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FORM 10-Q
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
/X/ QUARTERLY REPORT UNDER SECTION 13 or 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
OR / / TRANSITION REPORT UNDER SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
For the Quarter ended June 30, 1995
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Commission File Number 0-16627
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SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L.P.
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(Exact name of registrant as specified in its charter)
New York 13-3405705
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(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification No.)
c/o Smith Barney Futures Management Inc.
390 Greenwich St. - 1st Fl.
New York, New York 10013
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(Address and Zip Code of principal executive offices)
(212) 723-5424
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(Registrant's telephone number, including area code)
Indicate by check mark whether the registrant (1) has filed all reports required
to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during
the preceding 12 months (or for such shorter period that the registrant was
required to file such reports), and (2) has been subject to such filing
requirements for the past 90 days.
Yes X No
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SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L.P.
FORM 10-Q
INDEX
<TABLE>
<CAPTION>
Page
Number
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<S> <C>
PART I - Financial Information:
Item 1. Financial Statements:
Statements of Financial Condition at
June 30, 1995 and December 31, 1994 3
Statements of Income and Expenses and
Partners' Capital for the Three and Six
Months ended June 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>
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PART I
Item 1. Financial Statements
SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND
STATEMENTS OF FINANCIAL CONDITION
<TABLE>
<CAPTION>
JUNE 30, DECEMBER 31,
ASSETS 1995 1994
---------- ------------
(Unaudited)
<S> <C> <C>
Equity in commodity futures trading account:
Cash and cash equivalents $7,060,694 $6,049,620
Net unrealized appreciation
on open futures contracts 60,160 513,754
---------- ----------
7,120,854 6,563,374
Interest receivable 21,112 22,661
---------- ----------
$7,141,966 $6,586,035
========== ==========
LIABILITIES AND PARTNERS' CAPITAL
Liabilities:
Accrued expenses:
Commissions $ 59,517 $ 54,884
Management fees 22,261 20,223
Incentive fees 21,924
Other 25,969 33,557
Redemptions payable 398,822 347,663
---------- ----------
528,493 456,327
Partners' capital
General Partner, 72 Unit
equivalents outstanding 139,394 111,252
Limited Partners, 3,344 and 3,895
Units of Limited Partnership Interest
outstanding in 1995 and 1994,respectively 6,474,079 6,018,456
---------- ----------
6,613,473 6,129,708
---------- ----------
$7,141,966 $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 SIX MONTHS ENDED
JUNE 30, JUNE 30,
----------- ----------- ----------- ------------
1995 1994 1995 1994
----------- ----------- ----------- ------------
<S> <C> <C> <C> <C>
Income:
Net gains (losses) on trading
of commodity futures:
Realized gains on
closed positions $ 1,531,845 $ 488,768 $ 2,405,831 $ 465,793
Change in unrealized gains /
losses on open positions (1,133,126) 197,301 (453,594) 213,161
----------- ----------- ----------- -----------
398,719 686,069 1,952,237 678,954
Less, brokerage commissions and
clearing fees ($2,033,
$2,915, $4,979 and
$6,488, respectively) (184,518) (226,297) (355,283) (450,206)
----------- ----------- ----------- -----------
Net realized and unrealized
gains 214,201 459,772 1,596,954 228,748
Interest income 69,861 59,733 133,765 108,933
----------- ----------- ----------- -----------
284,062 519,505 1,730,719 337,681
----------- ----------- ----------- -----------
Expenses:
Management fees 68,041 88,462 130,080 175,652
Incentive fees 21,925 10,601 41,244 10,601
Other 13,400 12,467 26,090 24,797
----------- ----------- ----------- -----------
103,366 111,530 197,414 211,050
----------- ----------- ----------- -----------
Net income 180,696 407,975 1,533,305 126,631
Redemptions (398,822) (339,093) (1,049,540) (584,563)
----------- ----------- ----------- -----------
Net increase (decrease) in
Partners' capital (218,126) 68,882 483,765 (457,932)
Partners' capital, beginning
of period 6,831,599 8,645,419 6,129,708 9,172,233
----------- ----------- ----------- -----------
Partners' capital, end
of period $ 6,613,473 $ 8,714,301 $ 6,613,473 $ 8,714,301
=========== =========== =========== ===========
Net asset value per Unit
(3,416 and 4,780
Units outstanding at
June 30,1995 and 1994, respectively) $ 1,936.03 $ 1,823.08 $ 1,936.03 $ 1,823.08
=========== =========== =========== ===========
</TABLE>
See Notes to Financial Statements.
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SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS
June 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., Sunrise
Capital Management, Inc. and Gill Capital Management (collectively, the
"Advisors").
The accompanying financial statements are unaudited but, in the opinion of
management, include all adjustments (consisting only of normal recurring
adjustments) necessary for a fair presentation of the Partnership's financial
condition at June 30, 1995 and the results of its operations for the three and
six months ended June 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 six months ended
June 30, 1995 and 1994 were as follows:
<TABLE>
<CAPTION>
THREE MONTHS ENDED SIX MONTHS ENDED
JUNE 30, JUNE 30,
---------------------------- ----------------------------
1995 1994 1995 1994
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
Net realized and
unrealized gains $ 59.14 $ 92.59 $ 407.70 $ 47.35
Interest income 19.29 12.03 35.40 21.66
Expenses (28.54) (22.46) (52.24) (41.94)
---------- ---------- ---------- ----------
Increase for period 49.89 82.16 390.86 27.07
Net Asset Value per
Unit, beginning of
period 1,886.14 1,740.92 1,545.17 1,796.01
---------- ---------- ---------- ----------
Net Asset Value per
Unit, end of period $ 1,936.03 $ 1,823.08 $ 1,936.03 $ 1,823.08
========== ========== ========== ==========
</TABLE>
Subsequent Events
Effective July 1, 1995, Gill Capital Management was terminated as an
Advisor for the Partnership.
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).
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Item 2. Management's Discussion and Analysis of Financial Condition and
Results of Operations.
Liquidity and Capital Resources
The Partnership does not engage in the sale of goods or services. Its only
assets are its equity in its commodity futures trading account, consisting of
cash and cash equivalents, net unrealized appreciation (depreciation) on open
futures contracts, and interest receivable. Because of the low margin deposits
normally required in commodity futures trading, relatively small price movements
may result in substantial losses to the Partnership. While substantial losses
could lead to a decrease in liquidity, no such losses occurred during the second
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 six months ended June 30, 1995, Partnership capital increased 7.9%
from $6,129,708 to $6,613,473. This increase was attributable to net income from
operations of $1,533,305 which was partially offset by the redemption of 551
limited partnership Units resulting in an outflow of $1,049,540 for the six
months ended June 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 second quarter of 1995, the net asset value per
Unit increased 2.6% from $1,886.14 to $1,936.03, as compared to the second
quarter of 1994 when the Net Asset Value per Unit increased 4.7%. The
Partnership experienced a net trading gain before commissions and expenses in
the second quarter of 1995 of approximately $399,000. Gains were recognized in
the trading of commodity futures in interest rates and energy products. These
gains were partially offset by losses recognized in the trading of commodity
futures in agricultural products, currencies, precious metals and stock indices.
Commodity futures markets are highly volatile. Broad price fluctuations
and rapid inflation increase the risks involved in commodity trading, but also
increase the possibility of profit. The profitability of the Partnership depends
on the existence of major price trends and the ability of the Advisors to
identify correctly those price trends. These price trends are influenced by,
among other things, changing supply and demand relationships, weather,
governmental, agricultural, commercial and trade programs
7
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and policies, national and international political and economic events and
changes in interest rates. To the extent that market trends exist and the
Advisors are able to identify them, the Partnership expects to increase capital
through operations.
Interest income on 70% of the Partnership's daily average equity was
earned on the monthly average 13-week U.S. Treasury bill yield. Interest income
for the three and six months ended June 30, 1995 increased by approximately
$10,000 and $25,000, respectively, as compared to the corresponding periods in
1994. The increase in interest income is primarily attributable to an increase
in interest rates during the six months ended June 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 six months ended
June 30, 1995 decreased by approximately $42,000 and $95,000, respectively, as
compared to the corresponding periods in 1994.
All trading decisions for the Partnership are currently being made by the
Advisors. Management fees are calculated as a percentage of the Partnership's
net asset value as of the end of each month and are affected by trading
performance and redemptions. Management fees for the three and six months ended
June 30, 1995 decreased by approximately $20,000, and $46,000, 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.
Trading performance for the three and six months ended June 30, 1995 resulted in
an increase in incentive fees of approximately $11,000 and $31,000,respectively,
as compared to the corresponding periods in 1994.
8
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PART II OTHER INFORMATION
Item 1. Legal Proceedings - None
Item 2. Changes in Securities - None
Item 3. Defaults Upon Senior Securities - None
Item 4. Submission of Matters to a Vote of Security Holders - None
Item 5. Other Information - None
Item 6. (a) Exhibits
(b) Reports on Form 8-K - None
9
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SIGNATURES
Pursuant to the requirements of Section 13 or 15 (d) of the Securities
Exchange Act of 1934, the registrant has duly caused this report to be signed on
its behalf by the undersigned, thereunto duly authorized.
SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L.P.
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By: Smith Barney Futures Management Inc.
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(General Partner)
By: /s/ Alexander J. Sloane, President
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Alexander J. Sloane, President
Date: 8/10/95
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Pursuant to the requirements of the Securities Exchange Act of 1934, this
report has been signed below by the following persons on behalf of the
registrant and in the capacities and on the dates indicated.
By: Smith Barney Futures Management Inc.
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(General Partner)
By: /s/ Alexander J. Sloane, President
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Alexander J. Sloane, President
Date: 8/10/95
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By: /s/ Daniel A. Dantuono
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Daniel A. Dantuono
Chief Financial Officer and Director
Date: 8/10/95
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10
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EXHIBIT INDEX
Exhibit 27 - Financial Data Schedule
<TABLE> <S> <C>
<ARTICLE> 5
<S> <C>
<PERIOD-TYPE> 3-MOS
<FISCAL-YEAR-END> DEC-31-1995
<PERIOD-START> APR-01-1995
<PERIOD-END> JUN-30-1995
<CASH> 7,060,694
<SECURITIES> 60,160
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 7,141,966
<CURRENT-LIABILITIES> 528,493
<BONDS> 0
<COMMON> 0
0
0
<OTHER-SE> 6,613,473
<TOTAL-LIABILITY-AND-EQUITY> 7,141,966
<SALES> 0
<TOTAL-REVENUES> 284,062
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 103,366
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 180,696
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 180,696
<EPS-PRIMARY> 49.89
<EPS-DILUTED> 0
</TABLE>
