SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L P, 10-K, 1995-03-31

SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L P
10-K, 1995-03-31
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES

Previous: COLONIAL TRUST V, NSAR-B, 1995-03-31

Next: CMS ENERGY CORP, 424B5, 1995-03-31

<PAGE> 1

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-K

Annual Report Pursuant to Section 13 or 15(d)

of the Securities Exchange Act of 1934

For the year ended December 31, 1994

Commission File Number 0-16627

SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L.P.
----------------------------------------------------------------------
(Exact name of registrant as specified in its charter)

Delaware 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)

Securities registered pursuant to Section 12(b) of the Act: None
<TABLE>
<S> <C>

Securities registered pursuant to Section 12(g) of the Act: 50,000 Units
of Limited Partner-
ship Interest
-------------------
(Title of Class)

</TABLE>

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 / /
<PAGE> 2

PART I

Item 1. Business.

(a) General development of business. Shearson Lehman Select Advisors
Futures Fund L.P. (the "Partnership") is a limited partnership organized on
February 10, 1987 under the Partnership Laws of the State of Delaware. The
Partnership engages in speculative trading of commodity interests, including
forward contracts on foreign currencies, commodity options and commodity
futures contracts including futures contracts on United States Treasury Bills
and other financial instruments, foreign currencies and stock indices. The
Partnership commenced trading on July 1, 1987. Redemptions for the years ended
December 31, 1994, 1993, and 1992 are reported in the Statements of Partners'
Capital on page F-5 under "Item 8. Financial Statements and Supplementary
Data."
The Partnership's trading of futures contracts on commodities is done
primarily on United States commodities exchanges and may, to a lesser extent,
be done on some foreign commodity exchanges. It engages in such trading
through a commodity brokerage account maintained with its commodity broker,
Smith Barney Inc. ("SB"), (formerly, Smith Barney Shearson Inc.)

Smith Barney Futures Management Inc. (formerly, Smith Barney Shearson
Futures Management Inc.) acts as the general partner (the "General Partner") of
the Partnership. SB is an affiliate of the General Partner.

Under the Limited Partnership Agreement of the Partnership (the "Limited
Partnership Agreement"), the General Partner has sole responsibility for the
administration of the business and affairs of the Partnership, but may delegate
trading discretion to one or more trading advisors.

2
<PAGE> 3

The Partnership is obligated to pay the General Partner a monthly management
fee ranging from 2% to 4% per year of the month-end Net Assets of the
Partnership, as defined, managed by each advisor and an incentive fee payable
quarterly equal to 15% of Net Trading Profits of the Partnership in the
aggregate, as defined in the Limited Partnership Agreement.

At December 31, 1994, the General Partner had management agreements
(the "Management Agreements") with Sunrise Capital Management, John W. Henry &
Co., Inc. and Gill Capital Management. ("Gill") (collectively, the "Advisors"),
none of which is affiliated with the others or with the General Partner. The
General Partner terminated Pragma Inc. as an Advisor effective July 29,1994 and
added Gill as an Advisor effective September 1, 1994. Each Management
Agreement will expire on June 30, 1995, and is renewable at the option of the
Partnership for additional one-year periods.

The Management Agreements require the General Partner to pay the
Advisors a monthly management fee ranging from 1/6 of 1% to 1/3 of 1% of the
Net Assets of the Partnership (2% to 4% per year) managed by the Advisor and an
incentive fee equal to 10% of the Net Trading Profits, as defined in each
Management Agreement, earned on the Net Assets managed by each Advisor during
each quarter. The Advisor will be paid out of the General Partner's own funds
to the extent that incentive fees owed to particular Advisors exceed the
incentive fee paid by the Partnership to the General Partner. Thus, the
Partnership will pay an incentive fee based on aggregate profits earned by all
the Advisors, not on any individual Advisor's profits.

Pursuant to the terms of the customer agreement entered into

3
<PAGE> 4

with SB (the "Customer Agreement"), the Partnership is obligated to pay a
monthly commodity brokerage fee equal to .833% of month-end Net Assets (10%
per year) in lieu of brokerage commissions on a per trade basis. The
Partnership will pay for clearing fees, but not for floor brokerage which will
be borne by SB.

In addition, SB will pay the Partnership interest on 70% of the
average daily equity maintained in cash in its accounts during each month at
the rate of the average non-competitive yield of the 13-week U.S. Treasury
Bills as determined at the weekly auctions thereof during the month. The
Customer Agreement may be terminated upon notice by either party.

(b) Financial information about industry segments. The
Partnership's business consists of only one segment, speculative trading of
commodity interests, including forward contracts on foreign currencies,
commodity options and commodity futures contracts (including futures contracts
on U.S. Treasury Bills and other financial instruments, foreign currencies and
stock indices). The Partnership does not engage in sales of goods or services.
The Partnership's net income (loss) from operations for the years ended
December 31, 1994, 1993, 1992, 1991, and 1990 are set forth under "Item 6.
Select Financial Data." Partnership capital as of December 31, 1994 was
$6,129,708.

See Paragraphs (a) and (b) above.

(i) through (x) - Not applicable.

(xi) through (xii) - Not applicable.

(xiii) - The Partnership has no employees.

(d) Financial Information About Foreign and Domestic
Operations and Export Sales. The Partnership does not engage
in sales of goods or services, and therefore this item is

4
<PAGE> 5

not applicable.

Item 2. Properties.

The Partnership does not own or lease any properties. The General
Partner operates out of facilities provided by its affiliate, SB.

Item 3. Legal Proceedings.

There are no pending legal proceedings to which the Partnership is a
party or to which any of its assets is subject. No material legal proceedings
affecting the Partnership were terminated during the fiscal year 1994.

Item 4. Submission of Matters to a Vote of Security Holders.

There were no matters submitted to the security holders for a vote during
the last fiscal year covered by this report.

PART II

Item 5. Market for Registrant's Common Equity and Related Security
Holder Matters.

(a) Market Information. The Partnership has issued no stock.
There is no public market for the Units of Limited
Partnership Interest.

(b) Holders. The number of holders of Units of Partnership Interest
as of December 31, 1994 was 935.

5
<PAGE> 6

Item 6. Select Financial Data.
Net realized and unrealized trading gains (losses), interest
income, net income (loss) and increase (decrease) in net asset
value per Unit for the years ended December 31, 1994, 1993,
1992, 1991, and 1990 and total assets at December 31, 1994,
1993, 1992, 1991, and 1990 were as follows:

<TABLE>
<CAPTION>
1994 1993 1992 1991 1990
------------ ----------- ----------- ------------ -----------
<S> <C> <C> <C> <C> <C>
Net realized and unrealized
trading gains (losses) net
of brokerage commissions
and clearing fees of
$828,783,$1,057,289,
$1,036,415, $1,448,774
and $1,849,412,
respectively $ (988,663) $ 2,188,701 $(1,251,991) $ 1,941,436 $ 5,533,773

Interest income $ 238,826 215,048 249,629 442,084 766,389
------------ ---------- ----------- ------------ -----------

$ (749,837) $ 2,403,749 $(1,002,362) $ 2,383,520 $ 6,300,162
============ =========== =========== ============ ===========

Net Income (loss) $ (1,128,851) $ 1,862,704 $(1,452,252) $ 1,680,627 $ 5,368,348
============ ========== =========== ============ ===========

Increase (decrease) in net
asset value per unit $ (250.84) $ 306.90 $ (174.11) $ 219.49 $ 452.49
============ =========== =========== ============ ===========

Total assets $ 6,586,035 $10,415,370 $ 9,874,510 $ 13,470,423 $14,113,371
============ =========== =========== ============ ===========

</TABLE>

6
<PAGE> 7

Item 7. Management's Discussion and Analysis of Financial
Condition and Results of Operations.

(a) Liquidity. The Partnership does not engage in sales 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. Such
substantial losses could lead to a material decrease in liquidity. To minimize
this risk, the Partnership follows certain policies including:

(1) Partnership funds are invested only in futures contracts which
are traded in sufficient volume to permit, in the opinion of the Advisors, ease
of taking and liquidating positions.

(2) The Partnership diversifies its positions among various
commodities. No Advisor initiates additional positions in any commodity for
the Partnership if such additional positions would result in aggregate
positions for all commodities requiring a margin of more than 66-2/3% of net
assets of the Partnership managed by the Advisor.

(3) The Partnership may occasionally accept delivery of a
commodity. Unless such delivery is disposed of promptly by retendering the
warehouse receipt representing the delivery to the appropriate clearing house,
the physical commodity position is fully hedged.

7
<PAGE> 8

(4) The Partnership does not employ the trading technique
commonly known as "pyramiding", in which the speculator uses unrealized profits
on existing positions as margin for the purchase or sale of additional positions
in the same or related commodities.

(5) The Partnership does not utilize borrowings except short-term
borrowings if the Partnership takes delivery of any cash commodities.

(6) The Advisors may, from time to time, employ trading strategies
such as spreads or straddles on behalf of the Partnership. The term "spread"
or "straddle" describes a commodity futures trading strategy involving the
simultaneous buying and selling of futures contracts on the same commodity but
involving different delivery dates or markets and in which the trader expects
to earn a profit from a widening or narrowing of the difference between the
prices of the contracts.

Other than the risks inherent in commodity futures trading, the
Partnership knows of no trends, demands, commitments, events or uncertainties
which will result in or which are reasonably likely to result in the
Partnership's liquidity increasing or decreasing in any material way. The
Limited Partnership Agreement provides that the General Partner may, in its
discretion, cause the Partnership to cease trading operations and liquidate all
open positions under certain circumstances including a decrease in Net Asset
Value per Unit to less than $350 as of the close of business on any business
day or a decline in Net Assets after trading commences to less than $1,000,000.

8
<PAGE> 9

(b) Capital resources. (i) The Partnership has made no material
commitments for capital expenditures.

(ii) The Partnership's capital consists of the capital
contributions of the partners as increased or decreased by gains or losses on
commodity futures trading and by expenses, interest income, redemptions of
Units and distributions of profits, if any. Gains or losses on commodity
futures trading cannot be predicted. Market moves in commodities are dependent
upon fundamental and technical factors which the Partnership may or may not be
able to identify. Partnership expenses consist of, among other things,
commissions, management fees and incentive fees. The level of these expenses
is dependent upon the level of trading and the ability of the Advisors to
identify and take advantage of price movements in the commodity markets, in
addition to the level of Net Assets maintained. The amount of interest income
payable by SB is dependent upon interest rates over which the Partnership has
no control. No forecast can be made as to the level of redemptions in any
given period. In 1994, 1,140 Units were redeemed for a total of $1,913,674
which includes the General Partner's redemption representing 435 Unit
equivalents totaling $726,072. In 1993, 1,103 Units were redeemed for a total
of $1,937,814. In 1992, 1,413 Units were redeemed for a total of $1,979,127.

(c) Results of operations. For the year ended December 31, 1994,
the net asset value per Unit decreased 14.0% from $1,796.01 to $1,545.17. For
the year ended December 31, 1993, the net asset value per Unit increased 20.6%,
from $1,489.11 to $1,796.01. For

9
<PAGE> 10

the year ended December 31, 1992, the net asset value per Unit decreased 10.5%,
from $1,663.22 to $1,489.11.

The Partnership experienced net trading losses of $159,880 before
commissions and expenses in 1994. Realized trading losses of $33,222 were
attributable to losses incurred in the trading of financial, industrial, stock
indices and energy commodity futures. However, these realized trading losses
were partially offset by realized trading gains experienced in the trading of
commodity futures in agricultural and precious metals. The Partnership
experienced net trading gains of $3,245,990 before commissions and expenses in
1993. Realized trading gains of $2,824,702 were attributable to trading in
financial, livestock, industrial, precious metals, grains and oils and stock
indices. However, these realized trading gains were partially offset by
realized trading losses experienced in the trading of commodity futures in
foods.

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 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

10
<PAGE> 11

Partnership expects to increase capital through operations.

11
<PAGE> 12

Item 8. Financial Statements and Supplementary Data.

SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L.P.
INDEX TO FINANCIAL STATEMENTS

<TABLE>
<CAPTION>
Page
Number
------
<S> <C>
Report of Independent Accountants. F-2

Financial Statements:
Statements of Financial Condition at
December 31, 1994 and 1993. F-3

Statements of Income and Expenses for
the years ended December 31, 1994,
1993 and 1992. F-4

Statements of Partners' Capital for the
years ended December 31, 1994, 1993 and
1992. F-5

Notes to Financial Statements. F-6 - F-9

</TABLE>

F-1

Continued

<PAGE> 13
Report of Independent Accountants

To the Partners of
Shearson Lehman Select Advisors
Futures Fund L.P.:

We have audited the accompanying statements of financial condition of SHEARSON
LEHMAN SELECT ADVISORS FUTURES FUND L.P. (a Delaware Limited Partnership) as of
December 31, 1994 and 1993 and the related statements of income and expenses and
partners' capital for the years ended December 31, 1994, 1993 and 1992. These
financial statements are the responsibility of the management of the General
Partner. 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. An audit also includes
assessing the accounting principles used and significant estimates made by
management of the General Partner, 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 Shearson Lehman Select Advisors
Futures Fund L.P. as of December 31, 1994 and 1993, and the results of its
operations for the years ended December 31, 1994, 1993 and 1992, in conformity
with generally accepted accounting principles.

Coopers & Lybrand L.L.P.

New York, New York
February 18, 1995

F-2

<PAGE> 14

Shearson Lehman Select Advisors
Futures Fund L.P.
Statements of Financial Condition
December 31, 1994 and 1993

<TABLE>
<CAPTION>
1994 1993
------------ ------------
<S> <C> <C>
Assets:
Equity in commodity futures
trading account:
Cash and cash equivalents $6,049,620 $9,756,409
Net unrealized appreciation
on open futures contracts 513,754 640,412
------------ ------------
6,563,374 10,396,821
Interest receivable 22,661 18,549
------------ ------------
$6,586,035 $10,415,370
============ ============

Liabilities and Partners' Capital:

Liabilities:
Accrued expenses:
Commissions $54,884 $86,795
Management fees 20,223 34,366
Incentive fees 4,061
Other 33,557 18,757
Redemptions payable (Note 4) 347,663 1,099,158
------------ ------------
456,327 1,243,137
------------ ------------
Partners' capital (Notes 1 and 5):
General Partner, 72 and 507 Unit
equivalents outstanding in 1994
and 1993, respectively 111,252 910,577
Limited Partners, 3,895 and
4,600 Units of Limited
Partnership Interest
outstanding in 1994 and
1993, respectively 6,018,456 8,261,656
------------ ------------
6,129,708 9,172,233
------------ ------------
$6,586,035 $10,415,370
============ ============

</TABLE>

See notes to financial statements.

F-3
<PAGE> 15

Shearson Lehman Select Advisors
Futures Fund L.P.
Statements of Income and Expenses
for the years ended
December 31, 1994, 1993 and 1992

<TABLE>
<CAPTION>
1994 1993 1992
------------ ------------ ------------
<S> <C> <C> <C>
Income:
Net gains (losses) on
trading of commodity
interests:
Realized gains (losses)
on closed positions $(33,222) $2,824,702 $3,325,653
Change in unrealized
gains/losses on
open positions (126,658) 421,288 (3,541,229)
------------ ------------ ------------
(159,880) 3,245,990 (215,576)

Less, Brokerage
commissions and
clearing fees ($10,714,
$18,810 and $26,742,
respectively) (Note 3b) (828,783) (1,057,289) (1,036,415)
Net realized and ------------ ------------ ------------
unrealized gains
(losses) (988,663) 2,188,701 (1,251,991)
Interest income (Note 3b) 238,826 215,048 249,629
------------ ------------ ------------
(749,837) 2,403,749 (1,002,362)
------------ ------------ ------------
Expenses:
Management fees (Note3a) 314,745 411,013 399,626
Incentive fees(Note 3a) 10,601 80,234
Other expenses 53,668 49,798 50,264
------------ ------------ ------------
379,014 541,045 449,890
------------ ------------ ------------
Net income (loss) $(1,128,851) $1,862,704 $(1,452,252)
Net income (loss) per ============ ============ ============
Unit (Note 5) $(250.84) $306.90 $(174.11)
============ ============ ============
</TABLE>

See notes to financial statements.

F-4

<PAGE> 16

Shearson Lehman Select Advisors
Futures Fund L.P.
Statements of Partners' Capital
for the years ended
December 31, 1994, 1993 and 1992

<TABLE>
<CAPTION>
Limited General
Partners Partner Total
------------ ------------ ------------
<S> <C> <C> <C>
Partners' capital at
December 31, 1991 $11,835,469 $843,253 $12,678,722
Net loss (1,363,978) (88,274) (1,452,252)
Redemption of 1,413
Units of Limited
Partnership Interest (1,979,127) (1,979,127)
------------ ------------ ------------
Partners' capital at
December 31, 1992 8,492,364 754,979 9,247,343
Net income 1,707,106 155,598 1,862,704
Redemption of 1,103
Units of Limited
Partnership Interest (1,937,814) (1,937,814)
------------ ------------ ------------
Partners' capital at
December 31, 1993 8,261,656 910,577 9,172,233
Net loss (1,055,598) (73,253) (1,128,851)
Redemption of 705
Units of Limited
Partnership Interest
and General Partner's
redemption representing
435 Unit equivalents (1,187,602) (726,072) (1,913,674)
------------ ------------ ------------
Partners' capital at
December 31, 1994 $6,018,456 $111,252 $6,129,708
============ ============ ============
</TABLE>

See notes to financial statements.

F-5

<PAGE> 17
Shearson Lehman Select Advisors
Futures Fund L.P.

Notes to Financial Statements

1. Partnership Organization:

Shearson Lehman Select Advisors Futures Fund L.P. (the "Partnership") is a
limited partnership which was organized under the laws of the State of Delaware
on February 10, 1987. The Partnership is engaged in the speculative trading of
commodity interests including forward contracts on foreign currencies, commodity
options and commodity futures contracts including futures contracts on U.S.
Treasury Bills and certain other financial instruments and foreign currencies.

Smith Barney Futures Management Inc. (formerly, Smith Barney Shearson Futures
Management Inc.) acts as the general partner (the "General Partner") of the
Partnership. Smith Barney Inc. ("SB") (formerly, Smith Barney Shearson Inc.), an
affiliate of the General Partner, acts as commodity broker for the Partnership
(see Note 3b) .

The General Partner and each limited partner share in the profits and losses of
the Partnership in proportion to the amount of the Partnership interest owned by
each, except that no limited partner shall be liable for obligations of the
Partnership in excess of his initial capital contribution and profits, if any,
net of distributions.

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.

2. Accounting Policies:

a. All commodity interests are valued at the closing market quotations on the
last business day of the year. Foreign currency is translated into U.S. dollars
at the exchange rates prevailing on the last business day of the year.

b. Income taxes have not been provided as each partner is individually liable
for the taxes, if any, on his share of the Partnership's income and expenses.

3. Agreements:

a. Management Agreements and Limited Partnership Agreement:

Under the Limited Partnership Agreement of the Partnership, the General Partner
is permitted to delegate its authority to trade the Partnership's assets to one
or more trading advisors and to compensate those advisors from the General
Partner's own funds. The General Partner receives a monthly management fee
ranging from 2% to 4% per year of the month-end Net Assets of the Partnership,
as defined, managed by each Advisor,

F-6

<PAGE> 18
Shearson Lehman Select Advisors
Futures Fund L.P.

Notes to Financial Statements

and an incentive fee payable quarterly equal to 15% of Net Trading Profits of
the Partnership, as defined.

At December 31, 1994, the General Partner had Management Agreements with the
following Advisors: Sunrise Commodities Inc., John W. Henry & Co. Inc. and Gill
Capital Management ("Gill"), effective until June 30, 1995, at which time they
may be renewed at the option of the General Partner. The General Partner
terminated Pragma Inc. as an Advisor effective July 29, 1994 and added Gill as
an Advisor effective September 1, 1994.

The Management Agreements require the General Partner to pay the Advisors a
management fee payable monthly ranging from 2% to 4% per annum of the Net
Assets, as defined, of the Partnership managed by each Advisor and an incentive
fee payable quarterly equal to 10% of Net Trading Profits, as defined, earned on
the Net Assets managed by each Advisor.

b. Customer Agreement:

The Partnership has entered into a Customer Agreement which was assigned to SB
whereby SB provides services which include, among other things, the execution of
transactions for the Partnership's account in accordance with orders placed by
the Advisors. The Partnership pays SB a monthly brokerage fee equal to .833% of
month end net assets (10% per year) in lieu of brokerage commissions on a per
trade basis. The Partnership pays for all clearing fees but not floor brokerage.
The Partnership's funds are deposited by SB in segregated bank accounts as
required by Commodity Futures Trading Commission regulations. SB has agreed to
pay the Partnership interest on 70% of the average daily equity in its accounts
during each month at the rate of the average noncompetitive yield of 13-week
U.S. Treasury Bills as determined at the weekly auctions thereof during the
month. The Customer Agreement may be terminated upon notice by either party.

4. Distributions and Redemptions:

Distributions of profits, if any, will be made at the sole discretion of the
General Partner; however, each limited partner may redeem some or all of his
Units at the net asset value thereof as of the last day of any calendar quarter
on 15 days' notice to the General Partner, provided that no redemption may
result in the limited partner holding fewer than three Units after such
redemption is effected.

F-7

<PAGE> 19
Shearson Lehman Select Advisors
Futures Fund L.P.

Notes to Financial Statements

5. Net Asset Value Per Unit:

Change in the net asset value per Unit during the years ended December 31, 1994,
1993 and 1992 were as follows:

<TABLE>
<CAPTION>
1994 1993 1992
------------ ------------ ------------
<S> <C> <C> <C>
Net realized and
unrealized gains
(losses) $ (222.14) $ 361.75 $ (145.34)
Interest income 50.70 36.20 35.25
Expenses (79.40) (91.05) (64.02)
------------ ------------ ------------
Increase (decrease)
for year (250.84) 306.90 (174.11)
Net asset value
per Unit, beginning
of year 1,796.01 1,489.11 1,663.22
------------ ------------ ------------
Net asset value per
Unit, end of year $1,545.17 $1,796.01 $1,489.11
============ ============ ============
</TABLE>

6. Financial Instruments with Off-Balance Sheet Risk:

The Partnership is party to financial instruments with off-balance sheet risk in
the normal course of its business. These instruments include financial futures
and forward contracts. The notional or contract amounts of those instruments
reflect the extent of involvement, but not necessarily the amounts subject to
risk, that the Partnership has in particular classes of financial instruments.
The notional or contractual amounts of these obligations at December 31, 1994
were approximately $87,000,000.

Financial futures and forward contracts are contracts for delayed delivery of
financial interests in which the seller agrees to make delivery at a specified
future date of a specified financial instrument, at a specified price or yield.
Risks arise from changes in the market value of the underlying instruments and,
with respect to forward contracts, from the possible inability of counterparties
to meet the terms of their contracts. Credit risk is limited to the amount of
gross unrealized appreciation on open contracts.

F-8

<PAGE> 20
Shearson Lehman Select Advisors
Futures Fund L.P.

Notes to Financial Statements

7. Recently Issued Accounting Standard:

In October 1994, the Financial Accounting Standards Board issued a new standard,
SFAS No. 119, Disclosure about Derivative Financial Instruments and Fair Value
of Financial Instruments, which the Partnership is required to adopt no later
than the year ending December 31, 1995.

The new standard requires certain disclosures about the amounts, nature and
terms of derivative financial instruments. Adoption of this standard by the
Partnership in 1995 will result in additional disclosures related to the
Partnership's activities.

F-9

<PAGE> 21
Item 9. Changes in and Disagreements with Accountants on Accounting and
Financial Disclosure.

During the last two fiscal years and any subsequent interim
period, no independent accountant who was engaged as the principal accountant
to audit the Partnership's financial statements has resigned or was dismissed.

PART III

Item 10. Directors and Executive Officers of the Registrant.

The Partnership has no officers or directors and its affairs
are managed by its General Partner, Smith Barney Futures Management Inc. At
December 31, 1994 the General Partner has selected three Advisors, none of
which is affiliated with the General Partner or its parent. The Advisors
selected are Sunrise Commodities Inc., John W. Henry & Co., Inc. and Gill
Capital Management.

Item 11. Executive Compensation.

The Partnership has no directors or officers. Its affairs are
managed by Smith Barney Futures Management Inc., its General Partner, which
receives compensation for its services, as set forth under "Item 1. Business."
SB, an affiliate of the General Partner, is the commodity broker for the
Partnership and receives brokerage commissions for such services, as described
under "Item 1. Business." For the year ended December 31, 1994, SB earned
$828,783 in brokerage commissions and clearing fees and

12
<PAGE> 22

$314,745 in management fees were paid or were payable to the General Partner.
The General Partner also earned $10,601 in incentive fees in 1994.
Item 12. Security Ownership of Certain Beneficial Owners and Management.

(a). Security ownership of certain beneficial owners. The
Partnership knows of no person who beneficially owns more than 5% of the Units
outstanding.

(b). Security ownership of management. Under the terms of the
Limited Partnership Agreement, the Partnership's affairs are managed by the
General Partner. The General Partner owns Units of general Partnership
interest equivalent to 72 Units (1.8%).

(c). Changes in control. None.

Item 13. Certain Relationships and Related Transactions.

Smith Barney Inc. and Smith Barney Futures Management Inc.
would be considered promoters for purposes of Item 404(d) of
Regulation S-K. The nature and the amounts of compensation each
promoter will receive from the Partnership are set forth under
"Item 1. Business." and "Item 11. Executive Compensation."

PART IV

Item 14. Exhibits, Financial Statement Schedules, and Reports on Form 8-K.

(a) (1) Financial Statements:
Statements of Financial Condition at December 31,1994, and 1993.
Statements of Income and Expenses for the years ended
December 31, 1994, 1993 and 1992.
Statements of Partners' Capital for the years ended

13
<PAGE> 23

December 31, 1994, 1993 and 1992.

(2) Financial Statement Schedules: Financial Data Schedule
for the year ended December 31, 1994.

(3) Exhibits:
3.1 - Limited Partnership Agreement dated as of February
10, 1987 and amended as of April 6, 1987 (filed as
Exhibit 3.1 to the Registration Statement No.33-12241
and incorporated herein by reference).

3.2 - Certificate of Limited Partnership of the Partnership
as filed in the office of the Secretary of State of
the State of Delaware on February 10, 1987 (filed as
Exhibit 3.2 to the Registration Statement No.
33-12241 and incorporated herein by reference).

10.1 - Customer Agreement between Shearson Lehman Select Advisors
Futures Fund L.P. and Smith Barney Shearson Inc
(previously filed).

10.1(a) - Amendment to Customer Agreement dated as of September 30, 1988
(previously filed).

10.4(a) - Management Agreement between Hayden Commodities Corp. and Dunn
Commodities, Inc. (previously filed).

14
<PAGE> 24

10.4(b) - Management Agreement between Hayden Commodities Corp.
and Investment Timing Services (previously filed).

10.4(c) - Management Agreement between Hayden Commodities Corp.
and Cresta Commodity Management Inc. (previously filed).

10.4(d) - Management Agreement between Hayden Commodities Corp.
and Computerized Advisory (previously filed).

10.6(e) - Management Agreement between Hayden Commodities Corp.
and Donald J. Guy (previously filed).

10.4(f) - Management Agreement between Hayden Commodities Corp.
and I.C.S.C., Inc. (previously filed).

10.4(g) - Management Agreement between Hayden Commodities Corp.
and Orion Inc. (previously filed).

10.4(h) - Management Agreement between Hayden Commodities Corp.
and Bacon Investment Corporation (previously filed).

10.4(i) - Management Agreement between Hayden Commodities Corp.
and PRAGMA, Inc. (previously filed).

10.4(j) - Management Agreement between Hayden Commodities Corp.
and Mint Investment Management Company (previously
filed).
10.4(k) - Management Agreement between Hayden Commodities Corp.
and John W. Henry & Co., Inc. (previously filed).

15
<PAGE> 25

10.4(l) - Management Agreement between Hayden Commodities Corp.
and Charles M. Wilson & Company (previously filed).

10.4(m) - Management Agreement between Hayden Commodities Corp.and
Sunrise Commodities, Inc. (previously filed).

10.5 - Letter extending Management Agreement with Sunrise
Commodities Inc. dated as of June 30, 1989 (previously filed).

10.6 - Letter extending Management Agreement with Charles M.
Wilson & Company dated as of June 30, 1989 (previously filed).

10.7 - Letter extending Management Agreement with PRAGMA, Inc. dated
June 30, 1989 (previously filed).

10.8 - Letter extending Management Agreement with John W. Henry & Co.,
Inc. dated as of June 30, 1989 (previously filed).

10.9 - Letter extending Management Agreement with Bacon Investment
Corporation dated June 30, 1989 (previously filed).

10.10 - Assignment by Bacon Investment Corporation to

16
<PAGE> 26

Zack Hampton Bacon, III dated as of September 15,1989
(previously filed).

10.11 - Letter extending Management Agreement with Sunrise
Commodities Inc. dated June 26, 1990 (filed as Exhibit
10.11 to Form 10-K for the fiscal year ended December
31, 1991 and incorporated herein by reference).

10.12 - Letter extending Management Agreement with PRAGMA, Inc.
dated June 26, 1990 (filed as Exhibit 10.12 to Form 10-K
for the fiscal year ended December 31, 1991 and
incorporated herein by reference).

10.13 - Letter extending Management Agreement with John W. Henry & Co.,
Inc. dated June 26, 1990 (filed as Exhibit 10.13 to Form 10-K
for the fiscal year ended December 31, 1991 and incorporated
herein by reference).

10.14 - Letter extending Management Agreement with Zack Hampton Bacon,
III dated June 25, 1990 (filed as Exhibit 10.14 to Form 10-K
for the fiscal year ended December 31, 1991 and incorporated
herein by reference).

10.15 - Letter extending Management Agreement with Sunrise
Commodities, Inc. dated July 16, 1991

17
<PAGE> 27

(filed as Exhibit 10.15 to Form 10-K for the fiscal year
ended December 31, 1991 and incorporated herein by reference).

10.16 - Letter extending Management Agreement with PRAGMA, Inc.
dated July 16, 1991 (filed as Exhibit 10.16 to Form 10-K for
the fiscal year ended December 31, 1991 and incorporated herein
by reference).

10.17 - Letter extending Management Agreement with John W. Henry & Co.,
Inc. dated July 16, 1991 (filed as Exhibit 10.17 to Form 10-K
for the fiscal year ended December 31, 1991 and incorporated
herein by reference).

10.18 - Letter extending Management Agreement with Zack Hampton Bacon, III
dated July 16, 1991 and (filed as Exhibit 10.18 to Form 10-K for
the fiscal year ended December 31, 1991 and incorporated herein by
reference).

10.19 - Letter extending Management Agreement with Sunrise Commodities
Inc. dated June 30, 1992. (Filed as Exhibit 10.19 to Form 10-K for
the fiscal year ended December 31, 1992).

10.20 - Letter extending Management Agreement with PRAGMA, Inc. dated
June 30, 1992 (filed as

18
<PAGE> 28

Exhibit 10.20 to Form 10-K for the fiscal year ended
December 31, 1992).

10.21 - Letter extending Management Agreement with John W. Henry & Co.,
Inc. dated June 30, 1992 (filed as Exhibit 10.21 to Form 10-K for
the fiscal year ended December 31, 1992).

10.22 - Letter extending Management Agreement with Zack Hampton Bacon, III
dated June 30, 1992. (Filed as Exhibit 10.22 to Form 10-K for the
fiscal year ended December 31, 1992).

10.23 - Letter terminating Management Agreement with Zack Hampton Bacon,
III dated March 31, 1993 (filed as Exhibit 10.23 to Form 10-K for
the fiscal year ended December 31, 1993).

10.24 - Letter terminating Management Agreement with PRAGMA, Inc. dated
July 29, 1994 (filed herein).

10.25 - Management Agreement dated September 1, 1994 the Partnership, the
General Partner and Gill Capital Management (filed herein).

10.26 - Letters extending Management Agreements with John W. Henry & Co.,
Sunrise Capital Management, Inc. And Gill Capital Management dated
February 16, 1995 (filed herein).

27 - Financial Data Schedule

(b) Reports on 8-K: None Filed.

19
<PAGE> 29

Supplemental Information To Be Furnished With Reports Filed Pursuant
To Section 15(d) Of The Act by Registrants Which Have Not Registered Securities
Pursuant To Section 12 Of the Act.

Annual Report to Limited Partners

20
<PAGE> 30

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the
Securities Exchange Act of 1934, the registrant has duly caused
this registration statement to be signed on its behalf by the undersigned,
thereunto duly authorized.

SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L.P.
(Registrant)

DATE: March 28, 1995

By: Smith Barney Futures Management Inc.
____________________________________________
(General Partner)

/s/ Alexander Sloane
By: ____________________________________________
Alexander Sloane, Chief Executive Officer

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 as of March 28, 1995.

/s/ Daniel Dantuono
------------------------------ ------------------------------
Philip M. Waterman, Jr. Daniel Dantuono
Co-Chairman and Director Chief Financial Officer
and Director

/s/ Daniel R. McAuliffe, Jr.
------------------------------ ------------------------------
Jack H. Lehman, III Daniel R. McAuliffe, Jr.
Co-Chairman and Director Director

/s/ Alexander J. Sloane /s/ Shelley Ullman
------------------------------ ------------------------------
Alexander J. Sloane Shelley Ullman
President and Director Director

/s/ Michael Schaefer
------------------------------ ------------------------------
Steven J. Keltz Michael Schaefer
Director Director

/s/ David J. Vogel
------------------------------
David J. Vogel
Director

<PAGE> 31
EXHIBIT INDEX
-------------

Exhibit
No. Description
-------- -----------

10.24 - Letter terminating Management Agreement with PRAGMA, Inc. dated
July 29, 1994 (filed herein).

10.25 - Management Agreement dated September 1, 1994 the Partnership, the
General Partner and Gill Capital Management (filed herein).

10.26 - Letters extending Management Agreements with John W. Henry & Co.,
Sunrise Capital Management, Inc. And Gill Capital Management dated
February 16, 1995 (filed herein).

27 - Financial Data Schedule

<PAGE> 1
Exhibit 10.24

SMITH BARNEY FUTURES MANAGEMENT INC.
388 GREENWICH STREET, 25TH FLOOR, NEW YORK, NEW YORK 10013-2396

JULY 29, 1994

PRAGMA, INC.
7150 Greenville Avenue
Suite 101 LB-340
Dallas, Texas 75231

Attention: Mr. John Alban III

Re: Smith Barney Select Advisors Futures Fund, F-1000 Futures Fund
LP., Series VIII, F-1000 Futures Fund L.P., Series IX and Shearson
Lehman Futures 1000 Plus, L.P.

Dear John:

Please be advised that we are reallocating away from Pragma, Inc. all of
the assets under management for the Smith Barney Select Advisors Futures Fund,
F-1000 Futures Fund L.P., Series VIII, F-1000 Futures Fund L.P., Series IX and
Shearson Lehman Futures 1000 Plus, L.P. effective July 29, 1994. Please
liquidate all of your positions accordingly.

We will send you a termination notice within thirty days. If you have any
questions, please call me at (212) 464-6452.

Sincerely,

SMITH BARNEY SHEARSON FUTURES MANAGEMENT INC.

/s/ Daniel A. Dantuono
--------------------------
Daniel A. Dantuono
Chief Financial Officer &
Treasurer

DAD/sp

cc: Dan McAuliffe
Alex Sloane
Shelley Ullman
Dave Vogel

<PAGE> 1
Exhibit 10.25
MANAGEMENT AGREEMENT

AGREEMENT made as of the 1st day of September 1994 among SMITH
BARNEY FUTURES MANAGEMENT INC., a Delaware corporation ("SBFM"), SHEARSON
LEHMAN SELECT ADVISORS FUTURES FUND L. P., a Delaware limited partnership (the
"Partnership") and GILL CAPITAL MANAGEMENT LTD., a corporation organized under
the laws of the United Kingdom (the "Advisor").

W I T N E S S E T H :

WHEREAS, SBFM is the general partner of SHEARSON LEHMAN SELECT
ADVISORS FUTURES FUND L. P., a limited partnership organized for the purpose of
buying, selling, trading, and generally dealing in commodity interests
including futures contracts, options and forward contracts on U.S. and non-U.S.
markets; and

WHEREAS, the Limited Partnership Agreement establishing the
Partnership (the "Limited Partnership Agreement") permits SBFM to delegate to
one or more commodity trading advisors SBFM's authority to make trading
decisions for the Partnership; and

WHEREAS, the Advisor is registered as a commodity trading
advisor with the Commodity Futures Trading Commission ("CFTC") and is a member
of the National Futures Association ("NFA"); and

WHEREAS, SBFM is registered as a commodity pool operator with
the CFTC and is a member of the NFA; and

WHEREAS, SBFM and the Advisor wish to enter into this
Agreement in order to set forth the terms and conditions upon which the Advisor
will render and implement advisory services in connection with the conduct by
the Partnership of its commodity trading activities during the term of this
Agreement;

NOW, THEREFORE, the parties agree as follows:

<PAGE> 2
1. DUTIES OF THE ADVISOR. (a) Upon the commencement of
trading operations by the Advisor for the Partnership and for the period and on
the terms and conditions of this Agreement, the Advisor shall have sole
authority and responsibility, independent of any other advisor the Partnership
may retain, as the Partnership's agent and attorney-in-fact, for directing the
investment and reinvestment of the assets and funds of the Partnership
allocated to it by the General Partner in commodity interests, including
commodity futures contracts, options and forward contracts. All such trading
on behalf of the Partnership shall be in accordance with the trading strategies
and trading policies set forth in one or more prospectuses (the most recent of
which is hereinafter called the "Prospectus"; no prospectus will be issued
unless the Advisor has first been given a reasonable opportunity to review such
prospectus) constituting part of one or more Registration Statements on Form
S-1 for the registration of the Units of Limited Partnership Interest of the
Partnership (the "Units") in the form declared effective by the Securities and
Exchange Commission (the "Registration Statement"), and as such trading
policies may be changed from time to time upon receipt by the Advisor of prior
written notice of such change, together with the trading strategies of the
Advisor as set forth in the Advisor's Disclosure Document dated August 24, 1994
(the "Disclosure Document"). Any open positions or other investments at the
time of receipt of such notice shall not be deemed to violate the changed
policy and shall be closed or sold in the ordinary course of trading. The
Advisor makes no representation or warranty that the trading to be directed by
it for the Partnership will be profitable or will not incur losses.

(b) SBFM acknowledges receipt of the Advisor's Disclosure
Document dated August 24, 1994. All trades for the account of the Partnership
made by the Advisor shall be made through such commodity broker or brokers as
SBFM shall direct, and the Advisor shall have no authority or responsibility
for selecting or supervising any such broker in connection with the execution,
clearance or confirmation of transactions for the Partnership or for the
negotiation of brokerage rates charged therefor. The Partnership will provide
copies of brokerage statements for the Advisor's trading in behalf of the
Partnership to the Advisor.

(c) The initial allocation of the Partnership's assets to the
Advisor will be made to the Advisor's Diversified Program. In the event the
Advisor wishes to use a trading system or systems other than or in addition to
the system outlined in the Prospectus in connection with its trading for the
Partnership, either in whole or in part, it may not do so unless the Advisor
gives SBFM prior written notice of its intention to utilize such different
trading system or systems and SBFM consents thereto in writing. Non-material
changes in the trading system utilized on behalf of the Partnership may be
instituted without prior written approval. Changes in the contracts traded by
the Advisor shall not be deemed material. If the Partnership determines that
the Advisor use another trading program offered by the Advisor for the
Partnership's trading, such determination shall require the prior written
approval of the Advisor.

(d) The Advisor agrees to make all material disclosures to the
Partnership regarding itself and its principals as defined in Part 4 of the
CFTC's regulations ("principals"), shareholders, directors, officers and
employees, their trading performance and general trading methods, its customer
accounts (but not the identities of customers) and otherwise as are required in
the reasonable judgment of SBFM to be made in any filings required by Federal
or state law or NFA rule or order. Notwithstanding

2
<PAGE> 3
Sections 1(d) and 4(d) of this Agreement, the Advisor is not required to
disclose the actual trading results of proprietary accounts of the Advisor or
its principals unless SBFM determines that such disclosure is required in order
to fulfill its fiduciary obligations to the Partnership or the reporting,
filing or other obligations imposed on it by Federal or state law or NFA rule
or order. The Partnership and SBFM acknowledge that the trading advice to be
provided by the Advisor is a property right belonging to the Advisor and that
they will keep all such advice confidential. Further, SBFM agrees to treat as
confidential any results of proprietary accounts and/or proprietary information
with respect to trading systems obtained from the Advisor. Nothing contained
in this Agreement shall be deemed or construed to require the Advisor to
disclose any confidential or proprietary details of the Advisor's trading
strategies.

(e) The Advisor understands and agrees that SBFM intends to
designate other trading advisors for the Partnership and to apportion or
reapportion to such other trading advisors the management of an amount of Net
Assets (as defined in Section 3(b) hereof) as it shall determine in its
absolute discretion, provided that the Partnership's Net Assets will initially
be apportioned in the percentages set forth in the Prospectus. The designation
of other trading advisors and the apportionment or reapportionment of Net
Assets to any such trading advisors pursuant to this Section 1 shall neither
terminate this Agreement nor modify in any regard the respective rights and
obligations of the parties hereunder.

(f) SBFM may, from time to time, in its absolute discretion,
select additional trading advisors and reapportion funds among the trading
advisors for the Partnership as it deems appropriate. SBFM shall use its best
efforts to make reapportionments, if any, as of the first day of a month. The
Partnership agrees that the Advisor may refuse additional allocations of funds
for any reason. The Advisor agrees that it may be called upon at any time
immediately to liquidate positions in SBFM's sole discretion so that SBFM may
reallocate the Partnership's assets, meet margin calls on the Partnership's
account, fund redemptions, or for any other reason, except that SBFM will not
require the liquidation of specific positions by the Advisor. SBFM will give
notice to the Advisor of any reallocations or liquidations, if possible.

2. INDEPENDENCE OF THE ADVISOR. For all purposes herein, the
Advisor shall be deemed to be an independent contractor and, unless otherwise
expressly provided or authorized, shall have no authority to act for or
represent the Partnership in any way and shall not be deemed an agent, promoter
or sponsor of the Partnership, SBFM or any other advisor.

3. COMPENSATION. (a) In consideration of and as compensation
for all of the services to be rendered by the Advisor to SBFM on behalf of the
Partnership under this

3
<PAGE> 4
Agreement, SBFM shall pay the Advisor (i) an incentive fee payable quarterly
equal to 10% of Trading Profits earned by the Advisor for the Partnership (as
such term is defined below) and (ii) a monthly fee for professional management
services equal to 1/6 of 1% of the Net Assets of the Partnership allocated to
the Advisor as of the end of each calendar month (2% per year).

(b) "Net Assets" shall have the meaning set forth in Paragraph
7(d)(1) of the Limited Partnership Agreement dated as of February 10, 1987 and
without regard to amendments thereto, provided that in determining the Net
Assets of the Partnership on any date, no adjustment shall be made to reflect
any distributions, redemptions or incentive fees payable as of the date of such
determination.

(c) "Trading Profits" shall mean the sum of (A) the net of any
profits and losses realized on all trades closed out during a fiscal quarter
plus (B) the net of any unrealized profits and losses on open positions as of
the end of such quarter; minus (i) the net of any unrealized profits or losses
on open positions as of the end of the preceding fiscal quarter, (ii) all
expenses attributable to the Net Assets of the Partnership managed by the
Advisor (except incentive fees for the current quarter and except expenses of
the Partnership not incurred in connection with commodity trading) incurred or
accrued during such quarter and (III) cumulative net realized trading losses
(reduced by the Advisor's proportionate share of realized and unrealized
trading losses attributable to redeemed Units as of the redemption date to the
extent that the dollar value of the redeemed Units as of the redemption date
exceeds the dollar value of the Units purchased during the fiscal quarter
ending on such redemption date), if any, carried forward from all preceding
quarters since the last quarter for which an incentive fee was payable to the
Advisor. Interest income shall not be taken into account in computing Trading
Profits. No incentive fee shall be paid until the end of the first full
calendar quarter of trading by the Advisor, which fee shall be based on Trading
Profits earned from the commencement of trading by the Advisor through the end
of the first full calendar quarter. For purposes only of the first payment of
an incentive fee to the Advisor, incentive fees earned by the Advisor shall not
be paid to the Advisor until the General Partner shall have been paid an
incentive fee.

(d) Quarterly incentive fees and monthly management fees shall
be paid within twenty (20) business days following the end of the period for
which such fee is payable. In the event of the termination of this Agreement
as of any date which shall not be the end of a month or a fiscal quarter, the
quarterly incentive fee shall be computed as if the effective date of
termination were the last day of the then current quarter and the monthly
management fee shall be prorated to the effective date of

4
<PAGE> 5
termination. If, during any month, the Partnership does not conduct business
operations or the Advisor is unable to provide the services contemplated herein
for more than two successive business days, the monthly management fee shall be
prorated by the ratio which the number of business days during which SBFM
conducted the Partnership's business operations or utilized the Advisor's
services bears to the total number of business days in the month; it being
acknowledged that under the Advisor's trading programs, there may be periods
when no open positions will be maintained for the Partnership. IN the event
that SBFM reallocates assets as of any day other than the first day of a month,
the management fee shall be prorated to the date of the reallocation.

(e) Neither the Advisor nor any of its officers, directors,
employees or shareholders shall receive any commissions, compensation,
remuneration or payments whatsoever from any broker with whom the Partnership
carries an account for transactions executed in the Partnership's account.

4. RIGHT TO ENGAGE IN OTHER ACTIVITIES. (a) The services
provided by the Advisor hereunder are not to be deemed exclusive. SBFM on its
own behalf and on behalf of the Partnership acknowledges that, subject to the
terms of this Agreement, the Advisor and its officers, directors, employees and
shareholder(s), may render advisory, consulting and management services to
other clients and accounts. The Advisor and its officers, directors, employees
and shareholder(s) shall be free to trade for their own accounts and to advise
other investors and manage other commodity accounts during the term of this
Agreement and to use the same information, computer programs and trading
strategies, programs or formulas which they obtain, produce or utilize in the
performance of services to SBFM for the Partnership. However, the Advisor
represents, warrants and agrees that the rendering of such consulting, advisory
and management services to other accounts and entities will not require any
material change in the Advisor's Diversified Program and will not affect the
capacity of the Advisor to continue to render services to SBFM for the
Partnership of the quality and nature contemplated by this Agreement.

(b) If, at any time during the term of this Agreement, the
Advisor is required to aggregate the Partnership's commodity positions with the
positions of any other person for purposes of applying CFTC- or
exchange-imposed speculative position limits, the Advisor agrees that it will
promptly notify SBFM if the Partnership's positions are included in an
aggregate amount which exceeds the applicable speculative position limit. The
Advisor agrees that, if its trading recommendations are altered because of the
application of any speculative position limits, it will not modify the trading
instructions with respect to the Partnership's account in such manner as to
affect the Partnership

5
<PAGE> 6
substantially disproportionately as compared with the Advisor's other accounts.
The Advisor further represents, warrants and agrees that under no circumstances
will it knowingly or deliberately use trading strategies or methods for the
Partnership that are inferior to strategies or methods employed for any other
client or account and that it will not knowingly or deliberately favor any
client or account managed by it over any other client or account in any manner,
it being acknowledged, however, that different trading strategies or methods
may be utilized for differing sizes of accounts, accounts with different
trading policies, accounts experiencing differing inflows or outflows of
equity, accounts which commence trading at different times, accounts which have
different portfolios or different fiscal years, accounts utilizing different
executing brokers and accounts with other differences, and that such
differences may cause divergent trading results.

(c) It is acknowledged that the Advisor and/or its officers,
employees, directors and shareholder(s) presently act, and it is agreed that
they may continue to act, as advisor for other accounts managed by them, and
may continue to receive compensation with respect to services for such accounts
in amounts which may be more or less than the amounts received from the
Partnership.

(d) The Advisor agrees that it shall make such information
available to SBFM respecting the performance of the Partnership's account as
compared to the performance of other accounts managed by the Advisor or its
principals as shall be reasonably requested by SBFM. The Advisor presently
believes and represents that existing speculative position limits will not
materially adversely affect its ability to manage the Partnership's account
given the potential size of the Partnership's account and the Advisor's and its
principals' current accounts and all proposed accounts for which they have
contracted to act as trading manager.

5. TERM. (a) This Agreement shall continue in effect until
August 31, 1995. SBFM may, in its sole discretion, renew this Agreement for
additional one-year periods upon notice to the Advisor not less than 30 days
prior to the expiration of the previous period. At any time during the term of
this Agreement, SBFM may terminate this Agreement upon 30 days' notice to the
Advisor if (i) the Advisor fails to conform to the trading policies set forth
in the Prospectus or as they may be changed from time to time by the
Partnership, (ii) the Net Asset Value per Unit shall decline as of the close of
business on any day to $500 or less, (iii) limited partners owning more than
50% of the outstanding Units shall vote to require SBFM to terminate this
Agreement, (iv) the Advisor fails to comply with the terms of

6
<PAGE> 7
this Agreement, (v) SBFM, acting in good faith, upon due consideration by its
Board of Directors, reasonably determines that the performance of the Advisor
has been such that SBFM's fiduciary duties to the Partnership require SBFM to
terminate this Agreement, or (vi) SBFM reasonably believes that the application
of speculative position limits resulting from the aggregation of the
Partnership's commodity futures positions with those of accounts managed or
advised by the Advisor and its principals will materially adversely affect the
performance of the Partnership's investments. At any time during the term of
this Agreement, SBFM may elect to immediately terminate this Agreement if (i)
the Advisor merges, consolidates with another entity, sells a substantial
portion of its assets, or becomes bankrupt or insolvent, (ii) Edwin Gill dies,
becomes incapacitated, leaves the employ of the Advisor, ceases to control the
Advisor or is otherwise not managing the trading programs of the Advisor, or
(iii) the Advisor's registration as a commodity trading advisor with the CFTC
or its membership in the NFA or any other regulatory authority, is terminated
or suspended. This Agreement will immediately terminate upon dissolution of
the Partnership or upon cessation of trading prior to dissolution.

(b) The Advisor may terminate this Agreement by giving not
less than 30 days' notice to SBFM in the event that (i) the trading policies of
the Partnership as set forth in the Prospectus are changed in such manner that
the Advisor reasonably believes will adversely affect the performance of its
trading strategies, (ii) after the expiration of one year following the end of
the month in which the Partnership commences trading operations, (iii) the
Advisor would otherwise be required to register as an Investment Adviser under
the Investment Advisers Act of 1940, (iv) the General Partner or Partnership
fails to comply with the terms of the agreement, (v) SBFM fails to consent to a
change in trading system pursuant to Paragraph 1(c), or (vi) SBFM requires the
Advisor to liquidate its positions other than in order that SBFM may reallocate
the Partnership's assets, meet margin calls on the Partnership's account or
fund redemptions and the Advisor believes that such liquidation would adversely
affect its performance. The Advisor may immediately terminate this Agreement
if SBFM's registration as a commodity pool operator or its membership in the
NFA is terminated or suspended.

(c) Except as otherwise provided in this Agreement, any
termination of this Agreement in accordance with this Paragraph 5 shall be
without penalty or liability to any party.

6. INDEMNIFICATION. (a)(i) In any threatened, pending or
completed action, suit, or proceeding to which the Advisor was or is a party or
is threatened to be made a party arising out of or in connection with this
Agreement or the management of the Partnership's assets, SBFM shall, subject to
subparagraph

7
<PAGE> 8
(a)(iii) of this Paragraph 6, indemnify and hold harmless the Advisor against
any loss, liability, damage, cost, expense (including, without limitation,
attorneys' and accountants' fees), judgments and amounts paid in settlement
actually and reasonably incurred by it in connection with such action, suit, or
proceeding if the Advisor acted in good faith and in a manner reasonably
believed to be in or not opposed to the best interests of the Partnership, and
provided that its conduct did not constitute negligence, misconduct, or a
breach of its fiduciary obligations to the Partnership, unless and only to the
extent that the court or administrative forum in which such action or suit was
brought shall determine upon application that, despite the adjudication of
liability but in view of all circumstances of the case, the Advisor is fairly
and reasonably entitled to indemnity for such expenses which such court or
administrative forum shall deem proper; and further provided that no
indemnification shall be available from the Partnership if such indemnification
is prohibited by Section 16 of the Partnership Agreement. The termination of
any action, suit or proceeding by judgment, order or settlement shall not, of
itself, create a presumption that the Advisor did not act in good faith and in
a manner reasonably believed to be in or not opposed to the best interests of
the Partnership.

(ii) To the extent that the Advisor has been successful on the
merits or otherwise in defense of any action, suit or proceeding referred to in
subparagraph (i) above, or in defense of any claim, issue or matter therein,
SBFM shall indemnify it against the expenses (including, without limitation,
attorneys' and accountants' fees) actually and reasonably incurred by it in
connection therewith.

(iii) Any indemnification under subparagraph (i) above, unless
ordered by a court or administrative forum, shall be made by SBFM only as
authorized in the specific case and only upon a determination by independent
legal counsel in a written opinion that such indemnification is proper in the
circumstances because the Advisor has met the applicable standard of conduct
set forth in subparagraph (i) above. Such independent legal counsel shall be
selected by SBFM in a timely manner, subject to the Advisor's approval, which
approval shall not be unreasonably withheld. The Advisor will be deemed to
have approved SBFM's selection unless the Advisor notifies SBFM in writing,
received by SBFM within five days of SBFM's telecopying to the Advisor of the
notice of SBFM's selection, that the Advisor does not approve the selection.

(iv) In the event the Advisor is made a party to any claim,
dispute or litigation or otherwise incurs any loss or expense as a result of,
or in connection with, the Partnership's or SBFM's activities or claimed
activities unrelated to the Advisor, SBFM shall indemnify, defend and hold
harmless the

8
<PAGE> 9
Advisor against any loss, liability, damage, cost or expense (including,
without limitation, attorneys' and accountants' fees) incurred in connection
therewith.

(v) As used in this Paragraph 6(a), the terms "Advisor" shall
include the Advisor, its principals, officers, directors, stockholders and
employees and the term "SBFM" shall include the Partnership.

(b)(i) The Advisor agrees to indemnify, defend and hold
harmless SBFM, the Partnership and their affiliates against any loss,
liability, damage, cost or expense (including, without limitation, attorneys'
and accountants' fees), judgments and amounts paid in settlement actually and
reasonably incurred by them (A) as a result of the breach of any
representations and warranties made by the Advisor in this Agreement, or (B) as
a result of any act or omission of the Advisor relating to the Partnership if
there has been a final judicial or regulatory determination or, in the event of
a settlement of any action or proceeding with the prior written consent of the
Advisor, a written opinion of an arbitrator pursuant to Paragraph 14 hereof, to
the effect that such acts or omissions violated the terms of this Agreement or
involved negligence, bad faith, recklessness or intentional misconduct on the
part of the Advisor.

(ii) In the event SBFM, the Partnership or any of their
affiliates is made a party to any claim, dispute or litigation or otherwise
incurs any loss or expense as a result of, or in connection with, the
activities or claimed activities of the Advisor or its principals, officer,
directors, shareholder(s) or employees unrelated to SBFM's or the Partnership's
business, the Advisor shall indemnify, defend and hold harmless SBFM, the
Partnership or any of their affiliates against any loss, liability, damage,
cost or expense (including, without limitation, attorneys' and accountants'
fees) incurred in connection therewith.

(c) In the event that a person entitled to indemnification
under this Paragraph 6 is made a party to an action, suit or proceeding
alleging both matters for which indemnification can be made hereunder and
matters for which indemnification may not be made hereunder, such person shall
be indemnified only for that portion of the loss, liability, damage, cost or
expense incurred in such action, suit or proceeding which relates to the
matters for which indemnification can be made.

(d) None of the indemnifications contained in this Paragraph 6
shall be applicable with respect to default judgments, confessions of judgment
or settlements entered into by the party claiming indemnification without the
prior written consent, which shall not be unreasonably withheld, of the party
obligated to indemnify such party.

9
<PAGE> 10
(e) The provisions of this Paragraph 6 shall survive the
termination of this Agreement.

7. REPRESENTATIONS, WARRANTIES AND AGREEMENTS.

(a) The Advisor represents and warrants that:

(i) All references to the Advisor and its principals in the
Disclosure Document are accurate in all material respects and as to them the
Disclosure Document does not contain any untrue statement of a material fact or
omit to state a material fact which is necessary to make the statements therein
not misleading.

(ii) The information with respect to the Advisor set forth in
the actual performance tables in the Disclosure Document is based on all of the
customer accounts managed on a discretionary basis by the Advisor's principals
and/or the Advisor during the period covered by such tables and required to be
disclosed therein.

(iii) The Advisor is duly registered with the CFTC as a
commodity trading advisor, is a member of the NFA, and is in compliance with
such other registration and licensing requirements as shall be necessary to
enable it to perform its obligations hereunder, and agrees to maintain and
renew such registrations and licenses during the term of this Agreement.

(iv) The Advisor is a corporation duly organized, validly
existing and in good standing under the laws of the United Kingdom and has full
power and authority to enter into this Agreement and to provide the services
required of it hereunder.

(v) The Advisor will not, by acting as advisor to the
Partnership, breach or cause to be breached any undertaking, agreement,
contract, statute, rule or regulation to which it is a party or by which it is
bound.

(vi) This Agreement has been duly and validly authorized,
executed and delivered by the Advisor and is a valid and binding agreement
enforceable in accordance with its terms.

(vii) At any time during the term of this Agreement that a
prospectus relating to the Units is required to be delivered in connection with
the offer and sale thereof, the Advisor agrees upon the request of SBFM to
provide the Partnership with such information as shall be necessary so that, as
to the Advisor and its principals, the Prospectus is accurate.

(b) SBFM represents and warrants for itself and the
Partnership that:

10
<PAGE> 11
(i) The Prospectus (as from time to time amended or
supplemented, which amendment or supplement is approved by the Advisor as to
descriptions of itself and its actual performance) does not contain any untrue
statement of a material fact or omit to state a material fact which is
necessary to make the statements therein not misleading, except that the
foregoing representation does not apply to any statement or omission concerning
the Advisor in the Prospectus, made in reliance upon, and in conformity with,
information furnished to SBFM by or on behalf of the Advisor expressly for use
in the Prospectus.

(ii) It is a corporation duly organized, validly existing and
in good standing under the laws of Delaware and has full corporate power and
authority to perform its obligations under this Agreement.

(iii) SBFM and the Partnership have the capacity and authority
to enter into this Agreement on behalf of the Partnership.

(iv) This Agreement has been duly and validly authorized,
executed and delivered on SBFM's and the Partnership's behalf and is a valid
and binding agreement of SBFM and the Partnership enforceable in accordance
with its terms.

(v) SBFM will not, by acting as General Partner to the
Partnership and the Partnership will not, breach or cause to be breached any
undertaking, agreement, contract, statute, rule or regulation to which it is a
party or by which it is bound which would materially limit or affect the
performance of its duties under this Agreement.

(vi) It is registered as a commodity pool operator and is a
member of the NFA, and it will maintain and renew such registration and
membership during the term of this Agreement.

(vii) The Partnership is a limited partnership duly organized
and validly existing under the laws of the State of Delaware and has full power
and authority to enter into this Agreement and to perform its obligations under
this Agreement.

8. COVENANTS OF THE ADVISOR. The Advisor agrees as follows:

(a) In connection with its activities on behalf of the
Partnership, the Advisor will comply with all applicable rules and regulations
of the CFTC and/or the commodity exchange on which any particular transaction
is executed.

(b) The Advisor will promptly notify SBFM of the commencement
of any material suit, action or proceeding involving it, whether or not any
such suit, action or proceeding also

11
<PAGE> 12
involves SBFM.

(c) In the placement of orders for the Partnership's account
and for the accounts of any other client, the Advisor will utilize a fair and
reasonable order entry system, which shall, on an overall basis, be no less
favorable to the Partnership than to any other account managed by the Advisor.
The Advisor acknowledges its obligation to review the Partnership's positions
in the account managed by the Advisor daily and immediately to notify the
broker and SBFM of (i) any error committed by the Advisor or its principals or
employees or (ii) any trade which the Advisor believes was not executed in
accordance with its instructions.

9. COMPLETE AGREEMENT. This Agreement constitutes the entire
agreement between the parties pertaining to the subject matter hereof.

10. ASSIGNMENT. This Agreement may not be assigned by any
party without the express written consent of the other parties.

11. AMENDMENT. This Agreement may not be amended except by
the written consent of the parties.

12. NOTICES. All notices, demands or requests required to be
made or delivered under this Agreement shall be in writing and delivered
personally or by registered or certified mail, return receipt requested,
postage prepaid, to the addresses below or to such other addresses as may be
designated by the party entitled to receive the same by notice similarly given:

If to SBFM:

Smith Barney Futures Management Inc.
388 Greenwich Street - 25th floor
New York, New York 10013
Attention: Alexander J. Sloane

If to the Advisor:

Gill Capital Management Ltd.
Leconfield House
Curzon Street
London W1Y 7FB England
Attention: Edwin Gill

13. GOVERNING LAW. This Agreement shall be governed by and
construed in accordance with the laws of the State of New York.

12
<PAGE> 13

14. ARBITRATION. The parties agree that any dispute or
controversy arising out of or relating to this Agreement or the interpretation
thereof, shall be settled by arbitration in accordance with the rules, then in
effect, of the National Futures Association or, if the National Futures
Association shall refuse jurisdiction, then in accordance with the rules, then
in effect, of the New York Stock Exchange, Inc.; provided, however, that the
power of the arbitrator shall be limited to interpreting this Agreement as
written and the arbitrator shall state in writing his reasons for his award.
Judgment upon any award made by the arbitrator may be entered in any court of
competent jurisdiction.

15. SALES MATERIALS. SBFM will provide a copy of sales
materials referring to the Advisor and used in connection with the offering to
the Advisor for its review and approval prior to SBFM's public use of the sales
materials.

IN WITNESS WHEREOF, this Agreement has been executed for and
on behalf of the undersigned as of the day and year first above written.

SMITH BARNEY FUTURES
MANAGEMENT INC.

By /s/ Alexander J. Sloane
-----------------------
Alexander J. Sloane
President

SHEARSON LEHMAN
FUTURES 1000 PLUS, L. P.

By: Smith Barney Futures
Management Inc.
(General Partner)

By /s/ Alexander J. Sloane
-----------------------
Alexander J. Sloane
President

GILL CAPITAL MANAGEMENT LTD.

By /s/ Edwin I. Gill
-----------------------
Edwin I. Gill
Managing Director

<PAGE> 1
Exhibit 10.26

SMITH BARNEY FUTURES MANAGEMENT INC.
390 GREENWICH STREET, 1ST FLOOR, NEW YORK, NEW YORK 10013-2396

February 16, 1995

Gill Capital Management
Leconfield House
7th Floor - Curzon St.
London, England W1Y7F13
Attention: Mr. Edwin Gill

Re: Management Agreement Renewal
Select Advisors Futures Fund

Dear Mr. Gill:

We are writing with respect to your management agreement concerning the
commodity pool to which reference is made above (the "Management Agreement").
In order to simplify and consolidate our record-keeping relating to that pool
and the other commodity pools managed by us, we would like to modify the terms
of the Management Agreement so that the renewal date for the term of the
Management Agreement in section 5 thereof will be June 30, 1995 and annually
thereafter. All other provisions of the Management Agreement will remain
unchanged.

Please indicate your agreement to and acceptance of this modification by signing
one copy of this letter and returning it to the attention of Mr. Daniel Dantuono
at the address above.

If you have any questions, please call me at (212) 723-5416. I thank you in
advance for your attention to this matter.

Very truly yours,

SMITH BARNEY FUTURES MANAGEMENT INC.

By: /s/ Daniel A. Dantuono
------------------------------
Daniel A. Dantuono
Chief Financial Officer, Director
and Treasurer

AGREED AND ACCEPTED:

GILL CAPITAL MANAGEMENT

By:
------------------------------

rw/3

<PAGE> 2

SMITH BARNEY FUTURES MANAGEMENT INC.
390 GREENWICH STREET, 1ST FLOOR, NEW YORK, NEW YORK 10013-2396

February 16, 1995

John W. Henry & Co.
One Glendinning Place
Westport, CT 06880
Attn: Ms. Lori Sheets

Re: Management Agreement Renewal
Select Advisors Futures Fund

Dear Ms. Sheets

Please indicate your agreement to and acceptance of this modification by signing
one copy of this letter and returning it to the attention of Mr. Daniel Dantuono
at the address above.

If you have any questions, please call me at (212) 723-5416. I thank you in
advance for your attention to this matter.

Very truly yours,

SMITH BARNEY FUTURES MANAGEMENT INC.

By: /s/ Daniel A. Dantuono
------------------------------
Daniel A. Dantuono
Chief Financial Officer, Director
and Treasurer

AGREED AND ACCEPTED:

JOHN W. HENRY & CO.

By:
------------------------------

rw/3

<PAGE> 3

SMITH BARNEY FUTURES MANAGEMENT INC.
390 GREENWICH STREET, 1ST FLOOR, NEW YORK, NEW YORK 10013-2396

February 16, 1995

Sunrise Commodities
990 Highland Drive
Suite 303
Solana Beach, Ca 92075
Attn: Ms. Gaya Hammond

Re: Management Agreement Renewal
Select Advisors Futures Fund

Dear Ms. Hammond:

Please indicate your agreement to and acceptance of this modification by signing
one copy of this letter and returning it to the attention of Mr. Daniel Dantuono
at the address above.

If you have any questions, please call me at (212) 723-5416. I thank you in
advance for your attention to this matter.

Very truly yours,

SMITH BARNEY FUTURES MANAGEMENT INC.

By: /s/ Daniel A. Dantuono
------------------------------
Daniel A. Dantuono
Chief Financial Officer, Director
and Treasurer

AGREED AND ACCEPTED:

SUNRISE COMMODITY

By:
------------------------------

rw/3

<ARTICLE> 5
<MULTIPLIER> 1
<CURRENCY> U.S.DOLLARS

<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1994
<PERIOD-START> JAN-01-1994
<PERIOD-END> DEC-31-1994
<EXCHANGE-RATE> 1
<CASH> 6,049,620
<SECURITIES> 513,754
<RECEIVABLES> 22,661
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 6,586,035
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 6,586,035
<CURRENT-LIABILITIES> 456,327
<BONDS> 0
<COMMON> 0
0
0
<OTHER-SE> 6,018,456
<TOTAL-LIABILITY-AND-EQUITY> 6,586,035
<SALES> 0
<TOTAL-REVENUES> 78,946
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> (1,207,797)
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> (1,128,851)
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (1,128,851)
<EPS-PRIMARY> (250.84)
<EPS-DILUTED> 0

</TABLE>