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 33-42360
DEAN WITTER SELECT FUTURES FUND L.P.
(Exact name of registrant as specified in its charter)
Delaware 13-3619290
(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 SELECT FUTURES 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............................7-13
Item 2. Management's Discussion and Analysis
of Financial Condition and Results of
Operations............................................14-19
PART II. OTHER INFORMATION
Item 6. Exhibits and Reports on Form 8-K...................... 20
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER SELECT FUTURES 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 130,470,938 161,132,662
Net unrealized gain on open contracts 10,493,357 17,428,211
Net option premiums - 17,020
Total Trading Equity 140,964,295 178,577,893
Receivable from DWR 826,332 172,749
Interest receivable (DWR) 464,190 592,357
Total Assets 142,254,817 179,342,999
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable 2,753,138 1,551,357
Accrued brokerage commissions (DWR) 627,474 664,318
Accrued management fees 353,571 446,105
Accrued administrative expenses 133,331 164,267
Accrued transaction fees and costs 65,717 70,692
Total Liabilities 3,933,231 2,896,739
Partners' Capital
Limited Partners (81,068.483 and
93,318.367 Units, respectively) 136,087,660 173,965,425
General Partner (1,330.767 Units) 2,233,926 2,480,835
Total Partners' Capital 138,321,586 176,446,260
Total Liabilities and Partners' Capital 142,254,817 179,342,999
NET ASSET VALUE PER UNIT 1,678.68 1,864.21
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER SELECT FUTURES FUND L.P.
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Quarters Ended September 30,
1996 1995
$ $
<S> <C> <C>
REVENUES
Trading profit (loss):
Realized (1,501,598) (23,096,586)
Net change in unrealized 5,631,814 (20,256,393)
Total Trading Results 4,130,216 (43,352,979)
Interest Income (DWR) 1,445,079 2,141,061
Total Revenues 5,575,295 (41,211,918)
EXPENSES
Brokerage commissions (DWR) 2,394,721 3,461,943
Management fees 1,056,305 1,378,315
Transaction fees and costs 232,388 360,150
Administrative expenses 32,000 42,000
Incentive fees - 172,663
Total Expenses 3,715,414 5,415,071
NET INCOME (LOSS) 1,859,881 (46,626,989)
NET INCOME (LOSS) ALLOCATION
Limited Partners 1,829,258 (46,002,667)
General Partner 30,623 (624,322)
NET INCOME (LOSS) PER UNIT
Limited Partners 23.02 (469.15)
General Partner 23.02 (469.15)
<FN>
The accompanying footnotes are an integral part
of these financial statements.
/TABLE
<PAGE>
<TABLE>
DEAN WITTER SELECT FUTURES FUND L.P.
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Nine Months Ended September 30,
1996 1995
$ $
<S> <C> <C>
REVENUES
Trading profit (loss):
Realized (2,908,270) 67,659,589
Net change in unrealized (6,934,854) (23,598,867)
Total Trading Results (9,843,124) 44,060,722
Interest Income (DWR) 4,587,417 6,206,640
Total Revenues (5,255,707) 50,267,362
EXPENSES
Brokerage commissions (DWR) 8,555,956 11,298,173
Management fees 3,375,378 4,369,357
Transaction fees and costs 686,894 1,236,654
Administrative expenses 87,000 106,000
Incentive fees (172,663) 8,707,048
Total Expenses 12,532,565 25,717,232
NET INCOME (LOSS) (17,788,272) 24,550,130
NET INCOME (LOSS) ALLOCATION
Limited Partners (17,541,363) 24,279,759
General Partner (246,909) 270,371
NET INCOME (LOSS) PER UNIT
Limited Partners (185.53) 203.17
General Partner (185.53) 203.17
<FN>
The accompanying footnotes are an integral part
of these financial statements.
/TABLE
<PAGE>
<TABLE>
DEAN WITTER SELECT FUTURES 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 111,526.087 $166,182,436 $2,006,892 $168,189,328
Net Income - 24,279,759 270,371 24,550,130
Redemptions (13,786.645) (25,483,771) - (25,483,771)
Partners' Capital
September 30, 1995 97,739.442 $164,978,424 $2,277,263 $167,255,687
Partners' Capital
December 31, 1995 94,649.134 $173,965,425 $2,480,835 $176,446,260
Net Loss - (17,541,363) (246,909) (17,788,272)
Redemptions (12,249.884) (20,336,402) - (20,336,402)
Partners' Capital
September 30, 1996 82,399.250 $136,087,660 $2,233,926 $138,321,586
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER SELECT FUTURES FUND L.P.
STATEMENTS OF CASH FLOWS
(Unaudited)
<CAPTION>
For the Nine Months Ended September 30,
1996 1995
$ $
<S> <C> <C>
CASH FLOWS FROM OPERATING ACTIVITIES
Net income (loss) (17,788,272) 24,550,130
Noncash item included in net income (loss):
Net change in unrealized 6,934,854 23,598,867
(Increase) decrease in operating assets:
Net option premiums 17,020 58,550
Receivable from DWR (653,583) (221,926)
Interest receivable (DWR) 128,167 32,428
Increase (decrease) in operating liabilities:
Accrued brokerage commissions (DWR) (36,844) (297,073)
Accrued management fees (92,534) (4,599)
Accrued administrative expenses (30,936) 19,142
Accrued transaction fees and costs (4,975) 65,367
Net cash provided by (used for) operating activities (11,527,103) 47,800,886
CASH FLOWS FROM FINANCING ACTIVITIES
Increase (decrease) in redemptions payable 1,201,781 (1,025,872)
Redemptions of units (20,336,402) (25,483,771)
Net cash used for financing activities (19,134,621) (26,509,643)
Net increase (decrease) in cash (30,661,724) 21,291,243
Balance at beginning of period 161,132,662 147,127,130
Balance at end of period 130,470,938 168,418,373
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
DEAN WITTER SELECT FUTURES 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 Select Futures 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"). Both the General Partner and DWR are wholly owned
subsidiaries of Dean Witter, Discover & Co. The General Partner
has retained EMC Capital Management, Inc., Rabar Market Research,
Inc. and Sunrise Capital Management, Inc. as the trading advisors of the
Partnership.
2. Summary of Significant Accounting Policies
Through to August 31, 1996, the Partnership accrued brokerage
commissions on a half-turn basis at 80% of DWR's published non-
member rates, to a maximum of 3/4 of 1% per month of the Net Assets
allocated to each trading advisor as defined in the Limited
Partnership Agreement. Transaction fees and costs were accrued on
<PAGE>
DEAN WITTER SELECT FUTURES FUND L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (CONTINUED)
a half-turn basis. Such transaction fees and costs, exclusive of
"give-up" fees, were capped at 1/12 of 1% per month of the Net
Assets allocated to each trading advisor. Effective September 1,
1996, maximum total brokerage commissions and transaction fees
chargeable to the Partnership are capped at 13/20 of 1% per month
of adjusted Net Assets as defined in the Limited Partnership
Agreement. Transaction fees and costs are no longer capped
separately.
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, options 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 SELECT FUTURES FUND L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (CONTINUED)
Contract or
Notional Amount
$
Exchange-Traded Contracts
Financial Futures:
Commitments to Purchase 214,178,000
Commitments to Sell 182,572,000
Commodity Futures:
Commitments to Purchase 52,810,000
Commitments to Sell 129,570,000
Foreign Futures:
Commitments to Purchase 569,714,000
Commitments to Sell 71,564,000
Off-Exchange-Traded Forward
Currency Contracts
Commitments to Purchase 671,000
Commitments to Sell 612,000
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 $10,493,357 at September 30, 1996.
Of this amount, $10,495,055 was related to exchange-traded futures
contracts and ($1,698) related to off-exchange-traded forward
currency contracts.
<PAGE>
DEAN WITTER SELECT FUTURES FUND L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (CONTINUED)
Exchange-traded futures contracts held by the Partnership at
September 30, 1996 mature through September 1997. Off-exchange-
traded forward currency contracts held at September 30, 1996 mature
through October 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 and
options 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 and option 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 and
options contracts including an amount equal to the net unrealized
gain on all open futures and options contracts, which funds
totaled $140,965,993 at September 30, 1996. 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
<PAGE>
DEAN WITTER SELECT FUTURES FUND L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (CONTINUED)
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 290,761,000 290,340,000
Commodity Futures 111,436,000 40,808,000
Options on Commodity Futures 2,581,000 89,000
Foreign Futures 462,741,000 122,771,000
Off-Exchange-Traded Forward
Currency Contracts 11,966,000 26,336,000
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
<PAGE>
DEAN WITTER SELECT FUTURES FUND L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (CONTINUED)
to those pools. Also, on September 18 and 20, 1996 similar
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>
DEAN WITTER SELECT FUTURES FUND L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (CONCLUDED)
6. Subsequent Event
The General Partner has determined to reopen the Partnership for
additional investment and has registered with the Securities and
Exchange Commission 60,000 Units to be offered to investors for a
limited time in a public offering with a scheduled first closing on
December 2, 1996.
<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, 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 and sales 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 $5,575,295. 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 Australian, Japanese and
European bond futures positions as international bond futures
prices moved steadily higher between July and September.
Additional gains were recorded in the energy markets from long
crude and heating oil futures positions as prices trended higher
<PAGE>
throughout the quarter. These gains were partially offset by
losses experienced in the currency markets during August from
previously established short Australian dollar positions as its
value reversed higher relative to the U.S. dollar. Additional
losses were recorded from transactions involving the Swiss franc as
its value moved without consistent direction during August and the
first half of September. Gains recorded from short Japanese yen
positions as its value decreased versus the U.S dollar helped to
mitigate currency losses for the quarter. In other markets,
smaller trading losses were recorded in soft commodities, soybean
products and copper futures as prices moved in a trendless volatile
pattern for a majority of the quarter. Total expenses for the
quarter were $3,715,414, resulting in net income of $1,859,881.
The value of an individual Unit in the Partnership increased from
$1,655.66 at June 30, 1996 to $1,678.68 at September 30, 1996.
For the nine months ended September 30, 1996, the Partnership's
total trading losses net of interest income were $5,255,707.
During the first nine months, the Partnership posted a decrease in
Net Asset Value per Unit. The most significant losses were
experienced in financial futures trading from long U.S. interest
rate futures positions during February, as the previous upward
price trend that was profitable in late 1995 and January 1996,
reversed sharply lower. Additional losses were recorded due to
trendless price movement in Japanese bond futures from March
through June, in U.S. bond futures between June and September and
in global stock index futures for a majority of the second and
third quarters. In soft commodities, losses were experienced from
<PAGE>
choppy price movement in coffee and sugar futures throughout the
year. In currency trading, inconsistent movement in the value of
the British pound during the first nine months of the year and in
the value of the Swiss franc during August and early September
resulted in small trading losses. These losses were partially
offset by gains recorded from short Japanese yen positions as the
value of the yen declined relative to the U.S. dollar. Gains
recorded from long crude and heating oil futures positions, as
prices trended higher during the third quarter, also helped to
offset a portion of overall Partnership losses during the first
nine months. Total expenses for the period were $12,532,565,
resulting in a net loss of $17,788,272. The value of an individual
Unit in the Partnership decreased from $1,864.21 at December 31,
1995 to $1,678.68 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 losses net of interest income were $41,211,918. During the
third quarter, the Partnership posted a decrease in Net Asset Value
per Unit as a result of losses across a majority of the futures
market sectors in which the Partnership participates. The most
significant losses resulted from trading in metals, energies and
global interest rate futures as trendless price movement prevailed
across a majority of markets in each of these sectors for much of
the third quarter. Additional losses were recorded in soft
commodities and agricultural futures as a result of price break-
outs followed by choppy and short-term volatile movement. Profits
from currencies trading, primarily as a result of a declining trend
<PAGE>
in the value of the Japanese yen relative to the U.S. dollar,
offset a portion of losses in other market sectors. Total expenses
for the period were $5,415,071, resulting in a net loss of
$46,626,989. The value of an individual Unit in the Partnership
decreased from $2,180.39 at June 30, 1995 to $1,711.24 at September
30, 1995.
For the nine months ended September 30, 1995, the Partnership's
total trading revenue including interest income was $50,267,362.
During the first nine months of the year, the Partnership posted an
increase in Net Asset Value per Unit. The most significant profits
for this period resulted from trading in global interest rate
futures, as prices in U.S. and Japanese bond futures contracts
trended higher in the first half of 1995, and in currencies,
primarily as a result of trending movement in the value of the
Japanese yen throughout the first nine months of the year and in
major European currencies in the year's first quarter. Additional
profits were recorded from trading in global stock index futures as
U.S. prices trended higher while Japanese prices trended lower.
Losses across a majority of domestic commodities, including
energies, metals and soft commodities, resulting from trendless
price movement for much of 1995, offset a portion of the profits in
other sectors. Total expenses for the period were $25,717,232,
resulting in net income of $24,550,130. The value of an individual
Unit in the Partnership increased from $1,508.07 at December 31,
1994 to $1,711.24 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 Select Futures Fund L.P.
(Registrant)
By: Demeter Management Corporation
(General Partner)
November 7, 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 Select Futures 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> 130,470,938
<SECURITIES> 0
<RECEIVABLES> 1,290,522<F1>
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 142,254,817<F2>
<CURRENT-LIABILITIES> 0
<BONDS> 0
<COMMON> 0
0
0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 142,254,817<F3>
<SALES> 0
<TOTAL-REVENUES> (5,255,707)<F4>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 12,532,565
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> (17,788,272)
<INCOME-TAX> 0
<INCOME-CONTINUING> (17,788,272)
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (17,788,272)
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
<FN>
<F1>Receivables include interest receivable of $464,190 and receivable from
DWR of $826,332.
<F2>In addition to cash and receivables, total assets include net unrealized
gain on open contracts of $10,493,357.
<F3>Liabilities include redemptions payable of $2,753,138, accrued brokerage
commissions of $627,474, accrued management fees of $353,571, accrued
administrative expenses of $133,331 and accrued transaction fees and
costs of $65,717.
<F4>Total revenues includes realized trading revenue of $(2,908,270), net
change in unrealized of $(6,934,854) and interest income of $4,587,417.
</FN>
</TABLE>
