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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 March 31, 1995
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Commission File Number 0-16627
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SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L.P.
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(Exact name of registrant as specified in its charter)
New York 13-3405705
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(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
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(Address and Zip Code of principal executive offices)
(212) 723-5424
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(Registrant's telephone number, including area code)
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
March 31, 1995 and December 31, 1994 3
Statements of Income and Expenses and
Partners' Capital for the Three Months
ended March 31, 1995 and 1994 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
<PAGE> 3
PART I
Item 1. Financial Statements
SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND
STATEMENTS OF FINANCIAL CONDITION
<TABLE>
<CAPTION>
MARCH 31, DECEMBER 31,
ASSETS 1995 1994
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(Unaudited)
<S> <C> <C>
Equity in commodity futures trading account:
Cash and cash equivalents $6,402,449 $6,049,620
Net unrealized appreciation
on open futures contracts 1,193,286 513,754
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7,595,735 6,563,374
Interest receivable 24,714 22,661
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$7,620,449 $6,586,035
============= ============
<CAPTION>
LIABILITIES AND PARTNERS' CAPITAL
<S> <C> <C>
Liabilities:
Accrued expenses:
Commissions $63,504 $54,884
Management fees 23,745 20,223
Incentive fees 19,319
Other 31,565 33,557
Redemptions payable 650,718 347,663
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788,851 456,327
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Partners' capital
General Partner, 72 Unit
equivalents outstanding 135,802 111,252
Limited Partners 3,550 and 3,895
Units of Limited Partnership Interest
outstanding in 1995 and 1994,respectively 6,695,797 6,018,456
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6,831,599 6,129,708
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$7,620,450 $6,586,035
============= ============
</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
MARCH 31, MARCH 31,
1995 1994
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<S> <C> <C>
Income:
Net gains (losses) on trading of commodity
futures:
Realized gains (losses) on closed positions $873,986 ($22,975)
Change in unrealized gains / losses on open
positions 679,532 15,860
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1,553,518 (7,115)
Less, brokerage commissions and clearing fees
($2,946 and $3,573, respectively) (170,765) (223,909)
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Net realized and unrealized gains (losses) 1,382,753 (231,024)
Interest income 63,904 49,200
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1,446,657 (181,824)
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Expenses:
Management fees 62,039 87,190
Incentive fees 19,319
Other 12,690 12,330
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94,048 99,520
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Net income (loss) 1,352,609 (281,344)
Redemptions (650,718) (245,470)
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Net increase (decrease) in Partners' capital 701,891 (526,814)
Partners' capital, beginning of period 6,129,708 9,172,233
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Partners' capital, end of period $6,831,599 $8,645,419
============= ==============
Net asset value per Unit
(3,622 and 4,966 Units outstanding at
March 31, 1995 and 1994, respectively) $1,886.14 $1,740.92
============= ==============
</TABLE>
See Notes to Financial Statements.
4
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SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS
March 31, 1995
(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.
Smith Barney Futures Management Inc. acts as the general partner (the
"General Partner") of the Partnership. Smith Barney Inc. ("SB"), an affiliate
of the General Partner, acts as commodity broker for the Partnership. All
trading decisions are being made for the Partnership by John W. Henry & Co.,
Sunrise Capital Management, Inc. and Gill Capital Management (collectively, the
"Advisors").
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 March 31, 1995 and the results of its operations for the three
months ended March 31, 1995 and 1994. 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, 1994.
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.
5
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SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS
(Continued)
Net Asset Value Per Unit
Changes in net asset value per Unit for the three months ended March 31,
1995 and 1994 were as follows:
<TABLE>
<CAPTION>
THREE MONTHS ENDED
MARCH 31,
----------------------------
1995 1994
------------ -----------
<S> <C> <C>
Net realized and unrealized
gains (losses) $ 348.56 $ (45.24)
Interest income 16.11 9.63
Expenses (23.70) (19.48)
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Increase (decrease) for period 340.97 (55.09)
Net Asset Value per Unit,
beginning of period 1,545.17 1,796.01
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Net Asset Value per Unit,
end of period $1,886.14 $1,740.92
========== ==========
</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 first quarter of 1995.
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 three months ended March 31, 1995, Partnership capital
increased 11.5% from $6,129,708 to $6,831,599. This increase was attributable
to net income from operations of $1,352,609 which was partially offset by the
redemption of 345 limited partnership Units resulting in an outflow of $650,718
for the three months ended March 31, 1995. 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 first quarter of 1995, the net asset value
per Unit increased 22.1% from $1,545.17 to $1,886.14, as compared to a
decrease of 3.1% in the corresponding period in 1994. The Partnership
experienced a net trading gain before commissions and expenses in the first
quarter of 1995 of approximately $1,554,000. Gains were realized in the
trading of commodity futures in currencies, international rates, stock indices,
agricultural products and precious metals. These gains were partially offset
by losses realized in the trading of commodity futures in energy products.
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 Advisors to identify correctly those price trends. These price trends
are influenced by, among other things, changing supply and demand
relationships, weather, governmental, agricultural, commercial and trade
programs
7
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and policies, national and international political and economic events and
changes in interest rates. To the extent that market trends exist and the
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 three months ended March 31, 1995 increased by approximately
$15,000 as compared to the corresponding period in 1994. The increase in
interest income is primarily attributable to an increase in interest rates for
the first quarter of 1995 as compared to the first quarter of 1994.
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 three months
ended March 31, 1995 decreased by approximately $53,000, as compared to the
corresponding period in 1994.
All trading decisions for the Partnership are currently being made by
the 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 three months
ended March 31, 1995 decreased by approximately $25,000, as compared to the
corresponding period in 1994.
Incentive fees paid by the Partnership are based on the net trading
profits of the Partnership as defined in the Limited Partnership Agreement.
Trading performance for the three months ended March 31, 1995 resulted in a
increase in incentive fees of approximately $19,000 as compared to the
corresponding period in 1994.
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: 5/10/95
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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: 5/10/95
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By: /s/ Daniel A. Dantuono
------------------------------------
Daniel A. Dantuono
Chief Financial Officer and Director
Date: 5/10/95
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10
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EXHIBIT INDEX
Exhibit 27 - Financial Data Schedule
<TABLE> <S> <C>
<ARTICLE> 5
<S> <C>
<PERIOD-TYPE> 3-MOS
<FISCAL-YEAR-END> DEC-31-1995
<PERIOD-START> JAN-01-1995
<PERIOD-END> MAR-31-1995
<CASH> 6,402,449
<SECURITIES> 1,193,286
<RECEIVABLES> 24,714
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 7,620,449
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 7,620,449
<CURRENT-LIABILITIES> 788,851
<BONDS> 0
<COMMON> 0
0
0
<OTHER-SE> 6,831,599
<TOTAL-LIABILITY-AND-EQUITY> 7,620,450
<SALES> 0
<TOTAL-REVENUES> 1,446,657
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> (94,048)
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 1,352,609
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 1,352,609
<EPS-PRIMARY> 340.97
<EPS-DILUTED> 0
</TABLE>
