Select
Futures
Fund
December 1996
Monthly Report
This Monthly Report supplements the Select Futures Fund's Prospectus dated
October 17, 1996.
January 31, 1997
Dean Witter Select Futures Fund
Historical Fund Performance
Presented below is the percentage change in Net Asset Value per Unit from the
start of each calendar year the Fund has traded. Also provided is the
inception-to-date return and the annualized return since inception for the
Fund. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Year Return
1991 (5 months) 31.2%
1992 -14.4%
1993 41.6%
1994 -5.1%
1995 23.6%
1996 5.3%
Inception-to-Date Return: 96.2%
Annualized Return: 13.5%
Dean Witter
Two World Trade Center
62nd Floor
New York, NY 10048
Telephone (212) 392-8899
Dean Witter Select Futures Fund
Monthly Report
December 1996
Dear Limited Partner:
The Net Asset Value per Unit for the Dean Witter Select Futures Fund as
of December 31, 1996, was $1,962.38, down 3.36% for the month and up 5.27% for
the calendar year 1996.
The Fund recorded losses during the month due primarily to a price trend
reversal in global interest rate futures. During the first week of December,
a dramatic reversal lower in the previous upward trend in global interest
rate futures prices resulted in a portion of previous months' profits being
given back from long European, U.S., Japanese and Australian interest rate
futures positions. Choppy price movement in global stock index futures
resulted in smaller losses within this market complex. In metals, losses
recorded in base metals futures, as prices moved in a trendless pattern,
more than offset gains recorded from short gold futures positions, as prices
in this market finished the month lower. Smaller losses were recorded in
energy futures trading due to erratic movement in oil and gas prices during
a majority of the month.<PAGE>
A portion of the Fund's overall losses was offset by
gains recorded in currencies as short Swiss franc and Japanese yen positions
profited from a continued downward move in value relative to the U.S. dollar.
Smaller gains recorded from short orange juice futures positions, as prices in
this market declined, also helped to mitigate Fund losses during the month.
I would also like to take this opportunity to inform you that we anticipate
Schedule K-1 (Form 1065) tax forms reporting each Limited Partner's share
of the partnership income, loss and deductions for calendar year 1996 will
be mailed during the last week of February.
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,
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 December 31, 1996
(Unaudited)
<CAPTION> Percent of
November 30, 1996
Amount Net Asset Value
$ %
REVENUES
<S> <C> <C>
Trading Profit (Loss)
Realized 10,167,634 6.11
Net change in unrealized (14,674,737) (8.82)
Total Trading Results (4,507,103) (2.71)
Interest income 533,060 .32
Total Revenues (3,974,043) (2.39)
Expenses
Brokerage commissions 753,732 .45
Management fee 403,858 .24
Incentive Fee 348,459 .21
Transaction fees and costs 93,582 .06
Administrative expenses 9,000 .01
Total Expenses 1,608,631 .97
NET LOSS (5,582,674) (3.36)
</TABLE>
<PAGE>
<TABLE>
Statement of Changes in Net Asset Value
For the Month Ended December 31, 1996
(Unaudited)
<CAPTION> Percent of
November 30, 1996
Amount Per Unit Net Asset Value
$ $ %
<S> <C> <C> <C>
Net Asset Value,
November 30, 1996
(81,936.936 Units) 166,373,696 2,030.51 100.00
Net Loss (5,582,674) (68.13) (3.36)
Subscriptions
(2,734.139 Units) 5,365,420 1,962.38 3.22
Redemptions
(1,207.798 Units) (2,370,157) 1,962.38 (1.42)
Net Asset Value,
December 31, 1996
(83,463.277 Units) 163,786,285 1,962.38 98.44
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.
<PAGE>
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.
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.
<PAGE>
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 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.
