Back to GetFilings.com

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 2003
Commission File Number: 0-16515

IDS MANAGED FUTURES, L.P.
(Exact name of registrant as specified in its charter)

233 South Wacker Drive
Suite 2300
Chicago, IL 60606
(Address of principal executive offices) (Zip Code)

(312) 460-4000
(Registrant's telephone number, including area code)

Not Applicable
(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.  |X| Yes      |_| No

Indicate by check mark whether the registrant is an accelerated filer (as defined in Rule 12b-2 or the Exchange Act).  |_| Yes      |X| No

The number of units outstanding, as of September 30, 2003, is 72,786.64.

PART I – FINANCIAL INFORMATION

Item 1.  Financial Statements

Following are Financial Statements for the fiscal quarter ended September 30, 2003 and the additional time frames as noted:

IDS MANAGED FUTURES, L.P.
STATEMENTS OF FINANCIAL CONDITION
(unaudited)

IDS MANAGED FUTURES, L.P.
STATEMENTS OF OPERATIONS
(unaudited)

IDS MANAGED FUTURES, L.P.
STATEMENT OF CHANGES IN UNITHOLDERS' CAPITAL
From January 1, 2003 through September 30, 2003
(unaudited)

IDS MANAGED FUTURES, L.P.
NOTES TO FINANCIAL STATEMENTS

September 30, 2003

(1)   General Information and Summary

IDS Managed Futures, L.P. (the Partnership), a limited partnership organized on December 16, 1986 under the Delaware Revised Uniform Limited Partnership Act, was formed to engage in the speculative trading of commodity interests including futures contracts, forward contracts, physical commodities, and related options thereon pursuant to the trading instructions of independent trading advisors. The Partnership began trading on June 16, 1987. The general partners are IDS Futures Corporation (IDSFC) and CIS Investments, Inc. (CISI) (collectively, the General Partners). The clearing broker is Cargill Investor Services, Inc. (Clearing Broker or CIS), the parent company of CISI. The broker for forward contracts is CIS Financial Services, Inc. (CISFS or Forwards Currency Broker), an affiliate of CISI. The Clearing Broker and the Forwards Currency Broker will collectively be referred to as the Brokers.

Units of the Partnership representing an additional investment of $80,000,000 were offered through April 30, 2001 by American Express Financial Advisors, Inc. (AEFA Advisors), formerly IDS Financial Services Inc. By May 1, 2001, a total of 239,274.23 units representing a total investment of $66,263,938 of limited partnership interests had been sold in the combined offerings. During the offerings, the General Partners purchased a total of 2,883.57 additional units representing a total investment of $560,110. Selling commissions and organizational and offering expenses of $6,133,679 were paid by the new limited partners. See the IDS Managed Futures, L.P. prospectus dated April 11, 2000, as supplemented January 1, 2001, for further details concerning the offerings.

The Partnership shall be terminated on December 31, 2006 if none of the following occur prior to that date: (1) investors holding more than 50% of the outstanding units notify the General Partners to dissolve the Partnership as of a specific date; (2) disassociation of the General Partners with the Partnership; (3) bankruptcy of the Partnership; (4) decrease in the net asset value (NAV) to less than $500,000; (5) the Partnership is declared unlawful; or (6) the NAV per unit declines to less than $125 per unit and the Partners elect to terminate the Partnership.

(2)   Summary of Significant Accounting Policies

The accounting and reporting policies of the Partnership conform to accounting principles generally accepted in the United States of America and to general practices within the commodities industry. The following is a description of the more significant of those policies that the Partnership follows in preparing its financial statements.

Revenue Recognition

Commodity futures contracts, forward contracts, physical commodities and related options are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized gain on open futures contracts in the statements of financial condition represents the difference between original contract amount and market value (as determined by exchange settlement prices for futures contracts and related options and cash dealer prices at a predetermined time for forward contracts, physical commodities and their related options) as of the last business day of the year or as of the last date of the financial statements.

The Partnership earns interest on 100% of the Partnership’s average monthly cash balance on deposit with the Brokers at a rate equal to 90% of the average 91-day Treasury bill rate for U.S. Treasury bills issued during that month.

Redemptions

A Limited Partner may cause any or all of his or her units to be redeemed by the Partnership effective as of the last trading day of any month. Redemptions are based on the NAV per unit as of the last day of the month and require ten days’ written notice to the General Partners. Payment will be made within ten business days of the effective date of the redemption. The Partnership’s Limited Partnership Agreement contains a full description of redemption and distribution procedures.

Commissions

The Partnership pays CIS commissions on trades executed on its behalf at a rate of $17.50 per half turn contract. The Partnership pays this commission directly to CIS and CISFS, and CIS then reallocates the appropriate portion to AEFA Advisors.

Foreign Currency Transactions

Trading accounts in foreign currency denominations are susceptible both to movements in the underlying contract markets as well as to fluctuation in currency rates. Foreign currencies are translated into U.S. dollars for closed positions at an average exchange rate for the period, while period-end balances are translated at the period-end currency rates. The impact of the translation is reflected in the statements of operations.

Use of Estimates

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

(3)   Fees

Management fees are accrued and paid monthly, incentive fees are accrued monthly and paid quarterly, and General Partners' administrative fees are paid annually and amortized monthly. Trading decisions for the period of these financial statements were made by John W. Henry & Company, Inc. (JWH).

Under signed agreement, JWH receives a monthly management fee of 1/12 of 2% of the month-end NAV of the Partnership under its management and an incentive fee of 20% of the Partnership’s new trading profits, if any, attributable to its management. For the periods ending September 30, 2003 and 2002, JWH was managing approximately 70% of the Partnership’s assets while Sunrise was indirectly managing 30% of the Partnership’s assets.

The Partnership pays an annual administrative fee of 1.125% and .25% of the beginning of the year NAV of the Partnership to IDSFC and CISI, respectively.

(4)   Income Taxes

No provision for Federal income taxes has been made in the accompanying financial statements as each partner is responsible for reporting income (loss) based on such partner’s pro rata share of the profits or losses of the Partnership. The Partnership is responsible for the Illinois State Partnership Information and Replacement Tax based on the operating results of the Partnership. Such tax amounted to $0 for the quarters ended September 30, 2003 and 2002 and is included in operating expenses in the statements of operations.

(5)   Trading Activities and Related Risks

The Partnership’s investment in other commodity pools are recorded at fair value and are subject to the market and credit risks of financial instruments and commodity contracts held or sold short by those entities. The Partnership bears the risk of loss only to the extent of the market value of its respective investments.

The Partnership engages in the speculative trading of U.S. and foreign futures contracts, options on U.S. and foreign futures contracts and forward contracts (collectively derivatives). These derivatives include both financial and non-financial contracts held as part of a diversified trading strategy. The Partnership is exposed to both market risk, the risk arising from changes in the market value of the contracts, and credit risk, the risk of failure by another party to perform according to the terms of a contract.

The purchase and sale of futures contracts and options on futures contracts requires margin deposits with a Futures Commission Merchant (FCM). Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act (CE Act) requires a FCM to segregate all customer transactions and assets from the FCM’s proprietary activities. A customer’s cash and other property, such as U.S. Treasury bills, deposited with a FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements. In the event of a FCM’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than the total of cash and other property deposited.

The Partnership has cash on deposit with an affiliated interbank market maker in connection with its trading of forward contracts. In the event of the interbank market maker’s insolvency, recovery of the Partnership assets on deposit may be limited to account insurance or other protection afforded such deposits. In the normal course of business, the Partnership does not require collateral from such interbank market maker. Because forward contracts are traded in unregulated markets between principals, the Partnership also assumes a credit risk.

For derivatives, risks arise from changes in the market value of the contracts. Theoretically, the Partnership is exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short. As both a buyer and seller of options, the Partnership pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option.

The notional amounts of open contracts at September 30, 2003, as disclosed in the Schedule of Investments, do not represent the Partnership’s risk of loss due to market and credit risk, but rather represent the extent of the Partnership’s involvement in derivatives at the date of the statements of financial condition.

Net trading results from derivatives for the quarter ended September 30, 2003 and 2002, are reflected in the statements of operations and equal gains (losses) from trading less brokerage commissions. Such trading results reflect the net gain arising from the Partnership’s speculative trading of futures contracts, options on futures contracts and forward contracts.

The Limited Partners bear the risk of loss only to the extent of the market value of their respective investments.

(6)   Financial Statement Preparation

The interim financial statements are unaudited but reflect all adjustments that are, in the opinion of management, necessary for a fair statement of the results for the interim periods presented. These adjustments consist primarily of normal recurring accruals. These interim financial statements should be read in conjunction with the audited financial statements of the Partnership for the year ended December 31, 2002, as filed with the Securities and Exchange Commission (SEC) on March 31, 2003, as part of its Annual Report on Form 10-K.

The results of operations for interim periods are not necessarily indicative of the operating results to be expected for the fiscal year.

(7)   Investments in Other Commodity Pools

In December 2001, the Partnership invested in another commodity pool, IDS Managed Fund LLC (IDSMF). The investment is subject to the terms of the respective advisory contract and other agreements of this commodity pool.

Income (loss) is net of the Partnership’s proportionate share of fees and expenses incurred or charged by IDSMF. During 2003, IDSMF charged monthly management fees of 1/12 of 2% of the NAV and a quarterly incentive fee of 20% of trading profits and paid such amounts to Sunrise Capital Partners, LLC (Sunrise), the sole Commodity Trading Advisor (CTA).

Investment value in IDSMF is based on the proportionate share of units the Partnership has in IDSMF at the end of each month. The Partnership’s risk of loss in its investee pool is limited to its investment. The Partnership may make additional contributions to or withdrawals from its investment in IDSMF as of the last day of any month.

Summarized information reflecting the Partnership’s investment in, and the operations of, the investee pool is as shown in the following table.

(8)   Financial Highlights

The following financial highlights show the Partnership’s financial performance for the nine-month period ended September 30, 2003. Total return is calculated as the change in an aggregate limited partners’ investment over the entire period a percentage change in the net asset value from December 31, 2002 to September 30, 2003 and is not annualized. Total return is calculated based on the aggregate return of the Partnership taken as a whole.

The net income and expense ratios are computed based upon the weighted average net assets for the Partnership for the nine-month period ended September 30, 2003 and are not annualized. Ratios do not reflect income or expenses related to investment in other commodity pools.

IDS MANAGED FUTURES, L.P.
Schedule of Investments
September 30, 2003
(unaudited)

Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations

Fiscal Quarter ended September 30, 2003

The Partnership recorded a loss of $1,650,448 or $22.16 per unit in the third quarter of 2003.

The Partnership began the quarter in negative territory, had a stronger August, but performance reversed in September to post a negative quarter. On September 30, 2003, JWH was managing 73% of the Partnership’s assets while Sunrise was indirectly managing 27% of the Partnership’s assets.

July was a difficult trading month, as there were significant trend reversals in major markets that resulted in a loss. There were clear signs that the U.S. economic outlook was improving, as well as signs that a coordinated global economic recovery was also beginning. In general, the effect of all these factors was a strengthening U.S. dollar against most major currencies, rising global interest rates, mildly better stock prices and higher base metal prices. The fixed income sector was positive for July. The best performing components of the sector were the short U.S. 10-year note and 30-year bond position. Foreign exchange trading had the largest loss for July. The strength of the U.S. dollar resulted in losses in the long British pound, Australian dollar, Swiss franc and the Euro positions. All equity indices registered positive gains in July. The best performers in the sector were the Osaka Nikkei and the German DAX. All components of the energy sector were positive in July. Metals were down for July due to a short position in gold. Agriculture products were in negative territory for the month. Overall, the Partnership recorded a loss of $1,022,744 or $13.52 per unit in July.

Trending markets enabled the Fund to post a profitable August. Global markets responded to improving economic conditions in the U.S., Japan and, to a lesser degree, Europe. As a result, interest rates continued to move higher in these regions, and the U.S. dollar strengthened against most major currencies. Energy markets, with the exception of natural gas, continue to escalate due to supply concerns. The fixed income sector was up for the month of August. The vast majority of the profits came from a short Japanese government 10-year bond position. The foreign exchange sector was negative for August. The strengthening of the Yen against the U.S. dollar resulted in the largest loss in this sector for the month. Equity indices were profitable in August. The energy sector and metals were also up in August. Agricultural products were down for the month. The downward trend in grains that started in June reversed in the beginning of August due to harsh weather conditions. All in all, the Partnership recorded a gain of $559,009 or $7.52 per unit in August.

The trends that provided profits in August abruptly turned around in September resulting in a loss for the month. The strength of the economic recovery in the United States was called into question due to the continued weakness in the U.S. government employment numbers. The result was interest rates moving lower again and the U.S. dollar giving back recent gains. Additionally, OPEC announced late in the month that they would be cutting production of crude oil, which reversed the decline in prices. The fixed income sector incurred the largest loss for September. The recovery of the Japanese government bond made the Partnership’s short position the largest loss for the month. Currencies were positive in September. The vast majority of the profits came from the Japanese yen. Indices were negative in September. The losses were spread fairly evenly across the sector. The energy sector incurred the second largest loss for September due to the short position in oil. Metals were positive in September as the profits came from gold, which continued to trend higher in anticipation of higher inflation. Agricultural products were up for September. Overall, the Partnership recorded a loss of $1,186,713 or $16.16 per unit in September.

During the quarter, investors redeemed a total of 2,840.19 units. At the end of the quarter there were 72,786.64 units outstanding (including 1,829.41 units owned by the General Partners).

During the fiscal quarter ending June 30, 2003, the Partnership had no material credit exposure to a counterparty which is a foreign commodity exchange or to any counterparties dealing in over the counter contracts.

Fiscal Quarter ended September 30, 2002

The Partnership recorded a gain of $5,203,956 or $60.08 per unit for the third quarter of 2002.

Performance throughout the quarter was strong. Powerful trends in the interest rate sector propelled performance higher. On September 30, 2002, JWH was managing 69% of the Partnership’s assets while Sunrise was managing 31% of the Partnership’s assets.

Partnership performance was very positive in July. The interest rate sector was the performance leader as the downward trend in global interest rates accelerated during the month. Sizable gains were accrued in short-term interest rates denominated in British pounds and Euros. Long positions in the U.S. 5, 10 and 30-year bonds were also very profitable. After several months of positive performance, the currency sector was negative in July. Profits made in long Dollar, short British pound positions were offset by losses incurred in Euro and Japanese yen trading. Aided by accounting scandals and decreased consumer confidence, the world’s stock markets plummeted in July. Hence the Partnership’s short positions in the British and Japan stock indices reaped solid gains. The Partnership’s long positions in the metals sector were hurt when gold prices fell sharply but were rewarded when short positions in industrial metals such as copper and aluminum accrued profits. The Partnership recorded a gain of $2,216,324 or $25.14 per unit in July.

The Partnership made new highs for 2002 in August. The economic driver fuelling the gain in the interest rate sector was a weak stock market. Money poured out of stocks and into bonds throughout the month. Long positions in short- to long-term bonds denominated in Euro, Yen and the U.S. dollar all made significant positive contributions. Nearly all positions in the currency sector lost money. The Dollar, which had lost value to all other major currencies in May and June, rallied sharply. The Japanese yen surprised everyone and rallied sharply. Long positions in crude oil were profitable as its price rose sharply during the month. Gold reversed its downward trend that started in late June which led to a loss in the metals. In the agricultural sector, profits in corn and wheat were offset by losses in soybeans. The Partnership recorded a gain of $787,782 or $9.13 per unit in August.

The Partnership closed the quarter with a very positive September. On the strength of rising global bond prices, both of the Partnership’s managers, Sunrise and the JWH, posted solid gains. In September, the U.S. economy continued to lead other industrialized nations in a global economic slowdown. Subsequently, interest rates denominated in Euros, British pounds, Australian dollars and, most significantly, Japanese yen continued to fall providing positive returns for the Partnership. The most profitable markets in this sector were the U.S. 10-year bond, German bund and British treasury bill. Long positions in the Euro allowed for positive performance in the currency sector. The rise in petroleum prices was the primary driver for positive performance in the energy sector. The Partnership recorded a gain of $2,199,849 or $25.82 per unit in September.

During the quarter, investors redeemed a total of 3,921.66 units. At the end of the quarter there were 84,195.59 units outstanding (including 1,891.61 units owned by the General Partners).

During the fiscal quarter ended September 30, 2002 the Partnership had no material credit exposure to a counterparty which is a foreign commodities exchange.

Fiscal Quarter ended June 30, 2003

The Partnership recorded a net profit of $1,355,381 or $16.97 per unit in the second quarter of 2003.

IDS Managed Futures, L.P. began the quarter with gains in April and a strong May but closed lower in June. Overall, it ended the quarter in positive territory. On June 30, 2003, JWH was managing 73% of the Partnership’s assets while Sunrise was indirectly managing 27% of the Partnership’s assets.

The Partnership ended April in positive territory as the swift victory in Iraq impacted markets worldwide. The currency sector was primarily responsible for the Partnership’s gain in April. The initial enthusiasm for the U.S. dollar in a post-Iraqi war world gave way to bleak fundamentals. The U.S. deficit continued to weigh heavily on the Dollar. Non-Dollar trading had the largest effect on trading profits, specifically, the long Euro/short Yen, long Euro/short British pound, and the long Australian dollar positions. The interest rate sector was positive largely due to a long position in the Japanese 10-year Government bond. The stock index sector was down slightly. Most equity markets rallied around the world, encouraged by the quick end to major conflict in Iraq. Energies were marginally positive in April. The fewer than expected oil field fires in Iraq put considerable downward pressure on the price per barrel. Natural gas rallied most of the month on weather related issues and storage deficits. Contrary to the Partnership’s position, gold rallied in early April in expectation of the next inflationary cycle. This led to negative performance in the metal sector. Agricultural products were slightly profitable for the month. In response to the conclusion of the major fighting in the Iraqi war, JWH did resume full leverage in the trading program used for the Partnership effective April 10. The decision to reduce exposure to all markets during the Iraqi conflict proved to be beneficial for investors. Overall, the Partnership recorded a gain of $311,808 or $3.92 per unit in April.

The Partnership also posted positive results for the month of May. Currencies were the best performing sector for May due mainly to the weakening of the U.S. dollar. Investments in the fixed income sector were positive for the month of May, as yields continued to trend lower.  The biggest contributors were the Euro Bunds, U.S. 30-year Bonds, Japanese Government 10-year Bonds, and the U.S. 10-year Notes.  Stock indices were negative for May due primarily to the poor performance in the Japanese Osaka Nikkei Index.  The Nasdaq E-Mini 100 Index turned in the best performance for this sector.  Energies posted negative results in May.  All crude and crude-related products were down as a result of the markets rallying due to short supply factors.  The only positive component in this sector was natural gas. Agricultural products were negative for May. The largest detractors were corn and New York coffee, while the largest positive contributor was cotton. Metals were slightly down for May.  Losses occurred in copper, silver and aluminum. Only gold managed to perform in positive territory. Overall, the Partnership recorded a gain of $2,585,417 or $33.11 per unit in May.

Overall, the Partnership was down in June, which started out as a promising month, but turned abruptly negative during the last two weeks. Two trends that were reestablished after the Iraqi War -- a weakening Dollar and falling global interest rates -- reversed course sharply as hints of improving economic times forced the liquidation of large positions in fixed income and currency markets. Currencies suffered the largest sector loss in June, due to the late month strengthening of the U.S. dollar. Stock indices were the only sector to register positive returns for the month of June. Fixed income investments incurred the second largest sector loss for June. The largest losses were registered in the Japanese 10-year Government Bonds, Euro Bunds and the U.S. 30-year Bonds. Crude oil was up for the month despite volatile trading. Prices were buoyed by a downshift in OPEC output and the concerns over Tropical Storm Bill hitting the Gulf coast. Overall, however, the energy sector was down for June. The metals sector was down in June, primarily due to the poor performance of gold. Agricultural products were down for the month. All of the other parts of this group had negligible results. The Partnership recorded a loss of $1,541,844 or $20.07 per unit in June.

During the quarter, investors redeemed a total of 2,822.42 units. At the end of the quarter there were 75,626.82 units outstanding (including 1,829.41 units owned by the General Partners).

During the fiscal quarter ending June 30, 2003, the Partnership had no material credit exposure to a counterparty, which is a foreign commodity exchange, or to any counterparties dealing in over the counter contracts.

Fiscal Quarter ended June 30, 2002

The Partnership posted a gain of $6,898,841 or $76.22 per unit for the second quarter of 2002.

Performance throughout the quarter was strong. Powerful trends in the currency sector propelled performance higher. On June 30, 2002, JWH was managing 65% of the Partnership’s assets while Sunrise was indirectly managing 35% of the Partnership’s assets.

The Partnership began the quarter with slightly lower performance in April. Weakness in the U.S. dollar provided strong results in the currency sector. Profits were accrued in short Dollar positions against the Japanese yen, Swiss franc, British pound and Euro. The long Dollar, short Euro position was the Partnership’s most profitable position in April. Performance in the interest rate sector was very disappointing. Short positions in Dollar and Euro denominated bond markets were closed out as losses. Profitable long positions in the Japanese government bond market offset most of the losses incurred by interest rate trading. Turmoil in the Middle East lifted the energy market higher, providing small gains. The metals sector was slightly lower as gains in gold could not offset losses in copper, silver and aluminum. Overall the Partnership recorded a small loss of $48,699 or $0.52 per unit in April.

The currency sector paved the way for strong performance in May. The U.S. dollar continued to weaken against most major currencies, most notably the Euro, the Japanese yen and the Swiss franc, providing strong profits. Trends in the currency markets were aided by the U.S. Treasury’s “stand aside” approach on the Dollar policy and the Bank of Japan’s failed intervention attempts. The Australian dollar continued to rise as the currency linked to physical commodities, due to expectation of higher global inflation. The Partnership’s long Euro versus short Japanese yen position was also profitable. The stock index sector registered modest gains during May, primarily due to the German DAX. The steepening U.S. yield curve allowed long positions in the 2, 5 and 10 year bonds to accrue profits. The Japanese government bond provided the largest profit as it continued to climb. Losses were absorbed in the Australian and European interest rate markets. The metals sector was also positive for the month. Profits in long gold positions more than offset losses in industrial and base metals. All in all, the Partnership recorded a gain of $1,990,163 or $21.72 per unit in May.

The Partnership followed May’s gain with an extremely positive June. The economic drivers that fueled the strong performance included a confluence of events influencing the currency sector, which was the strongest performing sector due to the recent weakness of the Dollar. The Euro gained approximately 15% on the Dollar for the year-to-date. Investors selling U.S. stocks due to fear of additional accounting abnormalities put pressure on stocks as well as the Dollar. Much of the proceeds of these sales appeared to have moved into non-Dollar investments along with global bonds and gold. The global bond market rallied as a result of money coming from sales of equities. This “flight to quality” helped the Partnership’s long positions in the European, Japanese and U.S. bond markets to appreciate throughout the month. Short positions in the world’s stock markets via stock index futures were positive contributors in June. Corn and soybeans prices gained over 15% since lows were made in May. For June, the Partnership recorded a gain of $4,957,377 or $55.02 per unit.

During the quarter, investors redeemed a total of 5,772.71 units. At the end of the quarter there were 86,225.65 units outstanding (including 1,938.83 units owned by the General Partners).

During the fiscal quarter ended June 30, 2002, the Partnership had no material credit exposure to a counterparty which is a foreign commodities exchange.

Fiscal Quarter ended March 31, 2003

The Partnership recorded a net profit of $3,325,047 or $40.43 per unit in the first quarter of 2003. As of March 31, the Partnership has gained 10.78% for the first quarter.

In January, the currency sector supplied most of the month’s gain. Non-Dollar trading had the largest effect on performance. The Partnership’s long Euro, short Yen position was the most profitable position in this sector capitalizing on the very slow growth rate of Japan. Additional gains were made in the long U.S. dollar, short Yen position as well as the Swiss franc. The steady slowing of the world’s economies fueled the decline of worldwide interest rates. Positions denominated in Euro and Yen were the most profitable. Gains were also posted in the British and U.S. markets. The energy portfolio of the Partnership was positive despite a small allocation to this sector. The uncertainty of the Middle East cast a dark shadow over all markets. The remainder of the market sectors traded had little impact on performance. Overall, the Partnership recorded a gain of $3,319,302 or $40.50 per unit in January.

The Partnership continued its positive performance in February. The impending war with Iraq, slowing global economies, a weaker U.S. dollar and higher energy prices became a recurring theme in the quarter. The currency sector was unchanged in February. The long Euro, short British pound position had the best return of the sector. The Australian dollar and the Swiss franc also performed well. The Japanese yen and the British pound suffered the largest losses due to the sharp reversal from January’s rally. All geographic components of the interest rate sector posted positive results as money market and bond yields worldwide continued to move lower. Notable returns were achieved in the Euro Bund, the U.S. 30-year and 10-year bonds and the Japanese Government bond. The energy sector was the second-best performing sector for the month. The highest returns came from London gas oil and NYMEX natural gas. Gold prices dropped $40 after the German Bundesbank announced that it had sold a portion of its gold reserves. This was the primary reason for negative performance from this sector. Overall, the Partnership recorded a gain of $1,497,771 or $18.49 per unit in February.

The Partnership closed lower in March as the war in Iraq created volatile moves in the world’s financial and commodity markets. Nearly all markets traded in the interest rate sector were negative as a whipsaw action in the U.S. dollar and interest rates led to losses. This was due to disappointing news in the progress of the war in Iraq. The nearly 35% rise in crude oil since mid-December was erased in just over one week’s time immediately before the start of the war. This caused negative performance in the energy sector. The metal and agricultural sectors had little impact on performance. The stock index sector was the only positive performer for the month. The Partnership recorded a loss of $1,492,026 or $18.56 per unit in March.

In early March, out of concern for heightened volatility in global markets, JWH reduced the Partnership’s exposure to all markets traded but continued to follow its disciplined trading approach.

During the quarter, investors redeemed a total of 2,494.63 units. At the end of the quarter there were 79,449.25 units outstanding (including 1,829.41 units owned by the General Partners).

During the fiscal quarter ended March 31, 2003, the Partnership had no material credit exposure to a counterparty which is a foreign commodities exchange.

Fiscal Quarter ended March 31, 2002

The Partnership recorded a loss of $2,570,421 or $26.67 per unit for the first quarter of 2002.

Performance throughout the quarter was disappointing. Volatile Japanese markets were the primary source of performance problems. On March 30, 2002, JWH was managing 60% of the Partnership’s assets while Sunrise was indirectly managing 40% of the Partnership’s assets.

In January, performance was positive in the currency and energy sectors while interest rate, metal, stock index and commodity markets posted losses. The most significant gains came from the currency sector where the Japanese yen continued to lose value. This was beneficial to the Partnership because the short Yen position was the largest in the portfolio. Trading in all other currency markets was negative. The Enron news created a “flight to quality” situation which led to higher U.S. and European bond prices. These news items and others ceased the selling activity in global bonds and caused losses in the Partnership’s long positions. Profitable short positions in Japanese Government bonds were not large enough to make interest rate trading profitable. The energy sector posted a very small gain as short positions in natural gas exceeded losses taken in all other energy markets. Overall, the Partnership recorded a loss of $286,930 or $2.93 per unit in January.

During February, fluctuating price patterns continued which led to a difficult month for the Partnership. The key element in performance was the trend reversals in the Japanese financial markets. The Nikkei (stock index), Japanese Government bonds and the Yen accounted for approximately one half of the losses in the portfolio. Losses in the currency sector also occurred in the British pound, Swiss franc and Euro. As mentioned above, trading in Japanese Government bonds was negative. Further losses in the interest rate sector occurred in U.S. bond trading. Trading in European bonds was negative as well. Open trade profits accrued in short term interest rates helped offset some of the losses incurred by the balance of the sector. Performance in the energy sector was also unprofitable. Short positions in crude oil, natural gas and gasoline suffered as prices rose throughout the sector. Gold prices continued to rise, which allowed the Partnership’s long positions to accrue profits. The Partnership recorded a loss of $1,339,565 or $13.86 per unit in February.

March was another disappointing month. Positive returns from the energy and interest rate sectors were overpowered by losses in the currency sector. Currencies, particularly the Yen, were hit hard during March. Japanese corporations spurred a rally in the Yen when they actively repatriated Yen for year-end accounting purposes. This proved to be detrimental for the Partnership’s short Yen position. The U.S. dollar traded in a sideways pattern against the British pound, Swiss franc and Euro, resulting in additional losses. The energy and interest rate sectors turned in a positive performance. Profits accrued in short positions in Euro denominated markets out weighed losses in the Japanese bond market. For the month, the Partnership recorded a loss of $943,926 or $9.87 per unit in March.

During the quarter, investors redeemed a total of 3,699.64 units. At the end of the quarter there were 93,937.18 units outstanding (including 1,938.83 units owned by the General Partners).

During the fiscal quarter ended March 30, 2002, the Partnership had no material credit exposure to a counterparty which is a foreign commodities exchange.

Item 3. Quantitative and Qualitative Disclosures About Market Risk

There has been no material change with respect to market risk since the “Quantitative and Qualitative Disclosures About Market Risk” was made in the Form 10-K of the Partnership dated December 31, 2002.

Item 4. Controls and Internal Procedures

Under the supervision and with the participation of the management of CIS Investments, Inc., a General Partner of the Partnership, including CISI’s President and Chief Financial Officer, the Partnership has evaluated the effectiveness of the design and operation of its disclosure controls and procedures as of the filing date of this quarterly report, and, based on their evaluation, the President and Chief Financial Officer of CISI’s have concluded that these disclosure controls and procedures are effective. There were no significant changes in the Partnership’s internal controls or in other factors that could materially affect these controls subsequent to the date of their evaluation.

PART II - OTHER INFORMATION

Item 1. Legal Proceedings

The Partnership and its affiliates are from time to time parties to various legal actions arising in the normal course of business. The General Partners believe that there is no proceeding threatened or pending against the Partnership or any of its affiliates which, if determined adversely, would have material adverse effect on the financial condition or results of operations of the Partnership.

Item 2. Changes in Securities and Use of Proceeds

None

Item 3. Defaults Upon Senior Securities

None

Item 4. Submission of Matters to a Vote of Security Holders

None

Item 5. Other Information

None

Item 6. Exhibits and Reports on Form 8-K

SIGNATURES

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 and thereunto duly authorized.

IDS MANAGED FUTURES, L.P.

Date: November 12, 2003

(Duly authorized officer of the General Partner and the Principal Financial Officer of the General Partner)

EXHIBIT INDEX