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, 1997 or
[ ] Transition report pursuant to Section 13 or 15 (d) of the
Securities Exchange Act of 1934
For the transition period from to
Commission File No. 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, 1997
<CAPTION>
PART I. FINANCIAL INFORMATION
<S> <C>
Item 1. Financial Statements
Statements of Financial Condition
March 31, 1997 (Unaudited) and December 31, 1996......2
Statements of Operations for the Quarters Ended
March 31, 1997 and 1996 (Unaudited)...................3
Statements of Changes in Partners' Capital for the
Quarters Ended March 31, 1997 and 1996 (Unaudited)....4
Statements of Cash Flows for the Quarters Ended
March 31, 1997 and 1996 (Unaudited)...................5
Notes to Financial Statements (Unaudited)...... 6-11
Item 2. Management's Discussion and Analysis of
Financial Condition and Results of Operations..........12-16
Part II. OTHER INFORMATION
Item 1. Legal Proceedings..............................17-18
Item 6. Exhibits and Reports on Form 8-K..................19
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER SELECT FUTURES FUND L.P.
STATEMENTS OF FINANCIAL CONDITION
<CAPTION>
March 31, December 31,
1997 1996
$ $
(Unaudited)
ASSETS
<S> <C> <C>
Equity in Commodity futures trading accounts:
Cash 176,908,948 154,784,007
Net unrealized gain on open contracts 10,269,130 6,477,994
Net option premiums 72,562 18,205
Total Trading Equity 187,250,640 161,280,206
Due from DWR 769,047 409,326
Interest receivable (DWR) 655,865 533,060
Subscriptions receivable - 5,365,420
Total Assets 188,675,552 167,588,012
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable 1,268,842 2,370,157
Accrued brokerage commissions (DWR) 696,760 491,315
Accrued management fees 469,477 403,858
Administrative expenses payable 125,803 123,343
Accrued transaction fees and costs 62,334 64,595
Incentive fees payable 51,799 348,459
Total Liabilities 2,675,015 3,801,727
Partners' Capital
Limited Partners (85,461.004 and
82,132.510 Units, respectively) 183,148,615 161,174,820
General Partner (1,330.767 Units) 2,851,922 2,611,465
Total Partners' Capital 186,000,537 163,786,285
Total Liabilities and Partners' Capital 188,675,552 167,588,012
NET ASSET VALUE PER UNIT 2,143.07 1,962.38
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,
1997 1996
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized 13,905,911 (5,615,577)
Net change in unrealized 3,791,136 (13,368,856)
Total Trading Results 17,697,047 (18,984,433)
Interest Income (DWR) 1,785,647 1,597,427
Total Revenues 19,482,694 (17,387,006)
EXPENSES
Brokerage commissions (DWR) 2,555,607 3,407,731
Management fees 1,350,215 1,200,840
Transaction fees and costs 294,953 259,239
Incentive fees 51,799 (172,663)
Administrative expenses 27,000 31,000
Total Expenses 4,279,574 4,726,147
NET INCOME (LOSS) 15,203,120 (22,113,153)
NET INCOME (LOSS) ALLOCATION
Limited Partners 14,962,663 (21,799,775)
General Partner 240,457 (313,378)
NET INCOME (LOSS) PER UNIT
Limited Partners 180.69 (235.48)
General Partner 180.69 (235.48)
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 1997 and 1996
(Unaudited)
<CAPTION>
Units of
Partnership Limited General
Interest Partners Partner Total
<S> <C> <C> <C> <C>
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
Partners' Capital,
December 31, 1996 83,463.277 $161,174,820 $2,611,465 $163,786,285
Subscriptions 5,737.467 12,056,614 - 12,056,614
Net Income - 14,962,663 240,457 15,203,120
Redemptions (2,408.973) (5,045,482) - (5,045,482)
Partners' Capital,
March 31, 1997 86,791.771 $183,148,615 $2,851,922 $186,000,537
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,
1997 1996
$ $
CASH FLOWS FROM OPERATING ACTIVITIES
<S> <C> <C>
Net income (loss) 15,203,120 (22,113,153)
Noncash item included in net income (loss):
Net change in unrealized (3,791,136) 13,368,856
(Increase) decrease in operating assets:
Net option premiums (54,357) 17,020
Due from DWR (359,721) (108,451)
Interest receivable (DWR) (122,805) 82,376
Increase (decrease) in operating liabilities:
Accrued brokerage commissions (DWR) 205,445 (415,030)
Accrued management fees 65,619 (69,556)
Administrative expenses payable 2,460 (60,974)
Accrued transaction fees and costs (2,261) (8,782)
Incentive fee payable (296,660) -
Net cash provided by (used for) operating activities 10,849,704 (9,307,694)
CASH FLOWS FROM FINANCING ACTIVITIES
Decrease in subscriptions receivable 5,365,420 -
Offering of units 12,056,614 -
Increase (decrease) in redemptions payable (1,101,315) 729,608
Redemptions of units (5,045,482) (6,371,200)
Net cash provided by (used for) financing activities 11,275,237 (5,641,592)
Net increase (decrease) in cash 22,124,941 (14,949,286)
Balance at beginning of period 154,784,007 161,132,662
Balance at end of period 176,908,948 146,183,376
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, 1996 Annual Report on Form 10K.
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 ("Demeter"). The commodity broker is Dean Witter
Reynolds Inc. ("DWR"). Both Demeter and DWR are wholly owned
subsidiaries of Dean Witter, Discover & Co. ("DWD"). Demeter has
retained EMC Capital Management, Inc., Rabar Market Research,
Inc. and Sunrise Capital Management, Inc. as the trading advisors
of the Partnership.
<PAGE>
DEAN WITTER SELECT FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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 prevailing U.S. Treasury Bill
rates. Brokerage expenses incurred by the Partnership are paid
to DWR.
3. Financial Instruments
The Partnership trades futures, options and forward contracts in
interest rates, stock indices, commodities, 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, 1997 and
December 31, 1996, open contracts were:
<PAGE>
DEAN WITTER SELECT FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Contract or Notional Amount
March 31, 1997 December 31, 1996
$ $
Exchange-Traded Contracts
Financial Futures:
Commitments to Purchase 58,328,000 295,593,000
Commitments to Sell 865,163,000 224,416,000
Commodity Futures:
Commitments to Purchase 245,179,000 28,171,000
Commitments to Sell 23,150,000 106,936,000
Options Written - 1,299,000
Foreign Futures:
Commitments to Purchase 88,347,000 395,250,000
Commitments to Sell 716,313,000 73,489,000
Off-Exchange-Traded
Forward Currency Contracts
Commitments to Purchase 9,000 212,000
Commitments to Sell 342,000 -
A portion of the amounts indicated as off-balance-sheet risk in
forward currency contracts is due to offsetting forward
commitments to purchase and to sell the same currency on the same
date in the future. These commitments are economically
offsetting, but are not offset in the forward market until the
settlement date.
The net unrealized gain on open contracts are reported as a
component of "Equity in Commodity futures trading accounts" on
the Statement of Financial Condition and totaled $10,269,130 and
<PAGE>
DEAN WITTER SELECT FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
$6,477,994 at March 31, 1997 and December 31, 1996, respectively.
Of the $10,269,130 net unrealized gain on open contracts at March
31, 1997, $10,270,206 related to exchange-traded futures
contracts and $(1,076) related to off-exchange-traded forward
currency contracts. 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.
Exchange-traded futures contracts held by the Partnership at
March 31, 1997 and December 31, 1996 mature through March 1998
and December 1997, respectively. Off-exchange-traded forward
currency contracts held at March 31, 1997 and December 31, 1996
mature through April 1997 and January 1997, 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
<PAGE>
DEAN WITTER SELECT FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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 contracts and option contracts which funds totaled
$187,179,154 and $161,261,953 at March 31, 1997 and December 31,
1996, 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
<PAGE>
DEAN WITTER SELECT FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
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, 1997 and the year ended December
31, 1996, the average fair value of financial instruments held
for trading purposes was as follows:
March 31, 1997
Assets Liabilities
$ $
Exchange-Traded Contracts:
Financial Futures 120,111,000 432,184,000
Options on Financial Futures 6,440,000 -
Commodity Futures 153,786,000 56,027,000
Options on Commodity Futures 5,819,000 4,277,000
Foreign Futures 363,466,000 280,181,000
Off-Exchange-Traded Forward
Currency Contracts 71,000 262,000
December 31, 1996
Assets Liabilities
$ $
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
<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 for 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
<PAGE>
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. Either of these market conditions could
result in restrictions on redemptions.
Capital Resources. The Partnership does not have, nor does it
expect to have, any capital assets. Redemptions and sales of
additional Units in the future will impact the amount of funds
available for investments in commodity futures and forward
contracts and other commodity interests. As redemptions are at
the discretion of Limited Partners, it is not possible to
estimate the amount and therefore, the impact of future
redemptions.
<PAGE>
Results of Operations
For the Quarter Ended March 31, 1997
For the quarter ended March 31, 1997, the Partnership's total
trading revenues including interest income were $19,482,694.
During the first quarter, the Partnership posted a gain in Net
Asset Value per Unit. The most significant gains were recorded
in the currency markets as the value of the U.S. dollar
strengthened relative to most major European currencies and the
Japanese yen during January and February. As a result, profits
were recorded from short Swiss franc, German mark and Japanese
yen positions. Gains were also recorded in soft commodities from
long coffee futures positions as prices in this market trended
steadily higher during January and February. Additional gains
were recorded in the agricultural markets as long positions in
soybean and corn futures profited from an upward price trend
during February and March. In financial futures trading, profits
were recorded as gains in global stock index futures more than
offset losses from trendless price movement in Japanese and
European interest rate futures. Smaller gains were recorded in
metals from short gold futures positions, as prices trended lower
during January, and from long positions in zinc futures, as
prices in this market moved higher during the quarter. A portion
of the Partnership's
<PAGE>
overall gains for the quarter was offset by losses in the energy
markets during January and March as prices moved in a short-term
volatile pattern. Total expenses for the period were $4,279,574,
resulting in net income of $15,203,120. The value of an
individual Unit in the Partnership increased from $1,962.38 at
December 31, 1996 to $2,143.07 at March 31, 1997.
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 decrease 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 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
<PAGE>
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 Partnership'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 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.
<PAGE>
PART II. OTHER INFORMATION
Item 1. LEGAL PROCEEDINGS
On September 6, 10, and 20, 1996, and on March 13, 1997, 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
<PAGE>
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>
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)
May 9, 1997 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.
<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-31-1997
<PERIOD-END> MAR-31-1997
<CASH> 176,908,948
<SECURITIES> 0
<RECEIVABLES> 1,424,912<F1>
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 188,675,552<F2>
<CURRENT-LIABILITIES> 0
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 188,675,552<F3>
<SALES> 0
<TOTAL-REVENUES> 19,482,694<F4>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 4,279,574
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 15,203,120
<INCOME-TAX> 0
<INCOME-CONTINUING> 15,203,120
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 15,203,120
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
<FN>
<F1>Receivables include interest receivable of $655,865 and receivable from
DWR of $769,047.
<F2>In addition to cash and receivables, total assets include net unrealized
gain on open contracts of $10,269,130 and net option premiums of $72,562.
<F3>Liabilities include redemptions payable of $1,268,842, accrued brokerage
commissions of $696,760, accrued management fees of $469,477, accrued
administrative expenses of $125,803, accrued transaction fees and costs
of $62,334 and incentive fee payable of $51,799.
<F4>Total revenues include realized trading revenue of $13,905,911, net
change in unrealized of $3,791,136 and interest income of $1,785,647.
</FN>
</TABLE>
