Portfolio Strategy Fund
May 1997
Monthly Report
This Monthly Report supplements
the Portfolio Strategy Fund's Prospectus
dated May 12, 1997.
June 30, 1997
Dean Witter Portfolio Strategy Fund
Historical Fund Performance
Presented below is the percentage change in Net Asset Value
per Unit from the start of each calendar year the Fund has
traded. Also provided is the inception-to-date return and
the annualized return since inception for the Fund. PAST
PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Year Return
1991 (11 months) 27.7%
1992 -6.4%
1993 19.9%
1994 -5.4%
1995 25.4%
1996 25.5%
1997 (5 months) -6.4%
Inception-to-Date Return:99.7%
Annualized Return: 11.5%
<PAGE>
Dean Witter
Two World Trade Center
62nd Floor
New York, NY 10048
Telephone (212) 392-8899
Dean Witter Portfolio Strategy Fund
Monthly Report
May 1997
Dear Limited Partner:
The Net Asset Value per Unit for the Dean Witter Portfolio
Strategy Fund as of May 31, 1997, was $1,996.88, down 7.01%
for the month.
The Fund recorded losses during the month due primarily to
previously established short positions in the Japanese yen
as the previous downward trend in the value of the yen
relative to the U.S. dollar reversed abruptly higher. As a
result of this sharp upward move, long Japanese yen
positions were established during mid-month only to
experience additional losses as the value of the yen
subsided during the last week of May. Smaller currency
losses were recorded from short positions in the British
pound and German mark as the value of these currencies
finished the month higher versus the U.S. dollar. In other
markets, losses were recorded from short-term volatile price
movement in crude oil and gold futures.
A portion of the Fund's overall losses during the month was
offset by gains in soft commodities as long coffee futures
positions profited from a strong upward trend in coffee
prices. Additional gains recorded from long global stock
index futures positions, particularly Nikkei Index futures,
also helped to offset a portion of the Fund's losses during
May.
Should you have any questions concerning this report, please
feel free to contact Demeter Management Corporation at Two
World Trade Center, 62nd floor, New York, NY 10048 or your
Dean Witter Account Executive.
I hereby affirm, that to the best of my knowledge and
belief, the information contained in this report is accurate
and complete. Past performance is not a guarantee of future
results.
Sincerely,
Mark J. Hawley
President
Demeter Management Corporation
General Partner
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<TABLE>
Dean Witter Portfolio Strategy Fund L.P.
Consolidated Statement of Operations
For the Month Ended May 31, 1997
(Unaudited)
<CAPTION>
Percent of
April 30, 1997
Amount Net Asset Value
$ %
REVENUES
<S>
<C> <C>
Trading Profit (Loss)
Realized (5,268,654) (6.15)
Net change in unrealized (340,737) (.40)
Total Trading Results(5,609,391) (6.55)
Interest income (DWR) 286,060 . 33
Total Revenues (5,323,331) (6.22)
Expenses
Brokerage commissions (DWR)373,523 .43
Management Fee 266,187 .31
Transaction fees and costs 40,031 .05
Administrative expenses 3,000 .00
Total Expenses 682,741 .79
NET LOSS (6,006,072) (7.01)
Statement of Changes in Net Asset Value
For the Month Ended May 31, 1997
(Unaudited)
Percent of
April 30, 1997
Amount Per Unit Net Asset
Value
$ $
%
<S>
<C> <C> <C>
Net Asset Value,
April 30, 1997
(39,857.224 Units) 85,595,982 2,147.57100.00
Net Loss (6,006,072) (150.69)(7.01)
Redemptions
(260.317 Units) (519,822) 1,996.88 (.61)
Net Asset Value,
May 31, 1997
(39,596.907 Units) 79,070,088 1,996.88 92.38
The accompanying notes are an integral part of these
financial statements.
</TABLE>
<PAGE>
Dean Witter Portfolio Strategy Fund L.P.
Notes to Financial Statements
(Unaudited)
1. Summary of Significant Accounting Policies
Organization , Dean Witter Portfolio Strategy 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 ("Demeter"). The commodity
broker is Dean Witter Reynolds Inc. ("DWR"). Both DWR and
Demeter are wholly-owned subsidiaries of Morgan Stanley,
Dean Witter, Discover & Co. ("MSDWD"). Demeter has retained
John W. Henry and Company Inc. ("JWH") as the trading
manager of the Partnership.
Demeter is required to maintain a 1% minimum interest in the
equity of the Partnership and income (losses) are shared by
the General and Limited Partners based upon their
proportional ownership interests.
Basis of Accounting , The preparation of financial
statements in conformity with generally accepted accounting
principles requires management to make estimates and
assumptions that affect the reported amounts in the
financial statements.
Revenue Recognition , Commodity futures contracts, commodity
options and forward contracts on foreign currencies are open
commitments until settlement date. They are valued at
market and the resulting unrealized gains and losses are
reflected in income. Monthly, DWR pays the Partnership
interest income based upon 80% of the average daily Net
Assets for the month that are allocated to the Trading
Manager's KT Diversified Program, Financial and Metals
Portfolio, International Foreign Exchange Program, and The
World Financial Perspective at a rate equal to the average
yield on 13-week U.S. Treasury Bills issued during the
month. For purposes of such interest payments, Net Assets
do not include monies due the Partnership on forward
contracts and other commodity interests, but not actually
received.
Net Income (Loss) per Unit , Net income (loss) per Unit is
computed using the weighted average number of units
outstanding during the period.
Brokerage Commissions and Related Transaction Fees and Costs
, The Partnership accrues brokerage commissions on a half-
turn basis at 80% of DWR's published non-member rates.
Transaction fees and costs are accrued on a half-turn basis.
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.
Operating Expenses , The Partnership bears all operating
expenses related to its trading activities, to a maximum of
1/4 of 1% annually of the Partnership's average month end
Net Assets. These include filing fees, clerical,
administrative, auditing, accounting, mailing, printing, and
other incidental operating expenses as permitted by the
Limited Partnership Agreement. In addition, the Partnership
incurs a monthly management fee and may incur an incentive
fee. Demeter and/or DWR bear all other operating expenses,
including expenses which would be incurred if the
Partnership were required to register as in investment
company.
<PAGE>
Dean Witter Portfolio Strategy Fund L.P.
Notes to Financial Statements ,
(Continued)
Redemptions , Limited Partners may redeem some or all of
their Units at 100% of the Net Asset Value Per Unit as of
the last day of any month or on special redemption dates
described in the Limited Partnership Agreement upon five
business days advance notice by redemption form to Demeter.
However, any Units redeemed at or prior to the end of the
twenty fourth full months following the closing at which
such person first becomes a limited partner, may be assessed
a redemption charge equal to 1% respectively, of the Net
Asset Value per Unit on the date of such redemption.
Limited Partners who obtained their units via an exchange
from another DWR sponsored commodity pool will not be
subject to the six month holding period of the redemption
charges.
Distributions , The Partnership will not make any
distributions until after the Guaranteed Redemption Date,
and thereafter will only make distribution on a pro-rata
basis at the discretion of Demeter. No distributions have
been made to date.
Income Taxes , No provision for income taxes has been made
in the accompanying financial statements, as partners are
individually responsible for reporting income or loss based
upon their respective share of the Partnership's revenues
and expenses for income tax purposes.
Dissolution of the Partnership , The Partnership will
terminate on December 31, 2025 or at an earlier date if
certain conditions set forth in the Limited Partnership
Agreement occur.
2. 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 as described in Note 1. Under
its Customer Agreement with DWR, the Partnership pays DWR
brokerage commissions as described in Note 1.
3. Trading Manager
Compensation to JWH consists of a management fee and an
incentive fee as follows:
Management Fee , The Partnership pays a monthly management
fee equal to 1/3 of 1% per month of the Partnership's
adjusted Net Assets, as defined, in the Limited Partnership
Agreement, as of the last day of each month.
Incentive Fee , The Partnership will pay a quarterly
incentive fee to JWH equal to 15% of the Partnership's "New
Appreciation," as defined in the Limited Partnership
Agreement, of the Partnership's Net Assets as of the end of
each calendar quarter. Such incentive fee is accrued in
each month in which "New Appreciation" occurs. In those
months in which "New Appreciation" is negative, previous
accruals, if any, during the incentive period will be
reduced. In those instances in which a Limited Partner
redeems an investment, the incentive fee (if earned through
a redemption date) is to be paid to JWH on those redemptions
in the month of such redemptions.
<PAGE>
Dean Witter Portfolio Strategy Fund L.P.
Notes to Financial Statements ,
(Concluded)
4. Legal Matters
On September 6, 10, and 20, 1996, and on March 13, 1997,
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,
Demeter, Dean Witter Futures & Currency Management Inc.,
MSDWD (all such parties referred to hereafter as the "Dean
Witter Parties"), the Partnership (under its original name),
certain other limited partnership commodity pools of which
Demeter is the general partner, and certain trading advisors
(including JWH) to those pools. Similar purported class
actions were also filed on September 18 and 20, 1996, in
the Supreme Court of the State of New York, New York County,
and on November 14, 1996 in the Superior Court of the State
of Delaware, New Castle County, against the Dean Witter
Parties and certain trading advisors (including JWH) on
behalf of all purchasers of interests in various limited
partnership commodity pools, including the Partnership, 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 amount 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.
DEAN WITTER REYNOLDS INC.
Two World Trade Center
62nd Floor
New York, NY 10048
