10-Q 1 wcff.txt WORLD CURRENCY UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q [X] Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 For the quarterly period ended June 30, 2004 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 0-23826 DEAN WITTER WORLD CURRENCY FUND L.P. (Exact name of registrant as specified in its charter) Delaware 13-3700691 (State or other jurisdiction of (I.R.S. Employer incorporation or organization) Identification No.) Demeter Management Corporation 825 Third Avenue, 9th Floor New York, NY 10022 (Address of principal executive offices) (Zip Code) Registrant's telephone number, including area code (212) 310-6444 (Former name, former address, and former fiscal year, if changed since last report) 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 whether the registrant is an accelerated filer (as defined in Rule 12b-2 of the Exchange Act). Yes No X DEAN WITTER WORLD CURRENCY FUND L.P. INDEX TO QUARTERLY REPORT ON FORM 10-Q June 30, 2004

PART I. FINANCIAL INFORMATION Item 1. Financial Statements DEAN WITTER WORLD CURRENCY FUND L.P. STATEMENTS OF FINANCIAL CONDITION

DEAN WITTER WORLD CURRENCY FUND L.P. STATEMENTS OF OPERATIONS (Unaudited)

DEAN WITTER WORLD CURRENCY FUND L.P. STATEMENTS OF OPERATIONS (Unaudited)

DEAN WITTER WORLD CURRENCY FUND L.P. STATEMENTS OF CHANGES IN PARTNERS' CAPITAL For the Six Months Ended June 30, 2004 and 2003 (Unaudited)

DEAN WITTER WORLD CURRENCY FUND L.P. STATEMENTS OF CASH FLOWS (Unaudited)

DEAN WITTER WORLD CURRENCY FUND L.P. NOTES TO FINANCIAL STATEMENTS June 30, 2004 (Unaudited) The unaudited financial statements contained herein include, in the opinion of management, all adjustments necessary for a fair presentation of the results of operations and financial condition of Dean Witter World Currency Fund L.P. (the "Partnership"). The financial statements and condensed notes herein should be read in conjunction with the Partnership's December 31, 2003 Annual Report on Form 10-K. 1. Organization Dean Witter World Currency Fund L.P. is a Delaware limited partnership organized to engage primarily in the speculative trading of futures contracts, options on futures contracts and forward contracts on foreign currencies. The Partnership's general partner is Demeter Management Corporation ("Demeter"). The non-clearing commodity broker is Morgan Stanley DW Inc. ("Morgan Stanley DW"). The clearing commodity broker is Morgan Stanley & Co. Incorporated ("MS & Co."). Demeter, Morgan Stanley DW and MS & Co. are wholly-owned subsidiaries of Morgan Stanley. The trading advisors to the Partnership are John W. Henry & Company, Inc. and Millburn DEAN WITTER WORLD CURRENCY FUND L.P. NOTES TO FINANCIAL STATEMENTS (CONTINUED) Ridgefield Corporation (individually, a "Trading Advisor", or collectively, the "Trading Advisors"). 2. Related Party Transactions The Partnership's cash is on deposit with Morgan Stanley DW and MS & Co. in futures, forwards, and options trading accounts to meet margin requirements as needed. Morgan Stanley DW pays interest on these funds based on the average yield on 13-week U.S. Treasury bills. The Partnership pays brokerage commissions to Morgan Stanley DW. 3. Financial Instruments The Partnership trades futures contracts, options on futures contracts and forward contracts on foreign currencies. Futures and forwards represent contracts for delayed delivery of an instrument at a specified date and price. Risk arises from changes in the value of these contracts and the potential inability of counterparties to perform under the terms of the contracts. There are numerous factors which may significantly influence the market value of these contracts, including interest rate volatility. DEAN WITTER WORLD CURRENCY FUND L.P. NOTES TO FINANCIAL STATEMENTS (CONTINUED) The market value of contracts is based on closing prices quoted by the exchange, bank or clearing firm through which the contracts are traded. The Partnership's contracts are accounted for on a trade-date basis and marked to market on a daily basis. The Partnership accounts for its derivative investments in accordance with the provisions of Statement of Financial Accounting Standards No. 133, "Accounting for Derivative Instruments and Hedging Activities" ("SFAS No. 133"). SFAS No. 133 defines a derivative as a financial instrument or other contract that has all three of the following characteristics: 1) One or more underlying notional amounts or payment provisions; 2) Requires no initial net investment or a smaller initial net investment than would be required relative to changes in market factors; 3) Terms require or permit net settlement. Generally, derivatives include futures, forward, swaps or options contracts, and other financial instruments with similar characteristics such as caps, floors, and collars. DEAN WITTER WORLD CURRENCY FUND L.P. NOTES TO FINANCIAL STATEMENTS (CONTINUED) The net unrealized gains (losses) on open contracts, reported as a component of "Equity in futures interests trading accounts" on the statements of financial condition, and their longest contract maturities were as follows: Net Unrealized Gains (Losses) on Open Contracts Longest Maturities Exchange- Off-Exchange- Exchange- Off-Exchange- Date Traded Traded Total Traded Traded $ $ $ Jun. 30, 2004 - (224,877) (224,877) - Sep. 2004 Dec. 31, 2003 - 651,468 651,468 - Mar. 2004 The Partnership has credit risk associated with counterparty non- performance. The credit risk associated with the instruments in which the Partnership is involved is limited to the amounts reflected in the Partnership's statements of financial condition. The Partnership also has credit risk because Morgan Stanley DW and MS & Co. act as the futures commission merchants or the counterparties, with respect to most of the Partnership's assets. Exchange-traded futures, forward, and futures-styled options contracts are marked to market on a daily basis, with variations in value settled on a daily basis. Morgan Stanley DW and MS & Co., each as a futures commission merchant for the Partnership's exchange-traded futures, forward, and futures-styled options DEAN WITTER WORLD CURRENCY FUND L.P. NOTES TO FINANCIAL STATEMENTS (CONCLUDED) contracts, are required, pursuant to regulations of the Commodity Futures Trading Commission ("CFTC"), to segregate from their own assets, and for the sole benefit of their commodity customers, all funds held by them with respect to exchange-traded futures, forward, and futures-styled options contracts, including an amount equal to the net unrealized gains (losses) on all open futures, forward, and futures-styled options contracts. With respect to the Partnership's off-exchange-traded forward currency contracts, there are no daily exchange-required settlements of variations in value nor is there any requirement that an amount equal to the net unrealized gains (losses) on open forward contracts be segregated, however, MS & Co. and Morgan Stanley DW will make daily settlements of losses as needed. With respect to those off- exchange-traded forward currency contracts, the Partnership is at risk to the ability of MS & Co., the sole counterparty on all such contracts, to perform. The Partnership has a netting agreement with MS & Co. This agreement, which seeks to reduce both the Partnership's and MS & Co.'s exposure on off-exchange-traded forward currency contracts, should materially decrease the Partnership's credit risk in the event of MS & Co.'s bankruptcy or insolvency. Item 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS Liquidity. The Partnership deposits its assets with Morgan Stanley DW as non-clearing broker and MS & Co. as clearing broker in separate futures, forwards, and options trading accounts established for each Trading Advisor, which assets are used as margin to engage in trading and may be used as margin solely for the Partnership's trading. The assets are held in either non- interest bearing bank accounts or in securities and instruments permitted by the CFTC for investment of customer segregated or secured funds. Since the Partnership's sole purpose is to trade in futures, forwards and options, it is expected that the Partnership will continue to own such liquid assets for margin purposes. The Partnership's investment in futures, forwards, and options 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 or options contract has increased or decreased by an amount equal to the daily limit, positions in that futures or options 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 or options contracts and result in restrictions on redemptions. There is no limitation on daily price moves in trading forward contracts on foreign currencies. The markets for some world currencies have low trading volume and are illiquid, which may prevent the Partnership from trading in potentially profitable markets or prevent the Partnership from promptly liquidating unfavorable positions in such markets, subjecting it to substantial losses. Either of these market conditions could result in restrictions on redemptions. For the periods covered by this report, illiquidity has not materially affected the Partnership's assets. There are no known material trends, demands, commitments, events or uncertainties at the present time that will result in, or that are reasonably likely to result in, the Partnership's liquidity increasing or decreasing in any material way. Capital Resources. The Partnership does not have, nor expect to have, any capital assets. Redemptions of additional units of limited partnership interest ("Unit(s)") in the future will affect the amount of funds available for investment in futures, forwards, and options in subsequent periods. It is not possible to estimate the amount, and therefore the impact, of future redemptions of Units. There are no known material trends, favorable or unfavorable, that would affect, nor any expected material changes to, the Partnership's capital resource arrangements at the present time. Off-Balance Sheet Arrangements and Contractual Obligations. The Partnership does not have any off-balance sheet arrangements, nor does it have contractual obligations or commercial commitments to make future payments that would affect its liquidity or capital resources. Results of Operations General. The Partnership's results depend on the Trading Advisors and the ability of each Trading Advisor's trading programs to take advantage of price movements in the futures, forwards and options markets. The following presents a summary of the Partnership's operations for the three and six month periods ended June 30, 2004 and 2003, and a general discussion of its trading activities during each period. It is important to note, however, that the Trading Advisors trade 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 Advisors 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 the Trading Advisors' trading activities on behalf of the Partnership during the period in question. Past performance is no guarantee of future results. The Partnership's results of operations set forth in its financial statements on pages 2 through 11 of this report were prepared in accordance with accounting principles generally accepted in the United States of America, which require the use of certain accounting policies that affect the amounts reported in these financial statements, including the following: The contracts the Partnership trades are accounted for on a trade-date basis and marked to market on a daily basis. The difference between their cost and market value is recorded on the Statements of Operations as "Net change in unrealized trading profit/loss" for open (unrealized) contracts, and recorded as "Realized trading profit/loss" when open positions are closed out, and the sum of these amounts constitutes the Partnership's trading results. The market value of a futures contract is the settlement price on the exchange on which that futures contract is traded on a particular day. The value of foreign currency forward contracts is based on the spot rate as of the close of business, New York City time, on a given day. Interest income revenue, as well as management fees, incentive fees and brokerage commissions expenses of the Partnership are recorded on an accrual basis. Demeter believes that, based on the nature of the operations of the Partnership, no assumptions relating to the application of critical accounting policies other than those presently used could reasonably affect reported amounts. For the Quarter and Six Months Ended June 30, 2004 The Partnership recorded losses net of interest income totaling $1,844,616 and expenses totaling $249,289, resulting in a net loss of $2,093,905 for the quarter ended June 30, 2004. The Partnership's net asset value per Unit decreased from $1,296.68 at March 31, 2004 to $1,107.01 at June 30, 2004. The most significant trading losses of approximately 5.6%, 1.3%, and 1.2%, respectively, were recorded from positions in the Japanese yen, Singapore dollar, and Korean won, versus the U.S. dollar. Long Asian currency positions versus the U.S. dollar incurred losses during April as the U.S. dollar surged during the month following the release of stronger than expected U.S. jobs data. The yen also came under pressure following efforts by the Japanese government to weaken the yen by intervening in the currency markets. As a result, most other Asian currencies followed the yen lower. Short Asian currency positions versus the U.S. dollar experienced losses during May as the dollar's value declined amid fears of potential terrorist attacks, expanding energy prices, and the release of weaker than expected economic data during the latter half of May. During June, short positions resulted in further losses as better than anticipated improvements in Japanese economic data and speculation that the Bank of Japan would move to raise interest rates pushed the yen and other regional Asian currencies higher. Additional losses of approximately 1.9% were experienced from long positions in the British pound versus the U.S. dollar, largely during April and June. During April, losses were incurred as the dollar benefited from rising U.S. interest rates and the perception that the U.S. economy was experiencing a sustainable recovery. During June, losses were experienced as the dollar reversed higher during the first half of the month on early expectations that the U.S. Federal Reserve would be aggressive in raising U.S. interest rates. Weakness in the pound later in the month also contributed to losses for long positions in the British currency. Smaller Partnership losses of approximately 1.2% and 1.1%, respectively, were recorded primarily during May and June from positions in the Norwegian krone and euro, both versus the U.S. dollar. Short European currency positions caused losses as the U.S. dollar's value declined in response to the factors mentioned above. During June, long positions in European currencies sustained additional losses as the U.S. dollar reversed higher during the first half of the month amid early expectations that the U.S. Federal Reserve would aggressively move to raise U.S. interest rates. Additional Partnership losses of approximately 1.3%, incurred primarily during April, stemmed from long South African rand positions versus the U.S. dollar as the dollar benefited from rising U.S. interest rates and the perception that the U.S. economy was experiencing a sustainable recovery. The Partnership recorded losses net of interest income totaling $3,423,638 and expenses totaling $541,595, resulting in a net loss of $3,965,233 for the six months ended June 30, 2004. The Partnership's net asset value per Unit decreased from $1,462.58 at December 31, 2003 to $1,107.01 at June 30, 2004. The most significant losses of approximately 7.8% were recorded from positions in the Japanese yen versus the U.S. dollar. Long positions in the Japanese yen versus the U.S. dollar resulted in losses during February when the Bank of Japan intervened in the currency markets by buying dollars in an attempt to stem the yen's rise. The yen's value further declined under pressure from an elevation in Japan's security level. During March, losses were experienced from short Japanese yen positions against the U.S. dollar as the yen reversed higher due to speculation the Bank of Japan was relaxing its efforts to weaken the yen. During April, long yen positions incurred losses during April as the U.S. dollar surged versus most currencies during the month following the release of stronger than expected U.S. jobs data. The yen also came under pressure following efforts by the Japanese government to weaken the yen by intervening in the currency markets. Short yen positions versus the U.S. dollar experienced losses during May as the dollar's value declined amid fears of potential terrorist attacks, expanding energy prices, and the release of weaker than expected economic data during the latter half of May. During June, short yen positions resulted in further losses as better than anticipated improvements in Japanese economic data and speculation that the Bank of Japan would move to raise interest rates pushed the yen higher. Additional Partnership losses of approximately 2.5% and 1.2%, respectively, were experienced from positions in the Singapore dollar and Korean won as their values traded in tandem with the yen. Partnership losses of approximately 4.3% were incurred from positions in the euro versus the U.S. dollar, primarily during March, May, and June. Such losses were the result of erratic movements in the euro and the dollar during these months. The Partnership also experienced smaller losses of approximately 2.1%, 1.4%, and 0.9%, respectively, in the Norwegian krone, Czech koruna, and Swiss franc, versus the U.S. dollar, as their values also traded in a volatile manner in relation to the dollar. Further Partnership losses of approximately 3.0% were sustained from positions in the South African rand versus the U.S. dollar, primarily during January and April. During January, long rand positions experienced losses amid expectations for a decline in gold prices early in the year due to an improvement in the global macro economic environment. During April, long rand positions recorded losses as the dollar benefited from rising U.S. interest rates and the perception that the U.S. economy was experiencing a sustainable recovery. Smaller Partnership losses of approximately 1.3% stemmed from positions in the Mexican peso versus the U.S. dollar throughout the majority of the first quarter. For the Quarter and Six Months Ended June 30, 2003 The Partnership recorded revenues including interest income totaling $1,144,264 and expenses totaling $415,019, resulting in net income of $729,245 for the quarter ended June 30, 2003. The Partnership's net asset value per Unit increased from $1,367.01 at March 31, 2003 to $1,426.16 at June 30, 2003. The most significant trading gains of approximately 9.7% were recorded from long positions in the euro versus the U.S. dollar during May as the value of the euro strengthened to an all-time high amid uncertainty regarding the Bush Administration's economic policy, renewed fears of potential terrorist attacks against American interests, and investor preference for non-U.S. dollar denominated assets. Additional gains of approximately 4.2% resulted from long positions in the Australian dollar versus the U.S. dollar during May as the Australian dollar's value strengthened in response to a significant interest rate differential between the two countries. A portion of the Partnership's overall gains for the quarter was offset by losses of approximately 5.1% recorded from positions in the British pound versus the U.S. dollar as the pound's value strengthened during April and May amid expectations that the Bank of England would likely leave interest rates unchanged, and then reversed lower during June following comments from the British Finance Minister concerning the U.K.'s prospects for entry into the European Monetary Union. Additional losses of approximately 3.3% and 1.2%, respectively, resulted from positions in the Japanese yen and Korean won versus the U.S. dollar during May as the value of these currencies experienced significant short-term volatile movements. The Partnership recorded revenues including interest income totaling $1,504,957 and expenses totaling $838,118, resulting in net income of $666,839 for the six months ended June 30, 2003. The Partnership's net asset value per Unit increased from $1,373.34 at December 31, 2002 to $1,426.16 at June 30, 2003. The most significant trading gains of approximately 16.9% were recorded from long positions in the euro versus the U.S. dollar as the value of the euro strengthened to an all-time high during May amid uncertainty regarding the Bush Administration's economic policy, renewed fears of potential terrorist attacks against American interests, and investor preference for non-U.S. dollar denominated assets. During January and April, gains were also experienced from long positions in the euro versus the U.S. dollar as the U.S. dollar's value weakened amid renewed fears of a military conflict with Iraq, increased tensions between the U.S. and North Korea, and weak U.S. economic data. Additional gains of approximately 5.3% resulted from long positions in the Australian dollar versus the U.S. dollar as the Australian currency strengthened in response to a significant interest rate differential between Australia and the U.S., and rising gold prices early in the year. Smaller gains were provided from long positions in the New Zealand dollar, South African rand, and Canadian dollar versus the U.S. dollar as the value of these currencies also increased for the aforementioned reasons. A portion of the Partnership's overall gains was offset by losses of approximately 9.8% from positions in the Japanese yen versus the U.S. dollar as the value of the yen strengthened and then reversed lower amid speculation that the Bank of Japan favored a weaker yen to spur economic activity. Additional losses were recorded from positions in the Singapore dollar and Korean won as the value of these currencies experienced short-term price volatility in sympathy with the yen. Losses of approximately 5.3% resulted during April and May from short positions in the British pound versus the U.S. dollar as the value of the pound strengthened early in the month amid expectations that the Bank of England would likely leave interest rates unchanged. During June, losses stemmed from short positions in the pound versus the U.S. dollar as the pound's value increased early in the month amid expectations that the Bank of England would likely leave interest rates unchanged, and then the pound reversed lower, resulting in losses from long positions after the British Finance Minister released positive comments regarding the U.K.'s entry into the European Union. Item 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK Introduction The Partnership is a commodity pool engaged primarily in the speculative trading of futures, forwards, and options. 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 inherent to the primary business activity of the Partnership. The futures, forwards, and options 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, factors that result in frequent changes in the fair value of the Partnership's open positions, and consequently in its earnings, whether realized or unrealized, and cash flow. Gains and losses on open positions of exchange- traded futures, forwards and options are settled daily through variation margin. Gains/losses on off-exchange-traded forward currency contracts are settled at the termination of the contract or more frequently, as agreed upon with each counterparty. The Partnership's total market risk may increase or decrease as it is influenced by a wide variety of factors, including, but not limited to, the diversification among the Partnership's open positions, the volatility present within the markets, and the liquidity of the markets. The Partnership's past performance is no guarantee 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 experience to date or any reasonable expectations based upon historical changes in market value. Limited partners will not be liable for losses exceeding the current net asset value of their investment. 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 on the basis of 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 and cash flow. The Partnership's risk exposure in the market sectors traded by the Trading Advisors is estimated below in terms of Value at Risk ("VaR"). The Partnership estimates VaR using a model based upon historical simulation (with a confidence level of 99%) which involves constructing a distribution of hypothetical daily changes in the value of a trading portfolio. The VaR model takes into account linear exposures to risk including 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 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, or one day in 100. VaR typically does not represent the worst case outcome. Demeter uses approximately four years of daily market data (1,000 observations) and revalues its portfolio (using delta-gamma approximations) for each of the historical market moves that occurred over this time period. This generates a probability distribution of daily "simulated profit and loss" outcomes. The VaR is the appropriate percentile of this distribution. For example, the 99% one-day VaR would represent the 10th worst outcome from Demeter's simulated profit and loss series. The Partnership's VaR computations are based on the risk representation of the underlying benchmark for each instrument or contract and do not distinguish between exchange and non-exchange dealer-based instruments. They are also not based on exchange and/or dealer-based maintenance margin requirements. VaR models, including the Partnership's, are continually 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 Advisors in their daily risk management activities. Please further note that VaR as described above may not be comparable to similarly titled measures used by other entities. 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 at June 30, 2004 and 2003. At June 30, 2004 and 2003, the Partnership's total capitalization was approximately $12 million and $17 million, respectively. Primary Market June 30, 2004 June 30, 2003 Risk Category Value at Risk Value at Risk Currency (1.52)% (1.98)% The VaR for a market category represents the one-day downside risk for the aggregate exposures associated with this market category. Because the business of the Partnership is the speculative trading of futures, forwards and options, the composition of its trading portfolio can change significantly over any given time period, or even within a single trading day, which could positively or negatively materially impact market risk as measured by VaR. The table below supplements the quarter-end VaR set forth above by presenting the Partnership's high, low and average VaR, as a percentage of total net assets for the four quarter-end reporting periods from July 1, 2003 through June 30, 2004. Primary Market Risk Category High Low Average Currency (3.83)% (1.52)% (2.69)% 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 typically 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 caused by market movements may differ from those of the VaR model; ? VaR results reflect past market fluctuations applied to current 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 provided present the results of the Partnership's VaR for its market risk exposure at June 30, 2004 and 2003, and for the four quarter-end reporting periods from July 1, 2003 through June 30, 2004. VaR is not necessarily representative of the Partnership's historic risk, nor should it be used to predict 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 once in 100 trading days. Non-Trading Risk The Partnership has non-trading market risk on its foreign cash balances not needed for margin. The Partnership did not have any foreign currency balances at June 30, 2004. The Partnership also maintains a substantial portion (approximately 114% as of June 30, 2004) of its available assets in cash at Morgan Stanley DW. A decline in short-term interest rates would 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, in relation to the Partnership's net assets. 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 Advisors 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 expropriations, 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 was the only trading risk exposure of the Partnership at June 30, 2004. It may be anticipated, however, that this market exposure will vary materially over time. Currency. The Partnership's currency market exposure at June 30, 2004 was to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. Interest rate changes as well as political and general economic conditions influence these fluctuations. The Partnership trades a large number of currencies, including cross-rates - i.e., positions between two currencies other than the U.S. dollar. At June 30, 2004, the Partnership's major exposures were to the euro, Japanese yen, British pound, Australian dollar, Canadian dollar, Swiss franc, and Norwegian krone currency crosses as well as to outright U.S. dollar positions. Outright positions consist of the U.S. dollar vs. other currencies. These other currencies include major and minor currencies. Demeter does not anticipate that the risk profile of the Partnership's currency sector will change significantly in the future. Qualitative Disclosures Regarding Non-Trading Risk Exposure At June 30, 2004, 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 Advisors, 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 Trading Advisors, each of whose strategies focus on different trading approaches, and by monitoring the performance of the Trading Advisors daily. In addition, the Trading Advisors establish 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 Advisors. Item 4. CONTROLS AND PROCEDURES (a) As of the end of the period covered by this quarterly report, the President and Chief Financial Officer of Demeter, the general partner of the Partnership, have evaluated the effectiveness of the Partnership's disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) of the Exchange Act), and have judged such controls and procedures to be effective. (b) There have been no significant changes during the period covered by this quarterly report in the Partnership's internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation. PART II. OTHER INFORMATION Item 5. OTHER INFORMATION Management. Effective June 21, 2004, the following changes have been made to the Board of Directors and Officers of Demeter: Mr. Jeffrey D. Hahn resigned the position of Chief Financial Officer and Director of Demeter. Mr. Todd Taylor, age 41, is a Director of Demeter. Mr. Taylor began his career with Morgan Stanley in June 1987 as a Financial Advisor in the Dallas office. In 1995, he joined the Management Training Program in New York and was appointed Branch Manager in St. Louis in 1997. Three years later, in 2000, Mr. Taylor was appointed to a newly created position, Director of Individual Investor Group ("IIG") Learning and Development, before becoming the Director of IIG Strategy in 2002. Most recently, Mr. Taylor has taken on a new role as the High Net Worth Segment Director. Currently a member of the firm's E-Learning Council, Mr. Taylor is also a current member of the Securities Industry/Regulatory Council on Continuing Education. Mr. Taylor graduated from Texas Tech University with a B.B.A. in Finance. Mr. William D. Seugling, age 34, will become a Director of Demeter once he has registered with the National Futures Association ("NFA") as a principal, which registration is currently pending. Mr. Seugling is an Executive Director at Morgan Stanley and currently serves as Director of Client Solutions for US Private Wealth Management. Mr. Seugling joined Morgan Stanley in June 1993 as an Associate in Equity Structured Products having previously worked in research and consulting for Greenwich Associates from October 1991 to June 1993. Since 1994, he has focused broadly on analysis and solutions for wealthy individuals and families culminating in his current role within the division. He was named Vice President in 1996 and an Executive Director in 1999. Mr. Seugling graduated cum laude from Bucknell University with a B.S. in Management and a concentration in Chemistry. Mr. Kevin Perry, age 35, is the Chief Financial Officer of Demeter. His registration with the NFA as a principal is currently pending. He currently serves as an Executive Director and Controller of Client Solutions at Morgan Stanley. Mr. Perry joined Morgan Stanley in October 2000 and is also Chief Financial Officer of Morgan Stanley Trust National Association, Van Kampen Funds Inc. and Morgan Stanley Distribution, Inc. Prior to joining Morgan Stanley, Mr. Perry worked as an auditor and consultant in the financial services practice of Ernst & Young from October 1991 to October 2000. Mr. Perry received a B.S. degree in Accounting from the University of Notre Dame in 1991 and is a Certified Public Accountant. Item 6. EXHIBITS AND REPORTS ON FORM 8-K (A) Exhibits 3.01 Limited Partnership Agreement of the Partnership, dated as of December 8, 1992, is incorporated by reference to Exhibit 3.01 and Exhibit 3.02 of the Partnership's Registration Statement on Form S-1 (File No. 33-55806). 10.01 (a) Management Agreement among the Partnership, Demeter, and CCA Capital Management Inc., dated as of April 2, 1993, is incorporated by reference to Exhibit 10.01(a) of the Partnership's Quarterly Report on Form 10-Q for the quarter ended June 30, 2002. (b) Management Agreement among the Partnership, Demeter, and Colorado Commodities Management Corporation, dated as of April 2, 1993, is incorporated by reference to Exhibit 10.01(b) of the Partnership's Quarterly Report on From 10-Q for the quarter ended June 30, 2002. (c) Management Agreement among the Partnership, Demeter, and Ezra Zask Associates Inc., dated as of April 2, 1993, is incorporated by reference to Exhibit 10.01(c) of the Partnership's Quarterly Report on Form 10-Q for the quarter ended June 30, 2002. (d) Management Agreement among the Partnership, Demeter, and Millburn Ridgefield Corporation, dated as of April 2, 1993, is incorporated by reference to Exhibit 10.01(d) of the Partnership's Quarterly Report on From 10-Q for the quarter ended June 30, 2002. 10.02 Management Agreement among the Partnership, Demeter and John W. Henry & Company, Inc., dated as of June 1, 1995, is incorporated by reference to Exhibit 10.03 of the Partnership's Annual Report on Form 10-K for the fiscal year ended December 31, 1995. 10.03 Amended and Restated Customer Agreement between the Partnership and Morgan Stanley DW, dated as of June 22, 2000, is incorporated by reference to Exhibit 10.01 of the Partnership's Form 8-K (File No. 0-23826) filed with the Securities and Exchange Commission on November 13, 2001. 10.04 Commodity Futures Customer Agreement between MS & Co. and the Partnership, and acknowledged and agreed to by Morgan Stanley DW, dated as of May 1, 2000, is incorporated by reference to Exhibit 10.02 of the Partnership's Form 8-K (File No. 0-23826) filed with the Securities and Exchange Commission on November 13, 2001. 10.05 Foreign Exchange and Options Master Agreement between MS & Co. and the Partnership, dated as of April 30, 2000, is incorporated by reference to Exhibit 10.04 of the Partnership's Form 8-K (File No. 0-23826) filed with the Securities and Exchange Commission on November 13, 2001. 10.06 Securities Account Control Agreement among the Partnership, MS & Co. and Morgan Stanley DW, dated as of May 1, 2000, is incorporated by reference to Exhibit 10.03 of the Partnership's Form 8-K (File No. 0-23826) filed with the Securities and Exchange Commission on November 13, 2001. 10.07 Amendment to Management Agreement among the Partnership, Morgan Stanley DW and John W. Henry & Company, Inc., dated as of November 30, 2000, is incorporated by reference to Exhibit 10.1 of the Partnership's Form 8-K (File No. 0-23826) filed with the Securities and Exchange Commission on January 3, 2001. 10.08 Amendment to Management Agreement between the Partnership and Millburn Ridgefield Corporation, dated as of November 30, 2000, is incorporated by reference to Exhibit 10.2 of the Partnership's Form 8-K (File No. 0-23826) filed with the Securities and Exchange Commission on January 3, 2001. 31.01 Certification of President of Demeter Management Corporation, the general partner of the Partnership, pursuant to rules 13a-15(e) and 15d-15(e), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. 31.02 Certification of Chief Financial Officer of Demeter Management Corporation, the general partner of the Partnership, pursuant to rules 13a-15(e) and 15d-15(e), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. 32.01 Certification of President of Demeter Management Corporation, the general partner of the Partnership, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. 32.02 Certification of Chief Financial Officer of Demeter Management Corporation, the general partner of the Partnership, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. (B) Reports on Form 8-K - None. SIGNATURE 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. Dean Witter World Currency Fund L.P. (Registrant) By: Demeter Management Corporation (General Partner) August 16, 2004 By:/s/Kevin Perry Kevin Perry Chief Financial Officer The General Partner which signed the above is the only party authorized to act for the Registrant. The Registrant has no principal executive officer, principal financial officer, controller, or principal accounting officer and has no Board of Directors.

WITTER DEAN WORLD CURRENCY FUND L P 10-Q