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. 0-19046
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 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 PORTFOLIO STRATEGY FUND 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...................................13-18
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 PORTFOLIO STRATEGY FUND 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 125,728,841 125,280,410
Net unrealized gain (loss) on open contracts (3,273,587) 9,771,078
Total Trading Equity 122,455,254 135,051,488
Interest receivable (DWR) 439,406 493,617
Due from DWR 128,271 -
Total Assets 123,022,931 135,545,105
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable 958,069 583,707
Management fee payable 409,706 451,563
Accrued administrative expenses 111,133 76,076
Incentive fee payable - 801,115
Total Liabilities 1,478,908 1,912,461
Partners' Capital
Limited Partners (52,601.905 and
55,349.245 Units, respectively)119,374,482 131,363,711
General Partner (956 Units) 2,169,541 2,268,933
Total Partners' Capital 121,544,023 133,632,644
Total Liabilities and Partners' Capital 123,022,931 135
,545,105
NET ASSET VALUE PER UNIT 2,269.39 2,373.36
<FN>
The accompanying notes 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 Quarters Ended June 30,
1998 1997
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized 5,564,067 (6,914,124)
Net change in unrealized (8,394,261) 2,510,087
Total Trading Results (2,830,194) (4,404,037)
Interest Income (DWR) 1,283,889 852,940
Total Revenues (1,546,305) (3,551,097)
EXPENSES
Brokerage commissions (DWR) 1,520,055 945,317
Management fees 1,248,472 826,252
Transaction fees and costs 99,652 92,032
Administrative expenses 24,000 9,000
Total Expenses 2,892,179 1,872,601
NET LOSS (4,438,484) (5,423,698)
NET LOSS ALLOCATION
Limited Partners (4,361,087) (5,294,213)
General Partner (77,397) (129,485)
NET LOSS PER UNIT
Limited Partners (80.96) (135.44)
General Partner (80.96) (135.44)
<FN>
The accompanying notes 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 Six Months Ended June 30,
1998 1997
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized 10,362,591 (2,516,803)
Net change in unrealized (13,044,665) 1,509,819
Total Trading Results (2,682,074) (1,006,984)
Interest Income (DWR) 2,639,442 1,770,273
Total Revenues (42,632) 763,289
EXPENSES
Brokerage commissions (DWR) 2,861,922 1,572,709
Management fees 2,568,352 1,725,722
Transaction fees and costs 205,860 142,423
Administrative expenses 51,000 18,000
Incentive fees - 409,220
Total Expenses 5,687,134 3,868,074
NET LOSS (5,729,766) (3,104,785)
NET LOSS ALLOCATION
Limited Partners (5,630,374) (3,029,351)
General Partner (99,392) (75,434)
NET LOSS PER UNIT
Limited Partners (103.97) (78.90)
General Partner (103.97) (78.90)
<FN>
The accompanying notes 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 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 40,937.953 $85,273,194 $2,038,949
$87,312,143
Net Loss - (3,029,351) (75,434)
(3,104,785)
Redemptions (1,786.781) (3,795,310) -
(3,795,310)
Partners' Capital,
June 30, 1997 39,151.172 $78,448,533 $1,963,515
$80,412,048
Partners' Capital,
December 31, 1997 56,305.245 $131,363,711 $2,268,933
$133,632,644
Net Loss - (5,630,374) (99,392)
(5,729,766)
Redemptions (2,747.340) (6,358,855) -
(6,358,855)
Partners' Capital,
June 30, 1998 53,557.905 $119,374,482 $2,169,541
$121,544,023
<FN>
The accompanying notes 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 Six Months Ended June 30,
1998 1997
$ $
CASH FLOWS FROM OPERATING ACTIVITIES
<S> <C> <C>
Net loss (5,729,766)
(3,104,785)
Noncash item included in net loss:
Net change in unrealized 13,044,665 (
1,509,819)
(Increase) decrease in operating assets:
Interest receivable (DWR) 54,211 37,527
Due from DWR (128,271) (23,179)
Increase (decrease) in operating liabilities:
Management fee payable (41,857) (31,130)
Accrued administrative expenses 35,057 (25,496)
Incentive fee payable (801,115) (
2,587,891)
Accrued brokerage commissions (DWR)- 104,090
Accrued transaction fees and costs -
7,802
Net cash provided by (used for) operating activities 6,432,924
(7,132,881)
CASH FLOWS FROM FINANCING ACTIVITIES
Increase in redemptions payable 374,362 227,376
Redemptions of units (6,358,855) (
3,795,310)
Net cash used for financing activities (5,984,493) (
3,567,934)
Net increase (decrease) in cash 448,431 (
10,700,815)
Balance at beginning of period 125,280,410 8
7,847,358
Balance at end of period 125,728,841 7
7,146,543
<FN>
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)
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 Portfolio
Strategy Fund L.P. (formerly, Dean Witter Principal Secured
Futures Fund) (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 Portfolio Strategy Fund L.P., (formerly, 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 (collectively, "futures
interests"). Demeter Management Corporation ("Demeter"), the
general partner, has retained John W. Henry & Company Inc.
("JWH") as the trading manager of the Partnership. 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. Both
Demeter and DWR are 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 PORTFOLIO STRATEGY FUND 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.
3. Financial Instruments
The Partnership trades futures, options 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 326,576,000 231,632,000
Commitments to Sell 41,012,000 83,000,000
Commodity Futures:
Commitments to Purchase 1,745,000 20,890,000
Commitments to Sell 58,466,000 51,155,000
Foreign Futures:
Commitments to Purchase 354,296,000 198,296,000
Commitments to Sell 190,406,000 85,638,000
Off-Exchange-Traded
Forward Currency Contracts
Commitments to Purchase 162,463,000 78,711,000
Commitments to Sell 245,686,000 126,515,000
<PAGE>
DEAN WITTER PORTFOLIO STRATEGY FUND 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 gain (loss) on open contracts is reported as a
component of "Equity in Commodity futures trading accounts" on
the Statements of Financial Condition and totaled $(3,273,587)
and $9,771,078 at June 30, 1998 and December 31, 1997,
respectively.
Of the $(3,273,587) net unrealized loss on open contracts at June
30, 1998, $1,128,139 related to exchange-traded futures contracts
and $(4,401,726) related to off-exchange-traded forward currency
contracts.
Of the $9,771,078 net unrealized gain on open contracts at
December 31, 1997, $9,025,112 related to exchange-traded futures
contracts and $745,966 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 June 1999 and
December 1998, respectively. Off-exchange-traded forward
currency
<PAGE>
DEAN WITTER PORTFOLIO STRATEGY FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
contracts held at June 30, 1998 and December 31, 1997 mature
through September 1998 and March 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 and futures styled options 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 and futures styled
options contracts, is 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 and futures styled option contracts, including an amount
equal to the net unrealized gain (loss) on all open futures and
futures styled options contracts, which funds, in the aggregate,
totaled $126,856,980 and $134,305,522 at June 30, 1998 and
<PAGE>
DEAN WITTER PORTFOLIO STRATEGY FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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 (loss) 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 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 182,109,000 129,327,000
Commodity Futures 17,263,000 41,214,000
Foreign Futures 227,153,000 85,704,000
Off-Exchange-Traded Forward
Currency Contracts 167,801,000 221,659,000
<PAGE>
DEAN WITTER PORTFOLIO STRATEGY FUND
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
December 31, 1997
Assets Liabilities
$ $
Exchange-Traded Contracts:
Financial Futures 164,149,000 101,742,000
Commodity Futures 21,882,000 32,801,000
Foreign Futures 101,980,000 48,040,000
Off-Exchange-Traded Forward
Currency Contracts 116,463,000 112,657,000
<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 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 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 losses net of interest income of $1,546,305 and
posted a decrease in Net Asset Value per Unit. The most
significant losses were recorded in the financial futures and
currency markets. Losses were recorded from long global bond
futures positions as European and Australian interest rate
futures prices reversed lower in April. Additional losses were
experienced in June from long positions in Japanese and
Australian bond futures as prices in these markets suddenly moved
lower in response to the coordinated intervention by the U.S. and
Japanese governments to halt the downward slide of the Japanese
yen. Long S&P 500 Index futures positions experienced smaller
<PAGE>
losses during June. Transactions in the currency markets
resulted in losses for the quarter despite strong gains produced
in May from short Japanese yen positions as the value of the yen
fell to a seven and a half year low relative to the U.S. dollar.
Losses were recorded from long British pound positions as the
value of the pound weakened relative to the U.S. dollar in May.
Short British pound positions held in June also produced losses
as its value increased sharply relative to the U.S. dollar during
the third week of the month. Smaller currency losses were
recorded from short Swiss franc and German mark positions as the
value of these currencies increased versus the U.S. dollar during
the first half of the quarter. Losses were also recorded in the
metals markets from trading gold futures during May and June. A
portion of the Partnership's overall losses for the second
quarter was offset by gains in the energy markets as short crude
oil futures positions profited as prices moved lower in May and
June. Additional gains were recorded in the soft commodities
markets from short coffee futures positions as coffee prices also
declined for a majority of the quarter. Total expenses for the
three months ended June 30, 1998 were $2,892,179, resulting in a
net loss of $4,438,484. The value of an individual Unit in the
Partnership decreased from $2,350.35 at March 31, 1998 to
$2,269.39 at June 30, 1998.
For the six months ended June 30, 1998, the Partnership recorded
total trading losses net of interest income of $42,632 and posted
a decrease in Net Asset Value per Unit. The most significant
trading losses were recorded in the currency and metals markets.
<PAGE>
Long British pound positions resulted in losses during May as the
value of the pound decreased versus the U.S. dollar. Short
British pound positions held during June also resulted in losses
as the value of the pound reversed higher during mid-June
relative to the U.S. dollar. Similarly, gold futures trading
during May and mid-June added to losses incurred during the first
quarter as a result of choppy price movement. These losses more
than offset the gains from short Japanese yen positions as the
value of the yen fell to a seven and a half year low versus the
U.S. dollar during May. Additional losses were experienced in
the financial futures markets from trading U.S. Treasury bond and
Australian bond futures, as well as Nikkei Index futures, as
prices in these markets experienced short-term volatility during
a majority of the first half of the year. Profits from long
German bond futures positions during the first six months of the
year were able to mitigate these losses. Smaller losses were
recorded in the agricultural markets from trading corn and
soybean oil futures. A portion of the Partnership's overall
losses during the first half of the year was offset by gains in
the energy markets from short crude oil futures positions as oil
prices moved downward for a majority of the first quarter.
Following a spike higher in late March, oil prices proceeded to
move lower during most of the second quarter. In the soft
commodities markets, trading in cotton and cocoa futures
contributed additional gains. Total expenses for the six months
ended June 30, 1998 were $5,687,134, resulting in a net loss of
$5,729,766. The value of an individual Unit in the Partnership
<PAGE>
decreased from $2,373.36 at December 31, 1997 to $2,269.39 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 $3,551,097, and
posted a decrease in Net Asset Value per Unit. Losses were
recorded in currencies from short Japanese yen positions as the
previous strengthening in the value of the U.S. dollar relative
to the Japanese yen reversed abruptly during May. Additional
currency losses were recorded from transactions involving the
Swiss franc as its value moved without consistent direction
during the quarter. In financial futures trading, losses were
experienced from trendless price movement in Japanese government
bond futures throughout a majority of the quarter. These losses
were partially offset by gains recorded from long positions in
Australian interest rate futures and global stock index futures
as prices in these markets trended higher during May and June. A
portion of the Partnership's overall losses for the quarter was
offset by gains in metals as short gold futures positions
profited from a downward price move during April and June.
Smaller gains recorded in agricultural futures during June, as
well as in soft commodities during April and May, also helped to
offset a portion of the quarter's losses. Total expenses for the
three months ended June 30, 1997 were $1,872,601, resulting in
net loss of $5,423,698. The value of an individual Unit in the
Partnership decreased from $2,189.33 at March 31, 1997 to
$2,053.89 at June 30, 1997.
<PAGE>
For the six months ended June 30, 1997, the Partnership recorded
total trading revenues net of interest income of $763,289, and
after expenses posted a decrease in Net Asset Value per Unit.
Net trading losses were recorded in the financial futures markets
as Japanese government bond futures prices moved in a trendless
pattern during the second quarter. Smaller losses were recorded
from choppy price movement in European interest rate futures
during March and April. These losses were partially offset by
gains recorded from long positions in Australian interest rate
futures, as well as in global stock index futures, as prices in
these markets trended higher during May and June. In the energy
markets, losses were recorded as oil prices moved without
consistent direction during most of the first half of the year.
In currencies, losses recorded during the first quarter from
short-term volatile movement in the value of the British pound
more than offset gains experienced from a strengthening in the
value of the U.S. dollar relative to most other European
currencies and the Japanese yen. Gains from short positions in
gold futures, as gold prices declined during January, April and
June, helped to mitigate overall Partnership losses during the
first half of the year. Smaller gains from trading agricultural
futures during February, March and June also helped to offset a
portion of these losses. Total expenses for the six months ended
June 30, 1997 were $3,868,074, resulting in a net loss of
$3,104,785. The value of an individual Unit in the Partnership
decreased from $2,132.79 at December 31, 1996 to $2,053.89 at
June 30, 1997.
<PAGE>
PART II. OTHER INFORMATION
Item 1. LEGAL PROCEEDINGS
Previously filed. 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 Portfolio Strategy
Fund 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 Portfolio Strategy Fund 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> 125,728,841
<SECURITIES> 0
<RECEIVABLES> 567,677<F1>
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 123,022,931<F2>
<CURRENT-LIABILITIES> 0
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 123,022,931<F3>
<SALES> 0
<TOTAL-REVENUES> (42,632)<F4>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 5,687,134
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> (5,729,766)
<INCOME-TAX> 0
<INCOME-CONTINUING> (5,729,766)
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (5,729,766)
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
<FN>
<F1>Receivables include interest receivable of $439,406 and due from DWR
of $128,271.
<F2>In addition to cash and receivables, total assets include net unrealized
loss on open contracts of $(3,273,587).
<F3>Liabilities include redemptions payable of $958,069, accrued management
fees of $409,706 and accrued administrative expenses of $111,133.
<F4>Total revenue includes realized trading revenue of $10,362,591, net
change in unrealized of $(13,044,665) and interest income of $2,639,442.
</FN>
</TABLE>
