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. 0-19116
DEAN WITTER DIVERSIFIED FUTURES FUND III L.P.
(Exact name of registrant as specified in its charter)
Delaware 13-3577501
(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 III 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)..........7-12
Item 2. Management's Discussion and Analysis of
Financial Condition and Results of Operations..13-19
Part II. OTHER INFORMATION
Item 1. Legal Proceedings.................................20
Item 6. Exhibits and Reports on Form 8-K..................21
</TABLE>
<PAGE>
<TABLE>
PART I. FINANCIAL INFORMATION
ITEM 1. Financial Statements
DEAN WITTER DIVERSIFIED FUTURES FUND III 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 58,287,256 62,384,530
Net unrealized gain on open contracts 6,359,170 11,155,386
Total Trading Equity 64,646,426 73,539,916
Interest receivable (DWR) 201,390 230,391
Due from DWR 76,050 3,839
Total Assets 64,923,866 73,774,146
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable 776,492 1,237,455
Accrued management fees (DWFCM) 163,300 185,798
Administrative expenses payable 123,566 91,265
Total Liabilities 1,063,358 1,514,518
Partners' Capital
Limited Partners (38,324.673 and
41,702.594 Units, respectively)62,233,269 70,564,013
General Partner (1,002.091 Units) 1,627,239 1,695,615
Total Partners' Capital 63,860,508 72,259,628
Total Liabilities and Partners' Capital 64,923,866 73,774,146
NET ASSET VALUE PER UNIT 1,623.84 1,692.08
<FN>
The accompanying notes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER DIVERSIFIED FUTURES FUND III L.P.
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Quarters Ended June 30,
1998 1997
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized (5,698,889) (2,552,161)
Net change in unrealized 7,568,136 (1,489,076)
Total Trading Results 1,869,247 (4,041,237)
Interest Income (DWR) 633,966 783,263
Total Revenues 2,503,213 (3,257,974)
EXPENSES
Brokerage commissions (DWR) 1,045,126 1,390,726
Management fees (DWFCM) 486,789 576,906
Transaction fees and costs 77,718 109,235
Administrative expenses 25,000 28,000
Total Expenses 1,634,633 2,104,867
NET INCOME (LOSS) 868,580 (5,362,841)
NET INCOME (LOSS) ALLOCATION
Limited Partners 845,653 (5,255,805)
General Partner 22,927 (107,036)
NET INCOME (LOSS) PER UNIT
Limited Partners 22.88 (106.81)
General Partner 22.88 (106.81)
<FN>
The accompanying notes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER DIVERSIFIED FUTURES FUND III L.P.
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Six Months Ended June 30,
1998 1997
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized 3,825,639 3,338,781
Net change in unrealized (4,796,216) (72,555)
Total Trading Results (970,577) 3,266,226
Interest Income (DWR) 1,317,561 1,611,941
Total Revenues 346,984 4,878,167
EXPENSES
Brokerage commissions (DWR) 2,089,580 2,899,031
Management fees (DWFCM) 1,007,615 1,223,188
Transaction fees and costs 169,355 224,991
Administrative expenses 46,000 55,000
Total Expenses 3,312,550 4,402,210
NET INCOME (LOSS) (2,965,566) 475,957
NET INCOME (LOSS) ALLOCATION
Limited Partners (2,897,190) 474,070
General Partner (68,376) 1,887
NET INCOME (LOSS) PER UNIT
Limited Partners (68.24) 1.89
General Partner (68.24) 1.89
<FN>
The accompanying notes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER DIVERSIFIED FUTURES FUND III 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 53,064.589 $78,452,540 $1,510,043 $79,962,583
Net Income - 474,070 1,887 475,957
Redemptions (5,460.711) (8,614,974) -
(8,614,974)
Partners' Capital,
June 30, 1997 47,603.878$70,311,636 $1,511,930 $71,823,566
Partners' Capital,
December 31, 1997 42,704.685 $70,564,013 $1,695,615 $72,259,628
Net Loss - (2,897,190) (68,376)(2,965
,566)
Redemptions (3,377.921) (5,433,554) - (5,433,554)
Partners' Capital,
June 30, 1998 39,326.764$62,233,269 $1,627,239 $63,860,508
<FN>
The accompanying notes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER DIVERSIFIED FUTURES FUND III 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) (2,965,566) 475,957
Noncash item included in net income (loss):
Net change in unrealized 4,796,216 72,555
(Increase) decrease in operating assets:
Interest receivable (DWR) 29,001 32,259
Due from DWR (72,211) (58,423)
Increase (decrease) in operating liabilities:
Accrued management fees (DWFCM)(22,498) (16,817)
Administrative expenses payable 32,301 5,929
Accrued brokerage commissions (DWR)- 145,233
Accrued transaction fees and costs -
(512)
Net cash provided by operating activities 1,797,243
656,181
CASH FLOWS FROM FINANCING ACTIVITIES
Increase (decrease) in redemptions payable(460,963) 1
,565,839
Redemptions of units (5,433,554) (
8,614,974)
Net cash used for financing activities (5,894,517) (
7,049,135)
Net decrease in cash (4,097,274) (
6,392,954)
Balance at beginning of period 62,384,530 7
9,927,495
Balance at end of period 58,287,256 7
3,534,541
<FN>
The accompanying notes are an integral part
of these financial statements.
</TABLE>
<PAGE>
DEAN WITTER DIVERSIFIED FUTURES FUND III 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 III L.P. (the "Partnership"). The financial
statements 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 III L.P. was organized to
engage in the speculative trading of commodity futures 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").
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 III 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 52,154,000 21,796,000
Commitments to Sell 8,813,000 -
Commodity Futures:
Commitments to Purchase 4,847,000 2,964,000
Commitments to Sell 20,636,000 44,840,000
Foreign Futures:
Commitments to Purchase 147,274,000 143,405,000
Commitments to Sell 192,612,000 32,821,000
Off-Exchange-Traded
Forward Currency Contracts
Commitments to Purchase 333,195,000 144,840,000
Commitments to Sell 438,660,000 277,442,000
<PAGE>
DEAN WITTER DIVERSIFIED FUTURES FUND III 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 $6,359,170 and
$11,155,386 at June 30, 1998 and December 31, 1997, respectively.
Of the $6,359,170 net unrealized gain on open contracts at June
30, 1998, $1,543,102 related to exchange-traded futures contracts
and $4,816,068 related to off-exchange traded forward currency
contracts.
Of the $11,155,386 net unrealized gain on open contracts at
December 31, 1997, $4,510,208 related to exchange-traded futures
contracts and $6,645,178 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
<PAGE>
DEAN WITTER DIVERSIFIED FUTURES FUND III L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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.
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
<PAGE>
DEAN WITTER DIVERSIFIED FUTURES FUND III L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
funds, in the aggregate, totaled $59,830,358 and $66,894,738 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 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 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 27,252,000 24,312,000
Commodity Futures 2,608,000 27,340,000
Foreign Futures 111,387,000 73,657,000
Off-Exchange-Traded Forward
Currency Contracts 258,108,000 314,823,000
<PAGE>
DEAN WITTER DIVERSIFIED FUTURES FUND III L.P.
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
December 31, 1997
Assets Liabilities
$ $
Exchange-Traded Contracts:
Financial Futures 21,847,000 73,460,000
Commodity Futures 29,351,000 34,585,000
Foreign Futures 89,567,000 52,168,000
Off-Exchange-Traded Forward
Currency Contracts 164,466,000 219,214,000
<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.
<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 and exchanges of
Units of Limited Partnership Interest in the future will affect
the amount of funds available for investment in futures interest
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.
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 $2,503,213
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
<PAGE>
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
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
reemerged 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 $1,634,633, resulting
in net income of $868,580. The value of an individual Unit in
the Partnership increased from $1,600.96 at March 31, 1998 to
$1,623.84 at June 30, 1998.
<PAGE>
For the six months ended June 30, 1998, the Partnership recorded
total trading revenues including interest income of $346,984 and
after expenses posted a decrease in Net Asset Value per Unit.
The most significant net trading losses were recorded in the
metals markets during the first quarter from long silver futures
positions as 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 Stock 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
<PAGE>
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 $3,312,550, resulting in a net
loss of $2,965,566. The value of an individual Unit in the
Partnership decreased from $1,692.08 at December 31, 1997 to
$1,623.84 at June 30, 1998.
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 $3,257,974 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.
<PAGE>
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 months ended June 30, 1997
were $2,104,867, resulting in a net loss of $5,362,841. The
value of an individual Unit in the Partnership decreased from
$1,615.59 at March 31, 1997 to $1,508.78 at June 30, 1997.
For the six months ended June 30, 1997, the Partnership recorded
total trading revenues including interest income of $4,878,167
and posted an increase in Net Asset Value per Unit. The most
significant trading gains were recorded in the currency markets
as a result of a strengthening in the value of the U.S. dollar
during the period January through April. A portion of these
gains was offset by losses from transactions involving the
British pound and Canadian dollar during February, March and May.
Gains were also 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. Trading
gains were also recorded in the agricultural markets from trading
soybean and corn futures.
<PAGE>
A majority of the Partnership's overall gains for the first half
of the year were offset by losses 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. Total expenses
for the six months ended June 30, 1997 were $4,402,210, resulting
in net income of $475,957. The value of an individual Unit in
the Partnership increased from $1,506.89 at December 31, 1996 to
$1,508.78 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.
<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 III 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 III 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> 58,287,256
<SECURITIES> 0
<RECEIVABLES> 277,440<F1>
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 64,923,866<F2>
<CURRENT-LIABILITIES> 0
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 64,923,866<F3>
<SALES> 0
<TOTAL-REVENUES> 346,984<F4>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 3,312,550
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> (2,965,566)
<INCOME-TAX> 0
<INCOME-CONTINUING> (2,965,566)
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (2,965,566)
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
<FN>
<F1>Receivables include interest receivable of $201,390 and due from
DWR of $76,050.
<F2>In addition to cash and receivables, total assets include net unrealized
gain on open contracts of $6,359,170.
<F3>Liabilities include redemptions payable of $776,492, accrued management
fee of $163,300 and accrued administrative expenses payable of $123,566.
<F4>Total revenue includes realized trading revenue of $3,825,639, net
change in unrealized of $(4,796,216) and interest income of $1,317,561.
</FN>
</TABLE>
