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                       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

                   For the fiscal year ended December 31, 1999
                         Commission File Number 0-26459

                       THE DENNIS FUND LIMITED PARTNERSHIP
             (Exact name of registrant as specified in its charter)

                CONNECTICUT                            06-1456461
                -----------                            ----------
       (State or other jurisdiction        (I.R.S. Employer Identification No.)
     of incorporation or organization)

       TWO AMERICAN LANE, P.O. BOX 5150, GREENWICH, CONNECTICUT 06831-8150
               (Address of principal executive offices) (zip code)

       Registrant's telephone number, including area code: (203) 861-1000

        Securities registered pursuant to Section 12(b) of the Act: None

           Securities registered pursuant to Section 12(g) of the Act:

                          LIMITED PARTNERSHIP INTERESTS
                                (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 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 to this
Form 10-K. [ ]

The registrant has no outstanding voting or non-voting common equity.


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ITEM 1.  BUSINESS.

     The discussion below and elsewhere in this Form 10-K contains "certain
forward-looking statements" (as such term is defined in Section 21E of the
Securities Exchange Act of 1934) that are based on the beliefs of the
Partnership, as well as assumptions made by, and information currently available
to, the Partnership. A number of important factors could cause the Partnership's
actual growth, results, performance and business prospects and opportunities in
1999 and beyond to differ materially from those expressed in, or implied by, any
such forward-looking statements. These factors include, without limitation, the
factors described below and elsewhere in this Form 10-K.

OVERVIEW

     The Dennis Fund Limited Partnership (the "Partnership") was formed as a
limited partnership on June 18, 1996 under the Connecticut Uniform Limited
Partnership Act (the "Partnership Act"). The Partnership maintains its principal
office at Two American Lane, P.O. Box 5150, Greenwich, Connecticut 06831-8150,
with a telephone number of (203) 861-1000. The Partnership is engaged in the
business of trading, buying, selling, spreading, swapping or otherwise
acquiring, holding or disposing of commodities, futures contracts, forward
contracts, foreign exchange commitments, exchange for physicals, swap contracts,
spot (cash) commodities and other items, options on the foregoing, and any
rights pertaining to the foregoing contracts, instruments or investments
throughout the world ("Commodities"). The objective of the Partnership's
business is appreciation of its assets through the speculative trading of
Commodities. Although currently the Partnership's activities are intended to be
limited to trading Commodities and investing capital not needed for margin
purposes in securities approved by the Commodity Futures Trading Commission (the
"CFTC") for investment of customer funds, the Limited Partnership Agreement of
the Partnership, dated June 18, 1996 and as amended on December 15, 1997 (the
"Partnership Agreement"), also permits the Partnership to trade (i) any security
as defined in Section 2(1) of the Securities Act of 1933, as amended (the "1933
Act"), (ii) any option, warrant or other right on or pertaining to any of the
foregoing, whether in the United States of America or anywhere else throughout
the world, and (iii) any other investment or transaction that the General
Partner (as defined herein) deems, in its sole discretion, to be consistent with
the objectives of the Partnership (with Commodities, collectively, the
"Investments").

     In June 1996, the Partnership commenced a private placement of units of
limited partnership interest ("Units") in reliance on the exemptions afforded
by, among others, Section 4(2) of the 1933 Act and Rule 506 of Regulation D
promulgated thereunder. Units are offered monthly at a price per Unit equal to
the then-current Net Asset Value per Unit (as defined below) plus a selling
commission equal to 5% unless such selling commission is waived in whole or in
part. Since the Partnership began the private placement in 1996, through
December 1999, 40,544 Units had been sold for a total of $63,211,154. The
minimum subscription is $26,250 for new investors other than Employee Benefit
Plans (as defined herein) or $10,500 for Employee Benefit Plans and existing
limited partners of the Partnership ("Limited Partners"), which amounts include
selling commissions of $1,250 and $500, respectively. "Net Asset Value" of the
Partnership in general means total assets of the Partnership, including, but



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not limited to, all cash and cash equivalents, accrued interest, earned
discount, and open Commodities positions, less total liabilities, including, but
not limited to, brokerage commissions that would be payable with respect to the
closing of open Commodities positions, all as determined in accordance with the
principles set forth in the Partnership Agreement or, where no such principles
are specified therein, in accordance with United States generally accepted
accounting principles applied on a consistent basis ("GAAP"). "Net Asset Value
per Unit" means the Net Asset Value of the Partnership divided by the number of
Units outstanding as of the date of determination. The value of all Commodities
shall be the market value thereof. The market value of a Commodity traded on an
exchange shall be based upon the settlement price on the exchange on the date of
determination; provided, however, that if a Commodity could not be liquidated on
the day with respect to which the assets of the Partnership are being
determined, the settlement price on the first subsequent day on which the
contract could be liquidated shall be the basis for determining the liquidating
value thereof. The market value of a forward contract, a swap contract, or any
other off-exchange contract, instrument, or transaction shall mean its market
value as determined by the General Partner on a basis consistently applied.

     Investors receive a Confidential Private Placement Memorandum and
Disclosure Document (the "Disclosure Document") which sets forth the material
terms of the investment. The Disclosure Document is updated every nine (9)
months or upon any material change (whichever is sooner), as required by the
regulations promulgated under the Commodity Exchange Act, as amended (the
"CEAct"), and filed with the CFTC for compliance therewith.

     Since October, 1996, the Partnership has engaged in the speculative trading
of Commodities and will continue to do so until its dissolution and liquidation,
which will occur on the earlier of December 31, 2026 or the occurrence of any of
the events set forth in Article VIII, Section 8.1 of the Partnership Agreement.

     The Partnership's general partner, Kenmar Advisory Corp. (the "General
Partner"), is a Connecticut corporation formed in September 1983 as a New York
corporation and subsequently reorganized as a Connecticut corporation in January
1996. Kenneth A. Shewer is its Chairman, and Marc S. Goodman is its President.
Messrs. Shewer and Goodman are the General Partner's sole directors. All of the
General Partner's stock is owned directly by Kenmar Holdings Inc., which is
ultimately owned, indirectly and equally, by Messrs. Shewer and Goodman. The
General Partner has been registered with the CFTC as a commodity pool operator
("CPO") and has been a member in good standing of the National Futures
Association (the "NFA") in such capacity since February 1984. The registration
of the General Partner with the CFTC and its membership in the NFA must not be
taken as an indication that any such agency or self-regulatory body has
recommended or approved either the General Partner or the Partnership.

     Under the Partnership Agreement, responsibility for managing the
Partnership is vested solely in the General Partner. The Limited Partners will
not participate in the management or operations of the Partnership. Any
participation by a Limited Partner in the management of the Partnership may
jeopardize the limited liability of such Limited Partner. Responsibilities of
the General Partner include, but are not limited to, the following: selecting
and monitoring the commodity broker(s); determining whether the Partnership will
make distributions; administering redemptions of Units; preparing periodic and
annual reports to the Limited Partners; preparing reports, filings,
registrations, and other documents required by applicable



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regulatory bodies, exchanges or boards; depositing the Partnership's assets in
the form of cash in an account or accounts at banks or brokers selected by the
General Partner; borrowing money (but only in connection with making or taking
delivery of a Commodity); directing the investment of the Partnership's assets;
executing various documents on behalf of the Partnership and the Limited
Partners pursuant to the power of attorney described below; and supervising the
liquidation of the Partnership if an event causing termination of the
Partnership occurs. To facilitate the execution of various documents by the
General Partner on behalf of the Partnership, each of the Limited Partners
appoints the General Partner, with full power of substitution, such Limited
Partner's attorney-in-fact by executing the Signature Page of the Partnership
Agreement and Power of Attorney and by becoming a Limited Partner.

     The Partnership itself does not have any employees. Rather, the General
Partner, in its capacity as a CFTC-regulated CPO, employed 47 persons as of
December 31, 1999 and provides the Partnership with the services of certain
personnel to conduct its operational activities.

     The sole commodity trading advisor ("CTA") to the Partnership is Dennis
Trading Group, Inc. (the "Advisor"), an Illinois corporation and registered CTA
and CPO. The Advisor is responsible for making the trading decisions for the
Partnership. Investors should note that the Advisor is the sole advisor for the
Partnership.

     The Partnership is not an operating company with "traditional" income or
expenses. It is a stand-alone investment vehicle that offers investors the
opportunity to participate in the futures markets under the guidance of a
professional CTA.

     The General Partner has complete discretionary authority regarding the
admission of additional Limited Partners and may admit additional Limited
Partners under terms and conditions comparable to or different from those under
which the existing Limited Partners were solicited.

FEES AND EXPENSES

     Except as otherwise noted, the fees and expenses described are for
investors who subscribe for Units on or after April 1, 1997. Limited Partners
who subscribed for Units prior to April 1, 1997 were charged different Advisor
fees and will continue to be charged those fees on those Units purchased prior
to that date but will pay the Advisor fees described below with respect to any
additional Investments.

FEES TO THE GENERAL PARTNER

     OFFERING FEE. For managing the continuing offering of Units, as of the end
of each month, the Partnership currently pays to the General Partner a fee (the
"Offering Fee") equal to 0.25% (3% annually) of that month's beginning Net Asset
Value of the Partnership except that the Offering Fee for Million Dollar
Investors will equal 0.0833% (1% annually) of each month's beginning Net Asset
Value of the Partnership. A Million Dollar Investor will be charged the reduced
Offering Fee by receiving a rebate equal to two-thirds of the Offering Fee. The
amount of this reduction will be rebated monthly by the General Partner to the
Partnership for the benefit



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of such Million Dollar Investor in the form of additional Units. A "Million
Dollar Investor" is an investor whose aggregate investment in the Partnership
(net of redemptions and excluding any appreciation and/or depreciation in Net
Asset Value) equals or exceeds $1,000,000. The General Partner, in its sole and
absolute discretion, will determine whether an investment or series of
investments qualifies for treatment as a Million Dollar Investor. The General
Partner, in its sole discretion, is authorized to set its compensation for
managing the continuing offering of Units. For additional information on the
General Partner's authority, see "Conflicts of Interest -- The General Partner"
below.

     ADVISOR'S FEES. As compensation for managing the Partnership, the General
Partner currently receives 1/2 of the management and incentive fee applicable to
A Units and 4/7 of the Advisor's management fee and 4/11 of the Advisor's
incentive fee applicable to B Units. See "Fees to the Advisor" below.

     Out of all compensation paid to the General Partner, the General Partner
may also pay selling agents additional selling compensation and/or compensation
for ongoing services up to 3% annually.

FEES TO THE ADVISOR

     ADVISOR'S MANAGEMENT FEE. Pursuant to the Advisory Agreement (as defined
herein), the Partnership currently pays to the Advisor a monthly management fee
(the "Management Fee"). The monthly Management Fee is assessed proportionately:
(i) for Units purchased prior to April 1, 1997, the monthly Management Fee is
equal to 1/6 of 1% (2% annually) of the Net Asset Value of the Partnership, and
(ii) for Units purchased on or after April 1, 1997, the monthly Management Fee
is equal to 0.1458% (1.75% annually) of the Net Asset Value of the Partnership.
The Management fees paid for the years ended December 31, 1999, 1998 and 1997
are set forth in a table on page 6 of this Form 10-K.

     ADVISOR'S INCENTIVE FEE. Pursuant to the Advisory Agreement, the
Partnership currently pays to the Advisor (i) a quarterly incentive fee equal to
25% of the Net New Trading Profits for Units purchased prior to April 30, 1997,
and (ii) a quarterly incentive fee equal to 27.5% of the Net New Trading Profits
for Units purchased on or after April 30, 1997. The incentive fees paid for the
years ended December 31, 1999, 1998 and 1997 are set forth in a table on page 6
of this Form 10-K.

     "Net New Trading Profits" in general means the net trading profits
(realized and change, if any, in unrealized) earned on the Partnership's net
assets (excluding interest or interest-equivalent income), decreased by
brokerage commissions (paid and change, if any, in accrued) and the Management
Fee, with all such items determined from the first day of the calendar quarter
that immediately follows the last calendar quarter for which an incentive fee
was earned by the Advisor (or, if no incentive fee was earned previously by the
Advisor, from the commencement of trading) to the close of business on the last
day of the calendar quarter with respect to which such incentive fee calculation
was made. Operating expenses of the Partnership do not reduce Net New Trading
Profits when calculating the Advisor's incentive fee.

     Pursuant to an arrangement between the Advisor and the General Partner:
(i) the Advisor and the General Partner each receive 1/2 of the management and
incentive fees applicable to A Units, (ii) the Advisor receives 3/7 and the
General Partner 4/7 of the management fee applicable to B units, and (iii) the
Advisor receives 7/11 and the General Partner 4/11 of the incentive fee
applicable to B Units.



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OTHER FEES AND EXPENSES

     BROKERAGE COMMISSIONS. The Partnership's current brokerage commission
expense is $10 per roundturn transaction plus administrative "give-up" fees.
Such "give-up" fees are expected to be approximately 0.4% of the Net Asset Value
of the Partnership.

     ADMINISTRATIVE AND ONGOING OPERATING FEES AND EXPENSES. The Partnership
will pay all administrative and ongoing operating fees and expenses. Ordinary
administrative expenses include, but are not limited to, accounting, auditing,
record keeping, administration, computer and clerical expenses (including
expenses incurred in preparing reports and tax information to Limited Partners
and regulatory authorities, printing and duplication expenses and mailing
expenses), legal fees and expenses and other expenses incurred by such persons
and by the General Partner and its affiliates in providing services to the
Partnership. Legal fees and expenses include outside counsel's fax and copying
charges and other disbursements (such as filing fees, whether paid by the
General Partner or outside counsel). Such fees were approximately 0.5%
(annualized) of the Net Asset Value of the Partnership for 1999 and are not
expected to exceed 0.5% of the Net Asset Value of the Partnership per year.

     EXTRAORDINARY EXPENSES. The Partnership is responsible for all
extraordinary expenses (e.g., litigation expenses) incurred on behalf of the
Partnership. As of December 31, 1999, the Partnership has not paid, and does not
anticipate paying, any extraordinary expenses.

OTHER EXPENSES OF THE LIMITED PARTNERS

     Although not an expense of the Partnership, investors may be subject to a
selling commission, payable to independent selling agents, equal to 5% of the
then-current Net Asset Value per Unit unless the payment of all or any portion
of such amount is waived.

     The Partnership furnishes each subscriber with monthly statements and a
certified annual report of financial condition covering certain aspects of the
Partnership's operations.

     The following chart reflects the actual fees and expenses for the periods
presented.

<TABLE>
<CAPTION>


                                                                               PERIOD JUNE 18, 1996
                                                                                  (INCEPTION) TO
                                 1999             1998             1997          DECEMBER 31, 1996
                             -------------     -----------    ---------------    -----------------
                                                        (IN THOUSANDS)
<S>                         <C>               <C>              <C>                       <C>
Brokerage
   Commissions              $   2,676,283     $  1,400,182     $    943,428              $25,235

Management Fees                   877,660          482,628          219,334               13,548

Incentive Fees                  2,103,117        3,229,070          702,920                    0

General Partner's
    Offering Fees               1,461,667          748,537          324,867               20,516

Operating Expenses                243,034          135,589           79,101               19,825

</TABLE>



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CONFLICTS OF INTEREST

     There are substantial and inherent conflicts of interest in the structure
of the Partnership which are, on their face, inconsistent with the fiduciary
duties of the General Partner. Prospective investors should be aware that the
General Partner presently intends to assert that Limited Partners have, by
investing in the Partnership, consented to the following conflicts of interest
in the event of any proceeding alleging that such conflicts violated any duty
owed by the General Partner and its affiliates ("Kenmar") to investors.

THE GENERAL PARTNER

     The General Partner, in its sole discretion, is authorized under the
Partnership Agreement to set the compensation it shall receive for its services
as general partner of the Partnership. The General Partner may change its
compensation to such amount and/or in such forms as the General Partner, in its
sole discretion, shall determine without the consent of the Limited Partners;
provided that the General Partner has given the Limited Partners ninety (90)
days' prior written notice of such change. As such, the General Partner has a
conflict of interest between limiting fees paid by the Partnership and
generating fees for itself.

     Kenmar currently manages other commodity pools and managed accounts, each
with a different combination of trading advisors, and intends to continue to
solicit and manage the trading for these other commodity pools and managed
accounts. Thus, Kenmar may be subject to conflicting demands in respect of
allocating management time, services and other functions between the activities
the General Partner has undertaken with respect to the Partnership and the
activities Kenmar has undertaken or will undertake with respect to other
investors, commodity pools, managed accounts and/or trading advisors. As another
consequence, the greater the amount of assets managed by Kenmar, the more
difficult it may be for the General Partner to maintain the quality of these
services.

     The General Partner and the Broker maintain a business relationship
unrelated to their efforts on behalf of the Partnership. Thus, the General
Partner has a conflict between its responsibility to negotiate an amount and
form of compensation to be paid to the Broker that best serves the Partnership's
interests and the General Partner's desire to maintain its business relationship
with the Broker. In addition, the General Partner receives a brokerage
commission rebate from the Broker.

     The General Partner and the Advisor maintain a business relationship
unrelated to their efforts on behalf of the Partnership. A substantial amount of
the assets under the management of the Advisor are assets of pools and accounts
managed by the General Partner or an affiliate. Thus, the General Partner has a
conflict between its responsibility to negotiate an amount and form of
compensation to be paid to the Advisor that best serves the Partnership's
interests and the General Partner's desire to maintain its business relationship
with the Advisor.

     Neither the General Partner nor any of its affiliates, principals,
directors, officers or employees (the "Related Persons") trade Commodities for
their own accounts, although it is possible that they may do so in the future.
The records of such trading and any written policies



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related thereto would not be available to the Limited Partners. If the General
Partner or a Related Person were to trade for their own accounts, they could
take positions either similar or opposite to positions taken by the Partnership,
and/or the Partnership and such Related Persons could from time to time be
competing for similar Commodities. Orders placed by the General Partner or a
Related Person to trade Commodities for their proprietary accounts may reach the
market either before or after similar orders are placed for the Partnership and
this difference in timing may result in the Partnership receiving less favorable
(or more favorable) prices than those received by such proprietary accounts.
Neither the General Partner nor any Related Person places orders for the Advisor
and, therefore, neither the General Partner nor any Related Person has control
over such timing. It is also possible that the positions taken by such
proprietary accounts may not be held for the same period of time as those
positions taken by the Partnership. Thus, it is unlikely that trading results in
such proprietary accounts would be the same as the performance in the
Partnership's account.

     The Partnership and the General Partner are affiliated entities and are
represented by the same counsel, Katten Muchin Zavis, Chicago, Illinois. No
independent experts or professionals have been retained on behalf of the Limited
Partners. To the extent that Limited Partners would benefit by further
independent representation, that benefit will not be available to Limited
Partners and they should seek independent counsel.

THE ADVISOR

     The Advisory Agreement allows the Advisor and its principals to manage
other commodity pools and managed accounts as well as trade for its own
proprietary accounts. Since the Advisor trades other accounts, the Advisor is
subject to conflicting demands in respect of allocating management time,
services and other functions between the Partnership and such other accounts. In
particular, the Advisor may have a conflict of interest when rendering advice to
the Partnership because its compensation for managing some other account may
differ from its compensation for managing the Partnership's account, and
therefore may provide an incentive to favor such other account.

     The Advisor may in the future develop and furnish to, or employ on behalf
of, other investors trading methods or strategies for trading similar to or
different from those employed and traded on behalf of the Partnership's account
and pursuant to which such other investors may take positions similar to or
opposite from positions taken by the Partnership. No assurance may be given that
the trading results in such other accounts will be the same as or similar to the
performance in the Partnership's account.

     The Advisor and its employees trade Commodities for their own accounts. The
records of such trading and any written policies related thereto will not be
available for inspection by Limited Partners. Such trading activity could differ
from the trading activity of the Partnership. For example, the trading positions
taken and the length of time such positions are held by the Partnership could
differ from those taken with respect to such proprietary accounts. In addition,
such proprietary accounts could be charged brokerage commissions in a
significantly different form and amount than those charged the Partnership and,
as a result, the Advisor could be more or less likely to modify, liquidate or
open a position for that account than for the Partnership's account. Orders for
trades for such proprietary accounts could be placed either before or after



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similar orders are placed for the Advisor's investor accounts, and this
difference in timing could result in the investor accounts receiving less
favorable (or more favorable) prices than those received by such proprietary
accounts. Thus, no assurance may be given that the trading results in such
proprietary accounts will be similar to the performance in the Partnership's
account.

     The CFTC and certain United States commodity exchanges have established
"speculative position limits" that limit the net long or net short speculative
position any person(s) may hold, own or control in a particular Commodity on any
given day. An Advisor and its principal(s) may, on any given day, trade up to
the position limit established by such regulatory authorities and, therefore,
might be unable to trade those Commodities for the Partnership. The effect of
speculative position limits may be to preclude the Advisor and, consequently,
the Partnership, from taking potentially profitable positions, thereby reducing
the profit potential of the Partnership.

THE BROKER

     The Broker effects transactions for other customers (including public and
private commodity pools) who may compete with the Partnership's transactions,
including with respect to priorities of order entry. In addition, employees of
the Broker may trade for their own account. Since the identities of the
purchaser and seller are not disclosed until after the trade, it is possible
that a Broker could effect transactions for the Partnership in which the other
parties to the transactions are that Broker's officers, directors, employees,
customers or affiliates. Such persons might also compete with the Partnership in
making purchases or sales of Commodities without knowing that the Partnership is
also bidding on such Commodities. Since orders are filled in the order in which
they are received by a particular floor broker, transactions for any of such
persons might be executed when similar trades for the Partnership are not
executed or are executed at less favorable prices. However, in entering orders
for the Partnership and such other customer accounts, the Broker will attempt to
achieve an equitable treatment of all accounts, including with respect to
priorities of order entry and allocations of executed trades. In addition, CFTC
regulations prohibit a futures commission merchant ("FCM") from utilizing its
knowledge of one customer's trades for its own or its other customers' benefit.

RECOURSE BY LIMITED PARTNERS

     In evaluating the foregoing potential and actual conflicts of interest, an
investor should be aware that the General Partner will have a responsibility to
the Limited Partners to exercise good faith and fairness in all dealings
affecting the Partnership. The responsibility of a general partner to limited
partners is a changing area of the law and Limited Partners who have questions
concerning the responsibilities of the General Partner should consult their
legal counsel. In the event that a Limited Partner believes that the General
Partner has violated its responsibilities, the Limited Partner may seek legal
relief for himself and all other similarly situated Limited Partners or on
behalf of the Partnership under applicable laws to recover damages from, or to
require an accounting by, the General Partner. Furthermore, Limited Partners are
afforded certain rights to institute reparation proceedings under the CEAct for
violations of the CEAct or of any rule, regulation or order of the CFTC by the
General Partner or the Broker. A Limited Partner may also institute legal
proceedings in court against the General Partner, the Broker or the Advisor for
certain violations of the CEAct or rules, regulations or orders of the CFTC.
Excessive trading of



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the Partnership's account has been held to constitute a violation of the
antifraud provisions of the CEAct. Limited Partners should be aware that it may
be difficult to establish that excessive trading has occurred due to the broad
trading discretion given to the General Partner in the Partnership Agreement and
the Advisor in the Advisory Agreement, exculpatory provisions in the Partnership
Agreement and in the Advisory Agreement, and the lack of definitive standards in
judicial and administrative decisions as to what constitutes excessive trading.

     Under the exculpatory provisions of the Partnership Agreement, the General
Partner shall not be liable to the Partnership or to any of the Partners except
by reason of acts or omissions constituting fraud, willful misconduct, gross
negligence or bad faith. Limited Partners may have a more limited right of
action than they would absent such limitations. The Partnership has agreed to
indemnify the General Partner and its Limited Partners, officers, directors,
employees, and agents against any loss, liability, damage, cost, or expense
resulting from any claim, action, or proceeding relating to the business or
activities undertaken by them on behalf of the Partnership or actions taken or
omitted to be taken by the General Partner in its capacity as such; provided
that the conduct of such person did not constitute willful malfeasance or gross
negligence and was done in good faith and in a manner reasonably believed to be
in, or not opposed to, the best interests of the Partnership. In any action
brought by a Limited Partner in the right of the Partnership to which the
General Partner or any other person indemnified pursuant to the foregoing are
party defendants, any such person will be indemnified by the Partnership only to
the extent and subject to the conditions specified in the Partnership Act.

     Notwithstanding the foregoing, in any action brought by a Limited Partner
in the right of the Partnership to which the General Partner or any other person
indemnified pursuant to the foregoing are party defendants, any such person will
be indemnified by the Partnership only to the extent and subject to the
conditions specified in the Partnership Act. Also, indemnification of the
General Partner or its affiliates by the Partnership will be limited for losses
and liabilities resulting from violations of United States Federal, state or
foreign securities law in connection with the offer or sale of Units. The CFTC
has issued a statement of policy relating to indemnification of officers and
directors of an FCM (such as the Broker) and its controlling persons under which
the CFTC has taken the position that whether such an indemnification is
consistent with the policies expressed in the CEAct will be determined by the
CFTC on a case-by-case basis.

COMMODITIES TRADING GENERALLY

TRADING COMMODITIES IS SPECULATIVE AND VOLATILE

     The profitability of the Partnership will depend primarily on the Advisor's
ability to predict fluctuations in Commodity prices. Such prices are highly
volatile and, in general, are influenced by a number of external factors,
including, but not limited to, changing supply and demand relationships;
agricultural, trade, fiscal, monetary and exchange control programs and policies
of governments; national and/or international political and economic events and
policies; and changes in interest rates. Certain additional factors may also
affect individual Commodities or certain groups of Commodities. For example,
currency Commodities are influenced by, among other things, political events
(including restrictions on local exchanges or markets, limitations on
investments in a country or on investment by residents of a country in other



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countries, and restrictions on currency flows); changes in balances of payments
and trade; rates of inflation; international trade restrictions; currency
devaluations and revaluations; and governmental intervention (which is often
intended to influence prices directly). Metal Commodities can be affected by,
among other things, production and, particularly with respect to gold
Commodities, governmental regulation. Agricultural Commodities are influenced
by, among other things, unexpected weather, damage by insects or plant diseases
and/or unexpected purchases by countries. The above list does not include all of
the factors that influence the price of various Commodities or discuss how much
influence each of those factors has on such prices. Volatile price movements may
result in unprofitable trading by the Advisor, thereby resulting in losses to
the Partnership.

TRADING COMMODITIES IS HIGHLY LEVERAGED

     To trade futures contracts a trader is not required to deposit funds equal
to the value of the futures contract; rather, the trader need only make a
deposit, called an "initial margin deposit", equal to a small percentage
(typically between 2% and 15%) of the value of the futures contract. As a
result, a relatively small adverse move in the price of a futures contract may
result in immediate and substantial losses to a trader. For example, if at the
time of purchase 10% of the price of a futures contract is deposited as margin,
a 10% decrease in the price of that contract would, if the contract were then
closed out, result in a total loss of the initial margin deposit (brokerage
commissions and other transaction costs also would be incurred). A decrease of
more than 10% would result in a loss of more than the total initial margin
deposit.

     Trading in the currency forward and interbank markets does not require
margin but generally does require the extension of credit by a bank to those
with whom that bank trades. The General Partner does not anticipate that the
banks with which the Broker (or other commodity broker) and the Partnership may
trade will require margin with respect to the trading of currencies. However, to
ensure payment by the Partnership on currency contracts, the Broker (or other
commodity broker) will generally require margin in amounts approximately
equivalent to those required for trading foreign currency futures contracts on
United States exchanges when the Partnership trades the same currencies for
which futures contracts are traded on such exchanges and amounts that may be
higher than such exchange margin requirements when the Partnership trades world
currencies for which no futures contracts are traded on such exchanges. Thus, as
with futures contracts, a relatively small adverse move in the price of a
forward contract may result in a loss of an amount equal to or greater than the
amount deposited. To some extent, options are even more highly leveraged than
either futures or forward contracts. For example, if an in-the-money call (put)
option is sold for its intrinsic value plus a premium representing the time
value of that option, a 10% rise (drop) in the value of the underlying futures
contract or physical commodity (the "Underlying Interest") does not create a
loss equal to just 10% of the value of the option; rather it creates a loss
approximately equal to 10% of the value of the Underlying Interest, less the
time value, which loss may be many times greater than the price for which a
trader sold the option. In addition, a trader who sells options is required only
to deposit a percentage of the value of the option at the time of sale as
margin, thereby leveraging the investment even further.

     Thus, like other leveraged investments, any purchase or sale of certain
Commodities may result in losses in excess of the amount invested. Investors
should note, however, that while the



                                       11
<PAGE>   12


Partnership's assets are subject to losses in excess of margin deposits, a
Limited Partner cannot lose more than his unredeemed capital contribution,
undistributed profits (if any) and, under certain limited circumstances, capital
distributed to him or received by him upon redemption, with interest thereon.

TRADING COMMODITIES MAY BE ILLIQUID

     While the Partnership normally will trade only Commodities that have
sufficient liquidity to enable the Partnership to enter and close out positions
without causing value price movements, there is no assurance that intervening
events, such as an exchange or the CFTC suspending trading in a particular
futures contract, ordering immediate liquidation or settlement of a particular
futures contract or ordering trading in a particular futures contract be
conducted for liquidation only, will not render a once-liquid Commodity
illiquid.

     In addition, most United States commodity exchanges limit the amount by
which certain Commodities may move during a single day by regulations referred
to as "daily price fluctuation limits", or "daily limits". Pursuant to such
regulations, no trades may be executed on any given day at prices beyond the
daily limits. The price of a futures contract has occasionally moved the daily
limit for several consecutive days with little or no trading, thereby
effectively preventing a party from liquidating his position.

     Similarly, trading options may become illiquid if trading in the Underlying
Interest becomes illiquid. Also, it is possible that major banks may, from time
to time, effectively stop making markets in certain currency forward contracts
or that governments may intervene to stabilize or fix exchange rates or impose
credit controls, thereby restricting or substantially eliminating trading in the
affected currencies.

     While the occurrence of such events may reduce or effectively eliminate the
liquidity of a particular market, they do not limit ultimate losses, and may in
fact substantially increase losses because of this inability to liquidate
unfavorable positions. In addition, if there is little or no trading in a
particular futures or forward contract that the Partnership is trading, whether
such illiquidity is caused by any of the above reasons or otherwise, the
Partnership may be unable to execute trades at favorable prices and/or may be
unable or unwilling to liquidate its position prior to its expiration date,
thereby requiring the Partnership to make or take delivery of the Underlying
Interest.

TRADING FORWARD CONTRACTS

     The Partnership may trade forward contracts in certain items (such as
currencies and metals) with United States and foreign banks and dealers.

     A forward contract is a contractual obligation to purchase or sell a
specified quantity of a Commodity at or before a specified date in the future at
a specified price and, therefore, is similar to a futures contract. Forward
contracts, however, are not traded on exchanges and, as a consequence, investors
in forward contracts are not afforded the regulatory protections of such
exchanges or the CFTC; rather, banks and dealers act as principals in such
markets. Neither the CFTC nor banking authorities regulate trading in forward
contracts on currencies, and non-



                                       12
<PAGE>   13


United States banks may not be regulated by any United States governmental
agency. The principals who deal in the forward contract markets are not required
to continue to make markets in the forward contracts they trade. There have been
periods during which certain participants in forward markets have refused to
quote prices for contracts or have quoted prices with an unusually wide spread
between the price at which they are prepared to buy and that at which they are
prepared to sell.

     The Partnership may trade forward contracts with and through a limited
number of entities. As a result, liquidity problems might be greater in the
Partnership's forward trading than would be the case if trades were to be placed
with and through a larger number of forward market participants. The imposition
of exchange and credit controls or the fixing of currency exchange rates by
governmental authorities (e.g., Latin American countries) might eliminate or
substantially reduce trading in certain currencies and might limit such forward
trading to less than the amount that the Advisor would otherwise recommend, to
the possible detriment of the Partnership. See "Trading Commodities May be
Illiquid" above. The amount of loss that may be claimed for tax purposes in
respect of the Partnership's unprofitable forward trades may be limited by the
loss limitation rules applicable to straddles. See "Income Tax Aspects".

     Because performance under forward contracts is not guaranteed by any
exchange or clearinghouse, the Partnership will be subject to the risk of the
inability, or refusal by, the counterparty to perform with respect to such
contracts. Any such failure or refusal, whether due to insolvency, bankruptcy or
other causes, could subject the Broker (or other commodity broker) and in turn
the Partnership to substantial losses. The Broker (or other commodity broker)
and the Partnership will not be excused from the performance of any forward
contracts into which they have entered due to the default of third parties in
respect of other forward trades in the Advisor's trading strategies that were to
have substantially offset such contracts.

     In addition, the CFTC has been studying the regulatory propriety of
"exchange of futures for physicals" or "EFP" transactions, whereby traders are
able to exchange positions in the forward markets for ones on regulated
exchanges on a 24-hour basis. If the Partnership's ability to engage in such
transactions were restricted, trading techniques that may be employed by the
Advisor might be impaired to the potential detriment of the Partnership.

TRADING OPTIONS

     Options on futures contracts and physical commodities are traded on United
States and foreign exchanges. A call (put) option grants the purchaser thereof
the right, but not the obligation, to buy (sell) the Underlying Interest during
a certain period of time for a fixed price. An option is purchased for its
intrinsic value, if any, plus a premium, representing the time value of that
option. Unless the price of the Underlying Interest increases (decreases) by at
least the time value of that option, the Partnership may lose the entire amount
of such premium. (The more out-of-the-money an option is, the greater the
increase (decrease) would have to be before the Partnership would recover the
entire amount of such premium.) Conversely, if the Partnership sells an option
(whether a call or a put), it will be credited with the sales price but will
have to deposit margin due to its contingent liability to make or take delivery
of the Underlying Interest in the event the option is exercised. A trader who
sells options may be subject to loss in an amount equal to the entire price
movement that occurs in the Underlying



                                       13
<PAGE>   14


Interest (less any premium received) from the date he sold the option until the
date he liquidates such position. The ability to trade or exercise options may
be restricted in the event that trading in the Underlying Interest becomes
restricted. Options trading on United States commodity exchanges is subject to
regulation by both the CFTC and such exchanges. Options trading on foreign
exchanges is not regulated by the CFTC.

TRADING ON NON-UNITED STATES EXCHANGES

     The Partnership may trade Commodities on exchanges located outside of the
United States, where CFTC regulations and other protections customary on United
States exchanges may not apply. The Advisor has limited experience trading on
non-United States exchanges and markets. The collapse of Baring Securities
Limited ("Barings") in early 1995, which was caused by a Barings trader making a
series of large, unauthorized and unprofitable trades in Japanese stock index
futures and options contracts on the Singapore International Monetary Exchange
and various Japanese exchanges, illustrated some of the potential risks of
trading on foreign contract markets. Although, ultimately, customer funds were
recovered, the Barings collapse, and much of the initial uncertainty regarding
the disposition of customer funds and positions, may have been avoided had these
foreign markets established certain regulatory practices and financial
safeguards that exist in the United States, such as omnibus account reporting,
strict customer funds segregation, position transfer mechanisms, and risk
assessment and audit procedures.

     In contrast to United States exchanges, some non-United States exchanges
are "principals' markets" in which performance with respect to a contract is the
responsibility only of the individual member with whom the trader has entered
into a contract. In the case of its trading on non-United States exchanges, the
Partnership will be subject to the risk of the inability of, or refusal by, the
counterparty to perform with respect to such contracts. Any such failure could
subject the Partnership to substantial losses or substantial reductions of the
profits it might otherwise have realized.

     The Partnership will determine the Partnership's assets in United States
dollars. Unless the Partnership hedges itself against fluctuations in exchange
rates between the United States dollar and the currencies in which trading is
done on such non-United States exchanges, any profits that the Partnership might
realize in such trading could be eliminated as a result of adverse changes in
exchange rates, and the Partnership could even incur losses as a result of any
such changes. The Partnership, in general, does not intend to hedge itself.

TRADING FACILITIES AND ELECTRONIC TRADING

     Most open-outcry and electronic trading facilities are supported by
computer-based component systems for the order-routing, execution, matching,
registration and clearing of trades. As with all facilities and systems, they
are vulnerable to disruption or failure. The Partnership's ability to recover
losses may be subject to limits on liability imposed by the system provider, the
market, the clearing house and/or member firms.

     Trading on an electronic system may differ not only from trading in an
open-outcry market but also from trading on other electronic systems. If the
Partnership undertakes transactions on an electronic trading system, the
Partnership will be exposed to risks associated



                                       14
<PAGE>   15


with the system including the failure of hardware and software. The result of
any system failure may be that the Partnership's order is either not executed
according to its instructions or is not executed at all.

THE ADVISOR

     The Advisor is responsible for making the trading decisions for the
Partnership. Investors should note that the Advisor is the sole advisor for the
Partnership.

     The Advisor has prepared the following description. This description is
simply a synopsis and is therefore qualified in its entirety by reference to the
detailed descriptions contained in the Advisor's disclosure document, copies of
which may be obtained by a prospective investor upon request to the General
Partner. Due to the confidential and/or proprietary nature of most of the
information, such as trading methods and strategies and the performance tables,
the General Partner is relying on the Advisor for the accuracy thereof.

     Dennis Trading Group, Inc. (the "Advisor"), formerly known as Richard J.
Dennis & Company, is an Illinois corporation and registered CTA and CPO. The
address and telephone number of the Advisor are 250 South Wacker Drive, Suite
#650, Chicago, Illinois 60606 and (312) 559-1895. The principals of the Advisor
are Richard J. Dennis, President, and Thomas A. Dennis, Chairman. The Advisor
may employ agents and employees to implement the trading program described
herein.

     Except with respect to partnership interests in Richard J. Dennis & Company
Preferred Futures Fund, L.P., and Richard J. Dennis & Company Preferred Futures
Fund II, L.P. and a limited partnership interest in another commodity pool, the
Advisor has not traded for its own account in the past and does not trade for
itself presently. The Advisor, however, may trade for its own account in the
future. If the Advisor trades for its own account in the future, Limited
Partners will not be permitted to inspect records of such trading or any written
policies relating thereto. Richard J. Dennis and Thomas A. Dennis presently
trade commodities for their own accounts. Due to the confidential nature of such
trading, Limited Partners will not be permitted to inspect such trading or any
written policies relating thereto.

     As of December 31, 1999, neither the Advisor nor its principals owned any
Units.

PRINCIPALS

     The Advisor was incorporated in Illinois as Richard J. Dennis & Company in
September 1982 and is registered as a CTA and CPO under the CEAct. The Advisor
became registered with the NFA as a CTA and CPO on May 11, 1983. In July 1991,
the Advisor changed its name to Dennis Trading Group, Inc.

     Richard J. Dennis ("R. Dennis") is the founder of the Advisor. He has had
over 29 years experience in the futures industry. R. Dennis has been trading
futures for his own account since 1970 and will continue to do so. Throughout
his career, he has been a member, at various times, of the Chicago Mercantile
Exchange, the Chicago Board of Trade, the Mid-America Commodity Exchange and the
Commodity Exchange, Inc. (commonly known as COMEX). Currently, R.




                                       15
<PAGE>   16


Dennis is not a member of any exchange. R. Dennis was a partner of C&D
Commodities ("C&D"), which formerly was registered as an FCM. C&D, however, is
no longer engaged in business. In March 1991, C&D Commodities, Inc. ("C&D,
Inc.") was formed. R. Dennis is a Vice-President of C&D, Inc. which is primarily
engaged in providing administrative services to CTAs, including the Advisor.
However, R. Dennis has no ownership interest in C&D, Inc. R. Dennis was first
registered as a CTA in his individual capacity in 1982 and rendered commodity
advisory services in his individual capacity from July 1982 through May 1983. In
May 1983, the Advisor assumed responsibility for managing the accounts
previously managed by R. Dennis. R. Dennis has been a director of the Advisor
from its inception until June 1991. R. Dennis also served as Chairman of the
Advisor. R. Dennis' duties for the Advisor include the direction and supervision
of the Advisor's account management services, research and development of
trading strategies, review of account performance and other administrative and
managerial functions relating to the business of the Advisor.

     Thomas A. Dennis ("T. Dennis") joined the Mid-America Commodity Exchange in
1974 and traded for his own account. In 1976, he purchased a seat on the Chicago
Board of Trade and for the next four years was both a floor broker and a floor
trader there. In late 1979, he joined the COMEX, the New York Cotton Exchange
and the Coffee, Sugar, and Cocoa Exchange. T. Dennis was both a floor broker and
a floor trader at these exchanges. In the early eighties, he also joined the New
York Mercantile Exchange. In 1981, T. Dennis embarked upon a career as an
"off-floor" trader, and has continued to trade off-floor since then. T. Dennis
is the sole shareholder and President of C&D, Inc.

     Except as described below, during the past five years neither the Advisor
nor its principals have been the subject of any material administrative, civil
or criminal action relating to the way in which client accounts were traded or
managed. Beginning in or about December 1988, the Advisor and R. Dennis were the
subject of a number of actions, filed as class actions, which involved the
manner in which the accounts of two commodity pools, the Richard J. Dennis &
Company Preferred Futures Fund, L.P. and the Richard J. Dennis & Company
Preferred Futures Fund II, L.P. were traded. The actions were consolidated under
the caption In Re: Richard J. Dennis & Co. Securities Litigation. The
consolidated action was settled in or about September 1990.

     In connection with the consolidated action, the Advisor and R. Dennis deny
any and all liability. The consolidated action is subject to the ongoing
jurisdiction of the court in which it was pending at the time of settlement.
This procedure exists in order to insure compliance by the parties with the
terms of the Settlement Agreement. The terms of the Settlement Agreement
provided for the payment of a cash amount which had no material impact on the
Advisor's ability to conduct its business. The terms of the Settlement Agreement
also provided for certain contingent payments by R. Dennis through December 31,
1993. For the period from September 1988 through June 1991, the Advisor had not
managed customer accounts.

     The General Partner has been advised that there have never been any
criminal actions against the Advisor or its principals and that there have never
been any administrative, civil or criminal proceedings brought against any of
the other principals of the Advisor. The General Partner has been advised that
there are no pending actions against the Advisor or its principals.




                                       16
<PAGE>   17


TRADING METHODS AND STRATEGIES

     The trading ideas utilized by the Advisor are proprietary and confidential.
The following description therefore is general by necessity and is not intended
to be exhaustive.

     The Advisor's objective is to effect appreciation of its clients' assets
through the speculative trading of Commodities. The Advisor currently expects
the majority of its trading for clients to be limited to regulated futures
contracts and options on regulated futures contracts on commodity exchanges
within the United States which are designated by the CFTC as contract markets.
However, the Advisor may engage in the trading of forward contracts (which may
not be traded on exchanges), including forward contracts on foreign currencies,
and contracts on foreign exchanges (which are not regulated by the CFTC). The
specific futures contracts and options on futures contracts to be traded will be
selected from time to time by the Advisor on the basis discussed below. Examples
of futures contracts and options on futures contracts which have been traded by
the Advisor include, but are not necessarily limited to: gold, silver, copper,
grains, the soybean complex, sugar, United States Treasury bonds and notes,
certain foreign currencies, foreign bonds traded on foreign exchanges, heating
and crude oil, Eurodollars and the S & P 500 Stock Price Index and various
foreign stock indices. The Advisor may also engage in transactions in physical
commodities, including exchange for physical transactions. An exchange for
physical is a transaction permitted under the rules of many futures exchanges in
which two parties holding futures positions may close out their positions
without making an open, competitive trade on the exchange.

     Trading decisions of the Advisor for accounts for which it provides trading
advice are based in part on ideas which have been developed over time by R.
Dennis, T. Dennis and their associates, acting individually or from time to time
in connection with the activities of the Advisor. The ideas are basically
trend-following and are not generally based on analysis of fundamental supply
and demand factors, economic factors or anticipated world events ("fundamental
factors"), but rather upon a study of actual price fluctuations. The Advisor
may, however, consider certain fundamental factors in applying the trading idea.
Further, the Advisor may at times trade on the basis of its analysis of the
impact of various fundamental factors on the market. The Advisor will exercise
no discretionary judgment in following its trading systems, except in regard to
timing of trade executions or as needed to reduce risk in extreme circumstances.
The Advisor may, however, elect to add new trading systems, eliminate systems
that have been in use or restore systems that have been eliminated.

     The markets traded, generally, have been chosen for their historical
performance and for their customary liquidity. From time to time, the Advisor
may trade in less liquid markets. There can be no assurance of liquidity in any
of the markets in which the Advisor trades.

     The Advisor believes that the development of a commodity trading strategy
is a continual process. As a result of further analysis and research into the
performance of the Advisor's ideas, changes have been and will be made from time
to time in the specific manner in which these trading ideas evaluate price
movements in various Commodities. As a result of such modifications, the trading
ideas that may be used by the Advisor in the future might differ from those
previously used. Limited Partners will not be informed with respect to such
changes in the



                                       17
<PAGE>   18


Advisor's trading ideas. For diversification, a number of different ideas may be
used concurrently.

     Judgment is required in the evaluation of the trading ideas used by the
Advisor, in the evaluation and consideration of modifications of the trading
ideas from time to time and in the implementation of the trading ideas. The
decision not to trade certain Commodities or not to make certain trades may
result at times in missing price moves and hence profits of great magnitude,
which other trading managers who are willing to trade these Commodities may be
able to capture. Specific trading decisions for the Advisor are made by R.
Dennis, T. Dennis or other traders who are, or become, associated with the
Advisor. However, all trading directed by the Advisor is under the supervision
of R. Dennis or T. Dennis. There is no assurance that the performance of the
Advisor will result in profitable trading.

     The periods at the commencement of trading or at which a drawdown from
starting equity has occurred are considered to be the periods of highest risk.
From these points, risk management techniques are emphasized over those which
invite greater risk in the interest of enhancing performance. These risk
management techniques include diversification, such as the commitment of equity
to many markets and to a number of trading strategies. Also, the Advisor
generally considers money management techniques which determine and limit the
equity committed to each trade, market, complex and account.

     Furthermore, the risk assumed and, consequently, the potential for profit
experienced by a particular account at different times, and by different
accounts at the same time, vary significantly among the accounts due to a number
of factors, including market conditions, the size of each account, the
percentage gained or lost in each account, and the perceived risk aversion of
each account's owner. For these and other reasons described in this document, no
investor should expect necessarily the same performance as that of any other
account traded previously, simultaneously, or subsequently by the Advisor or any
of its principals.

THE ADVISORY AGREEMENT

     To utilize the commodity trading advice of the Advisor, the Partnership has
entered into a management agreement (the "Advisory Agreement") with the Advisor.
Set forth below is a brief description of certain points of the Advisory
Agreement.

     INDEMNIFICATION. The Partnership has agreed to indemnify the Advisor from
and against any loss, liability, claim, demand, damage, cost or expense
(including reasonable attorneys' and accountants' fees) arising out of the
Advisor's performance of its services except for certain actions by an Advisor,
including but not limited to (i) a material breach of the Advisory Agreement;
(ii) an act of, or omission to act due to, breach of fiduciary duty, bad faith,
misconduct or negligence by the Advisor or its principal; or (iii) a materially
misleading or untrue statement of material fact contained in the Advisor's
disclosure document or an omission to state therein a material fact required to
be stated therein or necessary to make the statements therein not materially
misleading.

         The Advisor shall be liable to the Partnership for, and shall
indemnify, hold harmless, and defend the Partnership from and against, any loss,
liability, claim, demand, damage, cost and



                                       18
<PAGE>   19



expense (including reasonable attorneys' and accountants' fees), to which
the Partnership may become subject arising out of or based upon an act,
omission, conduct or activity of the Advisor arising from (i) a material breach
of any term of the Advisory Agreement; (ii) an act of, or omission to act due
to, breach of fiduciary duty, bad faith, misconduct or negligence by the
Advisor; or (iii) a materially misleading or untrue statement of material fact
contained in the Advisor's disclosure document or an omission to state therein a
material fact required to be stated therein or necessary to make the statements
therein not materially misleading.

     STATUS. The Advisor is, and for all purposes shall be deemed to be, an
independent contractor and, unless otherwise expressly provided in the Advisory
Agreement or with the prior written authorization of the Partnership, the
Advisor and its principals shall have no authority to act for or represent the
Partnership in any way and shall not otherwise be deemed to be an agent of the
Partnership. The Advisor is neither a sponsor nor promoter of the Partnership.

THE BROKER

     The General Partner has responsibility for monitoring the Partnership's
brokers and for negotiation of their brokerage commission rates. The General
Partner has selected E. D. & F. Man International Inc. to be the clearing broker
for the Partnership. The Broker is registered under the CEAct, as amended, as an
FCM and a CPO, and is a member of the NFA in such capacities. In addition, the
Broker is registered with the National Association of Securities Dealers, Inc.
as a broker-dealer. The Broker, which is part of the E. D. & F. Man Group of
companies, is a member of major United States futures and securities exchanges.
The Broker's main office is located at Two World Financial Center, 27th Floor,
New York, New York 10281-2700. The Broker's telephone number at such location is
(212) 566-9000.

     At any given time, the Broker is involved in numerous legal actions and
administrative proceedings, which in the aggregate, are not, as of the date of
this registration statement, expected to have a material effect upon its
condition, financial or otherwise or to the services it will render to the
Partnership. There have been no material, administrative, civil or criminal
proceedings pending on appeal or concluded against the Broker or its principals
within five years preceding the date of this registration statement.

     The Broker acts only as clearing broker for the Partnership and as such is
paid commissions for executing and clearing trades on behalf of the Partnership.
The Broker has not passed upon the adequacy or accuracy of this registration
statement. The Broker neither will act in any supervisory capacity with respect
to the General Partner nor participate in the management of the General Partner
or the Partnership. Therefore, prospective investors should not rely on the
Broker in deciding whether or not to participate in the Partnership.

CUSTOMER AGREEMENT

     The Partnership and the Broker have entered into a non-exclusive customer
agreement (the "Customer Agreement") that provides that the Broker may execute
some, and clear all, transactions by or on behalf of the Partnership in
accordance with the instructions of the Advisor. The Broker is responsible for
holding and maintaining certain Partnership assets; execution of some and
clearance of all foreign currency Commodity transactions; preparation and
transmittal



                                       19
<PAGE>   20



of daily confirmations of transactions and monthly statements of account;
calculation of equity balances and margin requirements, and similar
transaction-related administrative functions. The Customer Agreement provides
that the Partnership will post margin as required. For a description of the
brokerage commissions payable, see "Item 1. Business--Fees and Expenses--Other
Fees and Expenses".

ITEM 2.  PROPERTIES.

     The Partnership does not own or lease any physical properties. The
Partnership's office is located within the office of the General Partner at Two
American Lane, P.O. Box 5150, Greenwich, Connecticut 06831-8150.

ITEM 3.  LEGAL PROCEEDINGS.

     The General Partner is not aware of any material pending legal proceedings
to which the Partnership or the General Partner is a party or to which any of
its or the Partnership's assets is subject.

ITEM 4.  SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

     No matters were submitted to a vote of security holders during the fourth
quarter of 1999.

ITEM 5.  MARKET FOR REGISTRANT'S COMMON EQUITY AND RELATED STOCKHOLDER MATTERS.

MARKET INFORMATION

     There is no established public trading market for the Units.

HOLDERS

     There were approximately 743 holders of Units at March 15, 2000.

DIVIDENDS

     Pursuant to the Partnership Agreement, distributions of profits, if any,
will be made at the sole discretion of the General Partner. As of March 15, 2000
the General Partner had not made, and the General Partner does not currently
intend to make, any distributions.

RELATED STOCKHOLDER MATTERS

     In June 1996, the Partnership commenced a private placement of Units in
reliance on the exemptions afforded by, among others, Section 4(2) of the 1933
Act and Rule 506 of Regulation D promulgated thereunder. Similar reliance has
been placed on available exemptions from securities qualification requirements
under applicable state securities laws. Units are offered monthly at a price per
Unit equal to the then-current Net Asset Value per Unit plus a selling
commission equal to 5% unless such selling commission is waived in whole or in
part. The



                                       20
<PAGE>   21


minimum subscription is $26,250 for new investors other than benefit plan
investors (within the meaning of Department of Labor Regulation ss
2510.3-101(f)(2) ("Employee Benefit Plans") that meet the minimum investment
requirements that otherwise apply to prospective subscribers for Units, or
$10,500 for Employee Benefit Plans and existing Limited Partners, which amounts
include selling commissions of $1,250 and $500, respectively. A subscriber may
subscribe for Units in excess of the foregoing minimum amount in increments of
$[1000]. As of the date hereof, Units are continuing to be offered, and there is
no maximum number of Units that may be purchased or sold.

     During the fourth quarter of 1999, 2,303 Units were sold for a total of
$3,779,080.




                                       21
<PAGE>   22



ITEM 6.  FINANCIAL INFORMATION.

SELECTED FINANCIAL DATA

     The following Selected Financial Data is derived from the audited financial
statements of the Partnership for the years ended December 31, 1999, 1998 and
1997 and for the period June 18, 1996 (inception) to December 31, 1996. The
Partnership commenced trading operations on October 9, 1996. See "Index to
Financial Statements" at page F-1.


<TABLE>
<CAPTION>

                                                           YEAR ENDED                    PERIOD ENDED
                                         -------------------------------------------      DECEMBER 31,
                                              1999            1998           1997             1996
                                              ----            ----           ----             ----
<S>                                      <C>              <C>            <C>              <C>
Total Assets                             $ 48,842,564     $35,864,129    $13,814,909      $6,641,963

Total Partners' Capital                    47,732,793      35,559,179     13,550,922       6,535,088
Total Income                               (1,045,642)     12,380,097      4,056,330          25,451
Total Expenses                              7,361,761       5,996,006      2,269,650          79,124
Net Income (Loss)                          (8,407,403)      6,384,091      1,786,680         (53,673)

A Units
      Net Asset Value Per A Unit          $  1,609.53     $  1,829.21    $  1,283.62      $ 1,081,40
                                          ===========     ===========    ===========      ==========

    Net Income (Loss) Per A Unit
      (Based on weighted average of
      number of A Units outstanding
      during the period)                  $   (196.68)    $    555.83    $    130.21      $   (21.29)
                                          ===========     ===========    ===========      ==========

      Increase (Decrease) in Net Asset
      Value Per A Unit                    $    (219.68)   $     545.59   $    202.22      $    81.40
                                          ===========     ===========    ===========      ==========

B Units
      Net Asset Value Per B Unit          $  1,534.23     $  1,760.76    $  1,253.94
                                          ===========     ===========    ===========

Net Income (Loss) Per B Unit (Based on
      weighted average number of B Units
      outstanding during the period)     $    (370.99)    $    307.36    $    285.90
                                          ===========     ===========    ===========

Increase (Decrease) in Net Asset
      Value Per B Unit                    $   (226.53)    $    506.82    $    198.02
                                          ===========     ===========    ===========
</TABLE>

ITEM 7.  MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
         CONDITION AND RESULTS OF OPERATIONS

     The discussion below and elsewhere in this Form 10-K contains "forward
looking" information that are based on the beliefs of the Partnership, as well
as assumptions made by, and information currently available to, the Partnership.
A number of important factors could cause the Partnership's actual growth,
results, performance and business prospects and opportunities in 2000 and beyond
to differ materially from those expressed in, or implied by, any such forward
looking information.


                                       22
<PAGE>   23


     The assets of the Partnership are used to engage, directly or indirectly,
in the speculative trading of Investments. From time to time, a portion of such
proceeds may be used for transactions in the cash markets or for interbank
trading.

     The assets of the Partnership are deposited with the Broker in a trading
account established by the Partnership for the Advisor and are used by the
Partnership as margin to engage in trading. Such assets are held in either a
non-interest bearing bank account or in securities approved by the CFTC for
investment of customer funds. In addition, certain of the Partnership's assets
may also be placed in a custodian account with a cash manager to maximize the
interest earned on assets not committed as margin.

CAPITAL RESOURCES

     The Partnership does not have, nor does it expect to have, any capital
assets. Redemptions and sales of additional Units in the future will affect the
amount of funds available for trading Investments in subsequent periods.

     There are only three factors that affect the Partnership's capital
resources: (i) the trading profit or loss generated by the Advisor (including
interest income); (ii) the money invested or redeemed by the Limited Partners;
and (iii) capital invested or redeemed by the General Partner. The General
Partner has maintained, and shall maintain, at all times a capital account in
such an amount, up to a total of $500,000, as is necessary for the General
Partner to maintain a one percent (1%) interest in the capital, income and
losses of the Partnership. All capital contributions by the General Partner
necessary to maintain such capital account balance shall be evidenced by Units
of general partnership interest, each of which shall have an initial value equal
to the Net Asset Value per Unit at the time of such contribution. The General
Partner, in its sole discretion, may withdraw any excess above its required
capital contribution without notice to the Limited Partners. The General
Partner, in its sole discretion, may also contribute any greater amount to the
Partnership, for which it shall receive, at its option, additional Units of
general partnership interest at their then-current Net Asset Value.

RESULTS OF OPERATIONS

     The success of the Partnership is dependent upon the ability of the Advisor
to generate trading profits through the speculative trading of Investments
sufficient to produce capital appreciation after payment of all fees and
expenses. Future results will depend in large part upon the Investment markets
in general, the performance of the Advisor, the amount of additions and
redemptions, and changes in interest rates. Due to the highly leveraged nature
of Investment trading, small price movements may result in substantial losses.
Because of the nature of these factors and their interaction, it is impossible
to predict future operating results.

     The Partnership has incurred and will continue to incur substantial charges
from the payment of brokerage commissions to the Broker, management and/or
incentive fees to the Advisor, management fees, offering fees and/or incentive
fees to the General Partner and operating expenses. The Partnership is required
to make substantial trading profits to avoid depletion and exhaustion of its
assets from the above-mentioned fees and expenses.



                                       23
<PAGE>   24



     Due to the nature of the Partnership's business, the Partnership's trading
results depend on the Advisor and the ability of its individual trading system
to take advantage of price movement or other profit opportunities in the
Investment markets. The following paragraphs present a summary of the
Partnership's operations for the years indicated. It is important to note,
however, that the Advisor trades in various markets at different times and that
prior activity in a particular market does not mean that such markets will be
actively traded by an Advisor or will be profitable in the future. Consequently,
the results of operations of the Partnership can only be discussed in the
context of the overall trading activities of the Partnership, the Advisor's
trading activities on behalf of the Partnership as a whole and how the
Partnership has performed in the past.

     Set forth below is a summary of the results of operations of the
Partnership for the calendar years 1997 through 1999.

     As of December 31, 1999, the Net Asset Value of the Partnership was
$47,732,793, an increase of 34.23% from its Net Asset Value of $35,559,179 at
December 31, 1998. The Partnership's 1999 subscriptions and redemptions totaled
$27,390,118 and $6,809,101, respectively. For the year ended December 31, 1999,
the Partnership had revenue comprised of ($1,459,043) in realized losses,
($1,539,030) in unrealized losses and $1,952,431 in interest income. For that
same period, the Partnership had expenses comprised of $2,676,283 in brokerage
commissions, $877,660 in management fees, $2,103,117 in incentive fees,
$1,461,667 in General Partner offering fees and $243,034 in operating expenses.
This resulted in the Partnership having a net loss of ($8,407,403) for that
period. For the year ended December 31, 1999, the Net Asset Value of Class A
Units decreased (12.01%) from $1,829.21 at December 31, 1998 to $1,609.53 and
the Net Asset Value of Class B Units decreased (12.87%) from $1,760.76 to
$1,534.23. Approximately 58% of the Partnership's net losses during the year
ended December 31, 1999 were attributable to global interest rates, 7% to U.S.
stock indices, 11% to metals, 23% to tropicals, and 1% to meats.

     As of December 31, 1998, the Net Asset Value of the Partnership was
$35,559,179, an increase of approximately 162.41% from its Net Asset Value of
$13,550,922 at December 31, 1997. The Partnership's 1998 subscriptions and
redemptions totaled $18,134,670 and $2,510,504, respectively. For the year ended
December 31, 1998, the Partnership had revenue comprised of $10,374,018 in
realized gains, $943,011 in unrealized gains and $1,063,068 in interest income.
For that same period, the Partnership had expenses comprised of $1,400,182 in
brokerage commissions, $482,628 in management fees, $3,229,070 in incentive
fees, $748,537 in General Partner offering fees and $135,589 in operating
expenses. This resulted in the Partnership having a net gain of $6,384,091 for
that period. For the year ended December 31, 1998, the Net Asset Value of Class
A Units increased 42.5% from $1,283.62 to $1,829.21 and the Net Asset Value of
Class B Units increased 40.42% from $1,253.94 to $1,760.76. Approximately 76% of
the Partnership's net gains during 1998 were attributable to global interest
rates, 15% to European and U.S. stock indices, 6% to grains and 3% to meats.

     As of December 31, 1997, the Net Asset Value of the Partnership was
$13,550,922, an increase of approximately 107.36% from its Net Asset Value of
$6,535,088 at December 31, 1996. The Partnership's 1997 subscriptions and
redemptions totaled $8,507,205 and $3,278,051,



                                       24
<PAGE>   25


respectively. For the year ended December 31, 1997, the Partnership had revenue
comprised of $3,239,951 in realized gains, $353,365 in unrealized gains and
$463,014 in interest income. For that same period, the Partnership had expenses
comprised of $943,428 in brokerage commissions, $219,334 in management fees,
$702,920 in incentive fees, $324,867 in General Partner offering fees and
$79,101 in operating expenses. This resulted in the Partnership having a net
gain of $1,786,680 for that period. For the year ended December 31, 1997, the
Net Asset Value of Class A Units increased 18.70% from $1,081.40 at December 31,
1996 to $1,283.62. For the period April 1997 (inception of the Class B Units) to
December 31, 1997, the Net Asset Value of Class B Units increased 18.75% from
$1,055.92 to $1,253.94. Approximately 81% of the Partnership's net gains during
1997 were attributable to European and U.S. interest rates, 18% to energies and
1% to metals.

     For the reasons described in this section, past performance is not
indicative of future results. As a result, any recent increases in net realized
or unrealized trading gains may have no bearing on any results that may be
obtained in the future.

     To enhance the foregoing comparison of results of operations from year to
year, prospective investors can examine the Statements of Financial Condition
and the Statements of Operations for the periods described above.

LIQUIDITY

     Although there is no public market for the Units, a Limited Partner may
redeem his Units in the Partnership as of any month-end upon ten days' written
notice to the General Partner in the form of a request for redemption.

     With respect to the Partnership's trading, in general, the Advisor will
trade only Investments that have sufficient liquidity to enable it to enter and
close out positions without causing major price movements. Notwithstanding the
foregoing, most United States commodity exchanges limit the amount by which
certain commodities may move during a single day by regulations referred to as
"daily price fluctuation limits", or "daily limits". Pursuant to such
regulations, no trades may be executed on any given day at prices beyond daily
limits. The price of a futures contract has occasionally moved the daily limit
for several consecutive days, with little or no trading, thereby effectively
preventing a party from liquidating its position. While the occurrence of such
an event may reduce or effectively eliminate the liquidity of a particular
market, it will not limit ultimate losses and may in fact substantially increase
losses because of this inability to liquidate unfavorable positions. In
addition, if there is little or no trading in a particular futures or forward
contract that the Partnership is trading, whether such illiquidity is caused by
any of the above reasons or otherwise, the Partnership may be unable to execute
trades at favorable prices and/or may be unable or unwilling to liquidate its
position prior to its expiration date, thereby requiring the Partnership to make
or take delivery of the Underlying Interest.

     The Partnership's trading also may be impacted by the various conflicts of
interest between the Partnership and the General Partner, the Advisor, the
Broker, and their affiliates.



                                       25
<PAGE>   26



           QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

PAST RESULTS NOT NECESSARILY INDICATIVE OF FUTURE PERFORMANCE

     The Partnership is a speculative commodity pool. The market sensitive
instruments held by it are acquired for speculative trading purposes, and all or
substantially all of the Partnership's assets are subject to the risk of trading
loss. Unlike an operating company, the risk of market sensitive instruments is
integral, not incidental, to the Partnership's main line of business.

     Market movements result in frequent changes in the fair market value of the
Partnership's open positions and, consequently, in its earnings and cash flow.
The Partnership's market risk is influenced by a wide variety of factors,
including the level and volatility of interest rates, exchange rates, equity
price levels, the market value of financial instruments and contracts, the
diversification effects among the Partnership's open positions and the liquidity
of the markets in which it trades.

     The Partnership, under the direction of the Advisor, rapidly acquires and
liquidates both long and short positions in a wide range of different markets.
Consequently, it is not possible to predict how a particular future market
scenario will affect performance, and the Partnership's past performance is not
necessarily indicative of its future results.

     "Value at Risk" is a measure of the maximum amount which the Partnership
could reasonably be expected to lose in a given market sector. However, the
inherent uncertainty of the Partnership's speculative trading and the recurrence
in the markets traded by the Partnership of market movements far exceeding
expectations could result in actual trading or non-trading losses far beyond the
indicated Value at Risk or the Partnership's experience to date (i.e., "risk of
ruin"). In light of the foregoing as well as the risks and uncertainties
intrinsic to all future projections, the inclusion of the quantification
included in this section should not be considered to constitute any assurance or
representation that the Partnership's losses in any market sector will be
limited to Value at Risk or by the Partnership's attempts to manage its market
risk.

     STANDARD OF MATERIALITY. Materiality as used in this section, "Quantitative
and Qualitative Disclosures About Market Risk", is based on an assessment of
reasonably possible market movements and the potential losses caused by such
movements, taking into account the leverage, optionality and multiplier features
of the Partnership's market sensitive instruments.

QUANTIFYING THE PARTNERSHIP'S TRADING VALUE AT RISK

     QUANTITATIVE FORWARD-LOOKING STATEMENTS. 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 1933 Act and Section 21E of
the 1934 Act). 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 (such as the terms of particular contracts and the
number of market risk sensitive instruments held during or at the end of the
reporting period).



                                       26
<PAGE>   27



     The Partnership's risk exposure in the various market sectors traded by the
Advisor is quantified below in terms of Value at Risk. Due to the Partnership's
mark-to-market accounting, any loss in the fair value of the Partnership's open
positions is directly reflected in the Partnership's earnings (realized or
unrealized) and cash flow (at least in the case of exchange-traded contracts in
which profits and losses on open positions are settled daily through variation
margin).

     Exchange maintenance margin requirements have been used by the Partnership
as the measure of its Value at Risk. Maintenance margin requirements are set by
exchanges to equal or exceed the maximum losses reasonably expected to be
incurred in the fair value of any given contract in 95%-99% of any one-day
intervals. The maintenance margin levels are established by dealers and
exchanges using historical price studies as well as an assessment of current
market volatility (including the implied volatility of the options on a given
futures contract) and economic fundamentals to provide a probabilistic estimate
of the maximum expected near-term one-day price fluctuation. Maintenance margin
has been used rather than the more generally available initial margin, because
initial margin includes a credit risk component which is not relevant to Value
at Risk.

     In quantifying the Partnership's Value at Risk, 100% positive correlation
in the different positions held in each market risk category has been assumed.
Consequently, the margin requirements applicable to the open contracts have
simply been aggregated to determine each trading category's aggregate Value at
Risk. The diversification effects resulting from the fact that the Partnership's
positions are rarely, if ever, 100% positively correlated have not been
reflected.

THE PARTNERSHIP'S TRADING VALUE AT RISK IN DIFFERENT MARKET SECTORS

     The following table indicates the trading Value at Risk associated with the
Partnership's open positions by market category as of November 30, 1999. All
open position trading risk exposures of the Partnership have been included in
calculating the figures set forth below. As of November 30, 1999, the
Partnership's total capitalization was approximately $54.7 million.

                               NOVEMBER 30, 1999*
                               ------------------

      MARKET SECTOR          VALUE AT RISK   % OF TOTAL CAPITALIZATION
      -------------         --------------   -------------------------
Currencies                  $ 8.5 million             15.6%
Interest Rates                8.4 million             15.4%
Commodities                   1.9 million              3.5%
Stock Indices                 2.3 million              4.2%
Metals                        0.8 million              1.4%
Energy                        1.9 million              3.4%
                            -------------             -----
                  Total     $23.8 million             43.5%

---------------
* Value at Risk as of December 31, 1999 was $0 due to the full liquidation of
  all positions in anticipation of the passage of the Year 2000. In order to
  better reflect the Fund's typical Value at Risk, the table includes
  information as of November 30, 1999.



                                       27
<PAGE>   28



MATERIAL 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 maintenance margin requirement (maintenance
margin requirements generally ranging between approximately 1% and 10% of
contract face value) as well as many times the capitalization of the
Partnership. The magnitude of the Partnership's open positions creates a "risk
of ruin" not typically found in most other investment vehicles. Because of the
size of its positions, certain market conditions-unusual, but historically
recurring from time to time-could cause the Partnership to incur severe losses
over a short period of time. The foregoing Value at Risk table-as well as the
past performance of the Partnership-give no indication of this "risk of ruin".

NON-TRADING RISK

     The Partnership has non-trading market risk on its foreign cash balances
not needed for margin. However, these balances (as well as the market risk they
represent) are immaterial.

     As of December 31, 1999, the Partnership held the following fixed income
securities in its portfolio:



                                       28
<PAGE>   29



<TABLE>
<CAPTION>


    Face Value                       Description                            Value
-----------------    ---------------------------------------------      ------------


                     U.S. GOVERNMENT OBLIGATIONS

<S>                 <C>                                                 <C>
    $4,000,000       U.S. Treasury Notes, 5.50%, 8/31/01                 $4,027,701
       500,000       U.S. Treasury Notes, 5.50%, 7/31/01                    506,148
     4,300,000       U.S. Treasury Notes, 5.875%, 11/30/01                4,293,535
                                                                        ------------

                     Total U.S. Government Obligations
                     (cost, including accrued interest,-$8,875,495)       8,827,384
                                                                        ------------

                     FEDERAL AGENCY OBLIGATIONS

     1,000,000       Federal Home Loan Bank, Agency Bond,                   989,501
                            4.875%, 1/22/02
       201,723       Federal Home Loan Mortgage Corporation,                201,713
                            Gold 7-Year Balloon, 6.00%, 8/1/00
       800,000       Federal Home Loan Mortgage Corporation,                795,651
                            Agency Bond, 5.75%, 7/15/03
       100,000       Federal Home Loan Mortgage Corporation,                 99,275
                            Agency Bond 5.75%, 6/15/01
                     Federal Home Loan Mortgage Corporation,              1,004,355
     1,000,000              Agency Bond, 6.25%, 10/15/02
                     Federal National Mortgage Association,                 201,758
       200,000              Agency Bond, 6.03%, 10/23/00
                     Federal National Mortgage Association,
     1,460,000              Agency Bond, 6.375%, 1/16/02                  1,496,673
                                                                        ------------

                     Total Federal Agency Obligations
                     (cost, including accrued interest, -$4,899,025)      4,788,926
                                                                        ------------

                     TOTAL FIXED INCOME SECURITIES
                     (cost, including accrued interest - $13,774,520)   $13,616,310
                                                                        ============
</TABLE>



QUALITATIVE DISCLOSURES REGARDING PRIMARY TRADING RISK EXPOSURES

     The following qualitative disclosures regarding the Partnership's market
risk exposures-except for (i) those disclosures that are statements of
historical fact and (ii) the descriptions of how the Partnership manages its
primary market risk exposures-constitute forward-looking statements within the
meaning of Section 27A of the 1933 Act and Section 21E of the 1934 Act. The
Partnership's primary market risk exposures as well as the strategies used and
to be used by the General Partner and the 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.


                                       29
<PAGE>   30


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. There can be no assurance that the Partnership's current market
exposure and/or risk management strategies will not change materially or that
any such strategies will be effective in either the short- or long-term.
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 as
of November 30, 1999, by market sector.

     INTEREST RATES. Interest rate movements directly affect the price of the
sovereign bond positions held by the Partnership and indirectly the value of its
stock index and currency positions. Interest rate movements in one country as
well as relative interest rate movements between countries materially impact the
Partnership's profitability. The Partnership's primary interest rate exposure is
to interest rate fluctuations in the United States and the other G-7 countries.
However, the Partnership also takes positions in the government debt of smaller
nations-e.g., New Zealand and Australia. Kenmar anticipates that G-7 interest
rates will remain a significant market exposure of the Partnership for the
foreseeable future.

     CURRENCIES. The Partnership's currency exposure is to exchange rate
fluctuations, primarily fluctuations which disrupt the historical pricing
relationships between different currencies and currency pairs. These
fluctuations are influenced by interest rate changes as well as political and
general economic conditions. The Partnership trades in a large number of
currencies, including the Euro and Japanese Yen.

     STOCK INDICES. The Partnership's primary equity exposure is in the S & P
500. The stock index futures traded by the Partnership are by law limited to
futures on broadly based indices. Kenmar anticipates little, if any trading in
non-G-7 stock indices. The Partnership is primarily exposed to the risk of
adverse price trends or static markets in the major United States, European and
Japanese indices.

     METALS. The Partnership's primary metals market exposure is to fluctuations
in the prices of silver and copper. Kenmar anticipates that gold, silver
and copper will remain the primary metals market exposure for the Partnership.

     COMMODITIES. The Partnership's primary commodities exposure is to
agricultural price movements which are often directly affected by severe or
unexpected weather conditions. Corn, soybean oil and wheat accounted for a
substantial bulk of the Partnership's commodities exposure as of November 30,
1999.



                                       30
<PAGE>   31


Kenmar anticipates that the Advisor will maintain an emphasis on grains and
tropicals, in which the Partnership has historically taken its largest
positions.

     ENERGY. The Partnership's primary energy market exposure is to natural gas
price movements, often resulting from political developments in the Middle East.
Kenmar anticipates that the Advisor will maintain an emphasis on natural gas and
heating oil.

QUALITATIVE DISCLOSURES REGARDING NON-TRADING RISK EXPOSURE

     The following were the only non-trading risk exposures of the Partnership
as of November 30, 1999.

     FOREIGN CURRENCY BALANCES. The Partnership's primary foreign currency
balances are in Japanese yen, German marks, British pounds and French francs.
The Partnership controls the non-trading risk of these balances by regularly
converting these balances back into dollars.

     SECURITIES POSITIONS. The Partnership's only market exposure in instruments
held other than for trading is in its securities portfolio. The Partnership
holds only cash or interest-bearing money market accounts, short-term Treasury
bills and agency securities with durations generally less than 3 years. Violent
fluctuations in prevailing interest rates could cause interim mark-to-market
losses on the Partnership's securities, although substantially all of these
short-term instruments are held to maturity.

QUALITATIVE DISCLOSURES REGARDING MEANS OF MANAGING RISK EXPOSURE

     The means by which the Partnership and the Advisor attempt to manage the
risk of the Partnership's open positions is essentially the same in all market
categories traded. The Advisor applies its own risk management policies to its
trading. These policies generally limit the total exposure that may be taken per
"risk unit" of assets under management. In addition, the Advisor follows
diversification guidelines (often formulated in terms of the maximum margin
which they will commit to positions in any one contract or group of related
contracts), as well as imposing "stop-loss" points at which open positions must
be closed out. Occasionally, the Advisor will limit the market exposure of its
Partnership account through acquiring put or call options which "collar" the
risk of open positions. However, because of the typically high degree of
liquidity in the markets traded by the Partnership and the expense of acquiring
options, the Advisor mostly relies on stop-loss policies, requiring the
liquidation of positions once losses of a certain magnitude have been incurred.

     The General Partner controls the risk of the Partnership's non-trading
instruments (interest-bearing securities held for cash management purposes)-the
only Partnership investments, as opposed to Advisor selections, directed by the
General Partner-generally limiting the duration of such instruments to no more
than 3 years.



                                       31
<PAGE>   32



ITEM 8.  FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA.

     The Partnership's financial statements, together with the auditor's report
thereon, are included on pages F-1 through F-9 hereof.

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.

     The General Partner, Kenmar Advisory Corp., is the sole general partner of
the Partnership. The General Partner, a corporation originally organized as a
New York corporation in September 1983 and reorganized as a Connecticut
corporation on January 1, 1996. The General Partner has been registered with the
CFTC as a CPO and a member in good standing of the NFA in such capacity since
February 1984. Its address is Two American Lane, P.O. Box 5150, Greenwich,
Connecticut 06831-8150 and its telephone number is (203) 861-1000. It is owned
equally and indirectly by Messrs. Shewer and Goodman. The directors and
executive officers of the General Partner currently are as follows:

     MR. KENNETH A. SHEWER, age 47, has been the Chairman and a director of the
General Partner since September 1983. Mr. Shewer was employed by Pasternak, Baum
and Co., Inc. ("Pasternak, Baum"), an international cash commodity firm, from
June 1976 until September 1983. Mr. Shewer left Pasternak, Baum in September
1983 to form Kenmar Advisory Corp. with Mr. Goodman. Mr. Shewer created and
managed Pasternak, Baum's Grain Logistics and Administration Department and
created its Domestic Corn and Soybean Trading Department. In 1982, Mr. Shewer
became co-manager of Pasternak, Baum's F.O.B. Corn Department. In 1983, Mr.
Shewer was made Vice President and Director of Pasternak, Baum. Mr. Shewer
graduated from Syracuse University with a B.S. degree in 1975.

     MR. MARC S. GOODMAN, age 52, has been the President and a director of the
General Partner since September 1983. Mr. Goodman joined Pasternak, Baum in
September 1974 and was a Vice President and Director from July 1981 until
September 1983. Mr. Goodman left Pasternak, Baum in September 1983 to form
Kenmar Advisory Corp. with Mr. Shewer. While at Pasternak, Baum, Mr. Goodman was
largely responsible for business development outside of the United States, for
investment of its corporate retirement funds and for selecting trading
personnel. Mr. Goodman has conducted extensive business in South America, Europe
and the Far East. Mr. Goodman was awarded an Economics and Finance Department
Fellowship from September 1969 through June 1971. Mr. Goodman graduated from the
Bernard M. Baruch School of Business of the City University of New York with a
B.B.A. in 1969 and an M.B.A. in 1971 in Finance and Investments.



                                       32
<PAGE>   33


     MS. ESTHER ECKERLING GOODMAN, age 48, has been the Senior Executive Vice
President of the General Partner since March 1991 and has also served as Chief
Operating Officer of the General Partner since October 1995. Ms. Goodman joined
Kenmar in July 1986 and has been involved in the futures industry since 1974.
From 1974 through 1976, she was employed by Conti-Commodity Services, Inc. and
ACLI Commodity Services, Inc., in the areas of hedging, speculative trading and
tax arbitrage. In 1976, Ms. Goodman joined Loeb Rhoades and Company, Inc., where
she was responsible for the development and management of a managed futures
program which, in 1979, became the trading system for an independent CTA of
which Ms. Goodman was a founder and principal. From 1983 through mid-1986, Ms.
Goodman was employed as a marketing executive at Commodities Corp. (USA) of
Princeton, New Jersey. Ms. Goodman was a Director of the Managed Futures
Association and its predecessor, the Managed Futures Trade Association, from
1987 through 1995. In addition, she has written several articles and has spoken
before various professional groups and organizations on the subject of managed
futures. Ms. Goodman attended Vassar College from 1970-1972 and graduated from
Stanford University in 1974 with a B.A. degree. Ms. Goodman is married to Mr.
Marc S. Goodman.

     MR. ROBERT L. CRUIKSHANK, age 64, joined the General Partner as its
Executive Vice President in March 1991. Mr. Cruikshank spent 20 years
(1958-1978) at Blyth Eastman Dillon in New York and was its Executive Vice
President in charge of the Securities Division, which included all domestic and
international sales and branch office activities, all trading departments and
the research areas. In 1979, Mr. Cruikshank jointly formed Neild, Cruikshank &
Co., an independent market-maker on the Chicago Board of Options Exchange
("CBOE"), where he remained until 1984, when he formed his own market making
firm, Nassau Corporation. From 1982 to 1984 Mr. Cruikshank also served as
Director and Vice Chairman of the Board of the CBOE, during which time he was
instrumental in the development of the S&P 100 (OEX) option contract. From 1985,
when he left Nassau Corporation, until March 1991, he served as President and
CEO of First Capital Financial Corporation, a national real estate syndication
firm owned by Sam Zell. Mr. Cruikshank graduated cum laude from Princeton
University with a B.A. degree in economics in 1958.

     Each director of the General Partner serves until the next annual meeting
of stockholders or until a successor is elected. Executive officers of the
General Partner are appointed annually and serve at the discretion of its Board
of Directors. Messrs. Shewer and Goodman hold directorships in various
affiliates of the General Partner.




                                       33
<PAGE>   34



SIGNIFICANT EMPLOYEES OF THE GENERAL PARTNER

     MR. THOMAS J. DIVUOLO, age 40, Senior Vice President responsible for
account administration, oversight and risk management, joined the General
Partner in March 1989. From 1982 through 1984, Mr. DiVuolo was employed by
Balfour Maclaine International Ltd. working in the commodity accounting and
compliance areas. From 1984 through 1986 he was employed at E.F. Hutton and
Company, Inc. as a manager of commodity regulatory reporting. From 1986 until he
joined the General Partner in 1989, Mr. DiVuolo worked for Lloyds International
Trading, a commodity trading division of Lloyds Bank. Mr. DiVuolo is a 1982
graduate of Pace University with a B.B.A. degree in Public Accounting. He
received his M.B.A. in Finance from Wagner College in 1990.

     MR. GARY J. YANNAZZO, age 47, Senior Vice President and Chief Financial
Officer, joined the General Partner in August 1997. From March 1992 to July
1995, he was Senior Vice President and Controller of Mettallgesellschaft Corp.,
a diversified commodity marketing and trading company, with 30 worldwide
subsidiaries and $5 billion in annual revenues. From January 1990 through
February 1992, Mr. Yannazzo was President, Chief Executive Officer and part
owner of Holland Mortgage Corporation. From December 1982 through November 1989,
Mr. Yannazzo was First Vice President of Security Capital Corporation, a
publicly traded financial services company and affiliate of Smith Barney, Inc.
From June 1975 through November 1982, Mr. Yannazzo was with Arthur Andersen &
Co., serving as an Audit Manager from June 1980. From August 1995 until he
joined the General Partner, Mr. Yannazzo was a private consultant, engaged
primarily in projects and ventures in the commodity and derivative areas. Mr.
Yannazzo received his B.S. in business administration from Seton Hall University
in 1975 and his certified public accountant certification in 1977.

     MR. JEFFREY S. ROTHSTEIN, age 43, Vice President and Chief Information
Officer, joined the General Partner in May of 1996. From August 1991 to April
1996, Mr. Rothstein was Vice President in charge of Commodity Trading Systems
Development and Support at AIG Trading Group, AIG's commodity trading
subsidiary. From January 1986 through July 1991, he worked for Bankers Trust
Company, building equity trading systems, and marketing and implementing foreign
exchange trading systems at international merchant banks. From September 1981
through June 1985, Mr. Rothstein was employed as a programmer, project leader
and manager by Digital Equipment Corporation; he was with Hewlett Packard
Company from July 1979 through September 1981. Mr. Rothstein received an M.B.A.
from Columbia University in December 1985 and a B.S. in Computer Science from
Cornell University in 1979.

SECTION 16(a) BENEFICIAL OWNERSHIP REPORTING COMPLIANCE

     Section 16(a) of the Securities Exchange Act of 1934, as amended, requires
the General Partner and the directors of the General Partner to file reports of
ownership and changes in ownership with the Securities and Exchange Commission.
Such persons also are required to furnish the Partnership with copies of all
Section 16(a) forms they file. Based solely on its review of copies of such
forms received by it, the Partnership notes that during 1999, Messrs. Shewer and
Goodman and the General Partner each filed one untimely report. The Partnership
believes that all other Section 16(a) filing requirements applicable to the
reporting persons were complied with by them.

ITEM 11. EXECUTIVE COMPENSATION.

     The Partnership has no directors or officers. As a limited partnership, the
business of the Partnership is managed by its General Partner which is
responsible for the administration of the business affairs of the Partnership
and receives the compensation described in "Item 1. Business".



                                       34
<PAGE>   35

ITEM 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT.

     The Partnership has no directors or officers. The Partnership delegates all
management of the Partnership's affairs to the General Partner. As of December
31, 1999, the General Partner owned 107.1387 Class A and 217.7298 Class B units
of general partnership interest, representing a 1.06% investment in the
Partnership. The General Partner is indirectly and equally owned by Messrs.
Kenneth A. Shewer and Marc S. Goodman.

ITEM 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS.

     The General Partner is the sole general partner of the Partnership and
manages and conducts the business of the Partnership. The Partnership Agreement
provides that the General Partner may be compensated in such form(s) and in such
amount as the General Partner, in its sole discretion, shall determine, after
giving due weight to industry standards. As more fully described in Item 1
hereto, to compensate the General Partner for its management and operations of
the Partnership, its management and monitoring of the portfolio of the Advisor,
the General Partner currently receives 1/2 for Class A and 4/7 for Class B of
the Advisor's management fee and 1/2 for Class A and 4/11 for Class B of the
Advisor's incentive fee, and an offering fee. For the year ended December 31,
1999, the General Partner received $482,052 in management fees, $833,666 in
incentive fees and $1,461,667 in offering fees. See "Item 1. Business - Fees and
Expenses - Fees to the Advisor." In addition, because the General Partner
negotiated a brokerage commission rate for the Partnership which is generally
lower than the rate available to the public, the General Partner may receive
from the Broker a portion of the brokerage commissions paid by the Partnership
to the Broker. See "Item 1. Business--Fees and Expenses--Fees to the General
Partner".

ITEM 14. EXHIBITS, FINANCIAL STATEMENT SCHEDULES, AND REPORTS
         ON FORM 10-K

    (a)  The following documents are filed as part of this Form 10-K:

         (1) The following financial statements of the Partnership, with the
             independent auditor's report, are filed as part of this Form 10-K:

         Independent Auditor's Report
         Statements of Financial Condition as of December 31, 1999 and 1998
         Schedule of Securities as of December 31, 1999
         Statements of Operations for the Years Ended December 31, 1999, 1998
             and 1997
         Statements of Changes in Partners' Capital (Net Asset Value)



                                       35
<PAGE>   36
             For the Years Ended December 31, 1999, 1998 and 1997
             Notes to Financial Statements


         (2) All financial schedules are omitted because such schedules are not
             required or the information required has been presented in the
             aforementioned financial statements.

         (3) The following exhibits are filed with this report and incorporated
             by reference as set forth below:

Exhibit No.     Description

3.1             Certificate of Limited Partnership for the Dennis Fund Limited
                Partnership, dated June 17, 1996, incorporated herein by
                reference to the Registrant's Registration Statement on Form 10
                dated June 22, 1999.


3.2             Limited Partnership Agreement of The Dennis Fund Limited
                Partnership, dated June 18, 1996 and as amended December 15,
                1997, incorporated herein by reference to the Registrant's
                Registration Statement on Form 10 dated June 22, 1999.


10.1            Customer Agreement between the Partnership and E.D. & F. Man
                International Inc., dated August 27, 1996, incorporated herein
                by reference to the Registrant's Registration Statement on Form
                10 dated June 22, 1999.

10.2            Cover Letter and Model Advisory Agreement between The Dennis
                Fund Limited Partnership and Kenmar Advisory Corp., dated August
                27, 1996, as amended January 15, 1997, incorporated herein by
                reference to the Registrant's Registration Statement on Form 10
                dated June 22, 1999.


27.1            Financial Data Schedule (Class A Units).

27.2            Financial Data Schedule (Class B Units).

     (b) Reports on Form 8-K:

         The Partnership did not file any reports on Form 8-K during the fourth
         quarter of 1999.

                                       36
<PAGE>   37

                        [ARTHUR F. BELL, JR. LETTERHEAD]



                          INDEPENDENT AUDITOR'S REPORT


To the Partners
The Dennis Fund Limited Partnership


We have audited the accompanying statements of financial condition of The Dennis
Fund Limited Partnership as of December 31, 1999 and 1998, including the
December 31, 1999 schedule of securities, and the related statements of
operations and changes in partners' capital (net asset value) for the years
ended December 31, 1999, 1998 and 1997. These financial statements are the
responsibility of the Partnership's management. Our responsibility is to express
an opinion on these financial statements based on our audits.

We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. Our procedures included
confirmation of securities owned as of December 31, 1999 and 1998, by
correspondence with brokers. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.

In our opinion, the financial statements referred to above present fairly, in
all material respects, the financial position of The Dennis Fund Limited
Partnership as of December 31, 1999 and 1998, and the results of its operations
and the changes in its net asset values for the years ended December 31, 1999,
1998 and 1997, in conformity with generally accepted accounting principles.




/s/ Arthur F. Bell, Jr. & Associates, L.L.C.


Hunt Valley, Maryland
February 11, 2000


                                      F-1
<PAGE>   38
                       THE DENNIS FUND LIMITED PARTNERSHIP
                        STATEMENTS OF FINANCIAL CONDITION
                           December 31, 1999 and 1998

                                  ------------


<TABLE>
<CAPTION>
                                                               1999         1998
                                                               ----         ----
<S>                                                        <C>           <C>
ASSETS
    Equity in broker trading accounts
       Cash                                                $ 4,415,465   $19,677,383
       Unrealized gain on open contracts                             0     1,383,936
                                                           -----------   -----------

              Deposits with broker                           4,415,465    21,061,319

    Cash and cash equivalents                               30,682,976     3,279,209
    Fixed income securities (cost, including
       accrued interest, - $13,774,520 and $11,322,815)     13,616,310    11,319,699
    Subscriptions receivable                                   127,813       203,902
                                                           -----------   -----------

              Total assets                                 $48,842,564   $35,864,129
                                                           ===========   ===========

LIABILITIES
    Accounts payable                                       $    72,870   $    84,488
    Commissions and other trading fees
       on open contracts                                             0        22,505
    General Partner offering fee                               136,856        77,444
    Advisor management fee                                      71,329        50,836
    Redemptions payable                                        828,716        44,677
    Subscription received in advance                                 0        25,000
                                                           -----------   -----------

              Total liabilities                              1,109,771       304,950
                                                           -----------   -----------

PARTNERS' CAPITAL (NET ASSET VALUE)
    General Partner:
       A Units - 107.1387 units outstanding
          at December 31, 1999 and 1998                        172,443       195,979
       B Units - 217.7298 and 131.8532 units outstanding
          at December 31, 1999 and 1998                        334,048       232,161
    Limited Partners:
       A Units - 6,263.5875 and 6,923.1908 units
          outstanding at December 31, 1999 and 1998         10,081,458    12,663,939
       B Units - 24,210.7330 and 12,759.9200 units
          outstanding at December 31, 1999 and 1998         37,144,844    22,467,100
                                                           -----------   -----------

              Total partners' capital
                  (Net Asset Value)                         47,732,793    35,559,179
                                                           -----------   -----------

                                                           $48,842,564   $35,864,129
                                                           ===========   ===========
</TABLE>


                             See accompanying notes.

                                      F-2


<PAGE>   39
                       THE DENNIS FUND LIMITED PARTNERSHIP
                             SCHEDULE OF SECURITIES
                                December 31, 1999

                                  ------------


<TABLE>
<CAPTION>
FIXED INCOME SECURITIES (28.5%) *

     Face Value            Description                                                        Value
     ----------            -----------                                                        -----
     <S>                   <C>                                                             <C>
                           U.S. GOVERNMENT OBLIGATIONS (18.5%)

       4,000,000           U.S. Treasury Notes, 5.50%, 8/31/01                             $  4,027,701
         500,000           U.S. Treasury Notes, 5.50%, 7/31/01                                  506,148
       4,300,000           U.S. Treasury Notes, 5.875%, 11/30/01                              4,293,535
                                                                                          -------------

                           TOTAL U.S. GOVERNMENT OBLIGATIONS
                               (COST, INCLUDING ACCRUED INTEREST, - $8,875,495)               8,827,384
                                                                                          -------------

                           FEDERAL AGENCY OBLIGATIONS (10.0%)

       1,000,000           Federal Home Loan Bank, Agency Bond,
                               4.875%, 1/22/02                                                  989,501
         201,723           Federal Home Loan Mortgage Corporation,
                               Gold 7-Year Balloon, 6.00%, 8/1/00                               201,713
         800,000           Federal Home Loan Mortgage Corporation,
                               Agency Bond, 5.75%, 7/15/03                                      795,651
         100,000           Federal Home Loan Mortgage Corporation,
                               Agency Bond, 5.75%, 6/15/01                                       99,275
       1,000,000           Federal Home Loan Mortgage Corporation,
                               Agency Bond, 6.25%, 10/15/02                                   1,004,355
         200,000           Federal National Mortgage Association,
                               Agency Bond, 6.03%, 10/23/00                                     201,758
       1,460,000           Federal National Mortgage Association,
                               Agency Bond, 6.375%, 1/16/02                                   1,496,673
                                                                                          -------------

                           TOTAL FEDERAL AGENCY OBLIGATIONS
                               (COST, INCLUDING ACCRUED INTEREST, - $4,899,025)               4,788,926
                                                                                          -------------

                           TOTAL FIXED INCOME SECURITIES
                               (COST, INCLUDING ACCRUED INTEREST, - $13,774,520)            $13,616,310
                                                                                            ===========
</TABLE>


   * Percent of December 31, 1999 Net Asset Value is shown for each category.


                             See accompanying notes.

                                      F-3


<PAGE>   40
                       THE DENNIS FUND LIMITED PARTNERSHIP
                            STATEMENTS OF OPERATIONS
              For the Years Ended December 31, 1999, 1998 and 1997

                                  ------------

<TABLE>
<CAPTION>
                                                             1999            1998            1997
                                                             ----            ----            ----
<S>                                                      <C>             <C>             <C>
INCOME
    Commodity trading gains (losses)
       Realized                                          $ (1,225,471)   $ 10,291,095    $  3,238,488
       Change in unrealized                                (1,383,936)        955,139         344,353
                                                         ------------    ------------    ------------

              Gain (loss) from commodity trading           (2,609,407)     11,246,234       3,582,841
                                                         ------------    ------------    ------------

    Fixed income securities gains (losses)
       Realized                                              (233,572)         82,923           1,463
       Change in unrealized                                  (155,094)        (12,128)          9,012
                                                         ------------    ------------    ------------

              Gain (loss) from fixed income securities       (388,666)         70,795          10,475
                                                         ------------    ------------    ------------

    Interest income                                         1,952,431       1,063,068         463,014
                                                         ------------    ------------    ------------

              Total income (loss)                          (1,045,642)     12,380,097       4,056,330
                                                         ------------    ------------    ------------

EXPENSES
    Brokerage commissions                                   2,676,283       1,400,182         943,428
    General Partner offering fee                            1,461,667         748,537         324,867
    Advisor management fee                                    877,660         482,628         219,334
    Advisor incentive fee                                   2,103,117       3,229,070         702,920
    Operating expenses                                        243,034         135,589          79,101
                                                         ------------    ------------    ------------

              Total expenses                                7,361,761       5,996,006       2,269,650
                                                         ------------    ------------    ------------

              NET INCOME (LOSS)                          $ (8,407,403)   $  6,384,091    $  1,786,680
                                                         ============    ============    ============

A UNITS
    NET INCOME (LOSS) PER A UNIT
       (based on weighted average number of
       A Units outstanding during the period)            $    (196.68)   $     555.83    $     130.21
                                                         ============    ============    ============

    INCREASE (DECREASE) IN NET
       ASSET VALUE PER A UNIT                            $    (219.68)   $     545.59    $     202.22
                                                         ============    ============    ============

B UNITS
    NET INCOME (LOSS) PER B UNIT
       (based on weighted average number of
       B Units outstanding during the period)            $    (370.99)   $     307.36    $     285.90
                                                         ============    ============    ============

    INCREASE (DECREASE) IN NET
       ASSET VALUE PER B UNIT                            $    (226.53)   $     506.82    $     198.02
                                                         ============    ============    ============
</TABLE>


                             See accompanying notes.

                                      F-4


<PAGE>   41
                       THE DENNIS FUND LIMITED PARTNERSHIP
          STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
              For the Years Ended December 31, 1999, 1998 and 1997

                                  ------------

<TABLE>
<CAPTION>
                                                                   Partners' Capital
                                   --------------------------------------------------------------------------------
                                                 A  Units                                    B Units
                                   --------------------------------------------------------------------------------
                                                  General       Limited                    General          Limited
                                       Units      Partner      Partners        Units       Partner         Partners        Total
                                       -----      -------      --------        -----       -------         --------        -----
<S>                                <C>           <C>        <C>            <C>            <C>             <C>          <C>
Balances at
    December 31, 1996               6,043.1514   $  70,402  $  6,464,686         0.0000   $       0      $         0   $  6,535,088

Net income for the year
    ended December 31, 1997                         19,123     1,077,109                      6,515          683,933      1,786,680

Additions                           4,046.4401      48,000     4,577,840     3,676.3211      34,000        3,847,365      8,507,205

Redemptions                        (2,445.0488)          0    (2,444,497)     (695.1085)          0         (833,554)    (3,278,051)
                                   -----------   ---------  ------------   ------------   ---------      -----------   ------------

Balances at
    December 31, 1997               7,644.5427     137,525     9,675,138     2,981.2126      40,515        3,697,744     13,550,922

Net income for the year
    ended December 31, 1998                         58,454     4,010,069                     23,646        2,291,922      6,384,091

Additions                               0.0000           0             0    10,729.4750     168,000       17,966,670     18,134,670

Redemptions                          (614.2132)          0    (1,021,268)     (818.9144)          0       (1,489,236)    (2,510,504)
                                   -----------   ---------  ------------   ------------   ---------      -----------   ------------

Balances at
    December 31, 1998               7,030.3295     195,979    12,663,939    12,891.7732     232,161       22,467,100     35,559,179

Net (loss) for the year
    ended December 31, 1999                        (23,536)   (1,304,782)                   (42,113)      (7,036,972)    (8,407,403)

Additions                               0.0000           0             0    14,691.3469     144,000       27,246,118     27,390,118

Redemptions                          (659.6033)          0    (1,277,699)   (3,154.6573)          0       (5,531,402)    (6,809,101)
                                   -----------   ---------  ------------   ------------   ---------      -----------   ------------
Balances at
    December 31, 1999               6,370.7262   $ 172,443  $ 10,081,458    24,428.4628   $ 334,048      $37,144,844   $ 47,732,793
                                   ===========   =========  ============   ============   =========      ===========   ============

<CAPTION>
                                                          A Units                                  B Units
                                            ----------------------------------       -----------------------------------
                                                  Net Asset Value Per Unit                 Net Asset Value Per Unit
                                            ----------------------------------       -----------------------------------
                                                          December 31,                            December 31,
                                              1999         1998        1997            1999          1998        1997
                                              ----         ----        ----            ----          ----        ----
                                            <C>         <C>          <C>             <C>          <C>          <C>
                                            $1,609.53   $1,829.21    $1,283.62       $1,534.23    $1,760.76    $1,253.94
                                            =========   =========    =========       =========    =========    =========
</TABLE>

                            See accompanying notes.

                                      F-5


<PAGE>   42
                       THE DENNIS FUND LIMITED PARTNERSHIP
                          NOTES TO FINANCIAL STATEMENTS

                                  ------------


Note 1.    ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

           A.     General Description of the Partnership

                  The Dennis Fund Limited Partnership (the Partnership) is a
                  Connecticut limited partnership which operates as a commodity
                  pool. The Partnership engages in the speculative trading of
                  futures contracts and options on futures contracts. It is
                  subject to the regulations of the Commodity Futures Trading
                  Commission, an agency of the United States (U.S.) government
                  which regulates most aspects of the commodity futures
                  industry; rules of the National Futures Association, an
                  industry self-regulatory organization; and the requirements of
                  commodity exchanges and Futures Commission Merchants (brokers)
                  through which the Partnership trades.

                  During 1999, the Partnership became subject to the
                  informational requirements of the Securities Exchange Act of
                  1934. Accordingly, the Partnership is subject to the
                  regulations of the Securities and Exchange Commission.

                  Investments made prior to April 30, 1997 are referred to as "A
                  Units" and investments made on or after April 30, 1997 are
                  referred to as "B Units." The initial net asset value per B
                  Unit was the net asset value per A Unit at April 30, 1997. The
                  only difference between A Units and B Units are the advisor
                  management and incentive fee rates as further described in
                  Note 3.

           B.     Method of Reporting

                  The Partnership's financial statements are presented in
                  accordance with generally accepted accounting principles,
                  which require the use of certain estimates made by the
                  Partnership's management.

           C.     Commodities

                  Gains or losses are realized when contracts are liquidated.
                  Unrealized gains or losses on open contracts (the difference
                  between contract purchase price and quoted market price) are
                  reflected in the statement of financial condition. Any change
                  in net unrealized gain or loss from the preceding period is
                  reported in the statement of operations. Brokerage commissions
                  include other trading fees and are charged to expense when
                  contracts are opened.

           D.     Cash and Cash Equivalents

                  Cash and cash equivalents includes cash and all highly liquid
                  investments, including money market mutual funds and other
                  investments with a maturity of three months or less from the
                  date of purchase.

           E.     Fixed Income Securities

                  Fixed income securities are reported at market value plus
                  accrued interest. Fixed income securities transactions are
                  accounted for on the trade date. Interest income is recorded
                  on the accrual basis.



                                      F-6


<PAGE>   43
                       THE DENNIS FUND LIMITED PARTNERSHIP
                    NOTES TO FINANCIAL STATEMENTS (CONTINUED)

                                  ------------


Note 1.    ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
           (CONTINUED)

           F.     Income Taxes

                  The Partnership prepares calendar year U.S. and state
                  information tax returns and reports to the partners their
                  allocable shares of the Partnership's income, expenses and
                  trading gains or losses.

           G.     Foreign Currency Transactions

                  The Partnership's functional currency is the U.S. dollar;
                  however, it transacts business in currencies other than the
                  U.S. dollar. Assets and liabilities denominated in currencies
                  other than the U.S. dollar are translated into U.S. dollars at
                  the rates in effect at the date of the statement of financial
                  condition. Income and expense items denominated in currencies
                  other than the U.S. dollar are translated into U.S. dollars at
                  the rates in effect during the period. Gains and losses
                  resulting from the translation to U.S. dollars are reported in
                  income currently.

Note 2.    GENERAL PARTNER

           The General Partner of the Partnership is Kenmar Advisory Corp.,
           which conducts and manages the business of the Partnership. The
           Limited Partnership Agreement requires the General Partner to
           maintain a capital account of no less than the lesser of 1% of the
           aggregate capital accounts of all partners or $500,000.

           Effective February 1, 1998, for managing the continuing offering of
           units, the General Partner receives a monthly offering fee equal to
           0.25% (3% annually) of that month's beginning Net Asset Value (as
           defined in the Limited Partnership Agreement) of the Partnership.
           Prior to February 1, 1998, the General Partner received a monthly
           offering fee equal to .25% (3% annually) of the prior month's
           beginning Net Asset Value (as defined) of the Partnership. Commencing
           April 1998, the General Partner rebated to Million Dollar Investors
           (as defined in the Confidential Private Placement Memorandum and
           Disclosure Document) a monthly amount equal to two-thirds of the
           offering fee applicable to such Million Dollar Investors. Such
           rebates were made to Million Dollar Investors by issuing additional B
           Units.

           A portion of the brokerage commissions paid by the Partnership to the
           broker is, in turn, paid by the broker to the General Partner.

Note 3.    COMMODITY TRADING ADVISOR

           The Partnership has an advisory agreement with Dennis Trading Group,
           Inc. (the commodity trading advisor) pursuant to which the A Units
           pay a monthly management fee of 1/6 of 1% (2% annually) of the
           month-end Net Asset Value of the subaccount (as defined in the
           advisory agreement) and a quarterly incentive fee equal to 25% of the
           Net New Trading Profits (as defined). The commodity trading advisor
           and General Partner each receive one-half of the management and
           incentive fees applicable to A Units. Pursuant to the advisory
           agreement, the B Units pay a monthly management fee of 1/12 of 1.75%
           (1.75% annually) of the month-end Net Asset Value of the subaccount
           (as defined) and a quarterly incentive fee equal to 27.5% of the Net
           New Trading Profits (as defined). The commodity trading advisor
           receives 3/7 of the management fee and 7/11 of the incentive fee
           applicable to B Units and the General Partner receives 4/7 of the
           management fee and 4/11 of the incentive fee applicable to B Units.


                                      F-7


<PAGE>   44
                       THE DENNIS FUND LIMITED PARTNERSHIP
                    NOTES TO FINANCIAL STATEMENTS (CONTINUED)

                                  ------------


Note 4.    DEPOSITS WITH BROKER

           The Partnership deposits cash with ED & F Man Inc. to act as broker
           subject to Commodity Futures Trading Commission regulations and
           various exchange and broker requirements. Margin requirements are
           satisfied by the deposit of cash with such broker. The Partnership
           earns interest income on its cash deposited with the broker.

Note 5.    SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS

           Investments in the Partnership are made by subscription agreement,
           subject to acceptance by the General Partner. The subscription price
           is equal to the Net Asset Value of the units purchased plus a 5%
           selling commission, unless such selling commission is waived in whole
           or in part by the General Partner. Additions to partners' capital are
           shown net of such selling commissions which amounted to $280,563,
           $198,839 and $164,086 in 1999, 1998 and 1997, respectively.

           The Partnership is not required to make distributions, but may do so
           at the sole discretion of the General Partner. A Limited Partner may
           request and receive redemption of units owned, subject to
           restrictions in the Limited Partnership Agreement.

Note 6.    TRADING ACTIVITIES AND RELATED RISKS

           The Partnership engages in the speculative trading of U.S. and
           foreign futures contracts and options on U.S. and foreign futures
           contracts (collectively, "derivatives"). These derivatives include
           both financial and non-financial contracts held as part of a
           diversified trading program. The Partnership is exposed to both
           market risk, the risk arising from changes in the market value of the
           contracts, and credit risk, the risk of failure by another party to
           perform according to the terms of a contract.

           Purchase and sale of futures and options on futures contracts
           requires margin deposits with the broker. Additional deposits may be
           necessary for any loss on contract value. The Commodity Exchange Act
           requires a broker to segregate all customer transactions and assets
           from such broker's proprietary activities. A customer's cash and
           other property (for example, U.S. Treasury bills) deposited with a
           broker are considered commingled with all other customer funds
           subject to the broker's segregation requirements. In the event of a
           broker's insolvency, recovery may be limited to a pro rata share of
           segregated funds available. It is possible that the recovered amount
           could be less than total cash and other property deposited.

           The Partnership has a substantial portion of its assets on deposit
           with brokers and dealers in securities and other financial
           institutions in connection with its cash management activities. In
           the event of a financial institution's insolvency, recovery of
           Partnership assets on deposit may be limited to account insurance or
           other protection afforded such deposits. In the normal course of
           business, the Partnership does not require collateral from such
           financial institutions.

           For derivatives, risks arise from changes in the market value of the
           contracts. Theoretically, the Partnership is exposed to a market risk
           equal to the value of futures contracts purchased and unlimited
           liability on such contracts sold short. As both a buyer and seller of
           options, the Partnership pays or receives a premium at the outset and
           then bears the risk of unfavorable changes in the price of the
           contract underlying the option. Written options expose the
           Partnership to potentially unlimited liability, and purchased options
           expose the Partnership to a risk of loss limited to the premiums
           paid.


                                      F-8


<PAGE>   45
                       THE DENNIS FUND LIMITED PARTNERSHIP
                    NOTES TO FINANCIAL STATEMENTS (CONTINUED)

                                  ------------


Note 6.    TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)

           The fair value of derivatives represents unrealized gains and losses
           on open futures contracts and long and short options at market value.
           The average fair value of derivatives during 1999, 1998 and 1997, was
           approximately $2,390,000, $880,000 and $600,000, respectively, and
           the related fair values as of December 31, 1999 and 1998 are $0 and
           $1,383,936, respectively.

           Net trading results from derivatives for the years ended December 31,
           1999, 1998 and 1997, are reflected in the statement of operations and
           equal gain (loss) from commodity trading less brokerage commissions.
           Such trading results reflect the net gain (loss) arising from the
           Partnership's speculative trading of futures contracts and options on
           futures contracts.

           At December 31, 1999 and 1998, the notional amount of open contracts
           is as follows:

                             1999                              1998
                             ----                              ----
                 Contracts to    Contracts to    Contracts to       Contracts to
                   Purchase          Sell          Purchase             Sell
                   --------          ----          --------             ----

                      $0              $0         $766,400,000       $499,500,000


           The above amounts do not represent the Partnership's risk of loss due
           to market and credit risk, but rather represent the Partnership's
           extent of involvement in derivatives at the date of the statement of
           financial condition.

           The General Partner has established procedures to actively monitor
           market risk and minimize credit risk. The Limited Partners bear the
           risk of loss only to the extent of the market value of their
           respective investments and, in certain specific circumstances,
           distributions and redemptions received.
















                                      F-9

<PAGE>   46

                                   SIGNATURES

         Pursuant to the requirements of Section 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, on the
30th day of March, 2000.

                                    THE DENNIS FUND LIMITED PARTNERSHIP


                                    By:  Kenmar Advisory Corp., general partner


                                    By:  /s/ Kenneth A. Shewer
                                         -----------------------------
                                         Kenneth A. Shewer
                                         Chairman

         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 indicated on the 30th day of March, 2000.

                                    THE DENNIS FUND LIMITED PARTNERSHIP

                                    By:  Kenmar Advisory Corp., general partner



                                    By: /s/ Kenneth A. Shewer
                                        -------------------------------------
                                         Kenneth A. Shewer
                                         Chairman and Director
                                         (Principal Executive Officer)


                                    By: /s/ Marc S. Goodman
                                        -------------------------------------
                                         MARC S. GOODMAN
                                         President and Director


                                    By: /s/ Thomas J. Divuolo
                                        -------------------------------------
                                         THOMAS J. DIVUOLO
                                         Senior Vice President
                                         (Principal Financial and Accounting
                                         Officer for the Partnership)