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, 1998
Commission File Number 0-26132
SMITH BARNEY DIVERSIFIED FUTURES FUND L.P.
(Exact name of registrant as specified in its charter)
New York 13-3729162
(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
<PAGE>
SMITH BARNEY DIVERSIFIED FUTURES FUND L.P.
FORM 10-Q
INDEX
Page
Number
PART I - Financial Information:
Item 1. Financial Statements:
Statement of Financial Condition at
September 30, 1998 and December 31,
1997. 3
Statement of Income and Expenses and Partners'
Capital for the three and nine months ended
September 30, 1998
and 1997. 4
Notes to Financial Statements 5 - 8
Item 2. Management's Discussion and
Analysis of Financial Condition
and Results of Operations 9 - 11
Item 3. Quantitative and Qualitative
Disclosures of Market Risk 12
PART II - Other Information 13 - 14
2
<PAGE>
PART I
ITEM 1. FINANCIAL STATEMENTS
SMITH BARNEY DIVERSIFIED FUTURES FUND L.P.
STATEMENT OF FINANCIAL CONDITION
<TABLE>
<CAPTION>
SEPTEMBER 30, DECEMBER 31,
1998 1997
------------- ------------
(Unaudited)
<S> <C> <C>
ASSETS:
Equity in commodity futures trading account:
Cash and cash equivalents $131,197,341 $142,852,854
Net unrealized appreciation
on open futures contracts 21,785,278 11,184,770
------------ ------------
152,982,619 154,037,624
Interest receivable 419,385 518,917
------------ ------------
$153,402,004 $154,556,541
============ ============
LIABILITIES AND PARTNERS' CAPITAL:
Liabilities:
Accrued expenses:
Commissions $ 674,407 $ 721,970
Management fees 357,923 359,579
Incentive fees 2,731,567 492,736
Other 84,683 79,457
Redemptions payable 1,021,934 1,521,538
------------ ------------
4,870,514 3,175,280
------------ ------------
Partners' Capital:
General Partner, 2,048.9308 Unit
equivalents outstanding in 1998 and 1997 2,909,810 2,660,393
Limited Partners, 102,538.6658 and
114,539.1563 Units of Limited Partnership
Interest outstanding in 1998 and 1997,
respectively 145,621,680 148,720,868
------------ ------------
148,531,490 151,381,261
------------ ------------
$153,402,004 $154,556,541
============ ============
</TABLE>
See Notes to Financial Statements
3
<PAGE>
SMITH BARNEY DIVERSIFIED FUTURES FUND L.P.
STATEMENT OF INCOME AND EXPENSES AND PARTNERS' CAPITAL
(UNAUDITED)
<TABLE>
<CAPTION>
THREE MONTHS ENDED NINE MONTHS ENDED
SEPTEMBER 30, SEPTEMBER 30,
------------------------------- -----------------------------
1998 1997 1998 1997
------------------------------- -----------------------------
<S> <C> <C> <C> <C>
Income:
Net gains (losses) on trading of commodity
futures:
Realized gains on closed positions $ 3,144,783 $ 1,272,924 $ 10,044,167 $ 2,753,659
Change in unrealized gains/losses on open
positions 22,514,363 2,840,871 10,600,508 827,978
------------- ------------- ------------- -------------
25,659,146 4,113,795 20,644,675 3,581,637
Less, brokerage commissions and clearing fees
($54,068, $83,076, $212,966 and $246,584, respectively) (2,075,208) (2,451,605) (6,400,051) (7,581,705)
------------- ------------- ------------- -------------
Net realized and unrealized gains (losses) 23,583,938 1,662,190 14,244,624 (4,000,068)
Interest income 1,315,045 1,579,945 4,127,469 4,898,034
------------- ------------- ------------- -------------
24,898,983 3,242,135 18,372,093 897,966
------------- ------------- ------------- -------------
Expenses:
Management fees 1,015,615 1,100,450 3,000,767 3,411,173
Incentive fees 2,731,568 61,032 2,973,642 808,726
Other 27,147 15,220 99,854 111,358
------------- ------------- ------------- -------------
3,774,330 1,176,702 6,074,263 4,331,257
------------- ------------- ------------- -------------
Net income (loss) 21,124,653 2,065,433 12,297,830 (3,433,291)
Additions 27,051 42,621 86,357 295,260
Redemptions (3,831,733) (9,643,369) (15,233,958) (18,924,943)
------------- ------------- ------------- -------------
Net increase (decrease) in Partners' capital 17,319,971 (7,535,315) (2,849,771) (22,062,974)
Partners' capital, beginning of period 131,211,519 157,059,602 151,381,261 171,587,261
------------- ------------- ------------- -------------
Partners' capital, end of period $ 148,531,490 $ 149,524,287 $ 148,531,490 $ 149,524,287
------------- ------------- ------------- -------------
Net asset value per Unit
(104,587.5966 and 122,319.6742 Units outstanding
at September 30, 1998 and 1997, respectively) $ 1,420.16 $ 1,222.41 $ 1,420.16 $ 1,222.41
------------- ------------- ------------- -------------
Net gain (loss) per Unit of Limited Partnership
Interest and General Partner Unit equivalent $ 199.47 $ 15.37 $ 121.73 $ (27.95)
------------- ------------- ------------- -------------
</TABLE>
See Notes to Financial Statements
4
<PAGE>
SMITH BARNEY DIVERSIFIED FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS
September 30, 1998
(Unaudited)
1. General:
Smith Barney Diversified Futures Fund L.P. (the "Partnership") is a
limited partnership organized under the laws of the State of New York, on August
13, 1993 to engage in the speculative trading of a diversified portfolio of
commodity interests including futures contracts, options and forward contracts.
The commodity interests that are traded by the Partnership are volatile and
involve a high degree of market risk. The Partnership commenced trading
operations on January 12, 1994.
Smith Barney Futures Management Inc. acts as the general partner (the
"General Partner") of the Partnership. On September 1, 1998, the Partnership's
commodity broker, Smith Barney Inc., merged with Salomon Brothers Inc and
changed its name to Salomon Smith Barney Inc. ("SSB"). SSB is an affiliate of
the General Partner. The General Partner is wholly owned by Salomon Smith Barney
Holdings Inc. ("SSBH"), which is the sole owner of SSB. SSBH is a wholly owned
subsidiary of Travelers Group Inc. All trading decisions are made for the
Partnership by Campbell & Company, Inc., John W. Henry & Company Inc., Trendview
Management Inc., Telesis Management Inc., Rabar Market Research, Inc. and AIS
Futures Management, Inc. (collectively, the "Advisors"). (see Note 5)
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, 1998 and the results of its operations for the three
and nine months ended September 30, 1998 and 1997. 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
Securities and Exchange Commission for the year ended December 31, 1997.
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
<PAGE>
SMITH BARNEY DIVERSIFIED FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS
(continued)
2. Net Asset Value Per Unit:
Changes in net asset value per Unit for the three and nine months ended
September 30, 1998 and 1997, were as follows:
THREE-MONTHS ENDED NINE-MONTHS ENDED
SEPTEMBER 30, SEPTEMBER 30,
1998 1997 1998 1997
Net realized and unrealized
gains (losses) $ 222.74 $ 12.20 $140.46 $(32.50)
Interest income 12.37 12.37 37.24 37.09
Expenses (35.64) (9.20) (55.97) (32.54)
--------- --------- --------- ---------
Increase (decrease)
for period 199.47 15.37 121.73 (27.95)
Net Asset Value per Unit,
beginning of period 1,220.69 1,207.04 1,298.43 1,250.36
--------- --------- --------- ---------
Net Asset Value per Unit,
end of period $1,420.16 $1,222.41 $1,420.16 $1,222.41
========= ========= ========= =========
3. Trading Activities:
The Partnership was formed for the purpose of trading contracts in a
variety of commodity interests, including derivative financial instruments and
derivative commodity instruments. The results of the Partnership's trading
activity are shown in the statement of income and expenses.
The Customer Agreement between the Partnership and SSB gives the
Partnership the legal right to net unrealized gains and losses.
All of the commodity interests owned by the Partnership are held for
trading purposes. The fair value of these commodity interests, including options
thereon, at September 30, 1998 and December 31, 1997 was $21,785,278 and
$11,184,770, respectively, and the average fair value during the nine and twelve
months then ended, based on monthly calculation, was $7,928,180 and $10,552,252,
respectively.
4. Financial Instrument Risk:
The Partnership is party to financial instruments with off- balance sheet
risk, including derivative financial instruments and
6
<PAGE>
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, to purchase
or sell other financial instruments at specific terms at specified future dates,
or, in the case of derivative commodity instruments, to have a reasonable
possibility to be settled in cash or with another financial instrument. These
instruments may be traded on an exchange or over-the-counter ("OTC"). Exchange
traded instruments are standardized and include futures and certain option
contracts. OTC contracts are negotiated between contracting parties and include
forwards and certain options. Each of these instruments is subject to various
risks similar to those related to the underlying financial instruments including
market and credit risk. In general, the risks associated with OTC contracts are
greater than those associated with exchange traded instruments because of the
greater risk of default by the counterparty to an OTC contract.
Market risk is the potential for changes in the value of the financial
instruments traded by the Partnership due to market changes, including interest
and foreign exchange rate movements and fluctuations in commodity or security
prices. Market risk is directly impacted by the volatility and liquidity in the
markets in which the related underlying assets are traded.
Credit risk is the possibility that a loss may occur due to the failure
of a counterparty to perform according to the terms of a contract. Credit risk
with respect to exchange traded instruments is reduced to the extent that an
exchange or clearing organization acts as a counterparty to the transactions.
The Partnership's risk of loss in the event of counterparty default is typically
limited to the amounts recognized in the statement of financial condition and
not represented by the contract or notional amounts of the instruments. The
Partnership has concentration risk because the sole counterparty or broker with
respect to the Partnership's assets is SSB.
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. These monitoring systems allow the General Partner to statistically
analyze actual trading results with risk adjusted performance indicators and
correlation statistics. In addition, on-line monitoring systems provide account
analysis of futures, forwards and options positions by sector, margin
requirements, gain and loss transactions and collateral positions.
The notional or contractual amounts of these instruments, while not
recorded in the financial statements, reflect the extent of the Partnership's
involvement in these instruments. At September 30, 1998, the notional or
contractual amounts of the Partnership's commitment to purchase and sell these
instruments was
7
<PAGE>
$1,826,509,763 and $188,947,887, respectively, as detailed below. All of these
instruments mature within one year of September 30, 1998. However, due to the
nature of the Partnership's business, these instruments may not be held to
maturity. At September 30, 1998, the fair value of the Partnership's
derivatives, including options thereon, was $21,785,278, as detailed below.
SEPTEMBER 30, 1998
NOTIONAL OR CONTRACTUAL
AMOUNT OF COMMITMENTS
TO PURCHASE TO SELL FAIR VALUE
Currencies:
- - Exchange Traded Contracts $ 13,399,663 $ 6,489,293 $ 357,178
- - OTC Contracts 249,267,963 115,653,090 1,865,948
Energy 19,687,746 - 168,621
Grains 574,835 10,771,265 1,341,992
Interest Rates U.S. 402,124,901 - 6,549,801
Interest Rates Non-U.S 1,129,431,371 - 10,334,535
Livestock - 733,720 7,220
Metals 10,050,114 17,657,518 (380,080)
Softs 1,973,170 12,711,418 145,951
Indices - 24,931,583 1,394,112
-------------- -------------- --------------
Totals $1,826,509,763 $ 188,947,887 $ 21,785,278
============== ============== ==============
At December 31, 1997, the notional or contractual amounts of the
Partnership's commitment to purchase and sell these instruments was $825,601,374
and $788,720,477, respectively, and fair value of the Partnership's derivatives,
including options thereon, was $11,184,770, as detailed below.
DECEMBER 31,1997
NOTIONAL OR CONTRACTUAL
AMOUNT OF COMMITMENTS
TO PURCHASE TO SELL FAIR VALUE
Currencies:
- - Exchange Traded Contracts $ 11,004,227 $ 85,052,231 $ 710,480
- - OTC Contracts 91,780,207 172,891,448 430,261
Energy 2,293,498 51,019,266 2,859,466
Grains 1,900,330 34,874,210 884,824
Interest Rates U.S. 221,651,270 - 1,004,688
Interest Rates Non-U.S 450,921,559 320,673,268 1,205,068
Livestock - 7,873,583 241,315
Metals 23,394,060 69,472,845 2,414,000
Softs 18,743,743 20,872,968 934,676
Indices 3,912,480 25,990,658 499,992
------------ ------------ ------------
Totals $825,601,374 $788,720,477 $ 11,184,770
============ ============ ============
5. Subsequent Events:
Effective October 1, 1998, AIS Futures Management, Inc. was terminated
as an Advisor.
On October 8, 1998, Travelers Group Inc. merged with Citicorp Inc. and
changed its name to Citigroup Inc.
8
<PAGE>
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 and forward contracts, commodity options 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 1998.
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, additions and redemptions of Units and
distributions of profits, if any.
For the nine months ended September 30, 1998, Partnership capital
decreased 1.9% from $151,381,261 to $148,531,490. This decrease was attributable
to the redemption of 12,068.8347 Units totaling $15,233,958 which was partially
offset by additional sales of 68.3442 Units totaling $86,357 coupled with net
income from operations of $12,297,830. Additional Units offered represent a
reduced brokerage fee to existing limited partners investing $1,000,000 or more.
Future redemptions can impact the amount of funds available for investments in
commodity contract positions in subsequent periods.
Operational Risk
The General Partner administers the business of the Partnership through
various systems and processes maintained by SSBH. SSBH has analyzed the impact
of the year 2000 on its systems and processes and modifications for compliance
are proceeding according to plan. All modifications necessary for year 2000
compliance are expected to be completed by the first quarter of 1999. In July
1998, SSB participated in successful industry-wide testing coordinated by the
Securities Industry Association and plans to participate in such tests in the
future. The purpose of industry-wide testing is to confirm that exchanges,
clearing organizations, and other securities industry participants are prepared
for the year 2000.
The most likely and most significant risk to the Partnership
associated with the lack of year 2000 readiness is the failure of outside
organizations, including the commodities exchanges, clearing organizations or
regulators with which the Partnership interacts to resolve their year 2000
issues in a timely manner. This risk could involve the inability to determine
the value of the Partnership at some point in time and would make effecting
purchases or redemptions of Units in the Partnership infeasible until such
valuation was determinable.
9
<PAGE>
In addition, the General Partner is addressing the technological
implications that will result from regulatory and market changes due to Europe's
Economic and Monetary Union ("EMU").
Risks to the Partnership exist in the lack of experience with this new
currency and the potential impact it can have on the Advisors' trading programs.
Risks also exist in the failure of external information technology and
accounting systems to adequately prepare for the conversion. This issue is
particularly acute in the area of the exchanges, clearing houses and
over-the-counter foreign exchange markets where the futures interests are
traded. If the necessary changes are not properly implemented, the Partnership
could suffer failed trade settlements, inability to reconcile trading positions
and funding disruptions. Such events could result in erroneous entries in the
Partnership's accounts, mispriced transactions, and a delay or inability to
provide timely pricing of Units for the purpose of effecting purchases and
redemptions.
SSB has evaluated its internal systems and made the necessary changes
to accommodate EMU transactions on behalf of the Partnership. The General
Partner will continue to monitor and communicate with the Advisors and related
third-party entities to assure preparation for the EMU conversion and advanced
notification of impending issues or problems.
Results of Operations
During the Partnership's third quarter of 1998, the net asset value per
Unit increased 16.3% from $1,220.69 to $1,420.16, as compared to an increase of
1.3% in the third quarter of 1997. The Partnership experienced a net trading
gain before brokerage commissions and related fees in the third quarter of 1998
of $25,659,146. Gains were recognized in the trading of commodity futures in
livestock, grains, U.S. and non-U.S. interest rates and energy and were
partially offset by losses in indices, currencies, metals and softs. The
Partnership experienced a net trading gain before brokerage commissions and
related fees in the third quarter of 1997 of $4,113,795. Gains were recognized
in the trading of commodity futures in currencies, U.S. and non-U.S. interest
rates and indices and were partially offset by losses recognized in the trading
of energy products, livestock, grains, metals and softs.
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. 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
10
<PAGE>
increase capital through operations.
Interest income on 80% of the Partnership's daily equity maintained in
cash was earned on the monthly average 30-day U.S. Treasury bill rate determined
weekly by SSB based on the noncompetitive yield on three month U.S. Treasury
bills maturing in 30 days from the date in which such weekly rate is determined.
Interest income for the three and nine months ended September 30, 1998 decreased
by $264,900 and $770,565, respectively, as compared to the corresponding periods
in 1997. The decrease in interest income is primarily due to the effect of
redemptions on the Partnership's equity maintained in cash.
Brokerage commissions are calculated on the Partnership's net asset
value as of 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 monthly net asset values. Commissions and fees for the three
and nine months ended September 30, 1998 decreased by $376,397 and $1,181,654
respectively, as compared to the corresponding periods in 1997.
Management fees are calculated on the portion of the Partnership's net
asset value allocated to each Advisor at the end of the month and, therefore,
are affected by trading performance and redemptions. Management fees for the
three and nine months ended September 30, 1998 decreased by $84,835 and
$410,406, respectively, as compared to the corresponding periods in 1997.
Incentive fees are based on the new trading profits generated by each
Advisor at the end of the quarter, as defined in the advisory agreements between
the Partnership, the General Partner and each Advisor. Trading performance for
the three and nine months ended September 30, 1998 resulted in incentive fees of
$2,731,568 and $2,973,642, respectively. Trading performance for the three and
nine months ended September 30, 1997 resulted in incentive fees of $61,032 and
$808,726, respectively.
11
<PAGE>
Item 3. Quantitative and Qualitative Disclosures of Market Risk
The Partnership is subject to SEC Financial Reporting Release No. 48,
regarding quantitative and qualitative disclosures of market risk and will
comply with the disclosure and reporting requirements in its Form 10-K as of
December 31, 1998.
12
<PAGE>
PART II OTHER INFORMATION
Item 1. Legal Proceedings
Between May 1994 and the present, Salomon Brothers Inc.
("SBI"), Smith Barney Inc. ("SB") and The Robinson
Humphrey Company, Inc. ("R-H"), all currently
subsidiaries of Salomon Smith Barney Holdings Inc.
("SSBH"), along with a number of other broker-dealers,
were named as defendants in approximately 25 federal
court lawsuits and two state court lawsuits, principally
alleging that companies that make markets in securities
traded on NASDAQ violated the federal antitrust laws by
conspiring to maintain a minimum spread of $.25 between
the bid and asked price for certain securities. The
federal lawsuits and one state court case were
consolidated for pre-trial purposes in the Southern
District of New York in the fall of 1994 under the
caption In re NASDAQ Market-Makers Antitrust Litigation,
United States District Court, Southern District of New
York No. 94-CIV-3996 (RWS); M.D.L. No. 1023. The other
state court suit, Lawrence A. Abel v. Merrill Lynch &
Co., Inc. et al.; Superior Court of San Diego, Case No.
677313, has been dismissed without prejudice in
conjunction with a tolling agreement.
In consolidated action, the plaintiffs purport to
represent a class of persons who bought one or more of
what they currently estimate to be approximately 1,650
securities on NASDAQ between May 1, 1989 and May 27, 1994.
They seek unspecified monetary damages, which would be
trebled under the antitrust laws. The plaintiffs also seek
injunctive relief, as well as attorney's fees and the
costs of the action. (The state cases seek similar
relief.) Plaintiffs in the consolidated action filed an
amended consolidated complaint that defendants answered in
December 1995. On November 26, 1996, the Court certified a
class composed of retail purchasers. A motion to include
institutional investors in the class and to add class
representatives was granted. In December 1997, SBI, SB and
R-H, along with several other broker-dealer defendants,
executed a settlement agreement with the plaintiffs. This
agreement has been preliminarily approved by the U.S.
District Court for the Southern District of New York but
is subject to final approval.
On July 17, 1996, the Antitrust Division of the
Department of Justice filed a complaint against a number
of firms that act as market makers in NASDAQ stocks. The
13
<PAGE>
complaint basically alleged that a common understanding
arose among NASDAQ market makers which worked to keep
quote spreads in NASDAQ stocks artificially wide.
Contemporaneous with the filing of the complaint, SBI, SB
and other defendants entered into a stipulated settlement
agreement, pursuant to which the defendants would agree
not to engage in certain practices relating to the quoting
of NASDAQ securities and would further agree to implement
a program to ensure compliance with federal antitrust laws
and with the terms of the settlement. In entering into the
stipulated settlement, SBI and SB did not admit any
liability. There are no fines, penalties, or other
payments of monies in connection with the settlement. In
April 1997, the U.S. District Court for the Southern
District of New York approved the settlement. In May 1997,
plaintiffs in the related civil action (who were permitted
to intervene for limited purposes) appealed the district
court's approval of the settlement. The appeal was argued
in March 1998 and was affirmed in August 1998.
The Securities and Exchange Commission ("SEC") is also
conducting a review of the NASDAQ marketplace, during
which it has subpoenaed documents and taken the testimony
of various individuals including SBI and SB personnel. In
July 1996, the SEC reached a settlement with the National
Association of Securities Dealers and issued a report
detailing certain conclusions with respect to the NASD and
the NASDAQ market.
In December 1996, a complaint seeking unspecified
monetary damages was filed by Orange County, California
against numerous brokerage firms, including SB, in the
U.S. Bankruptcy Court for the Central District of
California. Plaintiff alleged, among other things, that
the defendants recommended and sold to plaintiff
unsuitable securities. The case (County of Orange et al.
v. Bear Stearns & Co. Inc. et al.) has been stayed by
agreement of the parties.
Item 2. Changes in Securities and Use of Proceeds - 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 - None
(b) Reports on Form 8-K - None
14
<PAGE>
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.
SMITH BARNEY DIVERSIFIED FUTURES FUND L.P.
By: Smith Barney Futures Management Inc.
(General Partner)
By:
David J. Vogel, President
Date:
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:
David J. Vogel, President
Date:
By
Daniel A. Dantuono
Chief Financial Officer and
Director
Date:
15
<PAGE>
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.
SMITH BARNEY DIVERSIFIED FUTURES FUND L.P.
By: Smith Barney Futures Management Inc.
(General Partner)
By: /s/ David J. Vogel, President
David J. Vogel, President
Date: 11/12/98
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/ David J. Vogel, President
David J. Vogel, President
Date: 11/12/98
By /s/ Daniel A. Dantuono
Daniel A. Dantuono
Chief Financial Officer and
Director
Date: 11/12/98
15
<PAGE>
<TABLE> <S> <C>
<ARTICLE> 5
<CIK> 0000911503
<NAME> SMITH BARNEY DIVERSIFIED FUTURES FUND L.P.
<S> <C>
<PERIOD-TYPE> 9-MOS
<FISCAL-YEAR-END> DEC-31-1998
<PERIOD-START> JAN-01-1998
<PERIOD-END> SEP-30-1998
<CASH> 131,197,341
<SECURITIES> 21,785,278
<RECEIVABLES> 419,385
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 153,402,004
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 153,402,004
<CURRENT-LIABILITIES> 4,870,514
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 148,531,490
<TOTAL-LIABILITY-AND-EQUITY> 153,402,004
<SALES> 0
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<NET-INCOME> 12,297,830
<EPS-PRIMARY> 121.73
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</TABLE>
