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 33-36656
DEAN WITTER PORTFOLIO STRATEGY FUND L.P.
(Exact name of registrant as specified in its charter)
Delaware 13-3589337
(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 PORTFOLIO STRATEGY FUND 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............................................13-18
PART II. OTHER INFORMATION
Item 6. Exhibits and Reports on Form 8-K.......................19
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER PORTFOLIO STRATEGY FUND 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 67,927,017 78,404,128
Net unrealized gain on open contracts 8,699,143 3,621,113
Total Trading Equity 76,626,160 82,025,241
Interest receivable (DWR) 243,498 252,974
Due from DWR 215,200 -
Total Assets 77,084,858 82,278,215
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable 1,258,693 738,931
Accrued brokerage commissions (DWR) 286,861 99,604
Accrued management fee 255,278 272,903
Accrued administrative expenses 192,333 279,755
Incentive fee payable 170,438 320,038
Accrued transaction fees and costs 22,135 6,603
Bank fee payable - 21,336
Total Liabilities 2,185,738 1,739,170
Partners' Capital
Limited Partners (41,192.386 and
46,435.540 Units, respectively) 73,200,275 78,914,381
General Partner (956 Units) 1,698,845 1,624,664
Total Partners' Capital 74,899,120 80,539,045
Total Liabilities and Partners' Capital 77,084,858 82,278,215
NET ASSET VALUE PER UNIT 1,777.03 1,699.44
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER PORTFOLIO STRATEGY FUND L.P.
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Quarter Ended September 30,
1996 1995
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized (3,441,862) 3,420,950
Net change in unrealized 5,615,802 (3,640,653)
Total Trading Results 2,173,940 (219,703)
Interest Income (DWR) 751,162 820,227
Total Revenues 2,925,102 600,524
EXPENSES
Brokerage commissions (DWR) 1,018,631 618,543
Management fees 764,046 826,873
Incentive fees 168,692 (6,619)
Transaction fees and costs 83,124 39,762
Administrative expenses 11,363 27,000
Total Expenses 2,045,856 1,505,559
NET INCOME (LOSS) 879,246 (905,035)
NET INCOME (LOSS) ALLOCATION
Limited Partners 857,956 (887,318)
General Partner 21,290 (17,717)
NET INCOME (LOSS) PER UNIT
Limited Partners 22.27 (18.53)
General Partner 22.27 (18.53)
<FN>
The accompanying footnotes are an integral part
of these financial statements.
/TABLE
<PAGE>
<TABLE>
DEAN WITTER PORTFOLIO STRATEGY FUND L.P.
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Nine Months Ended September 30,
1996 1995
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized 1,901,203 25,325,211
Net change in unrealized 5,078,030 (5,771,730)
Total Trading Results 6,979,233 19,553,481
Interest Income (DWR) 2,188,401 2,423,105
Total Revenues 9,167,634 21,976,586
EXPENSES
Brokerage commissions (DWR) 2,449,366 2,127,887
Management fees 2,380,727 2,522,163
Incentive fees 643,996 1,265,978
Transaction fees and costs 175,299 196,416
Administrative expenses 38,363 81,000
Bank fees 31,570 84,832
Total Expenses 5,719,321 6,278,276
NET INCOME 3,448,313 15,698,310
NET INCOME ALLOCATION
Limited Partners 3,374,132 15,424,473
General Partner 74,181 273,837
NET INCOME PER UNIT
Limited Partners 77.59 286.44
General Partner 77.59 286.44
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER PORTFOLIO STRATEGY FUND 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 56,372.344 $ 75,121,362 $1,295,936 $ 76,417,298
Net Income - 15,424,473 273,837 15,698,310
Redemptions (7,948.021) (12,601,788) - (12,601,788)
Partners' Capital
September 30, 1995 48,424.323 $ 77,944,047 $1,569,773 $ 79,513,820
Partners' Capital
December 31, 1995 47,391.540 $ 78,914,381 $1,624,664 $80,539,045
Net Income - 3,374,132 74,181 3,448,313
Redemptions (5,243.154) (9,088,238) - (9,088,238)
Partners' Capital
September 30, 1996 42,148.386 $ 73,200,275 $1,698,845 $ 74,899,120
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER PORTFOLIO STRATEGY FUND 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 income 3,448,313 15,698,310
Noncash item included in net income:
Net change in unrealized (5,078,030) 5,771,730
(Increase) decrease in operating assets:
Interest receivable (DWR) 9,476 16,868
Due from DWR (215,200) -
Increase (decrease) in operating liabilities:
Accrued brokerage commissions (DWR) 187,257 (5,153)
Accrued management fee (17,625) 6,279
Accrued administrative expenses (87,422) 41,263
Incentive fee payable (149,600) -
Accrued transaction fees and costs 15,532 (40)
Bank fee payable (21,336) -
Net cash provided by (used for) operating activities (1,908,635) 21,529,257
CASH FLOWS FROM FINANCING ACTIVITIES
Increase (decrease) in redemptions payable 519,762 (808,701)
Redemptions of units (9,088,238) (12,601,788)
Net cash used for financing activities (8,568,476) (13,410,489)
Net increase (decrease) in cash (10,477,111) 8,118,768
Balance at beginning of period 78,404,128 74,414,633
Balance at end of period 67,927,017 82,533,401
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
DEAN WITTER PORTFOLIO STRATEGY FUND 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 Portfolio Strategy Fund L.P. (the "Partnership",
formerly named Dean Witter Principal Secured Futures Fund) 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 of
the Partnership, Demeter Management Corporation ("the General
Partner"), has retained John W. Henry & Company, Inc. as the
trading manager of the Partnership. The commodity broker is Dean
Witter Reynolds Inc. ("DWR"). Both the General Partner and DWR are
wholly owned subsidiaries of Dean Witter, Discover & Co.
On July 31, 1996, with the Partnership's NAV above $1,000 per unit,
the agreement of guarantee which assured investors who redeemed
their units on July 31, 1996 a minimum Net Asset Value of $1,000
per unit expired. Effective August 1, 1996, the Partnership was
renamed and continued trading in a non-guaranteed format. As a
result, both the reduction of interest income of 1.125% per annum
<PAGE>
DEAN WITTER PORTFOLIO STRATEGY FUND L.P.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
annum for the letter of credit fee paid by DWR and the letter of
credit fee of 1% of new appreciation under the former structure
have been eliminated.
2. Summary of Significant Accounting Policies
Effective September 1, 1996, maximum total brokerage commissions
and transaction fees chargeable to the Partnership are capped at
.65% per month of adjusted Net Assets as defined in the Limited
Partnership Agreement.
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
rate volatility. At September 30, 1996, open contracts were:
<PAGE>
DEAN WITTER PORTFOLIO STRATEGY FUND L.P.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
Contract or
Notional Amount
$
Exchange-Traded Contracts
Financial Futures:
Commitments to Purchase 91,964,000
Commitments to Sell 155,810,000
Commodity Futures:
Commitments to Purchase 9,587,000
Commitments to Sell 64,064,000
Foreign Futures:
Commitments to Purchase 232,271,000
Commitments to Sell 1,478,000
Off-Exchange-Traded Forward
Currency Contracts
Commitments to Purchase 73,022,000
Commitments to Sell 53,313,000
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 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 $8,699,143 at
September 30, 1996. Of this amount, $9,100,353 related to
exchange-traded futures contracts and ($401,210) related to non-
exchange-traded forward currency contracts.
<PAGE>
DEAN WITTER PORTFOLIO STRATEGY FUND L.P.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
Exchange-traded futures contracts held by the Partnership at
September 30, 1996 mature through September 1997. Off-exchange-
traded forward currency contracts held by the Partnership at
September 30, 1996 mature through December 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.
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 $77,027,370 at September 30, 1996.
With respect to the Partnership's off-exchange-traded forward
currency contracts, there are no daily settlements of variations in
<PAGE>
DEAN WITTER PORTFOLIO STRATEGY FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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.
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 85,319,000 96,366,000
Commodity Futures 15,865,000 21,742,000
Foreign Futures 122,705,000 21,768,000
Off-Exchange-Traded Forward
Currency Contracts 111,831,000 152,686,000
5. Legal Matters
On September 6, 10, and 20, 1996, similar 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, Dean Witter Futures and Currency
Management Inc., Dean Witter, Discover & Co. (all such parties
referred to hereafter as the "Dean Witter Parties"), the
Partnership, certain other 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
<PAGE>
DEAN WITTER PORTFOLIO STRATEGY FUND
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
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 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 and the Partnership 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 or the Partnership.
<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 and 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, 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 currency. 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
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 $2,925,102. 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 European, Japanese and
Australian bond futures positions as international interest rate
futures prices moved higher between July and September. Additional
gains were recorded in the energy markets from long crude and
heating oil futures as prices in these markets trended higher
throughout the quarter. A portion of the overall gains for the
<PAGE>
quarter was offset by losses experienced in the currency and soft
commodities. In the currency markets, losses were recorded from
short Australian dollar positions as the value of the Australian
dollar reversed higher relative to the U.S. dollar and other world
currencies and from transactions involving the Swiss franc and
German mark as the value of these currencies moved in an
inconsistent pattern. In soft commodities, losses were recorded as
a result of trendless movement in sugar, coffee and cotton prices
throughout most of the quarter. Total expenses for the quarter
were $2,045,856, resulting in net income of $879,246. The value of
an individual Unit in the Partnership increased from $1,754.76 at
June 30, 1996 to $1,777.03 at September 30, 1996.
For the nine months ended September 30, 1996, the Partnership's
total trading revenues including interest income were $9,167,634.
During the first nine months, the Partnership posted an increase in
Net Asset Value per Unit. The most significant gains were recorded
in the financial futures markets from global interest rate futures
trading during the third quarter. These gains more than offset
losses in non-U.S. interest rate futures and global stock index
futures during the first half of the year. Additional gains were
recorded in the currency markets from transactions involving the
Swiss franc, Japanese yen and German mark during the second
quarter. In the energy markets, gains were recorded from long
crude and heating oil futures as prices increased significantly
during the third quarter. In metals, gains were recorded from
short positions in gold futures as prices moved lower during June,
July and September. A portion of the overall gains during the
<PAGE>
first nine months of the year was offset by losses in soft
commodities as coffee, sugar and cotton prices moved in a trendless
pattern throughout the year. Total expenses for the period were
$5,719,321, resulting in net income of $3,448,313. The value of an
individual Unit in the Partnership increased from $1,699.44 at
December 31, 1995 to $1,777.03 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 revenues including interest income were $600,524. Trading
gains during the quarter were offset by brokerage commissions
resulting in net trading losses. During the third quarter, the
Partnership posted a small loss in Net Asset Value per Unit as
trading losses in the financials futures and traditional
commodities sectors offset profits from trading in currencies. In
financial futures, the Partnership recorded losses from trading in
U.S. and European interest rate futures contracts as prices moved
in a short-term volatile pattern after trending higher for most of
the first half of 1995. Smaller losses within this sector were
recorded in Japanese and Australian stock index futures. In
commodities trading, the Partnership experienced losses in each of
the metals, energies and soft commodities sectors as prices in each
of these areas remained trendless for most of the quarter.
Currencies trading was profitable for the quarter due primarily to
a declining trend in the value of the Japanese yen. Smaller
profits in currencies were recorded from transactions involving the
Australian and Canadian dollars. Total expenses for the period
<PAGE>
were $1,505,559, resulting in a net loss of $905,035. The value of
an individual Unit in the Partnership decreased from $1,660.55 at
June 30, 1995 to $1,642.02 at September 30, 1995.
For the nine months ended September 30, 1995, the Partnership's
total trading revenues including interest income were $21,976,586.
During the first nine months of the year, the Partnership posted an
increase in Net Asset Value per Unit. The most significant profits
were recorded in currency and financial futures trading. Currency
trading contributed to the overall gains as an upward trend in the
Japanese yen, German mark and Swiss franc versus the U.S. dollar
occurred through February, March and April. This upward trend in
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 gains for the
Partnership's short yen positions. Gains were also recorded in
both global interest rate and stock index futures earlier in the
year. Profits from interest rate futures were the result of an
upward trend in global bond prices between February and May
resulting in trading gains for the Partnership's long U.S. Treasury
bond, Treasury note, eurodollar and Japanese government bond
futures positions. Nikkei stock index futures also contributed to
the overall gains for the Partnership, as Japanese stock prices
declined in the first half of the year. Trading losses were
recorded primarily as a result of trendless price movement in soft
commodities, soybean products and both precious and base metals
futures throughout most of the year. These losses offset a small
portion of the Partnership's gains experienced during the first
<PAGE>
three quarters of the year. Total expenses for the period were
$6,278,276, resulting in net income of $15,698,310. The value of
an individual Unit in the Partnership increased from $1,355.58 at
December 31, 1994 to $1,642.02 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 Portfolio Strategy
Fund L.P. (Registrant)
By: Demeter Management Corporation
(General Partner)
November 8, 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 Portfolio Strategy Fund 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> 67,927,017
<SECURITIES> 0
<RECEIVABLES> 458,698<F1>
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 77,084,858<F2>
<CURRENT-LIABILITIES> 0
<BONDS> 0
<COMMON> 0
0
0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 77,084,858<F3>
<SALES> 0
<TOTAL-REVENUES> 9,167,634<F4>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 5,719,321
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 3,448,313
<INCOME-TAX> 0
<INCOME-CONTINUING> 3,448,313
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 3,448,313
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
<FN>
<F1>Receivables include interest receivable of $243,498 and due from DWR of
$215,200.
<F2>In addition to cash and receivables, total assets include net unrealized
gain on open contracts of $8,699,143.
<F3>Liabilities include redemptions payable of $1,258,693, accrued brokerage
commissions of $286,861, accrued management fees of $255,278, accrued
administrative expenses of $192,333, accrued transaction fees and costs
of $22,135 and incentive fee payable of $170,438.
<F4>Total revenues include realized trading revenue of $1,901,203, net
change in unrealized of $5,078,030 and interest income of $2,188,401.
</FN>
</TABLE>
