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 quarterly period ended June 30, 1998 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. 0-23577
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 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 DIVERSIFIED FUTURES FUND LIMITED PARTNERSHIP
INDEX TO QUARTERLY REPORT ON FORM 10-Q
June 30, 1998
<CAPTION>
PART I. FINANCIAL INFORMATION
<S> <C>
Item 1. Financial Statements
Statements of Financial Condition June 30, 1998
(Unaudited) and December 31, 1997.....................2
Statements of Operations for the Quarters Ended
June 30, 1998 and 1997 (Unaudited)....................3
Statements of Operations for the Six Months Ended
June 30, 1998 and 1997 (Unaudited)....................4
Statements of Changes in Partners' Capital for the
Six Months ended June 30, 1998 and 1997
(Unaudited)...........................................5
Statements of Cash Flows for the Six Months Ended
June 30, 1998 and 1997 (Unaudited)....................6
Notes to Financial Statements (Unaudited)..........7-11
Item 2. Management's Discussion and Analysis of
Financial Condition and Results of Operations..12-18
Part II. OTHER INFORMATION
Item 1. Legal Proceedings.................................19
Item 6. Exhibits and Reports on Form 8-K..................20
</TABLE>
<PAGE>
<TABLE>
PART I. FINANCIAL INFORMATION
ITEM 1. Financial Statements
DEAN WITTER DIVERSIFIED FUTURES FUND LIMITED PARTNERSHIP
STATEMENTS OF FINANCIAL CONDITION
<CAPTION>
June 30, December 31,
1998 1997
$ $
(Unaudited)
ASSETS
<S> <C> <C>
Equity in Commodity futures trading accounts:
Cash 116,974,546 127,701,224
Net unrealized gain on open contracts 10,243,143 20,684,288
Total Trading Equity 127,217,689 148,385,512
Interest receivable (DWR) 432,206 497,966
Due from DWR 181,532 89,180
Total Assets 127,831,427 148,972,658
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable 2,025,758 2,976,998
Accrued management fees (DWFCM) 317,950 352,057
Administrative expenses payable 138,394 91,980
Total Liabilities 2,482,102 3,421,035
Partners' Capital
Limited Partners (125,651.236 and
140,342.310 Units, respectively)123,116,028 143,225,512
General Partner (2,279.285 Units) 2,233,297 2,326,111
Total Partners' Capital 125,349,325 145,551,623
Total Liabilities and Partners' Capital 127,831,427 148,972,658
NET ASSET VALUE PER UNIT 979.82 1,020.54
<FN>
The accompanying notes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER DIVERSIFIED FUTURES FUND LIMITED PARTNERSHIP
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Quarters Ended June 30,
1998 1997
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized (11,530,366) (4,911,492)
Net change in unrealized 14,927,865 (3,198,864)
Total Trading Results 3,397,499 (8,110,356)
Interest Income (DWR) 1,306,397 1,679,013
Total Revenues 4,703,896 (6,431,343)
EXPENSES
Brokerage commissions (DWR) 2,080,277 2,863,537
Management fees (DWFCM) 953,202 1,184,231
Transaction fees and costs 183,796 226,971
Administrative expenses 39,000 50,000
Total Expenses 3,256,275 4,324,739
NET INCOME (LOSS) 1,447,621 (10,756,082)
NET INCOME (LOSS) ALLOCATION
Limited Partners 1,419,917 (10,610,890)
General Partner 27,704 (145,192)
NET INCOME (LOSS) PER UNIT
Limited Partners 12.15 (63.70)
General Partner 12.15 (63.70)
<FN>
The accompanying notes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER DIVERSIFIED FUTURES FUND LIMITED PARTNERSHIP
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Six Months Ended June 30,
1998 1997
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized 8,426,272 6,590,775
Net change in unrealized (10,441,145) 282,730
Total Trading Results (2,014,873) 6,873,505
Interest Income (DWR) 2,735,113 3,403,259
Total Revenues 720,240 10,276,764
EXPENSES
Brokerage commissions (DWR) 4,273,530 5,913,874
Management fees (DWFCM) 2,015,078 2,460,288
Transaction fees and costs 347,244 475,763
Administrative expenses 70,000 93,000
Total Expenses 6,705,852 8,942,925
NET INCOME (LOSS) (5,985,612) 1,333,839
NET INCOME (LOSS) ALLOCATION
Limited Partners (5,892,798) 1,327,258
General Partner (92,814) 6,581
NET INCOME (LOSS) PER UNIT
Limited Partners (40.72) 2.89
General Partner (40.72) 2.89
<FN>
The accompanying notes 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 Six Months Ended June 30, 1998 and 1997
(Unaudited)
<CAPTION>
Units of
Partnership Limited General
Interest Partners Partner Total
<S> <C> <C> <C>
<C>
Partners' Capital
December 31, 1996 179,581.091 $161,609,600
$2,077,555 $163,687,155
Net Income - 1,327,258
6,581 1,333,839
Redemptions (20,429.934) (19,496,103)
- - (19,496,103)
Partners' Capital
June 30, 1997 159,151.157 $143,440,755
$2,084,136 $145,524,891
Partners' Capital
December 31, 1997 142,621.595 $143,225,512
$2,326,111 $145,551,623
Net Loss - (5,892,798)
(92,814) (5,985,612)
Redemptions (14,691.074) (14,216,686)
- - (14,216,686)
Partners' Capital
June 30, 1998 127,930.521 $123,116,028
$2,233,297 $125,349,325
<FN>
The accompanying notes 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 Six Months Ended June 30,
1998 1997
$ $
CASH FLOWS FROM OPERATING ACTIVITIES
<S> <C> <C>
Net income (loss) (5,985,612) 1,333,839
Noncash item included in net income (loss):
Net change in unrealized 10,441,145 (282,730)
(Increase) decrease in operating assets:
Interest receivable (DWR) 65,760 29,374
Due from DWR (92,352) (138,088)
Increase (decrease) in operating liabilities:
Accrued management fee (DWFCM) (34,107) (73,871)
Administrative expenses payable 46,414 12,360
Accrued brokerage commissions (DWR)- 305,645
Accrued transaction fees and costs - (530)
Net cash provided by operating activities 4,441,248 1,185,999
CASH FLOWS FROM FINANCING ACTIVITIES
Increase (decrease) in redemptions payable(951,240) 2,456,856
Redemptions of units (14,216,686) (19,496,103)
Net cash used for financing activities (15,167,926) (17,039,247)
Net decrease in cash (10,726,678) (15,853,248)
Balance at beginning of period 127,701,224 166,737,088
Balance at end of period 116,974,546 150,883,840
<FN>
The accompanying notes 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 of Dean Witter Diversified Futures
Fund L.P. (the "Partnership"). The financial statements and condensed
notes herein should be read in conjunction with the Partnership's
December 31, 1997 Annual Report on Form 10-K.
1. Organization
Dean Witter Diversified Futures Fund Limited Partnership is a limited
partnership organized to engage in the speculative trading of
commodity futures contracts and futures related contracts, including
forward contracts on foreign currencies (collectively, "futures
interests"). The general partner is Demeter Management Corporation
("Demeter"). The non-clearing commodity broker is Dean Witter
Reynolds Inc. ("DWR"), with an unaffiliated clearing commodity broker,
Carr Futures Inc. ("Carr"), providing clearing and execution services.
The trading manager who makes all trading decisions for the
Partnership is Dean Witter Futures & Currency Management, Inc.
("DWFCM"), an affiliate of DWR. Demeter, DWR and DWFCM are wholly-
owned subsidiaries of Morgan Stanley Dean Witter & Co. ("MSDW").
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.
<PAGE>
DEAN WITTER DIVERSIFIED FUTURES FUND LIMITED PARTNERSHIP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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.
3. Financial Instruments
The Partnership trades futures and forward contracts in interest
rates, stock indices, commodities and 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, 1998 and December 31,
1997, open contracts were:
Contract or Notional Amount
June 30, 1998 December 31, 1997
$ $
Exchange-Traded-Contracts
Financial Futures:
Commitments to Purchase 106,076,000 44,959,000
Commitments to Sell 16,820,000 -
Commodity Futures:
Commitments to Purchase 9,958,000 6,287,000
Commitments to Sell 42,315,000 94,480,000
Foreign Futures:
Commitments to Purchase 300,258,000 305,847,000
Commitments to Sell 398,324,000 68,688,000
Off-Exchange-Traded
Forward Currency Contracts
Commitments to Purchase 648,042,000 282,748,000
Commitments to Sell 855,801,000 546,818,000
A portion of the amounts indicated as off-balance-sheet risk in
forward currency contracts is due to offsetting forward same
<PAGE>
DEAN WITTER DIVERSIFIED FUTURES FUND LIMITED PARTNERSHIP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
commitments to purchase and to sell the same currency on the 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 $10,243,143 and $20,684,288 at June
30, 1998 and December 31, 1997, respectively.
Of the $10,243,143 net unrealized gain on open contracts at June 30,
1998, $872,415 related to exchange-traded futures contracts and
$9,370,728 related to off-exchange-traded forward currency contracts.
Of the $20,684,288 net unrealized gain on open contracts at December
31, 1997, $7,311,878 related to exchange-traded futures contracts and
$13,372,410 related to off-exchange-traded forward currency contracts.
Exchange-traded futures contracts held by the Partnership at June 30,
1998 and December 31, 1997 mature through December 1998 and June 1998,
respectively. Off-exchange-traded forward currency contracts held by
the Partnership at June 30, 1998 and December 31, 1997 mature through
October 1998 and April 1998, respectively.
<PAGE>
DEAN WITTER DIVERSIFIED FUTURES FUND LIMITED PARTNERSHIP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
The contract amounts in the above table represent the Partnership's
extent of involvement in a 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 DWR and Carr act as the
futures commission merchants or the counterparties, with respect to
most of the Partnership's assets. Exchange-traded futures contracts
are marked to market on a daily basis, with variations in value
settled on a daily basis. Each of DWR and Carr, as a futures
commission merchant for the Partnership's exchange-traded-futures
contracts, are required, pursuant to regulations of the Commodity
Futures Trading Commission ("CFTC"), to segregate from their own
assets, and for the sole benefit of their commodity customers, all
funds held by them with respect to exchange-traded futures contracts,
including an amount equal to the net unrealized gain on all open
futures contracts, which funds, in the aggregate, totaled $117,846,961
and $135,013,102 at June 30, 1998 and December 31, 1997, 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-
<PAGE>
DEAN WITTER DIVERSIFIED FUTURES FUND LIMITED PARTNERSHIP
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
exchange-traded forward currency contracts, the Partnership is at risk
to the ability of Carr, the sole counterparty on all such contracts,
to perform. Carr's parent, Credit Agricole Indosuez, has guaranteed
to the Partnership payment of the net liquidating value of the
transactions in the Partnership's account with Carr (including foreign
currency contracts).
For the six months ended June 30, 1998 and the year ended December 31,
1997, the average fair value of financial instruments held for trading
purposes was as follows:
June 30, 1998
Assets Liabilities
$ $
Exchange-Traded Contracts:
Financial Futures 56,504,000 50,355,000
Commodity Futures 6,378,000 57,892,000
Foreign Futures 234,393,000 153,761,000
Off-Exchange-Traded Forward
Currency Contracts 505,054,000 615,361,000
December 31, 1997
Assets Liabilities
$ $
Exchange-Traded Contracts:
Financial Futures 45,777,000 157,169,000
Commodity Futures 62,602,000 74,762,000
Foreign Futures 185,126,000 107,251,000
Off-Exchange-Traded Forward
Currency Contracts 320,498,000 431,962,000
<PAGE>
Item 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS
Liquidity - The Partnership's assets are deposited with DWR, as non-
clearing broker and with Carr, as clearing broker in separate futures
interest trading accounts, and are used by the Partnership as margin
to engage in futures interest trading. Such assets are held in either
non-interest bearing bank accounts 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 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 interests may be illiquid. If
the price of a 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 and result in restrictions on redemptions.
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
<PAGE>
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 exchanges of Units of
Limited Partnership Interest in the future will affect the amount of
funds available for investment in futures interests in subsequent
periods. Since they are at the discretion of the Limited Partners, it
is not possible to estimate the amount, and therefore, the impact of
future redemptions and exchanges.
Results of Operations
For the Quarter and Six Months Ended June 30, 1998
For the quarter ended June 30, 1998, the Partnership recorded total
trading revenues including interest income of $4,703,896 and posted an
increase in Net Asset Value per Unit. The most significant gains were
recorded in the currency markets during May from short Japanese yen
positions as the value of the yen reached its lowest level relative to
the U.S. dollar since 1991. Additional gains were recorded during June
from short South African rand positions as its value also trended
lower versus the U.S. dollar despite intervention by the South African
government. Currency gains were also recorded from trading the Swedish
krona
and Australian dollar throughout the quarter. In soft com-modities,
gains were recorded from short coffee futures positions
<PAGE>
as prices moved lower during April and June. Smaller gains were
recorded during the second quarter in the agricultural and metals
markets from short positions in corn, wheat and aluminum futures. A
portion of these gains was offset by losses in the financial futures
markets during April and June. In April, losses were recorded from
long global bond futures positions as Australian, Japanese and
European interest rate futures prices reversed lower after trending
higher previously. The previous trend higher in global interest rate
futures prices re-emerged during May. However, additional losses were
recorded during June as this upward move reversed sharply lower during
mid-month in reaction to the Federal Reserve's intervention to halt
the downward slide of the Japanese yen. Additional losses were
recorded from trading global stock index futures during April and
June. Smaller losses were recorded in the energy markets from short
natural gas futures positions as prices reversed higher during June
after trending lower previously. Total expenses for the three months
ended June 30, 1998 were $3,256,275, resulting in net income of
$1,447,621. The value of an individual Unit in the Partnership
increased from $967.67 at March 31, 1998 to $979.82 at June 30, 1998.
For the six months ended June 30, 1998, the Partnership recorded total
trading revenues including interest income of $720,240 and after
expenses posted a decrease in Net Asset Value per Unit. The most
significant net trading losses were recorded in the metals markets
during the first quarter from long silver futures
<PAGE>
positions as silver prices reversed lower in February after rallying
higher during January. Additional losses were recorded from trading
gold futures during much of the first half of the year. Smaller
losses were recorded from trading base metals futures during March and
May. In financial futures, losses recorded during the second quarter
from short Nikkei Index futures positions, as well as from long
Australian bond futures positions more than offset profits recorded
during the first quarter from long European bond futures positions.
In currency trading, significant losses recorded during the first
quarter due primarily to short-term volatility in the value of the
Japanese yen were offset during the second quarter by gains from short
Japanese yen positions as its value moved dramatically lower during
May. Additional currency gains recorded in the second quarter from
trading the Swedish krona and South African Rand offset losses
recorded in European currencies during the first six months of the
year. Additionally, trendless movement in soybean futures prices
during January and March resulted in smaller losses for the
Partnership. A portion of the Partnership's overall losses for the
first half of the year was offset by gains in soft commodities
recorded from short sugar futures positions as prices trended lower
during January and February and from short coffee futures positions as
prices trended lower during April and June. Total expenses for the
six months ended June 30, 1998 were $6,705,852, resulting in a net
loss of $5,985,612. The value of an individual Unit in the
Partnership decreased from $1,020.54 at December 31, 1997 to $979.82
at June 30, 1998.
<PAGE>
For the Quarter and Six Months Ended June 30, 1997
For the quarter ended June 30, 1997 the Partnership posted total
trading losses net of interest income of $6,431,343 and posted a
decrease in Net Asset Value per Unit. Losses were recorded in the
financial futures markets during April from short positions in U.S.
interest rate futures as prices moved higher late in the month. This
upward price move resulted in the Partnership establishing new long
positions, which recorded additional losses in May as prices finished
the month lower. Smaller losses were recorded as a result of similar
choppy price movement in European interest rate futures during April
and May. A portion of these losses was offset in June from long
global interest rate and stock index futures positions as prices in
these markets moved higher. Trading losses were also recorded in the
energy and metals markets as oil and gas prices, as well as base
metals prices, moved in a choppy pattern throughout a majority of the
quarter. Smaller losses were recorded in the currency markets as
gains experienced from a strengthening in the value of the U.S. dollar
versus the Japanese yen during April were more than offset by losses
recorded from transactions involving the Swiss franc during June and
from transactions involving the Canadian dollar and British pound
during May. A portion of the Partnership's overall losses for the
quarter was offset by gains experienced from long coffee futures
positions as coffee prices trended higher during April and May. Gains
recorded from short soybean and corn futures positions, as prices in
these markets moved lower during June, also helped to mitigate losses
during the quarter. Total expenses for the three months ended June
30, 1997 were $4,324,739, resulting in a net
<PAGE>
loss of $10,756,082. The value of an individual Unit in the
Partnership decreased from $978.08 at March 31, 1997 to $914.38 at
June 30, 1997.
For the six months ended June 30, 1997 the Partnership recorded total
trading revenues including interest income of $10,276,764 and posted
an increase in Net Asset Value per Unit. The most significant trading
gains were recorded in the currency markets as a result of a
strengthening in the value of the U.S. dollar during the period
January through April. A portion of these gains was offset by losses
from transactions involving the British pound and Canadian dollar
during February, March and May. Gains were also recorded in soft
commodities from long coffee futures positions as coffee prices
trended steadily higher during January and February and again during
April and May. Trading gains were also recorded in the agricultural
markets from trading soybean and corn futures. A majority of the
Partnership's overall gains for the first half of the year were offset
by losses in global interest rate futures as prices in these markets
moved in a short-term volatile range during the period January to
April. Losses were also recorded from trading energy futures during
the second quarter as oil and gas prices moved without consistent
direction. Smaller losses were recorded in metals as gains recorded
from short gold futures positions during January were more than offset
by losses in base metals futures trading during the second quarter.
Total expenses for the six months ended June 30, 1997 were $8,942,925,
resulting in net income of $1,333,839. The value of an individual
Unit in
<PAGE>
the Partnership increased from $911.49 at December 31, 1996 to $914.38
at June 30, 1997.
<PAGE>
PART II. OTHER INFORMATION
Item 1. LEGAL PROCEEDINGS
Previously reported. See Form 10-Q for the quarter ended March
31, 1998.
<PAGE>
Item 6. Exhibits and Reports on Form 8-K
Reports on Form 8-K. - No such reports have been
filed for the quarter ended June 30, 1998.
<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 Limited Partnership (Registrant)
By: Demeter Management Corporation
(General Partner)
August 12, 1998 By: /s/ Lewis A. Raibley, III
Lewis A. Raibley, III
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 Diversified Futures Fund Limited Partnership and is qualified in
its entirety by reference to such financial statements.
</LEGEND>
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1998
<PERIOD-END> JUN-30-1998
<CASH> 116,974,546
<SECURITIES> 0
<RECEIVABLES> 613,738<F1>
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 127,831,427<F2>
<CURRENT-LIABILITIES> 0
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 127,831,427<F3>
<SALES> 0
<TOTAL-REVENUES> 720,240<F4>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 6,705,852
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> (5,985,612)
<INCOME-TAX> 0
<INCOME-CONTINUING> (5,985,612)
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (5,985,612)
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
<FN>
<F1>Receivables include interest receivable of $432,206 and due from DWR
of $181,532.
<F2>In addition to cash and receivables, total assets include net unrealized
gain on open contracts of $10,243,143.
<F3>Liabilities include redemptions payable of $2,025,758, accrued
management fee of $317,950, and administrative expenses payable
of $138,394.
<F4>Total revenue includes realized trading revenue of $8,426,272, net
change in unrealized of $(10,441,145) and interest income of $2,735,113.
</FN>
</TABLE>
