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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-K
[X] Annual report pursuant to Section 13 or 15 (d) of the Securities
Exchange Act of 1934 [Fee Required]
For the fiscal year ended December 31, 1995 or
[ ] Transition report pursuant to Section 13 or 15 (d) of the Securities
Exchange Act of 1934 [No Fee Required]
For the transition period from _______________to ______________________
Commission File Number 0-12431
COLUMBIA FUTURES FUND
(Exact name of registrant as specified in its Limited Partnership Agreement)
NEW YORK 13-3103617
(State or other jurisdiction of (I.R.S. Employer
incorporation of organization Identification No.)
c/o Demeter Management Corp.
Two World Trade Center, New York, N.Y. - 62nd Flr. 10048
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (212) 392-5454
Securities registered pursuant to Section 12(b) of the Act:
Name of each exchange
Title of each class on which registered
None None
Securities registered pursuant to Section 12(g) of the Act:
Units of Limited Partnership Interest
(Title of Class)
(Title of Class)
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
Indicate by check mark if disclosure of delinquent filers pursuant to
Item 405 of Regulation S-K (section 229.405 of this chapter) is not
contained herein, and will not be contained, to the best of registrant's
knowledge, in definitive proxy or information statements incorporated by
reference in Part III of this Form 10-K or any amendment of
this Form 10K. [ X ]
State the aggregate market value of the Units of Limited Partnership
Interest held by non-affiliates of the registrant. The aggregate market
value shall be computed by reference to the price at which units were
sold, or the average bid and asked prices of such units, as of a
specified date within 60 days prior to the date of filing:
$7,660,626.22 at January 31, 1996.
DOCUMENTS INCORPORATED BY REFERENCE
(See Page 1)
COLUMBIA FUTURES FUND
INDEX TO ANNUAL REPORT ON FORM 10-K
DECEMBER 31, 1995
Page No.
DOCUMENTS INCORPORATED BY REFERENCE. . . . . . . . . . . . . . . . . 1
Part I .
Item 1. Business. . . . . . . . . . . . . . . . . . . . . . . . 2
Item 2. Properties. . . . . . . . . . . . . . . . . . . . . . . 2
Item 3. Legal Proceedings. . . . . . . . . . . . . . . . . . . . 3
Item 4. Submission of Matters to a Vote of Security Holders . . 3
Part II.
Item 5. Market for the Registrant's Partnership Units and
Related Security Holder Matters . . . . . . . . . . . . 4
Item 6. Selected Financial Data . . . . . . . . . . . . . . . . 5
Item 7. Management's Discussion and Analysis of Financial
Condition and Results of Operations. . . . . . . . . 6-10
Item 8. Financial Statements and Supplementary Data. . . . . . 10
Item 9. Changes in and Disagreements with Accountants on
Accounting and Financial Disclosure. . . . . . . . . . 10
Part III.
Item 10. Directors, Executive Officers, Promoters and
Control Persons of the Registrant . . . . . . . . . .11-14
Item 11. Executive Compensation . . . . . . . . . . . . . . . . 14
Item 12. Security Ownership of Certain Beneficial Owners
and Management . . . . . . . . . . . . . . . . . . . . 14
Item 13. Certain Relationships and Related Transactions . . . . 15
Part IV.
Item 14. Exhibits, Financial Statement Schedules, and
Reports on Form 8-K . . . . . . . . . . . . . . . . . . 16
DOCUMENTS INCORPORATED BY REFERENCE
Portions of the following documents are incorporated by reference as
follows:
Documents Incorporated Part of Form 10-K
Partnership's Annual Report on Form IV
10-K for the fiscal year ended
December 31, 1985, File No. 0-12431
Partnership's Annual Report on Form IV
10-K for the fiscal year ended
December 31, 1986, File No. 0-12431
December 31, 1995 Annual Report for II & IV
the Columbia Futures Fund
PART I
Item 1. BUSINESS
(a) General Development of Business. Columbia Futures Fund (the
"Partnership") is a New York limited partnership formed on December 24,
1981, to engage in the speculative trading of commodity futures contracts
and other commodity interests. The Partnership commenced trading on July
15, 1983.
The Partnership's net asset value per unit, as of December 31,
1995, was $1,938.89, representing an increase of 28.21 percent from the
net asset value per unit of $1,512.26 at December 31, 1994.
(b) Financial Information about Industry Segments. The
Partnership's business comprises only one segment for financial reporting
purposes, speculative trading of commodity futures contracts and other
commodity interests. The relevant financial information is presented in
Items 6 and 8.
(c) Narrative Description of Business. The Partnership was formed
to engage in speculative trading of futures contracts on domestic
exchanges (including futures contracts in foreign currencies and financial
instruments).
(d) Financial Information About Foreign and Domestic Operations and
Export Sales. The Partnership has not engaged in any operations in
foreign countries; however, the Partnership (through the commodity
broker) enters into forward contract transactions where foreign banks are
the contracting party and futures contracts on foreign exchanges.
Item 2. PROPERTIES
The executive and administrative offices are located within the
offices of Dean Witter Reynolds Inc. ("DWR"). The DWR offices utilized by
the Partnership are located at Two World Trade Center, 62nd Floor, New
York, NY 10048.
Item 3. LEGAL PROCEEDINGS
The general partner, Demeter Management Corporation ("Demeter"), is
not aware of any material pending legal proceedings to which the
Partnership is a party or to which any of its assets are subject.
Item 4. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
None.
PART II
Item 5. MARKET FOR THE REGISTRANT'S PARTNERSHIP UNITS AND RELATED
SECURITY HOLDER MATTERS
There is no established public trading market for the Units of
Limited Partnership Interest in the Partnership. The number of holders of
Units at December 31, 1995 was approximately 778. No distributions have
been made by the Partnership since it commenced trading operations on July
15, 1983. Demeter has sole discretion to decide what distributions, if
any, shall be made to investors in the Partnership. No determination has
yet been made as to future distributions.
Item 6. SELECTED FINANCIAL DATA (in dollars)
For the Years Ended December 31,
1995 1994 1993 1992 1991
Total Revenues
(including interest) 2,756,685 482,814 1,994,437 970,393 2,031,577
Net Income (Loss) 1,815,259 (404,752) 1,024,820 12,961 808,010
Net Income (Loss)
Per Unit (Limited
& General Partners) 426.63 (92.18) 201.43 27.72 144,05
Total Assets 7,892,138 6,694,540 7,970,769 7,691,748 8,775,182
Total Limited Partners'
Capital 7,493,781 6,428,721 7,479,264 7,187,699 8,236,762
Net Asset Value Per
Unit of Limited
Partnership Interest 1,938.89 1,512.26 1,604.44 1,403.01 1,375.29
Item 7. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND
RESULTS OF OPERATIONS
Liquidity. The Partnership's assets are deposited in separate
commodity trading accounts with DWR, the commodity broker, and are used by
the Partnership as margin to engage in commodity futures contract trading.
DWR holds such assets in either designated depositories or in securities
approved by the Commodity Futures Trading Commission ("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 commodity futures contracts 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 contracts and
other commodity interests may be illiquid. If the price for 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.
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.
Market Risk. The Partnership trades futures, options and forward
contracts in interest rates, stock indices, commodities and currencies.
In entering into these contracts there exists a risk to the Partnership
(market risk) that such contracts may be significantly influenced by
market conditions, such as interest rate volatility, resulting in such
contracts being less valuable. If the markets should move against all of
the commodity interest positions held by the Partnership at the same time,
and if the Trading Advisor was unable to offset commodity interest
positions of the Partnership, the Partnership could lose all of its
assets. The Partnership has established Trading Policies for liquidity
and leverage which help control market risk. Both the Trading Advisor and
Demeter monitor the Partnership's trading activities on a daily basis to
ensure compliance with the Trading Policies. Demeter may (under terms of
the Management Agreement) override the trading instructions of the Trading
Advisor to the extent necessary to comply with the Partnership's Trading
Policies.
Credit Risk. In addition to market risk, the Partnership is subject
to credit risk in that a counterparty may not be able to meet its
obligations to the Partnership. The counterparty of the Partnership for
futures contracts traded in the United States and most foreign exchanges
on which the Partnership trades is the clearinghouse associated with such
exchange. In general, clearinghouses are backed by the membership of the
exchange and will act in the event of non-performance by one of its
members or one of its members' customers, and as such, should
significantly reduce this credit risk. In cases where the Partnership
trades on exchanges where the clearinghouse is not backed by the
membership or when the Partnership enters into off-exchange contracts with
a counterparty, the sole recourse of the Partnership will be the
clearinghouse or the counterparty as the case may be. With respect to
futures contracts, DWR, in its business as an international commodity
broker, constantly monitors the credit-worthiness of the exchanges and
clearing members of the foreign exchanges with which it does business for
clients, including the Partnership. If DWR believes that there was a
problem with the credit-worthiness of an exchange on which the Partnership
deals, it would so advise Demeter. With respect to forward contract
trading, the Partnership trades with only those counterparties which
Demeter, together with DWR, have determined to be creditworthy. As set
forth in the Partnership's Trading Policies, in determining credit-
worthiness, Demeter and DWR consult with the Corporate Credit Department
of DWR. Currently, the Partnership deals solely with DWR as its
counterparty on forward contracts. While DWR and Demeter monitor credit-
worthiness and risk involved in dealing on the various exchanges and with
counterparties, there can be no assurance that an exchange or counterparty
will be able to meet its obligations to the Partnership.
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 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. As of December 31, 1995, the Partnership's
total capital was $7,687,670, an increase of $1,107,723 from the
Partnership's total capital of $6,579,947 at December 31, 1994. For the
year ended December 31, 1995, the Partnership generated net income of
$1,815,259 and total redemptions aggregated $707,536.
For the year ended December 31, 1995, the Partnership's total
trading revenues including interest income were $2,756,685. The
Partnership's total expenses for the year were $941,426, resulting in net
income of $1,815,259. The value of an individual unit in the Partnership
increased from $1,512.26 at December 31, 1994 to $1,938.89 at December 31,
1995.
As of December 31, 1994, the Partnership's total capital was
$6,579,947, a decrease of $1,218,600 from the Partnership's total capital
of $7,798,547 at December 31, 1993. For the year ended December 31, 1994,
the Partnership generated a net loss of $404,752 and total redemptions
aggregated $813,848.
For the year ended December 31, 1994, the Partnership's total
trading revenues including interest income were $482,814. The
Partnership's total expenses for the year were $887,566, resulting in a
net loss of $404,752. The value of an individual unit in the Partnership
decreased from $1,604.44 at December 31, 1993 to $1,512.26 at December 31,
1994.
As of December 31, 1993, the Partnership's total capital was
$7,798,547, an increase of $331,648 from the Partnership's total capital
of $7,466,899 at December 31, 1992. For the year ended December 31, 1993,
the Partnership generated net income of $1,024,820 and total redemptions
aggregated $693,172.
For the year ended December 31, 1993, the Partnership's total
trading revenues including interest income were $1,994,437. The
Partnership's total expenses for the period were $969,617, resulting in
net income of $1,024,820. The value of an individual unit in the
Partnership increased from $1,403.01 at December 31, 1992 to $1,604.44 at
December 31, 1993.
The Partnership's overall performance record represents varied
results of trading in different commodity markets. For a further
description of trading results, refer to the letter to the Limited
Partners in the accompanying 1995 Annual Report to Partners, incorporated
by reference in this Form 10-K. The Partnership's gains and losses are
allocated among its Limited Partners for income tax purposes.
Item 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
The information required by this Item appears in the attached 1995
Annual Report to Partners and is incorporated by reference in this Annual
Report on Form 10-K.
Item 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON
ACCOUNTING AND FINANCIAL DISCLOSURE
None.
PART III
Item 10. DIRECTORS, EXECUTIVE OFFICERS, PROMOTERS AND CONTROL
PERSONS OF THE REGISTRANT
General Partner
Demeter, a Delaware corporation, was formed on August 18, 1977 to
act as a commodity pool operator and is registered with the CFTC as a
commodity pool operator and currently is a member of the National Futures
Association ("NFA") in such capacity. Demeter is wholly-owned by Dean
Witter, Discover & Co. ("DWD") and is an affiliate of DWR. DWD, DWR and
Demeter may each be deemed to be "promoters" and/or a "parent" of the
Partnership within the meaning of the federal securities laws.
Dean Witter Reynolds Inc.
DWR is a financial services company which provides to its
individual, corporate and institutional clients services as a broker in
securities and commodity interest contracts, a dealer in corporate,
municipal and government securities, an investment banker, an investment
adviser and an agent in the sale of life insurance and various other
products and services. DWR is a member firm of the New York Stock
Exchange, the American Stock Exchange, the Chicago Board Options Exchange,
and other major securities exchanges, and is a clearing member of the
Chicago Board of Trade, the Chicago Mercantile Exchange, the Commodity
Exchange Inc., and other major commodities exchanges.
DWR is registered with the CFTC as a futures commission merchant and
is a member of the NFA in such capacity. DWR is currently servicing its
clients through a network of 350 branch offices with approximately 8,500
account executives servicing individual and institutional client accounts.
Directors and Officers of the General Partner
The directors and officers of Demeter as of December 31, 1995 are as
follows:
Richard M. DeMartini, age 43, is the Chairman of the Board and a
Director of Demeter. Mr. DeMartini is also the Chairman of the Board and
a Director of Dean Witter Futures & Currency Management Inc. ("DWFCM"), a
registered commodity trading advisor. Mr. DeMartini has served as
President and Chief Operating Officer of Dean Witter Capital, a division
of DWR since January 1989. From January 1988 until January 1989, Mr.
DeMartini served as President and Chief Operating Officer of the Consumer
Banking Division of DWD, and from May 1985 until January 1988 was
President and Chief Executive Officer of the Consumer Markets Division of
DWD. Mr. DeMartini currently serves as a Director of DWD and DWR, and has
served as an officer of DWR for the past five years. Mr. DeMartini has
been with DWD and its affiliates for 18 years. While Mr. DeMartini has
extensive experience in the securities industry, he has no experience in
commodity interests trading.
Mark J. Hawley, age 52, is President and a Director of Demeter. Mr.
Hawley joined DWR in February 1989 as Senior Vice President and Director
of DWR's Managed Futures and Precious Metals Department. Mr. Hawley also
serves as President of DWFCM. From 1978 to 1989, Mr. Hawley was a member
of the senior management team at Heinold Asset Management, Inc., a
commodity pool operator, and was responsible for a variety of projects in
public futures funds. From 1972 to 1978, Mr. Hawley was a Vice President
in charge of institutional block trading for the Mid-West at Kuhn Loeb &
Co.
Lawrence Volpe, age 48, is a Director of Demeter and DWFCM. Mr.
Volpe joined DWR as a Senior Vice President and Controller in September
1983, and currently holds those positions. From July 1979 to September
1983, he was associated with E.F. Hutton & Company Inc. and prior to his
departure, held the positions of First Vice President and Assistant
Controller. From 1970 to July 1979, he was associated with Arthur
Anderson & Co. and prior to his departure he served as audit manager in
the financial services division.
Joseph G. Siniscalchi, age 50, is a Director of Demeter. Mr.
Siniscalchi joined DWR in July 1984 as a First Vice President, Director of
General Accounting. He is currently Senior Vice President and Controller
of the Financial Markets Division of DWR. From February 1980 to July
1984, Mr. Siniscalchi was Director of Internal Audit at Lehman Brothers
Kuhn Loeb, Inc.
Laurence E. Mollner, age 54, is a Director of Demeter. Mr. Mollner
joined DWR in May 1979 as Vice President and Director of Commercial Sales.
He is currently Executive Vice President and Deputy Director of the
Futures Markets Division of DWR.
Edward C. Oelsner III, age 53, is a Director of Demeter. Mr.
Oelsner joined DWR in March 1981 as a Managing Director in the Corporate
Finance Department. He currently manages DWR's Retail Products Group
within the Corporate Finance Department. While Mr. Oelsner has extensive
experience in the securities industry, he has no experience in commodity
interests trading.
Robert E. Murray, age 35, is a Director of Demeter. Mr. Murray is
currently a First Vice President of the DWR Managed Futures Division and
is a Director and the Senior Administrative Officer of DWFCM. Mr. Murray
graduated from Geneseo State University in May 1983 with a B.A. degree in
Finance. Mr. Murray began at DWR in 1984 and is currently the Director of
Product Development for the Managed Futures Division and is responsible
for the development and maintenance of the proprietary Fund Management
System utilized by Demeter and DWFCM for organizing information and
producing reports for monitoring investors' accounts.
Patti L. Behnke, age 35, is Vice President and Chief Financial
Officer of Demeter. Ms. Behnke joined DWR in 1991 as Assistant Vice
President of Financial Reporting and is currently First Vice President and
Director of Financial Reporting and Managed Futures Accounting in the
Capital Markets division of DWR. From August 1988 to September 1990, Ms.
Behnke was Assistant Controller of L.F. Rothschild & Co. and from
September 1986 to August 1988, she was associated with Carteret Savings
Bank as Assistant Vice President - Financial Analysis. From April 1982 to
September 1986, Ms. Behnke was an auditor at Arthur Andersen &
Co.
Item 11. EXECUTIVE COMPENSATION
The Partnership has no directors and executive officers. As a
limited partnership, the business of the Partnership is managed by Demeter
which is responsible for the administration of the business affairs of the
Partnership but receives no compensation for such services.
Item 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT
(a) Security Ownership of Certain Beneficial Owners - As of
December 31, 1995 there were no persons as beneficial owners of more than
5 percent of the Units of Limited Partnership Interest in the Partnership.
(b) Security Ownership of Management - At December 31, 1995,
Demeter owned 100 Units of General Partnership Interest in the Partnership
representing a 2.52 percent interest in the Partnership.
(c) Changes in Control - None
Item 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS
Refer to Note 2 - "Related Party Transactions" of "Notes to
Financial Statements", in the accompanying 1995 Annual Report to Partners,
incorporated by reference in this Form 10-K. In its capacity as the
Partnership's retail commodity broker, DWR received commodity brokerage
commissions (paid and accrued by the Partnership) of $361,179 for the year
ended December 31, 1995.
PART IV
Item 14. EXHIBITS, FINANCIAL STATEMENT SCHEDULES, AND REPORT ON FORM 8-K
(a) 1. Listing of Financial Statements
The following financial statements and reports of independent
accountants, all appearing in the accompanying 1995 Annual Report to
Partners, are incorporated by reference in this Form 10-K:
- Report of Deloitte & Touche LLP, independent auditors, for the
years ended December 31, 1995, 1994 and 1993.
- Statements of Financial Condition as of December 31, 1995 and
1994.
- Statements of Operations, Changes in Partners' Capital, and
Cash Flows for the years ended December 31, 1995, 1994 and
1993.
- Notes to Financial Statements.
With exception of the aforementioned information and the information
incorporated in Items 7, 8, and 13, the 1995 Annual Report to Partners is
not deemed to be filed with this report.
2. Listing of Financial Statement Schedules
No financial statement schedules are required to be filed with this
report.
(b) Reports on Form 8-K
No reports on Form 8-K have been filed by the Partnership during the
last quarter of the period covered by this report.
(c) Exhibits
Refer to Exhibit Index on Page E-1.
SIGNATURES
Pursuant to the requirement of Sections 13 or 15(d) 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.
COLUMBIA FUTURES FUND
(Registrant)
BY: Demeter Management Corporation,
General Partner
March 21, 1996 BY: /s/ Mark J. Hawley
Mark J. Hawley, Director and
President
Pursuant to the requirements of the Securities Exchange Act of 1934,
this report has been signed below by the following persons on behalf of the
registrant and in the capacities and on the dates indicated.
Demeter Management Corporation.
BY: /s/ Mark J. Hawley March 21, 1996
Mark J. Hawley, Director and
President
/s/ Richard M. DeMartini March 21, 1996
Richard M. DeMartini, Director
and Chairman of the Board
/s/ Lawrence Volpe March 21, 1996
Lawrence Volpe, Director
/s/ Laurence E. Mollner March 21, 1996
Laurence E. Mollner, Director
/s/ Joseph G. Siniscalchi March 21, 1996
Joseph G. Siniscalchi, Director
/s/ Edward C. Oelsner III March 21, 1996
Edward C. Oelsner III, Director
/s/ Robert E. Murray March 21, 1996
Robert E. Murray, Director
/s/ Patti L. Behnke March 21, 1996
Patti L. Behnke, Chief Financial
Officer
EXHIBIT INDEX
Item METHOD OF FILING
- - 3. Amendment to Limited Partnership (1)
Agreement of Columbia Futures Fund,
dated as of February 14, 1985.
- -10. Advisory Agreement among the Partnership, (2)
Demeter Management Corporation, and John
W. Henry & Co., Inc. dated as of January
20, 1987.
- -10. December 31, 1995 Annual Report to Limited Partners. (3)
(1) Incorporated by reference to Exhibit 3.01 of the Partnership's Annual
Report on Form 10-K for the fiscal year ended December 31, 1985.
(2) Incorporated by reference to Exhibit 10.03 of the Partnership's Annual
Report on Form 10-K for the fiscal year ended December 31, 1986.
(3) Filed herewith.
E-1
Columbia
Futures
Fund
December 31, 1995
Annual Report
[LOGO] DEAN WITTER
DEAN WITTER
Two World Trade Center 62nd Floor
New York, NY 10048 Telephone (212) 392-8899
COLUMBIA FUTURES FUND
ANNUAL REPORT
1995
Dear Limited Partner:
This marks the thirteenth annual report for the Columbia Futures Fund (the
"Fund"). This is the eleventh report filed by Demeter Management Corporation,
the Fund's General Partner since February 1985. The Fund began the year trading
at a Net Asset Value per Unit of $1,512.26 and finished 1995 at a Net Asset
Value per Unit of $1,938.89, an increase of 28.2%. Since its inception in 1983,
the Fund has increased by 98.2% (a compound annualized return of 5.6%).
The Fund recorded gains during the first quarter as a result of a strong upward
trend in the value of the Japanese yen relative to the U.S. dollar during
February and March. Additionally, trading in the financial futures and energy
markets during February and March resulted in profit from the Fund's long
positions in U.S. interest rate futures, as well as in long positions in crude
oil futures. Smaller trading gains were recorded in soft commodities from
cotton futures trading. Trading losses recorded during January as a result of
trend reversals in the currency markets, coupled with erratic price movement in
a majority of the other markets traded, offset a small portion of the overall
Fund gains recorded during the first quarter.
The second quarter began with trading gains in April as a result of a continued
upward move in the value of the Japanese yen relative to the U.S. dollar.
Continued strengthening in global bond futures also contributed to gains
recorded in April. The value of the U.S. dollar, which had been declining
versus the Japanese yen and other
world currencies, moved higher causing losses for the Fund's previously
established Japanese yen and European currency positions during May. Small
trading losses were recorded in June as losses experienced in the financial
futures markets, coupled with losses in the currency, agricultural and metals
markets, more than offset trading gains in the energy and soft commodities
markets.
The Fund's only negative performance quarter during 1995 was the result of
trendless and volatile price movement in a majority of the markets traded by
the Fund. The majority of the losses in July were recorded in global stock
index futures and U.S. interest rate futures. Trading losses in the soft
commodities and base metals markets during August resulted in losses for the
Fund. A portion of these losses was offset by gains in the currency markets as
the value of the Japanese yen decreased relative to the U.S. dollar. During
September, losses were the result of a dramatic downward move in crude oil
prices late in the month after moving higher during the first half of the
month, and a sharp and extremely significant reversal in the upward trend of
the U.S. dollar relative to major European currencies on September 20 and 21.
Upward price trends in the financial futures and agricultural markets resulted
in profits for the Fund's long positions in U.S. Treasury bond and Treasury
note futures as well as in corn and soybean futures. Additional gains were
recorded in the energy markets during the final quarter as a result of trading
crude oil, unleaded gas and gas oil futures. Trading losses in the currency and
metals markets offset a portion of the overall gains recorded during the fourth
quarter.
The diversification of multiple John W. Henry & Co., Inc. trading portfolios
and significant price trends in a number of the markets traded resulted in an
overall strong
year for the Columbia Futures Fund. This diversity has benefited the Fund since
John W. Henry & Co., Inc. took over as the Fund's sole Trading Advisor in 1988
and we believe it will continue to do so, given the opportunity of trending
market conditions.
Should you have any questions concerning this report, please feel free to
contact Demeter Management Corporation at Two World Trade Center, 62nd Floor,
New York, NY 10048, or your Dean Witter Account Executive.
I hereby affirm, that to the best of my knowledge and belief, the information
contained in this report is accurate and complete. Past performance is not a
guarantee of future results.
Sincerely,
/s/ Mark J. Hawley
Mark J. Hawley
President
Demeter Management Corporation
General Partner
COLUMBIA FUTURES FUND
INDEPENDENT AUDITORS' REPORT
The Limited Partners and the General Partner:
We have audited the accompanying statements of financial condition of Columbia
Futures Fund (the "Partnership") as of December 31, 1995 and 1994 and the
related statements of operations, changes in partners' capital, and cash flows
for each of the three years in the period ended December 31, 1995. These
financial statements are the responsibility of the Partnership's management.
Our responsibility is to express an opinion on these financial statements based
on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements. An audit
also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, such financial statements present fairly, in all material
respects, the financial position of Columbia Futures Fund as of December 31,
1995 and 1994 and the results of its operations and its cash flows for each of
the three years in the period ended December 31, 1995 in conformity with
generally accepted accounting principles.
/s/ Deloitte & Touche LLP
February 21, 1996
New York, New York
COLUMBIA FUTURES FUND
STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31,
-------------------
1995 1994
--------- ---------
$ $
ASSETS
Equity in Commodity futures trading accounts:
Cash 7,028,474 5,633,843
Net unrealized gain on open
contracts 836,228 1,033,911
--------- ---------
Total Trading Equity 7,864,702 6,667,754
Interest receivable (DWR) 27,436 26,786
--------- ---------
Total Assets 7,892,138 6,694,540
========= =========
LIABILITIES AND PARTNERS' CAPITAL
LIABILITIES
Administrative expenses payable 96,611 6,752
Redemptions payable 59,640 65,027
Accrued management fee 25,825 22,150
Accrued brokerage commissions (DWR) 20,693 19,300
Accrued transaction fees and costs 1,699 1,364
--------- ---------
Total Liabilities 204,468 114,593
--------- ---------
PARTNERS' CAPITAL
Limited Partners (3,864.982 and 4,251.065 Units, respec-
tively) 7,493,781 6,428,721
General Partner (100 Units) 193,889 151,226
--------- ---------
Total Partners' Capital 7,687,670 6,579,947
--------- ---------
Total Liabilities and Partners'
Capital 7,892,138 6,694,540
========= =========
NET ASSET VALUE PER UNIT 1,938.89 1,512.26
========= =========
The accompanying notes are an integral part of these financial statements.
COLUMBIA FUTURES FUND
STATEMENTS OF OPERATIONS
FOR THE YEARS
ENDED
DECEMBER 31,
------------------------------
1995 1994 1993
--------- -------- ---------
$ $ $
REVENUES
Trading Profit (Loss):
Realized 2,608,057 442,848 1,143,962
Net change in unrealized (197,683) (215,114) 659,575
--------- -------- ---------
Total Trading Results 2,410,374 227,734 1,803,537
Interest income (DWR) 346,311 255,080 190,900
--------- -------- ---------
Total Revenues 2,756,685 482,814 1,994,437
--------- -------- ---------
EXPENSES
Brokerage commissions (DWR) 361,179 416,667 463,293
Management fee 306,556 293,249 308,071
Administrative expenses 129,000 66,000 32,000
Incentive fees 115,561 78,504 129,004
Transaction fees and costs 29,130 33,146 37,249
--------- -------- ---------
Total Expenses 941,426 887,566 969,617
--------- -------- ---------
Net Income (Loss) 1,815,259 (404,752) 1,024,820
========= ======== =========
Net Income (Loss) Allocation:
Limited Partners 1,772,596 (407,149) 984,737
General Partner 42,663 2,397 40,083
Net Income (Loss) per Unit:
Limited Partners 426.63 (92.18) 201.43
General Partner 426.63 (92.18) 201.43
STATEMENT OF CHANGES IN PARTNERS' CAPITAL
FOR THE YEARS ENDED DECEMBER 31, 1995, 1994 AND 1993
UNITS OF
PARTNERSHIP LIMITED GENERAL
INTEREST PARTNERS PARTNER TOTAL
----------- --------- -------- ---------
$ $ $
Partners' Capital, December 31,
1992 5,322.046 7,187,699 279,200 7,466,899
Net Income -- 984,737 40,083 1,024,820
Redemptions (461.432) (693,172) -- (693,172)
--------- --------- -------- ---------
Partners' Capital, December 31,
1993 4,860.614 7,479,264 319,283 7,798,547
Net Income (Loss) -- (407,149) 2,397 (404,752)
Redemptions (509.549) (643,394) (170,454) (813,848)
--------- --------- -------- ---------
Partners' Capital, December 31,
1994 4,351.065 6,428,721 151,226 6,579,947
Net Income -- 1,772,596 42,663 1,815,259
Redemptions (386.083) (707,536) -- (707,536)
--------- --------- -------- ---------
Partners' Capital, December 31,
1995 3,964.982 7,493,781 193,889 7,687,670
========= ========= ======== =========
The accompanying notes are an integral part of these financial statements.
COLUMBIA FUTURES FUND
STATEMENTS OF CASH FLOWS
FOR THE YEARS
ENDED
DECEMBER 31,
--------------------------------
1995 1994 1993
--------- ---------- ---------
$ $ $
CASH FLOWS FROM OPERATING ACTIVITIES
Net income (loss) 1,815,259 (404,752) 1,024,820
Noncash item included in net income (loss):
Net change in unrealized 197,683 215,114 (659,575)
(Increase) decrease in
operating assets:
Interest receivable (DWR) (650) (10,578) 1,020
Increase (decrease) in
operating liabilities:
Administrative expenses payable 89,859 (41,648) (12,493)
Accrued management fee 3,675 (4,093) 992
Accrued brokerage commissions (DWR) 1,393 (2,284) (5,552)
Accrued transaction fees and costs 335 (245) (525)
Incentive fees payable -- (58,253) 58,253
--------- ---------- ---------
Net cash provided by (used for) operating
activities 2,107,554 (306,739) 406,940
--------- ---------- ---------
CASH FLOWS FROM FINANCING ACTIVITIES
Increase (decrease) in redemptions payable (5,387) 48,894 (93,302)
Redemptions of units (707,536) (813,848) (693,172)
--------- ---------- ---------
Net cash used for financing activities (712,923) (764,954) (786,474)
--------- ---------- ---------
Net increase (decrease) in cash 1,394,631 (1,071,693) (379,534)
Balance at beginning of period 5,633,843 6,705,536 7,085,070
--------- ---------- ---------
Balance at end of period 7,028,474 5,633,843 6,705,536
========= ========== =========
The accompanying notes are an integral part of these financial statements.
COLUMBIA FUTURES FUND
NOTES TO FINANCIAL STATEMENTS
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION--Columbia Futures Fund (the "Partnership") is a limited
partnership organized to engage in the speculative trading of commodity futures
contracts and 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"). Both DWR and the General
Partner are wholly-owned subsidiaries of Dean Witter, Discover & Co.
The General Partner is required to maintain a 1% minimum interest in the equity
of the Partnership and income (losses) are shared by the General and Limited
Partners based upon their proportional ownership interests.
BASIS OF ACCOUNTING--The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts in the financial statements.
REVENUE RECOGNITION--Commodity futures contracts and forward contracts on
foreign currencies are open commitments until settlement date. They are valued
at market and the resulting unrealized gains and losses are reflected in
income. Monthly, DWR pays the Partnership interest income based upon 80% of the
average equity at a rate equal to the average yield on 13-Week U.S. Treasury
Bills issued during such month.
NET INCOME (LOSS) PER UNIT--Net income (loss) per Unit is computed using the
weighted average number of units outstanding during the period.
EQUITY IN COMMODITY FUTURES TRADING ACCOUNTS--The Partnership's asset "Equity
in Commodity futures trading accounts" consists of cash on deposit at DWR to be
used as margin for trading and the net asset or liability related to unrealized
gains or losses on open contracts. The asset or liability related to the
unrealized gains or losses on forward contracts is presented as a net amount
because the Partnership has a master netting agreement with DWR.
BROKERAGE COMMISSIONS AND RELATED TRANSACTION FEES AND COSTS--Brokerage
commissions are accrued at 80% of DWR's published non-member rates on a half-
turn basis.
Through March 31, 1995, brokerage commissions were capped at 1% per month of
the adjusted Net Assets allocated to each trading program employed by the
Trading Manager.
Effective April 1, 1995, the cap was reduced to 3/4 of 1%.
COLUMBIA FUTURES FUND
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
Transaction fees and costs are accrued on a half-turn basis.
OPERATING EXPENSES--The Partnership bears all operating expenses related to its
trading activities. These include filing fees, clerical, administrative,
auditing, accounting, mailing, printing, and other incidental operating
expenses as permitted by the Limited Partnership Agreement. In addition, the
Partnership incurs a monthly management fee and may incur an incentive fee. The
General Partner bears all other operating expenses.
INCOME TAXES--No provision for income taxes has been made in the accompanying
financial statements, as partners are individually responsible for reporting
income or loss based upon their respective share of the Partnership's revenues
and expenses for income tax purposes.
DISTRIBUTIONS--Distributions, other than on redemptions of Units, are made on a
pro-rata basis at the sole discretion of the General Partner. No distributions
have been made to date.
REDEMPTIONS--Limited Partners may redeem their Units as of the end of any
calendar month upon ten days advance notice by redemption form to the General
Partner.
DISSOLUTION OF THE PARTNERSHIP--The Partnership will terminate on December 31,
2002 regardless of its financial condition at such time, unless the term is
extended in accordance with the Limited Partnership Agreement, upon a decline
in Net Assets to less than $250,000, a decline in the Net Asset Value Per Unit
to less than $343.22, or under certain other circumstances as defined in the
Limited Partnership Agreement.
2. RELATED PARTY TRANSACTIONS
The Partnership pays brokerage commissions to DWR on trades executed on its
behalf as described in Note 1. 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 as described in Note 1. For general administrative
services performed for the Partnership, the General Partner receives a monthly
administration fee which equals $1.50 per limited partner outstanding. For the
years ended December 31, 1995, 1994 and 1993 the General Partner received
$14,483, $15,888 and $17,288, respectively for such administrative services.
3. TRADING MANAGER
The General Partner, on behalf of the Partnership, retains a commodity trading
manager to make all
COLUMBIA FUTURES FUND
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
trading decisions for the Partnership. Since January 22, 1988, John W. Henry &
Co., Inc. has served as the sole trading manager.
Compensation to the trading manager consists of a management fee and an
incentive fee as follows:
MANAGEMENT FEE--The management fee is accrued daily at the rate of 1/3 of 1%
per month of the Partnership's managed Net Assets at each month-end.
INCENTIVE FEE--At the end of each quarter or upon redemption
of a Partnership Unit, an incentive fee is assessed each Unit
equal to 15 percent of the excess of the Unit value,
excluding interest earned during the period, over the Unit
value at the time immediately following the last incentive
payment. Such incentive fee is accrued in each month in which
new appreciation occurs. In those months in which new
appreciation is negative, previous accruals, if any, during
each fiscal quarter will be reduced.
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. 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 December 31, 1995 and 1994 open contracts were:
CONTRACT OR NOTIONAL AMOUNT
---------------------------
1995 1994
------------- -------------
$ $
EXCHANGE-TRADED CONTRACTS
Financial Futures:
Commitments to Purchase 8,458,000 2,380,000
Commitments to Sell -- 14,196,000
Commodity Futures:
Commitments to Purchase 10,525,000 5,361,000
Commitments to Sell 3,128,000 4,117,000
Foreign Futures:
Commitments to Purchase 9,982,000 2,332,000
Commitments to Sell 615,000 4,576,000
OFF-EXCHANGE-TRADED FORWARD
CURRENCY CONTRACTS
Commitments to Purchase 5,654,000 8,156,000
Commitments to Sell 15,147,000 9,301,000
COLUMBIA FUTURES FUND
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
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.
The 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 $836,228 and $1,033,911 at December 31, 1995 and 1994,
respectively.
Of the $836,228 net unrealized gain on open contracts at December 31, 1995,
$858,691 related to exchange-traded futures contracts and $(22,463) related to
off-exchange-traded forward currency contracts. Of the $1,033,911 net
unrealized gain on open contracts at December 31, 1994, $1,018,465 related to
exchange-traded futures contracts and $15,446 related to off-exchange-traded
forward currency contracts.
Exchange-traded futures contracts held by the Partnership at December 31, 1995
and 1994 mature through December 1996 and September 1995, respectively. Off-
exchange-traded forward currency contracts held by the Partnership at December
31, 1995 and 1994 mature through January 1996 and March 1995, respectively. The
contract amounts in the above table represent the Partnership's extent of
involvement in the particular class of financial instrument, but not the credit
risk associated with counterparty nonperformance. The credit risk associated
with these instruments is limited to the amounts reflected in the Partnership's
Statements of Financial Condition.
The Partnership also has credit risk because 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 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 gain on all open futures contracts, which funds
totaled $7,887,165 and $6,652,308 at December 31, 1995 and 1994, 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
COLUMBIA FUTURES FUND
NOTES TO FINANCIAL STATEMENTS--(CONCLUDED)
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 year ended December 31, 1995, the average fair value of financial
instruments held for trading purposes was as follows:
ASSETS LIABILITIES
--------- -----------
$ $
EXCHANGE-TRADED CONTRACTS:
Financial Futures 7,009,000 5,950,000
Commodity Futures 5,776,000 3,383,000
Foreign Futures 5,277,000 2,371,000
OFF-EXCHANGE-TRADED FORWARD CURRENCY CONTRACTS: 7,829,000 9,743,000
DEAN WITTER REYNOLDS INC.
Two World Trade Center
62nd Floor
New York, NY 10048
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