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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 0-24035
MORGAN STANLEY DEAN WITTER SPECTRUM COMMODITY FUND L.P.
(Exact name of registrant as specified in its Limited Partnership
Agreement)
DELAWARE 13-3968008
(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: $19,028,553 at January 31,
2001.
DOCUMENTS INCORPORATED BY REFERENCE
(See Page 1)
MORGAN STANLEY DEAN WITTER SPECTRUM COMMODITY FUND L.P.
(formerly "Morgan Stanley Tangible Asset 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. . . . . . . . . . . . . . . . . . . . . . .
. 2-5
Item 2. Properties. . . . . . . . . . . . . . . . . . . . . .
. . 5
Item 3. Legal Proceedings. . . . . . . . . . . . . . . . . .
. 5-6
Item 4. Submission of Matters to a Vote of Security Holders. .
. .6
Part II.
Item 5.Market for the Registrant's Partnership Units
and Related Security Holder Matters . . . . . . . . . .
7-8
Item 6. Selected Financial Data . . . . . . . . . . . . . . .
. . .9
Item 7.Management's Discussion and Analysis of Financial
Condition and Results of Operations. . . . . . . . . .
10-22
Item 7A. Quantitative and Qualitative Disclosures About
Market Risk . . . . . . . . . . . . . . . . . . . . .
22-33
Item 8. Financial Statements and Supplementary Data. . . . . .
. .33
Item 9.Changes in and Disagreements with Accountants on
Accounting and Financial Disclosure. . . . . . . . . .
. .34
Part III.
Item 10.Directors and Executive Officers of the Registrant. .
35-39
Item 11. Executive Compensation . . . . . . . . . . . . . . . .
. 39
Item 12.Security Ownership of Certain Beneficial Owners
and Management . . . . . . . . . . . . . . . . . . .
39-40
Item 13. Certain Relationships and Related Transactions. . . .
. ..40
Part IV.
Item 14. Exhibits,
Financial Statement Schedules, and
Reports on Form 8-K. . . . . . . . . . . . . . . . . .
. .41
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
March 6, 2000 I
Partnership's Supplement to Prospectus
dated June 22, 2000 I
Annual Report to Morgan Stanley
Dean Witter Spectrum Series Limited
Partners for the year ended
December 31, 2000 II, III and IV
PART I
Item 1. BUSINESS
(a) General Development of Business. Morgan Stanley Dean Witter
Spectrum Commodity Fund L.P. (formerly, "Morgan Stanley Tangible
Asset Fund L.P.") (the "Partnership") is a Delaware limited
partnership organized to engage primarily in speculative trading
of futures contracts in metals, energy and agricultural markets.
The Partnership commenced operations on January 2, 1998. On
March 6, 2000, the Partnership became one of the Morgan Stanley
Dean Witter Spectrum Series of funds, comprised of the
Partnership, Morgan Stanley Dean Witter Spectrum Currency L.P.,
Morgan Stanley Dean Witter Spectrum Global Balanced L.P., Morgan
Stanley Dean Witter Spectrum Strategic L.P., Morgan Stanley Dean
Witter Spectrum Select L.P. and Morgan Stanley Dean Witter
Spectrum Technical L.P. (collectively, the "Spectrum Series").
The general partner 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. The trading advisor is Morgan Stanley Dean
Witter Commodities Management, Inc. ("MSCM" or the "Trading
Advisor"). MSCM, Demeter, DWR, MS & Co. and MSIL are all wholly-
owned subsidiaries of Morgan Stanley Dean Witter & Co. ("MSDW").
In conjunction with becoming part of the Spectrum Series, the
Partnership registered 7,000,000 units of limited partnership
interest ("Units") pursuant to a Registration statement on Form
S-1 (SEC file No. 33-90483), which become effective March 6,
2000. Units are offered at monthly closing at a price equal to
100% of the net asset value per Unit at the close of business on
the last day of each month. The managing underwriter for the
Spectrum Series is DWR.
The Partnership's net asset value per Unit at December 31, 2000
was $7.85, representing an increase of 3.15 percent from the Net
Asset Value per Unit of $7.61 at December 31, 1999. For a more
detailed description of the Partnership's business see
subparagraph (c).
(b) Financial Information about Segments. For financial
information reporting purposes the Partnership is deemed to
engage in one industry segment, the speculative trading of
futures and forwards. The relevant financial information is
presented in Items 6 and 8.
(c) Narrative Description of Business. The Partnership is in the
business of speculative trading of futures and forwards, pursuant
to trading instructions provided by the Trading Advisor. For a
detailed description of the different facets of the Partnership's
business, see those portions of the Partnership's prospectus,
dated March 6, 2000 (the "Prospectus"), and the Partnership's
supplement to the Prospectus dated June 22, 2000 (the
"Supplement") incorporated by reference in this Form 10-K, set
forth below.
Facets of Business
1. Summary 1. "Summary" (Pages 1-8 of
the Prospectus and Page
S-2 of the Supplement).
2. Futures, Options, 2. "The Futures, Options, and
and Forwards Markets
Forwards Markets" (Pages
86-90 of the
Prospectus).
3. Partnership's Trading 3. "Use of Proceeds" (Pages
Arrangements and 20-22 of the Prospectus)
Policies and "The Trading Advisors"
(Pages 40-65 of the Pros-
pectus and Pages S-12 to S-
19 of the Supplement).
4. Management of the Part- 4. "The Trading Advisors -
nership The Management
Agreements"
(Page 40 of the Prospectus).
"The General Partner" (Pages
35-39 of the Prospectus
and Pages S-10 to S-11 of
the Supplement). "The
Commodity Brokers" (Pages
68-69 of the Prospectus
and Pages S-19 to S-20
of the Supplement) and
"The Limited Partnership
Agreement" (Pages 70-73
of the Prospectus).
5. Taxation of the Partner- 5. "Material Federal Income
ship's Limited Partners Tax Considerations" and
"State and Local Income
Tax Aspects" (Pages
79-85 of the Prospectus).
(d) Financial Information about Geographic Areas
The Partnership has not engaged in any operations in foreign
countries; however, the Partnership (through the commodity
brokers) enters into forward contract transactions where foreign
banks are the contracting party and trades in futures and
forwards on foreign exchanges.
Item 2. PROPERTIES
The executive and administrative offices are located within the
offices of DWR. The DWR offices utilized by the Partnership are
located at Two World Trade Center, 62nd Floor, New York, NY
10048.
Item 3. LEGAL PROCEEDINGS
Similar class actions were filed in 1996 in California and New
York State courts. Each of these actions were dismissed in 1999.
However, these 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, certain limited partnership commodity pools of
which Demeter is the general partner and certain trading advisors
to those pools. A consolidated and amended complaint in the
action pending in the Supreme Court of the State of New York was
filed on August 13, 1997, alleging that the defendants committed
fraud, breach of fiduciary duty, and negligent misrepresentation
in the sale and operation of the various limited partnership
commodity pools. The complaints sought unspecified amounts of
compensatory and punitive damages and other relief. The New York
Supreme Court dismissed the New York action in November 1998, but
granted plaintiffs leave to file an amended complaint, which they
did in early December 1998. The defendants filed a motion to
dismiss the amended complaint with prejudice on February 1, 1999.
By decision dated December 21, 1999, the New York Supreme Court
dismissed the case with prejudice. However, on March 3, 2000,
plaintiffs appealed the trial court's dismissal of their case.
Item 4. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
None.
PART II
Item 5. MARKET FOR THE REGISTRANT'S PARTNERSHIP UNITS AND
RELATED SECURITY HOLDER MATTERS
(a) Market Information
There is no established public trading market for Units of the
Partnership.
(b) Holders
The number of holders of Units at December 31, 2000 was
approximately 2,537.
(c) Distributions
No distributions have been made by the Partnership since it
commenced trading operations on January 2, 1998. 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.
(d) Use of Proceeds
Units are sold at monthly closings as of the last day of each
month at a price equal to 100% of the net asset value per Unit as
of the date of such monthly closing.
Through December 31, 2000, 4,473,100.694 Units were sold, leaving
6,722,392.938 Units unsold at December 31, 2000. The aggregate
price of the Units sold through December 31, 2000 was
$43,351,187.
Since no expenses are chargeable against proceeds, 100% of the
proceeds of the offering have been applied to the working capital
of the Partnership for use in accordance with the "Use of
Proceeds" section of the Prospectus and the Supplement.
Item 6. SELECTED FINANCIAL DATA (in dollars)
For the Period
from
January 2,
1998
(commencement of
For the Years Ended December 31, operations) to
2000 1999 December 31, 1998
Total Revenues
(including interest) 2,176,463 5,045,724 (11,
239,913)
Net Income (Loss) 622,362 3,375,789 (1
3,543,631)
Net Income (Loss)
Per Unit (Limited
& General Partners) .24 1.04
(3.43)
Total Assets 20,809,721 24,048,757 25,962,970
Total Limited
Partners' Capital 19,859,397 23,310,162 24,622
,999
Net Asset Value Per
Unit 7.85 7.61 6.57
Item 7. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS
Liquidity - The Partnership deposits its assets with DWR as non-
clearing broker and MS & Co. and MSIL as clearing brokers in
separate futures and forwards trading accounts established for
the Trading Advisor, which assets are used as margin to engage in
trading. The assets are held in either non-interest-bearing bank
accounts or in securities and instruments permitted by the
Commodity Futures Trading Commission ("CFTC") for investment of
customer segregated or secured funds. The Partnership's assets
held by the commodity brokers may be used as margin solely for
the Partnership's trading. Since the Partnership's sole purpose
is to trade in futures and forwards, it is expected that the
Partnership will continue to own such liquid assets for margin
purposes.
The Partnership's investment in futures and forwards may, from
time to time, be illiquid. Most U.S. futures exchanges limit
fluctuations in prices during a single day by regulations
referred to as "daily price fluctuations limits" or "daily
limits". Trades may not be executed at prices beyond the daily
limit. If the price for a particular futures contract has
increased or decreased by an amount equal to the daily limit,
positions in that futures contract can neither be taken nor
liquidated unless traders are willing to effect trades at or
within the limit. Futures prices have occasionally moved the
daily limit for several consecutive
days with little or no trading. These market conditions could
prevent the Partnership from promptly liquidating its futures
contracts and result in restrictions on redemptions.
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, exchanges and sales of
additional Units in the future will affect the amount of funds
available for investments in futures and forwards in subsequent
periods. It is not possible to estimate the amount, and
therefore the impact of future redemptions.
Results of Operations.
General. The Partnership's results depend on its Trading Advisor
and the ability of the Trading Advisor's trading programs to take
advantage of price movements or other profit opportunities in the
futures and forwards markets. The following presents a summary
of the Partnership's operations for the two years ended December
31, 2000 and for the period from January 2, 1998 (commencement of
operations) to December 31, 1998, and a general discussion of its
trading activities during each period. It is important to note,
however, that the Trading Advisor trades in various markets at
different times and that prior activity in a particular market
does not mean that such market will be actively traded by the
Trading Advisor or will be profitable in the future.
Consequently, the results of operations of the Partnership are
difficult to discuss other than in the context of its Trading
Advisor's trading activities on behalf of the Partnership as a
whole and how the Partnership has performed in the past.
At December 31, 2000, the Partnership's total capital was
$20,199,981, a decrease of $3,440,489 from the Partnership's
total capital of $23,640,470 at December 31, 1999. For the year
ended December 31, 2000, the Partnership generated net income of
$622,362, total subscriptions aggregated $2,115,964 and total
redemptions aggregated $6,178,815.
For the year ended December 31, 2000, the Partnership recorded
total trading revenues, including interest income, of $2,176,463
and posted an increase in net asset value per Unit. The most
significant gains of approximately 16.4% were recorded in the
energy markets primarily during May from long positions in
natural gas futures as prices trended higher, as data released by
the American Gas Association further confirmed fears that
inventory levels remain low. During August, November and
December, additional gains were recorded from long positions in
natural gas futures as prices climbed to all time highs amid
supply and storage concerns. Additional gains were recorded
during January and February from long futures positions in crude
oil and its refined products as oil prices increased on concerns
about future output levels from the world's leading producer
countries amid dwindling stockpiles and increasing demand. A
portion of the Partnership's overall gains was partially offset
by losses of approximately 5.6% recorded in the metals markets
throughout a majority of the year from long silver futures
positions as silver prices declined on technically-based factors.
Additional losses were incurred from long aluminum and copper
futures positions as prices moved lower during February and
October due primarily to technically based selling. In soft
commodities, losses of approximately 4.6% were experienced
primarily during January and February from long coffee futures
positions as coffee prices declined in the wake of forecasts for
a bumper crop in Brazil. Additional losses were recorded
throughout a majority of the second and fourth quarters from long
coffee futures positions as prices decreased. Total expenses for
the year were $1,554,101, resulting in net income of $622,362.
The net asset value of a Unit increased from $7.61 at December
31, 1999 to $7.85 at December 31, 2000.
At December 31, 1999, the Partnership's total capital was
$23,640,470, a decrease of $1,267,846 from the Partnership's
total capital of $24,908,316 at December 31, 1998. For the year
ended December 31, 1999, the Partnership generated net income of
$3,375,789 and total redemptions aggregated $4,643,635.
For the year ended December 31, 1999, the Partnership recorded
total trading revenues, including interest income of $5,045,724
and posted an increase in net asset value per Unit. During 1999,
commodity market price behavior returned to the more normal
pattern of some commodities gaining in price, while other
commodities declined in price. Of the seventeen components of
the Bridge Commodity Research Bureau Index ("CRB"), ten increased
in price during 1999, while the remaining seven declined in
price. This was noticeably different from 1998, when all but one
of the components of the CRB declined in price. Energy markets,
which had been the worst performing sector during 1998, rebounded
strongly to become the best performing commodity sector in 1999,
which resulted in gains for the Partnership of approximately
13.35%. OPEC, which had suffered economically as their late 1997
decision to expand production coincided with the onset of
economic difficulties in virtually all of the world's emerging
economies, cooperated with other major global oil producing
countries to rein in production and allow for the drawing down of
inventories that had grown steadily throughout 1998. Crude oil,
its refined products, and natural gas all benefited from the
improving global demand for energy and the decreased supply of
crude oil. Base metals markets also improved in price during
1999 resulting in gains of approximately 8.55%. Historically,
copper has been referred to by some as "the world's economist",
rising in price as economic activity improves and falling in
price when economic difficulties are encountered. During both
1998 and 1999, copper served as an accurate barometer of global
economic health. Copper producers' decisions to curtail
production in the short-term helped support prices. Perhaps more
importantly for the long-term, the consolidation of major mining
companies in both copper and aluminum bodes well for less over-
expansion during future periods of elevated prices, likely
leading to "higher highs" and "higher lows" in future price
cycles. Precious metals prices also improved modestly during
1999. After several years of lower gold prices, with central
banks continuing to sell despite the lower prices, an
announcement by a group of European central banks abruptly
reversed the price slide and caught many short-sellers off guard.
For 1999, gold was up in price by less than 1%, while silver and
platinum, which have significant industrial demand, fared much
better. Grain markets continued to suffer in price during 1999
resulting in a loss of approximately 5.37%. Despite an early
summer scare caused by dry weather, overall conditions were
favorable for another good harvest. As the year drew to a close,
improved demand finally surfaced, perhaps signaling an end to
multi-decade low prices. Total expenses for the year were
$1,669,935, resulting in net income of $3,375,789. The net asset
value of a Unit increased from $6.57 at December 31, 1998 to
$7.61 at December 31, 1999.
At December 31, 1998, the Partnership's total capital was
$24,908,316, an increase of $24,906,316 from the Partnership's
total capital of $2,000 at January 2, 1998. For the year ended
December 31, 1998, the Partnership generated a net loss of
$13,543,631, total subscriptions aggregated $41,665,223 and total
redemptions aggregated $3,213,276.
For the period ended December 31, 1998, the Partnership recorded
trading losses net of interest income of $11,239,913 and posted a
decrease in net asset value per Unit. The Partnership, with its
long-only approach to traditional commodities markets, had a
difficult year in terms of performance as commodity prices
declined to record lows. From a historical perspective, 1998 in
the commodities markets qualifies as the "worst of times" in
several aspects, including the magnitude of declines, the broad-
based nature of the declines and the nearly unrelenting nature of
declines. The major factors impacting commodities in 1998 were
the emerging markets economic woes and the unusual weather on a
global basis. Demand for almost every commodity was negatively
impacted by the downturn in virtually all of the world's emerging
economies, as currency difficulties in one emerging country
quickly threatened the economic well-being of its neighbors, as
well as its counterparts half way around the globe. Most
commodity producers had become accustomed to seeing the fastest
growth in demand come from emerging markets, and the ultimate
contractions in demand in these economies was the worst possible
match for the supply increases being provided by the world's
producers, particularly of energy and metals. The Partnership
experienced losses of approximately 16.32% in the energy markets
and approximately 10.55% in the agricultural and livestock
markets. Warm weather, particularly in the winter, led to a
decreased demand for heating products, while near ideal growing
conditions produced bumper harvests in most of the world's major
grain producing areas. The mathematics of most commodity markets
in 1998 was decreased demand plus increased supply equals lower
prices. In such an environment the Partnership was,
unfortunately, not able to generate positive returns during 1998.
Total expenses for the year were $2,303,718, resulting in a net
loss of $13,543,631. The net asset value of a Unit decreased
from $10.00
at inception of trading on January 2, 1998 to $6.57 at December
31, 1998.
The Partnership's overall performance record represents varied
results of trading in different futures and forwards markets.
For a further description of 2000 trading results, refer to the
letter to the Limited Partners in the accompanying Annual Report
to Limited Partners for the year ended December 31, 2000, which
is incorporated by reference to Exhibit 13.01 of this Form 10-K.
The Partnership's gains and losses are allocated among its
partners for income tax purposes.
Credit Risk.
Financial Instruments. The Partnership is a party to financial
instruments with elements of off-balance sheet market and credit
risk. The Partnership may trade futures and forwards in a
portfolio of agricultural commodities, precious and base metals,
soft commodities, and energy products. In entering into these
contracts, the Partnership is subject to the market risk that
such contracts may be significantly influenced by market
conditions, resulting in such contracts being less valuable. If
the markets should move against all of the positions held by the
Partnership at the same time, and if the Trading Advisor was
unable to offset positions of the Partnership, the Partnership
could lose all of its assets and investors would realize a 100%
loss.
In addition to the Trading Advisor's internal controls, the
Trading Advisor must comply with the trading policies of the
Partnership. These trading policies include standards for
liquidity and leverage with which the Partnership must comply.
The Trading Advisor and Demeter monitor the Partnership's trading
activities to ensure compliance with the trading policies.
Demeter may require the Trading Advisor to modify positions of
the Partnership if Demeter believes they violate the
Partnership's trading policies.
In addition to market risk, in entering into futures and forwards
contracts there is a credit risk to the Partnership that the
counterparty on a contract will not be able to meet its
obligations to the Partnership. The ultimate counterparty or
guarantor of the Partnership for futures contracts traded in the
United States and the foreign exchanges on which the Partnership
trades is the clearinghouse associated with such exchange. In
general, a clearinghouse is backed by the membership of the
exchange and will act in the event of non-performance by one of
its members or one of its member's customers, which should
significantly reduce this credit risk. For example, a
clearinghouse may cover a default by drawing upon a defaulting
member's mandatory contributions and/or non-defaulting members'
contributions to a clearinghouse guarantee fund, established
lines or letters of credit with banks, and/or the clearinghouse's
surplus capital and other available assets of the exchange and
clearinghouse, or assessing its members. In cases where the
Partnership trades off-exchange forward contracts with a
counterparty, the sole recourse of the Partnership will be the
forward contract 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 that 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 and forwards. The market-sensitive
instruments held by the Partnership are acquired for speculative
trading
purposes only and, as a result, all or substantially all of the
Partnership's assets are at risk of trading loss. Unlike an
operating company, the risk of market-sensitive instruments is
central, not incidental, to the Partnership's main business
activities.
The futures and forwards traded by the Partnership involve
varying degrees of related market risk. Market risk is often
dependent upon changes in the level or volatility of interest
rates, exchange rates, and prices of financial instruments and
commodities. Fluctuations in market risk based upon these
factors result in frequent changes in the fair value of the
Partnership's open positions, and, consequently, in its earnings
and cash flow.
The Partnership's total market risk is influenced by a wide
variety of factors, including the diversification among the
Partnership's open positions, the volatility present within the
markets, and the liquidity of the markets. At different times,
each of these factors may act to increase or decrease the market
risk associated with the Partnership.
The Partnership's past performance is not necessarily indicative
of its future results. Any attempt to numerically quantify the
Partnership's market risk is limited by the uncertainty of its
speculative trading. The Partnership's speculative trading may
cause future losses and volatility (i.e. "risk of ruin") that far
exceed the Partnership's experiences to date or any reasonable
expectations based upon historical changes in market value.
Quantifying the Partnership's Trading Value at Risk
The following quantitative disclosures regarding the
Partnership's market risk exposures contain "forward-looking
statements" within the meaning of the safe harbor from civil
liability provided for such statements by the Private Securities
Litigation Reform Act of 1995 (set forth in Section 27A of the
Securities Act of 1933 and Section 21E of the Securities Exchange
Act of 1934). All quantitative disclosures in this section are
deemed to be forward-looking statements for purposes of the safe
harbor, except for statements of historical fact.
The Partnership accounts for open positions using mark-to-market
accounting principles. Any loss in the market value of the
Partnership's open positions is directly reflected in the
Partnership's earnings, whether realized or unrealized, and its
cash flow. Profits and losses on open positions of exchange-
traded futures and forwards are settled daily through variation
margin.
The Partnership's risk exposure in the market sectors traded by
the Trading Advisor is estimated below in terms of Value at Risk
("VaR"). The VaR model used by the Partnership includes many
variables that could change the market value of the Partnership's
trading portfolio. The Partnership estimates VaR using a model
based upon historical simulation with a confidence level of 99%.
Historical simulation involves constructing a distribution of
hypothetical daily changes in the value of a trading portfolio.
The VaR model takes into account linear exposures to price and
interest rate risk. Market risks that are incorporated in the
VaR model include equity and commodity prices, interest rates,
foreign exchange rates, and correlation among these variables.
The hypothetical changes in portfolio value are based on daily
percentage changes observed in key market indices or other market
factors ("market risk factors") to which the portfolio is
sensitive. The historical observation period of the Partnership's
VaR is approximately four years. The one-day 99% confidence
level of the Partnership's VaR corresponds to the negative change
in portfolio value that, based on observed market risk factors,
would have been exceeded once in 100 trading days.
VaR models, including the Partnership's, are continuously
evolving as trading portfolios become more diverse and modeling
techniques and systems capabilities improve. Please note that
the VaR model is used to numerically quantify market risk for
historic reporting purposes only and is not utilized by either
Demeter or the Trading Advisor in their daily risk management
activities.
The Partnership's Value at Risk in Different Market Sectors
The following table indicates the VaR associated with the
Partnership's open positions as a percentage of total net assets
by primary market risk category as of December 31, 2000 and 1999.
As of December 31, 2000 and 1999, the Partnership's total
capitalization was approximately $20 million and $24 million,
respectively.
Primary Market December 31, 2000 December 31, 1999
Risk Category Value at Risk Value at Risk
Commodity (1.64)% (1.41)%
The table above represents the VaR of the Partnership's open
positions at December 31, 2000 and 1999 only and is not
necessarily representative of either the historic or future risk
of an investment in the Partnership. Because the Partnership's
only business is the speculative trading of futures and forwards,
the composition of its trading portfolio can change significantly
over any given time period, or even within a single trading day.
Any changes in open positions could positively or negatively
materially impact market risk as measured by VaR.
The table below supplements the December 31, 2000 VaR by
presenting the Partnership's high, low and average VaR, as a
percentage of total net assets for the four quarterly reporting
periods from January 1, 2000 through December 31, 2000.
Primary Market Risk Category High Low Average
Commodity (2.10)% (1.64)% (1.79)%
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 1 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 93% of its
total net asset value. A decline in short-term interest rates
will result in a decline in the Partnership's cash management
income. This cash flow risk is not considered to be material.
Materiality, as used throughout this section, is based on an
assessment of reasonably possible market movements and any
associated potential losses taking into account the leverage,
optionality and multiplier features of the Partnership's market-
sensitive instruments.
Qualitative Disclosures Regarding Primary Trading Risk Exposures
The following qualitative disclosures regarding the Partnership's
market risk exposures - except for (A) those disclosures that are
statements of historical fact and (B) the descriptions of how the
Partnership manages its primary market risk exposures -
constitute forward-looking statements within the meaning of
Section 27A of the Securities Act and Section 21E of the
Securities Exchange Act. The Partnership's primary market risk
exposures as well as the strategies used and to be used by
Demeter and the Trading Advisor for managing such exposures are
subject to numerous uncertainties, contingencies and risks, any
one of which could cause the actual results of the Partnership's
risk controls to differ materially from the objectives of such
strategies. Government interventions, defaults and expro-
priations, illiquid markets, the emergence of dominant
fundamental factors, political upheavals, changes in historical
price relationships, an influx of new market participants,
increased regulation and many other factors could result in
material losses as well as in material changes to the risk
exposures and the risk management strategies of the Partnership.
Investors must be prepared to lose all or substantially all of
their investment in the Partnership.
The following were the primary trading risk exposures of the
Partnership at December 31, 2000, by market sector. It may be
anticipated however, that these market exposures will vary
materially over time.
Commodity.
Energy. On December 31, 2000, the Partnership's energy exposure
was shared primarily by futures contracts in the crude oil and
natural gas markets. Price movements in these markets result
from political developments in the Middle East, weather patterns,
and other economic fundamentals. It is possible that volatility
will remain high. Significant profits and losses, which have
been experienced in the past, are expected to continue to be
experienced in this market. Natural gas has exhibited volatility
in prices resulting from weather patterns and supply and demand
factors and may continue in this choppy pattern.
Soft Commodities and Agriculturals. On December 31, 2000, the
Partnership had exposure in the corn, coffee, cocoa, and
livestock markets. Supply and demand inequalities, severe
weather disruption and market expectations affect price movements
in these markets.
Metals. The Partnership's primary metals market exposure at
December 31, 2000 was to fluctuations in the price of gold and
silver. The Partnership will, from time to time, trade base
metals such as copper, aluminum, zinc and nickel, but the
principal market exposures of the Partnership have consistently
been in precious metals, gold and silver and, to a much lesser
extent, platinum. Gold and silver prices have remained volatile
and the Trading Advisor has, from time to time, taken positions
as market opportunities developed.
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 Advisor separately attempt to
manage the risk of the Partnership's open positions in
essentially the same manner in all market categories traded.
Demeter attempts to manage market exposure by diversifying the
Partnership's assets among different market sectors and trading
approaches, and monitoring the performance of the Trading Advisor
daily. In addition, the Trading Advisor establishes
diversification guidelines, often set in terms of the maximum
margin to be committed to positions in any one market sector or
market-sensitive instrument.
Demeter monitors and controls the risk of the Partnership's non-
trading instrument, cash. Cash is the only Partnership
investment directed by Demeter, rather than the Trading Advisor.
Item 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
The financial statements are incorporated by reference to the
Partnership's Annual Report, which is filed as Exhibit 13.01
hereto.
Supplementary data specified by Item 302 of Regulation S-K:
Summary of Quarterly Results (Unaudited)
Net
Income/
(Loss) Per
Quarter Net Unit of Limited
Ended Revenue Income/(Loss)
Partnership Interest
2000
March 31 $ 553,360 $ 134,339 $ 0.04
June 30 419,501 31,701 0.02
September 30 457,330 77,861 0.03
December 31 746,272 378,461 0.15
Total $ 2,176,463 $ 622,362 $ 0.24
1999
March 31 $ 1,039,461 $ 618,112 $ 0.19
June 30 544,092 129,771 0.04
September 30 2,962,971 $2,553,417 0.78
December 31 499,200 74,489 0.03
Total $ 5,045,724 $3,375,789 $ 1.04
Item 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON
ACCOUNTING AND FINANCIAL DISCLOSURE
None.
PART III
Item 10. DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT
There are no directors or executive officers of the Partnership.
The Partnership is managed by Demeter.
Directors and Officers of the General Partner
The directors and officers of Demeter are as follows:
Robert E. Murray, age 40, is Chairman of the Board, President and
a Director of Demeter. Mr. Murray is also Chairman of the Board,
President and a Director of 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
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 Admin-
istration 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 43,395.648 Units of General Partnership Interest in
the Partnership representing a 1.69 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.
For the year ended December 31, 2000 the commodity brokers
received brokerage fees (paid and accrued by the Partnership) of
$949,310, the Trading Advisor received a management fee of
$546,187 and Demeter received a service fee of $58,604.
PART IV
Item 14. EXHIBITS, FINANCIAL STATEMENT SCHEDULES, AND REPORT ON
FORM 8-K
(a) 1. Listing of Financial Statements
The following financial statements and reports 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 and 1999 and the period from
January 2, 1998 (commencement of operations) to December 31 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 and 1999 and the
period from January 2, 1998 (commencement of operations) to
December 31, 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 to E-3.
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.
MORGAN STANLEY DEAN
WITTER SPECTRUM COMMODITY FUND L.P.
(formerly "Morgan
Stanley Tangible Asset Fund L.P.")
(Registrant)
BY: Demeter
Management Corporation,
General
Partner
March 27, 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 27,
2001
Robert E. Murray, Director,
Chairman of the Board and
President
/s/ Mitchell M. Merin March 27,
2001
Mitchell M. Merin, Director
/s/ Joseph G. Siniscalchi March 27,
2001
Joseph G. Siniscalchi, Director
/s/ Edward C. Oelsner III March 27,
2001
Edward C. Oelsner III, Director
/s/ Richard A. Beech March 27,
2001
Richard A. Beech, Director
/s/ Raymond A. Harris March 27,
2001
Raymond A. Harris, Director
/s/ Anthony J. DeLuca March 27,
2001
Anthony J. DeLuca, Director
/s/ Raymond E. Koch March
27, 2001
Raymond E. Koch, Chief
Financial Officer and Principal
Accounting Officer
EXHIBIT INDEX
ITEM
3.01 Form of Amended and Restated Limited Partnership
Agreement of the Partnership is incorporated by
reference to Exhibit A of the Partnership's
Prospectus, dated March 6, 2000, filed with the
Securities and Exchange Commission pursuant to Rule
424(b)(3) under the Securities Act of 1933, as
amended, on March 9, 2000.
3.02 Certificate of Limited Partnership, dated July 31,
1997, is incorporated by reference to Exhibit 3.02 of
the Partnership's Registration Statement on Form S-1
(File No. 333-33975) filed with the Securities and
Exchange Commission on August 20, 1997.
3.03 Form of Amendment of Certificate of Limited
Partnership of the Partnership (changing its name
from Morgan Stanley Tangible Asset Fund L.P.) is
incorporated by reference to Registration Statement
No. 333-90483.
10.01 Management Agreement, dated as of December 31, 1997,
among the Partnership, Demeter Management Corpor-
ation, and Morgan Stanley Commodities Management Inc.
is incorporated by reference to Exhibit 10.01 of the
Partnership's Form 10-K (File No. 0-24035) for fiscal
year ended December 31, 1998.
10.02 Commodity Futures Customer Agreement, dated as of
December 31, 1997, between Morgan Stanley & Co.
Incorporated and the Partnership is incorporated by
reference to Exhibit 10.02 of the Partnership's Form
10-K (File No. 0-24035) for fiscal year ended
December 31, 1998.
10.03 Customer Agreement, dated as of December 31, 1997,
among the Partnership, Morgan Stanley & Co.
International Limited and Morgan Stanley & Co.
Incorporated is incorporated by reference to Exhibit
10.03 of the Partnership's Form 10-K (File No. 0-
24035) for fiscal year ended December 31, 1998.
10.04 Subscription and Exchange Agreement and Power of
Attorney to be executed by each purchaser of Units is
incorporated by reference to Annex A of the
Partnership's Supplement to the Prospectus, dated
March 6, 2000, filed with the Securities and Exchange
Commission pursuant to Rule 424(b)(3) under the
Securities Act of 1933, as amended, on March 9, 2000.
10.05 Form of Subscription and Exchange Agreement and Power
of Attorney to be executed by each purchaser of Units
is incorporated by reference to Exhibit B of the
Prospectus dated March 6, 2000, as filed with the
Securities and Exchange Commission pursuant to Rule
424 (b)(3) on March 9, 2000.
10.06 Form of Amended and Restated Escrow Agreement among
the Partnership, Morgan Stanley Dean Witter Spectrum
Select L.P., Morgan Stanley Dean Witter Spectrum
Technical L.P., Morgan Stanley Dean Witter Spectrum
Strategic L.P., Morgan Stanley Dean Witter Spectrum
Global Balanced L.P., Morgan Stanley Dean Witter
Currency L.P., Demeter Management Corporation, Dean
Witter Reynolds Inc., and Chemical Bank, the escrow
agent is incorporated by reference to the
Partnership's Registration Statement on Form S-1
(File No. 333-90483) filed with the Securities and
Exchange Commission on November 5, 1999.
10.07 Form of Subscription Agreement Update Form to be
executed by purchasers of Units is incorporated by
reference to Exhibit C of the Prospectus dated March
6, 2000, as filed with the Securities and Exchange
Commission pursuant to Rule 424 (b)(3) on March 9,
2000.
10.08 Amended and Restated Customer Agreement between the
Partnership and Dean Witter Reynolds Inc., dated as
of March 31, 2000, between the Partnership and Dean
Witter Reynolds Inc. is incorporated by reference to
Exhibit 10.08 of the Partnership's Registration
Statement on Form S-1 (File No. 333-90483) filed with
the SEC on March 14, 2001.
10.09 Form of Amended and Restated Management Agreement
among the Partnership, Demeter Management
Corporation, and Morgan Stanley Commodities
Management, Inc. is incorporated by reference to
Exhibit 10.09 of the Partnership's Registration
Statement on Form S-1 (File No. 333-90483) filed with
the SEC on March 14, 2001.
10.10 Form of Amendment to the Amended and Restated
Management Agreement among the Partnership, Demeter
Management Corporation, and Morgan Stanley
Commodities Management, Inc. is incorporated by
reference to Exhibit 10.10 of the Partnership's
Registration Statement on Form S-1 (File No. 333-
90483) filed with the SEC on March 14, 2001.
13.01 December 31, 2000 Annual Report to Limited Partners
is filed herewith.
Morgan Stanley Dean Witter
Spectrum Series
[GRAPHIC]
December 31, 2000
Annual Report
MORGAN STANLEY DEAN WITTER
Morgan Stanley Dean Witter Spectrum Series
Historical Fund Performance
Presented below is the percentage change in Net Asset Value per Unit from the
start of every calendar year each Fund has traded. Also provided is the incep-
tion-to-date return and the annualized return since inception for each Fund.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Funds
- -----
Spectrum
Commodity
Year Return
---- ------
1998 -34.3%
1999 15.8%
2000 3.2%
Inception-to-Date Return: -21.5%
Annualized Return: -7.8%
- -------------------------------------------------------------------------------
Spectrum
Currency
Year Return
---- ------
2000 (6 months) 11.7%
Inception-to-Date Return: 11.7%
- -------------------------------------------------------------------------------
Spectrum Global Balanced
Year Return Year Return
---- ------ ---- ------
1994 (2 months) -1.7% 1998 16.4%
1995 22.8% 1999 0.7%
1996 -3.6% 2000 0.9%
1997 18.2%
Inception-to-Date Return: 62.6%
Annualized Return: 8.2%
- -------------------------------------------------------------------------------
Spectrum Select
Year Return Year Return
---- ------ ---- ------
1991 (5 months) 31.2% 1996 5.3%
1992 -14.4% 1997 6.2%
1993 41.6% 1998 14.2%
1994 -5.1% 1999 -7.6%
1995 23.6% 2000 7.1%
Inception-to-Date Return: 135.7%
Annualized Return: 9.5%
- -------------------------------------------------------------------------------
Spectrum Strategic
Year Return Year Return
---- ------ ---- ------
1994 (2 months) 0.1% 1998 7.8%
1995 10.5% 1999 37.2%
1996 -3.5% 2000 -33.1%
1997 0.4%
Inception-to-Date Return: 6.1%
Annualized Return: 1.0%
- -------------------------------------------------------------------------------
Spectrum Technical
Year Return Year Return
---- ------ ---- ------
1994 (2 months) -2.2% 1998 10.2%
1995 17.6% 1999 -7.5%
1996 18.3% 2000 7.8%
1997 7.5%
Inception-to-Date Return: 60.8%
Annualized Return: 8.0%
Demeter Management Corporation
Two World Trade Center
62nd Floor
New York, NY 10048
Telephone (212) 392-8899
Morgan Stanley Dean Witter Spectrum Series
Annual Report
2000
Dear Limited Partner:
This marks the seventh annual report for Morgan Stanley Dean Witter Spectrum
Global Balanced, Spectrum Strategic and Spectrum Technical, the tenth annual
report for Morgan Stanley Dean Witter Spectrum Select and the third annual
report for Morgan Stanley Dean Witter Spectrum Commodity. It also marks the
first annual report for Spectrum Currency, which began trading on July 3, 2000
with a Net Asset Value per Unit of $10.00. The Net Asset Value per Unit for
each of the six Morgan Stanley Dean Witter Spectrum Funds as of December 31,
2000 was as follows:
Funds N.A.V. % change for year
----- ------ -----------------
Spectrum Commodity $ 7.85 3.2%
Spectrum Currency $11.17 11.7%
Spectrum Global Balanced $16.26 0.9%
Spectrum Select $23.57 7.1%
Spectrum Strategic $10.61 -33.1%
Spectrum Technical $16.08 7.8%
Spectrum Commodity
The Fund recorded profits primarily in the energy markets from long positions
in natural gas futures as prices increased amid ongoing supply concerns and
increased demand. Additional gains were recorded from long futures positions
in crude oil and its refined products as oil prices increased on concerns
about future output levels from the world's leading producer countries amid
dwindling stockpiles and increasing demand. Losses were recorded in the Fund
primarily in the metals markets from long silver futures positions as silver
prices declined throughout a majority of the year on technically-based fac-
tors.
Spectrum Currency
The Fund produced gains primarily from short positions in the euro and Japa-
nese yen as their respective values
weakened relative to the U.S. dollar amid continued skepticism regarding the
European economy and on further signs of weakness in the Japanese economy. Ad-
ditional gains were recorded from short South African rand positions as its
value weakened later in the year versus the U.S. dollar while moving in sympa-
thy with other emerging market currencies. These gains were partially offset
by losses experienced late in the year from long British pound positions as
its value weakened versus the U.S. dollar on disappointing economic data out
of the U.K. Losses were also recorded from short positions in the British
pound during December as its value strengthened versus the U.S. dollar on
fresh evidence that the U.S. economy is cooling down.
Spectrum Global Balanced
The Fund recorded gains primarily in the global interest rate futures markets
from long positions in U.S. interest rate futures as prices climbed higher
amid a drop in stock prices and on fears of an economic slowdown. Profits were
also recorded in the energy markets from long positions in natural gas and
crude oil futures as prices increased amid ongoing supply concerns and in-
creased demand. A portion of the Fund's overall gains for the year was offset
by losses experienced in the global stock index futures component from long
positions in Nikkei Index futures as Japanese equity prices declined due pri-
marily to the weakness in most global technology issues and economic uncer-
tainty in Japan.
Spectrum Select
The Fund recorded gains primarily in the global interest rate futures markets
from long positions in U.S. interest rate futures as prices climbed higher
amid a drop in stock prices and on fears of an economic slowdown. Profits were
also recorded in the energy markets from long positions in natural gas and
crude oil futures as prices increased amid ongoing supply concerns and in-
creased demand. Additional gains were generated in the currency markets from
short positions in the euro and Swiss franc as the value of these European
currencies weakened relative to the U.S. dollar during a majority of the year
amid skepticism about Europe's economic outlook. These gains were partially
offset by losses recorded primarily in the global stock index futures markets
from trading in U.S. stock indices as domestic equity prices moved erratically
due to jitters in the tech-
nology sector, a worrisome spike in oil prices and ongoing concerns regarding
the U.S. economy.
Spectrum Strategic
Spectrum Strategic experienced losses in every sector except energies, with
the majority of them occurring in stock indices, metals, soft commodities and
currencies. The primary reason behind the losses, as well as the gains, lies
in the unique trading philosophy of Spectrum Strategic. Specifically, the man-
agers in the Fund analyze markets from a fundamental or discretionary perspec-
tive. As such, the Fund will do well when the views the managers have taken
and the subsequent positions they have established are consistent with future
market movements. While this has occurred in the past (e.g., the Fund was up
37.2% in 1999), this year, however, the markets moved in a pattern that was
generally not consistent with the views held by the Fund's money managers and,
as a result, produced disappointing performance.
A significant percentage of Spectrum Strategic's losses this year occurred
during the first four months largely due to views that anticipated falling eq-
uity prices and rising coffee and base metals prices. In light of these views,
short positions were established in U.S. stock index futures and long posi-
tions in base metals and coffee futures. However, prices in these markets
moved in an opposite direction to the positions held (U.S. stock prices moved
higher, while base metal and coffee prices moved lower), and losses were in-
curred. Additionally, losses were experienced during the latter half of 2000
in lumber futures as a bullish forecast resulted in long positions being es-
tablished. However, as the economic outlook became more pessimistic and
weather became a factor, that market fell in value, thereby producing losses.
In currency trading, losses were experienced early in the second quarter from
long positions in the Japanese yen, as the value of the yen weakened versus
the U.S. dollar during April following the Bank of Japan's surprise yen-sell-
ing intervention on April 3, and from short positions in the yen during June
as the yen strengthened versus the dollar due to the perception that U.S. in-
terest rates had topped out. Transactions involving the euro were also unprof-
itable for the Fund during the year from long positions during January, July
and August as the value of the European common currency weakened versus the
U.S. dollar amid concerns regarding a
cooling European economy. Further losses were incurred in September from newly
established short positions in the European common currency as its value re-
versed sharply and suddenly higher versus the dollar due to a coordinated in-
tervention to support the euro on September 22.
In contrast to the views held about the markets that experienced difficulty
during 2000, the views held about energies resulted in gains being generated
in that sector. Specifically, prior to June 2000 the Fund was positioned for a
bullish price move in the energy markets, particularly in crude oil, and as a
result profited from long positions in these products as oil prices reached
10-year highs. In addition, long positions in natural gas futures also proved
profitable for the Fund during the year, specifically in the first, second and
fourth quarters, as natural gas prices climbed sharply higher, peaking in De-
cember at an all-time high due to supply and demand concerns.
Spectrum Technical
The Fund recorded profits primarily in the energy markets from long positions
in natural gas futures as prices increased amid ongoing supply concerns and
increased demand. Additional gains were recorded from long futures positions
in crude oil and its refined products as oil prices increased on concerns
about future output levels from the world's leading producer countries amid
dwindling stockpiles and increasing demand. Losses incurred in the metals mar-
kets from gold futures positions, as gold prices increased early in the year
and then reversed lower during the second half of the year, offset a portion
of the overall Fund gains.
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, N.Y. 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
Morgan Stanley Dean Witter Spectrum Series
Independent Auditors' Report
To the Limited Partners and the General Partner of
Morgan Stanley Dean Witter Spectrum Commodity L.P.
(formerly, Morgan Stanley Tangible Asset Fund L.P.)
Morgan Stanley Dean Witter Spectrum Currency L.P.
Morgan Stanley Dean Witter Spectrum Global Balanced L.P.
Morgan Stanley Dean Witter Spectrum Select L.P.
Morgan Stanley Dean Witter Spectrum Strategic L.P.
Morgan Stanley Dean Witter Spectrum Technical L.P.:
We have audited the accompanying statements of financial condition of Morgan
Stanley Dean Witter Spectrum Currency L.P. ("Spectrum Currency") as of Decem-
ber 31, 2000 and of Morgan Stanley Dean Witter Spectrum Commodity L.P. (for-
merly Morgan Stanley Tangible Asset Fund L.P.) ("Spectrum Commodity"), Morgan
Stanley Dean Witter Spectrum Global Balanced L.P., Morgan Stanley Dean Witter
Spectrum Select L.P., Morgan Stanley Dean Witter Spectrum Strategic L.P., and
Morgan Stanley Dean Witter Spectrum Technical L.P. (collectively, the "Part-
nerships") as of December 31, 2000 and 1999, and the related statements of op-
erations, changes in partners' capital, and cash flows for the period from
July 3, 2000 (commencement of operations) to December 31, 2000 for Spectrum
Currency, for the period from January 2, 1998 (commencement of operations) to
December 31, 1998 and the two years ended December 31, 2000 for Spectrum Com-
modity, and for each of the three years in the period ended December 31, 2000
for the other above mentioned Partnerships. These financial statements are the
responsibility of the Partnerships' management. Our responsibility is to ex-
press an opinion on these financial 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 Morgan Stanley Dean Witter Spectrum Currency
L.P. as of December 31, 2000 and of Morgan Stanley Dean Witter Spectrum Com-
modity L.P., Morgan Stanley Dean Witter Spectrum Global Balanced L.P., Morgan
Stanley Dean Witter Spectrum Select L.P., Morgan Stanley Dean Witter Spectrum
Strategic L.P., and Morgan Stanley Dean Witter Spectrum Technical L.P. as of
December 31, 2000 and 1999, and the results of their operations and their cash
flows for the period from July 3, 2000 (commencement of operations) to Decem-
ber 31, 2000 for Spectrum Currency, for the period from January 2, 1998 (com-
mencement of operations) to December 31, 1998 and the two years ended December
31, 2000 for Spectrum Commodity, and for each of the three years in the period
ended December 31, 2000 for the other above mentioned Partnerships, 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
Morgan Stanley Dean Witter Spectrum Commodity L.P. (formerly, Morgan Stanley
Tangible Asset Fund L.P.)
Statements of Financial Condition
December 31,
----------------------
2000 1999
---------- ----------
$ $
ASSETS
Equity in futures interests trading accounts:
Cash 20,529,979 23,430,137
Net unrealized gain (loss) on open contracts (MS&Co.) 160,096 (100,830)
Net unrealized gain (loss) on open contracts (MSIL) (185,379) 643,258
---------- ----------
Total net unrealized gain (loss) on open contracts (25,283) 542,428
---------- ----------
Total Trading Equity 20,504,696 23,972,565
Subscriptions receivable 215,897 --
Interest receivable (DWR and MS&Co.) 89,128 76,192
---------- ----------
Total Assets 20,809,721 24,048,757
========== ==========
LIABILITIES AND PARTNERS' CAPITAL
LIABILITIES
Redemptions payable 489,923 269,545
Accrued brokerage fees (DWR and MS&Co.) 77,628 70,827
Accrued management fees (MSCM) 42,189 48,511
Service fee payable (Demeter) -- 19,404
---------- ----------
Total Liabilities 609,740 408,287
---------- ----------
PARTNERS' CAPITAL
Limited Partners (2,530,392.671 and 3,062,471.522
Units, respectively) 19,859,397 23,310,162
General Partner (43,395.648 Units) 340,584 330,308
---------- ----------
Total Partners' Capital 20,199,981 23,640,470
---------- ----------
Total Liabilities and Partners' Capital 20,809,721 24,048,757
========== ==========
NET ASSET VALUE PER UNIT 7.85 7.61
========== ==========
Statements of Operations
For the Period from
For the Years January 2, 1998
Ended (commencement of
December 31, operations) to
-------------------- December 31,
2000 1999 1998
--------- --------- -------------------
$ $ $
REVENUES
Trading profit (loss):
Realized 1,696,824 3,003,270 (11,870,063)
Net change in unrealized (567,711) 1,178,071 (635,643)
--------- --------- -----------
Total Trading Results 1,129,113 4,181,341 (12,505,706)
Interest income (DWR and MS&Co.) 1,047,350 864,383 1,265,793
--------- --------- -----------
Total Revenues 2,176,463 5,045,724 (11,239,913)
--------- --------- -----------
EXPENSES
Brokerage fees (DWR and MS&Co.) 949,310 852,484 1,176,024
Management fees (MSCM) 546,187 583,893 805,496
Service fees (Demeter) 58,604 233,558 322,198
--------- --------- -----------
Total Expenses 1,554,101 1,669,935 2,303,718
--------- --------- -----------
NET INCOME (LOSS) 622,362 3,375,789 (13,543,631)
========= ========= ===========
Net Income (Loss)
Allocation:
Limited Partners 612,086 3,330,798 (13,398,948)
General Partner 10,276 44,991 (144,683)
Net Income (Loss) per Unit:
Limited Partners .24 1.04 (3.43)
General Partner .24 1.04 (3.43)
The accompanying notes are an integral part of these financial statements.
Morgan Stanley Dean Witter Spectrum Currency L.P.
Statement of Financial Condition
December 31,
2000
------------
$
ASSETS
Equity in futures interests trading accounts:
Cash 14,391,541
Net unrealized gain on open contracts (MS&Co.) 555,569
----------
Total Trading Equity 14,947,110
Subscriptions receivable 3,054,150
Interest receivable (DWR) 55,464
----------
Total Assets 18,056,724
==========
LIABILITIES AND PARTNERS' CAPITAL
LIABILITIES
Redemptions payable 2,237,351
Accrued brokerage fee (DWR) 55,245
Accrued incentive fee 32,876
Accrued management fee 24,020
----------
Total Liabilities 2,349,492
----------
PARTNERS' CAPITAL
Limited Partners (1,252,545.441 Units) 13,988,414
General Partner (153,905.792 Units) 1,718,818
----------
Total Partners' Capital 15,707,232
----------
Total Liabilities and Partners' Capital 18,056,724
==========
NET ASSET VALUE PER UNIT 11.17
==========
Statement of Operations
For the Period from
July 3, 2000
(commencement of
operations) to
December 31,
2000
-------------------
$
REVENUES
Trading profit:
Realized 1,126,201
Net change in unrealized 555,569
---------
Total Trading Results 1,681,770
Interest income (DWR) 236,461
---------
Total Revenues 1,918,231
---------
EXPENSES
Brokerage fees (DWR) 249,571
Incentive fees 188,423
Management fees 171,693
---------
Total Expenses 609,687
---------
NET INCOME 1,308,544
=========
Net Income Allocation:
Limited Partners 1,134,371
General Partner 174,173
Net Income per Unit:
Limited Partners 1.17
General Partner 1.17
The accompanying notes are an integral part of these financial statements.
Morgan Stanley Dean Witter Spectrum Global
Balanced L.P.
Statements of Financial Condition
December 31,
----------------------
2000 1999
---------- ----------
$ $
ASSETS
Equity in futures interests trading accounts:
Cash 52,414,304 56,904,921
Net unrealized gain on open contracts (MS&Co.) 3,384,377 --
Net unrealized loss on open contracts (MSIL) (66,733) --
Net unrealized gain on open contracts (Carr) -- 810,114
---------- ----------
Total net unrealized gain on open contracts 3,317,644 810,114
Net option premiums 192,500 --
---------- ----------
Total Trading Equity 55,924,448 57,715,035
Subscriptions receivable 530,634 847,954
Interest receivable (DWR) 285,054 244,599
---------- ----------
Total Assets 56,740,136 58,807,588
========== ==========
LIABILITIES AND PARTNERS' CAPITAL
LIABILITIES
Redemptions payable 602,490 667,741
Accrued brokerage fees (DWR) 202,789 216,895
Accrued management fees 55,107 58,940
---------- ----------
Total Liabilities 860,386 943,576
---------- ----------
PARTNERS' CAPITAL
Limited Partners (3,396,880.702 and
3,549,239.387 Units, respectively) 55,220,008 57,209,838
General Partner (40,584.304 Units) 659,742 654,174
---------- ----------
Total Partners' Capital 55,879,750 57,864,012
---------- ----------
Total Liabilities and
Partners' Capital 56,740,136 58,807,588
========== ==========
NET ASSET VALUE PER UNIT 16.26 16.12
========== ==========
Statements of Operations
For the Years Ended
December 31,
---------------------------------
2000 1999 1998
---------- ---------- ---------
$ $ $
REVENUES
Trading profit (loss):
Realized (2,091,009) 2,425,585 5,113,920
Net change in unrealized 2,507,530 (1,157,073) 1,285,628
---------- ---------- ---------
Total Trading Results 416,521 1,268,512 6,399,548
Interest income (DWR) 3,275,958 2,385,751 1,642,542
---------- ---------- ---------
Total Revenues 3,692,479 3,654,263 8,042,090
---------- ---------- ---------
EXPENSES
Brokerage fees (DWR) 2,558,008 2,387,515 1,591,467
Management fees 695,117 648,787 422,960
Incentive fees -- 215,651 449,775
---------- ---------- ---------
Total Expenses 3,253,125 3,251,953 2,464,202
---------- ---------- ---------
NET INCOME 439,354 402,310 5,577,888
========== ========== =========
Net Income Allocation:
Limited Partners 433,786 397,258 5,518,127
General Partner 5,568 5,052 59,761
Net Income per Unit:
Limited Partners .14 .12 2.25
General Partner .14 .12 2.25
The accompanying notes are an integral part of these financial statements.
Morgan Stanley Dean Witter Spectrum Select L.P.
Statements of Financial Condition
December 31,
------------------------
2000 1999
----------- -----------
$ $
ASSETS
Equity in futures interests trading accounts:
Cash 196,555,362 207,251,012
Net unrealized gain on open contracts (MS&Co.) 26,063,382 --
Net unrealized loss on open contracts (MSIL) (511,085) --
Net unrealized gain on open contracts (Carr) -- 6,887,064
----------- -----------
Total net unrealized gain on open contracts 25,552,297 6,887,064
Net option premiums -- 776,380
----------- -----------
Total Trading Equity 222,107,659 214,914,456
Subscriptions receivable 1,583,941 3,730,051
Interest receivable (DWR) 889,954 722,305
----------- -----------
Total Assets 224,581,554 219,366,812
=========== ===========
LIABILITIES AND PARTNERS' CAPITAL
LIABILITIES
Redemptions payable 2,110,529 3,764,242
Accrued brokerage fees (DWR) 1,231,479 1,270,975
Accrued management fees 509,577 525,921
----------- -----------
Total Liabilities 3,851,585 5,561,138
----------- -----------
PARTNERS' CAPITAL
Limited Partners (9,255,010.627 and 9,583,810.732
Units, respectively) 218,182,118 210,877,519
General Partner (108,076.600 and 133,076.700 Units,
respectively) 2,547,851 2,928,155
----------- -----------
Total Partners' Capital 220,729,969 213,805,674
----------- -----------
Total Liabilities and Partners' Capital 224,581,554 219,366,812
=========== ===========
NET ASSET VALUE PER UNIT 23.57 22.00
=========== ===========
Statements of Operations
For the Years Ended December 31,
----------------------------------
2000 1999 1998
---------- ----------- ----------
$ $ $
REVENUES
Trading profit (loss):
Realized 6,845,291 (1,351,849) 36,087,729
Net change in unrealized 18,665,233 (1,547,990) (1,192,107)
---------- ----------- ----------
Total Trading Results 25,510,524 (2,899,839) 34,895,622
Interest income (DWR) 9,573,095 7,678,789 6,883,110
---------- ----------- ----------
Total Revenues 35,083,619 4,778,950 41,778,732
---------- ----------- ----------
EXPENSES
Brokerage fees (DWR) 14,706,945 15,188,479 11,360,166
Management fees 6,085,629 6,284,885 5,202,158
Incentive fees -- -- 1,832,021
Transaction fees and costs -- -- 625,327
Administrative expenses -- -- 64,000
---------- ----------- ----------
Total Expenses 20,792,574 21,473,364 19,083,672
---------- ----------- ----------
NET INCOME (LOSS) 14,291,045 (16,694,414) 22,695,060
========== =========== ==========
Net Income (Loss) Allocation:
Limited Partners 14,165,099 (16,455,697) 22,302,202
General Partner 125,946 (238,717) 392,858
Net Income (Loss) per Unit (Note 1):
Limited Partners 1.57 (1.80) 2.95
General Partner 1.57 (1.80) 2.95
The accompanying notes are an integral part of these financial statements.
Morgan Stanley Dean Witter Spectrum Strategic L.P.
Statements of Financial Condition
December 31,
-----------------------
2000 1999
---------- -----------
$ $
ASSETS
Equity in futures interests trading accounts:
Cash 73,445,827 97,808,328
Net unrealized gain on open contracts (MS&Co.) 1,936,658 --
Net unrealized gain on open contracts (MSIL) 58,457 --
Net unrealized gain (loss) on open contracts (Carr) (8,983) 9,563,813
---------- -----------
Total net unrealized gain on open contracts 1,986,132 9,563,813
Net option premiums 226,200 (11,653)
---------- -----------
Total Trading Equity 75,658,159 107,360,488
Subscriptions receivable 462,060 1,743,958
Interest receivable (DWR) 306,879 339,582
---------- -----------
Total Assets 76,427,098 109,444,028
========== ===========
LIABILITIES AND PARTNERS' CAPITAL
LIABILITIES
Redemptions payable 1,307,093 847,860
Accrued brokerage fees (DWR) 409,292 590,001
Accrued incentive fee 289,687 --
Accrued management fees 186,577 313,646
---------- -----------
Total Liabilities 2,192,649 1,751,507
---------- -----------
PARTNERS' CAPITAL
Limited Partners (6,919,445.814 and 6,723,390.378
Units, respectively) 73,433,119 106,542,362
General Partner (75,507.615 and 72,581.141 Units,
respectively) 801,330 1,150,159
---------- -----------
Total Partners' Capital 74,234,449 107,692,521
---------- -----------
Total Liabilities and
Partners' Capital 76,427,098 109,444,028
========== ===========
NET ASSET VALUE PER UNIT 10.61 15.85
========== ===========
Statements of Operations
For the Years Ended
December 31,
----------------------------------
2000 1999 1998
----------- ---------- ----------
$ $ $
REVENUES
Trading profit (loss):
Realized (23,193,914) 32,274,037 7,945,575
Net change in unrealized (7,577,681) 4,264,478 2,771,722
----------- ---------- ----------
Total Trading Results (30,771,595) 36,538,515 10,717,297
Interest income (DWR) 3,832,634 3,017,103 2,379,478
----------- ---------- ----------
Total Revenues (26,938,961) 39,555,618 13,096,775
----------- ---------- ----------
EXPENSES
Brokerage fees (DWR) 5,798,093 5,837,887 4,402,540
Management fees 2,880,999 3,137,509 2,342,447
Incentive fees 1,269,237 2,451,152 1,336,693
----------- ---------- ----------
Total Expenses 9,948,329 11,426,548 8,081,680
----------- ---------- ----------
NET INCOME (LOSS) (36,887,290) 28,129,070 5,015,095
=========== ========== ==========
Net Income (Loss) Allocation:
Limited Partners (36,503,461) 27,829,050 4,958,188
General Partner (383,829) 300,020 56,907
Net Income (Loss) per Unit:
Limited Partners (5.24) 4.30 .84
General Partner (5.24) 4.30 .84
The accompanying notes are an integral part of these financial statements.
Morgan Stanley Dean Witter Spectrum Technical L.P.
Statements of Financial Condition
December 31,
------------------------
2000 1999
----------- -----------
$ $
ASSETS
Equity in futures interests trading accounts:
Cash 231,502,090 251,443,755
Net unrealized gain on open contracts (MS&Co.) 41,877,552 --
Net unrealized loss on open contracts (MSIL) (1,835,243) --
Net unrealized gain on open contracts (Carr) -- 18,036,296
----------- -----------
Total net unrealized gain on open contracts 40,042,309 18,036,296
Net option premiums -- (74,725)
----------- -----------
Total Trading Equity 271,544,399 269,405,326
Subscriptions receivable 1,087,585 3,926,914
Interest receivable (DWR) 1,063,044 900,955
----------- -----------
Total Assets 273,695,028 274,233,195
=========== ===========
LIABILITIES AND PARTNERS' CAPITAL
LIABILITIES
Redemptions payable 3,432,384 3,057,593
Accrued brokerage fees (DWR) 1,458,126 1,559,481
Accrued management fees 559,827 860,403
Accrued incentive fee 111,599 --
----------- -----------
Total Liabilities 5,561,936 5,477,477
----------- -----------
PARTNERS' CAPITAL
Limited Partners (16,479,195.979 and 17,836,873.576
Units, respectively) 265,060,579 265,907,998
General Partner (191,022.517 Units) 3,072,513 2,847,720
----------- -----------
Total Partners' Capital 268,133,092 268,755,718
----------- -----------
Total Liabilities and Partners' Capital 273,695,028 274,233,195
=========== ===========
NET ASSET VALUE PER UNIT 16.08 14.91
=========== ===========
Statements of Operations
For the Years Ended
December 31,
----------------------------------
2000 1999 1998
---------- ----------- ----------
$ $ $
REVENUES
Trading profit (loss):
Realized 12,255,064 726,179 35,224,194
Net change in unrealized 22,006,013 (872,972) 6,612,556
---------- ----------- ----------
Total Trading Results 34,261,077 (146,793) 41,836,750
Interest income (DWR) 11,613,896 9,593,178 8,103,423
---------- ----------- ----------
Total Revenues 45,874,973 9,446,385 49,940,173
---------- ----------- ----------
EXPENSES
Brokerage fees (DWR) 17,835,223 19,176,380 15,543,787
Management fees 9,595,464 10,580,071 8,403,764
Incentive fees 166,085 430,097 3,191,252
---------- ----------- ----------
Total Expenses 27,596,772 30,186,548 27,138,803
---------- ----------- ----------
NET INCOME (LOSS) 18,278,201 (20,740,163) 22,801,370
========== =========== ==========
Net Income (Loss) Allocation:
Limited Partners 18,053,408 (20,531,494) 22,571,217
General Partner 224,793 (208,669) 230,153
Net Income (Loss) per Unit:
Limited Partners 1.17 (1.21) 1.49
General Partner 1.17 (1.21) 1.49
The accompanying notes are an integral part of these financial statements.
Morgan Stanley Dean Witter Spectrum Series
Morgan Stanley Dean Witter Spectrum Commodity L.P. (formerly, Morgan Stanley
Tangible Asset Fund L.P.)
Statements of Changes in Partners' Capital
For the Years Ended December 31, 2000 and 1999 and for the Period from
January 2, 1998 (commencement of operations) to December 31, 1998
Units of
Partnership Limited General
Interest Partners Partner Total
------------- ----------- --------- -----------
$ $ $
Partners' Capital,
January 2, 1998 200.000 1,000 1,000 2,000
Initial Offering 2,573,486.803 25,475,868 259,000 25,734,868
Offering of Units 1,665,202.477 15,758,355 170,000 15,928,355
Net loss -- (13,398,948) (144,683) (13,543,631)
Redemptions (450,424.580) (3,213,276) -- (3,213,276)
------------- ----------- --------- -----------
Partners' Capital,
December 31, 1998 3,788,464.700 24,622,999 285,317 24,908,316
Net income -- 3,330,798 44,991 3,375,789
Redemptions (682,597.530) (4,643,635) -- (4,643,635)
------------- ----------- --------- -----------
Partners' Capital,
December 31, 1999 3,105,867.170 23,310,162 330,308 23,640,470
Offering of Units 277,607.062 2,115,964 -- 2,115,964
Net income -- 612,086 10,276 622,362
Redemptions (809,685.913) (6,178,815) -- (6,178,815)
------------- ----------- --------- -----------
Partners' Capital,
December 31, 2000 2,573,788.319 19,859,397 340,584 20,199,981
============= =========== ========= ===========
Morgan Stanley Dean Witter Spectrum Currency L.P.
Statement of Changes in Partners' Capital
For the Period from July 3, 2000 (commencement of operations) to
December 31, 2000
Units of
Partnership Limited General
Interest Partners Partner Total
------------- ----------- --------- -----------
$ $ $
Partners' Capital,
July 3, 2000 (commencement
of operations) 2.000 10 10 20
Initial Offering 633,152.332 4,886,888 1,444,635 6,331,523
Offering of Units 980,783.417 10,281,803 100,000 10,381,803
Net income -- 1,134,371 174,173 1,308,544
Redemptions (207,486.516) (2,314,658) -- (2,314,658)
------------- ----------- --------- -----------
Partners' Capital,
December 31, 2000 1,406,451.233 13,988,414 1,718,818 15,707,232
============= =========== ========= ===========
The accompanying notes are an integral part of these financial statements.
Morgan Stanley Dean Witter Spectrum Series
Statements of Changes in Partners' Capital
For the Years Ended December 31, 2000, 1999 and 1998