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 March 31, 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 No. 33-90360
DEAN WITTER DIVERSIFIED FUTURES FUND LIMITED PARTNERSHIP
(Exact name of registrant as specified in its charter)
Delaware 13-3461507
(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 DIVERSIFIED FUTURES FUND LIMITED PARTNERSHIP
INDEX TO QUARTERLY REPORT ON FORM 10-Q
March 31, 1996
<CAPTION>
PART I. FINANCIAL INFORMATION
<S> <C>
Item 1. Financial Statements
Statements of Financial Condition March 31, 1996
(Unaudited) and December 31, 1995.....................2
Statements of Operations for the Quarters Ended
March 31, 1996 and 1995 (Unaudited)...................3
Statements of Changes in Partners' Capital for the
Quarters Ended March 31, 1996 and 1995
(Unaudited)...........................................4
Statements of Cash Flows for the Quarters Ended
March 31, 1996 and 1995 (Unaudited)...................5
Notes to Financial Statements (Unaudited)........... ........ 6-10
Item 2. Management's Discussion and Analysis of
Financial Condition and Results of Operations..11-14
Part II. OTHER INFORMATION
Item 6. Exhibits and Reports on Form 8-K................. 15
</TABLE>
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<TABLE>
DEAN WITTER DIVERSIFIED FUTURES FUND LIMITED PARTNERSHIP
STATEMENTS OF FINANCIAL CONDITION
<CAPTION>
March 31, December 31,
1996 1995
$ $
(Unaudited)
ASSETS
<S> <C> <C>
Equity in Commodity futures trading accounts:
Cash 160,205,259 186,577,817
Net unrealized gain on open contracts 8,902,317 7,961,783
Total Trading Equity 169,107,576 194,539,600
Interest receivable (DWR) 550,953 694,646
Due from DWR 179,438 257,457
Total Assets 169,837,967 195,491,703
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable 1,695,046 76,096
Accrued management fee (DWFCM) 422,697 464,750
Accrued brokerage commissions (DWR) 219,515 628,375
Administrative expenses payable 82,565 97,122
Accrued transaction fees and costs 22,599 61,596
Total Liabilities 2,442,422 1,327,939
Partners' Capital
Limited Partners (201,103.982 and
205,070.252 Units, respectively) 165,519,569 192,029,423
General Partner (2,279.285 Units) 1,875,976 2,134,341
Total Partners' Capital 167,395,545 194,163,764
Total Liabilities and Partners' Capital 169,837,967 195,491,703
NET ASSET VALUE PER UNIT 823.05 936.41
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
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<TABLE>
DEAN WITTER DIVERSIFIED FUTURES FUND LIMITED PARTNERSHIP
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Quarters Ended March 31,
1996 1995
$ $
<S> <C> <C>
REVENUES
Trading profit (loss):
Realized (20,272,787) 132,173
Net change in unrealized 940,534 170,319
Total Trading Results (19,332,253) 302,492
Interest Income (DWR) 1,804,781 32,904
Total Revenues (17,527,472) 335,396
EXPENSES
Brokerage commissions (DWR) 4,198,057 73,682
Management fee (DWFCM) 1,392,828 21,433
Transaction fees and costs 328,202 5,583
Administrative expenses 31,000 4,000
Incentive fees (DWFCM) - 27,484
Total Expenses 5,950,087 132,182
NET INCOME (LOSS) (23,477,559) 203,214
NET INCOME (LOSS) ALLOCATION
Limited Partners (23,219,194) 197,789
General Partner (258,365) 5,425
NET INCOME (LOSS) PER UNIT
Limited Partners (113.36) 68.43
General Partner (113.36) 68.43
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER DIVERSIFIED FUTURES FUND LIMITED PARTNERSHIP
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
For the Quarters Ended March 31, 1996 and 1995
(Unaudited)
<CAPTION>
Units of
Partnership Limited General
Interest Partners Partner Total
<S> <C> <C> <C> <C>
Partners' Capital
December 31, 1994 2,969.768 $2,836,167 $77,795 $2,913,962
Net Income - 197,789 5,425 203,214
Redemptions (79.285) (83,220) - (83,220)
Partners' Capital
March 31, 1995 2,890.483 $2,950,736 $83,220 $3,033,956
Partners' Capital
December 31, 1995 207,349.537 $192,029,423 $2,134,341 $194,163,764
Net Loss - (23,219,194) (258,365) (23,477,559)
Redemptions (3,966.270) (3,290,660) - (3,290,660)
Partners' Capital
March 31, 1996 203,383.267 $165,519,569 $1,875,976 $167,395,545
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER DIVERSIFIED FUTURES FUND LIMITED PARTNERSHIP
STATEMENTS OF CASH FLOWS
(Unaudited)
<CAPTION>
For the Quarters Ended March 31,
1996 1995
$ $
CASH FLOWS FROM OPERATING ACTIVITIES
<S> <C> <C>
Net income (loss) (23,477,559) 203,214
Noncash item included in net loss:
Net change in unrealized (940,534) (170,319)
Decrease in operating assets:
Interest receivable (DWR) 143,693 4,640
Due from DWR 78,019 1,986
Increase (decrease) in operating liabilities:
Accrued management fee (DWFCM) (42,053) 578
Accrued brokerage commissions (DWR) (408,860) (171)
Accrued administrative fee (14,557) (14,306)
Accrued transaction fees and costs (38,997) 411
Accrued incentive fee (DWFCM) - 27,484
Net cash provided by (used for) operating activities (24,700,848) 53,517
CASH FLOWS FROM FINANCING ACTIVITIES
Increase in redemptions payable 1,618,950 83,220
Redemptions of units (3,290,660) (83,220)
Net cash used for financing activities (1,671,710) -
Net increase (decrease) in cash (26,372,558) 53,517
Balance at beginning of period 186,577,817 2,521,366
Balance at end of period 160,205,259 2,574,883
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
DEAN WITTER DIVERSIFIED FUTURES FUND LIMITED PARTNERSHIP
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 Diversified Futures Fund Limited Partnership (the
"Partnership") was organized to engage in the speculative trading
of commodity futures and futures related contracts, including
forward contracts on foreign currencies.
The General Partner for the Partnership is Demeter Management
Corporation (the "General Partner"). The commodity broker is Dean
Witter Reynolds Inc. ("DWR"). The trading manager is Dean Witter
Futures & Currency Management, Inc. ("DWFCM"). The General
Partner, DWR, and DWFCM are all wholly owned subsidiaries of Dean
Witter, Discover & Co.
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.
Management and incentive fees incurred by the Partnership are paid
to DWFCM.
<PAGE>
DEAN WITTER DIVERSIFIED FUTURES FUND LIMITED PARTNERSHIP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
3. Offering of Units
The Partnership initially commenced operation in April 1988 as a
private placement. The General Partner registered additional units
of Limited Partnership interest with the Securities and Exchange
Commission for a public offering held in August 1995. Units were
offered at $1,000 per Unit for issuance at the First Closing which
was held on September 1, 1995 and resulted in an additional
$205,135,863 investment to the Partnership.
At the close of business on August 31, 1995, the General Partner
issued to each existing Partner additional Units in such amounts as
necessary so that the Net Asset Value of all outstanding Units on
the date of the First Closing was equal to $1,000.00 per Unit.
Unit amounts for periods prior to August 31, 1995 have been
adjusted to reflect this change.
4. Financial Instruments
The Partnership trades futures and forward contracts 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.
<PAGE>
DEAN WITTER DIVERSIFIED FUTURES FUND LIMITED PARTNERSHIP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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 March 31, 1996, open contracts were:
Contract or
Notional Amount
$
Exchange-Traded Contracts
Financial Futures:
Commitments to Purchase 3,668,000
Commitments to Sell 346,804,000
Commodity Futures:
Commitments to Purchase 114,769,000
Commitments to Sell 3,933,000
Foreign Futures:
Commitments to Purchase 13,135,000
Commitments to Sell 160,045,000
Off-Exchange-Traded Forward
Currency Contracts
Commitments to Purchase 304,583,000
Commitments to Sell 224,548,000
A portion of the amounts indicated as off-balance sheet risk in
forward foreign 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 DIVERSIFIED FUTURES FUND LIMITED PARTNERSHIP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
The 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 $8,902,317 at March 31, 1996. Of
this amount, $7,478,296 related to exchange-traded futures
contracts and $1,424,021 related to off-exchange-traded forward
currency contracts.
Exchange-traded futures contracts held by the Partnership at March
31, 1996 mature through September 1996. Off-exchange traded
forward currency contracts held at March 31, 1996 mature through
May 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 non-performance. 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 the sole counterparty,
with respect to most of the Partnership's assets, is DWR.
Exchange-traded futures 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
<PAGE>
DEAN WITTER DIVERSIFIED FUTURES FUND LIMITED PARTNERSHIP
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
exchange-traded futures contracts, is required pursuant to
regulations of the Commodity Futures Trading Commission 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 contracts including an amount equal to the net
unrealized gains on all open futures contracts, which funds totaled
$167,683,555 at March 31, 1996. 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 quarter ended March 31, 1996 the average fair value of
financial instruments held for trading purposes was as follows:
Assets Liabilities
$ $
Exchange-Traded Contracts:
Financial Futures 363,188,000 243,018,000
Commodity Futures 203,608,000 37,219,000
Foreign Futures 270,992,000 107,909,000
Off-Exchange-Traded Forward
Currency Contracts 510,466,000 659,159,000
<PAGE>
Item 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION
AND RESULTS OF OPERATIONS
Liquidity - The Partnership's assets are on deposit in separate
commodity interest trading accounts with DWR, and are used by the
Partnership as margin to engage in commodity futures, forward
contracts 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 for 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 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 in the future will impact the amount of funds available for
investments in commodity futures, forward contracts on foreign
currencies 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 Ended March 31, 1996
For the quarter ended March 31, 1996, the Partnership's total
trading losses net of interest income were $17,527,472. During the
first quarter, the Partnership posted a loss in Net Asset Value per
Unit. The most significant trading losses during the quarter were
recorded in the currency and energy markets during February. In
the currency markets, a sudden and sharp trend reversal in the
downward move in the value of the Japanese yen and most major
European currencies, which had posted gains during January,
resulted in losses from short positions in the Japanese yen, German
<PAGE>
mark, Swiss franc and British pound. Trading gains recorded during
March from transactions involving the Australian dollar and
Japanese yen offset a portion of the overall losses experienced in
the currency markets during February. Additional losses were
experienced in the energy markets due primarily to short-term
volatile movement in gas and oil prices during February. A portion
of these losses was offset by gains in crude oil during March. In
the financial futures markets, losses were recorded in most global
interest rate and stock index futures as these prices moved in a
short-term volatile pattern during the quarter. Trading gains in
British long gilt, French bond and U.S. Treasury note futures
offset a portion of these losses. Smaller losses were recorded in
the agricultural markets from trading soybean futures and in the
soft commodities markets from trading cotton and coffee futures.
Total expenses for the quarter were $5,950,087 resulting in a net
loss of $23,477,559. The value of an individual Unit in the
Partnership decreased from $936.41 at December 31, 1995 to $823.05
at March 31, 1996.
For the Quarter Ended March 31, 1995
For the quarter ended March 31, 1995, the Partnership's total
trading revenues including interest income were $335,396. During
the first quarter, the Partnership posted an increase in Net Asset
Value per Unit. The most significant trading gains were recorded
during February and March in the currency markets as a result of a
decrease in value of the U.S. dollar versus the Japanese yen and
major European currencies such as the Swiss franc, German mark and
French franc. Additional gains were recorded in the financial
<PAGE>
futures markets as a result of trading Japanese and U.S. interest
rate futures and global stock index futures. Smaller trading
losses in the agricultural, metals, energy and international
markets offset a portion overall gains for the quarter. Total
expenses for the period were $132,182, generating net income of
$203,214. The value of an individual Unit in the Partnership
increased from $981.21 at December 31, 1994 to $1,049.64 at March
31, 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 Diversified Futures
Fund L.P. (Registrant)
By: Demeter Management Corporation
(General Partner)
May 15, 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 Diversified Futures Fund Limited Partnership and is qualified in
its entirety by reference to such financial instruments.
</LEGEND>
<S> <C>
<PERIOD-TYPE> 3-MOS
<FISCAL-YEAR-END> MAR-31-1996
<PERIOD-END> MAR-31-1996
<CASH> 160,205,259
<SECURITIES> 0
<RECEIVABLES> 201,555
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 169,837,967<F1>
<CURRENT-LIABILITIES> 0
<BONDS> 0
<COMMON> 0
0
0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 169,837,967<F2>
<SALES> 0
<TOTAL-REVENUES> (17,527,472)<F3>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 5,950,087
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 23,477,559
<INCOME-TAX> 0
<INCOME-CONTINUING> 23,477,559
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 23,477,559
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
<FN>
<F1>In addition to cash and receivables, total assets include net unrealized
gain on open contracts of $8,902,317.
<F2>Liabilities include redemptions payable of $1,695,046, accrued brokerage
commissions of $219,515, accrued management fees of $422,697 and
administrative expenses payable of $82,565 and accrued transaction fees
and costs of $22,599.
<F3>Total revenues includes realized trading revenue of $(20,272,787), net
change in unrealized of $940,534 and interest income of $1,804,781.
</FN>
</TABLE>
