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 quarterly period ended June 30, 1998 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 No. 0-17446
DEAN WITTER DIVERSIFIED FUTURES FUND II L.P.
(Exact name of registrant as specified in its charter)
Delaware 13-3490286
(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification
No.)
c/o Demeter Management Corporation
Two World Trade Center, 62 Fl., New York, NY 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 DIVERSIFIED FUTURES FUND II L.P.
INDEX TO QUARTERLY REPORT ON FORM 10-Q
June 30, 1998
<CAPTION>
PART I. FINANCIAL INFORMATION
<S> <C>
Item 1. Financial Statements
Statements of Financial Condition June 30, 1998
(Unaudited) and December 31, 1997.....................2
Statements of Operations for the Quarters Ended
June 30, 1998 and 1997 (Unaudited)....................3
Statements of Operations for the Six Months Ended
June 30, 1998 and 1997 (Unaudited)....................4
Statements of Changes in Partners' Capital for the
Six Months ended June 30, 1998 and 1997
(Unaudited)...........................................5
Statements of Cash Flows for the Six Months Ended
June 30, 1998 and 1997 (Unaudited)....................6
Notes to Financial Statements (Unaudited)..........7-11
Item 2. Management's Discussion and Analysis of
Financial Condition and Results of Operations..12-18
Part II. OTHER INFORMATION
Item 1. Legal Proceedings.................................19
Item 6. Exhibits and Reports on Form 8-K..................20
</TABLE>
<PAGE>
<TABLE>
PART I. FINANCIAL INFORMATION
ITEM 1. Financial Statements
DEAN WITTER DIVERSIFIED FUTURES FUND II L.P.
STATEMENTS OF FINANCIAL CONDITION
<CAPTION>
June 30, December 31,
1998 1997
$ $
(Unaudited)
ASSETS
<S> <C> <C>
Equity in Commodity futures trading accounts:
Cash 9,769,334 10,015,151
Net unrealized gain on open contracts 1,030,418 1,749,349
Total Trading Equity 10,799,752 11,764,500
Interest receivable (DWR) 33,318 36,672
Due from DWR 11,835
- -
Total Assets 10,844,905 11,801,172
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable 455,462 283,443
Accrued management fees (DWFCM) 27,112 29,503
Total Liabilities 482,574 312,946
Partners' Capital
Limited Partners (3,903.438 and
4,175.580 Units, respectively) 10,093,411 11,209,045
General Partner (104 Units) 268,920 279,181
Total Partners' Capital 10,362,331 11,488,226
Total Liabilities and Partners' Capital 10,844,905 11,801,172
NET ASSET VALUE PER UNIT 2,585.77 2,684.43
<FN>
The accompanying notes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER DIVERSIFIED FUTURES FUND II L.P.
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Quarters Ended June 30,
1998 1997
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized (908,805) (410,972)
Net change in unrealized 1,237,965 (220,882)
Total Trading Results 329,160 (631,854)
Interest Income (DWR) 103,795 122,732
Total Revenues 432,955 (509,122)
EXPENSES
Brokerage fees (DWR) 171,358 215,360
Management fees (DWFCM) 79,654 89,323
Transaction fees and costs 12,280
16,881
Total Expenses 263,292 321,564
NET INCOME (LOSS) 169,663 (830,686)
NET INCOME (LOSS) ALLOCATION
Limited Partners 165,446 (812,993)
General Partner 4,217 (17,693)
NET INCOME (LOSS) PER UNIT
Limited Partners 40.55
(170.13)
General Partner 40.55
(170.13)
<FN>
The accompanying notes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER DIVERSIFIED FUTURES FUND II L.P.
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Six Months Ended June 30,
1998 1997
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized 608,863 416,375
Net change in unrealized (718,931) 3,881
Total Trading Results (110,068) 420,256
Interest Income (DWR) 213,678 251,208
Total Revenues 103,610 671,464
EXPENSES
Brokerage fees (DWR) 339,598 445,917
Management fees (DWFCM) 163,260 189,480
Transaction fees and costs 26,844
35,099
Total Expenses 529,702 670,496
NET INCOME (LOSS) (426,092) 968
NET INCOME (LOSS) ALLOCATION
Limited Partners (415,831) 1,657
General Partner (10,261) (689)
NET INCOME (LOSS) PER UNIT
Limited Partners (98.66) (6.63)
General Partner (98.66) (6.63)
<FN>
The accompanying notes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER DIVERSIFIED FUTURES FUND II L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
For the Six Months Ended June 30, 1998 and 1997
(Unaudited)
<CAPTION>
Units of
Partnership Limited General
Interest Partners Partner Total
<S> <C> <C>
<C> <C>
Partners' Capital,
December 31, 1996 5,086.521 $12,019,867 $250,890 $12,270,757
Net Income (Loss) - 1,657 (689) 96
8
Redemptions (491.013) (1,215,950) -
(1,215,950)
Partners' Capital,
June 30, 1997 4,595.508 $10,805,574 $250,201 $11,055,775
Partners' Capital,
December 31, 1997 4,279.580 $11,209,045 $279,181 $11,488,226
Net Loss - (415,831) (10,261) (426,092)
Redemptions (272.142) (699,803) - (699,803)
Partners' Capital,
June 30, 1998 4,007.438 $10,093,411 $268,920 $10,362,331
<FN>
The accompanying notes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER DIVERSIFIED FUTURES FUND II L.P.
STATEMENTS OF CASH FLOWS
(Unaudited)
<CAPTION>
For the Six Months Ended June 30,
1998 1997
$ $
CASH FLOWS FROM OPERATING ACTIVITIES
<S> <C> <C>
Net income (loss) (426,092) 968
Noncash item included in net income (loss):
Net change in unrealized 718,931 (3,881)
(Increase) decrease in operating assets:
Interest receivable (DWR) 3,354 4,190
Due from DWR (11,835) (6,088)
Increase (decrease) in operating liabilities:
Accrued management fees (DWFCM) (2,391) (2,002)
Accrued brokerage fees (DWR) - 23,160
Accrued transaction fees and costs -
43
Net cash provided by operating activities 281,967
16,390
CASH FLOWS FROM FINANCING ACTIVITIES
Increase in redemptions payable 172,019 392,955
Redemptions of units (699,803) (
1,215,950)
Net cash used for financing activities (527,784)
(822,995)
Net decrease in cash (245,817) (
806,605)
Balance at beginning of period 10,015,151 1
2,415,430
Balance at end of period 9,769,334 1
1,608,825
<FN>
The accompanying notes are an integral part
of these financial statements.
</TABLE>
<PAGE>
DEAN WITTER DIVERSIFIED FUTURES FUND II 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 of Dean Witter Diversified
Futures Fund II L.P. (the "Partnership"). The financial state-
ments and condensed notes herein should be read in conjunction
with the Partnership's December 31, 1997 Annual Report on Form
10-K.
1. Organization
Dean Witter Diversified Futures Fund II L.P. is a limited
partnership organized to engage in the speculative trading of
commodity futures contracts and futures related contracts,
including forward contracts on foreign currencies (collectively,
"futures interests"). The general partner is Demeter Management
Corporation ("Demeter"). The non-clearing commodity broker is
Dean Witter Reynolds Inc. ("DWR"), with an unaffiliated clearing
commodity broker, Carr Futures Inc. ("Carr"), providing clearing
and execution services. The trading manager who makes all
trading decisions for the Partnership is Dean Witter Futures &
Currency Management, Inc. ("DWFCM"), an affiliate of DWR.
Demeter, DWR and DWFCM are all wholly-owned subsidiaries of
Morgan Stanley Dean Witter & Co. ("MSDW").
2. Related Party Transactions
The Partnership's cash is on deposit with DWR and Carr in
<PAGE>
DEAN WITTER DIVERSIFIED FUTURES FUND II L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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 and incentive fees
incurred by the Partnership are paid to DWFCM.
3. Financial Instruments
The Partnership trades futures and forward contracts in interest
rates, stock indices, commodities and currencies. 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 June 30, 1998 and December 31, 1997, open
contracts were:
Contract or Notional Amount
June 30, 1998 December 31, 1997
$ $
Exchange-Traded Contracts
Financial Futures:
Commitments to Purchase 8,551,000 3,419,000
Commitments to Sell 1,451,000 -
Commodity Futures:
Commitments to Purchase 805,000 449,000
Commitments to Sell 3,424,000 7,245,000
Foreign Futures:
Commitments to Purchase 23,789,000 22,719,000
Commitments to Sell 31,551,000 5,110,000
Off-Exchange-Traded
Forward Currency Contracts
Commitments to Purchase 53,635,000 22,401,000
Commitments to Sell 71,123,000 43,183,000
<PAGE>
DEAN WITTER DIVERSIFIED FUTURES FUND II 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 gains on open contracts are reported as a
component of "Equity in Commodity futures trading accounts" on
the Statements of Financial Condition and totaled $1,030,418 and
$1,749,349 at June 30, 1998 and December 31, 1997, respectively.
Of the $1,030,418 net unrealized gain on open contracts at June
30, 1998, $245,990, related to exchange-traded futures contracts
and $784,428, related to off-exchange-traded forward currency
contracts.
Of the $1,749,349 net unrealized gain on open contracts at
December 31, 1997, $703,453, related to exchange-traded futures
contracts and $1,045,896, related to off-exchange-traded forward
currency contracts.
Exchange-traded futures contracts held by the Partnership at June
30, 1998 and December 31, 1997 mature through December 1998 and
June 1998, respectively. Off-exchange-traded forward currency
contracts held by the Partnership at June 30, 1998 and December
31, 1997 mature through October 1998 and April 1998,
respectively.
<PAGE>
DEAN WITTER DIVERSIFIED FUTURES FUND II L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
The contract amounts in the above table represent the
Partnership's extent of involvement in a particular class of
financial instrument, but not the credit risk associated with
counterparty non-performance. The credit risk associated with
these instruments is limited to the amounts reflected in the
Partnership's Statements of Financial Condition.
The Partnership also has credit risk because DWR and Carr act as
the futures commission merchants or the counterparties, 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. Each of DWR and
Carr, as a futures commission merchant for the Partnership's
exchange-traded futures contracts, are required pursuant to
regulations of the Commodity Futures Trading Commission ("CFTC"),
to segregate from their own assets, and for the sole benefit of
their commodity customers, all funds held by them with respect to
exchange-traded futures contracts, including an amount equal to
the net unrealized gain on all open futures contracts, which
funds, in the aggregate, totaled $10,015,324 and $10,718,604 at
June 30, 1998 and December 31, 1997, respectively. 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
<PAGE>
DEAN WITTER DIVERSIFIED FUTURES FUND II L.P.
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
risk to the ability of Carr, the sole counterparty on all such
contracts, to perform. Carr's parent, Credit Agricole Indosuez,
has guaranteed to the Partnership payment of the net liquidating
value of the transactions in the Partnership's account with Carr
(including foreign currency contracts).
For the six months ended June 30, 1998 and for the year ended
December 31, 1997, the average fair value of financial
instruments held for trading purposes was as follows:
June 30, 1998
Assets Liabilities
$ $
Exchange-Traded Contracts:
Financial Futures 4,381,000 3,943,000
Commodity Futures 868,000 4,475,000
Foreign Futures 17,865,000 11,977,000
Off-Exchange-Traded Forward
Currency Contracts 40,894,000 49,921,000
December 31, 1997
Assets Liabilities
$ $
Exchange-Traded Contracts:
Financial Futures 3,335,000 11,531,000
Commodity Futures 4,614,000 5,619,000
Foreign Futures 13,703,000 7,965,000
Off-Exchange-Traded Forward
Currency Contracts 25,073,000 33,538,000
<PAGE>
Item 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS
Liquidity - The Partnership's assets are deposited with DWR, as
non-clearing broker and with Carr, as clearing broker in separate
futures interest trading accounts, and are used by the
Partnership as margin to engage in futures interest trading.
Such assets are held in either non-interest bearing bank accounts
or in securities approved by the CFTC for investment of customer
funds. The Partnership's assets held by DWR and Carr may be used
as margin solely for the Partnership's trading. Since the
Partnership's sole purpose is to trade in futures interests, it
is expected that the Partnership will continue to own such liquid
assets for margin purposes.
The Partnership's investment in futures interests may be
illiquid. If the price of a 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 and
result in restrictions on redemptions.
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
<PAGE>
prevent the Partnership from trading in potentially profitable
markets or prevent the Partnership from promptly liquidating
unfavorable positions in such markets and 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 and exchanges of
Units of Limited Partnership Interest in the future will affect
the amount of funds available for investment in futures interests
in subsequent periods. Since they are at the discretion of the
Limited Partners, it is not possible to estimate the amount and
therefore, the impact of future redemptions and exchanges.
Results of Operations
For the Quarter and Six Months Ended June 30, 1998
For the quarter ended June 30, 1998, the Partnership recorded
total trading revenues including interest income of $432,955, and
posted an increase in Net Asset Value per Unit. The most
significant gains were recorded in the currency markets during
May from short Japanese yen positions as the value of the yen
reached its lowest level relative to the U.S. dollar since 1991.
Additional gains were recorded during June from short South
African rand positions as its value also trended lower versus the
U.S. dollar despite intervention by the South African government.
Currency gains were also recorded from trading the Swedish krona
and Australian dollar throughout the quarter. In soft
commodities, gains were recorded from short coffee futures
<PAGE>
positions as prices moved lower during April and June. Smaller
gains were recorded during the second quarter in the agricultural
and metals markets from short positions in corn, wheat and
aluminum futures. A portion of these gains was offset by losses
in the financial futures markets during April and June. In
April, losses were recorded from long global bond futures
positions as Australian, Japanese and European interest rate
futures prices reversed lower after trending higher previously.
The previous trend higher in global interest rate futures prices
re-emerged during May. However, additional losses were recorded
during June as this upward move reversed sharply lower during mid-
month in reaction to the Federal Reserve's intervention to halt
the downward slide of the Japanese yen. Additional losses were
recorded from trading global stock index futures during April and
June. Smaller losses were recorded in the energy markets from
short natural gas futures positions as prices reversed higher
during June after trending lower previously. Total expenses for
the three months ended June 30, 1998 were $263,292, resulting in
net income of $169,663. The value of an individual Unit in the
Partnership increased from $2,545.22 at March 31, 1998 to
$2,585.77 at June 30, 1998.
For the six months ended June 30, 1998, the Partnership recorded
total trading revenues including interest income of $103,610 and
after expenses posted a decrease in Net Asset Value per Unit.
The most significant losses were recorded in the metals markets
during the first quarter from long silver futures positions as
<PAGE>
silver prices reversed lower in February after rallying higher
during January. Additional losses were recorded from trading gold
futures during much of the first half of the year. Smaller
losses were recorded from trading base metals futures during
March and May. In financial futures, losses recorded during the
second quarter from short Nikkei Index futures positions, as well
as from long Australian bond futures positions more than offset
profits recorded during the first quarter from long European bond
futures positions. In currency trading, significant losses
recorded during the first quarter due primarily to short-term
volatility in the value of the Japanese yen were offset during
the second quarter by gains from short Japanese yen positions as
its value moved dramatically lower during May. Additional
currency gains recorded in the second quarter from trading the
Swedish krona and South African Rand offset losses recorded in
European currencies during the first six months of the year.
Additionally, trendless movement in soybean futures prices during
January and March resulted in smaller losses for the Partnership.
A portion of the Partnership's overall losses for the first half
of the year was offset by gains in soft commodities recorded from
short sugar futures positions as prices trended lower during
January and February and from short coffee futures positions as
prices trended lower during April and June. Total expenses for
the six months ended June 30, 1998 were $529,702, resulting in a
net loss of $426,092. The value of an individual Unit in the
Partnership decreased from $2,684.43 at December 31, 1997 to
$2,585.77 at June 30, 1998.
<PAGE>
For the Quarter and Six Months Ended June 30, 1997
For the quarter ended June 30, 1997 the Partnership recorded
total trading losses net of interest income of $509,122, and
posted a decrease in Net Asset Value per Unit. Losses were
recorded in the financial futures markets during April from short
positions in U.S. interest rate futures as prices moved higher
late in the month. This upward price move resulted in the
Partnership establishing new long positions, which recorded
additional losses in May as prices finished the month lower.
Smaller losses were recorded as a result of similar choppy price
movement in European interest rate futures during April and May.
A portion of these losses was offset in June from long global
interest rate and stock index futures positions as prices in
these markets moved higher. Trading losses were also recorded in
the energy and metals markets as oil and gas prices, as well as
base metals prices, moved in a choppy pattern throughout a
majority of the quarter. Smaller losses were recorded in the
currency markets as gains experienced from a strengthening in the
value of the U.S. dollar versus the Japanese yen during April
were more than offset by losses recorded from transactions
involving the Swiss franc during June and from transactions
involving the Canadian dollar and British pound during May. A
portion of the Partnership's overall losses for the quarter was
offset by gains experienced from long coffee futures positions as
coffee prices trended higher during April and May. Gains
recorded from short soybean and corn futures positions, as prices
in these markets moved lower during June, also helped to mitigate
losses during the quarter. Total expenses for the three
<PAGE>
months ended June 30, 1997 were $321,564, resulting in a net loss
of $830,686. The value of an individual Unit in the Partnership
decreased from $2,575.91 at March 31, 1997 to $2,405.78 at June
30, 1997.
For the six months ended June 30, 1997, the Partnership recorded
total trading revenues including interest income of $671,464 and
after expenses posted a decrease in Net Asset Value per Unit.
Net trading losses were experienced in global interest rate
futures as prices in these markets moved in a short-term volatile
range during the period January to April. Losses were also
recorded from trading energy futures during the second quarter as
oil and gas prices moved without consistent direction. Smaller
losses were recorded in metals as gains recorded from short gold
futures positions during January were more than offset by losses
in base metals futures trading during the second quarter. A
majority of the Partnership's overall losses were offset by gains
recorded in the currency markets as a result of a strengthening
in the value of the U.S. dollar versus the Japanese yen during
the period January through April and relative to most major
European currencies during January and February. A portion of
these gains was offset by losses from transactions involving the
British pound and Canadian dollar during February, March and May.
Gains recorded in soft commodities from long coffee futures
positions, as coffee prices trended steadily higher during
January and February and again during April and May also helped
to mitigate overall losses for the first half of the year.
Smaller gains were
<PAGE>
recorded in the agricultural markets from trading soybean and
corn futures. Total expenses for the six months ended June 30,
1997 were $670,496, resulting in net income of $968. The value
of an individual Unit in the Partnership decreased from $2,412.41
at December 31, 1996 to $2,405.78 at June 30, 1997.
<PAGE>
PART II. OTHER INFORMATION
Item 1. LEGAL PROCEEDINGS
Previously reported. See Form 10-Q for the quarter ended March
31, 1998.
- 19 -
<PAGE>
Item 6. Exhibits and Reports on Form 8-K
Reports on Form 8-K. - No such reports have been
filed for the quarter ended June 30, 1998.
<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 Diversified Futures
Fund II L.P. (Registrant)
By: Demeter Management Corporation
(General Partner)
August 12, 1998 By: /s/ Lewis A. Raibley, III
Lewis A. Raibley, III
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.
<TABLE> <S> <C>
<ARTICLE> 5
<LEGEND>
The schedule contains summary financial information extracted from Dean
Witter Diversified Futures Fund II L.P. and is qualified in its entirety
by reference to such financial statements.
</LEGEND>
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1998
<PERIOD-END> JUN-30-1998
<CASH> 9,769,334
<SECURITIES> 0
<RECEIVABLES> 45,153<F1>
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 10,844,905<F2>
<CURRENT-LIABILITIES> 0
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 10,844,905<F3>
<SALES> 0
<TOTAL-REVENUES> 103,610<F4>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 529,702
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> (426,092)
<INCOME-TAX> 0
<INCOME-CONTINUING> (426,092)
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (426,092)
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
<FN>
<F1>Receivables include interest receivable of $33,318 and due from DWR
of $11,835.
<F2>In addition to cash and receivables, total assets include net unrealized
gain on open contracts of $1,030,418.
<F3>Liabilities include redemptions payable of $455,462 and accrued
management fees of $27,112.
<F4>Total revenue includes realized trading revenue of $608,863,
net change in unrealized of $(718,931), and interest income of
$213,678.
</FN>
</TABLE>
