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, 1996 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 number 33-80146
DEAN WITTER SPECTRUM BALANCED L.P.
(Exact name of registrant as specified in its charter)
Delaware 13-3782232
(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 SPECTRUM BALANCED L.P.
INDEX TO QUARTERLY REPORT ON FORM 10-Q
September 30, 1996
<CAPTION>
PART I. FINANCIAL INFORMATION
<S> <C>
Item 1. Financial Statements
Statements of Financial Condition
September 30, 1996 (Unaudited) and December 31, 1995.........2
Statements of Operations for the Quarters Ended
September 30, 1996 and 1995 (Unaudited) .....................3
Statements of Operations for the Nine Months Ended
September 30, 1996 and 1995 (Unaudited) .....................4
Statements of Changes in Partners' Capital for
the Nine Months Ended September 30, 1996 and 1995
(Unaudited)..................................................5
Statements of Cash Flows for the Nine Months Ended
September 30, 1996 and 1995 (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 6. Exhibits and Reports on Form 8-K..................... 18
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER SPECTRUM BALANCED L.P.
STATEMENTS OF FINANCIAL CONDITION
<CAPTION>
September 30, December 31,
1996 1995
$ $
(Unaudited)
ASSETS
<S> <C> <C>
Equity in commodity futures trading accounts:
Cash 18,441,722 13,409,068
Net unrealized gain on open contracts 784,430 392,428
Net option premiums (143,500) -
Total Trading Equity 19,082,652 13,801,496
Interest receivable (DWR) 79,378 61,129
Subscriptions receivable 55,537 1,061,057
Total Assets 19,217,567 14,923,682
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable 684,069 38,746
Accrued brokerage commissions (DWR) 85,411 66,673
Accrued management fees 19,412 13,890
Accrued incentive fees - 49,873
Total Liabilities 788,892 169,182
Partners' Capital
Limited Partners (1,638,667.468 and
1,209,758.681 Units, respectively) 18,231,163 14,604,689
General Partner (17,752.928 and
12,409.369 Units respectively) 197,512 149,811
Total Partners' Capital 18,428,675 14,754,500
Total Liabilities and Partners' Capital 19,217,567 14,923,682
NET ASSET VALUE PER UNIT 11.13 12.07
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER SPECTRUM BALANCED L.P.
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Quarters Ended September 30,
1996 1995
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized (105,867) (151,923)
Net change in unrealized 618,962 102,006
Total Trading Results 513,095 (49,917)
Interest Income (DWR) 239,747 129,470
Total Revenues 752,842 79,553
EXPENSES
Brokerage commissions (DWR) 270,988 147,291
Management fees 58,073 30,686
Total Expenses 329,061 177,977
NET INCOME (LOSS) 423,781 (98,424)
NET INCOME (LOSS) ALLOCATION
Limited Partners 419,377 (97,052)
General Partner 4,404 (1,372)
NET INCOME (LOSS) PER UNIT
Limited Partners .25 (0.14)
General Partner .25 (0.14)
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER SPECTRUM BALANCED L.P.
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Nine Months Ended September 30,
1996 1995
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized (1,295,898) 741,887
Net change in unrealized 392,002 263,958
Total Trading Results (903,896) 1,005,845
Interest Income (DWR) 640,771 282,176
Total Revenues (263,125) 1,288,021
EXPENSES
Brokerage commissions (DWR) 765,434 317,453
Management fees 161,084 66,136
Incentive fees - 111,283
Total Expenses 926,518 494,872
NET INCOME (LOSS) (1,189,643) 793,149
NET INCOME (LOSS) ALLOCATION
Limited Partners (1,177,344) 777,903
General Partner (12,299) 15,246
NET INCOME (LOSS) PER UNIT
Limited Partners (.94) 1.55
General Partner (.94) 1.55
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER SPECTRUM BALANCED L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
For the Nine Months Ended September 30, 1996 and 1995
(Unaudited)
<CAPTION>
Units of
Partnership Limited General
Interest Partners Partner Total
<S> <C> <C> <C> <C>
Partners' Capital
December 31, 1994 386,338.297 $3,701,277 $96,568 $3,797,845
Continuous Offering 640,768.105 7,078,423 20,000 7,098,423
Net Income - 777,903 15,246 793,149
Redemptions (10,656.328) (120,131) - (120,131)
Partners' Capital
September 30, 1995 1,016,450.074 $11,437,472 $131,814 $11,569,286
Partners'Capital
December 31, 1995 1,222,168.050 14,604,689 149,811 14,754,500
Continuous Offering 576,197.228 6,369,931 60,000 6,429,931
Net Loss - (1,177,344) (12,299) (1,189,643)
Redemptions (141,944.882) (1,566,113) - (1,566,113)
Partners' Capital
September 30, 1996 1,656,420.396 18,231,163 197,512 18,428,675
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER SPECTRUM BALANCED L.P.
STATEMENTS OF CASH FLOWS
(Unaudited)
<CAPTION>
For the Nine Months Ended September 30,
1996 1995
$ $
CASH FLOWS FROM OPERATING ACTIVITIES
<S> <C> <C>
Net income (loss) (1,189,643) 793,149
Noncash item included in net income (loss):
Net change in unrealized (392,002) (263,958)
(Increase) decrease in operating assets:
Interest receivable (DWR) (18,249) (29,890)
Net option premiums 143,500 -
Increase (decrease) in operating liabilities:
Accrued brokerage commissions (DWR) 18,738 35,528
Accrued management fees 5,522 7,401
Accrued incentive fees (49,873) -
Net cash provided by (used for) operating activities (1,482,007) 542,230
CASH FLOWS FROM FINANCING ACTIVITIES
Offering of units 6,429,931 7,098,423
(Increase) decrease in subscriptions receivable 1,005,520 (460,182)
Increase in redemptions payable 645,323 -
Redemptions of units (1,566,113) (120,131)
Net cash provided by financing activities 6,514,661 6,518,110
Net increase in cash 5,032,654 7,060,340
Balance at beginning of period 13,409,068 3,260,143
Balance at end of period 18,441,722 10,320,483
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
DEAN WITTER SPECTRUM BALANCED 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, 1995 Annual Report on Form 10-K.
1. Organization
Dean Witter Spectrum Balanced L.P. (the "Partnership") is a limited
partnership organized to engage in the speculative trading of
futures and forward contracts, options on future contracts and on
physical commodities, and other commodity interests, including
foreign currencies, financial instruments, precious and industrial
metals, energy products and agriculturals. The general partner for
the Partnership is Demeter Management Corporation ("the General
Partner"). The General Partner has retained RXR, Inc. as the
trading manager of the Partnership. Both the General Partner and
the commodity broker, Dean Witter Reynolds Inc. ("DWR") are wholly
owned subsidiaries of Dean Witter, Discover & Co.
2. Summary of Significant Accounting Policies
Effective September 1, 1996, brokerage fees are reduced to 11/24 of
1% of the Net Assets as of the first day of the month.
<PAGE>
DEAN WITTER SPECTRUM BALANCED L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
3. 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, forward contracts on
futures and related instruments 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
September 30, 1996, open contracts were:
Contract or
Notional Amount
$
Exchange-Traded Contracts
Financial Futures:
Commitments to Purchase 16,200,000
Commitments to Sell 12,798,000
Options Written 4,840,000
Commodity Futures:
Commitments to Purchase 2,612,000
Commitments to Sell 4,421,000
Foreign Futures:
Commitments to Purchase 48,090,000
Commitments to Sell 26,279,000
Off-Exchange-Traded Forward
Currency Contracts
Commitments to Purchase 17,956,000
Commitments to Sell 14,896,000
<PAGE>
DEAN WITTER SPECTRUM BALANCED L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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 is reported as a
component of "Equity in Commodity futures trading accounts" on the
Statement of Financial Condition and totaled $784,430 at September
30, 1996. Of this amount, $736,632 related to exchange-traded
futures contracts and $47,798 related to off-exchange-traded
forward currency contracts.
Exchange-traded futures contracts held by the Partnership at
September 30, 1996 mature through March 1997. Off-exchange-traded
forward currency contracts held by the Partnership at September 30,
1996 mature through October 1996. 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 DWR acts as the
futures commission merchant or the sole counterparty, with respect
<PAGE>
DEAN WITTER SPECTRUM BALANCED L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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 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, which funds totaled $19,178,354
at September 30, 1996. With respect to the Partnership's off-
exchange-traded forward currency forward 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 such contracts,
to perform.
For the nine months ended September 30, 1996, the average fair
value of financial instruments held for trading purposes was as
follows:
<PAGE>
DEAN WITTER SPECTRUM BALANCED L.P.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
Assets Liabilities
$ $
Exchange-Traded Contracts
Financial Futures 20,824,000 8,669,000
Options on Financial Futures 500,000 2,598,000
Commodity Futures 3,615,000 1,693,000
Foreign Futures 28,599,000 8,095,000
Off-Exchange-Traded Forward
Currency Contracts 16,639,000 14,974,000
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, the General Partner, Dean Witter Futures and Currency
Management Inc., Dean Witter, Discover & Co. (all such parties
referred to hereafter as the "Dean Witter Parties"), certain
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
<PAGE>
DEAN WITTER SPECTRUM BALANCED L.P.
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
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
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.
<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 of 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 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.
<PAGE>
There is no limitation on daily price moves in trading forward
contracts on foreign currency. 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 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.
Results of Operations
For the Quarter and Nine Months Ended September 30, 1996
For the quarter ended September 30, 1996, the Partnership's total
trading revenues including interest income were $752,842. During
the third quarter, the Partnership posted an increase in Net Asset
Value per Unit. The most significant gains were recorded in the
managed futures portion of the Partnership's balanced portfolio
from long Australian, Japanese and European interest rate futures
positions as international interest rate futures prices moved
steadily higher between July and September. In the currency
<PAGE>
markets, gains were recorded during July from long positions in the
German mark, as well as in the Swiss and French francs, as the
value of these currencies increased sharply relative to the U.S.
dollar late the in the month. Additional gains were recorded in
the energy markets from long crude oil futures positions as prices
trended higher during the quarter. In the bond portion of the
balanced portfolio, gains experienced in September from an upward
move in prices more than offset losses recorded during July and
August as U.S. interest rate futures prices moved in a choppy
pattern. A portion of these gains was offset by losses experienced
from short-term volatile price movement in both agricultural and
soft commodities prices throughout most of the quarter. Smaller
losses were recorded in the stock portion of the balanced portfolio
as U.S. stock prices moved lower during July. Total expenses for
the quarter were $329,061, resulting in net income of $423,781.
The value of an individual Unit in the Partnership increased from
$10.88 at June 30, 1996 to $11.13 at September 30, 1996.
For the nine months ended September 30, 1996, the Partnership's
total trading losses net of interest income were $263,125. During
the first nine months of the year, the Partnership posted a
decrease in Net Asset Value per Unit. The most significant losses
were recorded in the bond portion of the balanced portfolio from
long positions in U.S Treasury bond futures as prices moved lower
during February and into March. Smaller losses were recorded in
the bond portion during the second quarter and early in the third
quarter as prices moved without consistent direction. Additional
losses were recorded in the stock portion of the balanced portfolio
<PAGE>
as U.S. stock prices moved in a choppy pattern during the period
between March and July. In the managed futures component of the
portfolio, the most significant losses were recorded in soft
commodities as coffee, sugar and cotton prices moved in a trendless
pattern for a majority of the first nine months of the year.
Additional losses were recorded as base metals prices moved without
consistent direction during the first and second quarters. A
portion of the overall losses in the managed futures component was
offset by gains recorded from long global interest rate futures
positions as prices increased steadily during the third quarter.
Additional gains were recorded from long corn futures positions as
prices increased during the second quarter and from long crude oil
futures positions as prices trended higher during the third
quarter. Gains recorded in the currency markets during the third
quarter also helped to mitigate losses for the Partnership for the
first nine months of the year. Total expenses for the period were
$926,518, resulting in a net loss of $1,189,643. The value of an
individual Unit in the Partnership decreased from $12.07 at
December 31, 1995 to $11.13 at September 30, 1996.
For the Quarter and Nine Months Ended September 30, 1995
For the quarter ended September 30, 1995, the Partnership's total
trading revenues including interest income were $79,553. During
the third quarter of the year, the Partnership posted a small
decrease in Net Asset Value per Unit. The most significant losses
were recorded in the managed futures portion of the balanced
portfolio from trading in soybean products which remained trendless
throughout the quarter. Smaller losses were recorded in each of
<PAGE>
the energy, soft commodities and metals complexes as prices moved
in a trendless pattern for most of the quarter. Trading losses
were also recorded in the bond portion of the balanced portfolio as
U.S. Treasury bond prices were choppy throughout the quarter. Long
S&P 500 Index futures positions in the stock portion of the
balanced portfolio resulted in trading gains as domestic stocks
reached record highs. Additional gains were recorded in the
managed futures portion of the balanced portfolio as a downward
trend in the value of the Japanese yen relative to the U.S. dollar
was evident until late September, resulting in profits for the
Partnership's short yen positions. These gains helped in
offsetting a portion of the losses experienced in other sectors.
Total expenses for the period were $177,977, resulting in a net
loss of $98,424. The value of an individual Unit in the
Partnership decreased from $11.52 at June 30, 1995 to $11.38 at
September 30, 1995.
For the nine months ended September 30, 1995, the Partnership's
total trading revenues including interest income were $1,288,021.
During the first nine months of the year, the Partnership posted an
increase in Net Asset Value per Unit. The most significant gains
were experienced in the stock and bond portions of the balanced
portfolio as U.S. stock and bond prices trended higher for the
first half of 1995. As a result, profits for the Partnership's
long S&P 500 Index futures and U.S. Treasury bond futures positions
were recorded. Gains within the managed futures portion of the
balanced portfolio were also recorded in these same domestic
<PAGE>
financial markets. Additional gains in the managed futures portion
of the balanced portfolio were recorded from trading currencies,
primarily as a result of trending movement in the value of the
Japanese yen throughout the first nine months of the year. Losses
in the managed futures portion of the balanced portfolio were
experienced across a majority of traditional commodities, including
agriculturals, metals and soft commodities, as a result of
trendless price movement for much of 1995. These losses offset a
portion of the profits recorded in other market sectors. Total
expenses for the period were $494,872, resulting in net income of
$793,149. The value of an individual Unit in the Partnership
increased from $9.83 at December 31, 1994 to $11.38 at September
30, 1995.
<PAGE>
PART II. OTHER INFORMATION
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 Spectrum Balanced L.P.
(Registrant)
By: Demeter Management Corporation
(General Partner)
November 12, 1996 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.
<PAGE>
<TABLE> <S> <C>
<ARTICLE> 5
<LEGEND>
The schedule contains summary financial information extracted from Dean
Witter Spectrum Balanced L.P. and is qualified in its entirety by
references to such financial instruments.
</LEGEND>
<S> <C>
<PERIOD-TYPE> 9-MOS
<FISCAL-YEAR-END> SEP-30-1996
<PERIOD-END> SEP-30-1996
<CASH> 18,441,722
<SECURITIES> 0
<RECEIVABLES> 134,915<F1>
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 19,217,567<F2>
<CURRENT-LIABILITIES> 0
<BONDS> 0
<COMMON> 0
0
0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 19,217,567<F3>
<SALES> 0
<TOTAL-REVENUES> (263,125)<F4>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 926,518
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> (1,189,643)
<INCOME-TAX> 0
<INCOME-CONTINUING> (1,189,643)
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (1,189,643)
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
<FN>
<F1>Receivables include subscriptions receivable of $55,537 and interest
receivable of $79,378.
<F2>In addition to cash and receivables, total assets include net unrealized
gain on open contracts of $784,430 and net options premiums of $(143,500).
<F3>Liabilities include redemptions payable of $684,069, accrued brokerage
commissions of $85,411 and accrued management fees of $19,412.
<F4>Total revenues include realized trading revenue of $(1,295,898), net
change in unrealized of $392,002 and interest income of $640,771.
</FN>
</TABLE>
