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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 0-23826
DEAN WITTER WORLD CURRENCY FUND L.P.
(Exact name of registrant as specified in its Limited Partnership
Agreement)
DELAWARE 13-3700691
(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: $16,666,933 at January 31,
2001.
DOCUMENTS INCORPORATED BY REFERENCE
(See Page 1)
DEAN WITTER WORLD CURRENCY FUND 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. .
. .5
Part II.
Item 5. Market for the
Registrant's Partnership Units
and Related Security Holder Matters . . . . . . . . .
. . 6
Item 6.Selected Financial Data . . . . . . . . . . . . . . .
. . 7
Item 7.Management's Discussion and Analysis of Financial
Condition and Results of Operations. . . . . . . . . .
8-19
Item 7A.Quantitative and Qualitative Disclosures About
Market Risk . . . . . . . . . . . . . . . . . . . . .
19-28
Item 8.Financial Statements and Supplementary Data. . . . . .
. .28
Item 9.Changes in and Disagreements with Accountants on
Accounting and Financial Disclosure. . . . . . . . . .
. .29
Part III.
Item 10.Directors and Executive Officers of the Registrant. ..
30-34
Item 11. Executive Compensation . . . . . . . . . . . . . . . .
. 34
Item 12.Security Ownership of Certain Beneficial Owners
and Management. .. . . . . . . . . . . . . . . . . . .
. .34
Item 13. Certain Relationships and Related Transactions. . .. .
. .35
Part IV.
Item 14. Exhibits,
Financial Statement Schedules, and
Reports on Form 8-K. . . . . . . . . . . . . . . . . .
. .36
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 2, 1993 I
Annual Report to Dean Witter
World Currency Fund 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 World Currency
Fund L.P. (the "Partnership") is a Delaware limited partnership
organized to engage primarily in the speculative trading of
commodity futures, options and forward contracts on foreign
currencies.
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. Incorporated ("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.
Demeter, DWR, MS & Co. and MSIL are wholly-owned subsidiaries of
Morgan Stanley Dean Witter & Co. ("MSDW"). John W. Henry &
Company and Millburn Ridgefield Corporation are the trading
advisors (the "Trading Advisors") to the Partnership.
The Partnership's net asset value per unit of limited partnership
interest ("Unit(s)") as of December 31, 2000 was $1,056.80,
representing an increase of 6.4 percent from the net asset value
per Unit of $993.59 at December 31, 1999.
(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, forwards, and options. 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, forwards, and
options, pursuant to trading instructions provided by the Trading
Advisors. For a detailed description of the different facets of
the Partnership's business, see those portions of the
Partnership's prospectus, dated June 2, 1993, (the "Prospectus")
incorporated by reference in this Form 10-K, set forth below.
Facets of Business
1. Summary 1. "Summary of the Prospectus"
(Pages 1-8 of the Prospec-
tus).
2. Currency Markets 2. "The Currency Markets"
(Pages 80-88 of the Pros-
pectus).
3. Partnership's Trading 3. "Trading Policies" (Page
Arrangements and 75). "The Trading
Policies Advisors" (Pages 34-74
of the Prospectus).
4. Management of the Part- 4. "The Management Agree-
nership ments" (Pages 77-80).
"The General Partner"
(Pages 30-33) and "The
Commodity Broker"
(Pages 76-77). "The
Limited Partnership
Agreement" (Pages 89-
93 of the Prospectus).
5. Taxation of the Partner- 5. "Federal Income Tax
ship's Limited Partners Aspects" and "State and
Local Income Tax
Aspects" (Pages 97-104
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, forwards
and options 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, the Partnership, 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 LIMITED PARTNERSHIP
INTERESTS 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 2,140.
(c) Distributions
No distributions have been made by the Partnership since it
commenced operations on April 2, 1993. 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) 2,069,804 2,391,766 1,274,004 12,366,515
5,746,636
Net Income (Loss) 779,626 684,200 (682,212) 9,849,370
3,438,844
Net Income (Loss)
Per Unit (Limited
& General Partners) 63.21 25.69 (25.89) 280.62
81.88
Total Assets 17,213,416 20,709,272 25,105,387 32,260,016
27,427,364
Total Limited
Partners' Capital 16,582,911 19,950,579 24,485,689 30,674,029
25,668,776
Net Asset Value Per
Unit 1,056.80 993.59 967.90 993.79
713.17
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, forwards, and options accounts established for
each 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, forwards, and options, it is expected
that the Partnership will continue to own such liquid assets for
margin purposes.
The Partnership's investment in futures, forwards, and options
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 or options contract
has increased or decreased by an amount equal to the daily limit,
positions in that futures or options 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 or options 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, 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, forwards, and options 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
Advisors and the ability of each Trading Advisor's trading
programs to take advantage of price movements or other profit
opportunities in the futures, forwards, and options 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 Advisors trade 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 Advisors 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
Advisors' 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
$16,913,166, a decrease of $3,347,916 from the Partnership's
total capital of $20,261,082 at December 31, 1999. For the year
ended December 31, 2000, the Partnership generated net income of
$779,626 and total redemptions aggregated $4,127,542.
For the year ended December 31, 2000, the Partnership recorded
total trading revenues, including interest income, of $2,069,804
and posted an increase in net asset value. The most significant
gains of approximately 9.4% were recorded during the fourth
quarter from long euro positions versus the U.S. dollar and
Japanese yen as the value of the European common currency
strengthened amid worries of a slowdown in U.S. economic growth
and anemic Japanese economic growth. Gains of approximately 2.9%
were also experienced from short South African rand positions as
its value receded relative to the U.S. dollar during April and
May amid speculation that Zimbabwe was on the verge of devaluing
its currency. Additional gains of approximately 2.4% were
recorded from short Thai baht positions as its value weakened
versus the U.S. dollar due to poor market sentiment in the Asian
Pacific region. A portion of the Partnership's gains for the
year was offset by losses of approximately 7.7% experienced in
the British pound as long positions generated losses early in the
year amid continued strength in the U.S. dollar and short
positions incurred losses late in the year on fresh evidence of a
weakening U.S. economy. Additional losses of approximately 2.1%
were recorded from long Australian dollar positions as its value
declined relative to the U.S. dollar as Australian interest rate
expectations faded, as well as losses of approximately 2.1% from
long Canadian dollar positions as its value weakened relative to
the U.S. dollar on technical factors and general weakness in
commodity-related currencies. Losses of approximately 9.6%
experienced in the Japanese yen during the first nine months of
the year were offset by significant gains of approximately 9.0%
during the fourth quarter as short positions in the Japanese yen
profited from the continued weakness of the Japanese economy.
Total expenses for the year were $1,290,178, resulting in net
income of $779,626. The net asset value of a Unit increased from
$993.59 at December 31, 1999 to $1,056.80 at December 31, 2000.
At December 31, 1999, the Partnership's total capital was
$20,261,082, a decrease of $4,527,081 from the Partnership's
total capital of $24,788,163 at December 31, 1998. For the year
ended December 31, 1999, the Partnership generated net income of
$684,200 and total redemptions aggregated $5,211,281.
For the year ended December 31, 1999, the Partnership recorded
total trading revenues, including interest income, of $2,391,766
and posted an increase in net asset value per Unit. Gains of
approximately 13.61% were recorded from euro positions.
Throughout a majority of the first half of the year, gains were
recorded from short positions in the euro as the value of the
European common currency declined relative to the U.S. dollar on
the strength of the U.S. economy, concerns pertaining to the
economic health of Europe and growing uncertainty about the
military action in Yugoslavia. During November, currencies such
as the euro and the Swiss franc resumed previous downward trends
and thus proved profitable for the Partnership. The Japanese yen
produced gains of approximately 1.34%, primarily from long
positions as the value of the yen strengthened versus the U.S.
dollar and other major currencies on optimism regarding economic
recovery in that country. A portion of the Partnership's overall
gains was offset by losses of approximately 5.03% experienced
from short-term volatility in the British pound throughout a
majority of the year. Additional losses of approximately 3.93%
were incurred primarily during January from short Norwegian krone
positions as its value strengthened versus the U.S. dollar due to
a rise in oil prices and the possibility that this Scandinavian
currency could be linked to the euro sometime in the future.
Smaller losses were recorded in trading several emerging market
currencies, such as the Singapore dollar, approximately 2.30%,
and the South African rand, approximately 1.30%, primarily during
October's difficult period for trend-following money managers.
Total expenses for the year were $1,707,566, resulting in net
income of $684,200. The net asset value of a Unit increased from
$967.90 at December 31, 1998 to $993.59 at December 31, 1999.
At December 31, 1998, the Partnership's total capital was
$24,788,163, a decrease of $7,085,868 from the Partnership's
total capital of $31,874,031 at December 31, 1997. For the year
ended December 31, 1998, the Partnership generated a net loss of
$682,212 and total redemptions aggregated $6,403,656.
For the year ended December 31, 1998, the Partnership recorded
total trading revenues, including interest income, of $1,274,004
and posted a decrease in net asset value per Unit. The
Partnership recorded a net loss during 1998, primarily from
losses of approximately 3.72% due to trendless movement in the
value of the British pound relative to the U.S. dollar throughout
a majority of the year. Additional losses were recorded from the
German mark, by approximately 3.18%, the Swiss franc, by
approximately 3.00%, the Australian dollar, by approximately
1.89%, the euro, by approximately 1.85% and the Norwegian krone,
by approximately 1.43%. These losses were mitigated by gains
recorded of approximately 7.25% from the South African rand
primarily during the second quarter from short positions, as
economic concerns in South Africa weighed on its currency.
Additional gains of approximately 6.69% were recorded from
Japanese yen primarily during the fourth quarter from long
positions as the yen strengthened amid optimism regarding the
Japanese financial crisis. Total expenses for the year were
$1,956,216, resulting in a net loss of $682,212. The net asset
value of a Unit decreased from $993.79 at December 31, 1997 to
$967.90 at December 31, 1998.
The Partnership's overall performance record represents varied
results of trading in different futures, forwards, and options
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, forwards, and options
in a portfolio of foreign currencies. 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 Advisors were 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 Advisors' internal controls, the
Trading Advisors 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 Advisors and Demeter monitor the Partnership's
trading activities to ensure compliance with the trading
policies. Demeter may require the Trading Advisors 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, forwards,
and options 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 forward
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, forwards, and options. 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, forwards, and options 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 Partner-
ship'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, forwards, and options are settled daily through
variation margin.
The Partnership's risk exposure in the market sectors traded by
the Trading Advisors 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 Advisors 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.
As of December 31, 2000 and 1999, the Partnership's total
capitalization was approximately $17 million and $20 million,
respectively.
Primary Market December 31, 2000 December 31, 1999
Risk Category Value at Risk Value at Risk
Currency (3.36)% (2.09)%
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, forwards,
and options, 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
Currency (4.01)% (1.60)% (3.06)%
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.
The 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 89% 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 Advisors 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 was the primary trading risk exposure of the
Partnership as of December 31, 2000. It may be anticipated
however, that market exposure will vary materially over time.
Currency. At December 31, 2000, The Partnership's currency
exposure was to exchange rate fluctuations, primarily
fluctuations 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. For the
fourth quarter of 2000, the Partnership's major exposures were to
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 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 dollars.
Qualitative Disclosures Regarding Non-Trading Risk Exposure
At December 31, 2000 there was no non-trading risk exposure
because the Partnership did not have any foreign currency
balances.
Qualitative Disclosures Regarding Means of Managing Risk Exposure
The Partnership and the Trading Advisors 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 Trading Advisors, each of
whose strategies focus on different market sectors and trading
approaches, and monitoring
the performance of the Trading Advisors daily. In addition, the
Trading Advisors establish 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 Advisors.
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 $ (661,986) $ (1,065,168) $ (53.98)
June 30 (584,953) (894,721) (50.53)
September 30 (53,672) (357,072) (20.57)
December 31 3,370,415 3,096,587 188.29
Total $ 2,069,804 $ 779,626 $ 63.21
1999
March 31 $ 1,689,580 $ 1,272,329 $ 51.32
June 30 359,561 (86,910) (4.71)
September 30 (18,702) (482,231) (20.69)
December 31 361,327 (18,988) (0.23)
Total $ 2,391,766 $ 684,200 $ 25.69
- 28 -
Item 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON
ACOUNTING 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 Dean Witter Futures & Currency
Management Inc. ("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
- 30 -
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.
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 312.506 Units of General Partnership Interest
representing a 1.95 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 $726,395 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 WORLD
CURRENCY FUND 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 December 8, 1992 is incorporated by reference to Exhibit
3.01 and Exhibit 3.02 of the Partnership's Registration
Statement on Form S-1 (File No. 33-55806).
10.01Form of the Management Agreements among the Partnership,
Demeter and CCA Capital Management Inc., Colorado
Commodities
Management Corporation, Ezra Zask Associates Inc. and
Millburn Ridgefield Corporation dated as of March 1, 1993
is incorporated by reference to Exhibit 10.02 of the
Partnership's Registration Statement on Form S-1 (File No.
33-55806).
10.02Management Agreement among the Partnership, Demeter and JWH
dated as of June 1, 1995 is incorporated by reference to
Exhibit 10.03 of the Partnership's Annual Report on Form
10K for the fiscal year ended December 31, 1995.
10.03Amended 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 Form 10-K (File No. 0-23826) for
fiscal year ended December 31, 1998.
10.04Customer Agreement, dated as of December 1, 1997, among the
Partnership, Carr Futures Inc., and Dean Witter Reynolds
Inc. is incorporated by reference to Exhibit 10.04 of the
Partnership's Form 10-K (File No. 0-23826) for fiscal year
ended December 31, 1998.
10.05International 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 Form 10-K (File No. 0-23826) for
fiscal year ended December 31, 1998.
10.06Customer 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. 0-23826).
10.07Amendment to Management Agreement among the Partnership,
Dean Witter Reynolds Inc., and John W. Henry & Company,
Inc., dated November 30, 2000, is incorporated by reference
to the Partnership's Form 8-K, filed with the Securities
and Exchange Commission on January 3, 2001.
10.08Amendment to Management Agreement between the Partnership
and Millburn Ridgefield Corporation, dated November 30,
2000, is incorporated by reference to the Partnership's
Form 8-K, filed with the Securities and Exchange Commission
on January 3, 2001.
13.01December 31, 2000 Annual Report to Limited Partners is
filed herewith.
World
Currency
Fund
December 31, 2000
Annual Report
MORGAN STANLEY DEAN WITTER
Dean Witter World Currency Fund 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
---- ------
1993 (9 months) -17.4%
1994 -25.1%
1995 2.0%
1996 13.0%
1997 39.4%
1998 -2.6%
1999 2.7%
2000 6.4%
Inception-to-Date Return: 5.7%
Annualized Return: 0.7%
Demeter Management Corporation
Two World Trade Center
62nd Floor
New York, NY 10048
Telephone (212) 392-8899
Dean Witter World Currency Fund L.P.
Annual Report
2000
Dear Limited Partner:
This marks the eighth annual report for the Dean Witter World Currency Fund
L.P. (the "Fund"). The Fund began the year trading at a Net Asset Value per
Unit of $993.59 and increased by 6.4% to $1,056.80 on December 31, 2000.
Overall, the Fund recorded an increase in Net Asset Value per Unit during
2000. The most significant gains were recorded during the fourth quarter from
long euro positions versus the U.S. dollar and Japanese yen, as the value of
the European common currency strengthened amid worries of a slowdown in U.S.
economic growth and anemic Japanese economic growth. Gains were also experi-
enced from short South African rand positions as its value receded relative to
the U.S. dollar during April and May amid speculation that Zimbabwe was on the
verge of devaluing its currency. Additional gains were recorded from short
Thai baht positions as its value weakened versus the U.S. dollar due to poor
market sentiment in the Asian Pacific region. A portion of the Fund's gains
for the year was offset by losses experienced in the British pound as long po-
sitions generated losses early in the year amid continued strength in the U.S.
dollar and short positions incurred losses late in the year on fresh evidence
of a weakening U.S. economy. Additional losses were recorded from long Austra-
lian dollar positions as its value declined relative to the U.S. dollar as
Australian interest rate expectations faded, and from long Canadian dollar po-
sitions, as its value weakened relative to the U.S. dollar on technical fac-
tors and general weakness in commodity-related currencies. Losses experienced
in the Japanese yen during the first nine months of the year were offset by
significant gains during the fourth quarter, as short positions in the Japa-
nese yen profited from the continued weakness of the Japanese economy.
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 World Currency Fund L.P.
Independent Auditors' Report
The Limited Partners and the General Partner:
We have audited the accompanying statements of financial condition of Dean
Witter World Currency Fund 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 World Currency Fund L.P. at De-
cember 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 confor-
mity with accounting principles generally accepted in the United States of
America.
/s/ Deloitte & Touche LLP
New York, New York
February 16, 2001
Dean Witter World Currency Fund L.P.
Statements of Financial Condition
December 31,
---------------------
2000 1999
---------- ----------
$ $
ASSETS
Equity in futures interests trading
accounts:
Cash 15,129,282 20,485,336
Net unrealized gain on open contracts (MS&Co.) 2,020,756 --
Net unrealized gain on open contracts (Carr) -- 149,925
---------- ----------
Total net unrealized gain on open contracts 2,020,756 149,925
---------- ----------
Total Trading Equity 17,150,038 20,635,261
Interest receivable (DWR) 59,750 74,011
Due from DWR 3,628 --
---------- ----------
Total Assets 17,213,416 20,709,272
========== ==========
LIABILITIES AND PARTNERS' CAPITAL
LIABILITIES
Redemptions payable 263,942 381,996
Accrued management fees 28,676 51,737
Accrued administrative expenses 7,632 14,457
---------- ----------
Total Liabilities 300,250 448,190
---------- ----------
PARTNERS' CAPITAL
Limited Partners (15,691.694 and 20,079.269 Units,
respectively) 16,582,911 19,950,579
General Partner (312.506 Units) 330,255 310,503
---------- ----------
Total Partners' Capital 16,913,166 20,261,082
---------- ----------
Total Liabilities and
Partners' Capital 17,213,416 20,709,272
========== ==========
NET ASSET VALUE PER UNIT 1,056.80 993.59
========== ==========
The accompanying notes are an integral part of these financial statements.
Dean Witter World Currency Fund L.P.
Statements of Operations
For the Years Ended
December 31,
-------------------------------
2000 1999 1998
--------- --------- ----------
$ $ $
REVENUES
Trading profit (loss):
Realized (586,585) 277,017 2,059,332
Net change in unrealized 1,870,831 1,251,365 (1,876,969)
--------- --------- ----------
Total Trading Results 1,284,246 1,528,382 182,363
Interest income (DWR) 785,558 863,384 1,091,641
--------- --------- ----------
Total Revenues 2,069,804 2,391,766 1,274,004
--------- --------- ---------
EXPENSES
Brokerage commissions (DWR) 726,395 909,447 955,692
Management fees 494,529 689,650 869,146
Administrative expenses 47,005 60,280 73,700
Transaction fees and costs 22,249 48,189 57,678
--------- --------- ----------
Total Expenses 1,290,178 1,707,566 1,956,216
--------- --------- ----------
NET INCOME (LOSS) 779,626 684,200 (682,212)
========= ========= ==========
Net Income (Loss) Allocation:
Limited Partners 759,874 676,171 (677,089)
General Partner 19,752 8,029 (5,123)
Net Income (Loss) per Unit:
Limited Partners 63.21 25.69 (25.89)
General Partner 63.21 25.69 (25.89)
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 32,073.339 30,674,029 1,200,002 31,874,031
Net loss -- (677,089) (5,123) (682,212)
Redemptions (6,463.098) (5,511,251) (892,405) (6,403,656)
---------- ---------- --------- ----------
Partners' Capital,
December 31, 1998 25,610.241 24,485,689 302,474 24,788,163
Net income -- 676,171 8,029 684,200
Redemptions (5,218.466) (5,211,281) -- (5,211,281)
---------- ---------- --------- ----------
Partners' Capital,
December 31, 1999 20,391.775 19,950,579 310,503 20,261,082
Net income -- 759,874 19,752 779,626
Redemptions (4,387.575) (4,127,542) -- (4,127,542)
---------- ---------- --------- ----------
Partners' Capital,
December 31, 2000 16,004.200 16,582,911 330,255 16,913,166
========== ========== ========= ==========
The accompanying notes are an integral part of these financial statements.
Dean Witter World Currency Fund L.P.
Statements of Cash Flows
For the Years Ended
December 31,
----------------------------------
2000 1999 1998
---------- ---------- ----------
$ $ $
CASH FLOWS FROM OPERATING ACTIVITIES
Net income (loss) 779,626 684,200 (682,212)
Noncash item included in net income
(loss):
Net change in unrealized (1,870,831) (1,251,365) 1,876,969
(Increase) decrease in operating assets:
Interest receivable (DWR) 14,261 2,115 30,847
Due from DWR (3,628) -- --
Net option premiums -- -- 49,687
Increase (decrease) in operating
liabilities:
Accrued management fees (23,061) (11,012) (17,901)
Accrued administrative expenses (6,825) 8,480 5,977
---------- ---------- ----------
Net cash provided by (used
for) operating activities (1,110,458) (567,582) 1,263,367
---------- ---------- ----------
CASH FLOWS FROM FINANCING ACTIVITIES
Increase (decrease) in redemptions
payable (118,054) 133,498 (56,837)
Redemptions of Units (4,127,542) (5,211,281) (6,403,656)
---------- ---------- ----------
Net cash used for financing activities (4,245,596) (5,077,783) (6,460,493)
---------- ---------- ----------
Net decrease in cash (5,356,054) (5,645,365) (5,197,126)
Balance at beginning of period 20,485,336 26,130,701 31,327,827
---------- ---------- ----------
Balance at end of period 15,129,282 20,485,336 26,130,701
========== ========== ==========
The accompanying notes are an integral part of these financial statements.
Dean Witter World Currency Fund L.P.
Notes to Financial Statements
1. Summary of Significant Accounting Policies
Organization--Dean Witter World Currency Fund L.P. (the "Partnership") is a
limited partnership organized to engage primarily in the speculative trading
of commodity futures, options and forward contracts on foreign currencies
(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.
International Limited ("MSIL") provide clearing and execution services. Prior
to May 2000, Carr Futures Inc. ("Carr") provided clearing and execution
services to the Partnership. Demeter, DWR, MS&Co. and MSIL 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.
The trading advisors for the Partnership are John W. Henry & Company, Inc.
("JWH") and Millburn Ridgefield Corporation ("Millburn") (the "Trading Advi-
sors").
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
profit (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 aver-
age yield on 13-week U.S. Treasury bills. For purposes of such interest pay-
ments, Net Assets do not include monies due the Partnership on futures inter-
ests, 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 World Currency Fund 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; (B) net unrealized gains or losses on open con-
tracts, which are valued at market and calculated as the difference between
original contract value and market value, and (C) the net option premiums,
which represent the net of all monies paid and/or received for such option
premiums.
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 in 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--The Partnership
accrues brokerage commissions 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.
Brokerage commissions and transaction fees combined are capped at 13/20 of 1%
per month (a maximum 7.8% annual rate) of the Partnership's month-end Net As-
sets.
Operating Expenses--The Partnership bears all operating expenses related to
its trading activities, to a maximum of 1/4 of 1% annually of the Partner-
ship's average month-end Net Assets. These include filing fees, clerical, ad-
ministrative, auditing, accounting, mailing, printing, and other incidental
operating expenses as permitted by the Limited Partnership Agreement. In addi-
tion, the Partnership incurs a monthly management fee and may incur incentive
fees.
Redemptions--Limited Partners may redeem some or all of their Units at 100% of
the Net Asset Value per Unit as of the end of any month upon five business
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.
Dean Witter World Currency Fund L.P.
Notes to Financial Statements--(Continued)
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 pays DWR brokerage commissions 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.
3. Trading Advisors
Compensation to JWH and Millburn consists of a management fee and an incentive
fee as follows:
Management Fee--The Partnership pays a monthly management fee equal to 1/6 of
1% per month (a 2% annual rate) of the Partnership's adjusted Net Assets as of
the end of each month. Prior to December 1, 2000, the Partnership paid a
monthly management fee equal to 1/4 of 1% per month (a 3% annual rate) of the
Partnership's adjusted Net Assets as of the end of each month.
Incentive Fee--The Partnership pays a quarterly incentive fee to each trading
advisor equal to 20% of trading profits experienced with respect to the Net
Assets allocated to such trading advisor as of the end of each calendar quar-
ter. Prior to December 1, 2000, the Partnership paid a quarterly incentive fee
to each trading advisor equal to 17.5% of trading profits experienced with re-
spect to the Net Assets allocated to such trading advisor as of the end of
each calendar quarter. Trading profits represent the amount by which profits
from futures, forwards and options trading exceed losses after brokerage com-
missions, management fees, transaction fees and costs and administrative ex-
penses are deducted. Such incentive fee is accrued in each month in which
trading profits occur. In those months in which trading profits are negative,
previous accruals, if any, during the incentive period are reduced. In those
instances in which a Limited Partner redeems Units, the incentive fee, (earned
through the redemption date), is paid to such advisor on those redeemed Units
in the month of redemption.
4. Financial Instruments
The Partnership trades futures, options and forward contracts on foreign cur-
rencies. 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.
Dean Witter World Currency Fund L.P.
Notes to Financial Statements--(Continued)
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 values, respec-
tively, of derivative financial instruments for an entity that carries its as-
sets at fair value. SFAS No. 133 was further amended by SFAS No. 138, which
clarifies issues surrounding interest rate risk, foreign currency denomina-
tions, 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 significant
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 $2,020,756 and $149,925 at December 31, 2000 and 1999,
respectively.
The $2,020,756 net unrealized gain on open contracts at December 31, 2000 and
the $149,925 net unrealized gain on open contracts at December 31, 1999
related to off-exchange-traded forward currency contracts.
Off-exchange-traded forward currency contracts held by the Partnership at De-
cember 31, 2000 and 1999 mature through March 2001 and March 2000, respective-
ly.
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.
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
Dean Witter World Currency Fund L.P.
Notes to Financial Statements--(Concluded)
assets. Exchange-traded futures and futures-styled options 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 and futures-styled options contracts,
are required, pursuant to regulations of the Commodity Futures Trading Commis-
sion, 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 and futures-styled option contracts, including an amount equal to the
net unrealized gains on all open futures and futures-styled option contracts,
which funds totaled $15,129,282 and $20,485,336 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-
traded 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
Partnership has a netting agreement with MS&Co. This agreement, which seeks to
reduce both the Partnership's and MS&Co.'s exposure on off-exchange-traded
forward currency contracts, should materially decrease the Partnership's
credit risk in the event of MS&Co.'s bankruptcy or insolvency.
5. 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, Dean Witter Futures & Currency Management
Inc., MSDW, the Partnership, 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.
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
E-1