SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, DC 20549
--------------
FORM 10-Q
(Mark One)
X QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
- -- SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended March 31, 1995
--------------
OR
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
- -- SECURITIES EXCHANGE ACT OF 1934
For the transition period from to
--------------
--------------
Commission file number 2-77668, 2-79486, 2-80288
-------------------------
Commodity Trend Timing Fund II
------------------------------
(Exact Name of Registrant as Specified Its Charter)
New York 13-3128322
- -------- -----------
(State or Other Jurisdiction of (I.R.S. Employer
Incorporation or Organization) Identification No.)
67 Mason Street, Greenwich, Connecticut 06830
- -----------------------------------------------------
(Address of Principal Executive Offices) (Zip Code)
Registrant's Telephone Number, Including Area Code (203) 629-6248
--------------
--------------------------------------------------------------
Former Name, Former Address and Former Fiscal Year, if Changed
Since Last Report
Indicate by check _ 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 No X
--
COMMODITY TREND TIMING FUND II
FORM 10-Q
INDEX
Page
Number
PART I - Financial Information:
Item 1. Financial Statements:
Statement of Financial Condition
at March 31, 1996, and December 31, 1995........3
Statement of Income and Partners'
Equity for the Three Months Ended
March 31, 1996 and 1995.........................4
Notes to Financial Statements...................5
Item 2. Management's Discussion and Analysis
of Financial Condition and Results of
Operations......................................7
PART II - Other Information.............................................9
-2-
Part I - Financial Information
Item 1. Financial Statements
COMMODITY TREND TIMING FUND II
STATEMENT OF FINANCIAL CONDITION
ASSETS
MARCH DECEMBER
31, 1996 31, 1995
------------- -------------
(Unaudited)
Equity in commodity futures trading
account:
Cash and cash equivalents $464,388 $326,100
Net unrealized appreciation on
open futures positions 177,080 184,740
Securities on deposit 2,676,791 2,676,723
------------- -------------
3,318,259 3,187,563
Interest receivable 486 335
------------- -------------
3,318,745 $3,187,898
------------- -------------
------------- -------------
LIABILITIES AND PARTNERS' EQUITY
Liabilities:
Accrued expenses:
Management fees $11,000 $10,545
Commissions on open futures
positions 15,444 15,600
Other 3,163 8,760
------------- -------------
29,607 34,905
------------- -------------
General Partner's equity 54,287 49,074
Limited Partners' equity 3,234,851 3,103,919
------------- -------------
3,289,138 3,152,993
------------- -------------
$3,318,745 $3,187,898
------------- -------------
------------- -------------
See Notes to Financial Statements
-3-
COMMODITY TREND TIMING FUND II
STATEMENT OF INCOME AND PARTNERS' EQUITY
(UNAUDITED)
THREE MONTHS ENDED MARCH 31,
1996 1995
------------- -------------
Income:
Net gains (losses) on
trading of commodity
futures:
Realized gains
(losses) on closed
positions $415,338 $(236,479)
Change in unrealized
gains/losses on open
positions (7,660) (56,073)
------------- -------------
407,678 (292,552)
Less, brokerage
commissions and
clearing fees (66,074) (49,417)
Net realized and
unrealized gains
(losses) 341,604 (341,969)
Interest income 38,113 53,282
------------- -------------
379,717 (288,687)
------------- -------------
Expenses:
Management fees $33,844 $28,793
Other 5,400 6,355
------------- -------------
39,244 35,148
------------- -------------
Net income (loss) 340,473 (323,835)
Redemptions (204,328) (553,350)
------------- -------------
Net increase (decrease)
in partners' equity 136,145 (877,185)
Partners' equity,
beginning of period 3,152,993 4,721,824
------------- -------------
Partners' equity, end
of period $3,289,138 $3,844,639
------------- -------------
------------- -------------
Net asset value per
Unit $963.04 $866.55
------------- -------------
------------- -------------
See Notes to Financial Statements
-4-
COMMODITY TREND TIMING FUND II
NOTES TO FINANCIAL STATEMENTS
March 31, 1996
(Unaudited)
General
Commodity Trend Timing Fund II (the "Partnership") is a limited
partnership which was organized under the laws of the State of New
York on May 14, 1982. The Partnership engages in the speculative
trading of commodity futures and option contracts, including
futures contracts on U.S. Treasury bills and other financial
instruments, foreign currencies and stock indices (collectively,
"futures").
Chang-Crowell Investment Management Inc. ("CCIM"), the General
Partner of the Partnership, acts as the Partnership's trading
manager pursuant to a written agreement. As trading manager, CCIM
appoints and supervises commodity trading advisors which manage
the Partnership's assets ("Advisors"). CCIM has selected Marathon
Capital Growth Partners L.L.C. ("Marathon"), a registered
commodity trading advisor, to manage half of the Partnership's
assets commencing June 30, 1995. Marathon was formed in March
1995 by two principals of CCIM and Chang-Crowell Management
Corporation ("CCMC"), Messrs. Robert Ecke and Bruce Terry. CCMC,
a registered commodity trading advisor and an affiliate of CCIM,
manages the other half of the Partnership's assets. Smith Barney
Inc. acts as futures broker for the Partnership.
The accompanying financial statements are unaudited but, in the
opinion of management, include all adjustments (consisting only of
normal recurring adjustments) necessary for a fair presentation of
the Partnership's financial position as of March 31, 1996, and the
results of its operations for the three months ended March 31,
1996 and 1995. These financial statements present the results of
interim periods and do not include all disclosures normally
provided in annual financial statements. It is suggested that
they be read in conjunction with the financial statements and
notes thereto which are included in the Partnership's annual
report on Form 10-K filed with the Securities and Exchange
Commission for the year ended December 31, 1995.
Due to the nature of futures trading, the results of operations
for the interim periods presented should not be considered
indicative of the results that may be expected for the entire
year.
-5-
Net Asset Value Per Unit
Changes in net asset value per unit of limited partnership
interest ("Unit") for the three months ended March 31, 1996 and
1995, were as follows:
THREE MONTHS ENDED MARCH 31,
1996 1995
------------- -------------
Net realized and
unrealized gains
(losses) $92.79 $(68.31)
Interest income 10.35 10.90
Expenses (10.66) (7.11)
------------- -------------
Increase (decrease) for
period $92.48 (64.52)
Net Asset Value per
Unit, beginning of
period $870.56 $931.07
------------- -------------
Net Asset Value per
Unit, end of period $963.04 $866.55
------------- -------------
------------- -------------
-6-
ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS
Liquidity and Capital Resources
The Partnership does not engage in the sale of goods or services.
Its only assets are its equity in its futures trading account, net
unrealized appreciation (depreciation) on open futures contracts
and interest receivable. Because of the low margin deposits
normally required in futures trading, relatively small price
movements may result in substantial losses to the Partnership.
While substantial losses could lead to a decrease in liquidity, no
such losses occurred in the first quarter of 1996.
The Partnership's equity consists of the capital contributions of
the partners as increased or decreased by gains or losses on
futures trading, expenses, interest income, redemptions of Units
and distributions of profits, if any.
For the three months ended March 31, 1996, the Partnership's
equity increased 4.3% from $3,152,993 to $3,289,138. This
increase was attributable to a net gain from operations of
$340,473 which was offset by the redemption of 206.4232 Units
resulting in an outflow of $204,328. Future redemptions can
impact the amount of funds available for investments in futures
positions in subsequent periods.
Results of Operations
During the Partnership's first quarter of 1996, the net asset
value per Unit increased 10.6% from $870.56 to $963.04. During
the first quarter of 1995, the net asset value per Unit decreased
6.9%. The Partnership experienced a net trading gain before
commissions and expenses in the first quarter of 1996 of
approximately $407,678. In January, the strengthening U.S.
dollar, European interest rates and global stock indices
contributed solid gains. Commodity markets such as gold and
coffee also contributed gains in January. The reversals in gold,
silver and coffee which took place in February pushed performance
lower. The sell-off in March of U.S. Treasury Bonds and the
resumption of the upward trend in energy markets pushed
performance higher, but were offset by losses in equity indices.
Grain markets, however, finished strong in March.
Futures markets are highly volatile. Broad price fluctuations and
rapid inflation increase the risks involved in futures trading,
but also increase the possibility of profit. The profitability of
the Partnership depends on the existence of major price trends and
the ability of the Advisors to identify correctly such price
trends. Such price trends are influenced by, among other things,
changing supply and demand relationships, weather, governmental,
-7-
agricultural, commercial and trade programs and policies, national
and international political and economic events and changes in
interest rates. To the extent that price trends exist and the
Advisors are able to identify them, the Partnership expects to
increase capital through operations.
Interest income on 98% of the Partnership's daily average equity
was earned on the monthly average 13-week U.S. Treasury bill
yield. Interest income for the three months ended March 31, 1996,
decreased by approximately $15,169, respectively, as compared to
the corresponding period in 1995. Such decrease is primarily due
to the effect of redemptions on equity.
Brokerage commissions are based on the number of trades that the
Advisors execute. Commissions and clearing fees for the three
months ended March 31, 1996, increased by approximately $16,657 as
compared to the corresponding period in 1995. Such increase is
primarily the result of the liquidation of all open futures
positions and the suspension of all trading during March 1995 at
the instructions of the Partnership's former General Partner,
Smith Barney Futures Management Inc., while CCIM solicited the
Limited Partners to elect it the new General Partner.
Management fees are calculated as a percentage of the
Partnership's net asset value as of the end of each month and are
affected by trading performance and redemptions. Management fees
for the three months ended March 31, 1996, increased by
approximately $5,051 as compared to the corresponding period in
1995. Such increase is primarily the result of the liquidation of
all open futures positions and the suspension of all trading
during March 1995.
-8-
PART II - OTHER INFORMATION
ITEM 1. LEGAL PROCEEDINGS
None.
ITEM 2. CHANGES IN SECURITIES
None.
ITEM 3. DEFAULTS UPON SENIOR SECURITIES
None.
ITEM 4. SUBMISSION OF MATTERS TO A VOTE OF SECURITY
HOLDERS
None.
ITEM 5. OTHER INFORMATION
None.
ITEM 6. (A) EXHIBITS
None.
(B) REPORTS ON FORM 8-K
None.
-9-
SIGNATURES
Pursuant to the requirements 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.
COMMODITY TREND TIMING FUND II
By: CHANG-CROWELL INVESTMENT MANAGEMENT INC.
Its: General Partner
By: /s/ Robert Ecke, Managing Director and Treasurer
------------------------------------------------
Robert Ecke, Managing Director and Treasurer
Date: 5/15/96
-10-