Attached files
MORGAN STANLEY SMITH BARNEY CHARTER SERIES December 31, 2010 Annual Report [LOGO]
TO THE LIMITED PARTNERS OF: MORGAN STANLEY SMITH BARNEY CHARTER CAMPBELL L.P. MORGAN STANLEY SMITH BARNEY CHARTER ASPECT L.P. MORGAN STANLEY SMITH BARNEY CHARTER WNT L.P. To the best of the knowledge and belief of the undersigned, the information contained herein is accurate and complete. /s/ Walter J. Davis By: Walter Davis President and Director Ceres Managed Futures LLC, General Partner of Morgan Stanley Smith Barney Charter Campbell L.P. Morgan Stanley Smith Barney Charter Aspect L.P. Morgan Stanley Smith Barney Charter WNT L.P.
MORGAN STANLEY SMITH BARNEY CHARTER SERIES MANAGEMENT'S REPORT ON INTERNAL CONTROL OVER FINANCIAL REPORTING Ceres Managed Futures LLC ("Ceres"), formerly Demeter Management LLC, the general partner of Morgan Stanley Smith Barney Charter Campbell L.P., Morgan Stanley Smith Barney Charter Aspect L.P., and Morgan Stanley Smith Barney Charter WNT L.P. (collectively, the "Partnerships"), is responsible for the management of the Partnerships. Management of Ceres ("Management") is responsible for establishing and maintaining adequate internal control over financial reporting. The internal control over financial reporting is designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles. The Partnerships' internal control over financial reporting includes those policies and procedures that: . Pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Partnerships; . Provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that the Partnerships' transactions are being made only in accordance with authorizations of Management and directors of Ceres; and . Provide reasonable assurance regarding prevention or timely detection and correction of unauthorized acquisition, use or disposition of the Partnerships' assets that could have a material effect on the financial statements. Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.
Management assessed the effectiveness of each Partnership's internal control over financial reporting as of December 31, 2010. In making this assessment, Management used the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission in Internal Control--Integrated Framework. Based on our assessment and those criteria, Management believes that each Partnership maintained effective internal control over financial reporting as of December 31, 2010. /s/ Walter J. Davis Walter Davis President and Director Ceres Managed Futures LLC /s/ Jennifer Magro Jennifer Magro Chief Financial Officer and Director Ceres Managed Futures LLC New York, New York March 28, 2011
MORGAN STANLEY SMITH BARNEY CHARTER SERIES REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Limited Partners and the General Partner of Morgan Stanley Smith Barney Charter Campbell L.P., Morgan Stanley Smith Barney Charter Aspect L.P., and Morgan Stanley Smith Barney Charter WNT L.P.: We have audited the accompanying statements of financial condition of Morgan Stanley Smith Barney Charter Campbell L.P., Morgan Stanley Smith Barney Charter Aspect L.P., and Morgan Stanley Smith Barney Charter WNT L.P. (collectively, the "Partnerships"), including the condensed schedules of investments, as of December 31, 2010 and 2009, and the related statements of operations and changes in partners' capital for each of the three years in the period ended December 31, 2010. These financial statements are the responsibility of the Partnerships' management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Partnerships are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Partnerships' internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, 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, the financial statements present fairly, in all material respects, the financial position of Morgan Stanley Smith Barney Charter Campbell L.P., Morgan Stanley Smith Barney Charter Aspect L.P., and Morgan Stanley Smith Barney Charter WNT L.P. as of December 31, 2010 and 2009, and the results of their operations and changes in their partners' capital for each of the three years in the period ended December 31, 2010, in conformity with accounting principles generally accepted in the United States of America. /s/ Deloitte & Touche LLP New York, New York March 28, 2011
MORGAN STANLEY SMITH BARNEY CHARTER CAMPBELL L.P. STATEMENTS OF FINANCIAL CONDITION DECEMBER 31, ----------------------- 2010 2009 ---------- ----------- $ $ ASSETS Trading Equity: Unrestricted cash 79,053,213 95,664,676 Restricted cash 5,052,970 7,153,792 ---------- ----------- Total Cash 84,106,183 102,818,468 ---------- ----------- Net unrealized gain on open contracts (MSIP) 356,301 237,468 Net unrealized loss on open contracts (MS&Co.) (216,405) (3,687,328) ---------- ----------- Total net unrealized gain (loss) on open contracts 139,896 (3,449,860) ---------- ----------- Options purchased (premiums paid $267,400 and $230,419, respectively) 366,896 224,032 ---------- ----------- Total Trading Equity 84,612,975 99,592,640 Interest receivable (MSSB and MS&Co.) 5,799 805 ---------- ----------- Total Assets 84,618,774 99,593,445 ========== =========== LIABILITIES AND PARTNERS' CAPITAL LIABILITIES Redemptions payable 2,189,794 4,061,758 Accrued brokerage fees (MS&Co.) 400,033 513,615 Accrued management fees 176,681 226,847 Options written (premiums received $58,237 and $71,821, respectively) 166,225 61,722 ---------- ----------- Total Liabilities 2,932,733 4,863,942 ---------- ----------- PARTNERS' CAPITAL Limited Partners (7,633,482.867 and 9,577,179.414 Units, respectively) 80,808,446 93,776,897 General Partner (82,901.055 and 97,287.055 Units, respectively) 877,595 952,606 ---------- ----------- Total Partners' Capital 81,686,041 94,729,503 ---------- ----------- Total Liabilities and Partners' Capital 84,618,774 99,593,445 ========== =========== NET ASSET VALUE PER UNIT 10.59 9.79 ========== =========== The accompanying notes are an integral part of these financial statements.
MORGAN STANLEY SMITH BARNEY CHARTER CAMPBELL L.P. STATEMENTS OF OPERATIONS FOR THE YEARS ENDED DECEMBER 31, --------------------------------------------- 2010 2009 2008 ------------- -------------- -------------- $ $ $ INVESTMENT INCOME Interest income (MSSB and MS&Co.) 75,972 99,203 3,338,645 ------------- -------------- -------------- EXPENSES Brokerage fees (MS&Co.) 4,979,646 6,967,194 12,855,240 Management fees 2,199,344 3,077,177 5,677,730 ------------- -------------- -------------- Total Expenses 7,178,990 10,044,371 18,532,970 ------------- -------------- -------------- NET INVESTMENT LOSS (7,103,018) (9,945,168) (15,194,325) ------------- -------------- -------------- TRADING RESULTS Trading profit (loss): Realized 9,247,401 (596,625) 8,407,556 Net change in unrealized 3,577,552 (1,950,734) 3,162,293 Proceeds From Litigation 6,177 -- -- ------------- -------------- -------------- Total Trading Results 12,831,130 (2,547,359) 11,569,849 ------------- -------------- -------------- NET INCOME (LOSS) 5,728,112 (12,492,527) (3,624,476) ============= ============== ============== NET INCOME (LOSS) ALLOCATION Limited Partners 5,668,654 (12,365,225) (3,581,347) General Partner 59,458 (127,302) (43,129) NET INCOME (LOSS) PER UNIT* Limited Partners 0.80 (1.09) (0.25) General Partner 0.80 (1.09) (0.25) UNITS UNITS UNITS ------------- -------------- -------------- WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING 8,728,567.186 11,287,724.872 18,734,987.587 *Based on change in Net Asset Value per Unit. The accompanying notes are an integral part of these financial statements.
MORGAN STANLEY SMITH BARNEY CHARTER ASPECT L.P. STATEMENTS OF FINANCIAL CONDITION DECEMBER 31, ----------------------- 2010 2009 ----------- ----------- $ $ ASSETS Trading Equity: Unrestricted cash 98,314,468 101,013,648 Restricted cash 5,111,849 13,630,081 ----------- ----------- Total Cash 103,426,317 114,643,729 ----------- ----------- Net unrealized gain (loss) on open contracts (MS&Co.) 5,598,748 (206,150) Net unrealized gain on open contracts (MSIP) 468,290 445,943 ----------- ----------- Total net unrealized gain on open contracts 6,067,038 239,793 ----------- ----------- Total Trading Equity 109,493,355 114,883,522 Interest receivable (MSSB) 6,465 -- ----------- ----------- Total Assets 109,499,820 114,883,522 =========== =========== LIABILITIES AND PARTNERS' CAPITAL LIABILITIES Redemptions payable 1,744,087 965,075 Accrued brokerage fees (MS&Co.) 514,941 603,471 Accrued management fees 171,647 201,157 Interest payable (MS&Co.) -- 89 ----------- ----------- Total Liabilities 2,430,675 1,769,792 ----------- ----------- PARTNERS' CAPITAL Limited Partners (5,113,735.708 and 5,981,069.975 Units, respectively) 105,911,284 111,976,636 General Partner (55,905.223 and 60,736.223 Units, respectively) 1,157,861 1,137,094 ----------- ----------- Total Partners' Capital 107,069,145 113,113,730 ----------- ----------- Total Liabilities and Partners' Capital 109,499,820 114,883,522 =========== =========== NET ASSET VALUE PER UNIT 20.71 18.72 =========== =========== The accompanying notes are an integral part of these financial statements.
MORGAN STANLEY SMITH BARNEY CHARTER ASPECT L.P. STATEMENTS OF OPERATIONS FOR THE YEARS ENDED DECEMBER 31, ------------------------------------------- 2010 2009 2008 ------------- ------------- ------------- $ $ $ INVESTMENT INCOME Interest income (MSSB and MS&Co.) 101,524 135,912 2,196,569 ------------- ------------- ------------- EXPENSES Brokerage fees (MS&Co.) 6,542,580 8,101,403 9,627,330 Management fees 2,180,861 2,700,468 3,209,111 Incentive fees -- 114,911 6,386,421 ------------- ------------- ------------- Total Expenses 8,723,441 10,916,782 19,222,862 ------------- ------------- ------------- NET INVESTMENT LOSS (8,621,917) (10,780,870) (17,026,293) ------------- ------------- ------------- TRADING RESULTS Trading profit (loss): Realized 13,688,766 (6,921,660) 50,386,195 Net change in unrealized 5,827,245 (7,270,693) 2,446,380 Proceeds From Litigation 40,052 -- -- ------------- ------------- ------------- Total Trading Results 19,556,063 (14,192,353) 52,832,575 ------------- ------------- ------------- NET INCOME (LOSS) 10,934,146 (24,973,223) 35,806,282 ============= ============= ============= NET INCOME (LOSS) ALLOCATION Limited Partners 10,821,260 (24,719,262) 35,427,485 General Partner 112,886 (253,961) 378,797 NET INCOME (LOSS) PER UNIT* Limited Partners 1.99 (3.76) 4.34 General Partner 1.99 (3.76) 4.34 UNITS UNITS UNITS ------------- ------------- ------------- WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING 5,695,372.532 6,614,438.867 8,141,229.423 *Based on change in Net Asset Value per Unit. The accompanying notes are an integral part of these financial statements.
MORGAN STANLEY SMITH BARNEY CHARTER WNT L.P. STATEMENTS OF FINANCIAL CONDITION DECEMBER 31, --------------------- 2010 2009 ---------- ---------- $ $ ASSETS Trading Equity: Unrestricted cash 78,094,582 86,689,859 Restricted cash 2,865,033 6,125,936 ---------- ---------- Total Cash 80,959,615 92,815,795 ---------- ---------- Net unrealized gain on open contracts (MS&Co.) 2,156,329 180,236 Net unrealized gain on open contracts (MSIP) 288,889 290,005 ---------- ---------- Total net unrealized gain on open contracts 2,445,218 470,241 ---------- ---------- Options purchased (premiums paid $4,000 and $4,263 respectively) 2,775 2,053 ---------- ---------- Total Trading Equity 83,407,608 93,288,089 Interest receivable (MSSB and MS&Co.) 6,527 1,324 ---------- ---------- Total Assets 83,414,135 93,289,413 ========== ========== LIABILITIES AND PARTNERS' CAPITAL LIABILITIES Redemptions payable 2,102,069 558,871 Accrued brokerage fees (MS&Co.) 399,170 479,005 Accrued management fees 133,056 159,668 Options written (premiums received $7,425 and $9,400, respectively) 5,500 4,693 ---------- ---------- Total Liabilities 2,639,795 1,202,237 ---------- ---------- PARTNERS' CAPITAL Limited Partners (6,431,165.896 and 7,969,131.800 Units, respectively) 79,881,815 91,155,811 General Partner (71,855.857 and 81,422.857 Units, respectively) 892,525 931,365 ---------- ---------- Total Partners' Capital 80,774,340 92,087,176 ---------- ---------- Total Liabilities and Partners' Capital 83,414,135 93,289,413 ========== ========== NET ASSET VALUE PER UNIT 12.42 11.44 ========== ========== The accompanying notes are an integral part of these financial statements.
MORGAN STANLEY SMITH BARNEY CHARTER WNT L.P. STATEMENTS OF OPERATIONS FOR THE YEARS ENDED DECEMBER 31, ------------------------------------------- 2010 2009 2008 ------------- ------------- ------------- $ $ $ INVESTMENT INCOME Interest income (MSSB and MS&Co.) 94,057 110,792 1,517,958 ------------- ------------- ------------- EXPENSES Brokerage fees (MS&Co.) 5,305,620 6,399,137 6,945,739 Management fees 1,768,540 2,133,046 2,315,246 Incentive fees -- 117,188 3,078,061 ------------- ------------- ------------- Total Expenses 7,074,160 8,649,371 12,339,046 ------------- ------------- ------------- NET INVESTMENT LOSS (6,980,103) (8,538,579) (10,821,088) ------------- ------------- ------------- TRADING RESULTS Trading profit (loss): Realized 12,177,274 (3,514,634) 25,147,601 Net change in unrealized 1,973,180 (1,931,344) 1,306,242 Proceeds From Litigation 40,150 -- -- ------------- ------------- ------------- Total Trading Results 14,190,604 (5,445,978) 26,453,843 ------------- ------------- ------------- NET INCOME (LOSS) 7,210,501 (13,984,557) 15,632,755 ============= ============= ============= NET INCOME (LOSS) ALLOCATION Limited Partners 7,136,913 (13,844,272) 15,467,529 General Partner 73,588 (140,285) 165,226 NET INCOME (LOSS) PER UNIT* Limited Partners 0.98 (1.58) 1.75 General Partner 0.98 (1.58) 1.75 UNITS UNITS UNITS ------------- ------------- ------------- WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING 7,530,886.296 8,808,175.647 9,583,683.847 *Based on change in Net Asset Value per Unit. The accompanying notes are an integral part of these financial statements.
MORGAN STANLEY SMITH BARNEY CHARTER CAMPBELL L.P. STATEMENTS OF CHANGES IN PARTNERS' CAPITAL FOR THE YEARS ENDED DECEMBER 31, 2010, 2009, AND 2008 UNITS OF PARTNERSHIP LIMITED GENERAL INTEREST PARTNERS PARTNER TOTAL --------------- ------------ ---------- ------------ $ $ $ Partners' Capital, December 31, 2007 24,174,180.736 266,111,229 2,994,652 269,105,881 Net loss -- (3,581,347) (43,129) (3,624,476) Redemptions (10,708,006.542) (117,506,698) (1,476,243) (118,982,941) --------------- ------------ ---------- ------------ Partners' Capital, December 31, 2008 13,466,174.194 145,023,184 1,475,280 146,498,464 Net loss -- (12,365,225) (127,302) (12,492,527) Redemptions (3,791,707.725) (38,881,062) (395,372) (39,276,434) --------------- ------------ ---------- ------------ Partners' Capital, December 31, 2009 9,674,466.469 93,776,897 952,606 94,729,503 Net income -- 5,668,654 59,458 5,728,112 Redemptions (1,958,082.547) (18,637,105) (134,469) (18,771,574) --------------- ------------ ---------- ------------ Partners' Capital, December 31, 2010 7,716,383.922 80,808,446 877,595 81,686,041 =============== ============ ========== ============ MORGAN STANLEY SMITH BARNEY CHARTER ASPECT L.P. STATEMENTS OF CHANGES IN PARTNERS' CAPITAL FOR THE YEARS ENDED DECEMBER 31, 2010, 2009, AND 2008 UNITS OF PARTNERSHIP LIMITED GENERAL INTEREST PARTNERS PARTNER TOTAL -------------- ----------- --------- ----------- $ $ $ Partners' Capital, December 31, 2007 7,481,800.500 134,313,027 1,419,034 135,732,061 Offering of Units 2,655,463.507 51,901,053 370,000 52,271,053 Net income -- 35,427,485 378,797 35,806,282 Redemptions (2,477,689.845) (51,211,720) (434,728) (51,646,448) -------------- ----------- --------- ----------- Partners' Capital, December 31, 2008 7,659,574.162 170,429,845 1,733,103 172,162,948 Net loss -- (24,719,262) (253,961) (24,973,223) Redemptions (1,617,767.964) (33,733,947) (342,048) (34,075,995) -------------- ----------- --------- ----------- Partners' Capital, December 31, 2009 6,041,806.198 111,976,636 1,137,094 113,113,730 Net income -- 10,821,260 112,886 10,934,146 Redemptions (872,165.267) (16,886,612) (92,119) (16,978,731) -------------- ----------- --------- ----------- Partners' Capital, December 31, 2010 5,169,640.931 105,911,284 1,157,861 107,069,145 ============== =========== ========= =========== The accompanying notes are an integral part of these financial statements.
MORGAN STANLEY SMITH BARNEY CHARTER WNT L.P. STATEMENTS OF CHANGES IN PARTNERS' CAPITAL FOR THE YEARS ENDED DECEMBER 31, 2010, 2009, AND 2008 UNITS OF PARTNERSHIP LIMITED GENERAL INTEREST PARTNERS PARTNER TOTAL -------------- ----------- --------- ----------- $ $ $ Partners' Capital, December 31, 2007 7,433,631.762 82,918,267 883,669 83,801,936 Offering of Units 4,562,563.655 55,382,694 460,000 55,842,694 Net income -- 15,467,529 165,226 15,632,755 Redemptions (1,664,507.704) (20,626,657) (156,546) (20,783,203) -------------- ----------- --------- ----------- Partners' Capital, December 31, 2008 10,331,687.713 133,141,833 1,352,349 134,494,182 Net loss -- (13,844,272) (140,285) (13,984,557) Redemptions (2,281,133.056) (28,141,750) (280,699) (28,422,449) -------------- ----------- --------- ----------- Partners' Capital, December 31, 2009 8,050,554.657 91,155,811 931,365 92,087,176 Net income -- 7,136,913 73,588 7,210,501 Redemptions (1,547,532.904) (18,410,909) (112,428) (18,523,337) -------------- ----------- --------- ----------- Partners' Capital, December 31, 2010 6,503,021.753 79,881,815 892,525 80,774,340 ============== =========== ========= =========== The accompanying notes are an integral part of these financial statements.
MORGAN STANLEY SMITH BARNEY CHARTER CAMPBELL L.P. CONDENSED SCHEDULES OF INVESTMENTS DECEMBER 31, 2010 AND 2009 LONG UNREALIZED PERCENTAGE SHORT UNREALIZED PERCENTAGE NET UNREALIZED FUTURES AND FORWARD CONTRACTS: GAIN OF NET ASSETS GAIN/(LOSS) OF NET ASSETS GAIN/(LOSS) ------------------------------ --------------- ------------- ---------------- ------------- -------------- 2010 PARTNERSHIP PARTNERS' CAPITAL: $81,686,041 $ % $ % $ Commodity 1,279,093 1.57 (79,630) (0.10) 1,199,463 Equity 17,386 0.02 10,264 0.01 27,650 Foreign currency 1,831,284 2.24 (496,506) (0.61) 1,334,778 Interest rate 106,248 0.13 (159,688) (0.19) (53,440) --------- ---- -------- ----- ---------- Grand Total: 3,234,011 3.96 (725,560) (0.89) 2,508,451 ========= ==== ======== ===== Unrealized Currency Loss (2.90) (2,368,555) ===== ---------- Total Net Unrealized Gain on Open Contracts 139,896 ========== OPTION CONTRACTS FAIR VALUE % OF NAV ---------------- ---------- -------- $ % Options purchased on Futures Contracts -- -- Options purchased on Forward Contracts 366,896 0.45 Options written on Futures Contracts -- -- Options written on Forward Contracts (166,225) (0.20) The accompanying notes are an integral part of these financial statements.
MORGAN STANLEY SMITH BARNEY CHARTER CAMPBELL L.P. CONDENSED SCHEDULES OF INVESTMENTS DECEMBER 31, 2010 AND 2009 (continued) LONG UNREALIZED PERCENTAGE SHORT UNREALIZED PERCENTAGE NET UNREALIZED FUTURES AND FORWARD CONTRACTS: GAIN/(LOSS) OF NET ASSETS GAIN/(LOSS) OF NET ASSETS GAIN/(LOSS) ------------------------------ --------------- ------------- ---------------- ------------- -------------- 2009 PARTNERSHIP PARTNERS' CAPITAL: $94,729,503 $ % $ % $ Commodity 142,612 0.15 3,200 -- 145,812 Equity 708,608 0.75 -- -- 708,608 Foreign currency (804,417) (0.85) (50,706) (0.05) (855,123) Interest rate (1,195,602) (1.26) 40,617 0.04 (1,154,985) ---------- ----- ------- ----- ---------- Grand Total: (1,148,799) (1.21) (6,889) (0.01) (1,155,688) ========== ===== ======= ===== Unrealized Currency Loss (2.42) (2,294,172) ===== ---------- Total Net Unrealized Loss on Open Contracts (3,449,860) ========== OPTION CONTRACTS FAIR VALUE % OF NAV ---------------- ---------- -------- $ % Options purchased on Futures Contracts -- -- Options purchased on Forward Contracts 224,032 0.24 Options written on Futures Contracts -- -- Options written on Forward Contracts (61,722) (0.07) The accompanying notes are an integral part of these financial statements.
MORGAN STANLEY SMITH BARNEY CHARTER ASPECT L.P. CONDENSED SCHEDULES OF INVESTMENTS DECEMBER 31, 2010 AND 2009 LONG UNREALIZED PERCENTAGE SHORT UNREALIZED PERCENTAGE NET UNREALIZED FUTURES AND FORWARD CONTRACTS: GAIN OF NET ASSETS GAIN/(LOSS) OF NET ASSETS GAIN/(LOSS) ------------------------------ --------------- ------------- ---------------- ------------- -------------- 2010 PARTNERSHIP PARTNERS' CAPITAL: $107,069,145 $ % $ % $ Commodity 3,635,564 3.40 (161,540) (0.15) 3,474,024 Equity 248,465 0.23 21,990 0.02 270,455 Foreign currency 1,456,730 1.36 239,546 0.22 1,696,276 Interest rate 15,410 0.01 (98,728) (0.09) (83,318) ---------- ----- -------- ----- ---------- Grand Total: 5,356,169 5.00 1,268 -- 5,357,437 ========== ===== ======== ===== Unrealized Currency Gain 0.66 709,601 ===== ---------- Total Net Unrealized Gain on Open Contracts 6,067,038 ========== LONG UNREALIZED PERCENTAGE SHORT UNREALIZED PERCENTAGE NET UNREALIZED FUTURES AND FORWARD CONTRACTS: GAIN/(LOSS) OF NET ASSETS GAIN/(LOSS) OF NET ASSETS GAIN/(LOSS) ------------------------------ --------------- ------------- ---------------- ------------- -------------- 2009 PARTNERSHIP PARTNERS' CAPITAL: $113,113,730 $ % $ % $ Commodity 829,767 0.73 29,079 0.02 858,846 Equity 871,369 0.77 (2,147) -- 869,222 Foreign currency (843,556) (0.75) 459,318 0.41 (384,238) Interest rate (1,780,583) (1.57) 34,276 0.03 (1,746,307) ---------- ----- -------- ----- ---------- Grand Total: (923,003) (0.82) 520,526 0.46 (402,477) ========== ===== ======== ===== Unrealized Currency Gain 0.57 642,270 ===== ---------- Total Net Unrealized Gain on Open Contracts 239,793 ========== The accompanying notes are an integral part of these financial statements.
MORGAN STANLEY SMITH BARNEY CHARTER WNT L.P. CONDENSED SCHEDULES OF INVESTMENTS DECEMBER 31, 2010 AND 2009 LONG UNREALIZED PERCENTAGE SHORT UNREALIZED PERCENTAGE NET UNREALIZED FUTURES AND FORWARD CONTRACTS: GAIN OF NET ASSETS GAIN/(LOSS) OF NET ASSETS GAIN/(LOSS) ------------------------------ --------------- ------------- ---------------- ------------- -------------- 2010 PARTNERSHIP PARTNERS' CAPITAL: $80,774,340 $ % $ % $ Commodity 1,720,245 2.13 (53,370) (0.07) 1,666,875 Equity 76,029 0.09 4,335 -- 80,364 Foreign currency 933,417 1.16 (99,086) (0.12) 834,331 Interest rate 23,658 0.03 (147,254) (0.18) (123,596) --------- ---- -------- ----- --------- Grand Total: 2,753,349 3.41 (295,375) (0.37) 2,457,974 ========= ==== ======== ===== Unrealized Currency Loss (0.01) (12,756) ===== --------- Total Net Unrealized Gain on Open Contracts 2,445,218 ========= OPTIONS CONTRACTS FAIR VALUE % OF NAV ----------------- ---------- -------- $ % Options purchased on Futures Contracts 2,775 -- Options purchased on Forward Contracts -- -- Options written on Futures Contracts (5,500) (0.01) Options written on Forward Contracts -- -- The accompanying notes are an integral part of these financial statements.
MORGAN STANLEY SMITH BARNEY CHARTER WNT L.P. CONDENSED SCHEDULES OF INVESTMENTS DECEMBER 31, 2010 AND 2009 (continued) LONG UNREALIZED PERCENTAGE SHORT UNREALIZED PERCENTAGE NET UNREALIZED FUTURES AND FORWARD CONTRACTS: GAIN/(LOSS) OF NET ASSETS GAIN/(LOSS) OF NET ASSETS GAIN/(LOSS) ------------------------------ --------------- ------------- ---------------- ------------- -------------- 2009 PARTNERSHIP PARTNERS' CAPITAL: $92,087,176 $ % $ % $ Commodity 445,303 0.48 (110,774) (0.12) 334,529 Equity 472,905 0.51 (6,447) (0.01) 466,458 Foreign currency (307,207) (0.33) (21,956) (0.02) (329,163) Interest rate 12,612 0.02 318 -- 12,930 -------- ----- -------- ----- -------- Grand Total: 623,613 0.68 (138,859) (0.15) 484,754 ======== ===== ======== ===== Unrealized Currency Loss (0.02) (14,513) ===== -------- Total Net Unrealized Gain on Open Contracts 470,241 ======== OPTIONS CONTRACTS FAIR VALUE % OF NAV ----------------- ---------- -------- $ % Options purchased on Futures Contracts 2,053 -- Options purchased on Forward Contracts -- -- Options written on Futures Contracts (4,693) (0.01) Options written on Forward Contracts -- -- The accompanying notes are an integral part of these financial statements.
MORGAN STANLEY SMITH BARNEY CHARTER SERIES NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- 1. ORGANIZATION Morgan Stanley Smith Barney Charter Campbell L.P. ("Charter Campbell"), Morgan Stanley Smith Barney Charter Aspect L.P. ("Charter Aspect"), and Morgan Stanley Smith Barney Charter WNT L.P. ("Charter WNT") (individually, a "Partnership", or collectively, the "Partnerships") are limited partnerships organized to engage primarily in the speculative trading of futures contracts, options on futures and forward contracts, and forward contracts on physical commodities and other commodity interests, including, but not limited to, foreign currencies, financial instruments, metals, energy, and agricultural products (collectively, "Futures Interests") (refer to Note 5. Financial Instruments). In 2009, Morgan Stanley and Citigroup Inc. combined certain assets of the Global Wealth Management Group of Morgan Stanley & Co. Incorporated, including Demeter Management LLC ("Demeter") and the Smith Barney division of Citigroup Global Markets Inc., into a new joint venture, Morgan Stanley Smith Barney Holdings LLC ("MSSBH"). As part of that transaction, Ceres Managed Futures LLC ("Ceres") and Demeter were contributed to MSSBH, and each became a wholly-owned subsidiary of MSSBH. Effective December 1, 2010, MSSBH, together with the unanimous support of the Boards of Directors of Demeter and Ceres, combined the assets and operations of Demeter and Ceres into a single commodity pool operator, Ceres. Ceres will continue to be wholly-owned by MSSBH and replaced Demeter as the general partner for the Partnerships. The non-clearing commodity broker is Morgan Stanley Smith Barney LLC ("MSSB") as of May 1, 2010, the principal subsidiary of MSSBH. The clearing commodity brokers are Morgan Stanley & Co. Incorporated ("MS&Co.") and Morgan Stanley & Co. International plc ("MSIP"). MS&Co. also acts as the counterparty on all trading of foreign currency forward contracts. MSIP serves as the commodity broker for trades on the London Metal Exchange ("LME"). For Charter Campbell, Morgan Stanley Capital Group Inc. ("MSCG") acts as the counterparty on all trading of options on foreign currency forward contracts. MS&Co., MSIP, and MSCG are wholly-owned subsidiaries of Morgan Stanley. Effective September 29, 2009, Demeter changed the name of Morgan Stanley Charter Campbell L.P., Morgan Stanley Charter Aspect L.P., and Morgan Stanley Charter WCM L.P., respectively, to Morgan Stanley Smith Barney Charter Campbell L.P., Morgan Stanley Smith Barney Charter Aspect L.P., and Morgan Stanley Smith Barney Charter WNT L.P., respectively. The name change did not have any impact on the operation of each Partnership or its limited partners. Effective December 1, 2008, Charter Aspect and Charter WNT no longer offer units of limited partnership interest ("Unit(s)") for purchase or exchange. Ceres is required to maintain a 1% minimum interest in the equity of each Partnership and income (losses) are shared by Ceres and the limited partners based on their proportional ownership interests.
MORGAN STANLEY SMITH BARNEY CHARTER SERIES NOTES TO FINANCIAL STATEMENTS (continued) -------------------------------------------------------------------------------- 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES USE OF ESTIMATES. The financial statements are prepared in accordance with accounting principles generally accepted in the United States of America ("US GAAP"), which require management to make estimates and assumptions that affect the reported amounts in the financial statements and related disclosures. Management believes that the estimates utilized in the preparation of the financial statements are prudent and reasonable. Actual results could differ from those estimates. VALUATION. Futures Interests are open commitments until settlement date, at which time they are realized. They are valued at fair value, generally on a daily basis, and the unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the Statements of Financial Condition as a net unrealized gain or loss on open contracts. The resulting net change in unrealized gains and losses is reflected in the change in unrealized trading profit (loss) on open contracts from one period to the next on the Statements of Operations. The fair value of exchange-traded futures, options and forwards contracts is determined by the various futures exchanges, and reflects the settlement price for each contract as of the close of business on the last business day of the reporting period. The fair value of foreign currency forward contracts is extrapolated on a forward basis from the spot prices quoted as of approximately 3:00 P.M. (E.T.) of the last business day of the reporting period from various exchanges. The fair value of non-exchange-traded foreign currency option contracts is calculated by applying an industry standard model application for options valuation of foreign currency options, using as input, the spot prices, interest rates, and option implied volatilities quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period. The Partnerships may buy or write put and call options through listed exchanges and the over-the-counter market. The buyer of an option has the right to purchase (in the case of a call option) or sell (in the case of a put option) a specified quantity of a specific Futures Interest on the underlying asset at a specified price prior to or on a specified expiration date. The writer of an option is exposed to the risk of loss if the fair value of a Futures Interest on the underlying asset declines (in the case of a put option) or increases (in the case of a call option). The writer of an option can never profit by more than the premium paid by the buyer but can potentially lose an unlimited amount. Premiums received/premiums paid from writing/purchasing options are recorded as liabilities/assets on the Statements of Financial Condition and are subsequently adjusted to fair values. The difference between the fair value of an option and the premiums received/premiums paid is treated as an unrealized gain or loss.
MORGAN STANLEY SMITH BARNEY CHARTER SERIES NOTES TO FINANCIAL STATEMENTS (continued) REVENUE RECOGNITION. Monthly, MSSB credits each Partnership with interest income received from MS&Co. and MSIP. Such amount is based on 100% of its average daily funds held at MS&Co. and MSIP to meet margin requirements at a rate approximately equivalent to what the commodity brokers pay or charge other similar customers on margin deposits. In addition, MSSB credits at each month end each Partnership with interest income on 100% of such Partnership's assets not deposited as margin at a rate equal to the monthly average of the 4-week U.S. Treasury bill discount rate during the month. MSSB retains any interest earned in excess of the interest paid by MSSB to the Partnerships. For purposes of such interest payments, net assets do not include monies owed to the Partnerships on forward contracts and other Futures Interests. FAIR VALUE OF FINANCIAL INSTRUMENTS. The fair value of the Partnerships' assets and liabilities that qualify as financial instruments under the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC" or the "Codification") approximates the carrying amount presented in the Statements of Financial Condition. FOREIGN CURRENCY TRANSLATION. The Partnerships' functional currency is the U.S. dollar; however, the Partnerships may transact business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rate in effect at the date of the Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rate in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income currently. NET INCOME (LOSS) PER UNIT. Net income (loss) per Unit is computed in accordance with the specialized accounting for Investment Companies as illustrated in the Financial Highlights Footnote (See Note 8. Financial Highlights). TRADING EQUITY. The Partnerships' asset "Trading Equity," reflected on the Statements of Financial Condition, consists of (A) cash on deposit with MSSB, MS&Co., and MSIP to be used as margin for trading and (B) net unrealized gains or losses on futures and forward contracts, which are valued at fair value and calculated as the difference between original contract value and fair value; and for Partnerships which trade in options; and, if any, (C) options purchased at fair value. Options written at fair value are recorded in "Liabilities". The Partnerships, in their normal course of business, enter into various contracts with MSSB, MS&Co., and MSIP acting as their commodity brokers. Pursuant to brokerage agreements with MSSB, MS&Co., and MSIP, to the extent that such trading results in unrealized gains or losses, these amounts are offset and reported on a net basis on the Partnerships' Statements of Financial Condition.
MORGAN STANLEY SMITH BARNEY CHARTER SERIES NOTES TO FINANCIAL STATEMENTS (continued) The Partnerships have offset the fair value amounts recognized for forward contracts executed with the same counterparty as allowable under the terms of their master netting agreement with MS&Co., as the counterparty on such contracts. The Partnerships have consistently applied their right to offset. RESTRICTED AND UNRESTRICTED CASH. As reflected on the Partnerships' Statements of Financial Condition, restricted cash equals the cash portion of assets on deposit to meet margin requirements plus the cash required to offset unrealized losses on foreign currency forwards and options and offset losses on offset London Metal Exchange positions. All of these amounts are maintained separately. Cash that is not classified as restricted cash is therefore classified as unrestricted cash. BROKERAGE AND RELATED TRANSACTION FEES AND COSTS. Each Partnership currently pays MS&Co. a flat-rate monthly brokerage fee of 1/12 of 6% of the Partnership's net assets as of the first day of each month (a 6% annual rate). Such fees currently cover all brokerage fees, transaction fees and costs, and ordinary administrative and offering expenses. OPERATING EXPENSES. The Partnerships incur monthly management fees and may incur an incentive fee. All common administrative and continuing offering expenses, including legal, auditing, accounting, filing fees, and other related expenses, are borne by MS&Co. through the brokerage fees paid by the Partnerships. CONTINUING OFFERING. Units of each Partnership were offered at a price equal to 100% of the Net Asset Value per Unit as of the close of business on the last day of each month. No selling commissions or charges related to the continuing offering of Units were paid by the limited partners or the Partnerships. MS&Co. paid all such costs. Charter Campbell, Charter Aspect, and Charter WNT no longer offer Units for purchase or exchange. 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 the last day of any month that is at least six months after the closing at which a person first becomes a limited partner. The request for redemption must be delivered to a limited partner's local Morgan Stanley Smith Barney Branch Office in time for it to be forwarded and received by Ceres no later than 3:00 p.m., New York City time, on the last day of the month in which the redemption is to be effective. Redemptions must be made in whole Units, with a minimum of 100 Units required for each redemption, unless a limited partner is redeeming his entire interest in a particular Partnership.
MORGAN STANLEY SMITH BARNEY CHARTER SERIES NOTES TO FINANCIAL STATEMENTS (continued) Units redeemed on or prior to the last day of the twelfth month from the date of purchase will be subject to a redemption charge equal to 2% of the Net Asset Value of a Unit on the Redemption Date. Units redeemed after the last day of the twelfth month and on or prior to the last day of the twenty-fourth month from the date of purchase will be subject to a redemption charge equal to 1% of the Net Asset Value of a Unit on the Redemption Date. Units redeemed after the last day of the twenty-fourth month from the date of purchase will not be subject to a redemption charge. The foregoing redemption charges are paid to MS&Co. The aggregate amounts of redemption charges paid to MS&Co. for the years ended December 31, 2010, 2009, and 2008 were as follows: 2010 2009 2008 ------ ------- ------- $ $ $ Charter Campbell -- -- 19,939 Charter Aspect 14,645 142,839 203,595 Charter WNT 19,270 149,519 104,294 EXCHANGES. On the last day of the first month which occurred more than six months after a person first became a limited partner in each Partnership except Charter Campbell, and at the end of each month thereafter, limited partners could exchange their Units among Charter Aspect, and Charter WNT (subject to certain restrictions outlined in the Limited Partnership Agreements) without paying additional charges. Charter Campbell, Charter Aspect, and Charter WNT no longer offer Units for purchase or exchange. DISTRIBUTIONS. Distributions, other than redemptions of Units, are made on a pro-rata basis at the sole discretion of Ceres. No distributions have been made to date. Ceres does not intend to make any distributions of the Partnerships' profits. 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 each Partnership's revenues and expenses for income tax purposes. The Partnerships file U.S. federal and state tax returns. The guidance issued by the FASB on income taxes clarifies the accounting for uncertainty in income taxes recognized in each Partnership's financial statements, and prescribes a recognition threshold and measurement attribute for financial statement recognition and measurement of a tax position taken or expected to be taken. The Partnerships have concluded that there were no significant uncertain tax positions that would require recognition in the financial statements as of December 31, 2010 and 2009. If applicable, the Partnerships recognize interest accrued related to unrecognized tax benefits in interest expense and penalties in other expenses in the Statements of Operations. Generally, the 2007 through 2010 tax years remain subject to examination by U.S. federal and most state tax authorities. No income tax returns are currently under examination.
MORGAN STANLEY SMITH BARNEY CHARTER SERIES NOTES TO FINANCIAL STATEMENTS (continued) DISSOLUTION OF THE PARTNERSHIPS. Charter Aspect will terminate on December 31, 2025 and Charter Campbell and Charter WNT will terminate on December 31, 2035, or at an earlier date if certain conditions occur as defined in each Partnership's Limited Partnership Agreement. LITIGATION SETTLEMENT. On July 28, 2010, Charter Campbell, Charter Aspect and Charter WNT received a settlement award payment in the amounts of $6,177, $40,052 and $40,150, respectively, from the Natural Gas Litigation Settlement Administrator. This settlement represents each Partnership's portion of the 2006 Net Settlement Fund and the 2007 Net Settlement Fund. The proceeds from settlement were accounted for in the period they were received for the benefit of the partners in each Partnership. STATEMENT OF CASH FLOWS. The Partnership is not required to provide a Statement of Cash Flows. OTHER PRONOUNCEMENTS Improving Disclosures about Fair Value Measurements In January 2010, the FASB issued guidance, which, among other things, amends fair value measurements and disclosures to require entities to separately present purchases, sales, issuances, and settlements in their reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and which clarifies existing disclosure requirements regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy. This guidance is effective for interim and annual periods beginning after December 15, 2009, except for the disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measurements which are effective for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years. The adoption of this guidance did not have a material impact on the Partnership's financial statements. -------------------------------------------------------------------------------- 3. RELATED PARTY TRANSACTIONS Each Partnership's cash is on deposit with MSSB, MS&Co., and MSIP in futures interests trading accounts to meet margin requirements as needed. MSSB pays interest on these funds as described in Note 2. Each Partnership pays brokerage fees to MS&Co. as described in Note 2. For Charter Campbell, MSCG acts as the counterparty on all trading of options on foreign currency forward contracts.
MORGAN STANLEY SMITH BARNEY CHARTER SERIES NOTES TO FINANCIAL STATEMENTS (continued) -------------------------------------------------------------------------------- 4. TRADING ADVISORS Ceres, on behalf of each Partnership, retains certain commodity trading advisors to make all trading decisions for the Partnerships. The trading advisors for each Partnership at December 31, 2010, were as follows: Morgan Stanley Smith Barney Charter Campbell L.P. Campbell & Company, Inc. Morgan Stanley Smith Barney Charter Aspect L.P. Aspect Capital Limited Morgan Stanley Smith Barney Charter WNT L.P. Winton Capital Management Limited Compensation to the trading advisors by the Partnerships consists of a management fee and an incentive fee as follows: MANAGEMENT FEE. Charter Aspect, and Charter WNT each pays its trading advisor a flat-rate monthly fee equal to 1/6 of 1% (a 2% annual rate) of the Partnership's net assets under management by each trading advisor as of the first day of each month. Charter Campbell pays its trading advisor a flat-rate monthly fee equal to 1/12 of 2.65% (a 2.65% annual rate) of the Partnership's net assets under management as of the first day of each month. Effective January 1, 2011, the monthly management fee rate will be reduced to 1/6 of 1% (a 2% annual rate). INCENTIVE FEE. Each Partnership's incentive fee is equal to 20% of trading profits paid on a monthly basis. Trading profits represent the amount by which profits from futures, forwards, and options trading exceed losses after brokerage and management fees are deducted. When a trading advisor experiences losses with respect to net assets as of the end of a calendar month, the trading advisor must recover such losses before that trading advisor is eligible for an incentive fee in the future. Cumulative trading losses are adjusted on a pro-rated basis for the amount of each month's net contributions for each trading advisor. -------------------------------------------------------------------------------- 5. FINANCIAL INSTRUMENTS The Partnerships trade Futures Interests. Futures and forwards represent contracts for delayed delivery of an instrument at a specified date and price. Risk arises from changes in the value of these contracts and the potential inability of counterparties to perform under the terms of the contracts. There are numerous factors which may significantly influence the fair value of these contracts, including interest rate volatility.
MORGAN STANLEY SMITH BARNEY CHARTER SERIES NOTES TO FINANCIAL STATEMENTS (continued) The fair value of exchange-traded contracts is based on the settlement price quoted by the exchange on the day with respect to which fair value is being determined. If an exchange-traded contract could not have been liquidated on such day due to the operation of daily limits or other rules of the exchange, the settlement price will be equal to the settlement price on the first subsequent day on which the contract could be liquidated. The fair value of off-exchange-traded contracts is based on the fair value quoted by the counterparty. The Partnerships' contracts are accounted for on a trade-date basis and marked to market on a daily basis. A derivative is defined as a financial instrument or other contract that has all three of the following characteristics: (1)a) One or more "underlyings" and b) One or more "notional amounts" or payment provisions or both; (2)Requires no initial net investment or smaller initial net investment than would be required for other types of contracts that would be expected to have a similar response relative to changes in market factors; and (3)Terms that require or permit net settlement. Generally, derivatives include futures, forward, swap or options contracts, and other financial instruments with similar characteristics, such as caps, floors, and collars. The net unrealized gains (losses) on open contracts at December 31, 2010 reported as a component of "Trading Equity" on the Statements of Financial Condition, and their longest contract maturities were as follows: CHARTER CAMPBELL NET UNREALIZED GAINS/(LOSSES) ON OPEN CONTRACTS LONGEST MATURITIES --------------------------------- ------------------- OFF- OFF- EXCHANGE- EXCHANGE- EXCHANGE- EXCHANGE- YEAR TRADED TRADED TOTAL TRADED TRADED ---- ---------- --------- ---------- --------- --------- $ $ $ 2010 (1,194,883) 1,334,779 139,896 Mar. 2012 Mar. 2011 2009 (2,594,770) (855,090) (3,449,860) Mar. 2011 Mar. 2010 CHARTER ASPECT NET UNREALIZED GAINS/(LOSSES) ON OPEN CONTRACTS LONGEST MATURITIES ------------------------------ ------------------- OFF- OFF- EXCHANGE- EXCHANGE- EXCHANGE- EXCHANGE- YEAR TRADED TRADED TOTAL TRADED TRADED ---- --------- --------- --------- --------- --------- $ $ $ 2010 4,374,754 1,692,284 6,067,038 Jun. 2013 Jan. 2011 2009 601,960 (362,167) 239,793 Jun. 2012 Jan. 2010
MORGAN STANLEY SMITH BARNEY CHARTER SERIES NOTES TO FINANCIAL STATEMENTS (continued) CHARTER WNT NET UNREALIZED GAINS ON OPEN CONTRACTS LONGEST MATURITIES ----------------------------- ------------------- OFF- OFF- EXCHANGE- EXCHANGE- EXCHANGE- EXCHANGE- YEAR TRADED TRADED TOTAL TRADED TRADED ---- --------- --------- --------- --------- --------- $ $ $ 2010 2,407,546 37,672 2,445,218 Mar. 2013 Mar. 2011 2009 470,241 -- 470,241 Dec. 2011 -- The Partnerships have credit risk associated with counterparty nonperformance. As of the date of the financial statements, the credit risk associated with the instruments in which the Partnerships trade is limited to the unrealized gain amounts reflected in the Partnerships' Statements of Financial Condition. The Partnerships also have credit risk because MS&Co., MSIP, and/or MSCG act as the futures commission merchants or the counterparties, with respect to most of the Partnerships' assets. Exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts are marked to market on a daily basis, with variations in value settled on a daily basis. MS&Co. and MSIP, each acting as a commodity broker for each Partnership's exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts, are required, pursuant to regulations of the Commodity Futures Trading Commission, to segregate from their own assets, and for the sole benefit of their commodity customers, all funds held by them with respect to exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts, including an amount equal to the net unrealized gains (losses) on all open exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts, which funds, in the aggregate, totaled $82,911,300 and $100,223,698 for Charter Campbell, $107,801,071 and $115,245,689 for Charter Aspect, $83,367,161 and $93,286,036 for Charter WNT at December 31, 2010 and 2009, respectively. With respect to each Partnership's off-exchange-traded forward currency contracts and forward currency options contracts, there are no daily settlements of variation in value, nor is there any requirement that an amount equal to the net unrealized gains (losses) on such contracts be segregated. However, each Partnership is required to meet margin requirements equal to the net unrealized loss on open forward currency contracts in the Partnership accounts with the counterparty, which is accomplished by daily maintenance of the cash balance in a custody account held at MSSB for the benefit of MS&Co. With respect to those off-exchange-traded forward currency contracts, the Partnerships are at risk to the ability of MS&Co., the sole counterparty on all such contracts, to perform. Each Partnership has a netting agreement with the counterparties. These agreements, which seek to reduce both the Partnerships' and the counterparties' exposure on off-exchange-traded forward currency contracts, including options on such contracts, should materially decrease the Partnerships' credit risk in the event of MS&Co.'s or MSCG's bankruptcy or insolvency.
MORGAN STANLEY SMITH BARNEY CHARTER SERIES NOTES TO FINANCIAL STATEMENTS (continued) The futures, forwards and options traded by the Partnerships 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, factors that result in frequent changes in the fair value of the Partnerships' open positions, and consequently in its earnings, whether realized or unrealized, and cash flow. Gains and losses on open positions of exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts are settled daily through variation margin. Gains and losses on off-exchange-traded forward currency contracts are settled upon termination of the contract. Gains and losses on off-exchange-traded forward currency options contracts are settled on an agreed-upon settlement date. However, the Partnerships are required to meet margin requirements equal to the net unrealized loss on open forward currency contracts in the Partnerships' accounts with the counterparty, which is accomplished by daily maintenance of the cash balance in a custody account held at MSSB for the benefit of MS&Co. -------------------------------------------------------------------------------- 6. DERIVATIVES AND HEDGING The Partnerships' objective is to profit from speculative trading in Futures Interests. Therefore, the trading advisor for each Partnership will take speculative positions in Futures Interests where it feels the best profit opportunities exist for its trading strategy. As such, the average number of contracts outstanding in absolute quantity (the total of the open long and open short positions) has been presented as a part of the volume disclosure, as position direction is not an indicative factor in such volume disclosures. With regard to foreign currency forward trades, each notional quantity amount has been converted to an equivalent contract based upon an industry convention. The following tables summarize the valuation of each Partnership's investments as required by the disclosures about Derivatives and Hedging under the FASB ASC as of December 31, 2010 and 2009, respectively.
MORGAN STANLEY SMITH BARNEY CHARTER SERIES NOTES TO FINANCIAL STATEMENTS (continued) CHARTER CAMPBELL The Effect of Trading Activities on the Statements of Financial Condition as of December 31, 2010 and 2009: AVERAGE DECEMBER 31, 2010 NUMBER OF ----------------- CONTRACTS NET OUTSTANDING LONG LONG SHORT SHORT UNREALIZED FOR THE YEAR FUTURES UNREALIZED UNREALIZED UNREALIZED UNREALIZED GAIN/ (ABSOLUTE AND FORWARD CONTRACTS GAIN LOSS GAIN LOSS (LOSS) QUANTITY) --------------------- ---------- ---------- ---------- ---------- ---------- ------------ $ $ $ $ $ Commodity 1,337,918 (58,825) -- (79,630) 1,199,463 562 Equity 188,291 (170,905) 10,264 -- 27,650 579 Foreign currency 2,099,244 (267,960) 148,803 (645,309) 1,334,778 6,666 Interest rate 106,248 -- 13,334 (173,022) (53,440) 2,512 --------- -------- ------- -------- ---------- Total 3,731,701 (497,690) 172,401 (897,961) 2,508,451 ========= ======== ======= ======== Unrealized currency loss (2,368,555) ---------- Total net unrealized gain on open contracts 139,896 ========== AVERAGE NUMBER OF CONTRACTS OUTSTANDING FOR THE YEAR OPTION CONTRACTS AT FAIR VALUE (ABSOLUTE QUANTITY) ------------------------------ ------------------- $ Options purchased 366,896 3 Options written (166,225) 3 *AVERAGE DECEMBER 31, 2009 NUMBER OF ----------------- CONTRACTS NET OUTSTANDING LONG LONG SHORT SHORT UNREALIZED FOR THE YEAR FUTURES UNREALIZED UNREALIZED UNREALIZED UNREALIZED GAIN/ (ABSOLUTE AND FORWARD CONTRACTS GAIN LOSS GAIN LOSS (LOSS) QUANTITY) --------------------- ---------- ---------- ---------- ---------- ---------- ------------ $ $ $ $ $ Commodity 441,146 (298,534) 3,200 -- 145,812 229 Equity 708,608 -- -- -- 708,608 656 Foreign currency 94,380 (898,797) 392,651 (443,357) (855,123) 2,843 Interest rate 10,415 (1,206,017) 81,287 (40,670) (1,154,985) 1,941 --------- ---------- ------- -------- ---------- Total 1,254,549 (2,403,348) 477,138 (484,027) (1,155,688) ========= ========== ======= ======== Unrealized currency loss (2,294,172) ---------- Total net unrealized loss on open contracts (3,449,860) ==========
MORGAN STANLEY SMITH BARNEY CHARTER SERIES NOTES TO FINANCIAL STATEMENTS (continued) *AVERAGE NUMBER OF CONTRACTS OUTSTANDING FOR THE YEAR OPTION CONTRACTS AT FAIR VALUE (ABSOLUTE QUANTITY) ------------------------------ ------------------- $ Options purchased 224,032 2 Options written (61,722) 2 CHARTER ASPECT The Effect of Trading Activities on the Statements of Financial Condition as of December 31, 2010 and 2009: AVERAGE DECEMBER 31, 2010 NUMBER OF ----------------- CONTRACTS NET OUTSTANDING LONG LONG SHORT SHORT UNREALIZED FOR THE YEAR FUTURES UNREALIZED UNREALIZED UNREALIZED UNREALIZED GAIN/ (ABSOLUTE AND FORWARD CONTRACTS GAIN LOSS GAIN LOSS (LOSS) QUANTITY) --------------------- ---------- ---------- ---------- ---------- ---------- ------------ $ $ $ $ $ Commodity 3,675,090 (39,526) -- (161,540) 3,474,024 1,210 Equity 361,145 (112,680) 21,990 -- 270,455 576 Foreign currency 1,456,730 -- 344,797 (105,251) 1,696,276 986 Interest rate 130,718 (115,308) 40 (98,768) (83,318) 3,926 --------- -------- ------- -------- --------- Total 5,623,683 (267,514) 366,827 (365,559) 5,357,437 ========= ======== ======= ======== Unrealized currency gain 709,601 --------- Total net unrealized gain on open contracts 6,067,038 ========= *AVERAGE DECEMBER 31, 2009 NUMBER OF ----------------- CONTRACTS NET OUTSTANDING LONG LONG SHORT SHORT UNREALIZED FOR THE YEAR FUTURES UNREALIZED UNREALIZED UNREALIZED UNREALIZED GAIN/ (ABSOLUTE AND FORWARD CONTRACTS GAIN LOSS GAIN LOSS (LOSS) QUANTITY) --------------------- ---------- ---------- ---------- ---------- ---------- ------------ $ $ $ $ $ Commodity 2,048,490 (1,218,723) 128,586 (99,507) 858,846 1,683 Equity 871,844 (475) -- (2,147) 869,222 623 Foreign currency 128,587 (972,143) 504,260 (44,942) (384,238) 1,178 Interest rate 331,046 (2,111,629) 49,343 (15,067) (1,746,307) 4,795 --------- ---------- ------- -------- ---------- Total 3,379,967 (4,302,970) 682,189 (161,663) (402,477) ========= ========== ======= ======== Unrealized currency gain 642,270 ---------- Total net unrealized gain on open contracts 239,793 ==========
MORGAN STANLEY SMITH BARNEY CHARTER SERIES NOTES TO FINANCIAL STATEMENTS (continued) CHARTER WNT The Effect of Trading Activities on the Statements of Financial Condition as of December 31, 2010 and 2009: AVERAGE DECEMBER 31, 2010 NUMBER OF ----------------- CONTRACTS NET OUTSTANDING LONG LONG SHORT SHORT UNREALIZED FOR THE YEAR FUTURES UNREALIZED UNREALIZED UNREALIZED UNREALIZED GAIN/ (ABSOLUTE AND FORWARD CONTRACTS GAIN LOSS GAIN LOSS (LOSS) QUANTITY) --------------------- ---------- ---------- ---------- ---------- ---------- ------------ $ $ $ $ $ Commodity 1,764,214 (43,969) -- (53,370) 1,666,875 537 Equity 160,028 (83,999) 6,260 (1,925) 80,364 381 Foreign currency 944,666 (11,249) 10,887 (109,973) 834,331 620 Interest rate 31,487 (7,829) 369 (147,623) (123,596) 1,604 --------- -------- ------ -------- --------- Total 2,900,395 (147,046) 17,516 (312,891) 2,457,974 ========= ======== ====== ======== Unrealized currency loss (12,756) --------- Total net unrealized gain on open contracts 2,445,218 ========= AVERAGE NUMBER OF CONTRACTS OUTSTANDING FOR THE YEAR OPTION CONTRACTS AT FAIR VALUE (ABSOLUTE QUANTITY) ------------------------------ ------------------- $ Options purchased 2,775 8 Options written (5,500) 8 *AVERAGE DECEMBER 31, 2009 NUMBER OF ----------------- CONTRACTS NET OUTSTANDING LONG LONG SHORT SHORT UNREALIZED FOR THE YEAR FUTURES UNREALIZED UNREALIZED UNREALIZED UNREALIZED GAIN/ (ABSOLUTE AND FORWARD CONTRACTS GAIN LOSS GAIN LOSS (LOSS) QUANTITY) --------------------- ---------- ---------- ---------- ---------- ---------- ------------ $ $ $ $ $ Commodity 574,468 (129,165) 44,484 (155,258) 334,529 436 Equity 479,575 (6,670) -- (6,447) 466,458 327 Foreign currency 50,370 (357,577) 3,450 (25,406) (329,163) 476 Interest rate 303,800 (291,188) 13,114 (12,796) 12,930 1,613 --------- -------- ------ -------- -------- Total 1,408,213 (784,600) 61,048 (199,907) 484,754 ========= ======== ====== ======== Unrealized currency loss (14,513) -------- Total net unrealized gain on open contracts 470,241 ========
MORGAN STANLEY SMITH BARNEY CHARTER SERIES NOTES TO FINANCIAL STATEMENTS (continued) *AVERAGE NUMBER OF CONTRACTS OUTSTANDING FOR THE YEAR OPTION CONTRACTS AT FAIR VALUE (ABSOLUTE QUANTITY) ------------------------------ ------------------- $ Options purchased 2,053 5 Options written (4,693) 5 * These amounts have been reclassified from the December 31, 2009 prior year financial statements to conform to the current year presentation. The following tables summarize the net trading results of each Partnership for the years ended December 31, 2010 and 2009, respectively, as required by the disclosures about Derivatives and Hedging. CHARTER CAMPBELL The Effect of Trading Activities on the Statements of Operations for the year ended December 31, 2010 included in Total Trading Results: TYPE OF INSTRUMENT ------------------ $ Commodity 2,623,618 Equity (2,142,624) Foreign currency 2,490,889 Interest rate 9,927,453 Unrealized currency loss (74,383) Proceeds from Litigation 6,177 ---------- Total 12,831,130 ========== Line Items on the Statements of Operations for the year ended December 31, 2010: TRADING RESULTS --------------- $ Realized 9,247,401 Net change in unrealized 3,577,552 Proceeds from Litigation 6,177 ---------- Total Trading Results 12,831,130 ==========
MORGAN STANLEY SMITH BARNEY CHARTER SERIES NOTES TO FINANCIAL STATEMENTS (continued) CHARTER CAMPBELL The Effect of Trading Activities on the Statements of Operations for the year ended December 31, 2009 included in Total Trading Results: TYPE OF INSTRUMENT ------------------ $ Commodity (406,995) Equity (885,043) Foreign currency 3,502,707 Interest rate (4,817,441) Unrealized currency gain 59,413 ---------- Total (2,547,359) ========== Line Items on the Statements of Operations for the year ended December 31, 2009: TRADING RESULTS --------------- $ Realized (596,625) Net change in unrealized (1,950,734) ---------- Total Trading Results (2,547,359) ========== CHARTER ASPECT The Effect of Trading Activities on the Statements of Operations for the year ended December 31, 2010 included in Total Trading Results: TYPE OF INSTRUMENT ------------------ $ Commodity 1,170,080 Equity (2,549,288) Foreign currency 4,924,389 Interest rate 15,903,498 Unrealized currency gain 67,332 Proceeds from Litigation 40,052 ---------- Total 19,556,063 ========== Line Items on the Statements of Operations for the year ended December 31, 2010: TRADING RESULTS --------------- $ Realized 13,688,766 Net change in unrealized 5,827,245 Proceeds from Litigation 40,052 ---------- Total Trading Results 19,556,063 ==========
MORGAN STANLEY SMITH BARNEY CHARTER SERIES NOTES TO FINANCIAL STATEMENTS (continued) CHARTER ASPECT The Effect of Trading Activities on the Statements of Operations for the year ended December 31, 2009 included in Total Trading Results: TYPE OF INSTRUMENT ------------------ $ Commodity (5,919,676) Equity 1,387,998 Foreign currency (4,832,915) Interest rate (4,657,633) Unrealized currency loss (170,127) ----------- Total (14,192,353) =========== Line Items on the Statements of Operations for the year ended December 31, 2009: TRADING RESULTS --------------- $ Realized (6,921,660) Net change in unrealized (7,270,693) ----------- Total Trading Results (14,192,353) =========== CHARTER WNT The Effect of Trading Activities on the Statements of Operations for the year ended December 31, 2010 included in Total Trading Results: TYPE OF INSTRUMENT ------------------ $ Commodity 2,629,176 Equity (745,185) Foreign currency 3,756,154 Interest rate 8,508,553 Unrealized currency gain 1,756 Proceeds from Litigation 40,150 ---------- Total 14,190,604 ========== Line Items on the Statements of Operations for the year ended December 31, 2010: TRADING RESULTS --------------- $ Realized 12,177,274 Net change in unrealized 1,973,180 Proceeds from Litigation 40,150 ---------- Total Trading Results 14,190,604 ==========
MORGAN STANLEY SMITH BARNEY CHARTER SERIES NOTES TO FINANCIAL STATEMENTS (continued) CHARTER WNT The Effect of Trading Activities on the Statements of Operations for the year ended December 31, 2009 included in Total Trading Results: TYPE OF INSTRUMENT ------------------ $ Commodity (836,702) Equity (1,421,780) Foreign currency (1,704,499) Interest rate (1,376,349) Unrealized currency loss (106,648) ---------- Total (5,445,978) ========== Line Items on the Statements of Operations for the year ended December 31, 2009: TRADING RESULTS --------------- $ Realized (3,514,634) Net change in unrealized (1,931,344) ---------- Total Trading Results (5,445,978) ========== -------------------------------------------------------------------------------- 7. FAIR VALUE MEASUREMENTS AND DISCLOSURES Financial instruments are carried at fair value, which is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants. Assets and liabilities carried at fair value are classified and disclosed in the following three levels: Level 1--unadjusted quoted market prices in active markets for identical assets and liabilities; Level 2--inputs other than unadjusted quoted market prices that are observable for the asset or liability, either directly or indirectly (including unadjusted quoted market prices for similar investments, interest rates, credit risk); and Level 3--unobservable inputs for the asset or liability (including the Partnerships' own assumptions used in determining the fair value of investments). In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment's level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The Partnerships' assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. The Partnerships' assets and liabilities measured at fair value on a recurring basis are summarized in the following tables by the type of inputs applicable to the fair value measurements.
MORGAN STANLEY SMITH BARNEY CHARTER SERIES NOTES TO FINANCIAL STATEMENTS (continued) CHARTER CAMPBELL UNADJUSTED QUOTED PRICES IN ACTIVE MARKETS SIGNIFICANT FOR OTHER SIGNIFICANT IDENTICAL OBSERVABLE UNOBSERVABLE ASSETS INPUTS INPUTS (LEVEL 1) (LEVEL 2) (LEVEL 3) TOTAL ---------- ----------- ------------ ---------- DECEMBER 31, 2010 ----------------- $ $ $ $ ASSETS Futures 1,656,055 -- n/a 1,656,055 Forwards -- 2,248,048 n/a 2,248,048 Options Purchased -- 366,896 n/a 366,896 --------- --------- ---------- Total Assets 1,656,055 2,614,944 n/a 4,270,999 --------- --------- ---------- LIABILITIES Futures 482,383 -- n/a 482,383 Forwards -- 913,269 n/a 913,269 Options Written -- 166,225 n/a 166,225 --------- --------- ---------- Total Liabilities 482,383 1,079,494 n/a 1,561,877 --------- --------- ---------- Unrealized currency loss (2,368,555) ---------- *Net fair value 1,173,672 1,535,450 n/a 340,567 ========= ========= ========== DECEMBER 31, 2009** ------------------- ASSETS Futures 1,244,657 -- n/a 1,244,657 Forwards -- 487,031 n/a 487,031 Options Purchased -- 224,032 n/a 224,032 --------- --------- ---------- Total Assets 1,244,657 711,063 n/a 1,955,720 --------- --------- ---------- LIABILITIES Futures 1,545,255 -- n/a 1,545,255 Forwards -- 1,342,121 n/a 1,342,121 Options Written -- 61,722 n/a 61,722 --------- --------- ---------- Total Liabilities 1,545,255 1,403,843 n/a 2,949,098 --------- --------- ---------- Unrealized currency loss (2,294,172) ---------- *Net fair value (300,598) (692,780) n/a (3,287,550) ========= ========= ========== *This amount comprises of the net unrealized gain/(loss) on open contracts and options purchased and options written on the Statements of Financial Condition. **The amounts have been reclassified from the December 31, 2009 prior year financial statements to conform to the current year presentation based on new fair value guidance.
MORGAN STANLEY SMITH BARNEY CHARTER SERIES NOTES TO FINANCIAL STATEMENTS (continued) CHARTER ASPECT UNADJUSTED QUOTED PRICES IN ACTIVE MARKETS SIGNIFICANT FOR OTHER SIGNIFICANT IDENTICAL OBSERVABLE UNOBSERVABLE ASSETS INPUTS INPUTS (LEVEL 1) (LEVEL 2) (LEVEL 3) TOTAL ---------- ----------- ------------ --------- DECEMBER 31, 2010 ----------------- $ $ $ $ ASSETS Futures 4,192,975 -- n/a 4,192,975 Forwards -- 1,797,535 n/a 1,797,535 --------- --------- --------- Total Assets 4,192,975 1,797,535 n/a 5,990,510 --------- --------- --------- LIABILITIES Futures 527,822 -- n/a 527,822 Forwards -- 105,251 n/a 105,251 --------- --------- --------- Total Liabilities 527,822 105,251 n/a 633,073 --------- --------- --------- Unrealized currency gain 709,601 --------- *Net fair value 3,665,153 1,692,284 n/a 6,067,038 ========= ========= ========= DECEMBER 31, 2009** ------------------- ASSETS Futures 3,429,308 -- n/a 3,429,308 Forwards -- 632,848 n/a 632,848 --------- --------- --------- Total Assets 3,429,308 632,848 n/a 4,062,156 --------- --------- --------- LIABILITIES Futures 3,469,618 -- n/a 3,469,618 Forwards -- 995,015 n/a 995,015 --------- --------- --------- Total Liabilities 3,469,618 995,015 n/a 4,464,633 --------- --------- --------- Unrealized currency gain 642,270 --------- *Net fair value (40,310) (362,167) n/a 239,793 ========= ========= ========= *This amount comprises of the net unrealized gain/(loss) on open contracts on the Statements of Financial Condition. **The amounts have been reclassified from the December 31, 2009 prior year financial statements to conform to the current year presentation based on new fair value guidance.
MORGAN STANLEY SMITH BARNEY CHARTER SERIES NOTES TO FINANCIAL STATEMENTS (continued) CHARTER WNT UNADJUSTED QUOTED PRICES IN ACTIVE MARKETS SIGNIFICANT FOR OTHER SIGNIFICANT IDENTICAL OBSERVABLE UNOBSERVABLE ASSETS INPUTS INPUTS (LEVEL 1) (LEVEL 2) (LEVEL 3) TOTAL ---------- ----------- ------------ --------- DECEMBER 31, 2010 ----------------- $ $ $ $ ASSETS Futures 2,868,141 -- n/a 2,868,141 Forwards -- 49,770 n/a 49,770 Options Purchased 2,775 -- n/a 2,775 --------- ------ --------- Total Assets 2,870,916 49,770 n/a 2,920,686 --------- ------ --------- LIABILITIES Futures 447,839 -- n/a 447,839 Forwards -- 12,098 n/a 12,098 Options Written 5,500 -- n/a 5,500 --------- ------ --------- Total Liabilities 453,339 12,098 n/a 465,437 --------- ------ --------- Unrealized currency loss (12,756) --------- *Net fair value 2,417,577 37,672 n/a 2,442,493 ========= ====== ========= DECEMBER 31, 2009** ------------------- ASSETS Futures 1,469,261 -- n/a 1,469,261 Forwards -- -- n/a -- Options Purchased 2,053 -- n/a 2,053 --------- ------ --------- Total Assets 1,471,314 -- n/a 1,471,314 --------- ------ --------- LIABILITIES Futures 984,507 -- n/a 984,507 Forwards -- -- n/a -- Options Written 4,693 -- n/a 4,693 --------- ------ --------- Total Liabilities 989,200 -- n/a 989,200 --------- ------ --------- Unrealized currency loss (14,513) --------- *Net fair value 482,114 -- n/a 467,601 ========= ====== ========= *This amount comprises of the net unrealized gain/(loss) on open contracts and options purchased and options written on the Statements of Financial Condition. **The amounts have been reclassified from the December 31, 2009 prior year financial statements to conform to the current year presentation based on new fair value guidance.
MORGAN STANLEY SMITH BARNEY CHARTER SERIES NOTES TO FINANCIAL STATEMENTS (continued) -------------------------------------------------------------------------------- 8. FINANCIAL HIGHLIGHTS CHARTER CAMPBELL 2010 2009 2008 ------- -------- ------- PER UNIT OPERATING PERFORMANCE: NET ASSET VALUE, JANUARY 1: $ 9.79 $ 10.88 $ 11.13 ------- -------- ------- NET OPERATING RESULTS: Interest Income 0.01 0.01 0.18 Expenses (0.83) (0.90) (0.99) Realized Profit (Loss)/(1)/ 1.21 (0.03) 0.39 Unrealized Profit (Loss) 0.41 (0.17) 0.17 ------- -------- ------- Net Income (Loss) 0.80 (1.09) (0.25) ------- -------- ------- NET ASSET VALUE, DECEMBER 31: $ 10.59 $ 9.79 $ 10.88 ======= ======== ======= FOR THE CALENDAR YEAR: RATIOS TO AVERAGE NET ASSETS: Net Investment Loss (8.7)% (8.9)% (7.4)% Expenses before Incentive Fees 8.8 % 9.0 % 9.1 % Expenses after Incentive Fees 8.8 % 9.0 % 9.1 % Net Income (Loss) 7.0 % (11.2)% (1.8)% TOTAL RETURN BEFORE INCENTIVE FEES 8.2 % (10.0)% (2.2)% TOTAL RETURN AFTER INCENTIVE FEES 8.2 % (10.0)% (2.2)% INCEPTION-TO-DATE RETURN 5.9 % COMPOUND ANNUALIZED RETURN 0.7 % CHARTER ASPECT 2010 2009 2008 -------- -------- -------- PER UNIT OPERATING PERFORMANCE: NET ASSET VALUE, JANUARY 1: $ 18.72 $ 22.48 $ 18.14 -------- -------- -------- NET OPERATING RESULTS: Interest Income 0.02 0.02 0.27 Expenses (1.54) (1.66) (2.36) Realized Profit (Loss)/(1)/ 2.48 (1.01) 6.13 Unrealized Profit (Loss) 1.03 (1.11) 0.30 -------- -------- -------- Net Income (Loss) 1.99 (3.76) 4.34 -------- -------- -------- NET ASSET VALUE, DECEMBER 31: $ 20.71 $ 18.72 $ 22.48 ======== ======== ======== FOR THE CALENDAR YEAR: RATIOS TO AVERAGE NET ASSETS: Net Investment Loss (7.9)% (8.3)% (10.4)% Expenses before Incentive Fees 8.0 % 8.3 % 7.9 % Expenses after Incentive Fees 8.0 % 8.4 % 11.8 % Net Income (Loss) 10.1 % (19.2)% 21.9 % TOTAL RETURN BEFORE INCENTIVE FEES 10.6 % (16.6)% 28.2 % TOTAL RETURN AFTER INCENTIVE FEES 10.6 % (16.7)% 23.9 % INCEPTION-TO-DATE RETURN 107.1 % COMPOUND ANNUALIZED RETURN 4.4 %
MORGAN STANLEY SMITH BARNEY CHARTER SERIES NOTES TO FINANCIAL STATEMENTS (concluded) CHARTER WNT 2010 2009 2008 ------- -------- ------- PER UNIT OPERATING PERFORMANCE: NET ASSET VALUE, JANUARY 1: $ 11.44 $ 13.02 $ 11.27 ------- -------- ------- NET OPERATING RESULTS: Interest Income 0.01 0.01 0.16 Expenses (0.95) (0.99) (1.29) Realized Profit (Loss)/(1)/ 1.66 (0.38) 2.74 Unrealized Profit (Loss) 0.26 (0.22) 0.14 ------- -------- ------- Net Income (Loss) 0.98 (1.58) 1.75 ------- -------- ------- NET ASSET VALUE, DECEMBER 31:....... $ 12.42 $ 11.44 $ 13.02 ======= ======== ======= FOR THE CALENDAR YEAR: RATIOS TO AVERAGE NET ASSETS: Net Investment Loss (8.0)% (8.3)% (9.0)% Expenses before Incentive Fees 8.1 % 8.3 % 7.7 % Expenses after Incentive Fees 8.1 % 8.4 % 10.3 % Net Income (Loss) 8.2 % (13.6)% 13.0 % TOTAL RETURN BEFORE INCENTIVE FEES 8.6 % (12.0)% 18.4 % TOTAL RETURN AFTER INCENTIVE FEES 8.6 % (12.1)% 15.5 % INCEPTION-TO-DATE RETURN 24.2 % COMPOUND ANNUALIZED RETURN 1.8 % (1)Realized Profit (Loss) is a balancing amount necessary to reconcile the change in Net Asset Value per Unit with the other per Unit information. -------------------------------------------------------------------------------- 9. SUBSEQUENT EVENT Management of Ceres performed its evaluation of subsequent events and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements other than those disclosed below. Effective January 1, 2011, the monthly management fee payable by Charter Campbell to Campbell & Company, Inc. was reduced from 1/12 of 2.65% (a 2.65% annual rate) to 1/6 of 1% (a 2% annual rate). Effective April 1, 2011, the monthly management fee payable by Charter WNT to Winton Capital Management Limited will be reduced from 1/6 of 1% (a 2% annual rate) to 1/12 of 1.5% (a 1.5% annual rate).
Ceres Managed Futures LLC PO Box 340 New York, NY 10008-0340 [LOGO] ADDRESS SERVICE REQUESTED [GRAPHIC] printed on recycled paper PRE-SORTED FIRST CLASS MAIL U.S. POSTAGE PAID NEW BRUNSWICK, NJ PERMIT #