UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-K/A
AMENDMENT
[X] Annual report pursuant to Section 13 or 15(d) of the Securities
Exchange Act of 1934 [Fee Required]
For the fiscal year ended December 31, 1996 or
[ ] Transition report pursuant to Section 13 or 15 (d) of the Securities
Exchange Act of 1934 [No Fee Required]
For the transition period from ________________to___________________
Commission File Number 33-65072
DEAN WITTER SELECT FUTURES FUND L.P.
(Exact name of registrant as specified in its Limited Partnership Agreement)
DELAWARE 13-3619290
(State or other jurisdiction of (I.R.S. Employer
incorporation of organization) Identification No.)
c/o Demeter Management Corporation
Two World Trade Center, New York, N.Y. - 62nd Flr. 10048
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (212) 392-5454
Securities registered pursuant to Section 12(b) of the Act:
Name of each exchange
Title of each class on which registered
None None
Securities registered pursuant to Section 12(g) of the Act:
Units of Limited Partnership Interest
(Title of Class)
(Title of Class)
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
Indicate by check mark if disclosure of delinquent filers pursuant to Item
405 of Regulation S-K (section 229.405 of this chapter) is not contained
herein, and will not be contained, to the best of registrant's knowledge, in
definitive proxy or information statements incorporated by reference in Part
III of this Form 10-K or any amendment of this Form 10K. [ X ]
State the aggregate market value of the Units of Limited Partnership Interest
held by non-affiliates of the registrant. The aggregate market value shall be
computed by reference to the price at which units were sold, or the average bid
and asked prices of such units, as of a specified date within 60 days prior to
the date of filing: $167,510,075.47 at January 31, 1997.
DOCUMENTS INCORPORATED BY REFERENCE
(See Page 1)
<PAGE>
<TABLE>
DEAN WITTER SELECT FUTURES FUND L.P.
INDEX TO ANNUAL REPORT ON FORM 10-K
DECEMBER 31, 1996
<CAPTION>
Page No.
<S> <C>
DOCUMENTS INCORPORATED BY REFERENCE. . . . . . . . . . . . . . . . . 1
Part I .
Item 1. Business. . . . . . . . . . . . . . . . . . . . . . . 2-3
Item 2. Properties. . . . . . . . . . . . . . . . . . . . . . 4
Item 3. Legal Proceedings. . . . . . . . . . . . . . . . . . . 4-5
Item 4. Submission of Matters to a Vote of Security Holders . . .5
Part II.
Item 5. Market for the Registrant's Partnership Units and
Related Security Holder Matters . . . . . . . . . . . . .6
Item 6. Selected Financial Data . . . . . . . . . . . . . . . . .7
Item 7. Management's Discussion and Analysis of Financial
Condition and Results of Operations. . . . . . . . . .8-13
Item 8. Financial Statements and Supplementary Data. . . . . 13-14
Item 9. Changes in and Disagreements with Accountants on
Accounting and Financial Disclosure. . . . . . . . . . .14
Part III.
Item 10. Directors, Executive Officers, Promoters and
Control Persons of the Registrant . . . . . . . . . 15-18
Item 11. Executive Compensation . . . . . . . . . . . . . . . . 18
Item 12. Security Ownership of Certain Beneficial Owners
and Management . . . . . . . . . . . . . . . . . . . . 18
Item 13. Certain Relationships and Related Transactions . . . . 19
Part IV.
Item 14. Exhibits, Financial Statement Schedules, and
Reports on Form 8-K . . . . . . . . . . . . . . . . . . 20
</TABLE>
<PAGE>
<TABLE>
DOCUMENTS INCORPORATED BY REFERENCE
Portions of the following documents are incorporated by reference as
follows:
<CAPTION>
Documents Incorporated Part of Form 10-K
<S> <C>
Partnership Registration Statement
on Form S-1, File No. 33-42380 I and IV
Partnership's Registration Statement
on Form S-1, File No. 33-1918 I and IV
Partnership's Registration Statement
on Form S-1, File No. 333-1919 I and IV
December 31, 1996 Annual Report
for the Dean Witter Select Futures II and IV
Fund L.P.
</TABLE>
<PAGE>
PART I
Item 1. BUSINESS
(a) General Development of Business. Dean Witter Select Futures Fund
L.P. (the "Partnership") is a Delaware limited partnership formed to
engage in the speculative trading of commodity futures contracts and other
commodity interests, including, but not limited to, forward contracts on
foreign currencies and options on futures contracts and physical
commodities (collectively "futures interests").
Units of limited partnership interest ("Units") in the
Partnership were registered pursuant to two Registration Statements on
Form S-l (File Nos. 33-39667 and 33-42380) which became effective on May
17 and August 23, 1991, respectively. The offering of Units was
underwritten on a "best efforts" basis by Dean Witter Reynolds Inc.
("DWR"), a commodity broker and an affiliate of the Partnership's general
partner, Demeter Management Corporation ("Demeter"). The Partnership
commenced operations on August 1, 1991. 75,000 additional Units were
registered pursuant to a Registration Statement on Form S-1 (File No. 33-
65072), which became effective on August 31, 1993. 60,000 additional
Units were registered persuant to a Registration Statements on Form S-1
(file No. 333-1918) which became effective on August 13, 1996. The
Partnership's net asset value per Unit, as of December 31, 1996 was
$1,962.38, representing an increase of 5.27 percent from the net asset
value per Unit of $1,864.21 at December 31, 1995. For a more detailed
description of the Partnership's business, see subparagraph (c).
<PAGE>
(b) Financial Information about Industry Segments. The
Partnership's business comprises only one segment for financial reporting
purposes, speculative trading of commodity futures contracts and other
commodity interests. The relevant financial information is presented in
Items 6 and 8.
(c) Narrative Description of Business. The Partnership is in the
business of speculative trading in futures interests, pursuant to trading
instructions provided by EMC Capital Management, Inc., Rabar Market
Research, Inc. and Sunrise Capital Management, Inc., the Partnership's
independent trading advisors (the "Trading Advisor(s)"). For a detailed
description of the different facets of the Partnership's business, see
those portions of the Partnership's Prospectus, dated October 17, 1996,
filed as part of the Registration Statement on Form S-l, File No. 333-1919
(see "Documents Incorporated by Reference" Page l), set forth below.
Facets of Business
1. Summary 1. "Summary of the Prospectus"
(Pages 1-12).
2. Commodity Markets 2. "Futures, Options and Forwards
Market- The Commodities
Markets" (Pages 48-53).
3. Partnership's Commodity 3. "Investment Program, Use of
Trading Arrangements and Proceeds and Trading Policies
Policies - Trading Policies" (Pages
43-44) "The Trading
Advisors" (Pages 55-62).
4. Management of the Part- 4. "The Management Agreements"
nership (Page 65). "The General
Partner" (Pages 45-47) and
"The Commodity Broker" (Page
63). "The Limited Partner-
ship Agreement" (Pages 67-
71).
5. Taxation of the Partner- 5. "Material Federal Income Tax
ship's Limited Partners Considerations" and "State
and Local Income Tax Aspects"
(Pages 76-84).
<PAGE>
(d) Financial Information About Foreign and Domestic Operations and
Export Sales.
The Partnership has not engaged in any operations in foreign
countries; however, the Partnership (through the commodity broker) enters
into forward contract transactions where foreign banks are the contracting
party and futures contracts on foreign exchanges.
Item 2. PROPERTIES
The executive and administrative offices are located within the
offices of DWR. The DWR offices utilized by the Partnership are located
at Two World Trade Center, 62nd Floor, New York, NY 10048.
Item 3. LEGAL PROCEEDINGS
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 & Currency Management Inc. ("DWFCM"), Dean Witter, Discover
& Co. ("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. 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 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
<PAGE>
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.
Item 4. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
None.
<PAGE>
PART II
Item 5. MARKET FOR THE REGISTRANT'S PARTNERSHIP UNITS AND RELATED
SECURITY HOLDER MATTERS
There is no established public trading market for the Units of
Limited Partnership Interest in the Partnership. The number of holders
of Units at December 31, 1996 was approximately 10,550. No distributions
have been made by the Partnership since it commenced trading operations
on August 1, 1991. Demeter has sole discretion to decide what
distributions, if any, shall be made to investors in the Partnership. No
determination has yet been made as to future distributions.
<PAGE>
<TABLE>
Item 6. SELECTED FINANCIAL DATA (in dollars)
<CAPTION>
For the Years Ended December 31,
<S> <C> <C> <C> <C> <C>
1996 1995 1994 1993 1992
Total Revenues
(including
interest) 22,046,523 69,299,562 17,420,402 42,931,325 (3,568,931)
Net Income
(Loss) 5,414,041 39,054,115 (9,802,907) 26,392,212 (11,722,272)
Net Income
(Loss) Per
Unit (Limited
& General
Partners) 98.17 356.14 (81.46) 467.14 (189.52)
Total Assets 167,588,012 179,342,999 171,613,080 202,681,945 63,926,484
Total Limited
Partners'
Capital 161,174,820 173,965,425 166,182,436 197,140,885 60,187,959
Net Asset Value
Per Unit of
Limited Partner-
ship Interest 1,962.38 1,864.21 1,508.07 1,589.53 1,122.39
</TABLE>
<PAGE>
Item 7. 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, the commodity broker, and
are used by the Partnership as margin to engage in commodity futures,
forward contracts and other commodity interest trading. DWR holds such
assets at either designated depositories or in securities approved by the
Commodity Futures Trading Commission ("CFTC") 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 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 contracts, forward
contracts and other commodity interests may be illiquid. If the price for
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.
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 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.
<PAGE>
Either of these market conditions could result in restrictions on
redemptions.
Market Risk. The Partnership trades futures, options and forward
contracts in interest rates, stock indices, commodities and currencies.
In entering into these contracts there exists a risk to the Partnership
(market risk) that such contracts may be significantly influenced by
market conditions, such as interest rate volatility, resulting in such
contracts being less valuable. If the markets should move against all of
the futures interest positions held by the Partnership at the same time,
and if the Trading Advisors were unable to offset futures interest
positions of the Partnership, the Partnership could lose all of its assets
and the Limited Partners would realize a 100% loss. The Partnership has
established Trading Policies, which include standards for liquidity and
leverage which help control market risk. Both the Trading Advisors and
Demeter monitor the Partnership's trading activities on a daily basis to
ensure compliance with the Trading Policies. Demeter may (under terms of
the Management Agreements) override the trading instructions of a Trading
Advisor to the extent necessary to comply with the Partnership's Trading
Policies.
Credit Risk. In addition to market risk, the Partnership is subject
to credit risk in that a counterparty may not be able to meet its
obligations to the Partnership. The counterparty of the Partnership for
futures contracts traded in the United States and most foreign exchanges
on which the Partnership trades is the clearinghouse associated with such
exchange. In general, a clearinghouse is backed by the membership of the
exchange and will act in the event of non-performance by one of its
members or one of its member's customers, and as such, should
<PAGE>
significantly reduce this credit risk. In cases where the Partnership
trades on exchanges where the clearinghouse is not funded or guaranteed by
the membership or where the exchange is a "principals' market" in which
performance is the responsibility of the exchange member and not the
exchange or a clearinghouse, or when the Partnership enters into off-
exchange member and not the exchange or a clearinghouse, or when the
Partnership enters into off-exchange contracts with a counterparty, the
sole recourse of the Partnership will be the clearinghouse, the exchange
member or the off-exchange contract counterparty, as the case may be.or
when the Partnership enters into off-exchange contracts with a
counterparty, the sole recourse of the Partnership will be the
clearinghouse or the counterparty as the case may be. With respect to
futures contracts, DWR, in its business as an international commodity
broker, constantly monitors the creditworthiness of the exchanges and
clearing members of the foreign exchanges with which it does business for
clients, including the Partnership. DWR employees also from time to time
serve on supervisory or management committees of such exchanges. If DWR
believed that there was a problem with the creditworthiness of an exchange
on which the Partnership deals, it would so advise Demeter. With respect
to exchanges of which DWR is not a member, DWR acts only through clearing
brokers it has determined to be creditworthy. If DWR believed that a
clearing broker with which it deals on behalf of clients were not
creditworthy, it would terminate its relationship with such broker.
While DWR monitors the creditworthiness and risks involved in
dealing on the various exchanges (and their clearinghouses) and with other
exchange members, there can be no assurance that an exchange (or its
clearinghouse) or other exchange member will be able to meet its
obligations to the Partnership. DWR has not undertaken to indemnify the
<PAGE>
Partnership against any loss. Further, the law is unclear, particularly
with respect to trading in various non-U.S. jurisdictions, as to whether
DWR has any obligation to protect the Partnership from any liability in
the event that an exchange or its clearinghouse or another exchange member
defaults on its obligations on trades effected for the Partnership.
Although DWR monitors the creditworthiness of the foreign exchanges
and clearing brokers with which it does business for clients, DWR does not
have the capability to precisely quantify the Partnership's exposure to
risks inherent in its trading activities on foreign exchanges, and, as a
result, the risk is not monitored by DWR on an individual client basis
(including the Partnership). In this regard, DWR must clear its customer
trades through one or more other clearing brokers on each exchange where
DWR is not a clearing member. Such other clearing brokers calculate the
net margin requirements of DWR in respect of the aggregate of all of DWR's
customer positions carried in DWR's omnibus account with that clearing
broker. Similarly, DWR calculates a net margin requirement for the
exchange-traded futures positions of each of its customers, including the
Partnership. Neither DWR nor DWR's respective clearing brokers on each
foreign futures exchange calculates the margin requirements of an
individual customer, such as the Partnership, in respect of the customer's
aggregate contract positions on any particular exchange. With respect to
forward contract trading, the Partnership trades with only those
counterparties which Demeter, together with DWR, have determined to be
creditworthy. As set forth in the Partnership's Trading Policies, in
determining creditworthiness, Demeter and DWR consult with the Corporate
Credit Department of DWR. Currently, the Partnership deals solely with
DWR as its counterparty on forward contracts. While DWR and Demeter
monitor creditworthiness and risk involved in dealing on the various
<PAGE>
exchanges and with counterparties, there can be no assurance that an
exchange or counterparty will be able to meet its obligations to the
Partnership. See "Financial Instruments", under Notes to Financial
Statements - to the Partnership's Financial Statements in its 1996 Annual
Report to Partners, incorporated by reference in this Form 10-K.
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, forward contracts on foreign currencies and other
commodity interests in subsequent periods. 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. As of December 31, 1996, the Partnership's
total capital was $163,786,285, a decrease of $12,659,975 from the
Partnership's total capital of $176,446,260 at December 31, 1995. For the
year ended December 31, 1995, the Partnership generated net income of
$5,414,041, total subscriptions aggregated $10,251,712 and total
redemptions aggregated $28,325,728.
For the year ended December 31, 1996, the Partnership's total
trading revenues including interest income were $22,046,523. The
Partnership's expenses for the year were $16,632,482, resulting in net
income of $5,414,041. The value of an individual unit in the Partnership
increased from $1,864.21 at December 31, 1995 to $1,962.38 at December 31,
1996.
As of December 31, 1995, the Partnership's total capital was
$176,446,260, an increase of $8,256,932 from the Partnership's total
capital of $168,189,328 at December 31, 1994. For the year ended December
<PAGE>
31, 1995, the Partnership generated net income of $39,054,115 and total
redemptions aggregated $30,797,183.
For the year ended December 31, 1995, the Partnership's total
trading revenues including interest income were $69,299,562. The
Partnership's total expenses for the year were $30,245,447, resulting in
net income of $39,054,115. The value of an individual unit in the
Partnership increased from $1,508.07 at December 31, 1994 to $1,864.21 at
December 31, 1995.
As of December 31, 1994, the Partnership's total capital was
$168,189,328, a decrease of $31,026,288 from the Partnership's total
capital of $199,215,616 at December 31, 1993. For the year ended December
31, 1994, the Partnership incurred a net loss of $9,802,907 and total
redemptions aggregated $21,223,381.
For the year ended December 31, 1994, the Partnership's total
trading revenues including interest income were $17,420,402. The
Partnership's expenses for the year were $27,223,309, resulting in a net
loss of $9,802,907. The value of an individual unit in the Partnership
decreased from $1,589.53 at December 31, 1993 to $1,508.07 at December 31,
1994.
The Partnership's overall performance record represents varied
results of trading in different commodity markets. For a further
description of trading results, refer to the letter to the Limited
Partners in the accompanying 1996 Annual Report to Partners, incorporated
by reference in this Form 10-K. The Partnership's gains and losses are
allocated among its Limited Partners for income tax purposes.
Item 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
The information required by this Item appears in the attached 1996
<PAGE>
Annual Report to Partners and is incorporated by reference in this Annual
Report on Form 10-K.
Item 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON
ACCOUNTING AND FINANCIAL DISCLOSURE
None.
<PAGE>
PART III
Item 10. DIRECTORS, EXECUTIVE OFFICERS, PROMOTERS AND CONTROL
PERSONS OF THE REGISTRANT
General Partner
Demeter, a Delaware corporation, was formed on August 18, 1977 to
act as a commodity pool operator and is registered with the CFTC as a
commodity pool operator and currently is a member of the National Futures
Association ("NFA") in such capacity. Demeter is wholly-owned by DWD and
is an affiliate of DWR. DWD, DWR and Demeter may each be deemed to be
"promoters" and/or a "parent" of the Partnership within the meaning of the
federal securities laws.
Dean Witter Reynolds Inc.
DWR is a financial services company which provides to its
individual, corporate and institutional clients services as a broker in
securities and commodity interest contracts, a dealer in corporate,
municipal and government securities, an investment banker, an investment
adviser and an agent in the sale of life insurance and various other
products and services. DWR is a member firm of the New York Stock
Exchange, the American Stock Exchange, the Chicago Board Options Exchange,
and other major securities exchanges, and is a clearing member of the
Chicago Board of Trade, the Chicago Mercantile Exchange, the Commodity
Exchange Inc., and other major commodities exchanges.
DWR is registered with the CFTC as a futures commission merchant and
is a member of the NFA in such capacity. DWR is currently servicing its
clients through a network of 371 branch offices with approximately 9,080
account executives servicing individual and institutional client accounts.
<PAGE>
Directors and Officers of the General Partner
The directors and officers of Demeter as of December 31, 1996 are
as follows:
Richard M. DeMartini, age 44, is the Chairman of the Board and a
Director of Demeter. Mr. DeMartini is also the Chairman of the Board and
a Director of DWFCM, a registered commodity trading advisor. Mr.
DeMartini has served as President and Chief Operating Officer of Dean
Witter Capital, a division of DWR since January 1989. From January 1988
until January 1989, Mr. DeMartini served as President and Chief Operating
Officer of the Consumer Banking Division of DWD, and from May 1985 until
January 1988 was President and Chief Executive Officer of the Consumer
Markets Division of DWD. Mr. DeMartini currently serves as a Director of
DWD and DWR, and has served as an officer of DWR for the past five years.
Mr. DeMartini has been with DWD and its affiliates for 22 years.
Mark J. Hawley, age 53, is President and a Director of Demeter. Mr.
Hawley joined DWR in February 1989 and currently serves as Executive Vice
President and Director of DWR's Managed Futures and Precious Metals
Department. Mr. Hawley also serves as President of DWFCM. From 1978 to
1989, Mr. Hawley was a member of the senior management team at Heinold
Asset Management, Inc., a commodity pool operator, and was responsible for
a variety of projects in public futures funds. From 1972 to 1978, Mr.
Hawley was a Vice President in charge of institutional block trading for
the Mid-West at Kuhn Loeb & Co.
Lawrence Volpe, age 49, is a Director of Demeter and DWFCM. Mr.
Volpe joined DWR as a Senior Vice President and Controller in September
<PAGE>
1983, and currently holds those positions. From July 1979 to September
1983, he was associated with E.F. Hutton & Company Inc. and prior to his
departure, held the positions of First Vice President and Assistant
Controller. From 1970 to July 1979, he was associated with Arthur
Anderson & Co. and prior to his departure he served as audit manager in
the financial services division.
Joseph G. Siniscalchi, age 51, is a Director of Demeter. Mr.
Siniscalchi joined DWR in July 1984 as a First Vice President, Director
of General Accounting. He is currently Senior Vice President and
Controller of the Dean Witter Financial Division of DWR. From February
1980 to July 1984, Mr. Siniscalchi was Director of Internal Audit at
Lehman Brothers Kuhn Loeb, Inc.
Laurence E. Mollner, age 55, is a Director of Demeter. Mr. Mollner
joined DWR in May 1979 as Vice President and Director of Commercial Sales.
He is currently Executive Vice President and Deputy Director of the
Futures Markets Division of DWR.
Edward C. Oelsner III, age 54, is a Director of Demeter. Mr.
Oelsner joined DWR in March 1981 as a Managing Director in the Corporate
Finance Department. He currently manages DWR's Retail Products Group
within the Corporate Finance Department. While Mr. Oelsner has extensive
experience in the securities industry, he has no experience in commodity
interests trading.
Robert E. Murray, age 36, is a Director of Demeter. Mr. Murray is
currently a Senior Vice President of the DWR Managed Futures Division and
is a Director and the Senior Administrative Officer of DWFCM. Mr. Murray
graduated from Geneseo State University in May 1983 with a B.A. degree in
Finance. Mr. Murray began at DWR in 1984 and is currently the Director
of Product Development for the Managed Futures Division and is responsible
<PAGE>
for the development and maintenance of the proprietary Fund Management
System utilized by Demeter and DWFCM for organizing information and
producing reports for monitoring investors' accounts.
Patti L. Behnke, age 36, is Vice President and Chief Financial
Officer of Demeter. Ms. Behnke joined DWR in 1991 as Assistant Vice
President of Financial Reporting and is currently First Vice President and
Director of Financial Reporting and Managed Futures Accounting in the
Capital Markets division of DWR. From August 1988 to September 1990, Ms.
Behnke was Assistant Controller of L.F. Rothschild & Co. and from
September 1986 to August 1988, she was associated with Carteret Savings
Bank as Assistant Vice President - Financial Analysis. From April 1982 to
September 1986, Ms. Behnke was an auditor at Arthur Andersen & Co.
Item 11. EXECUTIVE COMPENSATION
The Partnership has no directors and executive officers. As a
limited partnership, the business of the Partnership is managed by Demeter
which is responsible for the administration of the business affairs of the
Partnership but receives no compensation for such services.
Item 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT
(a) Security Ownership of Certain Beneficial Owners - As of
December 31, 1996, there were no persons as beneficial owners of more than
5 percent of the Units of Limited Partnership Interest in the Partnership.
(b) Security Ownership of Management - At December 31, 1996,
Demeter owned 1,330.767 Units of General Partnership Interest representing
a 1.59 percent interest in the Partnership.
(c) Changes in Control - None
<PAGE>
Item 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS
Refer to Note 2 - "Related Party Transactions" of "Notes to
Financial Statements", in the accompanying 1996 Annual Report to Partners,
incorporated by reference in this Form 10-K. In its capacity as the
Partnership's retail commodity broker, DWR received commodity brokerage
commissions (paid and accrued by the Partnership) of $10,641,478 for the
year ended December 31, 1996.
<PAGE>
PART IV
Item 14. EXHIBITS, FINANCIAL STATEMENT SCHEDULES, AND REPORTS ON FORM 8-K
(a) 1. Listing of Financial Statements
The following financial statements and reports of independent public
accountants, all appearing in the accompanying 1996 Annual Report to
Partners, are incorporated by reference in this Form 10-K:
- Report of Deloitte & Touche LLP, independent auditors, for the
years ended December 31, 1996, 1995 and 1994.
- Statements of Financial Condition as of December 31, 1996 and
1995.
- Statements of Operations, Changes in Partners' Capital, and
Cash Flows for the years ended December 31, 1996, 1995 and
1994.
- Notes to Financial Statements.
With the exception of the aforementioned information and the
information incorporated in Items 7, 8 and 13, the 1996 Annual Report to
Partners is not deemed to be filed with this report.
2. Listing of Financial Statement Schedules
No financial statement schedules are required to be filed with this
report.
(b) Reports on Form 8-K
No reports on Form 8-K have been filed by the Partnership during the
last quarter of the period covered by this report.
(c) Exhibits
Refer to Exhibit Index on Page E-1.
<PAGE>
SIGNATURES
Pursuant to the requirement of Sections 13 or 15(d) 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
March 24, 1997 BY: /s/ Mark J. Hawley
Mark J. Hawley, Director and
President
Pursuant to the requirements of the Securities Exchange Act of 1934, this
report has been signed below by the following persons on behalf of the
registrant and in the capacities and on the dates indicated.
Demeter Management Corporation.
BY: /s/ Mark J. Hawley March 24, 1997
Mark J. Hawley, Director and
President
/s/ Richard M. DeMartini March 24, 1997
Richard M. DeMartini, Director
and Chairman of the Board
/s/ Lawrence Volpe March 24, 1997
Lawrence Volpe, Director
/s/ Laurence E. Mollner March 24, 1997
Laurence E. Mollner, Director
/s/ Joseph G. Siniscalchi March 24, 1997
Joseph G. Siniscalchi, Director
/s/ Edward C. Oelsner III March 24, 1997
Edward C. Oelsner III, Director
/s/ Robert E. Murray, March 24, 1997
Robert E. Murray, Director
/s/ Patti L. Behnke March 24, 1997
Patti L. Behnke, Chief Financial
Officer and Principal Accounting
Officer
<PAGE>
EXHIBIT INDEX
ITEM METHOD OF FILING
-3. Amended and Restated Limited
Partnership Agreement of the
Partnership, dated as of
August 13, 1996. (1)
- -10. Form of Management Agreement among
the Partnership, Demeter Management
Corporation and EMC Capital (2)
Management, Inc., Rabar Market
Research and Sunrise Commodities
dated as of May 17, 1991 ("the
Management Agreements").
- -10. Form of Amendement No. 1 to each of
the Management Agreements dated
July 22, 1991. (3)
- -10. Form of Amendment No. 2 to each of
the Management Agreements dated
October 1, 1993. (4)
- -10. Form of Amendment No. 3 to each of
the Management Agreements dated (5)
November 29, 1996.
- -10. Form of amended and restated Customer
Agreement Between the Partnership and
Dean Witter Reynolds Inc., dated as of (6)
September 1, 1996.
- -99. December 31, 1996 Annual Report to Limited Partners. (7)
(1) Incorporated by reference to Exhibit 3.01(b) of the Partnership's
Registration Statement on Form S-1 (File No. 333-1918).
(2) Incorporated by reference to Exhibit 10.02 of the Partnership's
Registration Statement on Form S-1 (File No. 33-65072).
(3) Incorporated by reference to Exhibit 10.02(a) of the Partnership's
Registration Statement on Form S-1 (File No. 33-42380).
(4) Incorporated by reference to Exhibit 10.02(b) of the Partnership's
Registration Statement on Form S-1 (File No. 33-42380).
(5) Incorporated by reference to Exhibit 10.02(c) of the Partnership's
Registration Statement on Form S-1 (File No. 333-1918).
(6) Incorporated by reference to Exhibit 10.01(c) of the Partnership's
Registration Statement on Form S-1 (File No. 333-1918).
(7) Filed herewith on Pages E-2 to E-11.
<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> 12-MOS
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-END> DEC-31-1996
<CASH> 154,784,007
<SECURITIES> 0
<RECEIVABLES> 5,898,480<F1>
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 167,588,012<F2>
<CURRENT-LIABILITIES> 0
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 167,588,012<F3>
<SALES> 0
<TOTAL-REVENUES> 22,046,523<F4>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 16,632,482
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 5,414,041
<INCOME-TAX> 0
<INCOME-CONTINUING> 5,414,041
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 5,414,041
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
<FN>
<F1>Receivables include subscription receivable of $5,365,420 and interest
receivable of $533,060.
<F2>In addition to cash and receivables, total assets include net unrealized
gain on open contracts of $6,477,994, net option premium paid of $18,205
and due from DWR of $409,326.
<F3>Liabilities include redemptions payable of $2,370,157, accrued incentive
fees of $348,459, accrued management fees of $403,858, accrued transaction
fees and costs of $64,595, accrued brokerage commissions (DWR) of $491,315
and common administrative expenses payable of $123,343.
<F4>Total revenue includes realized trading revenue of $26,876,393, net
change in unrealized of ($10,950,217) and interest income of $6,120,347.
</FN>
</TABLE>
<PAGE>
Select
Futures
Fund
December 31, 1996
Annual Report
[LOGO] DEAN WITTER
<PAGE>
DEAN WITTER
Two World Trade Center
62nd Floor
New York, NY 10048
Telephone (212) 392-8899
DEAN WITTER SELECT FUTURES FUND L.P.
ANNUAL REPORT
1996
Dear Limited Partner:
This marks the sixth annual report for the Dean Witter Select Futures Fund L.P.
(the "Fund"). The Fund began 1996 trading at a Net Asset Value per Unit of
$1,864.21 and increased by 5.3% to $1,962.38 on December 31, 1996. Since its
inception in 1991, the Fund has increased by 96.2% (a compound annualized
return of 13.5%).
In January, losses were recorded from long energy and agricultural futures
positions as prices in these markets reversed lower, thus giving back a portion
of profits recorded in late 1995. A majority of these losses were offset by
gains recorded in the currency markets from short positions in most major
currencies versus the U.S. dollar, and in the financial futures markets from
long European bond futures positions. During February, significant losses were
recorded as a result of a series of sharp trend reversals in the financial
futures and currency markets. In financial futures, losses were recorded from
long positions in global interest rate and stock index futures as the previous
upward price trend reversed sharply. Additional losses were recorded in
currencies due to a sudden upward move in the value of most major currencies
relative to the U.S. dollar. In March, small losses were posted due primarily
to short-term volatile price movement in global financial futures and metals. A
majority of these losses were offset by gains recorded from long positions in
oil and gas futures.
Profits were recorded in currencies during April from short German mark and
<PAGE>
Swiss franc positions as the value of these currencies declined versus the U.S.
dollar. Additional gains were recorded from long positions in crude oil and
agricultural futures. Choppy price movement in global financial futures
resulted in losses being recorded during May. Smaller losses were recorded in
the energy markets as a portion of previous months' profits was given back due
to a price reversal lower. During June, profits were recorded primarily from
short positions in copper futures as prices moved sharply lower on news of
significant losses incurred in copper by Sumitomo Corporation. Additional gains
in metals were recorded from short positions in gold, silver and aluminum
futures as prices in these markets also moved lower.
In July, the Fund recorded losses in the currency markets from short positions
in the Japanese yen as its value moved sharply higher versus the U.S. dollar.
Smaller losses were recorded from long natural gas futures positions as prices
reversed lower. Losses were also recorded during August primarily from short
positions in coffee futures as prices moved higher. In currency trading,
volatile movement in the value of most major world currencies relative to the
U.S. dollar resulted in smaller losses during August. A majority of these
losses were offset by gains recorded from long positions in the energy markets.
During September, gains were recorded primarily due to a continued upward trend
in oil prices. Additional gains were recorded in financial futures from long
European and Japanese interest rate futures positions as prices moved steadily
higher.
The Fund began the fourth quarter with significant gains during October and
November due primarily to long British pound positions, as its value surged
higher versus other major currencies. Strong gains were also recorded in
financial futures as long global interest rate futures positions
profited from a continued upward price trend. A portion of these gains was
given
<PAGE>
back during December due to a sharp price reversal lower in the previous upward
trend in global interest rate futures prices. Smaller losses were recorded in
energy and metals futures as prices moved in a short-term volatile pattern.
Overall, the Fund recorded net profits for the year due primarily to trading in
global financial futures as prices trended higher during the period of
September through November. Additional gains recorded in the currency markets,
primarily from long British pound positions during the fourth quarter, helped
in offsetting losses recorded from trend reversals and choppy price movement
earlier in the year. The Fund's exposure to domestic commodities hindered
performance in 1996 as agricultural and soft commodities failed to provide
sustained price trends in much of the year.
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,
/s/ Mark J. Hawley
Mark J. Hawley
President
Demeter Management Corporation
General Partner
<PAGE>
DEAN WITTER SELECT FUTURES FUND L.P.
INDEPENDENT AUDITORS' REPORT
The Limited Partners and the General Partner:
We have audited the accompanying statements of financial condition of Dean
Witter Select Futures Fund L.P. (the "Partnership") as of December 31, 1996 and
1995 and the related statements of operations, changes in partners' capital,
and cash flows for each of the three years in the period ended December 31,
1996. These financial statements are the responsibility of the Partnership's
management. Our responsibility is to express an opinion on these financial
statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements. An audit
also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, such financial statements present fairly, in all material
respects, the financial position of Dean Witter Select Futures Fund L.P. as of
December 31, 1996 and 1995 and the results of its operations and its cash flows
for each of the three years in the period ended December 31, 1996 in conformity
with generally accepted accounting principles.
/s/ Deloitte & Touche LLP
February 17, 1997
New York, New York
<PAGE>
DEAN WITTER SELECT FUTURES FUND L.P.
STATEMENTS OF FINANCIAL CONDITION
<TABLE>
<CAPTION>
DECEMBER 31,
-----------------------
1996 1995
----------- -----------
$ $
<S> <C> <C>
ASSETS
Equity in Commodity futures trading
accounts:
Cash 154,784,007 161,132,662
Net unrealized gain on open contracts 6,477,994 17,428,211
Net option premiums 18,205 17,020
----------- -----------
Total Trading Equity 161,280,206 178,577,893
Subscriptions receivable 5,365,420 --
Interest receivable (DWR) 533,060 592,357
Due from DWR 409,326 172,749
----------- -----------
Total Assets 167,588,012 179,342,999
=========== ===========
LIABILITIES AND PARTNERS' CAPITAL
LIABILITIES
Redemptions payable 2,370,157 1,551,357
Accrued brokerage commissions (DWR) 491,315 664,318
Accrued management fees 403,858 446,105
Incentive fees payable 348,459 --
Accrued administrative expenses 123,343 164,267
Accrued transaction fees and costs 64,595 70,692
----------- -----------
Total Liabilities 3,801,727 2,896,739
----------- -----------
PARTNERS' CAPITAL
Limited Partners (82,132.510 and 93,318.367 Units,
respectively) 161,174,820 173,965,425
General Partner (1,330.767 Units) 2,611,465 2,480,835
----------- -----------
Total Partners' Capital 163,786,285 176,446,260
----------- -----------
Total Liabilities and Partners' Capital 167,588,012 179,342,999
=========== ===========
NET ASSET VALUE PER UNIT 1,962.38 1,864.21
=========== ===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
<PAGE>
DEAN WITTER SELECT FUTURES FUND L.P.
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
FOR THE YEARS
ENDED
DECEMBER 31,
-----------------------------------
1996 1995 1994
----------- ---------- ----------
$ $ $
<S> <C> <C> <C>
REVENUES
Trading Profit (Loss):
Realized 26,876,393 65,987,157 19,134,352
Net change in unrealized (10,950,217) (4,657,344) (7,758,820)
----------- ---------- ----------
Total Trading Results 15,926,176 61,329,813 11,375,532
Interest income (DWR) 6,120,347 7,969,749 6,044,870
----------- ---------- ----------
Total Revenues 22,046,523 69,299,562 17,420,402
----------- ---------- ----------
EXPENSES
Brokerage commissions (DWR) 10,641,478 14,173,695 15,551,182
Management fees 4,583,197 5,626,908 5,452,353
Transaction fees and costs 1,104,011 1,589,795 1,652,264
Incentive fees 175,796 8,707,049 4,441,510
Administrative expenses 128,000 148,000 126,000
----------- ---------- ----------
Total Expenses 16,632,482 30,245,447 27,223,309
----------- ---------- ----------
NET INCOME (LOSS) 5,414,041 39,054,115 (9,802,907)
=========== ========== ==========
NET INCOME (LOSS) ALLOCATION:
Limited Partners 5,283,411 38,580,172 (9,695,068)
General Partner 130,630 473,943 (107,839)
NET INCOME (LOSS) PER UNIT:
Limited Partners 98.17 356.14 (81.46)
General Partner 98.17 356.14 (81.46)
</TABLE>
STATEMENT OF CHANGES IN PARTNERS' CAPITAL
FOR THE YEARS ENDED DECEMBER 31, 1996, 1995 AND 1994
<TABLE>
<CAPTION>
UNITS OF
PARTNERSHIP LIMITED GENERAL
INTEREST PARTNERS PARTNER TOTAL
----------- ----------- --------- -----------
$ $ $
<S> <C> <C> <C> <C>
Partners' Capital,
December 31, 1993 125,329.628 197,140,885 2,074,731 199,215,616
Net Loss -- (9,695,068) (107,839) (9,802,907)
Subscription Adjustment -- (40,000) 40,000 --
Redemptions (13,803.541) (21,223,381) -- (21,223,381)
----------- ----------- --------- -----------
Partners' Capital,
December 31, 1994 111,526.087 166,182,436 2,006,892 168,189,328
Net Income -- 38,580,172 473,943 39,054,115
Redemptions (16,876.953) (30,797,183) -- (30,797,183)
----------- ----------- --------- -----------
Partners' Capital, December
31, 1995 94,649.134 173,965,425 2,480,835 176,446,260
Offering of Units 5,140.575 10,251,712 -- 10,251,712
Net Income -- 5,283,411 130,630 5,414,041
Redemptions (16,326.432) (28,325,728) -- (28,325,728)
----------- ----------- --------- -----------
Partners' Capital,
December 31, 1996 83,463.277 161,174,820 2,611,465 163,786,285
=========== =========== ========= ===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
<PAGE>
DEAN WITTER SELECT FUTURES FUND L.P.
STATEMENTS OF CASH FLOWS
<TABLE>
<CAPTION>
FOR THE YEARS
ENDED
DECEMBER 31,
-------------------------------------
1996 1995 1994
----------- ----------- -----------
$ $ $
CASH FLOWS FROM
OPERATING ACTIVITIES
<S> <C> <C> <C>
Net income (loss): 5,414,041 39,054,115 (9,802,907)
Noncash item included in net income
(loss):
Net change in unrealized 10,950,217 4,657,344 7,758,820
(Increase) decrease in operating
assets:
Net option premiums (1,185) 368,130 (385,150)
Interest receivable (DWR) 59,297 69,088 (276,019)
Due from DWR (236,577) 1,181,051 (771,457)
Increase (decrease) in operating
liabilities:
Accrued brokerage commissions (DWR) (173,003) 23,278 10,720
Accrued management fees (42,247) 18,914 (77,526)
Incentive fees payable 348,459 -- (1,295,256)
Accrued administrative expenses (40,924) 61,142 (16,097)
Accrued transaction fees and costs (6,097) 29,778 (4,749)
----------- ----------- -----------
Net cash provided by (used for)
operating activities 16,271,981 45,462,840 (4,859,621)
----------- ----------- -----------
CASH FLOWS FROM
FINANCING ACTIVITIES
Increase in subscriptions receivable (5,365,420) -- --
Offering of units 10,251,712 -- --
Increase (decrease) in redemptions
payable 818,800 (660,125) 1,340,331
Redemptions of units (28,325,728) (30,797,183) (21,223,381)
----------- ----------- -----------
Net cash used for financing activities (22,620,636) (31,457,308) (19,883,050)
----------- ----------- -----------
Net increase (decrease)
in cash (6,348,655) 14,005,532 (24,742,671)
Balance at beginning of
period 161,132,662 147,127,130 171,869,801
----------- ----------- -----------
Balance at end of period 154,784,007 161,132,662 147,127,130
=========== =========== ===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
<PAGE>
DEAN WITTER SELECT FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS
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 Demeter 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 Capital Management,
Inc. ("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.
OFFERING OF UNITS--During the period from December 1, 1996 through February 28,
1997 additional Units were offered to the public at a price equal to 100% of
the Net Asset Value as of the close of business on the last day of each month
prior to the March 1, 1997 closing date of the offering.
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.
EQUITY IN COMMODITY FUTURES TRADING ACCOUNTS--The Partnership's asset "Equity
in Commodity futures trading accounts" consists of cash on deposit at DWR to be
used as margin for trading and the net asset or liability related to unrealized
gains or losses on open
<PAGE>
DEAN WITTER SELECT FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
contracts and the net option premiums paid and/or received. The asset or
liability related to the unrealized gains or losses on forward contracts is
presented as a net amount because the Partnership has a master netting
agreement with DWR.
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.
Prior to September 1, 1996, brokerage commissions were capped at 3/4 of 1% per
month of the Net Assets allocated to each trading advisor as defined in the
Limited Partnership Agreement. 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, brokerage commissions and transaction fees
chargeable to the Partnership have been capped at 13/20 of 1% per month of the
Partnership's month-end Net Assets (as defined in the Limited Partnership
Agreement) allocated to each such Trading Advisor.
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,
legal, 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.
REDEMPTIONS--Effective October 1, 1993, Limited Partners may redeem some or all
of their Units at 100% of the Net Asset Value per Unit at 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
twelfth, eighteenth, or twenty- fourth full months following the closing at
which such person first became a limited partner, may be assessed a redemption
charge equal to 3%, 2% or 1%, respectively, of the Net Asset Value per Unit on
the date of such redemption. Prior to October 1, 1993, redemptions were
restricted to the calendar quarter. Limited Partners who obtained their units
via an exchange from another DWR sponsored commodity pool are not subject to
the six month holding period or the redemption charges.
<PAGE>
DEAN WITTER SELECT FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
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 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 ADVISORS
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 in the
Limited Partnership Agreement, as of the last day of each month.
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 a 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 a 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" are
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
advisor on those redemptions in the month of such redemptions.
<PAGE>
DEAN WITTER SELECT FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
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 December 31, 1996 and 1995, open contracts were:
<TABLE>
<CAPTION>
CONTRACT OR NOTIONAL AMOUNT
---------------------------
1996 1995
------------- -------------
$ $
<S> <C> <C>
EXCHANGE-TRADED CONTRACTS
Financial Futures:
Commitments to Purchase 295,593,000 925,367,000
Commitments to Sell 224,416,000 103,322,000
Commodity Futures:
Commitments to Purchase 28,171,000 293,591,000
Commitments to Sell 106,936,000 49,216,000
Options Written 1,299,000 894,000
Foreign Futures:
Commitments to Purchase 395,250,000 913,417,000
Commitments to Sell 73,489,000 42,447,000
OFF-EXCHANGE-TRADED FORWARD
CURRENCY CONTRACTS
Commitments to Purchase 212,000 7,612,000
Commitments to Sell -- 40,963,000
</TABLE>
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 unrealized gains on open contracts are reported as a component of "Equity
in Commodity futures trading accounts" on the Statements of Financial Condition
and totaled $6,477,994 and $17,428,211 at December 31, 1996 and 1995,
respectively.
Of the $6,477,994 net unrealized gain on open contracts at December 31, 1996,
$6,477,946 related to exchange-traded futures contracts and $48 related to off-
exchange-traded forward currency contracts. Of the $17,428,211 net unrealized
gain on open contracts at December 31, 1995, $16,901,032 related to exchange-
traded futures contracts and $527,179 related to off-exchange-traded forward
currency contracts.
<PAGE>
DEAN WITTER SELECT FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
Exchange-traded futures contracts held by the Partnership at December 31, 1996
and 1995 mature through December 1997 and December 1996, respectively. Off-
exchange-traded forward currency contracts held by the Partnership at December
31, 1996 and 1995 mature through January 1997 and January 1996, respectively.
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 options 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 option contracts which, funds
totaled, $161,261,953 and $178,033,694, at December 31, 1996 and 1995,
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 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 year ended December 31, 1996 and 1995, the average fair value of
financial instruments held for trading purposes was as follows:
<TABLE>
<CAPTION>
1996
-----------------------
ASSETS LIABILITIES
----------- -----------
$ $
<S> <C> <C>
EXCHANGE-TRADED CONTRACTS:
Financial Futures 352,972,000 262,469,000
Commodity Futures 90,720,000 60,672,000
Options on Commodity Futures 2,341,000 308,000
Foreign Futures 458,659,000 117,896,000
OFF-EXCHANGE-TRADED FORWARD
CURRENCY CONTRACTS 9,226,000 20,258,000
</TABLE>
<PAGE>
DEAN WITTER SELECT FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS--(CONCLUDED)
<TABLE>
<CAPTION>
1995
-----------------------
ASSETS LIABILITIES
----------- -----------
$ $
EXCHANGE-TRADED CONTRACTS:
<S> <C> <C>
Financial Futures 505,189,000 343,753,000
Commodity Futures 152,820,000 103,015,000
Foreign Futures 506,117,000 179,492,000
OFF-EXCHANGE-TRADED FORWARD CURRENCY CONTRACTS 99,808,000 158,150,000
</TABLE>
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, Demeter, Dean Witter Futures & 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. 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 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 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 REYNOLDS INC. FIRST-CLASS MAIL
Two World Trade Center ZIP + 4 PRESORT
62nd Floor U.S. POSTAGE PAID
New York, NY 10048 BROOKLYN, NY
PERMIT NO. 148
