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 June 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 No. 33-25041
DEAN WITTER PRINCIPAL PLUS FUND L.P.
(Exact name of registrant as specified in its charter)
Delaware 13-3541588
(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 PRINCIPAL PLUS FUND L.P.
INDEX TO QUARTERLY REPORT ON FORM 10-Q
June 30, 1996
<CAPTION>
PART I. FINANCIAL INFORMATION
<S> <C>
Item 1. Consolidated Financial Statements
Consolidated Statements of Financial Condition
June 30, 1996 (Unaudited) and December 31, 1995...... 2
Consolidated Statements of Operations for the
Quarters Ended June 30, 1996 and 1995 (Unaudited).... 3
Consolidated Statements of Operations for the Six
Months Ended June 30, 1996 and 1995 (Unaudited).......4
Consolidated Statements of Changes in Partners'
Capital for the Six Months Ended June 30, 1996 and
1995 (Unaudited)..................................... 5
Consolidated Statements of Cash Flows for the
Six Months Ended June 30, 1996 and 1995
(Unaudited)...........................................6
Notes to Consolidated Financial Statements
(Unaudited)........................................7-11
Item 2. Management's Discussion and Analysis
of Financial Condition and Results of
Operations............................... 12-17
PART II. OTHER INFORMATION
Item 6. Exhibits and Reports on Form 8-K............ 18
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER PRINCIPAL PLUS FUND L.P.
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
<CAPTION>
June 30, December 31,
1996 1995
$ $
(Unaudited)
ASSETS
<S> <C> <C>
Equity in Commodity futures trading accounts:
Cash 6,321,879 8,897,293
Net unrealized gain on open contracts 268,411 787,729
Net option premiums received (275,200) -
Total Trading Equity 6,315,090 9,685,022
Investment in zero-coupon U.S. Treasury
Securities 48,335,126 32,867,974
Interest receivable (DWR) 24,790 28,912
Total Assets 54,675,006 42,581,908
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable 1,621,169 1,148,358
Accrued administrative fees 213,269 240,726
Accrued brokerage fees (DWR) 193,388 141,131
Accrued management fees 48,347 35,283
Accrued transaction fees and costs 7,043 1,777
Total Liabilities 2,083,216 1,567,275
Minority Interest 127,095 242,689
Partners' Capital
Limited Partners (37,080.109 and
25,314.968 Units, respectively) 51,378,352 39,547,302
General Partner (783 Units) 1,086,343 1,224,642
Total Partners' Capital 52,464,695 40,771,944
Total Liabilities and Partners' Capital 54,675,006 42,581,908
NET ASSET VALUE PER UNIT 1,385.64 1,562.26
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER PRINCIPAL PLUS FUND L.P.
CONSOLIDATED STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Quarters Ended June 30,
1996 1995
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized (418,971) 4,325,638
Net change in unrealized 82,393 (779,513)
Total Trading Results (336,578) 3,546,125
Interest Income 797,803 1,171,437
Change in value of Yield Pool (890,638) 60,337
Total Revenues (429,413) 4,777,899
EXPENSES
Brokerage fees 595,236 660,041
Management fees 145,445 165,011
Transaction fees and costs 32,652 33,513
Administrative expenses 15,000 24,000
Total Expenses 788,333 882,565
INCOME (LOSS) BEFORE MINORITY INTEREST (1,217,746) 3,895,334
Minority interest in (income) losses 23,789 (68,140)
NET INCOME (LOSS) (1,193,957) 3,827,194
NET INCOME (LOSS) ALLOCATION
Limited Partners (1,170,007) 3,759,874
General Partner (23,950) 67,320
NET INCOME (LOSS) PER UNIT
Limited Partners (30.59) 85.97
General Partner (30.59) 85.97
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER PRINCIPAL PLUS FUND L.P.
CONSOLIDATED STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Six Months Ended June 30,
1996 1995
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized (3,089,100) 6,613,191
Net change in unrealized (519,318) 601,998
Total Trading Results (3,608,418) 7,215,189
Interest Income 1,493,840 2,401,453
Change in value of Yield Pool (3,561,686) 111,255
Total Revenues (5,676,264) 9,727,897
EXPENSES
Brokerage fees (DWR) 1,134,132 1,314,879
Management fees 279,565 328,721
Transaction fees and costs 80,583 64,525
Administrative expenses 41,000 46,000
Total Expenses 1,535,280 1,754,125
INCOME (LOSS) BEFORE MINORITY INTEREST (7,211,544) 7,973,772
Minority interest in (income) losses 115,594 (131,920)
NET INCOME (LOSS) (7,095,950) 7,841,852
NET INCOME (LOSS) ALLOCATION
Limited Partners (6,957,651) 7,706,728
General Partner (138,299) 135,124
NET INCOME (LOSS) PER UNIT
Limited Partners (176.62) 170.86
General Partner (176.62) 170.86
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER PRINCIPAL PLUS FUND L.P.
CONSOLIDATED STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
For the Six Months Ended June 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 47,286.564 $61,577,369 $1,036,851 $62,614,220
Net Income - 7,706,728 135,124 7,841,852
Redemptions (4,554.122) (6,570,990) - (6,570,990)
Partners' Capital
June 30, 1995 42,732.442 $62,713,107 $1,171,975 $63,885,082
Partners' Capital
December 31, 1995 26,097.968 $39,547,302 $1,224,642 $40,771,944
Subscriptions 13,844.606 21,697,912 - 21,697,912
Net Loss - (6,957,651) (138,299) (7,095,950)
Redemptions (2,079.465) (2,909,211) - (2,909,211)
Partners' Capital
June 30, 1996 37,863.109 $51,378,352 $1,086,343 $52,464,695
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER PRINCIPAL PLUS FUND L.P.
CONSOLIDATED STATEMENTS OF CASH FLOWS
(Unaudited)
<CAPTION>
For the Six Months Ended June 30,
1996 1995
$ $
CASH FLOWS FROM OPERATING ACTIVITIES
<S> <C> <C>
Net income (loss) (7,095,950) 7,841,852
Noncash item included in net income (loss):
Net change in unrealized 519,318 (601,998)
(Increase) decrease in operating assets:
Investment in zero-coupon U.S.
Treasury Securities (15,467,152) 3,790,508
Interest receivable (DWR) 4,122 (15,430)
Net option premiums 275,200 (186,000)
Increase (decrease) in operating liabilities:
Accrued administrative expenses (27,457) 5,184
Accrued brokerage fees (DWR) 52,257 3,503
Accrued management fees 13,064 876
Accrued transaction fees and costs 5,266 1,118
Net cash provided by (used for) operating activities (21,721,332) 10,839,613
CASH FLOWS FROM FINANCING ACTIVITIES
Subscriptions of units 21,697,912 -
Increase (decrease) in redemptions payable 472,811 (356,132)
Minority interest (115,594) 131,920
Redemptions of units (2,909,211) (6,570,990)
Net cash provided by (used for) financing activities 19,145,918 (6,795,202)
Net increase (decrease) in cash (2,575,414) 4,044,411
Balance at beginning of period 8,897,293 5,915,049
Balance at end of period 6,321,879 9,959,460
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
DEAN WITTER PRINCIPAL PLUS FUND L.P.
NOTES TO CONSOLIDATED 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 consolidated 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 Principal Plus Fund L.P. (the "Partnership") is a
limited partnership organized to engage in the speculative trading
of commodity futures contracts, commodity options 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 General Partner (Demeter Management Corporation) has
retained RXR Inc. ("RXR") as the trading manager of the Trading
Company. Both General Partner and DWR are wholly-owned
subsidiaries of Dean Witter, Discover & Co. On February 1, 1996,
the Partnership concluded a public offering resulting in additional
subscriptions to the Partnership of $21,697,912 representing
13,844.606 Units.
<PAGE>
DEAN WITTER PRINCIPAL PLUS FUND L.P.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED)
2. Revenue Recognition
The investment in zero-coupon U.S. Treasury Securities (the "Yield
Pool") maintained to provide for the Partnership's guaranteed
return is valued at the lesser of cost plus accreted interest or
market value. For the six months ended June 30, 1996, $1,181,814
of interest income has been accreted on the Yield Pool. At June
30, 1996, the cost of the Yield Pool was $50,714,998 and the
accreted interest receivable thereon was $1,181,814. The market
value of the Yield Pool on June 30, 1996 is approximately
$48,335,126.
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.
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
<PAGE>
DEAN WITTER PRINCIPAL PLUS FUND L.P.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED)
rate volatility. At June 30, 1996, open contracts were:
Contract or
Notional Amount
$
Exchange-Traded Contracts
Financial Futures:
Commitments to Purchase 39,415,000
Commitments to Sell 21,662,000
Options Written 10,829,000
Commodity Futures:
Commitments to Purchase 5,200,000
Commitments to Sell 5,299,000
Foreign Futures:
Commitments to Purchase 34,592,000
Commitments to Sell 48,859,000
Off-Exchange-Traded Forward
Currency Contracts
Commitments to Purchase 34,057,000
Commitments to Sell 46,547,000
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 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 $268,411 at June 30, 1996. Of this
amount, $424,865 related to exchange-traded futures contracts and
($156,454) related to off-exchange-traded forward currency
contracts.
<PAGE>
DEAN WITTER PRINCIPAL PLUS FUND L.P.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED)
Exchange-traded futures contracts held by the Partnership at June
30, 1996 mature through March 1997. Off-exchange-traded forward
currency contracts held by the Partnership at June 30, 1996 mature
through August 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 statements is limited to the amounts reflected in the
Partnership's Statements of Financial Condition.
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 $6,746,744 at June 30, 1996. With
respect to the Partnership's off-exchange-traded forward currency
contracts, there are no daily settlements of variations in value
<PAGE>
DEAN WITTER PRINCIPAL PLUS FUND L.P.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONCLUDED)
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.
For the quarter ended June 30, 1996, the average fair value of
financial instruments held for trading purposes was as follows:
Assets Liabilities
$ $
Exchange-Traded Contracts:
Financial Futures 48,847,000 40,178,000
Commodity Futures 12,851,000 3,311,000
Foreign Futures 44,577,000 17,597,000
Off-Exchange-Traded Forward
Currency Contracts 37,294,000 41,314,000
<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, forward
contracts 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, forward contracts on foreign currency 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, forward
contracts and other commodity interests may be illiquid. If the
price for 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 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 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 the
Limited Partners, it is not possible to estimate the amount and
therefore, the impact of future redemptions.
Results of Operations
For the Quarter and Six Months Ended June 30, 1996
For the quarter ended June 30, 1996, the Partnership's total
trading losses net of interest income and change in value of the
Yield Pool were $429,413. During the second quarter, the
Partnership posted a decrease in Net Asset Value per Unit. The
most significant losses were recorded in the bond portion of the
balanced portfolio as U.S.Treasury bond futures prices moved lower
during April and May. Additionally, losses during the quarter were
attributed to a decline in the value of the zero-coupon U.S.
Treasury securities held in the guarantee portion of the
<PAGE>
Partnership. Losses were also recorded in the managed futures
component of the portfolio as non-U.S. interest rate futures prices
moved in a trendless pattern throughout the quarter. These losses
were partially offset by gains experienced in the managed futures
portfolio from long corn futures positions, as prices increased
during April and early May, and from long natural gas futures
positions, as prices increased during June. Gains were recorded
during April from short German mark and Swiss franc positions, as
the value of these currencies decreased relative to other world
currencies, also helped to mitigate losses experienced during the
quarter. Interest income declined in comparison to 1995's second
quarter because the Zero-Coupon U.S. Treasury Securities held by
the Partnership to support the Guaranteed Return matured during
1995 and were replaced at a lower yield. Total expenses for the
quarter were $788,333, resulting in a net loss before minority
interest of $1,217,746. The minority interest in such loss was
$23,789, resulting in a net loss of $1,193,957 for the Partnership.
The value of an individual Unit in the Partnership decreased from
$1,416.23 at March 31, 1996 to $1,385.64 at June 30, 1996.
For the six months ended June 30, 1996, the Partnership's total
trading losses net of interest income and change in value of the
yield pool were $5,676,263. During the first half of the year, the
Partnership posted a decrease in Net Asset Value per Unit. The
most significant losses were recorded in the bond portion, as well
as the guarantee portion, of the portfolio as U.S. Treasury bond
prices moved dramatically lower during the first quarter. As a
result, the Partnership's long U.S. Treasury bond futures positions
<PAGE>
and the Yield Pool recorded losses. Smaller losses were recorded
in the bond portion during the second quarter as the downward price
movement continued into April and May. In the managed futures
component of the portfolio, losses were recorded in financial
futures trading as global interest rate futures prices reversed
sharply lower during February and remained trendless between March
and June. Smaller losses were recorded in soft commodities and
base metals as prices were trendless throughout the first half of
the year. These losses were partially offset by gains recorded
during the second quarter in the agricultural markets from long
corn futures positions, and in the energy markets from long natural
gas futures positions. Gains were also recorded in the stock
portion of the portfolio, as S&P 500 Stock Index futures prices
moved higher. Interest income declined in comparison to 1995's
first six months because the Zero Coupon U.S. Treasury Securities
held by the Guaranteed Return matured during 1995 and were replaced
at a lower yield. Total expenses for the period were $1,535,280,
resulting in a net loss before minority interest of $7,211,544.
The minority interest in such loss was $115,594, resulting in a net
loss of $7,095,950 for the Partnership. The value of an individual
Unit in the Partnership decreased from $1,562.26 at December 31,
1995 to $1,385.64 at June 30, 1996.
For the Quarter and Six Months ended June 30, 1995
For the quarter ended June 30, 1995, the Partnership's total
revenues, consisting of net trading income, an increase in the
value of the yield pool, and interest income were $4,777,899.
During the second quarter, the Partnership posted an increase in
<PAGE>
Net Asset Value per Unit. The most significant trading gains were
recorded in the managed futures portion of the balanced portfolio.
These gains were primarily the result of trading in global interest
rate futures in April and May. The Partnership recorded gains from
U.S. Treasury bond and Treasury note, Japanese bond, European bond
and Australian bond futures trading. U.S. Treasury bond futures
trading in the bond portion of the balanced portfolio was also
profitable as U.S. bond prices trended higher throughout April and
May. Gains were also recorded in the S&P 500 Index in the stock
portion of the balanced portfolio during April, May and June as
domestic stocks reached record highs. Gains in the managed futures
portion of the balanced portfolio, as a result of trading wheat,
crude oil and sugar, also contributed to the Partnership's overall
increase. Losses recorded from trading soybean products, metals,
livestock and currencies in the managed futures portion of the
balanced portfolio offset a portion of the gains for the quarter.
Total expenses for the quarter were $882,565, resulting in a net
gain before minority interest of $3,895,334. The minority interest
in such gains was $68,140, resulting in a net gain of $3,827,194
for the Partnership. The value of an individual Unit in the
Partnership increased from $1,409.03 at March 31, 1995 to $1,495.00
at June 30, 1995.
For the six months ended June 30, 1995, total revenues consisting
of net trading gains, an increase in the value of the Yield Pool,
and interest income were $9,727,897. During the first six months,
the Partnership posted a gain in Net Asset Value per Unit. The
most significant gains were the result of financial futures and
<PAGE>
currency trading. In the managed futures portion of the balanced
portfolio, global interest rate futures trading resulted in gains
for the Partnership as bond prices increased between February and
May. Gains were recorded in U.S. Treasury bond and Treasury note,
Japanese bond, Australian bond and German bond futures. Gains were
also recorded in U.S. Treasury bonds in the bond portion of the
balanced portfolio due to the upward trend in bond prices during
this same time period. As a result of an increase in domestic
stock prices, the Partnership was able to record gains in S&P 500
Index futures in the stock portion of the balanced portfolio. Also
in the managed futures portion of the portfolio, gains were
recorded in currencies due to an increase in the value of the major
world currencies versus the U.S. dollar between February and April.
In June, gains in wheat and crude oil futures trading contributed
to the overall gains of the Partnership. In the managed futures
portion of the balanced portfolio, trading in the soybean products,
copper, livestock and gold resulted in losses and offset a portion
of the overall gains recorded through the first half of the year.
Total expenses for the period were $1,754,125, resulting in net
income before minority interest of $7,973,772. The minority
interest in such net trading income was $131,920, resulting in a
Partnership net gain of $7,841,852. The value of an individual
Unit in the Partnership increased from $1,324.14 at December 31,
1994 to $1,495.00 at June 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 Principal Plus
Fund L.P. (Registrant)
By: Demeter Management Corporation
(General Partner)
August 13, 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 Principal Plus Fund L.P. and is qualifies in its entirety by
reference to such financial instruments.
</LEGEND>
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> JUN-30-1996
<PERIOD-END> JUN-30-1996
<CASH> 6,321,879
<SECURITIES> 0
<RECEIVABLES> 24,790
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 54,675,006<F1>
<CURRENT-LIABILITIES> 0
<BONDS> 0
<COMMON> 0
0
0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 54,675,006<F2>
<SALES> 0
<TOTAL-REVENUES> (5,676,264)<F3>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 1,535,280
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> (7,095,950)<F4>
<INCOME-TAX> 0
<INCOME-CONTINUING> (7,095,950)
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (7,095,950)
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
<FN>
<F1>In addition to cash and receivables, total assets include net unrealized
gain on open contracts of $268,411, net option premiums received of $(275,000)
and Investment in U.S. Treasury Bills of $48,335,126.
<F2>Liabilities include redemptions payable of $1,621,169, accrued brokerage
fee of $193,388, accrued administrative fees of $213,269, accrued
management fees of $48,347, and accrued transaction fees and costs of
$7,043.
<F3>Total revenues includes realized trading revenue of $(3,089,100), net
change in unrealized of $(519,318), interest income of $1,493,840 and
change in valuation of Yield Pool of $(3,561,686).
<F4>Income-Pretax, Income Continuing and Net Income includes minority
interest in income of $115,594.
</FN>
</TABLE>
