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FORM 10-Q
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
(X) QUARTERLY REPORT UNDER SECTION 13 or 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
OR ( ) TRANSITION REPORT UNDER SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
For the Quarter ended March 31, 1996
Commission File Number 0-16627
SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L.P.
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(Exact name of registrant as specified in its charter)
New York 13-3405705
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(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification No.)
c/o Smith Barney Futures Management Inc.
390 Greenwich St. - 1st Fl.
New York, New York 10013
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(Address and Zip Code of principal executive offices)
(212) 723-5424
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(Registrant's telephone number, including area code)
Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days.
Yes X No ____
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SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L.P.
FORM 10-Q
INDEX
<TABLE>
<CAPTION>
Page
Number
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<S> <C>
PART I - Financial Information:
Item 1. Financial Statements:
Statements of Financial Condition at
March 31, 1996 and December 31, 1995 3
Statements of Income and Expenses and
Partners' Capital for the Three Months
ended March 31, 1996 and 1995 4
Notes to Financial Statements 5 - 6
Item 2. Management's Discussion and Analysis
of Financial Condition and Results of
Operations 7 - 9
PART II - Other Information 10
</TABLE>
2
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PART I
Item 1. Financial Statements
SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND
STATEMENTS OF FINANCIAL CONDITION
<TABLE>
<CAPTION>
MARCH 31, DECEMBER 31,
ASSETS 1996 1995
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(Unaudited)
<S> <C> <C>
Equity in commodity futures trading account:
Cash and cash equivalents $5,663,514 $6,220,627
Net unrealized appreciation
on open futures contracts 338,520 296,486
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6,002,034 6,517,113
Interest receivable 17,174 20,117
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$6,019,208 $6,537,230
============== ==============
LIABILITIES AND PARTNERS' CAPITAL
Liabilities:
Accrued expenses:
Commissions $40,128 $43,582
Management fees 19,819 21,568
Other 33,381 23,087
Redemptions payable 154,069 413,849
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247,397 502,086
Partners' capital
General Partner, 34 Unit equivalents
outstanding in 1996 and 1995 65,479 66,687
Limited Partners 2,963 and 3,043
Units of Limited Partnership Interest
outstanding in 1996 and 1995,respectively 5,706,332 5,968,457
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5,771,811 6,035,144
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$6,019,208 $6,537,230
============== ==============
</TABLE>
See Notes to Financial Statements.
3
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SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L.P.
STATEMENTS OF INCOME AND EXPENSES AND PARTNERS' CAPITAL
(UNAUDITED)
<TABLE>
<CAPTION>
THREE MONTHS ENDED
MARCH 31, MARCH 31,
1996 1995
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<S> <C> <C>
Income:
Net gains (losses) on trading of commodity
futures:
Realized gains (losses) on closed positions $ (4,194) $873,986
Change in unrealized gains / losses on open
positions 42,034 679,532
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37,840 1,553,518
Less, brokerage commissions and clearing fees
($1,976 and $2,946, respectively) (124,860) (170,765)
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Net realized and unrealized gains (losses) (87,020) 1,382,753
Interest income 51,657 63,904
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(35,363) 1,446,657
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Expenses:
Management fees 60,729 62,039
Other 13,172 12,690
Incentive fees 19,319
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73,901 94,048
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Net income (loss) (109,264) 1,352,609
Redemptions (154,069) (650,718)
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Net increase (decrease) in Partners' capital (263,333) 701,891
Partners' capital, beginning of period 6,035,144 6,129,708
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Partners' capital, end of period $5,771,811 $6,831,599
============== ==============
Net asset value per Unit
(2,997 and 3,622 Units outstanding at
March 31, 1996 and 1995, respectively) $1,925.86 $1,886.14
============== ==============
Net income (loss) per Unit of Limited Partnership
Interest and General Partnership Unit equivalent $ (35.51) $ 340.97
============== ==============
</TABLE>
See Notes to Financial Statements.
4
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SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS
March 31, 1996
(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 interests
including forward contracts on foreign currencies, commodity options and
commodity futures contracts including futures contracts on U.S. Treasuries and
certain other financial instruments and foreign currencies. The commodity
interests that are traded by the Partnership are volatile and involve a high
degree of market risk. 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 March 31, 1996 and the results of its operations for the
three months ended March 31, 1996 and 1995. 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, 1995.
Due to the nature of commodity trading, the results of operations for
the interim periods presented should not be considered indicative of the
results that may be expected for the entire year.
5
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SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L.P.
NOTES TO FINANCIAL
STATEMENTS
(Continued)
Net Asset Value Per Unit
Changes in net asset value per Unit for the three months ended March
31, 1996 and 1995 were as follows:
<TABLE>
<CAPTION>
THREE MONTHS ENDED
MARCH 31,
---------------------------------
1996 1995
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<S> <C> <C>
Net realized and unrealized
gains (losses) $ (28.28) $ 348.56
Interest income 16.79 16.11
Expenses (24.02) (23.70)
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Increase (decrease) for period (35.51) 340.97
Net Asset Value per Unit,
beginning of period 1,961.37 1,545.17
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Net Asset Value per Unit, $1,925.86 $1,886.14
end of period
========= =========
</TABLE>
6
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Item 2. Management's Discussion and Analysis of Financial Condition and
Results of Operations.
Liquidity and Capital Resources
The Partnership does not engage in the sale of goods or services. Its
only assets are its equity in its commodity futures trading account, consisting
of cash and cash equivalents, net unrealized appreciation (depreciation) on
open futures contracts, and interest receivable. Because of the low margin
deposits normally required in commodity futures trading, relatively small price
movements may result in substantial losses to the Partnership. While
substantial losses could lead to a decrease in liquidity, no such losses
occurred during the first quarter of 1996.
The Partnership is party to financial instruments with off-balance
sheet risk, including derivative financial instruments and derivative commodity
instruments, in the normal course of its business. These financial instruments
include forwards, futures and options, whose value is based upon an underlying
asset, index, or reference rate, and generally represent future commitments to
exchange currencies or cash flows, or to purchase or sell other financial
instruments at specified terms at specified future dates. Each of these
instruments is subject to various risks similar to those relating to the
underlying financial instruments including market and credit risk. The
General Partner monitors and controls the Partnership's risk exposure on a
daily basis through financial, credit and risk management monitoring systems
and, accordingly believes that it has effective procedures for evaluating and
limiting the credit and market risks to which the Partnership is subject.
The Partnership's capital consists of the capital contributions of the
partners as increased or decreased by gains or losses on commodity futures
trading, expenses, interest income, redemptions of Units and distributions of
profits, if any.
For the three months ended March 31, 1996, Partnership capital
decreased 4.4% from $6,035,144 to $5,771,811. This decrease was attributable
to a net loss from operations of $109,264 coupled with the redemption of 80
Units resulting in an outflow of $154,069 for the three months ended March 31,
1996. Future redemptions can impact the amount of funds available for
investments in commodity contract positions in subsequent periods.
Results of Operations
During the Partnership's first quarter of 1996, the net asset value
per Unit decreased 1.8% from $1,961.37 to $1,925.86, as compared to the first
quarter of 1995 when the Net Asset Value per
7
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Unit increased 22.1%. The Partnership experienced a net trading gain before
commissions and expenses in the first quarter of 1996 of $37,840. Gains were
recognized in the trading of commodity futures in interest rates, currencies,
energy and agricultural products and were partially offset by losses recognized
in precious metals and stock indices. The Partnership experienced a net
trading gain before commissions and expenses in the first quarter of 1995 of
$1,553,518. Gains were primarily realized in the trading of commodity futures
in currencies, interest rates, stock indices, agricultural products and
precious metals and were partially offset by losses in energy products.
Commodity futures markets are highly volatile. Broad price
fluctuations and rapid inflation increase the risks involved in commodity
trading, but also increase the possibility of profit. The profitability of the
Partnership depends on the existence of major price trends and the ability of
the Advisors to identify correctly those price trends. These price trends are
influenced by, among other things, changing supply and demand relationships,
weather, governmental, agricultural, commercial and trade programs and
policies, national and international political and economic events and changes
in interest rates. To the extent that market trends exist and the Advisors are
able to identify them, the Partnership expects to increase capital through
operations.
Interest income on 70% of the Partnership's daily average equity was
earned on the monthly average 13-week U.S. Treasury bill yield. Interest
income for the three months ended March 31, 1996 decreased by $12,247 as
compared to the corresponding period in 1995. The decrease in interest income
is primarily attributable to the decrease in interest rates during the three
months ended March 31, 1996 as compared to the corresponding period in 1995.
Brokerage commissions are calculated on the adjusted net asset value on
the last day of each month and, therefore, vary according to trading
performance and redemptions. Accordingly, they must be compared in relation to
the fluctuations in the monthly net asset values. Commissions for the three
months ended March 31, 1996 decreased by $45,905 as compared to the
corresponding period in 1995. The primary factor behind the decrease in
commissions is the reduced commission rate in the first quarter of 1996 as
compared to 1995. Effective July 1, 1995 brokerage commissions were 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 months
ended March 31, 1996 decreased by $1,310 as compared to the corresponding
period in 1995.
8
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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 first quarter of 1996. Trading
performance for the Partnership resulted in incentive fees of $19,319 for the
three months ended March 31, 1995.
9
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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
10
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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.
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(General Partner)
By: /s/ David J. Vogel, President
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David J. Vogel, President
Date: 5/10/96
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/ David J. Vogel, President
--------------------------------------
David J. Vogel, President
Date: 5/10/96
By: /s/ Daniel A. Dantuono
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Daniel A. Dantuono
Chief Financial Officer and Director
Date: 5/10/96
10
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EXHIBIT INDEX
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Exhibit
No. Description
- ------- -----------
27 Financial Data Schedule
<TABLE> <S> <C>
<ARTICLE> 5
<CIK>0000811078
<NAME>SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L.P.
<S> <C>
<PERIOD-TYPE> 3-MOS
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-START> JAN-01-1996
<PERIOD-END> MAR-31-1996
<CASH> 5,663,514
<SECURITIES> 338,520
<RECEIVABLES> 17,174
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 6,019,208
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 6,019,208
<CURRENT-LIABILITIES> 247,397
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 5,771,811
<TOTAL-LIABILITY-AND-EQUITY> 6,019,208
<SALES> 0
<TOTAL-REVENUES> (35,363)
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 73,901
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> (109,264)
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (109,264)
<EPS-PRIMARY> (35.51)
<EPS-DILUTED> 0
</TABLE>
