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 September 30, 1996
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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
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(Exact Name of Registrant as Specified Its Charter)
New York 13-3128322
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(State or Other Jurisdiction of (I.R.S. Employer
Incorporation or Organization) Identification No.)
67 Mason Street, Greenwich, Connecticut 06830
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(Address of Principal Executive Offices) (Zip Code)
Registrant's Telephone Number, Including Area Code (203) 629-6248
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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 [X] No [ ]
COMMODITY TREND TIMING FUND II
FORM 10-Q
INDEX
Page
Number
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PART I - Financial Information:
Item 1. Financial Statements:
Statement of Financial Condition
at September 30, 1996, and December 31, 1995............3
Statement of Income and Partners' Equity for the
Three and Nine Months Ended September 30, 1996 and
1995....................................................5
Notes to Financial Statements ..........................7
Item 2. Management's Discussion and Analysis of Financial Condition
and Results of Operations........................................9
PART II - Other Information
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Part I - Financial Information
Item 1. Financial Statements
COMMODITY TREND TIMING FUND II
STATEMENT OF FINANCIAL CONDITION
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SEPTEMBER DECEMBER
30, 1996 31, 1995
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ASSETS (Unaudited)
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Equity in commodity futures trading
account:
Cash and cash equivalents ($187,270) $326,100
Net unrealized appreciation on
open futures positions 154,151 184,740
Securities on deposit 2,530,674 2,676,723
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2,497,555 3,187,563
Interest receivable 0 335
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2,497,555 $3,187,898
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LIABILITIES AND PARTNERS' EQUITY
Liabilities:
Accrued expenses:
Management fees $8,232 $10,545
Commissions on open futures
positions 14,768 15,600
Other 13,171 8,760
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36,171 34,905
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General Partner's equity 47,488 49,074
Limited Partners' equity 2,413,898 3,103,919
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2,461,388 3,152,993
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$2,497,555 $3,187,898
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See Notes to Financial Statements
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COMMODITY TREND TIMING FUND II
STATEMENT OF INCOME AND PARTNERS' EQUITY (UNAUDITED)
THREE MONTHS ENDED SEPTEMBER 30, NINE MONTHS ENDED SEPTEMBER 30,
1996 1995 1996 1995
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Income:
Net gains (losses) on trading
of commodity futures:
Realized (gains) losses on
closed positions (281,876) 209,235 216,877 ($110,322)
Change in unrealized gains/losses
on open positions 10,932 (61,042) (30,589) (49,611)
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(270,944) 148,193 186,288 (159,933)
Less, brokerage, commissions and
clearing fees (66,438) (24,246) (194,352) (105,149)
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Net realized and unrealized gains
(losses) (337,382) 123,947 (8,064) (265,082)
Interest income 36,896 41,427 116,663 135,139
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(300,486) 165,374 108,599 (129,943)
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Expenses:
Management fees 25,646 33,205 91,403 97,317
Other 11,800 5,400 31,300 20,355
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37,446 38,605 122,703 117,672
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Net Income (loss) (337,931) 126,768 (14,103) (247,615)
Redemptions (170,039) (157,806) (677,501) (1,165,528)
Additions 0 32,668 0 32,668
Net increase (decrease)
in Partners' capital (507,969) 1,630 (691,605) (1,380,475)
Partners' capital, beginning of
period 2,969,357 3,339,718 3,152,993 4,721,824
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Partners' capital, end of period $2,461,388 $3,341,348 $2,461,388 $3,341,348
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Net asset value per limited
partnership unit $842.43 $888 $842.43 $888
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Net asset value per general
partnership unit $842.43 $888 $842.43 $888
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See Notes to Financial Statements
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COMMODITY TREND TIMING FUND II
NOTES TO FINANCIAL STATEMENTS
September 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 September 30, 1996, Marathon managed
approximately 55%, and CCMC managed approximately 45%, 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 September 30, 1996, and the results of its operations for the
three and nine months ended September 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.
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Net Asset Value Per Unit
Changes in net asset value per unit of limited partnership interest ("Unit") for
the three and nine months ended September 30, 1996 and 1995, were as follows:
THREE MONTHS ENDED SEPTEMBER 30, NINE MONTHS ENDED SEPTEMBER 30,
1996 1995 1996 1995
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Net realized and unrealized
gains (losses) $(108.07) $40 ($16.08) ($28)
Interest income 11.82 11 232.70 23
Expenses (12.00) (17) (244.74) (39)
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Increase (decrease) for period (108.25) (34) (28.13) (43)
Net Asset Value per Unit,
beginning of period $950.68 $854 $870.56 $ 931
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Net Asset Value per Unit,
end of period $ 842.43 $888 $842.43 $888
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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 third 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 nine months ended September 30, 1996, the Partnership's equity decreased
17.11% from $2,969,357 to $2,461,388. This decrease was attributable primarily
to the redemption of 201.6495 Units resulting in an outflow of $170,039 and by a
net loss from operations of $337,931. 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 third quarter of 1996, the net asset value per Unit
decreased 11.39% from $950.68 to $842.43. During the third quarter of 1995, the
net asset value per Unit increased 4.06%. The Partnership experienced a net
trading loss before commissions and expenses in the third quarter of 1996 of
approximately $270,944. 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. In July, losses were due substantially to
volatile world wide equity indices and U.S. interest rates. No other markets
realized substantial profits during the third quarter of 1996 to offset these
losses.
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.
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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
nine and three months ended September 30, 1996, decreased by approximately
$18,476 and $4,531, respectively, as compared to the corresponding periods in
1995. The decrease in interest income over both periods was due to the decrease
in assets caused by quarterly redemptions.
Brokerage commissions are based on the number of trades that the Advisors
execute. Commissions and clearing fees for the nine and three months ended
September 30, 1996, increased by approximately $89,203 and $42,192 as compared
to the corresponding periods in 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
redemption's. Management fees for the nine and three months ended September 30,
1996, decreased by approximately $5,914 and decreased by approximately $7,559 as
compared to the corresponding periods in 1995. The nine-month period decrease is
the result of redemption's on equity 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.
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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
27.2 Financial Data Schedule for the Nine Months Ended
September 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
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Robert Ecke, Managing Director and Treasurer
Date: 8/14/96
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