<PAGE> 1
FORM 10-Q
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
(X) QUARTERLY REPORT UNDER SECTION 13 or 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
OR ( ) TRANSITION REPORT UNDER SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
For the Quarter ended September 30, 1995
Commission File Number 0-16627
SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L.P.
(Exact name of registrant as specified in its charter)
New York 13-3405705
(State or other jurisdiction of (I.R.S.Employer
incorporation or organization) Identification No.)
c/o Smith Barney Futures Management Inc.
390 Greenwich St. - 1st Fl.
New York, New York 10013
(Address and Zip Code of principal executive offices)
(212) 723-5424
(Registrant's telephone number, including area code)
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
------
PART I - Financial Information:
<S> <C> <C>
Item 1. Financial Statements:
Statements of Financial Condition at
September 30, 1995 and December 31, 1994 3
Statements of Income and Expenses and
Partners' Capital for the Three and Nine
Months ended September 30, 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
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PART I
ITEM 1. FINANCIAL STATEMENTS
SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND
STATEMENTS OF FINANCIAL CONDITION
<TABLE>
<CAPTION>
SEPTEMBER 30, DECEMBER 31,
ASSETS 1995 1994
------------- ------------
(Unaudited)
<S> <C> <C>
Equity in commodity futures trading account:
Cash and cash equivalents $6,601,419 $6,049,620
Net unrealized appreciation / (depreciation)
on open futures contracts (79,396) 513,754
---------- ----------
6,522,023 6,563,374
Interest receivable 20,083 22,661
---------- ----------
$6,542,106 $6,586,035
========== ==========
LIABILITIES AND PARTNERS' CAPITAL
Liabilities:
Accrued expenses:
Commissions $ 43,614 $ 54,884
Management fees 21,571 20,223
Other 27,350 33,557
Redemptions payable 241,670 347,663
---------- ----------
334,205 456,327
Partners' capital
General Partner, 72 Unit
equivalents outstanding 135,940 111,252
Limited Partners 3,216 and 3,895
Units of Limited Partnership Interest
outstanding in 1995 and 1994,respectively 6,071,961 6,018,456
---------- ----------
6,207,901 6,129,708
---------- ----------
$6,542,106 $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 NINE-MONTHS ENDED
SEPTEMBER 30, SEPTEMBER 30,
------------------------------ ----------------------------
1995 1994 1995 1994
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
Income:
Net gains (losses) on trading
of commodity futures:
Realized gains on
closed positions $ 124,454 $ 194,777 $2,530,285 $ 660,570
Change in unrealized gains /
losses on open positions (139,556) (701,474) (593,150) (488,313)
---------- ---------- ---------- ----------
(15,102) (506,697) 1,937,135 172,257
Less, brokerage commissions and
clearing fees ($1,209,
$2,014, $6,188 and
$8,502, respectively) (133,335) (205,675) (488,618) (655,881)
---------- ---------- ---------- ----------
Net realized and unrealized
gains (losses) (148,437) (712,372) 1,448,517 (483,624)
Interest income 62,786 66,036 196,551 174,969
---------- ---------- ---------- ----------
(85,651) (646,336) 1,645,068 (308,655)
---------- ---------- ---------- ----------
Expenses:
Incentive fees 41,244 10,601
Management fees 65,361 76,017 195,441 251,669
Other 12,890 13,505 38,980 38,302
---------- ---------- ---------- ----------
78,251 89,522 275,665 300,572
---------- ---------- ---------- ----------
Net income (loss) (163,902) (735,858) 1,369,403 (609,227)
Redemptions - Limited Partners (241,670) (255,376) (1,291,210) (839,939)
- General Partner (726,072) (726,072)
---------- ---------- ---------- ----------
Net increase (decrease) in
Partners' capital (405,572) (1,717,306) 78,193 (2,175,238)
Partners' capital, beginning
of period 6,613,473 8,714,301 6,129,708 9,172,233
---------- ---------- ---------- ----------
Partners' capital, end
of period $6,207,901 $6,996,995 $6,207,901 $6,996,995
========== ========== ========== ==========
Net Asset Value per Unit
(3,288 and 4,192
Units outstanding at
September 30, 1995 and 1994, $ 1,888.05 $ 1,669.13 $ 1,888.05 $ 1,669.13
respectively) ========== ========== ========== ==========
</TABLE>
See Notes to Financial Statements.
4
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SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS
September 30, 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., and Sunrise
Capital Management, Inc.(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 September 30, 1995 and the results of its operations for the three
and nine months ended September 30, 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 and nine months ended
September 30, 1995 and 1994 were as follows:
<TABLE>
<CAPTION>
THREE MONTHS ENDED NINE MONTHS ENDED
SEPTEMBER 30, SEPTEMBER 30,
------------------------------ -------------------------------
1995 1994 1995 1994
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
Net realized and
unrealized gains
(losses) $ (43.45) $ (149.03) $ 364.24 $ (101 .68)
Interest income 18.38 13.81 53.78 35 .47
Expenses (22.91) (18.73) (75.14) (60 .67)
--------- --------- --------- ---------
Increase (decrease)
for period (47.98) (153.95) 342.88 (126.88)
Net Asset Value per
Unit, beginning of
period 1,936.03 1,823.08 1,545.17 1,796.01
--------- --------- --------- ---------
Net Asset Value per
Unit, end of period $1,888.05 $1,669.13 $1,888.05 $1,669.13
========= ========= ========= =========
</TABLE>
6
<PAGE> 7
Item 2. Management's Discussion and Analysis of Financial Condition and Results
of Operations.
Liquidity and Capital Resources
The Partnership does not engage in the sale of goods or services. Its
only assets are its equity in its commodity futures trading account, consisting
of cash and cash equivalents, net unrealized appreciation (depreciation) on open
futures contracts, and interest receivable. Because of the low margin deposits
normally required in commodity futures trading, relatively small price movements
may result in substantial losses to the Partnership. While substantial losses
could lead to a decrease in liquidity, no such losses occurred during the third
quarter of 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 nine months ended September 30, 1995, Partnership capital
increased 1.3% from $6,129,708 to $6,207,901. This increase was attributable to
net income from operations of $1,369,403 which was partially offset by the
redemption of 679 limited partnership Units resulting in an outflow of
$1,291,210 for the nine months ended September 30, 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 third quarter of 1995, the net asset value per
Unit decreased 2.5% from $1,936.03 to $1,888.05, as compared to the third
quarter of 1994 when the Net Asset Value per Unit decreased 8.4%. The
Partnership experienced a net trading loss before commissions and expenses in
the third quarter of 1995 of approximately $15,000. Losses were recognized in
the trading of commodity futures in interest rates, agricultural products,
precious metals and stock indices. These losses were partially offset by gains
recognized in the trading of commodity futures in currencies.
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
<PAGE> 8
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 and nine months ended September 30, 1995 decreased by
approximately $3,000 and increased by approximately $22,000, respectively, as
compared to the corresponding periods in 1994. The decrease in interest income
is primarily attributable to the effect of redemptions on the Partnership's
equity for the quarter ended September 30, 1995 as compared to 1994. However,
interest income for the nine months ended September 30, 1995 increased as a
result of an increase in interest rates during the nine months ended September
30, 1995 as compared to the corresponding period in 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 and nine months ended
September 30, 1995 decreased by approximately $72,000 and $167,000,
respectively, as compared to the corresponding periods in 1994. Effective July
1, 1995 brokerage commissions have been reduced to .667% of month-end net assets
(8% per year) from .833% of month-end net assets (10% per year).
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 and nine
months ended September 30, 1995 decreased by approximately $11,000, and $56,000,
respectively, as compared to the corresponding periods 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.
Incentive fees were not earned in the third quarter of 1995. Trading performance
for the nine months ended September 30, 1995 resulted in an increase in
incentive fees of approximately $31,000, as compared to 1994.
8
<PAGE> 9
PART II OTHER INFORMATION
Item 1. Legal Proceedings - None
Item 2. Changes in Securities - None
Item 3. Defaults Upon Senior Securities - None
Item 4. Submission of Matters to a Vote of Security Holders - None
Item 5. Other Information - None
Item 6. (a) Exhibits
(b) Reports on Form 8-K - None
9
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SIGNATURES
Pursuant to the requirements of Section 13 or 15 (d) of the Securities
Exchange Act of 1934, the registrant has duly caused this report to be signed on
its behalf by the undersigned, thereunto duly authorized.
SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L.P.
- -------------------------------------------------
By: Smith Barney Futures Management Inc.
------------------------------------
(General Partner)
By: /s/ Alexander J. Sloane, President
------------------------------------
Alexander J. Sloane, President
Date: 11/10/95
--------------------
Pursuant to the requirements of the Securities Exchange Act of 1934,
this report has been signed below by the following persons on behalf of the
registrant and in the capacities and on the dates indicated.
By: Smith Barney Futures Management Inc.
------------------------------------
(General Partner)
By: /s/ Alexander J. Sloane, President
------------------------------------
Alexander J. Sloane, President
Date: 11/10/95
--------------------
By: /s/ Daniel A. Dantuono
------------------------------------
Daniel A. Dantuono
Chief Financial Officer and Director
Date: 11/10/95
--------------------
10
<PAGE> 11
Exhibit Index
27 - Financial Data Schedule
<TABLE> <S> <C>
<ARTICLE> 5
<S> <C>
<PERIOD-TYPE> 3-MOS
<FISCAL-YEAR-END> DEC-31-1995
<PERIOD-START> JUL-01-1995
<PERIOD-END> SEP-30-1995
<CASH> 6,601,419
<SECURITIES> (79,396)
<RECEIVABLES> 20,083
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 6,542,106
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 6,542,106
<CURRENT-LIABILITIES> 334,205
<BONDS> 0
<COMMON> 0
0
0
<OTHER-SE> 6,207,901
<TOTAL-LIABILITY-AND-EQUITY> 6,542,106
<SALES> 0
<TOTAL-REVENUES> (85,651)
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 78,251
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> (163,902)
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (163,902)
<EPS-PRIMARY> (47.98)
<EPS-DILUTED> 0
</TABLE>
