at a specified date and price.
Risk arises from changes in the value of these contracts and the
potential inability of counterparties to perform under the terms of
the contracts. There are numerous factors which may significantly
influence the market value of these contracts, including interest
rate volatility. At September 30, 1996, open contracts were:
Contract or
Notional Amount
$
Exchange-Traded Contracts
Financial Futures:
Commitments to Purchase 1,037,000
Commodity Futures:
Commitments to Purchase 2,857,000
Commitments to Sell 6,561,000
Foreign Futures:
Commitments to Purchase 28,140,000
Commitments to Sell 1,514,000
Off-Exchange-Traded Forward
Currency Contracts
Commitments to Purchase 28,353,000
Commitments to Sell 43,356,000
<PAGE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
A portion of the amounts indicated as off-balance-sheet risk in
forward currency contracts is due to offsetting forward commitments
to purchase and to sell the same currency on the same date in the
future. These commitments are economically offsetting, but are not
offset in the forward market until the settlement date.
The net unrealized gain on open contracts is reported as a
component of "Equity in Commodity futures trading accounts" on the
Statement of Financial Condition and totaled $1,055,747 at
September 30, 1996. Of this amount, $1,010,153 related to
exchange-traded futures contracts and $45,594 related to off-
exchange-traded forward currency contracts.
Exchange-traded futures contracts held by the Partnership at
September 30, 1996 mature through June 1997. Off-exchange-traded
forward currency contracts held by the Partnership at September 30,
1996 mature through November 1996. The contract amounts in the
above table represent the Partnership's extent of involvement in
the particular class of financial instrument, but not the credit
risk associated with counterparty nonperformance. The credit risk
associated with these instruments is limited to the amounts
reflected in the Partnership's Statements of Financial Condition.
<PAGE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
The Partnership also has credit risk because DWR acts as the
futures commission merchant or the sole counterparty, with respect
to most of the Partnership's assets. Exchange-traded futures
contracts are marked to market on a daily basis, with variations in
value settled on a daily basis. DWR, as the futures commission
merchant for all of the Partnership's exchange-traded futures
contracts, is required pursuant to regulations of the Commodity
Futures Trading Commission to segregate from its own assets and for
the sole benefit of its commodity customers all funds held by DWR
with respect to exchange-traded futures contracts including an
amount equal to the net unrealized gain on all open futures
contracts, which funds totaled $11,974,161 at September 30, 1996.
With respect to the Partnership's off-exchange-traded forward
currency contracts, there are no daily settlements of variations in
value nor is there any requirement that an amount equal to the net
unrealized gain on open forward contracts be segregated. With
respect to those off-exchange-traded forward currency contracts,
the Partnership is at risk to the ability of DWR, the counterparty
on all such contracts, to perform.
<PAGE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
For the nine months ended September 30, 1996, the average fair
value of financial instruments held for trading purposes was as
follows:
Assets Liabilities
$ $
Exchange-Traded Contracts
Financial Futures 14,026,000 12,344,000
Commodity Futures 10,287,000 4,004,000
Foreign Futures 23,822,000 7,630,000
Off-Exchange-Traded Forward
Currency Contracts 39,432,000 44,756,000
5. Legal Matters
On September 6, 10, and 20, 1996, purported class actions were
filed in the Superior Court of the State of California, County of
Los Angeles, on behalf of all purchasers of interests in limited
partnership commodity pools sold by DWR. Named defendants include
DWR, the General Partner, DWFCM, Dean Witter, Discover & Co. (all
such parties referred to hereafter as the "Dean Witter Parties"),
certain limited partnership commodity pools of which Demeter is the
general partner, and certain trading advisors to those pools.
Also, on September 18 and 20, 1996 similar purported class actions
were filed in the Supreme Court of the State of New York, New York
County, against the Dean Witter Parties and certain trading
advisors on behalf of all purchasers of interests in various
limited partnership commodity pools sold by DWR. Generally, these
complaints allege, among other things, that the defendants
committed fraud, deceit, misrepresentation, breach of
<PAGE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
fiduciary duty, fraudulent and unfair business practices, unjust
enrichment, and conversion in connection with the sale and
operation of the various limited partnership commodity pools. The
complaints seek unspecified amounts of compensatory and punitive
damages and other relief. It is possible that additional similar
actions may be filed and that, in the course of these actions,
other parties could be added as defendants. The Dean Witter
Parties believe that they have strong defenses to, and they will
vigorously contest, the actions. Although the ultimate outcome of
legal proceedings cannot be predicted with certainty, it is the
opinion of management of the Dean Witter Parties that the
resolution of the actions will not have a material adverse effect
on the financial condition or the results of operations of any of
the Dean Witter Parties.
<PAGE>
Item 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS
Liquidity - The Partnership's assets are on deposit in separate
commodity interest trading accounts with DWR, and are used by the
Partnership as margin to engage in commodity futures, options
contracts, forward contracts on foreign currencies and other
commodity interest trading. DWR holds such assets in either
designated depositories or in securities approved by the Commodity
Futures Trading Commission for investment of customer funds. The
Partnership's assets held by DWR may be used as margin solely for
the Partnership's trading. Since the Partnership's sole purpose is
to trade in commodity futures contracts, options contracts, forward
contracts on foreign currencies and other commodity interests, it
is expected that the Partnership will continue to own such liquid
assets for margin purposes.
The Partnership's investment in commodity futures and forward
contracts and other commodity interests may be illiquid. If the
price of the futures contract for a particular commodity has
increased or decreased by an amount equal to the "daily limit",
positions in the commodity can neither be taken nor liquidated
unless traders are willing to effect trades at or within the limit.
Commodity futures prices have occasionally moved the daily limit
for several consecutive days with little or no trading. Such
market conditions could prevent the Partnership from promptly
liquidating its commodity futures positions.
<PAGE>
There is no limitation on daily price moves in trading forward
contracts on foreign currencies. The markets for some world
currencies have low trading volume and are illiquid, which may
prevent the Partnership from trading in potentially profitable
markets or prevent the Partnership from promptly liquidating
unfavorable positions in such markets subjecting it to substantial
losses. Either of these market conditions could result in
restrictions on redemptions.
Capital Resources. The Partnership does not have, nor does it
expect to have, any capital assets. Redemptions of additional
Units in the future will impact the amount of funds available for
investments in commodity futures and forward contracts and other
commodity interests. As redemptions are at the discretion of
Limited Partners, it is not possible to estimate the amount and
therefore, the impact of future redemptions.
Results of Operations
For the Quarter and Nine Months Ended September 30, 1996
For the quarter ended September 30, 1996, the Partnership's total
trading revenues including interest income were $1,028,123. During
the third quarter, the Partnership posted an increase in Net Asset
Value per Unit. The most significant trading gains were recorded
in the financial futures markets from long Australian, European and
Japanese bond futures positions as global interest rate futures
prices moved steadily higher between July and September.
Additional gains were recorded in the energy markets from long
<PAGE>
positions in crude, heating and gas oil futures as prices in these
markets trended higher throughout the quarter. Gains were also
recorded in metals as a downward move in aluminum futures prices
during September resulted in gains from previously established
short positions. A portion of the overall gains for the quarter
was offset by losses experienced in agricultural currency and soft
commodities markets. In the agricultural markets, losses were
recorded as soybean and corn futures prices moved in an
inconsistent pattern during most of the quarter. Additional losses
were recorded in the currency markets during August from short
Australian dollar positions as its value reversed higher relative
to the U.S. dollar and other world currencies and from short
Japanese yen positions as its value increased sharply during late
August. In soft commodities, losses were recorded as a result of
trendless movement in cotton and coffee prices throughout most of
the quarter. Total expenses for the quarter were $349,151,
resulting in net income of $678,972. The value of an individual
Unit in the Partnership increased from $902.34 at June 30, 1996 to
$956.02 at September 30, 1996.
For the nine months ended September 30, 1996, the Partnership's
total trading losses net of interest income were $580,451. During
the first nine months of the year, the Partnership posted a
decrease in Net Asset Value per Unit. The most significant losses
were recorded in soft commodities as a result of choppy price
movement in coffee, cotton and cocoa futures during a majority of
the first nine months of the year. Additional losses were recorded
in the agricultural markets as a result of trendless price movement
<PAGE>
in soybean products during the first and third quarters of the
year. Gains from long corn and wheat futures positions during the
second quarter offset a portion of these losses. In financial
futures trading, losses were recorded as a result of short-term
volatile movement in global stock index futures prices during the
first nine months of the year. In interest rate futures, gains
experienced during the third quarter from long Australian and
European bond futures positions more than offset losses recorded
during the first half of the year in U.S. and Japanese interest
rate futures. In the currency markets, losses were recorded during
February as a result of a sharp and sudden trend reversal in the
previous downward move in the value of the Japanese yen and most
European currencies, which had resulted in gains during January.
Smaller currency losses were recorded from transactions involving
the Canadian dollar. Trading gains experienced from transactions
involving the German mark relative to the U.S. dollar and other
world currencies during April and July helped to mitigate currency
losses. A portion of overall losses during the first nine months
of the year was offset by gains from short aluminum futures
positions as prices declined sharply during September. These
gains, coupled with smaller profits from trading gold, more than
offset losses experienced in silver and other base metals during
the first half of the year. Gains experienced during the third
quarter in the energy markets from a strong upward move in heating,
gas and crude oil futures prices more than offset losses
experienced from trading unleaded gas futures earlier in the year.
Total expenses for the period were $1,194,127, resulting in a net
loss of $1,774,578. The value of an individual Unit in the
<PAGE>
Partnership decreased from $1,080.82 at December 31, 1995 to
$956.02 at September 30, 1996.
For the Quarter and Nine Months Ended September 30, 1995
For the quarter ended September 30, 1995, the Partnership's total
trading losses net of interest income were $1,734,792. During the
third quarter, the Partnership posted a decrease in Net Asset Value
per Unit. The most significant trading losses were recorded in
financial futures as global interest rate futures prices
experienced choppiness throughout the quarter. As a result of this
price volatility, losses were experienced in U.S. Treasury bond,
Treasury note and eurodollar futures, as well as in Japanese,
Australian and French government bond futures trading. In global
stock index futures, a sharp reversal in the downward trend in the
Japanese Nikkei Index during July resulted in losses for the
Partnership's previously established short Nikkei positions.
Additional losses in this complex were recorded in Australian All
Ordinaries Index futures as Australian stock prices remained in a
short-term volatile range. In agricultural futures trading, net
losses were recorded from trading soybean products and corn as
prices remained trendless throughout the quarter. Smaller losses
were recorded in each of the energy, metals and soft commodities
complexes as prices moved in a trendless pattern for most of the
quarter. Trading gains from transactions involving the Japanese
yen were recorded during all three months of the quarter as a
downward trend in the value of the yen relative to the U.S. dollar
was evident until late September. Smaller Partnership gains were
<PAGE>
recorded in August from transactions involving the British pound as
its value declined relative to the U.S. dollar. These gains offset
losses experienced due to a sharp reversal in European currency
values during late September. Total expenses for the period were
$571,195, resulting in a net loss of $2,305,987. The value of an
individual Unit in the Partnership decreased from $1,238.70 at June
30, 1995 to $1,087.02 at September 30, 1995.
For the nine months ended September 30, 1995, the Partnership's
total trading revenues including interest income were $875,078.
During the first three quarters of the year, the Partnership posted
a decrease in Net Asset Value per Unit. Trading gains during the
first nine months of the year were offset by brokerage commissions
resulting in net trading losses. The most significant losses were
recorded in agricultural futures, primarily due to a trendless
environment in soybean and corn prices. In other markets, trading
losses were experienced in metals futures as precious and base
metals prices traded within a short-term volatile pattern for most
of the year. Losses were also recorded in soft commodities and
energy futures trading due to a similar price volatility. Trading
gains were recorded in financial futures between February and May
as global bond prices trended higher. As a result, gains were
recorded in Japanese, U.S., Australian and European interest rate
futures. Additional gains within this complex were recorded from
long positions in S&P 500 Index futures as domestic stock prices
reached record highs throughout the first nine months of the year.
<PAGE>
Currency trading also helped in offsetting a portion of the
Partnership's losses as an upward trend in the Japanese yen and
major European currencies versus the U.S. dollar occurred between
February and April. This upward trend in these foreign currencies
lost momentum during May and June. However, a declining trend in
the Japanese yen relative to the U.S. dollar occurred between July
and September resulting in net gains for the Partnership's short
yen positions during this period. Total expenses for the period
were $1,813,430 resulting in a net loss of $938,352. The value of
an individual Unit in the Partnership decreased from $1,154.31 at
December 31, 1994 to $1,087.02 at September 30, 1995.
<PAGE>
PART II. OTHER INFORMATION
Item 6. Exhibits and Reports on Form 8-K
A) Exhibits - None.
B) Reports on Form 8-K. - None.
<PAGE>
SIGNATURE
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.
Dean Witter Multi-Market Portfolio
L.P. (Registrant)
By: Demeter Management Corporation
(General Partner)
November 12, 1996 By:/s/ Patti L. Behnke
Patti L. Behnke
Chief Financial Officer
The General Partner which signed the above is the only party
authorized to act for the Registrant. The Registrant has no
principal executive officer, principal financial officer,
controller, or principal accounting officer and has no Board of
Directors.
<PAGE>
<TABLE> <S> <C>
<ARTICLE> 5
<LEGEND>
The schedule contains summary financial information extracted from Dean
Witter Multi Market Portfolio L.P. and is qualified in its entirety by
references to such financial instruments.
</LEGEND>
<S> <C>
<PERIOD-TYPE> 9-MOS
<FISCAL-YEAR-END> SEP-30-1996
<PERIOD-END> SEP-30-1996
<CASH> 10,964,008
<SECURITIES> 0
<RECEIVABLES> 38,824
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 12,058,579<F1>
<CURRENT-LIABILITIES> 0
<BONDS> 0
<COMMON> 0
0
0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 12,058,579<F2>
<SALES> 0
<TOTAL-REVENUES> (580,481)<F3>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 1,194,127
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> (1,774,578)
<INCOME-TAX> 0
<INCOME-CONTINUING> (1,774,578)
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (1,774,578)
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
<FN>
<F1>In addition to cash and receivables, total assets include net unrealized
loss on open contracts of $1,055,747.
<F2>Liabilities include redemptions payable of $174,996 and accrued
management fees of $30,141, accrued brokerage commissions of $16,427
and accrued transaction fees and costs of $2,122.
<F3>Total revenue includes realized trading revenue of $(1,042,523), net
change in unrealized of $79,157 and interest income of $382,915.
</FN>
</TABLE>
