Select Futures Fund
January 1997
Monthly Report
This Monthly Report supplements
the Select Futures Fund's Prospectus
dated October 17, 1996.
February 28, 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%
1997 3.9%
Inception-to-Date Return: 104.0%
Annualized Return: 13.8%
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Dean Witter
Two World Trade Center
62nd Floor
New York, NY 10048
Telephone (212) 392-8899
Dean Witter Select Futures Fund
Monthly Report
January 1997
Dear Limited Partner:
The Net Asset Value per Unit for the Dean Witter Select Futures Fund
as of January 31, 1997, was $2,039.51, up 3.93% for the month.
The Fund recorded gains during the month due primarily to foreign
exchange trading. In the currency markets, a weakening in the value
of most major world currencies versus the U.S dollar resulted in
profits for short positions in the Swiss franc and Japanese yen.
Additional currency gains were recorded from short German mark,
Australian dollar and French franc positions as the value of these
currencies also declined versus the U.S. dollar. In metals, gains
were recorded from short gold futures positions as prices declined
to their lowest levels in over three years. Smaller gains in metals
were recorded from long zinc futures positions as prices moved higher
late in the month. In soft commodities, long coffee futures profited
as prices trended higher during the month. In financial futures trading,
gains were recorded in global stock index futures trading as short
Nikkei Index futures positions profited from a decline in Japanese
stock prices. Smaller gains were recorded from long positions in
European stock index futures as prices in these markets moved higher.
The Fund's overall gains were partially offset by losses recorded
in agricultural futures from short corn and soybean futures positions
as prices in these markets moved higher. Smaller losses were recorded
in the energy markets from previously established long crude oil and
unleaded gas futures positions as prices moved lower.
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
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<TABLE>
Dean Witter Select Futures Fund L.P.
Statement of Operations
For the Month Ended January 31, 1997
(Unaudited)
<CAPTION>
Percent of December 31, 1996
Amount Net Asset Value
$ %
REVENUES
<S> <C> <C>
Trading Profit (Loss)
Realized 1,006,022 .61
Net change in unrealized 6,657,500 4.07
Total Trading Results 7,663,522 4.68
Interest income 576,599 .35
Total Revenues 8,240,121 5.03
Expenses
Brokerage commissions 750,056 .46
Incentive Fee 512,891 .31
Management fee 427,914 .26
Transaction fees and costs 102,368 .06
Administrative expenses 9,000 .01
Total Expenses 1,802,229 1.10
NET income 6,437,892 3.93
Statement of Changes in Net Asset Value
For the Month Ended January 31, 1997
(Unaudited)
Percent of December 31, 1996
Amount Per Unit Net Asset Value
$ $ %
<S> <C> <C> <C>
Net Asset Value, 163,786,285 1,962.38 100.00
December 31, 1996
(83,463.277 Units)
Net Income 6,437,892 77.13 3.93
Subscriptions 4,228,388 2,039.51 2.58
(2,073.237 Units)
Redemptions (2,210,066) 2,039.51 (1.35)
(1,083.627 Units)
Net Asset Value, 172,242,499 2,039.51 105.16
January 31, 1997
(84,452.887 Units)
The accompanying notes are an integral part of these financial statements.
</TABLE>
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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.
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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.
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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.
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DEAN WITTER REYNOLDS INC.
Two World Trade Center
62nd Floor
New York, NY 10048
