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 June 30, 1997 to
[ ] 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 Corporation
Two World Trade Center, 62 Fl., New York, NY 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
June 30, 1997
<CAPTION>
PART I. FINANCIAL INFORMATION
<S> <C>
Item 1. Financial Statements
Statements of Financial Condition June 30, 1997
(Unaudited) and December 31, 1996....................2
Statements of Operations for the Quarters Ended
June 30, 1997 and 1996 (Unaudited)...................3
Statements of Operations for the Six Months Ended
June 30, 1997 and 1996 (Unaudited)...................4
Statements of Changes in Partners' Capital for the
Six Months Ended June 30, 1997 and 1996
(Unaudited)..........................................5
Statements of Cash Flows for the Six Months Ended
June 30, 1997 and 1996 (Unaudited)...................6
Notes to Financial Statements (Unaudited).........7-11
Item 2. Management's Discussion and Analysis of
Financial Condition and Results of Operations.12-17
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>
June 30, December 31,
1997 1996
$ $
(Unaudited)
ASSETS
<S> <C> <C>
Equity in Commodity futures trading accounts:
Cash 28,900,574 25,825,801
Net unrealized gain on open contracts904,876 1,242,668
Net option premiums - 230,200
Total Trading Equity 29,805,450 27,298,669
Interest receivable (DWR) 95,979 87,895
Due from DWR - 40,800
Total Assets 29,901,429 27,427,364
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable 641,552 779,025
Accrued management fees 74,689 68,410
Accrued administrative expenses 12,168 21,908
Accrued brokerage commissions (DWR) 11,376 26,388
Accrued transaction fees and costs 897 1,702
Total Liabilities 740,682 897,433
Partners' Capital
Limited Partners (32,887.374 and
35,992.609 Units, respectively) 28,127,989 25,668,776
General Partner (1,207.506 Units) 1,032,758 861,155
Total Partners' Capital 29,160,747 26,529,931
Total Liabilities and Partners' Capital29,901,429 27,427,364
NET ASSET VALUE PER UNIT 855.28 713.17
<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 June 30,
1997 1996
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized (758,374) 844,154
Net change in unrealized 992,899 1,315,536
Total Trading Results 234,525 2,159,690
Interest Income (DWR) 310,129 299,628
Total Revenues 544,654 2,459,318
EXPENSES
Brokerage commissions (DWR) 241,038 307,269
Management fees 225,665 227,397
Transaction fees and costs 19,802 18,295
Administrative expenses 18,808 18,980
Total Expenses 505,313 571,941
NET INCOME 39,341 1,887,377
NET INCOME ALLOCATION
Limited Partners 38,035 1,837,323
General Partner 1,306 50,054
NET INCOME PER UNIT
Limited Partners
1.08 41.45
General Partner
1.08 41.45
<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 Six Months Ended June 30,
1997 1996
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized 6,467,810 962,658
Net change in unrealized (337,792) 1,783,837
Total Trading Results 6,130,018 2,746,495
Interest Income (DWR) 614,400 604,932
Total Revenues 6,744,418 3,351,427
EXPENSES
Incentive fees 489,505 -
Brokerage commissions (DWR) 476,898 588,381
Management fees 457,329 462,364
Administrative expenses 37,436 38,831
Transaction fees and costs 35,022 36,707
Total Expenses 1,496,190 1,126,283
NET INCOME 5,248,228 2,225,144
NET INCOME ALLOCATION
Limited Partners
5,076,625 2,167,726
General Partner
171,603 57,418
NET INCOME PER UNIT
Limited Partners
142.11 47.55
General Partner
142.11 47.55
<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 Six Months Ended June 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 48,308.363 $29,734,237 $762,285
$30,496,522
Net Income - 2,167,726 57,418
2,225,144
Redemptions (5,206.503) (3,462,414) -
(3,462,414)
Partners' Capital,
June 30, 1996 43,101.860 $28,439,549 $819,703
$29,259,252
Partners' Capital,
December 31, 1996 37,200.115 $25,668,776 $861,155
$26,529,931
Net Income 5,076,625 171,603
5,248,228
Redemptions (3,105.235) (2,617,412) -
(2,617,412)
Partners' Capital,
June 30, 1997 34,094.880 $28,127,989 $1,032,758
$29,160,747
<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 Six Months Ended June 30,
1997 1996
$ $
CASH FLOWS FROM OPERATING ACTIVITIES
<S> <C> <C>
Net income 5,248,228
2,225,144
Noncash item included in net income:
Net change in unrealized 337,792 (
1,783,837)
(Increase)decrease in operating assets:
Interest receivable (DWR) (8,084) 14,872
Receivable from DWR 40,800 -
Net option premiums 230,200 (530,187)
Increase (decrease) in operating liabilities:
Accrued management fees 6,279 (3,718)
Accrued administrative expenses (9,740) (65,738)
Accrued brokerage commissions (DWR)(15,012) 4,176
Accrued transaction fees and costs (805) 209
Net cash provided by (used for) operating activities5,829,658
(139,079)
CASH FLOWS FROM FINANCING ACTIVITIES
Decrease in redemptions payable (137,473) (246,378)
Redemption of units (2,617,412) (3,462,414)
Net cash used for financing activities(2,754,885) (3,708,792)
Net increase (decrease) in cash 3,074,773 (3,847,871)
Balance at beginning of period 25,825,801 31,916,332
Balance at end of period 28,900,574 28,068,461
<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 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.
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 current 13-week U.S. Treasury
Bill rates. Brokerage expenses incurred by the Partnership are
paid to DWR.
<PAGE>
DEAN WITTER WORLD CURRENCY FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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
significantly influence the market value of these contracts,
including interest rate volatility. At June 30, 1997 and
December 31, 1996, open contracts were:
Contract or Notional Amount
June 30, 1997 December 31, 1996
$ $
Exchange-Traded Contracts
Financial Futures:
Commitments to Purchase 18,621,000 8,348,000
Commitments to Sell 10,750,000 64,040,000
Off-Exchange-Traded
Forward Currency Contracts
Commitments to Purchase 65,487,000 111,517,000
Commitments to Sell 71,459,000 131,009,000
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.
<PAGE>
DEAN WITTER WORLD CURRENCY FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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 $904,876 and
$1,242,668 at June 30, 1997 and December 31, 1996, respectively.
Of the $904,876 net unrealized gain on open contracts at June 30,
1997, $284,072 related to exchange-traded futures contracts and
$620,804 related to off-exchange-traded forward currency con-
tracts. Of the $1,242,668 net 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 June
30, 1997 and December 31, 1996 mature through September 1997 and
March 1997, respectively. Off-exchange-traded forward currency
contracts held by the Partnership at June 30, 1997 and December
31, 1996 mature through September 1997 and March 1997, respec-
tively. 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.
<PAGE>
DEAN WITTER WORLD CURRENCY FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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 ("CFTC") 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 gains on all open
futures contracts, which funds totaled $29,184,646 and
$27,115,263 at June 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 DWR, the
counterparty on all of such contracts, to perform.
For the six months ended June 30, 1997 and the year ended
December 31, 1996, the average fair value of financial
instruments held for trading purposes was as follows:
<PAGE>
DEAN WITTER WORLD CURRENCY FUND L.P.
NOTES TO FINANCIAL STATEMENTS - (CONCLUDED)
June 30, 1997
Assets Liabilities
$ $
Exchange-Traded Contracts
Futures Contracts 9,802,000 28,459,000
Off-Exchange-Traded Forward
Currency Contracts 105,168,000 121,876,000
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
4. Subsequent Event
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 the
Partnership's foreign currency trades. However, during a
transition period of about three months, DWR will continue to
perform certain services relating to the Partnership's futures
trading including clearance. After such transition period, DWR
will continue to serve as a futures broker for the Partnership
Carr providing execution and clearing services for the
Partnership's account.
<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 are used by the
Partnership as margin to engage in futures interest trading. DWR
holds 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 may be used as margin solely
for 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
restrictions on redemptions. However, since the commencement of
<PAGE>
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 and sales 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 Six Months Ended June 30, 1997
For the quarter ended June 30, 1997, the Partnership's total
trading revenues including interest income were $544,654. During
the second quarter, the Partnership posted an increase in Net
Asset Value per Unit. The most significant trading gains were
<PAGE>
recorded during April from short positions in the Japanese yen as
the value of the U.S. dollar continued to strengthen versus the
yen. Additional gains were recorded in the Japanese yen during
June as long positions profited from an increase in value
relative to the U.S. dollar. Trading gains were also recorded
during these same months from transactions involving the German
mark. Profits were recorded from long positions in the British
pound as its value increased versus the U.S. dollar during June.
Smaller gains were recorded from transactions involving the
Spanish peseta during June. A portion of these gains was offset
by losses recorded from trading the Swiss franc during June as
its value moved in a choppy pattern. Smaller losses were
experienced from short positions in the Singapore dollar as its
value moved higher relative to the U.S. dollar during May and
June. Total expenses for the quarter were $505,313 generating
net income of $39,341. The value of an individual Unit in the
Partnership increased from $854.20 at March 31, 1997 to $855.28
at June 30, 1997.
For the six months ended June 30, 1997, the Partnership's total
trading revenues including interest income were $6,744,418.
During the first six months, the Partnership posted an increase
in Net Asset Value per Unit. The most significant trading 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. Additional gains were recorded from
transactions involving the Japanese yen and German mark during
April and June. Smaller profits were experienced from short
positions in the
<PAGE>
Singapore dollar as its value decreased versus the U.S. dollar
during the first four months of the year. A small portion of the
Partnership's overall gains was offset by losses recorded from
long positions in the British pound during January as its value
reversed lower after previously trending higher. Smaller losses
were experienced from transactions involving the Australian
dollar during February, March and April as its value moved in a
trendless pattern. Total expenses for the period were $1,496,190
resulting in net income of $5,248,228. The value of an
individual Unit in the Partnership increased from $713.17 at
December 31, 1996 to $855.28 at June 30, 1997.
For the Quarter and Six Months Ended June 30, 1996
For the quarter ended June 30, 1996, the Partnership's total
trading revenues including interest income were $2,459,318.
During the second quarter, the Partnership posted an increase in
Net Asset Value per Unit. The most significant trading gains
were recorded in this currency-only Fund during April as the
value of the German mark and Swiss franc moved lower versus the
U.S. dollar and other world currencies. As a result, gains were
recorded from short German mark and Swiss franc positions. Short
Swiss franc positions also profited during May and June as its
value continued to move lower versus the U.S. dollar. Additional
gains were recorded during June from short Japanese yen positions
as the value of the yen moved lower relative to the U.S. dollar.
Smaller gains were recorded from long British pound positions as
the value
<PAGE>
of the British pound moved higher during May and from short
French franc positions as its value moved lower during April.
Trading gains recorded from long Australian dollar positions
during April and May were partially offset by losses recorded
during June as the value of the Australian dollar lost its upward
momentum. Losses recorded in the Japanese yen during April, as
the value of the yen moved higher versus the U.S. dollar late in
the month, and during May, as its value then moved lower, offset
a portion of overall gains recorded during the quarter. Total
expenses for the quarter were $571,941, resulting in net income
of $1,887,377. The value of an individual Unit in the
Partnership increased from $637.39 at March 31, 1996 to $678.84
at June 30, 1996.
For the six months ended June 30, 1996, the Partnership's total
trading revenues including interest income were $3,351,427.
During the first half of the year, the partnership posted an
increase in Net Asset Value per Unit. The most significant
trading gains were recorded from short Swiss franc positions as
the value of the Swiss franc moved lower versus the U.S. dollar
during January and throughout the second quarter. 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. Profits were also recorded during
January and April from transactions involving the German mark and
during January and May from transactions involving the British
pound. Losses recorded from transactions involving the Japanese
yen during April and May offset gains recorded in the yen during
<PAGE>
January, March and June. Losses recorded in most major world
currencies during February, due to sharp reversal and volatile
price movement, also offset a portion of the gains recorded in
the first half of the year. Total expenses for the period were
$1,126,283, resulting in net income of $2,225,144. The value of
an individual Unit in the partnership increased from $631.29 at
December 31, 1995 to $678.84 at June 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 and the Partnership 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)
August 12, 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
references to such financial instruments.
</LEGEND>
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> JUN-30-1997
<PERIOD-END> JUN-30-1997
<CASH> 28,900,574
<SECURITIES> 0
<RECEIVABLES> 95,979
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 29,901,429<F1>
<CURRENT-LIABILITIES> 0
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 29,901,429<F2>
<SALES> 0
<TOTAL-REVENUES> 6,744,418<F3>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 1,496,190
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 5,248,228
<INCOME-TAX> 0
<INCOME-CONTINUING> 5,248,228
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 5,248,228
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
<FN>
<F1>In addition to cash and receivables, total assets include net unrealized
gain on open contracts of $904,876.
<F2>Liabilities include redemptions payable of $641,552, accrued brokerage
commissions of $11,376, accrued management fees of $74,689, accrued
administrative expenses of $12,168 and accrued transaction fees and
costs of $897.
<F3>Total revenues include realized trading revenue of $6,467,810, net change
in realized of $(337,792) and interest income of $614,400.
</FN>
</TABLE>
