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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 [No Fee Required]
For the year ended December 31, 2000 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 0-17178
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
(Exact name of registrant as specified in its Limited Partnership
Agreement)
DELAWARE 13-3469595
(State or other jurisdiction of (I.R.S.
Employer
incorporation or organization)
Identification No.)
c/o Demeter Management Corporation
Two World Trade Center, - 62nd Flr., New York, N.Y.
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)
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 10-K. [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 as of a specified date within 60
days prior to the date of filing: $7,859,509 at January 31, 2001.
DOCUMENTS INCORPORATED BY REFERENCE
(See Page 1)
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
INDEX TO ANNUAL REPORT ON FORM 10-K
DECEMBER 31, 2000
Page No.
DOCUMENTS INCORPORATED BY REFERENCE. . . . . . . . . . . . .
. . . . 1
Part I .
Item 1. Business. . . . . . . . . . . . . . . . . . . . . . .
. 2-4
Item 2. Properties. . . . . . . . . . . . . . . . . . . . . .
. . 4
Item 3. Legal Proceedings. . . . . . . . . . . . . . . . . .
. 4-5
Item 4. Submission of Matters to a Vote of Security Holders. .
. .6
Part II.
Item 5.Market for the Registrant's Partnership Units
and Related Security Holder Matters. . . . . . . . . .
. .7
Item 6. Selected Financial Data . . . . . . . . . . . . . . .
. . .8
Item 7.Management's Discussion and Analysis of Financial
Condition and Results of Operations. . . . . . . . . .
.9-21
Item 7A. Quantitative and Qualitative Disclosures About
Market Risk . . . . . . . . . . . . . . . . . . . .. .
21-34
Item 8. Financial Statements and Supplementary Data. . .. . .
. ..35
Item 9.Changes in and Disagreements with Accountants on
Accounting and Financial Disclosure. . . . . . . . . .
. 35
Part III.
Item 10.Directors and Executive Officers of the Registrant .
36-40
Item 11. Executive Compensation. . . . . . . . . . . . . . . .
. .40
Item 12.Security Ownership of Certain Beneficial Owners
and Management. . . . . . . . . . . . . . . . . . . .
.40-41
Item 13. Certain Relationships and Related Transactions. . . .
. .41
Part IV.
Item 14. Exhibits,
Financial Statement Schedules, and
Reports on Form 8-K. . . . . . . . . . . . . . . . . .
. .42
DOCUMENTS INCORPORATED BY REFERENCE
Portions of the following documents are incorporated by reference
as follows:
Documents Incorporated Part of Form 10-K
Partnership's Prospectus dated
June 24, 1988 I
Annual Report to Dean Witter
Multi-Market Portfolio L.P.
Limited Partners for the year
ended December 31, 2000 II, III and IV
PART I
Item 1. BUSINESS
(a) General Development of Business. Dean Witter Multi-Market
Portfolio L.P. (formerly, Dean Witter Principal Guaranteed Fund
L.P.) (the "Partnership") is a Delaware limited partnership
organized to engage primarily in the speculative trading of
futures contracts, forward contracts, and other commodity
interests.
The general partner for the Partnership is Demeter Management
Corporation ("Demeter"). The non-clearing commodity broker is
Dean Witter Reynolds Inc. ("DWR"). The clearing commodity
brokers are Morgan Stanley & Co. Inc. ("MS & Co.") and Morgan
Stanley & Co. International Limited ("MSIL") which provide
clearing and execution services. Prior to May 2000, Carr Futures
Inc. provided clearing and execution services to the Partnership.
The Trading Advisor is Dean Witter Futures & Currency Management
Inc. ("DWFCM" or the "Trading Advisor"). Demeter, DWR, MS & Co.,
MSIL and DWFCM are wholly-owned subsidiaries of Morgan Stanley
Dean Witter & Co. ("MSDW").
The Partnership's net asset value per unit of limited partnership
interest ("Unit(s)") as of December 31, 2000 was $1,338.12,
representing a gain of 21.6 percent from the net asset value per
Unit of $1,100.09 at December 31, 1999. For a more detailed
description of the Partnership's business see subparagraph (c).
(b) Financial Information about Segments. For financial
information reporting purposes, the Partnership is deemed to
engage in one industry segment, the speculative trading of
futures and forwards. The relevant financial information is
presented in Items 6 and 8.
(c) Narrative Description of Business. The Partnership is in the
business of speculative trading of futures and forwards, pursuant
to trading instructions provided by the Trading Advisor. For a
detailed description of the different facets of the Partnership's
business, see those portions of the Partnership's prospectus (the
"Prospectus"), dated June 24, 1988, incorporated by reference in
this Form 10-K, set forth below:
Facets of Business
1. Summary 1. "Summary of the Prospectus"
(Pages 2-11 of the
Prospectus).
2. Commodity Markets 2. "The Commodities Markets"
(Pages 158-168 of the
Prospectus).
3. Partnership's Commodity 3. "Trading Policies" (Pages
Trading Arrangements and 153-154 of the Prospectus
Policies and Supplemental Informa-
tion Regarding Dean Witter
Futures & Currency Manage-
ment Inc. dated August
27, 1993).
4. Management of the Part- 4. "The Management
Agreement"
nership (Pages 156-158 of the
Prospectus and Supplemental
Information Regarding Dean
Witter Futures & Currency
Management Inc. dated
August 27, 1993). "The
General Partner" (Pages
36-52 of the Prospectus)
"The Commodity Broker"
(Pages 154-55 of the
Prospectus) and "The
Limited Partnership
Agreement" (Pages 169-
174 of the Prospectus).
5. Taxation of the Partner- 5. "Material Federal
Income ship's Limited Partners
Tax Considerations" and "State and
Local Income Tax
Aspects" (Pages 176-185 of the
Prospectus).
(d) Financial Information about Geographic Areas.
The Partnership has not engaged in any operations in foreign
countries; however, the Partnership (through the commodity
brokers) enters into forward contract transactions where foreign
banks are the contracting party and trades in futures and
forwards on foreign exchanges.
Item 2. PROPERTIES
The executive and administrative offices are located within the
offices of 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
Similar class actions were filed in 1996 in California and New
York State courts. Each of these actions were dismissed in 1999.
However, the New York State class action discussed below is still
pending because plaintiffs appealed the trial court's dismissal
of their case on March 3, 2000.
On September 18 and 20, 1996, purported class actions were filed
in the Supreme Court of the State of New York, New York County,
on behalf of all purchasers of interests in limited partnership
commodity pools sold by DWR. Named defendants include DWR,
Demeter, MSDW, DWFCM, certain limited partnership commodity pools
of which Demeter is the general partner and certain trading
advisors to those pools. A consolidated and amended complaint in
the action pending in the Supreme Court of the State of New York
was filed on August 13, 1997, alleging that the defendants
committed fraud, breach of fiduciary duty, and negligent
misrepresentation in the sale and operation of the various
limited partnership commodity pools. The complaints sought
unspecified amounts of compensatory and punitive damages and
other relief. The New York Supreme Court dismissed the New York
action in November 1998, but granted plaintiffs leave to file an
amended complaint, which they did in early December 1998. The
defendants filed a motion to dismiss the amended complaint with
prejudice on February 1, 1999. By decision dated December 21,
1999, the New York Supreme Court dismissed the case with
prejudice. However, on March 3, 2000, plaintiffs appealed the
trial court's dismissal of their case.
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
(a) Market Information
There is no established public trading market for Units of the
Partnership.
(b) Holders
The number of holders of Units at December 31, 2000 was
approximately 1,115.
(c) Distributions
No distributions have been made by the Partnership since it
commenced trading operations on August 31, 1988. Demeter has
sole discretion to decide what distributions, if any, shall be
made to investors in the Partnership. Demeter currently does not
intend to make any distribution of Partnership profits.
Item 6. SELECTED FINANCIAL DATA (in dollars)
For the Years Ended December 31,
2000 1999 1998 1997 1996 .
Total Revenues
(including interest) 2,211,592 (52,906) 1,454,762
2,476,075 358,079
Net Income (Loss) 1,518,713 (848,874) 540,864
1,393,549 (1,110,424)
Net Income (Loss)
Per Unit (Limited
& General Partners) 238.03 (105.77) 64.23
133.87 (73.06)
Total Assets 8,472,258 8,030,735 10,054,538 11,035,294
12,169,963
Total Limited
Partners' Capital 8,202,856 7,791,740 9,851,534
10,451,503 11,628,908
Net Asset Value Per
Unit 1,338.12 1,100.09 1,205.86
1,141.63 1,007.76
Item 7. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS
Liquidity - The Partnership deposits its assets with DWR as non-
clearing broker and MS & Co. and MSIL as clearing brokers in
separate futures and forwards trading accounts established for
the Trading Advisor, which assets are used as margin to engage in
trading. The assets are held in either non-interest-bearing bank
accounts or in securities and instruments permitted by the
Commodity Futures Trading Commission ("CFTC") for investment of
customer segregated or secured funds. The Partnership's assets
held by the commodity brokers may be used as margin solely for
the Partnership's trading. Since the Partnership's sole purpose
is to trade in futures and forwards, it is expected that the
Partnership will continue to own such liquid assets for margin
purposes.
The Partnership's investment in futures and forwards may, from
time to time, be illiquid. Most U.S. futures exchanges limit
fluctuations in prices during a single day by regulations
referred to as "daily price fluctuations limits" or "daily
limits". Trades may not be executed at prices beyond the daily
limit. If the price for a particular futures contract has
increased or decreased by an amount equal to the daily limit,
positions in that futures contract can neither be taken nor
liquidated unless traders are willing to effect trades at or
within the limit. Futures prices have occasionally moved the
daily limit for several consecutive
days with little or no trading. These market conditions could
prevent the Partnership from promptly liquidating its futures
contracts and result in restrictions on redemptions.
There is no limitation on daily price moves in trading forward
contracts on foreign currencies. The markets for some world
currencies have low trading volume and are illiquid, which may
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.
The Partnership has never had illiquidity affect a material
portion of its assets.
Capital Resources. The Partnership does not have, or expect to
have, any capital assets. Redemptions of Units in the future
will affect the amount of funds available for investments in
futures and forwards in subsequent periods. It is not possible
to estimate the amount and therefore the impact of future
redemptions of Units.
Results of Operations.
General. The Partnership's results depend on its Trading Advisor
and the ability of the Trading Advisor's trading programs to take
advantage of price movements or other profit opportunities in the
futures and forwards markets. The following presents a summary
of the Partnership's operations for the three years ended
December 31, 2000 and a general discussion of its trading
activities during each period. It is important to note, however,
that the Trading Advisor trades in various markets at different
times and that prior activity in a particular market does not
mean that such market will be actively traded by the Trading
Advisor or will be profitable in the future. Consequently, the
results of operations of the Partnership are difficult to discuss
other than in the context of its Trading Advisor's trading
activities on behalf of the Partnership as a whole and how the
Partnership has performed in the past.
At December 31, 2000, the Partnership's total capital was
$8,336,668, an increase of $434,919 from the Partnership's total
capital of $7,901,749 at December 31, 1999. For the year ended
December 31, 2000, the Partnership generated net income of
$1,518,713 and total redemptions aggregated $1,083,794.
For the year ended December 31, 2000, the Partnership recorded
total trading revenues, including interest income, of $2,211,592
and posted an increase in net asset value. In the energy sector,
profits of approximately 18.2% resulted primarily from long
positions in the natural gas and crude oil futures markets.
Natural gas saw its price rise to record levels in 2000. Recent
low inventory levels, sluggish supply and cold winter weather
combined to push prices to such high levels. In the crude oil
market, gains were realized from long positions earlier in the
year as prices rose to nine-year highs on a combination of cold
weather, declining inventories and increasing demand. In
addition, concerns about future output levels from the world's
leading producer countries added to the upward price momentum.
Later in the year, however, profits resulted from short positions
as the price of crude oil futures fell on expectations that Iraqi
oil exports would resume and on fears that the slowdown in the
economy would curb demand while at the same time increase supply.
In the currency markets, gains of approximately 14.2% were
recorded primarily from short positions in the euro, Swiss franc
and Swedish krona as the value of these European currencies
weakened relative to the U.S. dollar amid skepticism about
Europe's economic outlook. Strong economic data out of the U.S.
and interest rate hikes in the U.S. also boosted the dollar and,
subsequently, added to the euro's difficulties. Later in the
year as the bullish trend in the U.S. dollar reversed, additional
gains were recorded from long positions in the euro, Swiss franc
and Swedish krona versus the U.S. dollar as a result of new
confidence in the European economy and overall skepticism
regarding the U.S. economy. Profits of approximately 1.9% were
recorded in the agricultural markets primarily from short
positions in the corn market during the middle of the year as the
price of corn trended lower on favorable weather conditions that
resulted in good prospects for high crop yields. A portion of
these gains was offset by losses experienced in the metals, stock
index and soft commodities markets. The majority of losses,
approximately 7.2%, were experienced in the metals markets
primarily from aluminum futures. From a technical standpoint,
the price of aluminum traded in a very volatile pattern
throughout the year leaving little opportunity for the
development of trends. In addition, long positions in this
market, particularly in the second half of the year, resulted in
losses as prices declined after concerns mounted that demand
would weaken amid a cooling of the U.S. economy. Losses of
approximately 5.1% were recorded in the global stock index
futures markets. The S&P 500 Index traded in a very choppy
pattern resulting in losses for both long and short positions.
Contributing to this price pattern was uncertainty over the state
of the U.S. economy. Total expenses for the year were
$692,879, resulting in net income of $1,518,713. The net asset
value of a Unit increased from 1,100.09 at December 31, 1999 to
1,338.12 at December 31, 2000.
At December 31, 1999, the Partnership's total capital was
$7,901,749, a decrease of $2,070,371 from the Partnership's total
capital of $9,972,120 at December 31, 1998. For the year ended
December 31, 1999, the Partnership generated a net loss of
$848,874 and total redemptions aggregated $1,221,497.
For the year ended December 31, 1999, the Partnership recorded
total trading losses, net of interest income, of $52,906 and
posted a decrease in net asset value per Unit. The Partnership
experienced losses in the global interest rate futures markets of
approximately 8.93%, primarily from short Australian interest
rate futures positions as prices increased during July and August
on the temporary strength in U.S. bonds and weaker-than-expected
business spending data out of Australia. Additional losses were
recorded from short Japanese bond futures positions as prices
increased during the first and third quarters. In the currency
markets, losses of approximately 6.92% were recorded primarily
from Australian dollar positions. Throughout a majority of the
first quarter, losses were experienced from long Australian
dollar positions as its value dropped significantly relative to
the U.S. dollar on speculation regarding potential currency
devaluations in the Asian region. Early in the third quarter,
additional losses were recorded from long positions in this
currency due to depressed commodities prices, emerging market
concerns and on-going talks that China may eventually devalue its
currency. Newly established short positions in the Australian
dollar resulted in losses during September as its value
strengthened relative to the U.S. dollar following the rally in
gold prices. Offsetting currency gains of 3.82% were recorded
from Japanese yen positions, primarily long positions. During
the third quarter, gains were recorded from long positions in the
Japanese yen as the value of the yen climbed to a 44-month high
versus the U.S. dollar due to continued optimism over Japan's
economic recovery. The energy markets produced gains of
approximately 7.21%. During March, gains were recorded from long
positions in oil futures as prices moved significantly higher on
news that both OPEC and non-OPEC countries had reached an
agreement to cut total output beginning April 1st. Gains were
also recorded in this market complex during the third quarter
after OPEC ministers confirmed that they would uphold their
global cutbacks until April of 2000. Total expenses for the year
were $795,968, resulting in a net loss of $848,874. The net
asset value of a Unit decreased from $1,205.86 at December 31,
1998 to $1,100.09 at December 31, 1999.
At December 31, 1998, the Partnership's total capital was
$9,972,120, a decrease of $828,723 from the Partnership's total
capital of $10,800,843 at December 31, 1997. For the year ended
December 31, 1998, the Partnership generated net income of
$540,864 and total redemptions aggregated $1,369,587.
For the year ended December 31, 1998, the Partnership recorded
total trading revenues, including interest income, of $1,454,762
and posted an increase in net asset value per Unit. Gains of
approximately 13.35% were recorded in the global interest rate
futures markets from bond futures in most major world countries
throughout the year. The most significant gains were recorded in
German bond futures, (approximately 5.34%), U.S. bond futures,
(approximately 4.15%) and Japanese bond futures, (approximately
2.85%) from primarily long positions during August and September
as investors sought the safety of fixed income investments from
notable volatility in the global financial markets. Additional
profits were recorded from short Japanese government bond futures
positions during December as prices declined amid a surge in
Japanese bond yields, which was attributed to news that Japan's
Ministry of Finance would end outright purchases of government
debt. Total expenses for the year were $913,898, resulting in
net income of $540,864. The net asset value of a Unit increased
from $1,141.63 at December 31, 1997 to $1,205.86 at December 31,
1998.
The Partnership's overall performance record represents varied
results of trading in different futures and forwards markets.
For a further description of 2000 trading results, refer to the
letter to the Limited Partners in the accompanying Annual Report
to Limited Partners for the year ended December 31, 2000, which
is incorporated by reference to Exhibit 13.01 of this Form 10-K.
The Partnership's gains and losses are allocated among its
partners for income tax purposes.
Credit Risk.
Financial Instruments. The Partnership is a party to financial
instruments with elements of off-balance sheet market and credit
risk. The Partnership may trade futures and forwards in a
portfolio of agricultural commodities, energy products, foreign
currencies, interest rates, precious and base metals, soft
commodities, and stock indices. In entering into these contracts,
the Partnership is subject to the 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
positions held by the Partnership at the same time, and if the
Trading Advisor was unable to offset positions of the
Partnership, the Partnership could lose all of its assets and
investors would realize a 100% loss.
In addition to the Trading Advisor's internal controls, the
Trading Advisor must comply with the trading policies of the
Partnership. These trading policies include standards for
liquidity and leverage with which the Partnership must comply.
The Trading Advisor and Demeter monitor the Partnership's trading
activities to ensure compliance with the trading policies.
Demeter may require the Trading Advisor to modify positions of
the Partnership if Demeter believes they violate the
Partnership's trading policies.
In addition to market risk, in entering into futures and forwards
contracts there is a credit risk to the Partnership that the
counterparty on a contract will not be able to meet its
obligations to the Partnership. The ultimate counterparty or
guarantor of the Partnership for futures contracts traded in the
United States and the foreign exchanges on which the Partnership
trades is the clearinghouse associated with such exchange. In
general, a clearinghouse is 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 member's customers, which should
significantly reduce this credit risk. For example, a
clearinghouse may cover a default by drawing upon a defaulting
member's mandatory contributions and/or non-defaulting members'
contributions to a clearinghouse guarantee fund, established
lines or letters of credit with banks, and/or the clearinghouse's
surplus capital and other available assets of the exchange and
clearinghouse, or assessing its members. In cases where the
Partnership trades off-exchange forward contracts with a
counterparty, the sole recourse of the Partnership will be the
forward contracts counterparty.
There is no assurance that a clearinghouse or exchange will meet
its obligations to the Partnership, and Demeter and the commodity
brokers will not indemnify the Partnership against a default by
such parties. Further, the law is unclear as to whether a
commodity broker has any obligation to protect its customers from
loss in the event of an exchange or clearinghouse defaulting on
trades effected for the broker's customers. Any such obligation
on the part of a broker appears even less clear where the default
occurs in a non-U.S. jurisdiction.
Demeter deals with these credit risks of the Partnership in
several ways. First, it monitors the Partnership's credit
exposure to each exchange on a daily basis, calculating not only
the amount of margin required for it but also the amount of its
unrealized gains at each exchange, if any. The commodity brokers
inform the Partnership, as with all their customers, of its net
margin requirements for all its existing open positions, but do
not break that net figure down, exchange by exchange. Demeter,
however, has installed a system which permits it to monitor the
Partnership's potential margin liability, exchange by exchange.
As a result, Demeter is able to monitor the Partnership's
potential net credit exposure to each exchange by adding the
unrealized trading gains on that exchange, if any, to the
Partnership's margin liability thereon.
Second, the Partnership's trading policies limit the amount of
its net assets that can be committed at any given time to futures
contracts and require, in addition, a minimum amount of
diversification in the Partnership's trading, usually over
several different products. One of the aims of such trading
policies has been to reduce the credit exposure of the
Partnership to a single exchange and, historically, the
Partnership's exposure to any one exchange has typically amounted
to only a small percentage of its total net assets. On those
relatively few occasions where the Partnership's credit exposure
may climb above such level, Demeter deals with the situation on a
case by case basis, carefully weighing whether the increased
level of credit exposure remains appropriate. Material changes
to the trading policies may be made only with the prior written
approval of the Limited Partners owning more than 50% of Units
then outstanding.
Third, with respect to forward contract trading, the Partnership
trades with only those counterparties which Demeter, together
with DWR, have determined to be creditworthy. The Partnership
presently deals with MS & Co. as the sole counterparty on
forwards contracts.
See "Financial Instruments" under Notes to Financial Statements
in the Partnership's Annual Report to Limited Partners for the
year ended December 31, 2000, which is incorporated by reference
to Exhibit 13.01 of this Form 10-K.
Item 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET
RISK
Introduction
The Partnership is a commodity pool involved in the speculative
trading of futures and forwards. The market-sensitive
instruments held by the Partnership are acquired for speculative
trading purposes only and, as a result, all or substantially all
of the Partnership's assets are at risk of trading loss. Unlike
an
operating company, the risk of market-sensitive instruments is
central, not incidental, to the Partnership's main business
activities.
The futures and forwards traded by the Partnership involve
varying degrees of related market risk. Market risk is often
dependent upon changes in the level or volatility of interest
rates, exchange rates, and prices of financial instruments and
commodities. Fluctuations in market risk based upon these
factors result in frequent changes in the fair value of the
Partnership's open positions, and, consequently, in its earnings
and cash flow.
The Partnership's total market risk is influenced by a wide
variety of factors, including the diversification among the
Partnership's open positions, the volatility present within the
markets, and the liquidity of the markets. At different times,
each of these factors may act to increase or decrease the market
risk associated with the Partnership.
The Partnership's past performance is not necessarily indicative
of its future results. Any attempt to numerically quantify the
Partnership's market risk is limited by the uncertainty of its
speculative trading. The Partnership's speculative trading may
cause future losses and volatility (i.e. "risk of ruin") that far
exceed the Partnership's experiences to date or any reasonable
expectations based upon historical changes in market value.
Quantifying the Partnership's Trading Value at Risk
The following quantitative disclosures regarding the
Partnership's market risk exposures contain "forward-looking
statements" within the meaning of the safe harbor from civil
liability provided for such statements by the Private Securities
Litigation Reform Act of 1995 (set forth in Section 27A of the
Securities Act of 1933 and Section 21E of the Securities Exchange
Act of 1934). All quantitative disclosures in this section are
deemed to be forward-looking statements for purposes of the safe
harbor, except for statements of historical fact.
The Partnership accounts for open positions using mark-to-market
accounting principles. Any loss in the market value of the
Partnership's open positions is directly reflected in the
Partnership's earnings, whether realized or unrealized, and its
cash flow. Profits and losses on open positions of exchange-
traded futures and forwards are settled daily through variation
margin.
The Partnership's risk exposure in the market sectors traded by
the Trading Advisor is estimated below in terms of Value at Risk
("VaR"). The VaR model used by the Partnership includes many
variables that could change the market value of the Partnership's
trading portfolio. The Partnership estimates VaR using a model
based upon historical simulation with a confidence level of 99%.
Historical simulation involves constructing a distribution of
hypothetical daily changes in the value of a trading portfolio.
The VaR model takes into account linear exposures to price and
interest rate risk. Market risks that are incorporated in the
VaR model include equity and commodity prices, interest rates,
foreign exchange rates, and correlation among these variables.
The hypothetical changes in portfolio value are based on daily
percentage changes observed in key market indices or other market
factors ("market risk factors") to which the portfolio is
sensitive. The historical observation period of the
Partnership's VaR is approximately four years. The one-day 99%
confidence level of the Partnership's VaR corresponds to the
negative change in portfolio value that, based on observed market
risk factors, would have been exceeded once in 100 trading days.
VaR models, including the Partnership's, are continuously
evolving as trading portfolios become more diverse and modeling
techniques and systems capabilities improve. Please note that
the VaR model is used to numerically quantify market risk for
historic reporting purposes only and is not utilized by either
Demeter or the Trading Advisor in their daily risk management
activities.
The Partnership's Value at Risk in Different Market Sectors
The following table indicates the VaR associated with the
Partnership's open positions as a percentage of total net assets
by primary market risk category as of December 31, 2000 and 1999.
At both December 31, 2000 and 1999, the Partnership's total
capitalization was approximately $8 million.
Primary Market December 31, 2000 December 31, 1999
Risk Category Value at Risk Value at Risk
Interest Rate (2.82)% (0.22)%
Currency (1.64) (0.79)
Commodity (1.07) (0.81)
Equity (0.25) (0.16)
Aggregate Value at Risk (3.31)% (1.26)%
Aggregate Value at Risk represents the aggregate VaR of all the
Partnership's open positions and not the sum of the VaR of the
individual market categories listed above. Aggregate VaR will be
lower as it takes into account correlation among different
positions and categories.
The table above represents the VaR of the Partnership's open
positions at December 31, 2000 and 1999 only and is not
necessarily representative of either the historic or future risk
of an investment in the Partnership. Because the Partnership's
only business is the speculative trading of futures and forwards,
the composition of its trading portfolio can change significantly
over any given time period, or even within a single trading day.
Any changes in open positions could positively or negatively
materially impact market risk as measured by VaR.
The table below supplements the December 31, 2000 VaR by
presenting the Partnership's high, low and average VaR, as a
percentage of total net assets for the four quarterly reporting
periods from January 1, 2000 through December 31, 2000.
Primary Market Risk Category High Low Average
Interest Rate (2.82)% (0.57)% (1.61)%
Currency (2.74) (1.42) (1.86)
Commodity (2.41) (1.07) (1.79)
Equity (1.16) - (0.37)
Aggregate Value at Risk (3.31)% (2.59)% (3.11)%
Limitations on Value at Risk as an Assessment of Market Risk
The face value of the market sector instruments held by the
Partnership is typically many times the applicable margin
requirements. Margin requirements generally range between 2% and
15% of contract face value. Additionally, the use of leverage
causes the face value of the market sector instruments held by
the Partnership to typically be many times the total
capitalization of the Partnership. The value of the
Partnership's open positions thus creates a "risk of ruin" not
usually found in other investments. The relative size of the
positions held may cause the Partnership to incur losses greatly
in excess of VaR within a short period of time, given the effects
of the leverage employed and market volatility. The VaR tables
above, as well as the past performance of the Partnership, give
no indication of such "risk of ruin". In addition, VaR risk
measures should be viewed in light of the methodology's
limitations, which include the following:
past changes in market risk factors will not always result
in accurate predictions of the distributions and correlations of
future market movements;
changes in portfolio value in response to market movements
may differ from those of the VaR model;
VaR results reflect past trading positions while future risk
depends on future positions;
VaR using a one-day time horizon does not fully capture the
market risk of positions that cannot be liquidated or hedged
within one day; and
the historical market risk factor data used for VaR
estimation may provide only limited insight into losses that
could be incurred under certain unusual market movements.
VaR tables above present the results of the Partnership's VaR for
each of the Partnership's market risk exposures and on an
aggregate basis at December 31, 2000 and 1999, and for the end of
the four quarterly reporting periods during calendar year 2000.
Since VaR is based on historical data, VaR should not be viewed
as predictive of the Partnership's future financial performance
or its ability to manage or monitor risk. There can be no
assurance that the Partnership's actual losses on a particular
day will not exceed the VaR amounts indicated above or that such
losses will not occur more than once in 100 trading days.
Non-Trading Risk
The Partnership has non-trading market risk on its foreign cash
balances not needed for margin. These balances and any market
risk they may represent are immaterial. At December 31, 2000, the
Partnership's cash balance at DWR was approximately 85% of its
total net asset value. A decline in short-term interest rates
will result in a decline in the Partnership's cash management
income. This cash flow risk is not considered to be material.
Materiality, as used throughout this section, is based on an
assessment of reasonably possible market movements and any
associated potential losses taking into account the leverage,
optionality and multiplier features of the Partnership's market-
sensitive instruments.
Qualitative Disclosures Regarding Primary Trading Risk Exposures
The following qualitative disclosures regarding the Partnership's
market risk exposures - except for (A) those disclosures that are
statements of historical fact and (B) the descriptions of how the
Partnership manages its primary market risk exposures -
constitute forward-looking statements within the meaning of
Section 27A of the Securities Act and Section 21E of the
Securities Exchange Act. The Partnership's primary market risk
exposures as well as the strategies used and to be used by
Demeter and the Trading Advisor for managing such exposures are
subject to numerous uncertainties, contingencies and risks, any
one of which could cause the actual results of the Partnership's
risk controls to differ materially from the objectives of such
strategies. Government interventions, defaults and
expropriations, illiquid markets, the emergence of
dominant fundamental factors, political upheavals, changes in
historical price relationships, an influx of new market
participants, increased regulation and many other factors could
result in material losses as well as in material changes to the
risk exposures and the risk management strategies of the
Partnership. Investors must be prepared to lose all or
substantially all of their investment in the Partnership.
The following were the primary trading risk exposures of the
Partnership as of December 31, 2000 by market sector. It may be
anticipated, however, that these market exposures will vary
materially over time.
Interest Rate. The largest market exposure at December 31, 2000
was in the interest rate complex. Exposure was spread across
European, United States, Japanese and Australian interest rate
sectors. Interest rate movements directly affect the price of
the sovereign bond futures positions held by the Partnership and
indirectly affect the value of its stock index and currency
positions. Interest rate movements in one country as well as
relative interest rate movements between countries materially
impact the Partnership's profitability. The Partnership's
primary interest rate exposure is generally to interest rate
fluctuations in the United States and the other G-7 countries.
The G-7 countries consist of France, U.S., Britain, Germany,
Japan, Italy and Canada. However, the Partnership also takes
futures positions in the government debt of smaller nations -
e.g. Australia. Demeter anticipates that G-7 and Australian
interest rates will remain the primary interest rate exposure of
the Partnership for the foreseeable future. The changes which
have the most effect on the Partnership are in short to
intermediate-term as opposed to long-term rates as most of the
speculative interest rate futures positions held by the
Partnership are in short-term and medium-term instruments.
Currency. The next most significant market exposure of the
Partnership at December 31, 2000 was in the foreign exchange
complex. The currency exposure is to exchange rate fluctuations,
primarily those which disrupt the historical pricing
relationships between different currencies and currency pairs.
Interest rate changes as well as political and general economic
conditions influence these fluctuations. The Partnership trades
in a large number of currencies, including cross-rates - i.e.,
positions between two currencies other than the U.S. dollar. The
Partnership's major exposures were in the euro currency crosses
and outright U.S. dollar positions. Outright positions consist
of the U.S. dollar vs. other currencies. These other currencies
include the major and minor currencies. Demeter does not
anticipate that the risk profile of the Partnership's currency
sector will change significantly in the future. The currency
trading VaR figure includes foreign margin amounts converted into
U.S. dollars with an incremental adjustment to reflect the
exchange rate risk inherent to the dollar-based Partnership in
expressing VaR in a functional currency other than U.S. dollars.
Commodity.
Energy. At December 31, 2000 the Partnership's next largest
exposure was in the energy complex. The largest exposure was in
natural gas, followed by crude oil and brent crude. Price
movement in these markets results from political developments in
Middle Eastern and OPEC and non-OPEC oil producing countries.
Weather patterns and other economic fundamentals also affect
prices. It is possible that volatility will remain high and that
significant profits and losses, which have been experienced in
the past, will continue to be experienced in this market.
Natural gas has exhibited volatility in prices resulting from
weather patterns and supply and demand factors and may continue
in this choppy pattern.
Soft Commodities and Agriculturals . At December 31, 2000 the
Partnership had exposure in the markets that comprise these
sectors. Exposure was in the corn, soybean, cotton, cocoa and
coffee markets. Supply and demand inequalities, severe weather
disruption and market expectations affect price movements in
these markets.
Metals. The Partnership's smallest exposure as of the end of the
fourth quarter was in the metals complex. The only positions
were in the LME nickel market. Prices in this market are
influenced by general economic conditions and warehouse stocks.
Equity. There was a relatively small exposure to stock indices
as of December 31, 2000. The Partnership trades these markets in
the United States and Japan and had small positions in both
markets. Stock indexes are affected by the same factors that
influence the underlying equity issues such as the monetary and
fiscal policies of government, profit outlook and general
economic conditions.
Qualitative Disclosures Regarding Non-Trading Risk Exposure
The following was the only non-trading risk exposure of the
Partnership at December 31, 2000:
Foreign Currency Balances. The Partnership's primary
foreign currency balances were in British Pounds. The
Partnership controls the non-trading risk of these balances
by regularly converting these balances back into U.S.
dollars upon liquidation of the respective position.
Qualitative Disclosures Regarding Means of Managing Risk Exposure
The Partnership and the Trading Advisor, separately, attempt to
manage the risk of the Partnership's open positions in
essentially the same manner in all market categories traded.
Demeter attempts to manage market exposure by diversifying the
Partnership's assets among different market sectors and trading
approaches, and monitoring the performance of the Trading Advisor
daily. In addition, the Trading Advisor establishes
diversification guidelines, often set in terms of the maximum
margin to be committed to positions in any one market sector or
market-sensitive instrument.
Demeter monitors and controls the risk of the Partnership's non-
trading instrument, cash. Cash is the only Partnership
investment directed by Demeter, rather than the Trading Advisor.
Item 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
The Financial Statements are incorporated by reference to the
Partnership's Annual Report which is filed as Exhibit 13.01
hereto.
Supplementary data specified by Item 302 of Regulation S-K:
Summary of Quarterly Results (Unaudited)
Net
Income/
(Loss) Per
Quarter Net Unit of Limited
Ended Revenue Income/(Loss)
Partnership Interest
2000
March 31 $ 505,815 $ 309,306 $ 44.23
June 30 299,678 130,217 18.76
September 30 (437,544) (585,869) (88.09)
December 31 1,843,643 1,665,059 263.13
Total $ 2,211,592 $ 1,518,713 $ 238.03
1999
March 31 $ (412,668) $ (624,275) $ (75.97)
June 30 196,496 (12,139) (1.78)
September 30 445,929 239,765 31.36
December 31 (282,663) (452,225) (59.38)
Total $ (52,906) $ (848,874) $(105.77)
Item 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON
ACCOUNTING AND FINANCIAL DISCLOSURE.
None.
PART III
Item 10. DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT
There are no directors or executive officers of the Partnership.
The Partnership is managed by Demeter.
Directors and Officers of the General Partner
The directors and officers of Demeter are as follows:
Robert E. Murray, age 40, is Chairman of the Board, President and
a Director of Demeter. Mr. Murray is also Chairman of the Board,
President and a Director of DWFCM. Mr. Murray is currently a
Senior Vice President of DWR's Managed Futures Department. Mr.
Murray began his career at DWR in 1984 and is currently the
Director of the Managed Futures Department. In this capacity, Mr.
Murray is responsible for overseeing all aspects of the firm's
Managed Futures Department. Mr. Murray previously served as Vice
Chairman and a Director of the Managed Funds Association, an
industry association for investment professionals in futures,
hedge funds and other alternative investments. Mr. Murray
graduated from Geneseo State University in May 1983 with a B.A.
degree in Finance.
Mitchell M. Merin, age 47, is a Director of Demeter. Mr. Merin
is also a Director of DWFCM. Mr. Merin was appointed the Chief
Operating Officer of Individual Asset Management for MSDW in
December 1998 and the President and Chief Executive Officer of
Morgan Stanley Dean Witter Advisors in February 1998. He has
been an Executive Vice President of DWR since 1990, during which
time he has been Director of DWR's Taxable Fixed Income and
Futures divisions, Managing Director in Corporate Finance and
Corporate Treasurer. Mr. Merin received his Bachelor's degree
from Trinity College in Connecticut and his M.B.A. degree in
Finance and Accounting from the Kellogg Graduate School of
Management of Northwestern University in 1977.
Joseph G. Siniscalchi, age 55, is a Director of Demeter. Mr.
Siniscalchi joined DWR in July 1984 as a First Vice President,
Director of General Accounting and served as a Senior Vice
President and Controller for DWR's Securities Division through
1997. He is currently Executive Vice President and Director of
the Operations Division of DWR. From February 1980 to July 1984,
Mr. Siniscalchi was Director of Internal Audit at Lehman Brothers
Kuhn Loeb, Inc.
Edward C. Oelsner, III, age 59, is a Director of Demeter. Mr.
Oelsner is currently an Executive Vice President and head of the
Product Development Group at Morgan Stanley Dean Witter Advisors,
an affiliate of DWR. Mr. Oelsner joined DWR in 1981 as a
Managing Director in DWR's Investment Banking Department
specializing in coverage of regulated industries and,
subsequently, served as head of the DWR Retail Products Group.
Prior to joining DWR, Mr. Oelsner held positions at The First
Boston Corporation as a member of the Research and Investment
Banking Departments from 1967 to 1981. Mr. Oelsner received his
M.B.A. in Finance from the Columbia University Graduate School of
Business in 1966 and an A.B. in Politics from Princeton
University in 1964.
Richard A. Beech, age 49, is a Director of Demeter. Mr. Beech
has been associated with the futures industry for over 23 years.
He has been at DWR since August 1984, where he is presently
Senior Vice President and head of Branch Futures. Mr. Beech
began his career at the Chicago Mercantile Exchange, where he
became the Chief Agricultural Economist doing market analysis,
marketing and compliance. Prior to joining DWR, Mr. Beech also
had worked at two investment banking firms in operations,
research, managed futures and sales management.
Raymond A. Harris, age 44, is a Director of Demeter. Mr. Harris
is currently Executive Vice President, Planning and
Administration for Morgan Stanley Dean Witter Asset Management
and has worked at DWR or its affiliates since July 1982, serving
in both financial and administrative capacities. From August
1994 to January 1999, he worked in two separate DWR affiliates,
Discover Financial Services and Novus Financial Corp.,
culminating as Senior Vice President. Mr. Harris received his
B.A. degree from Boston College and his M.B.A. in finance from
the University of Chicago.
Anthony J. DeLuca, age 38, became a Director of Demeter on
September 14, 2000. Mr. DeLuca is also a Director of DWFCM. Mr.
DeLuca was appointed the Controller of Asset Management for MSDW
in June 1999. Prior to that, Mr. DeLuca was a partner at the
accounting firm of Ernst & Young LLP, where he had MSDW as a
major client. Mr. DeLuca had worked continuously at Ernst &
Young LLP ever since 1984, after he graduated from Pace
University with a B.B.A. degree in Accounting.
Raymond E. Koch, age 45, is Chief Financial Officer of Demeter.
Effective July 10, 2000, Mr. Koch replaced Mr. Raibley as Chief
Financial Officer of Demeter. Mr. Koch began his career at MSDW
in 1988, has overseen the Managed Futures Accounting function
since 1992, and is currently First Vice President, Director of
Managed Futures and Realty Accounting. From November 1979 to
June 1988, Mr. Koch held various positions at Thomson McKinnon
Securities, Inc. culminating as Manager, Special Projects in the
Capital Markets Division. From August 1977 to November 1979 he
was an auditor, specializing in financial services at Deloitte
Haskins and Sells. Mr. Koch received his B.B.A. in accounting
from Iona College in 1977, an M.B.A. in finance from Pace
University in 1984 and is a Certified Public Accountant.
Lewis A. Raibley, III, age 38, served as Vice President, Chief
Financial Officer, and a Director of Demeter and DWFCM until his
resignation from MSDW on July 1, 2000.
All of the foregoing directors have indefinite terms.
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, 2000 there were no persons known to be beneficial
owners of more than 5 percent of the Units.
(b) Security Ownership of Management - At December 31, 2000,
Demeter owned 100 Units of General Partnership Interest
representing a 1.6 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 Annual Report to
Limited Partners for the year ended December 31, 2000 which is
incorporated by reference to Exhibit 13.01 of 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 $438,723 for the year ended December 31, 2000.
In its capacity as the Partnership's Trading Advisor, DWFCM
received management fees of $229,342 for the year ended December
31, 2000.
PART IV
Item 14.EXHIBITS, FINANCIAL STATEMENT SCHEDULES, AND REPORTS ON
FORM 8-K
(a) 1. Listing of Financial Statements
The following financial statements and report of independent
auditors, all appearing in the accompanying Annual Report to
Limited Partners for the year ended December 31, 2000, are
incorporated by reference to Exhibit 13.01 of this Form 10-K:
- - Report of Deloitte & Touche LLP, independent auditors, for
the years ended December 31, 2000, 1999 and 1998.
- - Statements of Financial Condition as of December 31, 2000
and 1999.
- - Statements of Operations, Changes in Partners' Capital, and
Cash Flows for the years ended December 31, 2000, 1999 and 1998.
- - Notes to Financial Statements.
With the exception of the aforementioned information and the
information incorporated in Items 7, 8 and 13, the Annual Report
to Limited Partners for the year ended December 31, 2000 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 requirements 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.
DEAN WITTER MULTI-
MARKET PORTFOLIO L.P.
(Registrant)
BY: Demeter
Management Corporation,
General
Partner
March 30, 2001 BY: /s/ Robert E. Murray .
Robert E. Murray, Director,
Chairman of the Board 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/ Robert E. Murray March 30,
2001
Robert E. Murray, Director,
Chairman of the Board and
President
/s/ Mitchell M. Merin March 30,
2001
Mitchell M. Merin, Director
/s/ Joseph G. Siniscalchi March 30,
2001
Joseph G. Siniscalchi, Director
/s/ Edward C. Oelsner III March 30,
2001
Edward C. Oelsner III, Director
/s/ Richard A. Beech March 30,
2001
Richard A. Beech, Director
/s/ Raymond A. Harris March 30,
2001
Raymond A. Harris, Director
/s/ Anthony J. DeLuca March 30,
2001
Anthony J. DeLuca, Director
/s/ Raymond E. Koch March
30, 2001
Raymond E. Koch, Chief
Financial Officer and Principal
Accounting Officer
EXHIBIT INDEX
Item
3.01 Limited Partnership Agreement of the Partnership, dated as
of June 24, 1988 is incorporated by reference to Exhibit 3.01
and Exhibit 3.02 of the Partnership's Registration Statement on
Form S-1 (File No. 33-21532).
10.03 Amended and Restated Customer Agreement dated as of
December 1, 1997, between the Partnership and Dean Witter
Reynolds Inc. is incorporated by reference to Exhibit 10.03
of the Partnership's Quarterly Report on Form 10-Q for the
quarter ended March 31, 2000, (File No. 0-17178).
10.04 Customer Agreement dated as of December 1, 1997,
between the Partnership, Carr Futures, Inc., and Dean Witter
Reynolds Inc. is incorporated by reference to Exhibit 10.04
of the Partnership's Quarterly Report on Form 10-Q for the
quarter ended March 31, 2000, (File No. 0-17178).
10.05 International Foreign Exchange Master Agreement dated
as of August 1, 1997, between the Partnership and Carr
Futures, Inc. is incorporated by reference to Exhibit 10.05
of the Partnership's Quarterly Report on Form 10-Q for the
quarter ended March 31, 2000, (File No. 0-17178).
10.06 Customer Agreement, dated as of May 1, 2000 between
Morgan Stanley & Co. Incorporated, the Partnership and Dean
Witter Reynolds Inc. is incorporated by reference to Exhibit
10.06 of the Partnership's Quarterly Report on Form 10-Q for the
quarter ended June 30, 2000 (File No. 0-17178).
19.01 Supplemental Information Regarding DWFCM dated August
27, 1993 is incorporated by reference to exhibit 19 of the
Partnership's Annual Report on Form 10-K for the fiscal year
ended December 31, 1993.
13.01 December 31, 2000 Annual Report to Limited Partners is
filed herewith.
Multi-
Market
Portfolio
December 31, 2000
Annual Report
MORGAN STANLEY DEAN WITTER
Dean Witter Multi-Market Portfolio L.P.
Historical Fund Performance
Presented below is the percentage change in Net Asset Value per Unit from the
start of each calendar year the Fund has traded. Also provided is the incep-
tion-to-date return and the annualized return since inception for the Fund.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Year Return
---- ------
1988 (4 months) 4.0%
1989 7.4%
1990 -1.3%
1991 1.8%
1992 -7.8%
1993 8.6%
1994 2.7%
1995 -6.4%
1996 -6.8%
1997 13.3%
1998 5.6%
1999 -8.8%
2000 21.6%
Inception-to-Date Return: 33.8%
Annualized Return: 2.4%
Demeter Management Corporation
Two World Trade Center
62nd Floor
New York, NY 10048
Telephone (212) 392-8899
Dean Witter Multi-Market Portfolio L.P.
Annual Report
2000
Dear Limited Partner:
This marks the thirteenth annual report for the Dean Witter Multi-Market Port-
folio L.P. (the "Fund"). The Fund began the year at a Net Asset Value per Unit
of $1,100.09 and increased by 21.6% to $1,338.12 on December 31, 2000. A re-
view of trading results for the year is provided in the Annual Report of the
Trading Manager located on the next page of this report.
Should you have any questions concerning this report, please feel free to con-
tact Demeter Management Corporation at Two World Trade Center, 62nd Floor, New
York, NY 10048, or your Morgan Stanley Dean Witter Financial Advisor.
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/ Robert E. Murray
Robert E. Murray
Chairman
Demeter Management Corporation
General Partner
Dean Witter Multi-Market Portfolio L.P.
Annual Report of the Trading Manager
The Fund posted gains in 2000 as a result of strong trends in the energy, cur-
rency, and grain futures markets. In the energy sector, profits resulted from
long positions in the natural gas and crude oil futures markets. Natural gas
saw its price rise to record levels in 2000. Recent low inventory levels,
sluggish supply and cold winter weather combined to push prices to such high
levels. In the crude oil market, gains were realized from long positions ear-
lier in the year as prices rose to nine-year highs on a combination of cold
weather, declining inventories and increasing demand. In addition, concerns
about future output levels from the world's leading producer countries added
to the upward price momentum. Later in the year, however, profits resulted
from short positions as the price of crude oil futures fell on expectations
that Iraqi oil exports would resume and on fears that the slowdown in the
economy would curb demand while at the same time supply was increasing. In the
currency markets, gains were recorded from short positions in the euro, Swiss
franc and Swedish krona as the value of these European currencies weakened
relative to the U.S. dollar amid skepticism about Europe's economic outlook.
Strong economic data out of the U.S. and interest rate hikes in the U.S. also
boosted the dollar and, subsequently, added to the euro's difficulties. Later
in the year as the bullish trend in the U.S. dollar reversed, additional gains
were recorded from long positions in the euro, Swiss franc and Swedish krona
versus the U.S. dollar as a result of new confidence in the European economy
and an overall skepticism regarding the U.S. economy. Profits were also rec-
orded from short positions in the corn market during the middle of the year as
the price of corn trended lower on favorable weather conditions that resulted
in good prospects for high crop yields.
A portion of these gains was offset by losses experienced in the metals, stock
index and soft commodity futures markets. The majority of losses in the metals
markets were experienced in the aluminum market. From a technical standpoint,
the price of aluminum traded in a very volatile pattern throughout the year
leaving little opportunity for the development of trends. In addition, long
positions in this market, particularly in the second half of the year, result-
ed in losses as price declined after
concerns mounted that demand would weaken amid a cooling of the U.S. economy.
Losses were also recorded in the global stock index futures markets. The S&P
500 Index traded in a very choppy pattern resulting in losses for both long
and short positions. Contributing to this price pattern was uncertainty over
the state of the U.S. economy.
We appreciate your continued investment in Multi- Market Portfolio L.P.
Dean Witter Futures & Currency Management Inc.
Dean Witter Multi-Market Portfolio L.P.
Independent Auditors' Report
The Limited Partners and the General Partner:
We have audited the accompanying statements of financial condition of Dean
Witter Multi-Market Portfolio L.P. (the "Partnership") as of December 31, 2000
and 1999 and the related statements of operations, changes in partners' capi-
tal, and cash flows for each of the three years in the period ended December
31, 2000. These financial statements are the responsibility of the Partner-
ship's management. Our responsibility is to express an opinion on these finan-
cial statements based on our audits.
We conducted our audits in accordance with auditing standards generally ac-
cepted in the United States of America. Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the finan-
cial statements are free of material misstatement. An audit includes examin-
ing, on a test basis, evidence supporting the amounts and disclosures in the
financial statements. An audit also includes assessing the accounting princi-
ples used and significant estimates made by management, as well as evaluating
the overall financial statement presentation. We believe that our audits pro-
vide a reasonable basis for our opinion.
In our opinion, such financial statements present fairly, in all material re-
spects, the financial position of Dean Witter Multi-Market Portfolio L.P. at
December 31, 2000 and 1999 and the results of its operations and its cash
flows for each of the three years in the period ended December 31, 2000 in
conformity with accounting principles generally accepted in the United States
of America.
/s/ Deloitte & Touche LLP
New York, New York
February 16, 2001
Dean Witter Multi-Market Portfolio L.P.
Statements of Financial Condition
December 31,
--------------------
2000 1999
--------- ---------
$ $
ASSETS
Equity in futures interests trading accounts:
Cash 7,339,354 7,643,949
Net unrealized gain on open contracts (MS&Co.) 1,264,913 --
Net unrealized loss on open contracts (MSIL) (163,063) --
Net unrealized gain on open contracts (Carr) -- 358,067
--------- ---------
Total net unrealized gain on open contracts 1,101,850 358,067
--------- ---------
Total Trading Equity 8,441,204 8,002,016
Interest receivable (DWR) 31,054 28,719
--------- ---------
Total Assets 8,472,258 8,030,735
========= =========
LIABILITIES AND PARTNERS' CAPITAL
LIABILITIES
Redemptions payable 114,409 108,909
Accrued management fees (DWFCM) 21,181 20,077
--------- ---------
Total Liabilities 135,590 128,986
--------- ---------
PARTNERS' CAPITAL
Limited Partners (6,130.136 and 7,082.809 Units,
respectively) 8,202,856 7,791,740
General Partner (100 Units) 133,812 110,009
--------- ---------
Total Partners' Capital 8,336,668 7,901,749
--------- ---------
Total Liabilities and Partners'
Capital 8,472,258 8,030,735
========= =========
NET ASSET VALUE PER UNIT 1,338.12 1,100.09
========= =========
The accompanying notes are an integral part of these financial statements.
Dean Witter Multi-Market Portfolio L.P.
Statements of Operations
For the Years Ended
December 31,
------------------------------
2000 1999 1998
--------- -------- ----------
$ $ $
REVENUES
Trading profit (loss):
Realized 1,117,328 (473,435) 2,510,342
Net change in unrealized 743,783 94,417 (1,434,215)
--------- -------- ----------
Total Trading Results 1,861,111 (379,018) 1,076,127
Interest income (DWR) 350,481 326,112 378,635
--------- -------- ----------
Total Revenues 2,211,592 (52,906) 1,454,762
--------- -------- ----------
EXPENSES
Brokerage commissions (DWR) 438,723 493,558 564,599
Management fees (DWFCM) 229,342 264,552 305,385
Transaction fees and costs 24,814 37,858 43,914
--------- -------- ----------
Total Expenses 692,879 795,968 913,898
--------- -------- ----------
Net Income (Loss) 1,518,713 (848,874) 540,864
========= ======== ==========
Net Income (Loss) Allocation:
Limited Partners 1,494,910 (838,297) 515,914
General Partner 23,803 (10,577) 24,950
Net Income (Loss) per Unit:
Limited Partners 238.03 (105.77) 64.23
General Partner 238.03 (105.77) 64.23
Statements of Changes in Partners' Capital
For the Years Ended December 31, 2000, 1999 and 1998
Units of
Partnership Limited General
Interest Partners Partner Total
----------- ---------- -------- ----------
$ $ $
Partners' Capital,
December 31, 1997 9,460.865 10,451,503 349,340 10,800,843
Net income -- 515,914 24,950 540,864
Redemptions (1,191.126) (1,115,883) (253,704) (1,369,587)
---------- ---------- -------- ----------
Partners' Capital,
December 31, 1998 8,269.739 9,851,534 120,586 9,972,120
Net loss -- (838,297) (10,577) (848,874)
Redemptions (1,086.930) (1,221,497) -- (1,221,497)
---------- ---------- -------- ----------
Partners' Capital,
December 31, 1999 7,182.809 7,791,740 110,009 7,901,749
Net income -- 1,494,910 23,803 1,518,713
Redemptions (952.673) (1,083,794) -- (1,083,794)
---------- ---------- -------- ----------
Partners' Capital,
December 31, 2000 6,230.136 8,202,856 133,812 8,336,668
========== ========== ======== ==========
The accompanying notes are an integral part of these financial statements.
Dean Witter Multi-Market Portfolio L.P.
Statements of Cash Flows
For the Years Ended
December 31,
----------------------------------
2000 1999 1998
---------- ---------- ----------
$ $ $
CASH FLOWS FROM
OPERATING ACTIVITIES
Net income (loss) 1,518,713 (848,874) 540,864
Noncash item included in net income
(loss):
Net change in unrealized (743,783) (94,417) 1,434,215
(Increase) decrease in operating assets:
Interest receivable (DWR) (2,335) 1,308 4,321
Due from DWR -- 214 8,044
Increase (decrease) in operating
liabilities:
Accrued management fees (DWFCM) 1,104 (5,059) (2,452)
---------- ---------- ----------
Net cash provided by (used
for) operating activities 773,699 (946,828) 1,984,992
---------- ---------- ----------
CASH FLOWS FROM FINANCING ACTIVITIES
Increase (decrease) in redemptions
payable 5,500 51,627 (149,581)
Redemptions of Units (1,083,794) (1,221,497) (1,369,587)
---------- ---------- ----------
Net cash used for financing activities (1,078,294) (1,169,870) (1,519,168)
---------- ---------- ----------
Net increase (decrease) in cash (304,595) (2,116,698) 465,824
Balance at beginning of period 7,643,949 9,760,647 9,294,823
---------- ---------- ----------
Balance at end of period 7,339,354 7,643,949 9,760,647
========== ========== ==========
The accompanying notes are an integral part of these financial statements.
Dean Witter Multi-Market Portfolio L.P.
Notes to Financial Statements
1. Summary of Significant Accounting Policies
Organization--Dean Witter Multi-Market Portfolio L.P. (the "Partnership") is a
limited partnership organized to engage in the speculative trading of futures
contracts, forward contracts and other commodity interests (collectively,
"futures interests").
The general partner for the Partnership is Demeter Management Corporation
("Demeter"). The non-clearing commodity broker is Dean Witter Reynolds Inc.
("DWR"). Morgan Stanley & Co., Inc. ("MS&Co.") and Morgan Stanley & Co. Inter-
national Limited ("MSIL"), provide clearing and execution services. Prior to
May 2000, Carr Futures Inc. ("Carr") provided clearing and execution services
to the Partnership. The trading advisor is Dean Witter Futures & Currency Man-
agement Inc. ("DWFCM" or the "Trading Advisor"). Demeter, DWR, MS&Co., MSIL
and DWFCM are wholly-owned subsidiaries of Morgan Stanley Dean Witter & Co.
("MSDW").
Effective February 19, 1998, Morgan Stanley, Dean Witter, Discover & Co.
changed its corporate name to Morgan Stanley Dean Witter & Co.
Demeter is required to maintain a 1% minimum interest in the equity of the
Partnership and income (losses) are shared by Demeter and the Limited Partners
based upon their proportional ownership interests.
Use of Estimates--The financial statements are prepared in accordance with ac-
counting principles generally accepted in the United States of America, which
require management to make estimates and assumptions that affect the reported
amounts in the financial statements and related disclosures. Management be-
lieves that the estimates utilized in the preparation of the financial state-
ments are prudent and reasonable. Actual results could differ from those esti-
mates.
Revenue Recognition--Futures interests are open commitments until settlement
date. They are valued at market on a daily basis and the resulting net change
in unrealized gains and losses are reflected in the change in unrealized prof-
it (loss) on open contracts from one period to the next in the statements of
operations. Monthly, DWR pays the Partnership interest income based upon 80%
of the average daily Net Assets for the month at a rate equal to the average
yield on 13-week U.S. Treasury bills. For purposes of such interest payments,
Net Assets do not include monies due the Partnership on futures interests, but
not actually received.
Net Income (Loss) per Unit--Net income (loss) per unit of limited partnership
interest ("Unit(s)") is computed using the weighted average number of Units
outstanding during the period.
Dean Witter Multi-Market Portfolio L.P.
Notes to Financial Statements--(Continued)
Equity in Futures Interests Trading Accounts--The Partnership's asset "Equity
in futures interests trading accounts," reflected in the statements of finan-
cial condition, consists of (A) cash on deposit with DWR, MS&Co. and MSIL to
be used as margin for trading and (B) net unrealized gains or losses on open
contracts which are valued at market, and calculated as the difference between
original contract value and market value.
The Partnership, in the normal course of business, enters into various con-
tracts with MS&Co. and MSIL acting as its commodity brokers. Pursuant to bro-
kerage agreements with MS&Co. and MSIL, to the extent that such trading re-
sults in unrealized gains or losses, the amounts are offset and reported on a
net basis on the Partnership's statements of financial condition.
The Partnership has offset the fair value amounts recognized for forward con-
tracts executed with the same counterparty as allowable under terms of the
master netting agreement with MS&Co., the sole counterparty on such contracts.
The Partnership has consistently applied its right to offset.
Brokerage Commissions and Related Transaction Fees and Costs--Brokerage com-
missions are accrued on a half-turn basis at 80% of DWR's published non-member
rates. Transaction fees and costs are accrued on a half-turn basis. Total bro-
kerage commissions, and transaction fees and costs are capped at 13/20 of 1%
(a 7.8% maximum annual rate) per month of the Partnership's month-end Net As-
sets.
Operating Expenses--The Partnership incurs a monthly management fee and may
incur incentive fees. Demeter and/or DWR bear all other operating expenses.
Redemptions--Limited Partners may redeem some or all of their Units at 100% of
the Net Asset Value per Unit as of the last day of any month upon five busi-
ness days advance notice by redemption form to Demeter.
Distributions--Distributions, other than redemptions of Units, are made on a
pro-rata basis at the sole discretion of Demeter. No distributions have been
made to date.
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.
Dissolution of the Partnership--The Partnership will terminate on December 31,
2025 or at an earlier date if certain conditions set forth in the Limited
Partnership Agreement occur.
Dean Witter Multi-Market Portfolio L.P.
Notes to Financial Statements--(Continued)
2. Related Party Transactions
The Partnership pays brokerage commissions to DWR as described in Note 1. The
Partnership's cash is on deposit with DWR, MS&Co., and MSIL in futures inter-
ests trading accounts to meet margin requirements as needed. DWR pays interest
on these funds as described in Note 1.
Demeter, on behalf of the Partnership and itself, has entered into a Manage-
ment Agreement with DWFCM to make all trading decisions for the Partnership.
Compensation to DWFCM by the Partnership consists of a management fee and an
incentive fee as follows:
Management Fee--As of the last day of each month, the Partnership pays a
monthly management fee equal to 1/4 of 1% (a 3% annual rate) of the Partner-
ship's adjusted Net Assets, as defined, that are allocated to futures interest
trading accounts which DWFCM trades on behalf of the Partnership.
Incentive Fee--The Partnership will pay a quarterly incentive fee equal to 15%
of the trading profits earned by the Partnership as of the end of each calen-
dar quarter. Trading profits represent the amount by which profits from
futures, forwards and options trading exceed losses after brokerage commis-
sions, management fees and, transaction fees and costs have been deducted. No
incentive fee will be paid until the existing trading loss carryforward (ad-
justed for redemptions) has been recovered.
3. Financial Instruments
The Partnership trades futures contracts, forward contracts and other commodi-
ty interests. 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 per-
form under the terms of the contracts. There are numerous factors which may
significantly influence the market value of these contracts, including inter-
est rate volatility.
In June 1998, the Financial Accounting Standards Board ("FASB") issued State-
ment of Financial Accounting Standard ("SFAS") No. 133, "Accounting for Deriv-
ative Instruments and Hedging Activities" effective for fiscal years beginning
after June 15, 2000, as amended by SFAS No. 137. The Partnership adopted the
provisions of SFAS No. 133 beginning with the fiscal year ended December 31,
1998. SFAS No. 133 superceded SFAS Nos. 119 and 105, which required the dis-
closure of average aggregate fair values and contract/notional
Dean Witter Multi-Market Portfolio L.P.
Notes to Financial Statements--(Continued)
values, respectively, of derivative financial instruments for an entity that
carries its assets at fair value. SFAS No. 133 was further amended by SFAS No.
138, which clarifies issues surrounding interest rate risk, foreign currency
denominations, normal purchases and sales and net hedging. The application of
SFAS No. 133, as amended by SFAS No. 137 and SFAS No. 138, did not have a sig-
nificant effect on the Partnership's financial statements.
SFAS No. 133 defines a derivative as a financial instrument or other contract
that has all three of the following characteristics:
(1) One or more underlying notional amounts or payment provisions;
(2) Requires no initial net investment or a smaller initial net investment
than would be required relative to changes in market factors;
(3) Terms require or permit net settlement.
Generally derivatives include futures, forwards, swaps or option contracts, or
other financial instruments with similar characteristics such as caps, floors
and collars.
The net unrealized gains on open contracts are reported as a component of "Eq-
uity in futures interests trading accounts" on the statements of financial
condition and totaled $1,101,850 and $358,067 at December 31, 2000 and 1999,
respectively.
Of the $1,101,850 net unrealized gain on open contracts at December 31, 2000,
$779,384 related to exchange-traded futures contracts and $322,466 related to
off-exchange-traded forward currency contracts.
Of the $358,067 net unrealized gain on open contracts at December 31, 1999,
$327,051 related to exchange-traded futures contracts and $31,016 related to
off-exchange-traded forward currency contracts.
Exchange-traded futures contracts held by the Partnership at December 31, 2000
and 1999 mature through June 2002 and September 2000, respectively. Off-
exchange-traded forward currency contracts held by the Partnership at December
31, 2000 and 1999 mature through March 2001 and March 2000, respectively.
The Partnership has credit risk associated with counterparty nonperformance.
The credit risk associated with the instruments in which the Partnership is
involved is limited to the amounts reflected in the Partnership's statements
of financial condition.
Dean Witter Multi-Market Portfolio L.P.
Notes to Financial Statements--(Continued)
The Partnership also has credit risk because DWR, MS&Co., and MSIL act as the
futures commission merchants or the counterparties with respect to most of the
Partnership's assets. Exchange-traded futures contracts are marked to market
on a daily basis, with variations in value settled on a daily basis. DWR,
MS&Co. and MSIL each as a futures commission merchant for the Partnership's
exchange-traded futures contracts, are required, pursuant to regulations of
the Commodity Futures Trading Commission, to segregate from their own assets,
and for the sole benefit of their commodity customers, all funds held by them
with respect to exchange-traded futures contracts, including an amount equal
to the net unrealized gains on all open futures contracts, which funds, in the
aggregate, totaled $8,118,738 and $7,971,000 at December 31, 2000 and 1999,
respectively. With respect to the Partnership's off-exchange-traded forward
currency contracts, there are no daily settlements of variations in value nor
is there any requirement that an amount equal to the net unrealized gain on
open forward contracts be segregated. With respect to those off-exchange-trad-
ed forward currency contracts, the Partnership is at risk to the ability of
MS&Co., the sole counterparty on all of such contracts, to perform. The Part-
nership has a netting agreement with MS&Co. This agreement, which seeks to re-
duce both the Partnership's and MS&Co.'s exposure on off-exchange-traded for-
ward currency contracts, should materially decrease the Partnership's credit
risk in the event of MS&Co.'s bankruptcy or insolvency.
4. Legal Matters
Similar class actions were filed in 1996 in California and New York State
courts. Each of the actions were dismissed in 1999. However, the New York
State class action discussed below is still pending because plaintiffs ap-
pealed the trial court's dismissal of their case on March 3, 2000.
On September 18 and 20, 1996, purported class actions were filed in the Su-
preme Court of the State of New York, New York County, on behalf of all pur-
chasers of interests in limited partnership commodity pools sold by DWR. Named
defendants include DWR, Demeter, DWFCM, MSDW, certain limited partnership com-
modity pools of which Demeter is the general partner and certain trading ad-
visors to those pools. A consolidated and amended complaint in the action
pending in the Supreme Court of the State of New York was filed on August 13,
1997, alleging that the defendants committed fraud, breach of fiduciary duty,
and negligent misrepresentation in the sale and operation of the various lim-
ited partnership commodity pools. The complaints sought unspecified amounts of
compensatory and punitive damages and other relief. The New York Supreme Court
dismissed the New York action in November
Dean Witter Multi-Market Portfolio L.P.
Notes to Financial Statements--(Concluded)
1998, but granted plaintiffs leave to file an amended complaint, which they
did in early December 1998. The defendants filed a motion to dismiss the
amended complaint with prejudice on February 1, 1999. By decision dated Decem-
ber 21, 1999, the New York Supreme Court dismissed the case with prejudice.
However, on March 3, 2000, plaintiffs appealed the trial court's dismissal of
their case.
MORGAN STANLEY DEAN WITTER & CO.
Two World Trade Center
62nd Floor
New York, NY 10048
Presorted
First Class Mail
U.S. Postage Paid
Brooklyn, NY
Permit No. 529