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 March 31, 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
March 31, 1996
<CAPTION>
PART I. FINANCIAL INFORMATION
<S> <C>
Item 1. Financial Statements
Statements of Financial Condition
March 31, 1996 (Unaudited) and December 31, 1995...........2
Statements of Operations for the Quarters Ended
March 31, 1996 and 1995 (Unaudited)........................3
Statements of Changes in Partners' Capital for
the Quarters Ended March 31, 1996 and 1995 (Unaudited)......4
Statements of Cash Flows for the Quarters Ended
March 31, 1996 and 1995 (Unaudited)........................5
Notes to Financial Statements (Unaudited)................6-10
Item 2. Management's Discussion and Analysis
of Financial Condition and Results of
Operations............................................11-13
PART II. OTHER INFORMATION
Item 6. Exhibits and Reports on Form 8-K.......................14
/TABLE
<PAGE>
<TABLE>
DEAN WITTER SELECT FUTURES FUND L.P.
STATEMENTS OF FINANCIAL CONDITION
<CAPTION>
March 31, December 31,
1996 1995
$ $
(Unaudited)
ASSETS
<S> <C> <C>
Equity in Commodity futures trading accounts:
Cash $146,183,376 $161,132,662
Net unrealized gain on open contracts 4,059,355 17,428,211
Net option premiums paid - 17,020
Total Trading Equity 150,242,731 178,577,893
Interest receivable (DWR) 509,981 592,357
Receivable from DWR 281,200 172,749
Total Assets 151,033,912 179,342,999
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable 2,280,965 1,551,357
Accrued management fees 376,549 446,105
Accrued brokerage commissions (DWR) 249,288 664,318
Accrued administrative expenses 103,293 164,267
Accrued transaction fees and costs 61,910 70,692
Total Liabilities 3,072,005 2,896,739
Partners' Capital
Limited Partners (89,514.329 and
93,318.367 Units, respectively) 145,794,450 173,965,425
General Partner (1,330.767 Units) 2,167,457 2,480,835
Total Partners' Capital 147,961,907 176,446,260
Total Liabilities and Partners' Capital 151,033,912 179,342,999
NET ASSET VALUE PER UNIT 1,628.73 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 March 31,
1996 1995
$ $
<S> <C> <C>
REVENUES
Trading profit (loss):
Realized (5,615,577) 25,257,058
Net change in unrealized (13,368,856) 15,598,048
Total Trading Results (18,984,433) 40,855,106
Interest Income (DWR) 1,597,427 1,825,579
Total Revenues (17,387,006) 42,680,685
EXPENSES
Brokerage commissions (DWR) 3,407,731 3,738,081
Management fees 1,200,840 1,309,335
Transaction fees and costs 259,239 373,739
Administrative expenses 31,000 31,000
Incentive fees (172,663) 2,409,178
Total Expenses 4,726,147 7,861,333
NET INCOME (LOSS) (22,113,153) 34,819,352
NET INCOME (LOSS) ALLOCATION
Limited Partners (21,799,775) 34,389,500
General Partner (313,378) 429,852
NET INCOME (LOSS) PER UNIT
Limited Partners (235.48) 323.01
General Partner (235.48) 323.01
<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 Quarters Ended March 31, 1995 and 1994
(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 - 34,389,500 429,852 34,819,352
Redemptions (6,126.690) (10,013,699) - (10,013,699)
Partners' Capital
March 31, 1995 105,399.397 $190,558,237 $2,436,744 $192,994,981
Partners' Capital
December 31, 1995 94,649.134 $173,965,425 $2,480,835 $176,446,260
Net Loss - (21,799,775) (313,378) (22,113,153)
Redemptions (3,804.038) (6,371,200) - (6,371,200)
Partners' Capital
March 31, 1996 90,845.096 $145,794,450 $2,167,457 $147,961,907
<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 Quarters Ended March 31,
1996 1995
$ $
CASH FLOWS FROM OPERATING ACTIVITIES
<S> <C> <C>
Net income (loss) (22,113,153) $ 34,819,352
Noncash item included in net income (loss):
Net change in unrealized 13,368,856 (15,598,048)
(Increase) decrease in operating assets:
Net option premiums 17,020 (2,121,425)
Interest receivable (DWR) 82,376 8,765
Receivable from DWR (108,451) 310,069
Increase (decrease) in operating liabilities:
Accrued management fees (69,556) 75,646
Accrued brokerage commissions (DWR) (415,030) 289,972
Accrued administrative expenses (60,974) (19,814)
Accrued transaction fees and costs (8,782) 43,330
Incentive fees payable - 2,409,178
Net cash provided by (used for) operating activities (9,307,694) 20,217,025
CASH FLOWS FROM FINANCING ACTIVITIES
Increase in redemptions payable 729,608 3,016,205
Redemptions of units (6,371,200) (10,013,699)
Net cash used for financing activities (5,641,592) (6,997,494)
Net increase (decrease) in cash (14,949,286) 13,219,531
Balance at beginning of period 161,132,662 147,127,130
Balance at end of period 146,183,376 $160,346,661
<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 Commodities as the trading advisors of the
Partnership.
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 based on current 13-week U.S. Treasury Bill rates.
Brokerage expenses incurred by the Partnership are paid to DWR.
<PAGE>
DEAN WITTER SELECT FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
3. 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 March 31, 1996 open contracts were:
Contract or
Notional Amount
$
Exchange-Traded Contracts
Financial Futures:
Commitments to Purchase 49,533,000
Commitments to Sell 389,600,000
Commodity Futures:
Commitments to Purchase 111,975,000
Commitments to Sell
Foreign Futures:
Commitments to Purchase 88,441,000
Commitments to Sell 206,882,000
Off-Exchange-Traded Forward
Currency Contracts
Commitments to Purchase 59,901,000
Commitments to Sell 216,475,000
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.
<PAGE>
DEAN WITTER SELECT FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
The unrealized gain on open contracts are reported as a component
of "Equity in Commodity futures trading accounts" on the Statement
of Financial Condition and totaled $4,059,355 at March 31, 1996.
Of this amount, $3,886,470 was related to exchange-traded futures
contracts and $172,885 related to off-exchange-traded forward
currency contracts.
Exchange-traded futures contracts held by the Partnership at March
31, 1996 mature through March 1997. Off-exchange-traded forward
currency contracts held at March 31, 1996 mature through April
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 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 the sole counterparty,
with respect to most of the Partnership's assets, is DWR.
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 options contracts, is
required pursuant to regulations of the Commodity Futures Trading
Commission to segregate from its own assets and for the sole
<PAGE>
DEAN WITTER SELECT FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS - (CONCLUDED)
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 gains on all open futures
contracts which funds totaled $150,069,846 at March 31, 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 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 of such contracts, to perform.
For the quarter ended March 31, 1996 the average fair value of
financial instruments held for trading purposes was as follows:
Assets Liabilities
$ $
Exchange-Traded Contracts:
Financial Futures 501,936,000 249,702,000
Commodity Futures 163,061,000 19,188,000
Foreign Futures 510,904,000 150,286,000
Off-Exchange-Traded Forward
Currency Contracts 14,975,000 54,119,000
4. Subsequent Event
The General Partners has determined to reopen the Partnership for
additional investment and will register with the Securities and
Exchange Commission 60,000 Units to be offered to investors for a
limited time in a public offering.
<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 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 Ended March 31, 1996
For the quarter ended March 31, 1996, the Partnership's total
trading losses net of interest income were $17,387,006. During the
first quarter, the Partnership posted a loss in Net Asset Value per
Unit. The most significant trading losses were recorded in
financial futures in February as the previous upward trend in
global bond futures prices reversed sharply during the month. This
dramatic price reversal resulted in losses for the Partnership's
long U.S. and European bond futures positions which did profit from
increasing prices during January. Additional losses were recorded
<PAGE>
from long positions in global stock index futures as European,
Japanese and Australian stock prices moved lower in March. These
losses more than offset gains recorded in January from European
interest rate futures trading. Additional losses were experienced
in metals, soft commodities and soybean futures as prices moved in
a trendless pattern during the quarter. In the energy markets,
losses were experienced in January as prices reversed sharply from
their previous move upward resulting in losses for the Fund's long
positions in crude oil and natural gas. However, these losses were
partially offset by trading gains recorded in crude oil futures
during March as oil prices moved upward. In the currency markets,
small losses were experienced during the quarter as losses
experienced in most European currencies during February more than
offset gains from transactions involving the Japanese yen in
January and March and the Australian dollar during March. Total
expenses for the quarter were $4,726,147 resulting in a net loss of
$22,113,153. The value of an individual Unit in the Partnership
decreased from $1,864.21 at December 31, 1995 to $1,628.73 at March
31, 1996.
For the Quarter Ended March 31, 1995
For the Quarter Ended March 31, 1995, the Partnership's total
trading revenues including interest income were $42,680,685.
During the first quarter, the Partnership posted a gain in Net
Asset Value per Unit. The most significant trading gains were
recorded during February and March in the currency and financial
futures markets. In the currency markets, gains were recorded as
a result of a decrease in value of the U.S. dollar versus the
<PAGE>
Japanese yen and major European currencies such as the Swiss franc,
German mark and French franc. Additional gains were recorded in
the financial futures markets as a result of trading global
interest rate futures, such as the Japanese bond and U.S. interest
rate futures during the quarter. Smaller gains were recorded in
the financial sector from trading Nikkei and S&P 500 futures.
Additionally gains were recorded during the quarter from trading
natural gas, cotton and corn. Smaller losses recorded from trading
soybean products, sugar, unleaded gas, copper and gold offset a
portion of overall Partnership gains during the quarter. Total
expenses for the period were $7,861,333, resulting in a net gain of
$34,819,352. The value of an individual Unit in the Partnership
increased from $1,508.07 at December 31, 1994 to $1,831.08 at March
31, 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)
April 30, 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> 3-MOS
<FISCAL-YEAR-END> MAR-31-1996
<PERIOD-END> MAR-31-1996
<CASH> 146,183,376
<SECURITIES> 0
<RECEIVABLES> 791,181<F1>
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 151,033,912<F2>
<CURRENT-LIABILITIES> 0
<BONDS> 0
<COMMON> 0
0
0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 151,033,912<F3>
<SALES> 0
<TOTAL-REVENUES> (17,387,006)<F4>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> (4,726,147)
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> (22,113,153)
<INCOME-TAX> 0
<INCOME-CONTINUING> (22,113,153)
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (22,113,153)
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
<FN>
<F1>Receivables include interest receivable of $509,981 and receivable from
DWR of $281,200.
<F2>In addition to cash and receivables, total assets include net unrealized
gain on open contracts of $4,059,355.
<F3>Liabilities include redemptions payable of $2,280,965, accrued brokerage
commissions of $249,288, accrued management fees of $376,549, accrued
administrative expenses of 103,293 and accrued transaction fees and costs
of $61,910.
<F4>Total revenues includes realized trading revenue of $(5,615,577), net
change in unrealized of $(13,368,856) and interest income of $1,597,427.
</FN>
</TABLE>
