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 September 30, 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. 33-55806
DEAN WITTER WORLD CURRENCY FUND L.P.
(Exact name of registrant as specified in its charter)
Delaware 13-3700691
(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 WORLD CURRENCY FUND L.P.
INDEX TO QUARTERLY REPORT ON FORM 10-Q
September 30, 1997
<CAPTION>
PART I. FINANCIAL INFORMATION
<S> <C>
Item 1. Financial Statements
Statements of Financial Condition September 30, 1997
(Unaudited) and December 31, 1996.....................2
Statements of Operations for the Quarters Ended
September 30, 1997 and 1996 (Unaudited)...............3
Statements of Operations for the Nine Months Ended
September 30, 1997 and 1996 (Unaudited)...............4
Statements of Changes in Partners' Capital for the
Nine Months ended September 30, 1997 and 1996
(Unaudited)...........................................5
Statements of Cash Flows for the Nine Months Ended
September 30, 1997 and 1996 (Unaudited)...............6
Notes to Financial Statements (Unaudited)......... 7-12
Item 2. Management's Discussion and Analysis of
Financial Condition and Results of Operations..13-17
Part II. OTHER INFORMATION
Item 1. Legal Proceedings..............................18-19
Item 5. Other Information.................................19
Item 6. Exhibits and Reports on Form 8-K..................20
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER WORLD CURRENCY FUND L.P.
STATEMENTS OF FINANCIAL CONDITION
<CAPTION>
September 30, December 31,
1997 1996
$ $
(Unaudited)
ASSETS
<S> <C> <C>
Equity in Commodity futures trading accounts:
Cash 29,773,958 25,825,801
Net unrealized gain on open contracts 797,973 1,242,668
Net option premiums - 230,200
Total Trading Equity 30,571,931 27,298,669
Interest receivable (DWR) 97,319 87,895
Due from DWR - 40,800
Total Assets 30,669,250 27,427,364
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable 268,486 779,025
Accrued management fees 76,596 68,410
Accrued incentive fees 73,081 -
Accrued administrative expenses 30,972 21,908
Accrued brokerage commissions (DWR) - 26,388
Accrued transaction fees and costs - 1,702
Total Liabilities 449,135 897,433
Partners' Capital
Limited Partners (31,650.183 and
35,992.609 Units, respectively) 29,109,539 25,668,776
General Partner (1,207.506 Units) 1,110,576 861,155
Total Partners' Capital 30,220,115 26,529,931
Total Liabilities and Partners' Capital 30,669,250 27,427,364
NET ASSET VALUE PER UNIT 919.73 713.17
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER WORLD CURRENCY FUND L.P.
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Quarters Ended September 30,
1997 1996
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized 2,523,168 (1,554,004)
Net change in unrealized (106,902) (404,463)
Total Trading Results 2,416,266 (1,958,467)
Interest Income (DWR) 304,376 280,212
Total Revenues 2,720,642 (1,678,255)
EXPENSES
Management fees 232,128 203,371
Brokerage commissions (DWR) 184,683 370,651
Incentive fees 73,082 -
Administrative expenses 18,804 18,388
Transaction fees and costs 16,523 23,161
Total Expenses 525,220 615,571
NET INCOME (LOSS) 2,195,422 (2,293,826)
NET INCOME (LOSS) ALLOCATION
Limited Partners 2,117,604 (2,228,766)
General Partner 77,818 (65,060)
NET INCOME (LOSS) PER UNIT
Limited Partners 64.45 (53.88)
General Partner 64.45 (53.88)
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER WORLD CURRENCY FUND L.P.
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Nine Months Ended September 30,
1997 1996
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized 8,990,979 (591,347)
Net change in unrealized (444,695) 1,379,374
Total Trading Results 8,546,284 788,027
Interest Income (DWR) 918,776 885,144
Total Revenues 9,465,060 1,673,171
EXPENSES
Management fees 689,457 665,736
Brokerage commissions (DWR) 661,581 959,031
Incentive fees 562,586 -
Administrative expenses 56,240 57,218
Transaction fees and costs 51,546 59,868
Total Expenses 2,021,410 1,741,853
NET INCOME (LOSS) 7,443,650 (68,682)
NET INCOME (LOSS ) ALLOCATION
Limited Partners 7,194,229 (61,040)
General Partner 249,421 (7,642)
NET INCOME (LOSS) PER UNIT
Limited Partners 206.56 (6.33)
General Partner 206.56 (6.33)
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER WORLD CURRENCY FUND L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
For the Nine Months Ended September 30, 1997 and 1996
(Unaudited)
<CAPTION>
Units of
Partnership Limited General
Interest Partners Partner Total
<S> <C> <C> <C> <C>
Partners' Capital
December 31, 1995 48,308.343 $29,734,237 $762,285 $30,496,522
Net Loss - (61,040) (7,642) (68,682)
Redemptions (7,867.896) (5,154,195) - (5,154,195)
Partners' Capital
September 30, 1996 40,440.447 $24,519,002 $754,643 $25,273,645
Partners' Capital
December 31, 1996 37,200.115 $25,668,776 $861,155 $26,529,931
Net Income - 7,194,229 249,421 7,443,650
Redemptions (4,342.426) (3,753,466) - (3,753,466)
Partners' Capital
September 30, 1997 32,857.689 $29,109,539 $1,110,576 $30,220,115
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER WORLD CURRENCY FUND L.P.
STATEMENTS OF CASH FLOWS
(Unaudited)
<CAPTION>
For the Nine Months Ended September 30,
1997 1996
$ $
CASH FLOWS FROM OPERATING ACTIVITIES
<S> <C> <C>
Net income (loss) 7,443,650 (68,682)
Noncash item included in net income (loss):
Net change in unrealized 444,695 (1,379,374)
(Increase)decrease in operating assets:
Net option premiums 230,200 (506,225)
Interest receivable (DWR) (9,424) 27,355
Due from DWR 40,800 -
Increase (decrease) in operating liabilities:
Accrued management fees 8,186 (13,830)
Accrued incentive fees 73,081 -
Accrued administrative expenses 9,064 (65,211)
Accrued brokerage commissions (DWR) (26,388) 9,684
Accrued transaction fees and costs (1,702) 856
Net cash provided by (used for) operating activities 8,212,162 (1,995,427)
CASH FLOWS FROM FINANCING ACTIVITIES
Decrease in redemptions payable (510,539) (294,846)
Redemptions of units (3,753,466) (5,154,195)
Net cash used for financing activities (4,264,005) (5,449,041)
Net increase (decrease) in cash 3,948,157 (7,444,468)
Balance at beginning of period 25,825,801 31,916,332
Balance at end of period 29,773,958 24,471,864
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
DEAN WITTER WORLD CURRENCY 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 World Currency 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
(collectively, "futures interests"). The general partner for the
Partnership is Demeter Management Corporation ("Demeter"). The
commodity broker for most of the Partnership's transactions is
Dean Witter Reynolds Inc. ("DWR"). Both Demeter and DWR are
wholly owned subsidiaries of Morgan Stanley, Dean Witter,
Discover & Co. ("MSDWD"). Demeter has retained John W. Henry &
Company, Inc. ("JWH") and Millburn Ridgefield Corporation as the
trading advisors of the Partnership.
On July 31, 1997, DWR closed the sale of its institutional
futures business and foreign currency trading operations to Carr
Futures Inc. ("Carr"), a subsidiary of Credit Agricole Indosuez.
Following the sale, Carr became the counterparty on
<PAGE>
DEAN WITTER WORLD CURRENCY FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
the Partnership's foreign currency trades. However, during a
transition period of about four months, DWR will continue to
perform certain services relating to the Partnership's futures
trading including clearance. After such transaction period, DWR
will continue to serve as a non-clearing commodity broker for the
Partnership with Carr providing all clearing services for
Partnership transactions.
2. Related Party Transactions
The Partnership's cash is on deposit with DWR and Carr in
commodity trading accounts to meet margin requirements as needed.
DWR pays interest on these funds based on current 13-week U.S.
Treasury Bill rates. Brokerage expenses incurred by the
Partnership are paid to DWR.
3. Financial Instruments
The Partnership trades futures contracts, forward contracts,
options on futures contracts and related instruments in
currencies. 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
<PAGE>
DEAN WITTER WORLD CURRENCY FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
significantly influence the market value of these contracts,
including interest rate volatility. At September 30, 1997 and
December 31, 1996, open contracts were:
Contract or Notional Amount
September 30, 1997 December 31, 1996
$ $
Exchange-Traded Contracts
Financial Futures:
Commitments to Purchase - 8,348,000
Commitments to Sell - 64,040,000
Off-Exchange-Traded
Forward Currency Contracts
Commitments to Purchase 107,804,000 111,517,000
Commitments to Sell 119,955,000 131,009,000
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 gains on open contracts are reported as a
component of "Equity in Commodity futures trading accounts" on
the Statements of Financial Condition and totaled $797,973 and
$1,242,668 at September 30, 1997 and December 31, 1996,
respectively. Of the $797,973 net unrealized gain on open
contracts at September 30, 1997, $(535,077) was related to
exchange-traded futures contracts and $1,333,050 related to off-
exchange-traded forward currency contracts. Of the $1,242,668
net
<PAGE>
DEAN WITTER WORLD CURRENCY FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
unrealized gain on open contracts at December 31, 1996,
$1,289,462 related to exchange-traded futures contracts and
$(46,794) related to off-exchange-traded forward currency
contracts.
Exchange-traded futures contracts held by the Partnership at
December 31, 1996 mature through March 1997. Off-exchange-traded
forward currency contracts held by the Partnership at September
30, 1997 and December 31, 1996 mature through December 1997 and
March 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 the amounts
reflected in the Partnership's Statements of Financial Condition.
The Partnership also has credit risk because either DWR or Carr
acts as the futures commission merchant or the 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 ("CFTC") to segregate from its own assets and for the
<PAGE>
DEAN WITTER WORLD CURRENCY FUND L.P.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
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 gains on all open
futures contracts, which funds totaled $29,238,881 and
$27,115,263 at September 30, 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 open forward contracts
be segregated. With respect to those off-exchange-traded forward
currency contracts, the Partnership is at risk to the ability of
Carr, the sole counterparty on all of such contracts, to perform.
Carr's parent, Credit Agricole Indosuez, has guaranteed Carr's
obligations to the Partnership.
For the nine months ended September 30, 1997 and the year ended
December 31, 1996, the average fair value of financial
instruments held for trading purposes was as follows:
September 30, 1997
Assets Liabilities
$ $
Exchange-Traded Contracts
Futures Contracts 7,727,000 24,978,000
Off-Exchange-Traded Forward
Currency Contracts 108,979,000 129,643,000
<PAGE>
DEAN WITTER WORLD CURRENCY FUND L.P.
NOTES TO FINANCIAL STATEMENTS - (CONCLUDED)
December 31, 1996
Assets Liabilities
$ $
Exchange-Traded Contracts
Futures Contracts 11,267,000 36,511,000
Options on Financial Futures 31,535,000 -
Off-Exchange-Traded Forward
Currency Contracts 150,360,000 162,534,000
<PAGE>
Item 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS
Liquidity - The Partnership's assets are on deposit in futures
interest trading accounts with DWR and Carr, and are used by the
Partnership as margin to engage in futures interest trading. DWR
and Carr hold such assets in either designated depositories or
in securities approved by the CFTC for investment of customer
funds. The Partnership's assets held by DWR and Carr may be used
as margin solely or the Partnership's trading. Since the
Partnership's sole purpose is to trade in futures interests, it
is expected that the Partnership will continue to own such liquid
assets for margin purposes.
The Partnership's investment in futures interest may, from time
to time, be illiquid. Most United States futures exchanges limit
fluctuations in certain futures interest prices during a single
day by regulations referred to as "daily price fluctuations
limits" or "daily limits". Pursuant to such regulations, during
a single trading day no trades may be executed at prices beyond
the daily limit. If the price of a particular futures interest
has increased or decreased by an amount equal to the "daily
limit", positions in such futures interest can neither be taken
nor liquidated unless traders are willing to effect trades at or
within the limit. Futures interest 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 futures interests and result in
<PAGE>
restrictions on redemptions. However, since the commencement of
trading by the Partnership, there has never been a time when
illiquidity has affected a material portion of the Partnership's
assets.
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 of additional
Units of Limited Partnership Interest in the future will affect
the amount of funds available for investments in futures
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
For the Quarter and Nine Months Ended September 30, 1997
For the quarter ended September 30, 1997, the Partnership's total
trading revenues including interest income were $2,720,642.
During the third quarter, the Partnership posted an increase in
Net
<PAGE>
Asset Value per Unit. The most significant profits were recorded
during July as the value of the U.S. dollar strengthened relative
to most major world currencies. As a result, gains were recorded
from short German mark positions, as well as from short positions
in the Swiss franc, French franc, and Singapore dollar.
Additional gains were recorded from short Malaysian ringgit
positions as its value declined relative to the U.S. dollar
throughout the quarter. A portion of the Partnership's overall
gains for the quarter was offset by losses experienced from
transactions involving the British pound as its value moved in a
trendless pattern relative to other world currencies during the
quarter. Smaller losses were recorded from transactions
involving the Japanese yen as its value also moved without
consistent direction during the quarter. Total expenses for the
quarter were $525,220 generating net income of $2,195,422. The
value of an individual Unit in the Partnership increased from
$855.28 at June 30, 1997 to $919.73 at September 30, 1997.
For the nine months ended September 30, 1997, the Partnership's
total trading revenues including interest income were $9,465,060.
During the first three quarters of the year, the Partnership
posted an increase in Net Asset Value per Unit. The most
significant gains were recorded during January and February as a
strengthening in the value of the U.S. dollar relative to most
other major currencies emerged. Gains were also recorded from
transactions involving the German mark and Japanese yen during
April and June. Additional profits were recorded from short
<PAGE>
German mark and Malaysian ringgit positions as the value of the
U.S. dollar increased relative to these currencies throughout the
third quarter. A small portion of the Partnership's overall
gains was offset by losses recorded from transactions involving
the British pound as its value moved in a trendless pattern
relative to other world currencies during the first nine months
of the year. Total expenses for the period were $2,021,410
resulting in net income of $7,443,650. The value of an
individual Unit in the Partnership increased from $713.17 at
December 31, 1996 to $919.73 at September 30, 1997.
For the Quarter and Nine Months Ended September 30, 1996
For the quarter ended September 30, 1996, the Partnership's total
trading losses net of interest income were $1,678,255. During
the third quarter, the Partnership posted a decrease in Net Asset
Value per Unit. The most significant trading losses were
recorded in this currency-only fund from inconsistent movement in
the value of the Swiss franc between July and September.
Additional losses were recorded during early August from
previously established long German mark positions as its value
moved lower versus the U.S. dollar. Smaller losses were recorded
from transactions involving the Spanish peseta during July and
September. These losses were offset by gains recorded during
September from short Japanese yen positions as its value moved
steadily lower versus the U.S. dollar. Profits recorded from
transactions involving the Italian
<PAGE>
lira during July and August also helped to mitigate the
Partnership losses for the quarter. Total expenses for the
quarter were $615,571, resulting in a net loss of $2,293,826.
The value of an individual Unit in the Partnership decreased from
$678.84 at June 30, 1996 to $624.96 at September 30, 1996.
For the nine months ended September 30, 1996, the Partnership's
total trading revenues including interest income were $1,673,171.
During the first nine months of the year, the Partnership posted
a decrease in Net Asset Value per Unit. Trading gains during the
first nine months of the year were offset by brokerage
commissions resulting in net trading losses. The most
significant trading losses were recorded in most major world
currencies during February due to sharp reversals and volatile
price movement. These losses were partially offset by gains
recorded from short Swiss franc positions during January and
throughout the second quarter as its value moved lower versus the
U.S. dollar. Smaller losses in the third quarter resulted
primarily from trading in the Spanish peseta. Gains recorded
from transactions involving the British pound during January and
May helped to offset Partnership losses during the first nine
months of the year. Additional gains were recorded from long
Australian dollar positions, as its value moved higher relative
to other world currencies between late February and early May.
Total expenses for the period were $1,741,853, resulting in a net
loss of $68,682. The value of an individual Unit in the
Partnership decreased from $631.29 at December 31, 1995 to
$624.96 at September 30, 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., MSDWD (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 (including JWH) to those pools. On June 16, 1997, the
plaintiffs in the above actions filed a consolidated amended
complaint. 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
(including JWH) 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
<PAGE>
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 5. OTHER INFORMATION
On July 21, 1997, MSDWD, the sole shareholder of Demeter,
appointed a new Board of Directors consisting of Richard M.
DeMartini, Mark J. Hawley, Lawrence Volpe, Joseph G. Siniscalchi,
Edward C. Oelsner III, and Robert E. Murray.
<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 World Currency Fund
L.P. (Registrant)
By: Demeter Management Corporation
(General Partner)
November 10, 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 World Currency Fund L.P. and is qualified in its entirety by
reference to such financial instrument.
</LEGEND>
<S> <C>
<PERIOD-TYPE> 9-MOS
<FISCAL-YEAR-END> SEP-30-1997
<PERIOD-END> SEP-30-1997
<CASH> 29,773,958
<SECURITIES> 0
<RECEIVABLES> 97,319<F1>
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 30,669,250<F2>
<CURRENT-LIABILITIES> 0
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 30,669,250<F3>
<SALES> 0
<TOTAL-REVENUES> 9,465,060<F4>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 2,021,410
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 7,443,650
<INCOME-TAX> 0
<INCOME-CONTINUING> 7,443,650
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 7,443,650
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
<FN>
<F1>In addition to cash and receivables, total assets include net unrealized
gain on open contracts of $797,973.
<F2>Liabilities include redemptions payable of $268,486, accrued brokerage
commission of $0, accrued management fees of $76,596, accrued
administrative expenses of $30,972, accrued transaction fees and costs
of $0, and accrued incentive fees of $73,081.
<F3>Total revenue includes realized trading revenue of $8,990,979, net change
in unrealized of $(444,695) and interest income of $918,776.
<F4>Total revenue includes realized trading revenue of $8,990,979, net
change in unrealized of $(444,695) and interest income of $918,776.
</FN>
</TABLE>
