Select Futures Fund
November 1996
Monthly Report
This Monthly Report supplements
the Select Futures Fund's Prospectus
dated October 17, 1996.
December 31, 1996
Dean Witter
Two World Trade Center
62nd Floor
New York, NY 10048
Telephone (212) 392-8899
Dean Witter Select Futures Fund
Monthly Report
November 1996
Dear Limited Partner:
The Net Asset Value per Unit for the Dean Witter Select Futures
Fund as of November 30, 1996, was $2,030.51, up 6.75% for the
month.
The Fund recorded strong gains during the month due primarily to
trading in the global financial futures and currency markets. In
financial futures, a continued upward trend in global interest
rate futures prices resulted in gains for the Fund's long
European, U.S. and Australian interest rate futures positions.
Additional gains were recorded from long positions in U.S. and
European stock index futures as global stock index futures prices
also moved higher during the month. In currency trading, long
British pound positions profited as its value continued to
increase versus other major world currencies. Additional
currency gains were recorded from short Swiss franc positions as
its value declined versus the U.S. dollar. These gains were
partially offset by losses recorded from transactions involving
the Japanese yen as its value moved without consistent direction
for a majority of November. In other markets, gains were
recorded from long natural gas and copper futures positions as
prices in these markets moved higher during the month.
A portion of the Fund's gains was offset by losses recorded in
the agricultural markets from short positions in soybean products
as prices in these markets increased during November. Smaller
losses were recorded in soft commodities as choppy price movement
was experienced in sugar and cotton futures.
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.
<PAGE>
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
<PAGE>
<TABLE>
Dean Witter Select Futures Fund L.P.
Statement of Operations
For the Month Ended November 30, 1996
(Unaudited)
<CAPTION>
Percent of
October
31, 1996
Amount Net Asset
Value
$ %
REVENUES
<S> <C> <C>
Trading Profit (Loss)
Realized 11,052,315 7.20
Net change in unrealized 98,242 .06
Total Trading Results 11,150,557 7.26
Interest income 507,091 .33
Total Revenues 11,657,648 7.59
Expenses
Brokerage commissions 744,715 .49
Management fee 411,181 .27
Transaction fees and costs 98,311 .07
Administrative expenses 16,000 .01
Total Expenses 1,270,207 .84
NET INCOME 10,387,441 6.75
Statement of Changes in Net Asset Value
For the Month Ended November 30, 1996
(Unaudited)
Percent of
October
31, 1996
Amount Per Unit Net Asset
$ $ Value %
<S> <C> <C> <C>
Net Asset Value,
October 31, 1996
(80,798.012 Units) 153,673,660 1,901.95 100.00
Net Income 10,387,441 128.56 6.75
Subscriptions
(2,406.436 Units) 4,886,292 2,030.51 3.18
Redemptions
(1,267.512 Units) (2,573,697) 2,030.51 (1.67)
Net Asset Value,
November 30, 1996
(81,936.936 Units) 166,373,696 2,030.51 108.26
The accompanying notes are an integral part of these financial
statements.
</TABLE>
<PAGE>
Dean Witter Select Futures Fund L.P.
Notes to Financial Statements
(Unaudited)
1. Summary of Significant Accounting Policies
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 ("Demeter"). The commodity broker is Dean Witter
Reynolds Inc. ("DWR"). Both DWR and the General Partner are
wholly-owned subsidiaries of Dean Witter, Discover & Co. ("DWD").
Demeter has retained EMC Capital Management, Inc. ("EMC"), Rabar
Market Research, Inc. ("Rabar") and Sunrise Commodities
("Sunrise") as the trading advisors 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 at a rate
equal to the average yield on 13-week U.S. Treasury Bills issued
during such 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 based on the
maximum total brokerage commissions and transaction fees
chargeable to the Partnership 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.
Dean Witter Select Futures Fund L.P.
Notes to Financial Statements -
(Continued)
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 bears all other operating
expenses.<PAGE>
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 that is at least six months after the closing at
which a client first became a limited partner, 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 - Distributions, other than on redemptions of
Units, are made on a pro-rata basis at the sole 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 the earliest 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 EMC, Rabar and Sunrise consists of a management
fee and an incentive fee as follows:
Management Fee - The Partnership pays a monthly management fee
equal to 1/4 of 1% per month of the Partnership's adjusted Net
Assets, as defined, as of the last day of each month.
Dean Witter Select Futures Fund L.P.
Notes to Financial Statements -
(Concluded)
Incentive Fee - The Partnership will pay a quarterly incentive
fee to each trading advisor equal to 17.5% of the trading
advisor's "Trading Profits," as defined in the Limited
Partnership Agreement, experienced by the Net Assets allocated to
such trading advisor as of the end of each calendar quarter. If
a trading advisor has experienced "Trading Losses" with respect
to its allocated Net Assets at the time of the supplemental
closing, the trading advisor must earn back such losses plus a
pro rata amount related to the funds allocated to the trading
advisor at the supplemental closing before the trading advisor is
eligible for an incentive fee. Such incentive fee is accrued in
each month in which "Trading Profits" occurs. In those months in
which "Trading Profits" 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 such<PAGE>
advisor on those redemptions in the month of such redemptions.
4. 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, Demeter, Dean Witter Futures and Currency
Management Inc., DWD (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 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 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.
