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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 June 30, 2002
Commission File Number 0-17443
IDS MANAGED FUTURES II, L.P.
(Exact name of registrant as specified in its charter)
Delaware 06-1207252
(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification #)
233 South Wacker Dr., Suite 2300, Chicago, IL 60606
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code: (312) 460-4000
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. Yes X No
Part I. Financial Information
Item 1. Financial Statements
Following are Financial Statements for the fiscal quarter ended June 30, 2002
and the additional time frames as noted:
Fiscal Quarter Year to Date Fiscal Year Fiscal Quarter Year to Date
Ended 6/30/02 Ended 6/30/02 Ended 12/31/01 Ended 6/30/01 Ended 6/30/01
Statement of Financial Condition X X
Statement of Operations X X X X
Statement of Changes in Partners' Capital X
Notes to Financial Statements X
IDS MANAGED FUTURES II, L.P.
STATEMENTS OF FINANCIAL CONDITION
UNAUDITED
Jun 30, 2002 Dec 31, 2001
ASSETS
Equity in commodity futures
trading accounts:
Cash on deposit with Brokers $3,363,565 $3,297,546
Unrealized gain (loss) on open
futures contracts 699,491 178,075
Investment in other commodity pools 2,329,420 2,257,061
6,392,476 5,732,682
Interest receivable 3,638 4,169
Receivable from other commodity pools 17,635 52,226
Total assets $6,413,749 $5,789,077
LIABILITIES AND PARTNERS' CAPITAL
Liabilities:
Accrued commissions on open futures contracts
due to AEFA Advisors and CIS $8,182 $4,933
Accrued exchange, clearing and NFA fees $441 24
Accrued management fee 6,750 5,766
Accrued incentive fee 0 0
Accrued general partner fee 998 1,803
Accrued operating expenses 18,057 32,000
Redemptions payable 30,774 98,720
Total liabilities 65,202 143,246
Partners' Capital:
Limited partners (10,061.77 units 6,119,519 5,413,630
outstanding at 6/30/02, 10,498.95
units outstanding at 12/31/01) (see Note 1)
General partners (376.57 units outstanding at 229,028 232,201
6/30/02, 450.32 units outstanding at
12/31/01) (see Note 1)
Total partners' capital 6,348,547 5,645,831
Total liabilities and partners' capital $6,413,749 $5,789,077
Net asset per outstanding unit of partnership interest $608.19 $515.64
See accompanying notes to financial statements.
IDS MANAGED FUTURES II, L.P.
STATEMENTS OF OPERATIONS
UNAUDITED
Apr 1, 2002 Jan 1, 2002 Apr 1, 2001 Jan 1, 2001
through through through through
Jun 30, 2002 Jun 30, 2002 Jun 30, 2001 Jun 30, 2001
REVENUES
Gain (loss) on trading of commodity futures and
forwards contracts,
physical commodities and related
options:
Realized gain (loss) on closed $529,223 $335,802 ($782,792) $1,108,909
positions
Change in unrealized gain (loss)
on open positions 686,204 521,417 ($415,233) ($1,353,999)
Interest income 10,220 20,999 55,519 $131,662
Income from Investment in other commodity pools 315,108 215,533 0 0
Foreign currency transaction gain (loss) 12,833 8,971 270,644 $7,105
Other revenue 0 0 38,025 38,025
Total revenues (losses) $1,553,588 $1,102,722 ($833,837) ($68,298)
EXPENSES
Commissions paid to AEFA Advisors 52,160 97,057 87,262 188,148
and CIS
Exchange fees 288 699 10,037 17,144
Management fees 16,888 32,748 32,580 67,729
Incentive fees 0 0 6,090 7,402
General partner fee 2,314 2,572 0 0
Operating expenses 8,080 16,498 8,105 16,400
Total expenses 79,730 149,574 144,074 296,823
Net profit (loss) $1,473,858 $953,148 ($977,911) ($365,121)
PROFIT (LOSS) PER UNIT OF PARTNERSHIP INTEREST $140.30 $92.55 ($84.01) ($31.71)
See accompanying notes to financial statements.
IDS MANAGED FUTURES II, L.P.
STATEMENT OF CHANGES IN PARTNERS' CAPITAL
UNAUDITED
Limited General
Units* Partners Partners Total
Partners' capital at January 1, 2002 10,498.95 $5,413,630 $232,201 $5,645,831
Net profit 921,814 31,334 953,148
Redemptions (see Note 1) (437.18) (215,925) (34,507) (250,432)
Partners' capital at June 30, 2002 10,061.77 $6,119,519 $229,028 $6,348,547
Net asset value per unit January 1, 2002 $515.64 $515.64
Net profit per unit 92.55 92.55
Net asset value per unit
June 30, 2002 $608.19 $608.19
* Units of Limited Partnership interest.
See accompanying notes to financial statements.
IDS MANAGED FUTURES II, L.P.
NOTES TO FINANCIAL STATEMENTS
June 30, 2002
(1) General Information and Summary
IDS Managed Futures II, L.P. (the Partnership), a limited partnership
organized in April 1987 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 General Partners are IDS
Futures Corporation (IDSFC) and CIS Investments, Inc (CISI). 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.
The Partnership shall be terminated on December 31, 2007 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 $1,500,000; (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, forwards 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 gains and losses on open contracts reflected in the statements
of financial condition represent 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 forwards 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 80% 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
Brokerage commissions and National Futures Association (NFA) clearing and
exchange fees are accrued on a half-turn basis on open commodity futures
contracts. The Partnership pays CIS commissions on trades executed on its
behalf at a rate of $29.375 per half-turn contract. For trades executed by
Welton Investment Corporation (Welton), the Partnership paid $21.875 per
half-turn contract. The Partnership pays these commissions directly to CIS
and CISFS, and CIS then reallocates the appropriate portion to American
Express Financial Advisors Inc. (AEFA Advisors).
Foreign Currency Transactions
Trading accounts in foreign currency denominations are susceptible to both
movements in underlying contract markets as well as fluctuations in
currency rates. Translation of foreign currencies into U.S. dollars for
closed positions is translated 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 which
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 and incentive fees are accrued
monthly and paid quarterly. Trading decisions for the periods of these
financial statements were made by the following Commodity Trading Advisors
(CTAs): John W. Henry & Company, Inc. (JWH), Welton and Sunrise Capital
Partners, LLC (Sunrise).
Under signed agreement, JWH and Sunrise each receive 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 net trading
profits if any, attributed to its management. Sunrise is paid its
management and incentive fees by IDS Managed Fund LLC, and through its
investment in IDS Managed Fund LLC, the Partnership pays its proportionate
share of such fees.
Under signed agreement, Welton received a monthly management fee and
incentive fee according to the terms set forth above for JWH and Sunrise.
(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 the 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 June 30,
2002 and 2001 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 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 (CEAct) requires an 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 an FCM are
considered commingled with all other customer funds subject to the FCM's
segregation requirements. In the event of an 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 affiliate 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, the risk of loss from counter party
non-performance.
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 June 30, 2002, 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 Partnership's
extent of involvement in derivatives at the date of the statement of
financial condition.
Net trading results from derivatives for the quarter ended June, 2002 and
2001, are reflected in the statement 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, 2001, as filed with the
Securities and Exchange Commission on March 29, 2002, 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 2002, IDSMF charged monthly
management fees of 1/12 of 2% of the NAV and a quarterly incentive fee of
20% of trading profits.
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.
Initial investment in IDSMF, December 31, 2001 $ 2,257,061
Results of operations of IDSMF:
Revenues 1,739,688
Management and incentive fees (401,977)
Other expenses (168,147)
Net income before allocation to Limited Partners 1,169,564
Special allocation to the other Limited Partner 954,031
Partnership's income from investment in IDSMF 215,533
Partnership's redemptions in IDSMF (143,174)
Net Asset Value of the Partnership's investment in
IDSMF, June 30, 2002 $ 2,329,420
(8) Financial Highlights
The following financial highlights show the Partnership's financial
performance for the period ended June 30, 2002. Total return is calculated
as the change is a theoretical beneficial owner's investment over the
entire period. Total return is calculated based on the aggregate return of
the Partnership taken as a whole.
Total return 17.95%
Ratio to average net assets:
Net Income 14.09%
Expenses:
Expenses 2.86
Incentive fees 0.00
Total expenses 2.86%
The net investment income and operating expenses ratios are computed based
upon the weighted average net assets for the Partnership for the period
ended June 30, 2002. Ratios do not reflect income or expenses related to
investment in other commodity pools.
IDS MANAGED FUTURES II, L.P.
Schedule of Investments
June 30, 2002
Number of Principal Value (OTE)
contracts (notional)
Long positions
Futures positions (3.1%)
Interest rates 245 $ 38,595,089 214,883
Metals 40 1,385,969 (18,016)
Indices 0 0 0
39,981,058 196,867
Forward positions (10.56%)
Currencies 1,063,294 (8,021)
Australian Dollar 615,591 (4,644)
Australian Dollar 2,450,795 119,576
Swiss Franc 987,811 43,991
European Euro 1,382,935 61,587
European Euro 3,580,815 159,467
European Euro 3,998,320 149,413
British Pound 746,353 18,012
British Pound 2,728,958 99,998
Japanese Yen 748,158 29,695
Japanese Yen 7,719 267
Japanese Yen 784,928 844
Japanese Yen 27,949 (34)
Japanese Yen 19,123,626 670,151
Total long positions $ 59,104,684 867,018
Short positions
Futures positions (-0.02%)
Interest rates 0 $ 0 0
Metals 39 1,362,000 (21,710)
Indices 26 1,636,612 20,554
2,998,612 (1,156)
Forward positions (-2.62%)
Currencies 6 5,282,661 (166,371)
Total short positions $ 8,281,273 (167,527)
Total open contracts (11.02%) $ 699,491
Cash on deposit with brokers (52.98%) 3,363,565
Investment in other commodity pools (36.69%) 2,329,420
Other assets in excess of liabilities (-0.69%) (43,929)
Net assets (100%) $ 6,348,547
Item 2. Management's Discussion and Analysis of Financial Condition and
Results of Operation
Fiscal Quarter ended June 30, 2002
The Partnership posted a gain of $1,473,858 or $140.30 per unit for the
second quarter of 2002.
The Partnership's performance was strong throughout the quarter. Powerful
trends in the currency sector propelled performance higher. On June, 30,
2002, the JWH was managing 63% of the Partnership's assets while Sunrise
was managing 37% 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 $5,529 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 expectations 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 two, five and ten-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 $402,840 or
$38.18 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 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 $1,076,547
or $102.64 per unit.
During the quarter, investors redeemed a total of 274.31 units. At the end
of the quarter there were 10,061.77 units outstanding (including 376.57
units owned by the General Partners).
During the fiscal quarter ended June 30, 2002 the Partnership had no
material credit exposure to a counter-party which is a foreign commodities
exchange.
Fiscal Quarter ended June 30, 2001
The Partnership recorded a loss of $977,911 or $84.01 per unit for the
second quarter of 2001.
The Partnership posted losses in each of the three months in the second
quarter. Overall, the second quarter of fiscal 2001 ended substantially
negative for the Partnership. Both managers, Welton and JWH experienced
poor performance. On June 30, 2001, JWH was managing 56.8% of the
Partnership's assets while Welton was managing 43.2% of the Partnership's
assets.
In April, the Partnership suffered losses as the economy and the U.S. stock
market demonstrated signs of rebounding. An unexpected discount rate cut in
the U.S., coupled with a lack of a cut in Europe, caused trend reversals in
both the Euro and U.S. dollar denominated bond markets. These reversals
were negative for The Partnership's investors. Long positions in the
Japanese bond market, which have been maintained for several months, were
closed out after similar price behavior. Trading in British, Swiss and
Australian interest rates was also slightly negative. The currency sector
experienced losses in April. The biggest loss came in the Yen, which was up
against the Dollar for the first month since August. The U.S. dollar fared
slightly better against the Euro, Swiss franc and the British pound, but
lost ground to each for the month. Gold rallied slightly off its low, which
reduced open trade profits and led to a small loss in the metal sector.
Petroleum prices continued trading in a volatile, sideways manner which
accounted for a small loss in energy. Overall, the Partnership recorded a
loss of $595,102 or $50.88 per unit in April.
In May, short positions in the Euro proved to be very profitable for the
Partnership. The Euro continued to erode in value against the U.S. dollar
as a lack of confidence in their monetary system is making Europeans
reconsider the need for a common currency. Trading in the interest rate
sector was challenging. Despite rate cuts by both the Fed and the European
Central Bank, many interest rate markets moved in a trendless manner which
resulted in losses. Energy markets were indecisive in May. Gains in short
natural gas positions were the most profitable while long crude oil
positions incurred losses. As has been the case for several months, the
Partnership had very small positions in metal and commodity markets due to
a lack of price trends. The Partnership recorded a loss of $112,726 or
$9.64 per unit in May.
In June, the Partnership suffered losses in interest rate and currency
trading primarily due to the uncertainty in the global economy. The
interest rate sector experienced negative performance largely due to the
volatility associated with the U.S. Federal Reserve's rate cut. Markets
failed to follow through after the cut, which led to losses in all U.S.
dollar and the Euro denominated interest rate trading. Australian interest
rate trading was negative as well. The only bright spot in the interest
rate sector came from the long positions in Japanese government bonds. The
re-election of U.K. Prime Minister Tony Blair added to an already confusing
situation in the currency sector. The Euro and British pound closed the
month about unchanged against the U.S. dollar. However, the intra-month
volatility in each of these markets triggered stop-loss selling. The
Partnership's long Yen/short Euro position, which had been profitable in
May, was closed due to weakness in the Yen. Losses in crude oil and
gasoline trading more than offset gains made in short positions in natural
gas. The Partnership recorded a loss of $270,083 or $23.49 per unit in
June.
The Partnership was down 5.50% for the calendar year-to-date.
During the quarter, investors redeemed a total of 521.29 units. At the end
of the quarter there were 11,444.50 units outstanding (including 450.32
units owned by the General Partners).
During the fiscal quarter ended June 30, 2001 the Partnership had no
material credit exposure to a counterparty which is a foreign commodities
exchange or to any counterparty dealing in over the counter contract which
was material.
Fiscal Quarter ended March 31, 2002
The Partnership recorded a loss of $520,709 or $47.75 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,
the JWH was managing 58% of the Partnership's assets while Sunrise was
managing 42% 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 $61,075 or $5.58 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 $266,145 or $24.37 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 $193,489 or $17.80 per unit in
March.
During the quarter, investors redeemed a total of 162.87 units. At the end
of the quarter there were 10,712.65 units outstanding (including 376.57
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.
Fiscal Quarter ended March 31, 2001
The Partnership recorded a gain of $612,789 or $52.30 per unit for the
first quarter of 2001.
During the first two months of the quarter, the Partnership experienced
slightly negative performance. However, during March, strong gains were
recorded. Overall, the first quarter of fiscal year 2001 ended
substantially positive for the Partnership account managed by JWH and
slightly negative for the accounts managed by Welton. On March 30, 2001,
JWH was managing 54.8% of the Partnership's assets while Welton was
managing 45.2% of the Partnership's assets.
In January, positive performance in the currency sector early in the month
turned into a small loss by month end. The single most profitable position
in the Partnership's portfolio was short Japanese yen. Long positions in
the Euro and the U.S. dollar against the Yen were not enough to offset
losses in other currency positions. In the interest rate sector, the
Partnership's long bond positions in various countries around the world
were slightly positive. Small profits were produced in almost every
geographic area. Crude and heating oil prices bounced about in a
featureless pattern. The metal sector showed signs of breaking out of its
prolonged down trend as silver, copper and aluminum rallied sharply.
Overall, the Partnership recorded a loss of $159,898 or $13.29 per unit in
January.
During February, the Bank of Japan once again adopted a policy of reducing
interest rates as Japanese economic recovery stalled. This allowed the
Partnership's long positions in Japanese bonds to greatly appreciate in
value. Smaller gains were made in long positions in U.S., German, British,
and Australian interest rates. Trading in European currencies was
negative. Both the Euro and Swiss franc traded in erratic patterns for
much of the month, which more than offset the gains made in the Yen. OPEC
agreed to cut output by 1.5 million barrels a day in order to support
prices. However, the slowing of global economies counteracted this decrease
leading to an unprofitable trading environment for the Partnership. By the
end of the month, the Partnership had all but exited the energy sector. The
Partnership recorded a loss of $12,973 or $1.09 per unit in February.
In March, the Partnership experienced strong positive performance. Despite
a trend interruption late in the month, trading in the interest rate sector
was positive with some geographic areas dramatically outperforming others.
The Bank of Japan's decision to stimulate Japan's economy at all costs
hastened the decline of Japanese interest rates which allowed the
Partnership's long Japanese bond positions to be the most profitable in the
portfolio. Gloomy growth outlooks for Europe and Great Britain directed
interest rates lower which was profitable for the Partnership. Conversely,
trading in U.S. interest rates was negative. The currency sector, which had
been up dramatically since September, continued its stellar performance in
March. The unyielding strength of the U.S. dollar versus the Japanese yen
was the cornerstone of the sector's performance. The Yen lost approximately
8% to the U.S. dollar in March and approximately 17% since September. Gains
were also accrued in long U.S. dollar positions against the Swiss franc and
Australian dollar. Trading in the U.S. dollar versus the Euro was slightly
negative. As had been the case for several months, position sizes in the
commodity, metal, energy and stock index sectors were quite small due to
lack of price trends. The Partnership recorded a gain of $785,660.31 or
$66.67 per unit in March.
During the quarter, investors redeemed a total of 268.78 units. At the end
of the quarter there were 11,697.01 units outstanding (including 450.32
units owned by the General Partners).
During the fiscal quarter ended March 30, 2001 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, 2001.
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 a material adverse effect on the financial condition or results
of operations of the Partnership.
Item 2. Changes in Securities
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
a) Exhibits
Exhibit 99 - Certification Pursuant to Section 1350 of Chapter 63 of Title
18 of the United States Code
b) Reports on Form 8-K
None
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 II, L.P.
Date: August 14, 2002
By: CIS Investments, Inc.,
One of its General Partners
By: /s/ Shaun O'Brien
Shaun O'Brien
Vice President, CFO and Director
(Duly authorized officer of the General Partner and the Principal Financial
Officer of the General Partner)
Exhibit 99 - Certification Pursuant to Section 1350 of Chapter 63 of Title
18 of the United States Code
I, Shaun D. O'Brien, the Chief Financial Officer of CIS Investments, Inc.
("CISI"), the General Partner of IDS Managed Futures II, L.P. (the
"Partnership"), and I, James A. Davison, the President of CISI, certify that
(i) the attached 10-Q fully complies with the requirements of Section 13(a)
or 15(d) of the Securities Exchange Act of 1934 and (ii) the information
contained in the attached 10-Q fairly presents, in all material respects,
the financial condition and results of operations of the Partnership.
James A. Davison
President
CIS Investments, Inc.
August 14, 2002
Shaun D. O'Brien
Chief Financial Officer
CIS Investments, Inc.
August 14, 2002