SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, DC 20549
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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 June 30, 1996
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 /X/ 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 June 30, 1996, and December 31, 1995 ............. 3
Statement of Income and Partners'
Equity for the Three and Six Months Ended
June 30, 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
Part I - Financial Information
Item 1. Financial Statements
COMMODITY TREND TIMING FUND II
STATEMENT OF FINANCIAL CONDITION
JUNE DECEMBER
30, 1996 31, 1995
---------- ----------
(Unaudited)
ASSETS
Equity in commodity futures trading
account:
Cash and cash equivalents $88,907 $326,100
Net unrealized appreciation on
open futures positions 143,220 184,740
Securities on deposit 2,772,000 2,676,723
---------- ----------
3,004,127 3,187,563
Interest receivable 241 335
---------- ----------
3,004,368 $3,187,898
---------- ----------
---------- ----------
LIABILITIES AND PARTNERS' EQUITY
Liabilities:
Accrued expenses:
Management fees $9,931 $10,545
Commissions on open futures
positions 16,068 15,600
Other 9,013 8,760
---------- ----------
35,012 34,905
---------- ----------
General Partner's equity 53,590 49,074
Limited Partners' equity 2,915,766 3,103,919
---------- ----------
2,969,356 3,152,993
---------- ----------
$3,004,368 $3,187,898
---------- ----------
---------- ----------
See Notes to Financial Statements
COMMODITY TREND TIMING FUND II
STATEMENT OF INCOME AND PARTNERS' EQUITY (UNAUDITED)
THREE MONTHS ENDED JUNE 30, SIX MONTHS ENDED JUNE 30,
1996 1995 1996 1995
---------- ---------- ---------- ----------
Income:
Net gains (losses)
on trading of
commodity futures:
Realized (gains)
losses on closed
positions 83,415 ($83,229) 498,753 ($319,708)
Change in
unrealized
gains/losses on
open positions (33,861) 67,504 (41,521) 11,431
---------- ---------- ---------- ----------
49,554 (15,725) 457,232 (308,277)
Less, brokerage
commissions and
clearing fees (61,840) (31,487) (127,914) (80,904)
---------- ---------- ---------- ----------
Net realized and
unrealized gains
(losses) (12,286) (47,212) 329,318 (389,181)
Interest income 41,654 40,429 79,767 93,711
---------- ---------- ---------- ----------
29,368 (6,783) 409,085 (295,470)
---------- ---------- ---------- ----------
Expenses:
Management fees 31,914 $35,319 65,757 $64,112
Other 14,100 8,600 19,500 14,955
---------- ---------- ---------- ----------
46,014 43,919 85,257 79,067
---------- ---------- ---------- ----------
Net Income (loss) (16,646) (50,702) 323,828 (374,537)
Redemptions (303,136) (454,372) (507,466) (1,007,722)
---------- ---------- ---------- ----------
Net increase
(decrease) in
Partners' capital (319,782) (505,074) (183,637) (1,382,259)
Partners' capital,
beginning of period 3,289,138 3,844,639 3,152,993 4,721,824
---------- ---------- ---------- ----------
Partners' capital, end
of period $2,969,356 $3,339,565 $2,969,356 $3,339,565
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
Net asset value per
unit $950.68 $853.55 $950.68 $853.55
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
See Notes to Financial Statements
COMMODITY TREND TIMING FUND II
NOTES TO FINANCIAL STATEMENTS
June 30, 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 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. CCIM selected
CCMC, a registered commodity trading advisor and an affiliate of CCIM, to
manage the other half of the Partnership's assets commencing June 30, 1995.
As of June 30, 1996, Marathon managed approximately 56%, and CCMC managed
approximately 44%, 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 June 30, 1996, and the results of its operations
for the three and six months ended June 30, 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.
Net Asset Value Per Unit
Changes in net asset value per unit of limited partnership interest
("Unit") for the three and six months ended June 30, 1996 and 1995, were as
follows:
THREE MONTHS ENDED JUNE 30, SIX MONTHS ENDED JUNE 30,
1996 1995 1996 1995
---------- ---------- ---------- ----------
Net realized and
unrealized gains
(losses) $(9.12) ($12.22) $81.48 ($80.53)
Interest income 30.93 10.12 19.74 21.02
Expenses (34.17) (10.90) (21.10) (18.01)
---------- ---------- ---------- ----------
Increase (decrease)
for period (12.36) (13.00) 80.12 (77.52)
Net Asset Value per
Unit, beginning of
period $963.04 $866.55 $870.56 $931.07
---------- ---------- ---------- ----------
Net Asset Value per
Unit, end of period 950.68 $853.55 $950.68 $853.55
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
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 second 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 six months ended June 30, 1996, the Partnership's equity
decreased 5.8% from $3,152,993 to $2,969,356. This decrease was
attributable to the redemption of 498.39 Units resulting in an
outflow of $507,466 which was offset by a net gain from operations
of $323,828. Future redemptions can impact the amount of funds
available for investments in futures positions in subsequent
periods. In addition, the Limited Partnership Agreement of the
Partnership requires dissolution of the Partnership in the event
the aggregate net assets of the Partnership decreases to less than
$1,750,000.
Results of Operations
During the Partnership's second quarter of 1996, the net asset
value per Unit decreased 1.3% from $963.04 to $950.68. During the
second quarter of 1995, the net asset value per Unit decreased
1.5%. The Partnership experienced a net trading gain before
commissions and expenses in the second quarter of 1996 of
approximately $50,000. Metals have been the only real
unprofitable sector so far in 1996. Global equities indices are
basically unchanged. In January, the strengthening U.S. dollar
and european interest rates were responsible for large gains. In
April, an extraordinary rally in grains, particularly wheat, was
chiefly responsible for the significant gain. Energies and
currencies also contributed substantial gains.
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,
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 six and three months ended June
30, 1996, decreased by approximately $14,000 and increased by
approximately $1,000, respectively, as compared to the
corresponding periods in 1995. The decrease in interest income
over the six-month period was largely due to the decrease in
assets caused by quarterly redemptions. The increase in interest
income over the three-month period reflects the fact that interest
income was earned on 98% of the Partnership's daily average equity
for the three months ended June 30, 1996, while interest income
was earned only on 80% of the Partnership's daily average equity
for the three months ended June 30, 1995. Such increase also is
due in part to the liquidation of all open futures positions and
the suspension of all trading during March 1995 and part of April
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. The 9.21% gain in performance for the six-month period
also contributed to such increase.
Brokerage commissions are based on the number of trades that the
Advisors execute. Commissions and clearing fees for the six and
three months ended June 30, 1996, increased by approximately
$47,000 and $30,000 as compared to the corresponding periods in
1995. Such increases are primarily the result of the liquidation
of all open futures positions and the suspension of all trading
during March 1995 and part of April 1995.
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 six and three months ended June 30, 1996, increased by
approximately $1,500 and decreased by approximately $3,500 as
compared to the corresponding periods in 1995. The six-month
period increase is primarily the result of the liquidation of all
open futures positions and the suspension of all trading during
March 1995 and part of April 1995. The three-month period decrease
is primarily the result of the effect of redemptions on equity.
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
27.1 Financial Data Schedule for the Six Months
Ended June 30, 1996.
(B) REPORTS ON FORM 8-K
None.
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: 8/14/96
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EXHIBIT 27.2
FINANCIAL DATA SCHEDULE FOR THE
SIX MONTHS ENDED JUNE 30, 1996
This schedule contains summary financial information extracted from the
unaudited financial statements and notes thereto which are included in this
quarterly report on Form 10-Q and the audited 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, and is qualified in its entirety by reference to such financial
statements.
Item Number Item Description June 30, December 31,
- ----------- ---------------- -------- ------------
1996 1995
---- ----
5-02(1) Cash and cash items $88,907 $326,100
5-02(2) Marketable securities/[1] 2,772,000 2,676,723
5-02(3)(a)(1) Notes and accounts
receivable - trade 241 335
5-02(4) Allowances for doubtful
accounts 0 0
5-02(6) Inventory 0 0
5-02(9) Total current assets/[2] 3,004,368 3,187,898
5-02(13) Property, plant and equipment 0 0
5-02(14) Accumulated depreciation 0 0
5-02(18) Total assets/[3] 3,004,368 3,187,898
5-02(21) Total current liabilities/[4] 35,012 34,905
5-02(22) Bonds, mortgages and similar
debt 0 0
5-02(28) Preferred stock - mandatory
redemption 0 0
5-02(29) Preferred stock - no mandatory
redemption 0 0
5-02(30) Common stock 0 0
5-02(31) Partners' equity/[5] 2,969,356 3,152,993
5-02(32) Total liabilities and
partners' equity/[6] $3,004,368 $3,187,898
5-03(b)1(a) Net sales of tangible products $0 $0
5-03(b)1 Total revenues/[7] 536,999 (8,767)
5-03(b)2(a) Cost of tangible goods sold 0 0
5-03(b)2 Total costs and expenses
applicable to sales and
revenues 0 0
5-03(b)3 Other costs and expenses/[8] (213,171) (304,877)
5-03(b)5 Provision for doubtful
accounts and notes 0 0
5-03(b)(8) Interest and amortization of
debt discount 0 0
5-03(b)(10) Income before taxes and other
items 323,828 (313,644)
5-03(b)(11) Income tax expense 0 0
5-03(b)(14) Income/loss continuing
operations 0 0
5-03(b)(15) Discontinued operations 0 0
5-03(b)(17) Extraordinary items 0 0
5-03(b)(18) Cumulative effect - changes in
accounting principles 0 0
5-03(b)(19) Net income or loss $323,828 $(313,644)
5-03(b)(20) Increase (decrease) in net asset
value per unit $80.12 $(60.51)
[1]/See Note 1 to the audited financial statements 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 (the "10-K
Financial Statements") for information regarding the valuation of U.S.
Treasury securities on deposit.
[2]/Includes net unrealized appreciation on open futures positions and
interest receivable. See Notes 1, 5, 6 and 7 to the 10-K Financial
Statements.
[3]/Includes net unrealized appreciation on open futures positions and
interest receivable. See Notes 1, 5, 6 and 7 to the 10-K Financial
Statements.
[4]/Includes management fees, commissions on open futures positions and
legal and other expenses. See Note 3 to the 10-K Financial Statements.
[5]/See Note 4 to the 10-K Financial Statements.
[6]/See Notes 3 and 4 to the 10-K Financial Statements.
[7]/Includes realized net trading gains (losses), change in unrealized net
trading gains (losses) and interest income. See Note 1 to the 10-K
Financial Statements regarding revenue recognition and changes in
unrealized gains (losses). See also Notes 5 and 6 to the 10-K Financial
Statements.
[8]/Includes brokerage commissions, clearing fees, management fees and
adminstrative expenses. See Notes 1 and 3 to the 10-K Financial
Statements.