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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-K
[x] Annual report pursuant to Section 13 or 15(d) of the Securities
Exchange Act of 1934 [Fee Required]
For the fiscal year ended December 31, 1995 or
[ ] Transition report pursuant to Section 13 or 15(d) of the Securities
Exchange Act of 1934 [No Fee Required]
For the transition period from to
Commission file number 33-21532
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 of organization) Identification No.)
c/o Demeter Management Corp.
Two World Trade Center, New York, N.Y. - 62nd Flr. 10048
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (212) 392-5454
Securities registered pursuant to Section 12(b) of the Act:
Title of each class Name of each exchange
on which registered
None None
Securities registered pursuant to Section 12(g) of the Act:
Units of Limited Partnership Interest
(Title of Class)
(Title of Class)
Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
registrant was required to file such reports), and (2) has been subject to
such filing requirements for the past 90 days. Yes X No
Indicate by check mark if disclosure of delinquent filers pursuant to
Item 405 of Regulation S-K (section 229.405 of this chapter) is not contained
herein, and will not be contained, to the best of registrant's knowledge, in
definitive proxy or information statements incorporated by reference in Part
III of this Form 10-K or any amendment of this Form 10K. [ X ]
State the aggregate market value of the Units of Limited Partnership Interest
held by non-affiliates of the registrant. The aggregate market value shall be
computed by reference to the price at which units were sold, or the average
bid and asked prices of such units, as of a specified date within 60 days prior
to the date of filing: $15,155,045.68 at January 31, 1996.
DOCUMENTS INCORPORATED BY REFERENCE
(See Page 1)
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
INDEX TO ANNUAL REPORT ON FORM 10-K
DECEMBER 31, 1995
Page No.
DOCUMENTS INCORPORATED BY REFERENCE. . . . . . . . . . . . . . . . . . 1
Part I .
Item 1. Business. . . . . . . . . . . . . . . . . . . . . . . . 2-4
Item 2. Properties. . . . . . . . . . . . . . . . . . . . . . . 4
Item 3. Legal Proceedings. . . . . . . . . . . . . . . . . . . . 4
Item 4. Submission of Matters to a Vote of Security Holders . . . 4
Part II.
Item 5. Market for the Registrant's Partnership Units and
Related Security Holder Matters. . . . . . . . . . . . . 5
Item 6. Selected Financial Data. . . . . . . . . . . . . . . . . 6
Item 7. Management's Discussion and Analysis of Financial
Condition and Results of Operations. . . . . . . . . . 7-11
Item 8. Financial Statements and Supplementary Data. . . . . . .11
Item 9. Changes in and Disagreements with Accountants on
Accounting and Financial Disclosure. . . . . . . . . . . 11
Part III.
Item 10. Directors, Executive Officers, Promoters and
Control Persons of the Registrant . . . . . . . . . . 12-15
Item 11. Executive Compensation . . . . . . . . . . . . . . . . 15
Item 12. Security Ownership of Certain Beneficial Owners
and Management . . . . . . . . . . . . . . . . . . . . 15
Item 13. Certain Relationships and Related Transactions . . . . 16
Part IV.
Item 14. Exhibits, Financial Statement Schedules, and
Reports on Form 8-K . . . . . . . . . . . . . . . . . . 17
DOCUMENTS INCORPORATED BY REFERENCE
Portions of the following documents are incorporated by reference as
follows:
Documents Incorporated Part of Form 10-K
Partnership's Registration Statement
on Form S-1, File No. 33-21532 I and IV
Supplemental Information Regarding
Dean Witter Futures & Currency
Management Inc. I and IV
December 31, 1995 Annual Report
for the Dean Witter Multi-Market
Portfolio, L.P. II and IV
PART I
Item 1. BUSINESS
(a) General Development of Business. Dean Witter Multi-Market
Portfolio, L.P. (formerly named Dean Witter Principal Guaranteed Fund
L.P.) (the "Partnership") is a Delaware limited partnership formed to
engage in the speculative trading of commodity futures contracts and other
commodity interests, including, but not limited to, forward contracts on
foreign currencies and options on futures contracts and physical
commodities.
Units of limited partnership interest in the Partnership were
registered pursuant to a Registration Statement on Form S-1 (File No. 33-
21532) which became effective on June 24, 1988. The offering of units was
underwritten on a "best efforts" basis by Dean Witter Reynolds Inc.
("DWR"), a commodity broker and an affiliated corporation of the
Partnership's General Partner, Demeter Management Corporation ("Demeter").
The Partnership commenced operations on August 31, 1988. On September 30,
1993 the guarantee with respect to the Partnership terminated, Commodity
Corporation (U.S.A.) N.V., the original trading manager of the Partnership
resigned and was replaced by Dean Witter Futures & Currency Management
Inc. ("DWFCM"), an affiliate of DWR and Demeter. The Partnership was
renamed as indicated above and is trading in a non-guaranteed structure
with all assets committed to trading. The Partnership's net asset value
per unit, as of December 31, 1995, was $1,080.82 representing a decrease
of 6.37 percent from the net asset value per unit of $1,154.31 at
December 31, 1994. For a more detailed description of the Partnership's
business see subparagraph (c).
(b) Financial Information about Industry Segments. The Partnership's
business comprises only one segment for financial reporting purposes,
speculative trading of commodity futures contracts and other commodity
interests. The relevant financial information is presented in Items 6 and 8.
(c) Narrative Description of Business. The Partnership is in the
business of speculative trading in commodity futures contracts and other
commodity interests, pursuant to trading instructions provided by DWFCM. For
a detailed description of the different facets of the Partnership's business,
see those portions of the Partnership's Prospectus, dated June 24, 1988, filed
as part of the Registration Statement on Form S-1 and Supplemental Information
regarding Dean Witter Futures & Currency Management Inc. (see "Documents
Incorporated by Reference" Page 1), set forth below.
Facets of Business
1. Summary 1. "Summary of the Prospectus"
(Pages 2-11)
2. Commodity Markets 2. "The Commodities Markets"
(Pages 158-168)
3. Partnership's Commodity 3. "Trading Policies" (Pages
Trading Arrangements and 153-154) and Supplemental
Policies Information Regarding Dean
Witter Futures & Currency
Management Inc. dated
August 27, 1993.
4. Management of the Part-
nership 4. "The Management Agreement"
(Pages 156-158 and Supplemental
Information Regarding Dean Witter
Futures & Currency Management
Inc. dated August 27, 1993).
"The General Partner" (Pages 36-52)
and "The Commodity Broker" (Pages
154-155). "The Limited Partnership
Agreement" (Pages 169-174).
5. Taxation of the 5. "Federal Income Tax
Partnership's Aspects" and "State and
Limited Partners Local Income Tax Aspects"
(Pages 176-184).
(d) Financial Information About Foreign and Domestic Operations and
Export Sales.
The Partnership has not engaged in any operations in foreign
countries; however, the Partnership (through the commodity broker) enters
into forward contract transactions where foreign banks are the contracting
party and futures contracts on foreign exchanges.
Item 2. PROPERTIES
The executive and administrative offices are located within the
offices of 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
Demeter is not aware of any material pending legal proceedings to
which the Partnership is a party or to which any of its assets are
subject.
Item 4. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
None.
PART II
Item 5. MARKET FOR THE REGISTRANT'S PARTNERSHIP UNITS AND RELATED
SECURITY HOLDER MATTERS
There is no established public trading market for the Units of
Limited Partnership Interest in the Partnership. The number of holders of
Units at December 31, 1995 was approximately 2,516. 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. No
determination has yet been made as to future distributions.
Limited Partnership Units are registered for sale to the public in
certain Canadian provinces.
Item 6. SELECTED FINANCIAL DATA (in dollars)
For the Years Ended December 31,
1995 1994 1993 1992 1991
Total Revenues
(including interest) 1,268,953 2,945,000 6,045,087 2,932,287 29,662,942
Net Income (Loss) (1,045,666) 281,352 2,365,302 (9,968,836) 2,040,249
Net Income (Loss)
Per Unit (Limited
& General Partners) (73.49) 29.95 89.47 (86.97) 20.10
Total Assets 15,916,814 19,760,146 25,561,013 66,912,508 140,881,010
Total Limited
Partners' Capital 15,216,606 19,003,112 21,990,643 61,302,344 119,398,731
Net Asset Value Per
Unit of Limited
Partnership Interest 1,080.82 1,154.31 1,124.36 1,034.89 1,121.86
Item 7. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND
RESULTS OF OPERATIONS
Liquidity. The Partnership's assets are deposited in separate
commodity trading accounts with DWR the commodity broker, and are used by
the Partnership as margin to engage in commodity futures, forward
contracts on foreign currencies and other commodity interest trading. DWR
holds such assets in either segregated designated depositories or in
securities approved by the Commodity Futures Trading Commission ("CFTC")
for investment of customer funds. The Partnership's assets held by DWR
may be used as margin solely for the Partnership's trading. Since the
Partnership's sole purpose is to trade in commodity futures contracts, and
other commodity interests, it is expected that the Partnership will
continue to own such liquid assets for margin purposes.
The Partnership's investment in commodity futures contracts and
other commodity interests may be illiquid. If the price for a futures
contract for a particular commodity has increased or decreased by an
amount equal to the "daily limit", positions in the commodity can neither
be taken nor liquidated unless traders are willing to effect trades at or
within the limit. Commodity futures prices have occasionally moved the
daily limit for several consecutive days with little or no trading. Such
market conditions could prevent the Partnership from promptly liquidating
its commodity futures positions.
There is no limitation on daily price moves in trading forward
contracts on foreign currencies. The markets for some world currencies
have low trading volume and are illiquid, which may prevent the
Partnership from trading in potentially profitable markets or prevent the
Partnership from promptly liquidating unfavorable positions in such
markets and subjecting it to substantial losses.
Either of these market conditions could result in restrictions on
redemptions.
Market Risk. The Partnership trades futures, options and
forward contracts in interest rates, stock indices, commodities and currencies.
In entering into these contracts there exists a risk to the Partnership
(market risk) that such contracts may be significantly influenced by
market conditions, such as interest rate volatility, resulting in such
contracts being less valuable. If the markets should move against all of
the commodity interest positions held by the Partnership at the same time,
and if the Trading Advisor was unable to offset commodity interest
positions of the Partnership, the Partnership could lose all of its
assets. The Partnership has established Trading Policies for liquidity
and leverage which help control market risk. Both the Trading Advisor and
Demeter monitor the Partnership's trading activities on a daily basis to
ensure compliance with the Trading Policies. Demeter may (under terms of
the Management Agreement) override the trading instructions of the Trading
Advisor to the extent necessary to comply with the Partnership's Trading
Policies.
Credit Risk. In addition to market risk, the Partnership is subject
to credit risk in that a counterparty may not be able to meet its
obligations to the Partnership. The counterparty of the Partnership for
futures contracts traded in the United States and most foreign exchanges
on which the Partnership trades is the clearinghouse associated with such
exchange. In general, clearinghouses are backed by the membership of the
exchange and will act in the event of non-performance by one of its
members or one of its members' customers, and as such, should
significantly reduce this credit risk. In cases where the Partnership
trades on exchanges where the clearinghouse is not backed by the
membership or when the Partnership enters into off-exchange contracts with
a counterparty, the sole recourse of the Partnership will be the
clearinghouse or the counterparty as the case may be. With respect to
futures contracts, DWR, in its business as an international commodity
broker, constantly monitors the credit-worthiness of the exchanges and
clearing members of the foreign exchanges with which it does business for
clients, including the Partnership. If DWR believes that there was a
problem with the credit-worthiness of an exchange on which the Partnership
deals, it would so advise Demeter. With respect to forward contract
trading, the Partnership trades with only those counterparties which
Demeter, together with DWR, have determined to be creditworthy. As set
forth in the Partnership's Trading Policies, in determining credit-
worthiness, Demeter and DWR consult with the Corporate Credit Department
of DWR. Currently, the Partnership deals solely with DWR as its
counterparty on forward contracts. While DWR and Demeter monitor credit-
worthiness and risk involved in dealing on the various exchanges and with
counterparties, there can be no assurance that an exchange or counterparty
will be able to meet its obligations to the Partnership.
Capital Resources. The Partnership does not have, nor does it
expect to have, any capital assets. Redemptions of additional Units in
the future will impact the amount of funds available for investments in
commodity futures, forward contracts on foreign currencies and other
commodity interests in subsequent periods. As redemptions are at the
discretion of Limited Partners, it is not possible to estimate the amount
and therefore, the impact of future redemptions.
Results of Operations. As of December 31, 1995, the Partnership's
total capital was $15,547,338, a decrease of $3,808,992 from the
Partnership's total capital of $19,356,330 at December 31, 1994. For the
year ended December 31, 1995, the Partnership incurred a net loss of
$1,045,666 and total redemptions aggregated $2,763,326.
For the period ended December 31, 1995, the Partnership's total
trading revenues including interest income were $1,268,953. The
Partnership's total expenses for the period were $2,314,619, resulting in
a net loss of $1,045,666. The value of an individual unit in the
Partnership decreased from $1,154.31 at December 31, 1994 to $1,080.82 at
December 31, 1995.
As of December 31, 1994, the Partnership's total capital was
$19,356,330, a decrease of $5,474,434 from the Partnership's total capital
of $24,830,764 at December 31, 1993. For the year ended December 31,
1994, the Partnership generated net income of $281,352 and total
redemptions aggregated $5,755,786.
For the year ended December 31, 1994, the Partnership's total
trading revenues including interest income were $2,945,000. The
Partnership's total expenses for the year were $2,663,648, resulting in
net income of $281,352. The value of an individual unit in the
Partnership increased from $1,124.36 at December 31, 1993 to $1,154.31 at
December 31, 1994.
As of December 31, 1993, the Partnership's total capital was
$24,830,764, a decrease of $39,085,705 from the Partnership's total
capital of $63,916,469 at December 31, 1992. For the year ended December
31, 1993, the Partnership generated net income of $2,365,302 and total
redemptions aggregated $41,451,007.
For the year ended December 31, 1993, the Partnership's total
trading revenues including interest income were $6,045,087. The
Partnership's total expenses for the year were $3,679,785, resulting in
net income of $2,365,302. The value of an individual unit in the
Partnership increased from $1,034.89 at December 31, 1992 to $1,124.36 at
December 31, 1993.
The Partnership's overall performance record represents varied
results of trading in different commodity markets. For a further
description of trading results, refer to the letter to the Limited
Partners in the accompanying 1995 Annual Report to Partners, incorporated
by reference in this Form 10-K. The Partnership's gains and losses are
allocated among its Limited Partners for income tax purposes.
Item 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
The information required by this Item appears in the attached 1995
Annual Report to Partners and is incorporated by reference in this Annual
Report on Form 10-K.
Item 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING
AND FINANCIAL DISCLOSURE.
None.
PART III
Item 10. DIRECTORS, EXECUTIVE OFFICERS, PROMOTERS AND CONTROL
PERSONS OF THE REGISTRANT
General Partner
Demeter, a Delaware corporation, was formed on August 18, 1977 to
act as a commodity pool operator and is registered with the CFTC as a
commodity pool operator and currently is a member of the National Futures
Association ("NFA") in such capacity. Demeter is wholly-owned by Dean
Witter, Discover & Co. ("DWD"), and is an affiliate of DWR. DWD, DWR and
Demeter may each be deemed to be "promoters" and/or a "parent" of the
Partnership within the meaning of the federal securities laws.
Dean Witter Reynolds Inc.
DWR is a financial services company which provides to its
individual, corporate and institutional clients services as a broker in
securities and commodity interest contracts, a dealer in corporate,
municipal and government securities, an investment banker, an investment
adviser and an agent in the sale of life insurance and various other
products and services. DWR is a member firm of the New York Stock
Exchange, the American Stock Exchange, the Chicago Board Options Exchange,
and other major securities exchanges, and is a clearing member of the
Chicago Board of Trade, the Chicago Mercantile Exchange, the Commodity
Exchange Inc., and other major commodities exchanges.
DWR is registered with the CFTC as a futures commission merchant and
is a member of the NFA in such capacity. DWR is currently servicing its
clients through a network of 350 branch offices with approximately 8,500
account executives servicing individual and institutional client accounts.
Directors and Officers of the General Partner
The directors and officers of Demeter as of December 31, 1995 are as
follows:
Richard M. DeMartini, age 43, is the Chairman of the Board and a
Director of Demeter. Mr. DeMartini is also the Chairman of the Board and
a Director of DWFCM, a registered commodity trading advisor. Mr.
DeMartini has served as President and Chief Operating Officer of Dean
Witter Capital, a division of DWR since January 1989. From January 1988
until January 1989, Mr. DeMartini served as President and Chief Operating
Officer of the Consumer Banking Division of DWD, and from May 1985 until
January 1988 was President and Chief Executive Officer of the Consumer
Markets Division of DWD. Mr. DeMartini currently serves as a Director of
DWD and DWR, and has served as an officer of DWR for the past five years.
Mr. DeMartini has been with DWD and its affiliates for 18 years. While
Mr. DeMartini has extensive experience in the securities industry, he has
no experience in commodity interests trading.
Mark J. Hawley, age 52, is President and a Director of Demeter. Mr.
Hawley joined DWR in February 1989 as Senior Vice President and Director
of DWR's Managed Futures and Precious Metals Department. Mr. Hawley also
serves as President of DWFCM. From 1978 to 1989, Mr. Hawley was a member
of the senior management team at Heinold Asset Management, Inc., a
commodity pool operator, and was responsible for a variety of projects in
public futures funds. From 1972 to 1978, Mr. Hawley was a Vice President
in charge of institutional block trading for the Mid-West at Kuhn Loeb &
Co.
Lawrence Volpe, age 48, is a Director of Demeter and DWFCM. Mr.
Volpe joined DWR as a Senior Vice President and Controller in September
1983, and currently holds those positions. From July 1979 to September
1983, he was associated with E.F. Hutton & Company Inc. and prior to his
departure, held the positions of First Vice President and Assistant
Controller. From 1970 to July 1979, he served as audit manager in the
financial services division of Arthur Andersen & Co.
Joseph G. Siniscalchi, age 50, is a Director of Demeter. Mr.
Siniscalchi joined DWR in July 1984 as a First Vice President, Director of
General Accounting. He is currently Senior Vice President and Controller
of the Financial Markets Division of DWR. From February 1980 to July
1984, Mr. Siniscalchi was Director of Internal Audit at Lehman Brothers
Kuhn Loeb, Inc.
Laurence E. Mollner, age 54, is a Director of Demeter. Mr. Mollner
joined DWR in May 1979 as Vice President and Director of Commercial Sales.
He is currently Executive Vice President and Deputy Director of the
Futures Markets Division of DWR.
Edward C. Oelsner III, age 53, is a Director of Demeter. Mr.
Oelsner joined DWR in March 1981 as a Managing Director in the Corporate
Finance Department. He currently manages DWR's Retail Products Group
within the Corporate Finance Department. While Mr. Oelsner has extensive
experience in the securities industry, he has no experience in commodity
interests trading.
Robert E. Murray, age 35, is a Director of Demeter. Mr. Murray is
currently a First Vice President of the DWR Managed Futures Division and
is a Director and the Senior Administrative Officer of DWFCM. Mr. Murray
graduated from Geneseo State University in May 1983 with a B.A. degree in
Finance. Mr. Murray began at DWR in 1984 and is currently the Director of
Product Development for the Managed Futures Division and is responsible
for the development and maintenance of the proprietary Fund Management
System utilized by Demeter and DWFCM for organizing information and
producing reports for monitoring investors' accounts.
Patti L. Behnke, age 35, is Vice President and Chief Financial
Officer of Demeter. Ms. Behnke joined DWR in 1991 as Assistant Vice
President of Financial Reporting and is currently First Vice President and
Director of Financial Reporting and Managed Futures Accounting in the
Capital Markets division of DWR. From August 1988 to September 1990, Ms.
Behnke was Assistant Controller of L.F. Rothschild & Co. and from
September 1986 to August 1988, she was associated with Carteret Savings
Bank as Assistant Vice President - Financial Analysis. From April 1982 to
September 1986, Ms. Behnke was an auditor at Arthur Andersen &
Co.
Item 11. EXECUTIVE COMPENSATION
The Partnership has no directors and executive officers. As a
limited partnership, the business of the Partnership is managed by Demeter
which is responsible for the administration of the business affairs of the
Partnership but receives no compensation for such services.
Item 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT
(a) Security Ownership of Certain Beneficial Owners - As of
December 31, 1995 there were no persons as beneficial owners of more than
5 percent of the Units of Limited Partnership Interest in the Partnership.
(b) Security Ownership of Management - At December 31, 1995,
Demeter owned 306 Units of General Partnership Interest representing a
2.13 percent interest in the Partnership.
(c) Changes in Control - None
Item 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS
Refer to Note 2 - "Related Party Transactions" of Notes to
Financial Statements", in the accompanying 1995 Annual Report to Partners,
incorporated by reference in this Form 10-K. In its capacity as the
Partnership's retail commodity broker, DWR received commodity brokerage
fees (paid and accrued by the Partnership) of $1,634,478 for the year
ended December 31, 1995.
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 reports of independent public
accountants, all appearing in the accompanying 1995 Annual Report to
Partners, are incorporated by reference in this Form 10-K:
- Report of Deloitte & Touche LLP, independent auditors, for the
years ended December 31, 1995, 1994 and 1993.
- Statements of Financial Condition as of December 31, 1995 and
1994.
- Statements of Operations, Changes in Partners' Capital, and
Cash Flows for the years ended December 31, 1995, 1994 and
1993.
- Notes to Financial Statements.
With exception of the aforementioned information and the information
incorporated in Items 7, 8 and 13, the 1995 Annual Report to Partners is
not deemed to be filed with this report.
2. Listing of Financial Statement Schedules
No financial statement schedules are required to be filed with this
report.
(b) Reports on Form 8-K
No reports on Form 8-K have been filed by the Partnership during the
last quarter of the period covered by this report.
(c) Exhibits
Refer to Exhibit Index on Page E-1.
SIGNATURES
Pursuant to the requirement of Sections 13 or 15(d) of the Securities
Exchange Act of 1934, the registrant has duly caused this report to be signed
on its behalf by the undersigned, thereunto duly authorized.
DEAN WITTER MULTI-MARKET PORTFOLIO
(Registrant)
BY: Demeter Management Corporation,
General Partner
March 21, 1996 BY: /s/ Mark J. Hawley
Mark J. Hawley, Director and
President
Pursuant to the requirements of the Securities Exchange Act of 1934,
this report has been signed below by the following persons on behalf of the
registrant and in the capacities and on the dates indicated.
Demeter Management Corporation.
BY: /s/ Mark J. Hawley March 21, 1996
Mark J. Hawley, Director and
President
/s/ Richard M. DeMartini March 21, 1996
Richard M. DeMartini, Director
and Chairman of the Board
/s/ Lawrence Volpe March 21, 1996
Lawrence Volpe, Director
/s/ Laurence E. Mollner March 21, 1996
Laurence E. Mollner, Director
/s/ Joseph G. Siniscalchi March 21, 1996
Joseph G. Siniscalchi, Director
/s/ Edward C. Oelsner III March 21, 1996
Edward C. Oelsner III, Director
/s/ Robert E. Murray March 21, 1996
Robert E. Murray, Director
/s/ Patti L. Behnke March 21, 1996
Patti L. Behnke, Chief Financial
Officer
EXHIBIT INDEX
Item Method of Filing
- - 3. Limited Partnership Agreement of
the Partnership, dated as of
June 24, 1988. (1)
- - 10. Management Agreement between the
Partnership and Dean Witter Futures &
Currency Management Inc. as of
October 1, 1993. (2)
- - 10. Customer Agreement between the Partnership
and Dean Witter Reynolds Inc., dated as of
June 24, 1988 (the "Customer Agreement"). (3)
- - 10. Amended and Restated Customer Agreement
dated as of October 1, 1993. (4)
- - 13. Paying Agency Agreement between Demeter
Management Corporation and the Limited
Partners dated June 24, 1988. (5)
- - 19. Supplemental Information Regarding Dean Witter
Futures & Currency Management Inc. dated
August 27, 1993. (6)
- - 13. December 31, 1995 Annual Report to Limited Partners. (7)
(1) Incorporated by reference to Exhibit 3.01 and Exhibit 3.02 of the
Partnership's Registration Statement on Form S-1.
(2) Incorporated by reference to Exhibit 10.01 of the Partnership's Annual
Report on Form 10-K for the fiscal year ended December 31, 1993.
(3) Incorporated by reference to Exhibit 10.01 of the Partnership's
Registration Statement on Form S-1.
(4) Incorporated by reference to Exhibit 10.02 of the Partnership's Annual
Report on Form 10-K for the fiscal year ended December 31, 1993.
(5) Incorporated by reference to Exhibit 10.07 of the Partnership's
Registration Statement on Form S-1.
(6) Incorporated by reference to Exhibit 19 of the Partnership's Annual
Report on Form 10-K for the fiscal year ended December 31, 1993.
(7) Filed herewith.
- E-1 -
Multi-
Market
Portfolio
December 31, 1995
Annual Report
[LOGO] DEAN WITTER
DEAN WITTER
Two World Trade Center
62nd Floor
New York, NY 10048
Telephone (212) 392-8899
DEAN WITTER MULTI-MARKET PORTFOLIO
(FORMERLY DEAN WITTER PRINCIPAL GUARANTEED FUND)
ANNUAL REPORT 1995
Dear Limited Partner:
This marks the eighth annual report for the Dean Witter Multi-Market Portfolio
(the "Fund"). The Fund began the year at a Net Asset Value per Unit of
$1,154.31 and finished the year at a Net Asset Value per Unit of $1,080.82,
reflecting a loss of 6.4%. Since its inception in September 1988, the Fund has
increased by 8.1% (a compound annualized return of 1.1%).
The first quarter of 1995 began with losses recorded during January as a result
of trading in the currency and financial futures markets. In currency trading,
an upward move in the value of the most major European currencies relative to
the U.S. dollar, followed by an extremely sharp and sudden reversal late in the
month, resulted in Fund losses. Smaller losses were the result of trading
global interest rate futures. Trading gains were recorded in February and March
as global financial futures prices strengthened, resulting in profits for the
Fund's long stock index and bond futures positions. Additional gains during
February and March were experienced in currency trading due to a strengthening
in the value of the Japanese yen and most major European currencies versus the
U.S dollar.
The Fund posted profits during April as a result of a continued upward move in
global financial futures prices. Smaller gains were recorded from trading in
the currency and energy futures markets. Short-term volatile price movement in
the currency and energy markets resulted in losses for the Fund
during May. Additional losses were recorded from trendless price movement in
base metals, as well as in soft commodities. Smaller trading gains recorded in
international interest rate futures offset a portion of these losses. During
June, international bond futures prices retreated from their previous four
month upward trend resulting in losses to the Fund. Additional losses were
recorded in the currency markets from transactions involving the Canadian
dollar, Japanese yen and most major European currencies.
Trendless price movement in a majority of the markets traded during July
resulted in losses for the Fund. The most significant losses were experienced
in agricultural futures trading. Smaller losses were experienced from trading
in the financial, metals and energy futures markets. Smaller losses were
recorded by the Fund in August as trading gains in the currency markets were
more than offset by trading losses in U.S. financial futures and commodities
trading. During September, currency trading resulted in losses due primarily to
a sharp and extremely significant reversal in the upward move of the U.S.
dollar relative to most European currencies on September 20 and 21. Energy
futures prices also reversed their previous upward move, resulting in
additional losses for the Fund.
Continued trendless price movement in energy futures resulted in losses during
October. Additional losses were recorded in global financial futures and soft
commodities trading as prices in each of these markets moved without consistent
direction. During November, trendless price movement in the currency markets,
as well as in a majority of the other markets traded, resulted in Fund losses
for the month. Energy prices broke out of their previous trendless pattern and
moved higher during December enabling the Fund to record profits from long
positions in oil and gas futures. Additional gains during December were
recorded in agricultural and
financial futures, as well as in soft commodities.
Overall, 1995 proved to be a difficult year for the Fund as a result of
extended periods of short-term volatile price movement in a majority of the
traditional commodities futures markets. Trading gains in the financial futures
and currency markets during 1995 offset a portion of the overall losses for the
Fund. We continue to have confidence in the diversified trading approach of
Dean Witter Futures & Currency Management Inc., the Fund's sole Trading Advisor
since September 1993 and believe this confidence is well-founded based on the
longer term track record of other funds traded by Dean Witter Futures &
Currency Management Inc.
Should you have any questions concerning this report, please feel free to
contact Demeter Management Corporation at Two World Trade Center, 62nd Floor,
New York, NY 10048, or your Dean Witter Account Executive.
I hereby affirm, that to the best of my knowledge and belief, the information
contained in this report is accurate and complete. Past performance is not a
guarantee of future results.
Sincerely,
/s/ Mark J. Hawley
Mark J. Hawley
President
Demeter Management Corporation
General Partner
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. (formerly Dean Witter Principal Guaranteed
Fund L.P.) (the "Partnership") as of December 31, 1995 and 1994 and the related
statements of operations, changes in partners' capital, and cash flows for each
of the three years in the period ended December 31, 1995. These financial
statements are the responsibility of the Partnership's management. Our
responsibility is to express an opinion on these financial statements based on
our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements. An audit
also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, such financial statements present fairly, in all material
respects, the financial position of Dean Witter Multi-Market Portfolio L.P. as
of December 31, 1995 and 1994 and the results of its operations and its cash
flows for each of the three years in the period ended December 31, 1995 in
conformity with generally accepted accounting principles.
/s/ Deloitte & Touche
February 21, 1996
New York, New York
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31,
---------------------
1995 1994
---------- ----------
$ $
ASSETS
Equity in Commodity futures trading accounts:
Cash 14,884,093 17,153,766
Net unrealized gain on open contracts 976,590 2,530,293
---------- ----------
Total Trading Equity 15,860,683 19,684,059
Interest receivable (DWR) 56,131 76,087
---------- ----------
Total Assets 15,916,814 19,760,146
========== ==========
LIABILITIES AND PARTNERS' CAPITAL
LIABILITIES
Redemptions payable 205,081 202,571
Accrued brokerage fee (DWR) 119,337 148,174
Accrued management fee 39,778 49,391
Accrued transaction fees and costs 5,280 3,680
---------- ----------
Total Liabilities 369,476 403,816
---------- ----------
PARTNERS' CAPITAL
Limited Partners (14,078.727 and 16,462.804 Units,
respectively) 15,216,606 19,003,112
General Partner (306 Units) 330,732 353,218
---------- ----------
Total Partners' Capital 15,547,338 19,356,330
---------- ----------
Total Liabilities and Partners' Capital 15,916,814 19,760,146
========== ==========
NET ASSET VALUE PER UNIT 1,080.82 1,154.31
========== ==========
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,
--------------------------------
1995 1994 1993
---------- --------- ---------
$ $ $
REVENUES
Trading Profit (Loss):
Realized 2,025,100 1,718,542 4,703,374
Net change in unrealized (1,553,703) 511,173 (12,571)
---------- --------- ---------
Total Trading Results 471,397 2,229,715 4,690,803
Interest income 797,556 715,285 1,354,284
---------- --------- ---------
Total Revenues 1,268,953 2,945,000 6,045,087
---------- --------- ---------
EXPENSES
Brokerage fee (DWR) 1,634,478 1,879,250 1,832,856
Management fee 544,826 626,417 981,796
Transaction fees and costs 135,315 157,981 476,571
Letter of credit fees -- -- 388,562
---------- --------- ---------
Total Expenses 2,314,619 2,663,648 3,679,785
---------- --------- ---------
Net Income (Loss) (1,045,666) 281,352 2,365,302
========== ========= =========
Net Income (Loss) Allocation:
Limited Partners (1,023,180) 292,134 2,139,306
General Partner (22,486) (10,782) 225,996
Net Income (Loss) per Unit:
Limited Partners (73.49) 29.95 89.47
General Partner (73.49) 29.95 89.47
STATEMENT OF CHANGES IN PARTNERS' CAPITAL
FOR THE YEARS ENDED DECEMBER 31, 1995, 1994 AND 1993
UNITS OF
PARTNERSHIP LIMITED GENERAL
INTEREST PARTNERS PARTNER TOTAL
----------- ----------- ---------- -----------
$ $ $
Partners' Capital, December
31, 1992 61,761.773 61,302,344 2,614,125 63,916,469
Net Income -- 2,139,306 225,996 2,365,302
Redemptions (39,677.323) (41,451,007) -- (41,451,007)
----------- ----------- ---------- -----------
Partners' Capital,
December 31, 1993 22,084.450 21,990,643 2,840,121 24,830,764
Net Income (Loss) -- 292,134 (10,782) 281,352
Redemptions (5,315.646) (3,279,665) (2,476,121) (5,755,786)
----------- ----------- ---------- -----------
Partners' Capital,
December 31, 1994 16,768.804 19,003,112 353,218 19,356,330
Net Loss -- (1,023,180) (22,486) (1,045,666)
Redemptions (2,384.077) (2,763,326) -- (2,763,326)
----------- ----------- ---------- -----------
Partners' Capital, December
31, 1995 14,384.727 15,216,606 330,732 15,547,338
=========== =========== ========== ===========
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,
-----------------------------------
1995 1994 1993
---------- ---------- -----------
$ $ $
CASH FLOWS FROM
OPERATING ACTIVITIES
Net income (loss) (1,045,666) 281,352 2,365,302
Noncash item included in net income
(loss):
Net change in unrealized 1,553,703 (511,173) 12,571
Increase (decrease) in operating assets:
Interest receivable (DWR) 19,956 (23,845) 114,137
Net option premiums -- -- 32,150
Increase (decrease) in operating
liabilities:
Accrued brokerage fee (DWR) (28,837) (43,494) (175,276)
Accrued management fee (9,613) (14,498) (165,379)
Accrued transaction fees and costs 1,600 (1,608) (24,841)
---------- ---------- -----------
Net cash provided by (used for)
operating activities 491,143 (313,266) 2,158,664
---------- ---------- -----------
CASH FLOWS FROM FINANCING ACTIVITIES
Increase (decrease) in redemptions
payable 2,510 (266,833) (1,900,294)
Redemptions of units (2,763,326) (5,755,786) (41,451,007)
---------- ---------- -----------
Net cash used for financing activities (2,760,816) (6,022,619) (43,351,301)
---------- ---------- -----------
Net decrease in cash (2,269,673) (6,335,885) (41,192,637)
Balance at beginning of period 17,153,766 23,489,651 64,682,288
---------- ---------- -----------
Balance at end of period 14,884,093 17,153,766 23,489,651
========== ========== ===========
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")
(formerly Dean Witter Principal Guaranteed Fund L.P.) is a limited partnership
organized to engage in the speculative trading of commodity futures contracts,
commodity options contracts and forward contracts on foreign currencies. The
general partner for the Partnership is Demeter Management Corporation (the
"General Partner"). The commodity broker is Dean Witter Reynolds Inc. ("DWR").
DWR and the General Partner are wholly-owned subsidiaries of Dean Witter,
Discover & Co.
Through September 30, 1993, when the Partnership's original guarantee expired,
the General Partner retained Commodities Corporation (U.S.A.) N.V. ("C.C.") as
the trading manager of the Partnership. Effective October 1, 1993, the
Partnership was renamed and Dean Witter Futures & Currency Management
("DWFCM"), was retained as sole trading advisor in a non-guaranteed structure
with all assets committed to trading.
The General Partner is required to maintain a 1% minimum interest in the equity
of the Partnership and income (losses) are shared by the General and Limited
Partners based upon their proportional ownership interests.
BASIS OF ACCOUNTING--The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts in the financial statements.
REVENUE RECOGNITION--Commodity futures contracts, commodity options and forward
contracts on foreign currencies are open commitments until settlement date.
They are valued at market and the resulting unrealized gains and losses are
reflected in income. Monthly, DWR pays the Partnership interest income based
upon 80% of the average daily Net Assets for the month that are allocated for
commodity trading and 100% of the average daily Net Assets for the month that
are not allocated for commodity trading at a rate equal to the average yield on
13-Week U.S. Treasury Bills issued during such month. For purposes of such
interest payments, Net Assets do not include monies due the Partnership on
forward contracts and other commodity interests, but not actually received.
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
NET INCOME (LOSS) PER UNIT--Net income (loss) per Unit is computed using the
weighted average number of units outstanding during the period.
EQUITY IN COMMODITY FUTURES TRADING ACCOUNTS--The Partnership's asset "Equity
in Commodity futures trading accounts" consists of cash on deposit at DWR to be
used as margin for trading and the net asset or liability related to unrealized
gains or losses on open contracts. The asset or liability related to the
unrealized gains or losses on forward contracts is presented as a net amount
because the Partnership has a master netting agreement with DWR.
BROKERAGE FEES AND RELATED TRANSACTION FEES AND COSTS--The monthly brokerage
fee is equal to 3/4 of 1% per month of the Partnership's adjusted month-end Net
Assets, as defined in the Limited Partnership Agreement, that are allocated for
commodity trading. Through September 30, 1993, the monthly brokerage fee was
equal to 4/5 of 1%. Transaction fees and costs are accrued on a half-turn
basis.
OPERATING EXPENSES--The Partnership incurs a monthly management fee and may
incur an incentive fee. Also, pursuant to a Letter of Credit and Reimbursement
Agreement with C.C. and Citibank, N.A. ("Citibank"), the Partnership paid to
Citibank a monthly Letter of Credit fee equal to 1/12 of 1% of the amount
available to be drawn under the letter of credit through the September 30, 1993
expiration of the guarantee. The General Partner and/or DWR bear all other
operating expenses.
GUARANTEE--At inception, the Partnership entered into an Agreement of
Guarantee, supported by the above-mentioned letter of credit, with C.C. and
C.C. Guarantee Corporation pursuant to which any Limited Partner who redeemed
Units as of September 30, 1993 (the "Guaranteed Redemption Date") would receive
at least $1,000 for each Unit redeemed. The Partnership's Net Asset Value per
Unit was above $1,000 on September 30, 1993 when the guarantee expired.
REDEMPTIONS--Limited Partners may redeem some or all of their Units at 100% of
the Net Asset Value per Unit on the special redemption dates described in the
Limited Partnership Agreement or as of the last day of any fiscal quarter upon
five business days advance notice by redemption form to the General Partner.
DISTRIBUTIONS--Distributions, other than on redemptions of Units, are made on a
pro-rata basis at the sole discretion of the General Partner. No distributions
have been made to date.
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
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.
2. RELATED PARTY TRANSACTIONS
The Partnership's cash is on deposit with DWR in commodity trading accounts to
meet margin requirements as needed. DWR pays interest on these funds as
described in Note 1. Under its Customer Agreement with DWR the Partnership pays
DWR a monthly brokerage fee as described in Note 1.
The General Partner, on behalf of the Partnership and itself, has entered into
a Management 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% of the Partnership's adjusted Net
Assets, as defined, that are allocated to commodity 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" as defined, earned by the Partnership as of the end of
each calendar quarter. No incentive fee will be paid until the existing trading
loss carryforward (adjusted for redemptions) has been recovered.
Prior to October 1, 1993, C.C. was paid a monthly management fee equal to 1/2
of 1% of the Partnership's Adjusted Net Assets and an annual incentive fee
equal to 20% of the Partnership's "New Appreciation" as defined in the Limited
Partnership Agreement.
3. CHANGES IN TRADING ASSETS
Pursuant to the now expired Letter of Credit and Reimbursement Agreement,
through September 30, 1993, maximum Net Assets allocable to trading had to be
adjusted periodically due to changes in the net asset value per unit, interest
rates and the time remaining until the guaranteed redemption date. Adjustments
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
were accomplished by reallocating assets from advisors to a non-traded reserve
account. The assets not allocated to trading advisors earned interest income at
a rate equal to the average yield on 13-week U.S. Treasury Bills and no
management and brokerage fees were charged on such assets.
Maximum net assets allocable to trading were adjusted as required throughout
1993 and stood at 37.5% at September 30, 1993.
On September 30, 1993, the guarantee and related deleverage provisions expired.
Effective October 1, 1993, 100% of net assets were allocated to trading and
remained at this level through December 31, 1995.
4. FINANCIAL INSTRUMENTS
The Partnership trades futures, options and forward contracts in interest
rates, stock indices, commodities, currencies, petroleum, and precious metals.
Futures and forwards represent contracts for delayed delivery of an instrument
at a specified date and price. Risk arises from changes in the value of these
contracts and the potential inability of counterparties to perform under the
terms of the contracts. There are numerous factors which may significantly
influence the market value of these contracts, including interest rate
volatility. At December 31, 1995 and 1994, open contracts were:
CONTRACT OR NOTIONAL AMOUNT
---------------------------
1995 1994
------------- -------------
$ $
EXCHANGE-TRADED CONTRACTS
Financial Futures:
Commitments to Purchase 71,154,000 6,941,000
Commitments to Sell -- 54,502,000
Commodity Futures:
Commitments to Purchase 33,532,000 13,797,000
Commitments to Sell 5,021,000 10,964,000
Foreign Futures:
Commitments to Purchase 54,942,000 1,680,000
Commitments to Sell 3,775,000 4,474,000
OFF-EXCHANGE-TRADED FORWARD
CURRENCY CONTRACTS
Commitments to Purchase 51,588,000 40,997,000
Commitments to Sell 58,172,000 73,993,000
A portion of the amounts indicated as off-balance-sheet risk in forward foreign
currency contracts is due to offsetting forward commitments to purchase and to
sell the same currency on the same date in the future. These commitments are
economically offsetting, but are not offset in the forward market until the
settlement date.
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
The unrealized gains on open contracts are reported as a component of "Equity
in Commodity futures trading accounts" on the Statements of Financial Condition
and totaled $976,590 and $2,530,293 at December 31, 1995 and 1994,
respectively.
Of the $976,590 net unrealized gain on open contracts at December 31, 1995,
$1,563,573 related to exchange-traded futures contracts and $(586,983) related
to off-exchange-traded forward currency contracts. Of the $2,530,293 net
unrealized gain on open contracts at December 31, 1994, $1,997,352 related to
exchange-traded futures contracts and $532,941 related to off-exchange-traded
forward currency contracts.
Exchange-traded futures contracts held by the Partnership at December 31, 1995
and December 31, 1994 mature through September 1996 and June 1995,
respectively. Off-exchange-traded forward currency contracts held by the
Partnership at December 31, 1995 and December 31, 1994 mature through February
1996 and March 1995, respectively. The contract amounts in the above table
represent the Partnership's extent of involvement in the particular class of
financial instrument, but not the credit risk associated with counterparty
nonperformance. The credit risk associated with these instruments is limited to
the amounts reflected in the Partnership's Statements of Financial Condition.
The Partnership also has credit risk because the sole counterparty, with
respect to most of the Partnership's assets, is DWR. Exchange-traded futures
and options contracts are marked to market on a daily basis, with variations in
value settled on a daily basis. DWR, as the futures commission merchant for all
of the Partnership's exchange-traded futures and options contracts, is required
pursuant to regulations of the Commodity Futures Trading Commission to
segregate from its own assets, and for the sole benefit of its commodity
customers, all funds held by DWR with respect to exchange-traded futures and
option contracts including an amount equal to the net unrealized gain on all
open futures and option contracts which funds totaled $16,447,666 and
$19,151,118 at December 31, 1995 and 1994, respectively. With respect to the
Partnership's off-exchange-traded forward currency contracts, there are no
daily settlements of variations in value nor is there any requirement that an
amount equal to the net unrealized gain on open forward and option contracts be
segregated. With respect to those off-exchange-traded forward currency
contracts, the Partnership is at risk to the ability of DWR, the counterparty
on all of such contracts, to perform.
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
NOTES TO FINANCIAL STATEMENTS--(CONCLUDED)
For the year ended December 31, 1995, the average fair value of financial
instruments held for trading purposes was as follows:
ASSETS LIABILITIES
---------- -----------
$ $
EXCHANGE-TRADED CONTRACTS:
Financial Futures 26,930,000 16,351,000
Commodity Futures 14,868,000 7,339,000
Foreign Futures 30,978,000 9,299,000
OFF-EXCHANGE-TRADED FORWARD
CURRENCY CONTRACTS: 42,209,000 53,791,000
DEAN WITTER REYNOLDS INC.
Two World Trade Center
62nd Floor
New York, NY 10048
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