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FORM 10-Q
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
(X) QUARTERLY REPORT UNDER SECTION 13 or 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
OR ( ) TRANSITION REPORT UNDER SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
For the Quarter ended September 30, 1994
------------------
Commission File Number 33-12241
--------
SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L.P.
- - - - --------------------------------------------------------------------------------
(EXACT NAME OF REGISTRANT AS SPECIFIED IN ITS CHARTER)
New York 13-3405705
- - - - --------------------------------------------------------------------------------
(STATE OR OTHER JURISDICTION OF (I.R.S. EMPLOYER
INCORPORATION OR ORGANIZATION) IDENTIFICATION NO.)
c/o Smith Barney Futures Management Inc.
390 Greenwich St. - 1st Fl.
New York, New York 10013
- - - - --------------------------------------------------------------------------------
(ADDRESS AND ZIP CODE OF PRINCIPAL EXECUTIVE OFFICES)
(212) 723-5424
- - - - --------------------------------------------------------------------------------
(REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE)
388 Greenwich St. - 25th Fl., New York, New York 10013
- - - - --------------------------------------------------------------------------------
(FORMER NAME, FORMER ADDRESS AND FORMER FISCAL YEAR, IF
CHANGED SINCE LAST REPORT)
INDICATE BY CHECK MARK WHETHER THE REGISTRANT (1) HAS FILED ALL REPORTS
REQUIRED TO BE FILED BY SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF
1934 DURING THE PRECEDING 12 MONTHS (OR FOR SUCH SHORTER PERIOD THAT THE
REGISTRANT WAS REQUIRED TO FILE SUCH REPORTS), AND (2) HAS BEEN SUBJECT TO SUCH
FILING REQUIREMENTS FOR THE PAST 90 DAYS.
YES X NO
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SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L.P.
FORM 10-Q
INDEX
<TABLE>
<CAPTION>
PAGE
NUMBER
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<S> <C>
PART I - FINANCIAL INFORMATION:
ITEM 1. FINANCIAL STATEMENTS:
STATEMENTS OF FINANCIAL CONDITION AT
SEPTEMBER 30, 1994 AND DECEMBER 31, 1993 3
STATEMENTS OF INCOME AND EXPENSES AND
PARTNERS' CAPITAL FOR THE THREE AND NINE
MONTHS ENDED SEPTEMBER 30, 1994 AND 1993 4
NOTES TO FINANCIAL STATEMENTS 5 - 6
ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS
OF FINANCIAL CONDITION AND RESULTS OF
OPERATIONS 7 - 8
PART II - OTHER INFORMATION 9
</TABLE>
2
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PART 1
Item 1. Financial Statements
SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L.P.
STATEMENTS OF FINANCIAL CONDITION
<TABLE>
<CAPTION>
SEPTEMBER 30, DECEMBER 31,
1994 1993
ASSETS -------------------- --------------------
(Unaudited)
<S> <C> <C>
Equity in commodity futures trading account:
Cash and cash equivalents $7,918,890 $9,756,409
Net unrealized appreciation
on open futures contracts 152,099 640,412
-------------------- --------------------
8,070,989 10,396,821
Interest receivable 21,537 18,549
-------------------- --------------------
$8,092,526 $10,415,370
==================== ====================
LIABILITIES AND PARTNERS' CAPITAL
Liabilities:
Accrued expenses:
Commissions $67,438 $86,795
Management fees 25,150 34,366
Incentive fees 0 4,061
Other 21,495 18,757
Redemptions payable 981,448 1,099,158
-------------------- --------------------
1,095,531 1,243,137
Partners' Capital 6,996,995 9,172,233
-------------------- --------------------
$8,092,526 $10,415,370
==================== ====================
</TABLE>
See Notes to Financial Statements.
3
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SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L.P.
STATEMENTS OF INCOME AND EXPENSES AND PARTNERS' CAPITAL
(UNAUDITED)
<TABLE>
<CAPTION>
THREE-MONTHS ENDED NINE-MONTHS ENDED
SEPTEMBER 30, SEPTEMBER 30,
------------------------------------------ ------------------------------------------
1994 1993 1994 1993
-------------------- -------------------- -------------------- --------------------
<S> <C> <C> <C> <C>
Income:
Net gains (losses) on trading
of commodity futures:
Realized gains on
closed positions $194,777 $1,238,921 $660,570 $2,741,767
Change in unrealized gains /
losses on open positions (701,474) (587,357) (488,313) 118,503
-------------------- -------------------- -------------------- --------------------
(506,697) 651,564 172,257 2,860,270
Less, brokerage commissions and
N.F.A. fees ($2,014, $4,892, $8,502
and $15,493, respectively) (205,675) (277,635) (655,881) (799,373)
-------------------- -------------------- -------------------- --------------------
Net realized and unrealized
gains (losses) (712,372) 373,929 (483,624) 2,060,897
Interest income 66,036 57,119 174,969 160,597
-------------------- -------------------- -------------------- --------------------
(646,336) 431,048 (308,655) 2,221,494
-------------------- -------------------- -------------------- --------------------
Expenses:
Incentive fees 0 39,894 10,601 76,173
Management fees 76,017 107,960 251,669 310,282
Other 13,505 13,800 38,302 40,648
-------------------- -------------------- -------------------- --------------------
89,522 161,654 300,572 427,103
-------------------- -------------------- -------------------- --------------------
Net income (loss) (735,858) 269,394 (609,227) 1,794,391
Redemptions -Limited Partners (255,376) (183,760) (839,939) (838,656)
-General Partner (726,072) 0 (726,072) 0
-------------------- -------------------- -------------------- --------------------
Net increase (decrease) in
Partners' capital (1,717,306) 85,634 (2,175,238) 955,735
Partners' capital, beginning of period 8,714,301 10,117,444 9,172,233 9,247,343
-------------------- -------------------- -------------------- --------------------
Partners' capital, end of period $6,996,995 $10,203,078 $6,996,995 $10,203,078
==================== ==================== ==================== ====================
Net Asset Value per Unit
(4,192 and 5,719 Units outstanding at
September 30, 1994 and 1993,
respectively) $1,669.13 $1,784.07 $1,669.13 $1,784.07
==================== ==================== ==================== ====================
</TABLE>
See Notes to Financial Statements.
4
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SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 1994
(UNAUDITED)
GENERAL
SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L.P. (THE "PARTNERSHIP")
WAS ORGANIZED UNDER THE LAWS OF THE STATE OF DELAWARE ON FEBRUARY 10, 1987.
THE PARTNERSHIP ENGAGES IN THE SPECULATIVE TRADING OF COMMODITY FUTURES
CONTRACTS, INCLUDING FORWARD CONTRACTS ON FOREIGN CURRENCIES, COMMODITY
OPTIONS, AND COMMODITY INTERESTS, INCLUDING FUTURES CONTRACTS ON U.S. TREASURY
BILLS AND OTHER FINANCIAL INSTRUMENTS, FOREIGN CURRENCIES AND STOCK INDICES.
THE PARTNERSHIP COMMENCED TRADING JULY 1, 1987.
EFFECTIVE JUNE 1, 1994, THE COMMODITY BROKER FOR THE PARTNERSHIP
CHANGED ITS NAME FROM SMITH BARNEY SHEARSON INC. TO SMITH BARNEY INC. ("SB").
IN ADDITION, THE GENERAL PARTNER OF THE PARTNERSHIP (THE "GENERAL PARTNER"), A
WHOLLY-OWNED SUBSIDIARY OF SB, CHANGED ITS NAME FROM SMITH BARNEY SHEARSON
FUTURES MANAGEMENT INC. TO SMITH BARNEY FUTURES MANAGEMENT INC. ALL TRADING
DECISIONS ARE BEING MADE FOR THE PARTNERSHIP BY JOHN W. HENRY & CO., SUNRISE
CAPITAL MANAGEMENT, INC. AND GILL CAPITAL MANAGEMENT (COLLECTIVELY, THE
"TRADING ADVISORS"). PRAGMA, INC. WAS TERMINATED AS A TRADING ADVISOR FOR THE
PARTNERSHIP EFFECTIVE AUGUST 1, 1994. GILL CAPITAL MANAGEMENT ("GILL") WAS
ADDED AS A TRADING ADVISOR TO THE PARTNERSHIP EFFECTIVE SEPTEMBER 1, 1994. ALL
ASSETS PREVIOUSLY MANAGED BY PRAGMA, INC. ARE NOW BEING MANAGED BY GILL.
THE PARTNERSHIP WILL BE LIQUIDATED UPON THE FIRST TO OCCUR OF THE
FOLLOWING: DECEMBER 31, 2007; A DECLINE IN NET ASSET VALUE PER UNIT ON ANY
BUSINESS DAY AFTER TRADING TO LESS THAN $350; A DECLINE IN NET ASSETS AFTER
TRADING COMMENCES TO LESS THAN $1,000,000; OR UNDER CERTAIN OTHER CIRCUMSTANCES
AS DEFINED IN THE LIMITED PARTNERSHIP AGREEMENT.
THE ACCOMPANYING FINANCIAL STATEMENTS ARE UNAUDITED BUT, IN THE
OPINION OF MANAGEMENT, INCLUDE ALL ADJUSTMENTS (CONSISTING ONLY OF NORMAL
RECURRING ADJUSTMENTS) NECESSARY FOR A FAIR PRESENTATION OF THE PARTNERSHIP'S
FINANCIAL CONDITION AT SEPTEMBER 30, 1994 AND THE RESULTS OF ITS OPERATIONS FOR
THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 1994 AND 1993. THESE FINANCIAL
STATEMENTS PRESENT THE RESULTS OF INTERIM PERIODS AND DO NOT INCLUDE ALL
DISCLOSURES NORMALLY PROVIDED IN ANNUAL FINANCIAL STATEMENTS. IT IS SUGGESTED
THAT THESE FINANCIAL STATEMENTS BE READ IN CONJUNCTION WITH THE FINANCIAL
STATEMENTS AND NOTES INCLUDED IN THE PARTNERSHIP'S ANNUAL REPORT ON FORM 10-K
FILED WITH THE SECURITIES AND EXCHANGE COMMISSION FOR THE YEAR ENDED DECEMBER
31, 1993.
5
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SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
DUE TO THE NATURE OF COMMODITY TRADING, THE RESULTS OF OPERATIONS FOR
THE INTERIM PERIODS PRESENTED SHOULD NOT BE CONSIDERED INDICATIVE OF THE
RESULTS THAT MAY BE EXPECTED FOR THE ENTIRE YEAR.
NET ASSET VALUE PER UNIT
CHANGES IN NET ASSET VALUE PER UNIT FOR THE THREE AND NINE MONTHS
ENDED SEPTEMBER 30, 1994 AND 1993 WERE AS FOLLOWS:
<TABLE>
<CAPTION>
THREE MONTHS ENDED NINE MONTHS ENDED
SEPTEMBER 30, SEPTEMBER 30,
--------------------------- ----------------------------
1994 1993 1994 1993
--------------------------- ----------------------------
<S> <C> <C> <C> <C>
NET REALIZED AND UNREALIZED
GAINS (LOSSES) ($149.03) $ 64.23 ($101.68) $ 339.39
INTEREST INCOME 13.81 9.81 35.47 26.69
EXPENSES (18.73) (27.76) (60.67) (71.12)
-------- -------- --------- ---------
INCREASE (DECREASE) FOR PERIOD (153.95) 46.28 (126.88) 294.96
NET ASSET VALUE PER UNIT,
BEGINNING OF PERIOD 1,823.08 1,737.79 1,796.01 1,489.11
-------- -------- --------- ---------
NET ASSET VALUE PER UNIT,
END OF PERIOD $1,669.13 $1,784.07 $1,669.13 $1,784.07
======== ======== ========= =========
</TABLE>
6
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ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND
RESULTS OF OPERATIONS.
LIQUIDITY AND CAPITAL RESOURCES
THE PARTNERSHIP DOES NOT ENGAGE IN THE SALE OF GOODS OR SERVICES. ITS
ONLY ASSETS ARE ITS EQUITY IN ITS COMMODITY FUTURES TRADING ACCOUNT, CONSISTING
OF CASH AND CASH EQUIVALENTS, NET UNREALIZED APPRECIATION (DEPRECIATION) ON
OPEN FUTURES CONTRACTS, AND INTEREST RECEIVABLE. BECAUSE OF THE LOW MARGIN
DEPOSITS NORMALLY REQUIRED IN COMMODITY FUTURES TRADING, RELATIVELY SMALL PRICE
MOVEMENTS MAY RESULT IN SUBSTANTIAL LOSSES TO THE PARTNERSHIP. WHILE
SUBSTANTIAL LOSSES COULD LEAD TO A DECREASE IN LIQUIDITY, NO SUCH LOSSES
OCCURRED DURING THE THIRD QUARTER OF 1994.
THE PARTNERSHIP'S CAPITAL CONSISTS OF THE CAPITAL CONTRIBUTIONS OF THE
PARTNERS AS INCREASED OR DECREASED BY GAINS OR LOSSES ON COMMODITY FUTURES
TRADING, EXPENSES, INTEREST INCOME, REDEMPTIONS OF UNITS AND DISTRIBUTIONS OF
PROFITS, IF ANY.
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 1994, PARTNERSHIP CAPITAL
DECREASED 23.7% FROM $9,172,233 TO $6,996,995. THIS DECREASE WAS ATTRIBUTABLE
TO THE REDEMPTION OF 480 LIMITED PARTNERSHIP UNITS AND 435 UNITS OF GENERAL
PARTNERSHIP INTEREST RESULTING IN AN OUTFLOW OF $1,566,011 IN ADDITION TO A NET
LOSS FROM OPERATIONS OF $609,227 FOR THE NINE MONTHS ENDED SEPTEMBER 30, 1994.
FUTURE REDEMPTIONS CAN IMPACT THE AMOUNT OF FUNDS AVAILABLE FOR INVESTMENTS IN
COMMODITY CONTRACT POSITIONS IN SUBSEQUENT PERIODS.
RESULTS OF OPERATIONS
DURING THE PARTNERSHIP'S THIRD QUARTER OF 1994, THE NET ASSET VALUE
PER UNIT DECREASED 8.4% FROM $1,823.08 TO $1,669.13, AS COMPARED TO THE THIRD
QUARTER OF 1993 WHEN THE NET ASSET VALUE PER UNIT INCREASED 2.7%. THE
PARTNERSHIP EXPERIENCED A NET TRADING LOSS BEFORE COMMISSIONS AND EXPENSES IN
THE THIRD QUARTER OF 1994 OF APPROXIMATELY $507,000. GAINS WERE REALIZED IN
THE TRADING OF COMMODITY FUTURES IN FOODS, GRAINS AND OILS AND FINANCIALS.
THESE GAINS WERE PARTIALLY OFFSET BY LOSSES REALIZED IN THE TRADING OF
COMMODITY FUTURES IN INDUSTRIALS, PRECIOUS METALS AND STOCK INDICES.
COMMODITY FUTURES MARKETS ARE HIGHLY VOLATILE. BROAD PRICE
FLUCTUATIONS AND RAPID INFLATION INCREASE THE RISKS INVOLVED IN COMMODITY
TRADING, BUT ALSO INCREASE THE POSSIBILITY OF PROFIT. THE PROFITABILITY OF THE
PARTNERSHIP DEPENDS ON THE EXISTENCE OF MAJOR PRICE TRENDS AND THE ABILITY OF
THE TRADING ADVISORS TO IDENTIFY CORRECTLY THOSE PRICE TRENDS. THESE PRICE
TRENDS ARE INFLUENCED BY, AMONG OTHER THINGS, CHANGING SUPPLY AND DEMAND
RELATIONSHIPS, WEATHER, GOVERNMENTAL, AGRICULTURAL,
7
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COMMERCIAL AND TRADE PROGRAMS AND POLICIES, NATIONAL AND INTERNATIONAL
POLITICAL AND ECONOMIC EVENTS AND CHANGES IN INTEREST RATES. TO THE EXTENT
THAT MARKET TRENDS EXIST AND THE TRADING ADVISORS ARE ABLE TO IDENTIFY THEM,
THE PARTNERSHIP EXPECTS TO INCREASE CAPITAL THROUGH OPERATIONS.
INTEREST INCOME ON 70% OF THE PARTNERSHIP'S DAILY AVERAGE EQUITY WAS
EARNED ON THE MONTHLY AVERAGE 13-WEEK U.S. TREASURY BILL YIELD. INTEREST
INCOME FOR THE NINE AND THREE MONTHS ENDED SEPTEMBER 30, 1994 INCREASED BY
APPROXIMATELY $14,000 AND $9,000, RESPECTIVELY, AS COMPARED TO THE
CORRESPONDING PERIODS IN 1993. THE INCREASE IN INTEREST INCOME IS PRIMARILY
ATTRIBUTABLE TO AN INCREASE IN INTEREST RATES.
COMMISSIONS ARE CALCULATED ON THE ADJUSTED NET ASSET VALUE ON THE LAST
DAY OF EACH MONTH AND, THEREFORE, VARY ACCORDING TO TRADING PERFORMANCE AND
REDEMPTIONS. ACCORDINGLY, THEY MUST BE COMPARED IN RELATION TO THE
FLUCTUATIONS IN THE MONTHLY NET ASSET VALUES. COMMISSIONS FOR THE NINE AND
THREE MONTHS ENDED SEPTEMBER 30, 1994 DECREASED BY APPROXIMATELY $143,000 AND
$72,000, RESPECTIVELY, AS COMPARED TO THE CORRESPONDING PERIODS IN 1993.
ALL TRADING DECISIONS FOR THE PARTNERSHIP ARE CURRENTLY BEING MADE BY
THE TRADING ADVISORS. MANAGEMENT FEES ARE CALCULATED AS A PERCENTAGE OF THE
PARTNERSHIP'S NET ASSET VALUE AS OF THE END OF EACH MONTH AND ARE AFFECTED BY
TRADING PERFORMANCE AND REDEMPTIONS. MANAGEMENT FEES FOR THE NINE AND THREE
MONTHS ENDED SEPTEMBER 30, 1994 DECREASED BY APPROXIMATELY $59,000 AND $32,000,
RESPECTIVELY, AS COMPARED TO THE CORRESPONDING PERIODS IN 1993.
INCENTIVE FEES ARE BASED ON THE NEW APPRECIATION GENERATED BY EACH
TRADING ADVISOR AS DEFINED IN THE ADVISORY AGREEMENTS BETWEEN THE PARTNERSHIP,
THE GENERAL PARTNER AND EACH TRADING ADVISOR. TRADING PERFORMANCE FOR THE NINE
AND THREE MONTHS ENDED SEPTEMBER 30, 1994 RESULTED IN A DECREASE IN INCENTIVE
FEES OF APPROXIMATELY $66,000 AND $40,000, RESPECTIVELY, AS COMPARED TO THE
CORRESPONDING PERIODS IN 1993.
8
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PART II OTHER INFORMATION
ITEM 1. LEGAL PROCEEDINGS - NONE
ITEM 2. CHANGES IN SECURITIES - NONE
ITEM 3. DEFAULTS UPON SENIOR SECURITIES - NONE
ITEM 4. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS - NONE
ITEM 5. OTHER INFORMATION - NONE
ITEM 6. (a) EXHIBITS
(b) REPORTS ON FORM 8-K - NONE
9
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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.
SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L.P.
BY: SMITH BARNEY FUTURES MANAGEMENT INC.
------------------------------------
(GENERAL PARTNER)
BY: /S/ ALEXANDER J. SLOANE, PRESIDENT
------------------------------------
ALEXANDER J. SLOANE, PRESIDENT
DATE: 11/10/94
----------------
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 AND ON THE DATES INDICATED.
BY: SMITH BARNEY FUTURES MANAGEMENT INC.
------------------------------------
(GENERAL PARTNER)
BY: /S/ ALEXANDER J. SLOANE, PRESIDENT
------------------------------------
ALEXANDER J. SLOANE, PRESIDENT
DATE: 11/10/94
----------------
BY /S/ DANIEL A. DANTUONO
-----------------------------------
DANIEL A. DANTUONO
CHIEF FINANCIAL OFFICER AND TREASURER
DATE: 11/10/94
----------------
10
