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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 fiscal year ended December 31, 2000
Commission File Number 0-16627
SHEARSON 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 LLC
388 Greenwich St. - 7th Fl.
New York, New York 10013
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(Address and Zip Code of principal executiveoffices)
(212) 723-5424
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(Registrant's telephone number, including areacode)
Securities registered pursuant to Section 12(b) of the Act: None
Securities registered pursuant to Section 12(g) of the Act: Units
of Limited
Partnership
Interest
(Title of Class)
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 toItem 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 [X]
As of February 28, 2001, Limited Partnership Units with an aggregate value of
$3,429,891 were outstanding and held by non-affiliates.
DOCUMENTS INCORPORATED BY REFERENCE
NONE
PART 1
Item 1. Business.
(a) General development of business. Shearson 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 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 on July 1, 1987. Redemptions for the
years ended December 31, 2000, 1999 and 1998 are reported in the Statement of
Partners' Capital on page F-6 under "Item 8. Financial Statements and
Supplementary Data."
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.
Smith Barney Futures Management LLC acts as the general partner (the
"General Partner") of the Partnership. The Partnership's commodity broker is
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.
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("SSBHI"), which is the sole owner of SSB. SSBHI is a wholly owned subsidiary of
Citigroup Inc.
The Partnership's trading of futures, forwards and options contracts, if
applicable, on commodities is done primarily on United States of America
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 SSB.
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. The Partnership is obligated
to pay the General Partner an incentive fee payable quarterly equal to 5% of New
Trading Profits of the Partnership.
The General Partner has entered into a Management Agreement (the
"Management Agreement") with John W. Henry & Company, Inc. ("the Advisor"). The
Advisor is not affiliated with the General Partner or SSB. The Advisor is not
responsible for the organization or operation of the Partnership. Reference
should be made to "Item 8. Financial Statements and Supplementary Data." for
further information regarding the Advisor included in the notes to the financial
statements.
The Management Agreement requires the Partnership to pay the Advisor a
monthly management fee of 1/3 of 1% (4% per year) of month-end Net Assets
managed by the Advisor and an incentive fee equal to 10% of the New Trading
3
Profits (as defined in the Management Agreement) earned on the Net Assets
managed by the Advisor during each quarter.
Pursuant to the terms of the customer agreement entered into with SSB
(the "Customer Agreement"), the Partnership is obligated to pay a monthly
commodity brokerage fee. Effective January 1, 1997, the Partnership pays SSB a
monthly brokerage fee equal to .5% of month end net assets (6% per year) in lieu
of brokerage commissions on a per trade basis. From July 1, 1995 through January
1, 1997, the Partnership paid Smith Barney a monthly brokerage fee equal to
.667% of month end net assets (8% per year). The Partnership previously paid SSB
a monthly brokerage fee equal to .833% of month end net assets (10% per year)
prior to July 1, 1995. The Partnership will pay for clearing fees, but not for
floor brokerage which will be borne by SSB. The Customer Agreement between the
Partnership and SSB gives the Partnership the legal right to net unrealized
gains and losses. Reference should be made to "Item 8. Financial Statements and
Supplementary Data." for further information regarding the brokerage commissions
included in the notes to the financial statements.
In addition, SSB 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.
4
(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. Treasuries
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, 2000, 1999, 1998,
1997 and 1996 are set forth under "Item 6. Selected Financial Data." Partnership
capital as of December 31, 2000 was $3,358,545.
(c) Narrative description of business.
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 Geographic Areas. The Partnership does
not engage in sales of goods or services or own any long lived assets, and
therefore this item is 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, SSB.
5
Item 3. Legal Proceedings.
Salomon Smith Barney Inc, ("SSB") is a New York corporation with its
principal place of business at 388 Greenwich St., New York, New York 10013. SSB
is registered as a broker-dealer and futures commission merchant ("FCM"), and
provides futures brokerage and clearing services for institutional and retail
participants in the futures markets. SSB and its affiliates also provide
investment banking and other financial services for clients worldwide.
There have been no administrative, civil or criminal actions pending,
on appeal or concluded against SSB or any of its individual principals within
the past five years that management believes may have a material impact on
SSB's ability to act as an FCM. In the ordinary course of its business, SSB is
a party to various claims and regulatory inquiries. Proceedings deemed to be
material for purposes of CFTC disclosure requirements are:
In September 1992, Harris Trust and Savings Bank (as trustee for
Ameritech Pension Trust), Ameritech Corporation, and an officer of Ameritech
sued Salomon Brothers Inc and Salomon Brothers Realty Corporation in the U.S.
District Court for the Northern District of Illinois (Harris Trust Savings
Bank, not individually but solely as trustee for the Ameritech Pension Trust,
Ameritech Corporation and John A. Edwardson v. Salomon Brothers Inc and Salomon
Brothers Realty Corp.). The complaint alleged that purchases by Ameritech
Pension Trust from the Salomon entities of approximately $20.9 million in
participations in a portfolio of motels owned by Motels of America, Inc. and
Best Inns, Inc. violated the Employee Retirement Income Security Act ("ERISA"),
6
the Racketeer Influenced and Corrupt Organization Act ('RICO") and state law.
Salomon Brothers Inc had acquired the participations issued by Motels of
America and Best Inns to finance purchases of motel portfolios and sold 95% of
three such issues and 100% of one such issue to Ameritech Pension Trust.
Ameritech Pension Trust's complaint sought (1) approximately $20.9 million on
the ERISA claim, and (2) in excess of $70 million on the RICO and state law
claims as well as other relief. In various decisions between August 1993 and
July 1999, the courts hearing the case have dismissed all of the allegations in
the complaint against the Salomon entities. In October 1999, Ameritech appealed
to the U.S. Supreme Court and in January 2000, the Supreme Court agreed to hear
the case. An argument was heard on April 17, 2000. The appeal seeks review of
the decision of the U.S. Court of Appeals for the Seventh Circuit that
dismissed the sole remaining ERISA claim against the Salomon entities. In June
the Supreme Court reversed the Seventh Circuit and the matter has been remanded
to the Trial Courts.
Both the Department of Labor and the Internal Revenue Service have
advised Salomon Brothers Inc that they were or are reviewing the transactions
in which Ameritech Pension Trust acquired such participations. With respect to
the Internal Revenue Service review, Salomon Smith Barney Holdings, Salomon
Brothers Inc and Salomon Brothers Realty have consented to extensions of time
for the assessment of excise taxes that may be claimed to be due with respect
to the transactions for the years 1987, 1988 and 1989.
7
In December 1996, a complaint seeking unspecified monetary damages was
filed by Orange County, California against numerous brokerage firms, including
Salomon Smith Barney, in the U.S. Bankruptcy Court for the Central District of
California. (County of Orange et aL v. Bear Stearns & Co. Inc. et al.) The
complaint alleged, among other things, that the brokerage firms recommended and
sold unsuitable securities to Orange County. Salomon Smith Barney and the
remaining brokerage firms settled with Orange County in mid 1999.
In June 1998, complaints were filed in the U.S. District Court for the
Eastern District of Louisiana in two actions (Board of Liquidations, City Debt
of the City of New Orleans v. Smith Barney Inc, et ano. and The City of New
Orleans v. Smith Barney Inc. et ano.), in which the City of New Orleans seeks a
determination that Smith Barney Inc. and another underwriter will be responsible
for any damages that the City may incur in the event the Internal Revenue
Service denies tax exempt status to the City's General Obligation Refunding
Bonds Series 1991. The complaints were subsequently amended. Salomon Smith
Barney has asked the court to dismiss the amended complaints. The Court denied
the motion but stayed the case. Subsequently, the city withdrew its lawsuit.
It November 1998, a class action complaint was filed in the United
States District Court for the Middle District of Florida (Dwight Brock as Clerk
for Collier County v. Merrill Lynch, et al.). The complaint alleged that,
pursuant to a nationwide conspiracy, 17 broker-dealer defendants, including
Salomon Smith Barney, charged excessive mark-ups in connection with advanced
8
refunding transactions. Among other relief, plaintiffs sought compensatory and
punitive damages, restitution and/or rescission of the transactions and
disgorgement of alleged excessive profits. In October 1999, the plaintiff filed
a second amended complaint. Salomon Smith Barney has asked the court to dismiss
the amended complaint.
In connection with the Louisiana and Florida matters, the IRS and SEC
have been conducting an industry-wide investigation into the pricing of
Treasury securities in advanced refunding transactions. In April 2000 SSB and
several other broker-dealers entered into a settlement with the IRS and the
SEC.
In December 1998, Salomon Smith Barney was one of twenty-eight market
making firms that reached a settlement with the SEC in the matter titled In the
Matter of Certain Market Making Activities on NASDAQ. As part of the settlement
of that matter, Salomon Smith Barney, without admitting or denying the factual
allegations, agreed to an order that required that it: (i) cease and desist
from committing or causing any violations of Sections 15(c)(1) and (2) of the
Securities Exchange Act of 1934 and Rules l5cl -2, 15c2-7 and 17a-3 thereunder,
(ii) pay penalties totaling approximately $760,000, and (iii) submit certain
policies and procedures to an independent consultant for review.
In March 1999, a complaint seeking in excess of $250 million was filed
by a hedge fund and its investment advisor against Salomon Smith Barney in the
Supreme Court of the State of New York, County of New York (MKP Master Fund,
LDC et al. v. Salomon Smith Barney Inc.). The complaint included allegations
9
that, while acting as prime broker for the hedge fund, Salomon Smith Barney
breached its contracts with plaintiffs, misused their monies, and engaged in
tortious (wrongful) conduct, including breaching its fiduciary duties. Salomon
Smith Barney asked the court to dismiss the complaint in full. In October 1999,
the court dismissed the tort claims, including the breach of fiduciary duty
claims. The court allowed the breach of contract and misuse of money claims to
stand, Salomon Smith Barney will continue to contest this lawsuit vigorously.
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
established public trading market for the Units of Limited Partnership
Interest.
(b) Holders. The number of holders of Units of Partnership Interest as
of December 31, 2000 was 382.
(c) Distribution. The Partnership did not declare a distribution in 2000
or 1999.
(d) Use of Proceeds There were no additional sales in the years ended
December 31, 2000, 1999 and 1998.
10
Item 6. Selected 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, 2000, 1999, 1998, 1997, and 1996 and total assets at December 31,
2000, 1999, 1998, 1997, and 1996 were as follows:
2000 1999 1998 1997 1996
------------ ------------ ------------ -------- ---------
Net realized and unrealized trading gains
(losses) net of brokerage commissions
and clearing fees of $189,032, $300,092,
$331,645, $373,144, and $493,435,
respectively $ 139,628 $ (991,124) $ 300,001 $ 895,110 $ 1,411,077
Interest income 121,989 157,603 180,533 213,272 202,098
----------- ----------- ----------- ----------- -----------
$ 261,617 $ (833,521) $ 480,534 $ 1,108,382 $ 1,613,175
=========== =========== =========== =========== ===========
Net income (loss) $ 106,856 $(1,076,852) $ 158,830 $ 723,608 $ 1,141,619
=========== =========== =========== =========== ===========
Increase (decrease) in net
asset value per unit $ 155.53 $ (590.19) $ 110.78 $ 311.28 $ 423.08
=========== =========== =========== =========== ===========
Total assets $ 3,520,482 $ 4,020,521 $ 5,755,721 $ 6,503,549 $ 6,709,794
=========== =========== =========== =========== ===========
11
Item 7. Management's Discussion and Analysis of Financial Condition and Result
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, net unrealized appreciation (depreciation) on open
positions and interest receivable. Because of the low margin deposits normally
required in commodity 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 commodity interests
which are traded in sufficient volume to permit, in the opinion of the Advisors,
ease of taking and liquidating positions.
(2) 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.
12
(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 Advisor 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.
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
may 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
13
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. (See also Item 8.
"Financial Statements and Supplementary Data." for further information on
financial instrument risk included in the notes to financial statements.)
Other than the risks inherent in commodity 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 Partnership will 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 to less than $1,000,000.
(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 trading and by expenses, interest income, redemptions of Units and
distributions of profits, if any. Gains or losses on commodity trading cannot be
predicted. Market moves in commodities are dependent upon fundamental and
technical factors which the Partnership's Advisors 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
14
upon the level of trading gains or losses and the ability of the Advisor 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 SSB 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. A 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. For the year ended December 31, 2000, 324 Units were
redeemed for a total of $604,706. For the year ended December 31, 1999, 236
Units were redeemed for a total of $612,418. For the year ended December 31,
1998, 335 units were redeemed for a total of $843,006
(c) Results of operations. For the year ended December 31, 2000, the
net asset value per Unit increased 7.0%, from $2,216.32 to $2,371.85. For the
year ended December 31, 1999, the net asset value per Unit decreased 21.0%, from
$2,806.51 to $2,216.32. For the year ended December 31, 1998 the net asset value
per unit increased 4.1 % from $2,695.73 to 2,806.51.
The Partnership experienced net trading gains of $328,660
before commissions and expenses for the year ended December 31, 2000. Gains were
primarily attributable to the trading of currencies and U. S. and non-U. S.
interest rates products and were partially offset by losses in indices and
metals.
The Partnership experienced a net trading loss before
15
brokerage commissions and related fees in 1999 of $691,032. Losses were
primarily attributable to the trading of U.S. and non-U.S. interest rates,
metals and indices and were partially offset by gains in currencies.
The Partnership experienced net trading gains of $631,646
before commissions and expenses in 1998. Gains were primarily attributable to in
the trading of U.S. and non-U.S. interest rates and were partially offset by
losses in currencies, metals and indices.
Commodity 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 Advisor to identify those price trends correctly. 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 Advisor is able to
identify them, the Partnership expects to increase capital through operations.
(d) Operational Risk
The Partnership is directly exposed to market risk and credit
risk, which arise in the normal course of its business activities. Slightly less
direct, but of critical importance, are risks pertaining to operational and back
office support. This is particularly the case in a rapidly changing and
16
increasingly global environment with increasing transaction volumes and an
expansion in the number and complexity of products in the marketplace.
Such risks include:
Operational/Settlement Risk - the risk of financial and opportunity loss and
legal liability attributable to operational problems, such as inaccurate pricing
of transactions, untimely trade execution, clearance and/or settlement, or the
inability to process large volumes of transactions. The Partnership is subject
to increased risks with respect to its trading activities in emerging market
securities, where clearance, settlement, and custodial risks are often greater
than in more established markets.
Technological Risk - the risk of loss attributable to technological limitations
or hardware failure that constrain the Partnership's ability to gather, process,
and communicate information efficiently and securely, without interruption, to
customers, among units within the Partnership, and in the markets where the
Partnership participates.
Legal/Documentation Risk - the risk of loss attributable to deficiencies in the
documentation of transactions (such as trade confirmations) and customer
relationships (such as master netting agreements) or errors that result in
noncompliance with applicable legal and regulatory requirements.
Financial Control Risk - the risk of loss attributable to limitations in
financial systems and controls. Strong financial systems and controls ensure
that assets are safeguarded, that transactions are executed in accordance with
17
management's authorization, and that financial information utilized by
management and communicated to external parties, including the Partnership's
unitholders, creditors, and regulators, is free of material errors.
Item 7A. Quantitative and Qualitative Disclosures About Market Risk
Introduction
The Partnership is a speculative commodity pool. The market sensitive
instruments held by it are acquired for speculative trading purposes, and all or
substantially all of the Partnership's assets are subject to the risk of trading
loss. Unlike an operating company, the risk of market sensitive instruments is
integral, not incidental, to the Partnership's main line of business.
Market movements result in frequent changes in the fair market value of
the Partnership's open positions and, consequently, in its earnings and cash
flow. The Partnership's market risk is influenced by a wide variety of factors,
including the level and volatility of interest rates, exchange rates, equity
price levels, the market value of financial instruments and contracts, the
diversification results among the Partnership's open positions and the liquidity
of the markets in which it trades.
The Partnership rapidly acquires and liquidates both long and short
positions in a wide range of different markets. Consequently, it is not possible
to predict how a particular future market scenario will affect performance, and
18
the Partnership's past performance is not necessarily indicative of its future
results.
Value at Risk is a measure of the maximum amount which the Partnership
could reasonably be expected to lose in a given market sector. However, the
inherent uncertainty of the Partnership's speculative trading and the recurrence
in the markets traded by the Partnership of market movements far exceeding
expectations could result in actual trading or non-trading losses far beyond the
indicated Value at Risk or the Partnership's experience to date (i.e., "risk of
ruin"). In light of the foregoing as well as the risks and uncertainties
intrinsic to all future projections, the inclusion of the quantification
included in this section should not be considered to constitute any assurance or
representation that the Partnership's losses in any market sector will be
limited to Value at Risk or by the Partnership's attempts to manage its market
risk.
Quantifying the Partnership's Trading Value at Risk
The following quantitative disclosures regarding the Partnership's
market risk exposures contain "forward-looking statements" within the meaning of
the safe harbor from civil liability provided for such statements by the Private
Securities Litigation Reform Act of 1995 (set forth in Section 27A of the
Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934).
All quantitative disclosures in this section are deemed to be forward-looking
19
statements for purposes of the safe harbor except for statements of historical
fact (such as the terms of particular contracts and the number of market risk
sensitive instruments held during or at the end of the reporting period).
The Partnership's risk exposure in the various market sectors traded by
the Advisor is quantified below in terms of Value at Risk. Due to the
Partnership's mark-to-market accounting, any loss in the fair value of the
Partnership's open positions is directly reflected in the Partnership's earnings
(realized and unrealized).
Exchange maintenance margin requirements have been used by the
Partnership as the measure of its Value at Risk. Maintenance margin requirements
are set by exchanges to equal or exceed the maximum losses reasonably expected
to be incurred in the fair value of any given contract in 95%-99% of any one-day
intervals. The maintenance margin levels are established by dealers and
exchanges using historical price studies as well as an assessment of current
market volatility (including the implied volatility of the options on a given
futures contract) and economic fundamentals to provide a probabilistic estimate
of the maximum expected near-term one-day price fluctuation. Maintenance margin
has been used rather than the more generally available initial margin, because
initial margin includes a credit risk component which is not relevant to Value
at Risk.
In the case of market sensitive instruments which are not exchange
traded (almost exclusively currencies in the case of the Partnership), the
margin requirements for the equivalent futures positions have been used as Value
20
at Risk. In those rare cases in which a futures-equivalent margin is not
available, dealers' margins have been used.
The fair value of the Partnership's futures and forward positions does
not have any optionality component. However, certain of the Advisors trade
commodity options. The Value at Risk associated with options is reflected in the
following table as the margin requirement attributable to the instrument
underlying each option. Where this instrument is a futures contract, the futures
margin, and where this instrument is a physical commodity, the
futures-equivalent maintenance margin has been used. This calculation is
conservative in that it assumes that the fair value of an option will decline by
the same amount as the fair value of the underlying instrument, whereas, in
fact, the fair values of the options traded by the Partnership in almost all
cases fluctuate to a lesser extent than those of the underlying instruments.
In quantifying the Partnership's Value at Risk, 100% positive
correlation in the different positions held in each market risk category has
been assumed. Consequently, the margin requirements applicable to the open
contracts have simply been added to determine each trading category's aggregate
Value at Risk. The diversification effects resulting from the fact that the
Partnership's positions are rarely, if ever, 100% positively correlated have not
been reflected.
21
The Partnership's Trading Value at Risk in Different Market Sectors
The following table indicates the trading Value at Risk associated with
the Partnership's open positions by market category as of December 31, 2000. All
open position trading risk exposures of the Partnership have been included in
calculating the figures set forth below. As of December 31, 2000, the
Partnership's total capitalization was $3,358,545.
December 31, 2000
Year to Date
%of Total High Low
Market Sector Value at Risk Capitalization Value at Risk Value at Risk
Currencies
- - OTC Contracts $115,631 3.44% $240,715 $ 27,070
Interest rates U.S. 45,100 1.34% 78,400 19,200
Interest rates Non-U.S 267,631 7.97% 288,058 40,403
Metals (Exchange Traded and OTC Contracts) 16,250 0.49% 93,250 3,000
Indices 60,215 1.79% 79,883 8,082
-------- --------
Total $504,827 15.03%
======== ========
22
As of December 31, 1999, the Partnership's total capitalization was $3,856,395.
December 31, 1999
Year to Date
of Total High Low
Market Sector Value at Risk Capitalization Value at Risk Value at Risk
- ----------------------------------------------------------------------------------------------------
Currencies
- - OTC Contracts $179,054 4.64% $237,128 $ 98,172
Interest rates U.S. 60,500 1.57% 100,000 40,000
Interest rates Non-U.S 83,511 2.17% 390,546 6,645
Metals (Exchange Traded and OTC Contracts) 78,000 2.02% 134,400 52,800
Indices 68,327 1.77% 157,388 24,854
-------- --------
Total $469,392 12.17%
======== ========
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Material Limitations on Value at Risk as an Assessment of Market Risk
The face value of the market sector instruments held by the Partnership
is typically many times the applicable maintenance margin requirement (margin
requirements generally range between 2% and 15% of contract face value) as well
as, many times, the capitalization of the Partnership. The magnitude of the
Partnership's open positions creates a "risk of ruin" not typically found in
most other investment vehicles. Because of the size of its positions, certain
market conditions -- unusual, but historically recurring from time to time --
could cause the Partnership to incur severe losses over a short period of time.
The foregoing Value at Risk table -- as well as the past performance of the
Partnership -- give no indication of this "risk of ruin."
Non-Trading Risk
The Partnership has non-trading market risk on its foreign cash
balances not needed for margin. However, these balances (as well as any market
risk they represent) are immaterial.
Materiality as used in this section, "Qualitative and Quantitative
Disclosures About Market Risk," is based on an assessment of reasonably possible
market movements and the potential losses caused by such movements, taking into
account the leverage, optionality and multiplier features of the Partnership's
market sensitive instruments.
24
0
Qualitative Disclosures Regarding Primary Trading Risk Exposures
The following qualitative disclosures regarding the Partnership's
market risk exposures - except for (i) those disclosures that are statements of
historical fact and (ii) the descriptions of how the Partnership manages its
primary market risk exposures - constitute forward-looking statements within the
meaning of Section 27A of the Securities Act and Section 21E of the Securities
Exchange Act. The Partnership's primary market risk exposures as well as the
strategies used and to be used by the General Partner and the Advisors for
managing such exposures are subject to numerous uncertainties, contingencies and
risks, any one of which could cause the actual results of the Partnership's risk
controls to differ materially from the objectives of such strategies. Government
interventions, defaults and expropriations, illiquid markets, the emergence of
dominant fundamental factors, political upheavals, changes in historical price
relationships, an influx of new market participants, increased regulation and
many other factors could result in material losses as well as in material
changes to the risk exposures and the management strategies of the Partnership.
There can be no assurance that the Partnership's current market exposure and/or
risk management strategies will not change materially or that any such
strategies will be effective in either the short- or long- term.
Investors must be prepared to lose all or substantially all of their investment
in the Partnership.
The following were the primary trading risk exposures of the
25
Partnership as of December 31, 2000, by market sector.
Interest Rates. Interest rate movements directly affect the price of
the futures positions held by the Partnership and indirectly the value of its
stock index and currency positions. Interest rate movements in one country as
well as relative interest rate movements between countries materially impact the
Partnership's profitability. The Partnership's primary interest rate exposure is
to interest rate fluctuations in the United States and the other G-7 countries.
However, the Partnership also takes futures positions on the government debt of
smaller nations -- e.g., Australia. The General Partner anticipates that G-7
interest rates will be one of the primary market exposures of the Partnership
for the foreseeable future.
Currencies. The Partnership's currency exposure is to exchange rate
fluctuations, primarily fluctuations which disrupt the historical pricing
relationships between different currencies and currency pairs. These
fluctuations are influenced by interest rate changes as well as political and
general economic conditions. The Partnership's major exposures have typically
been in the dollar/yen, dollar/mark and dollar/pound positions. The General
Partner does not anticipate that the risk profile of the Partnership's currency
sector will change significantly in the future. The currency trading Value at
Risk figure includes foreign margin amounts converted into U.S. dollars with an
incremental adjustment to reflect the exchange rate risk inherent to the
dollar-based Partnership in expressing Value at Risk in a functional currency
other than dollars.
26
Stock Indices. The Partnership's primary equity exposure is to equity price
risk in the G-7 countries. The stock index futures traded by the Partnership are
by law limited to futures on broadly based indices. As of December 31, 2000, the
Partnership's primary exposures were in the Financial Times (England), Nikkei
(Japan) and SFE (Australian) stock indices. The General Partner anticipates
little, if any, trading in non-G-7 stock indices. The Partnership is primarily
exposed to the risk of adverse price trends or static markets in the major U.S.,
European and Japanese indices. (Static markets would not cause major market
changes but would make it difficult for the Partnership to avoid being
"whipsawed" into numerous small losses.)
Metals. The Partnership's primary metal market exposure is to fluctuations
in the price of gold and silver. Although the Advisor will from time to time
trades base metals such as aluminum and copper the principal market exposures of
the Partnership have consistently been in the precious metals, gold and silver.
The General Partner anticipates that gold and silver will remain the primary
metals market exposure for the Partnership.
Qualitative Disclosures Regarding Non-Trading Risk Exposure
The following were the only non-trading risk exposures of the
Partnership as of December 31, 2000.
Foreign Currency Balances. The Partnership's primary foreign currency
balances are in Japanese yen, Euro dollar and Swiss francs. The Advisor
regularly converts foreign currency balances to dollars in an attempt to control
the Partnership's non-trading risk.
27
Qualitative Disclosures Regarding Means of Managing Risk Exposure
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 General Partner monitors the Partnership's performance and the
concentration of its open positions, and consults with the Advisor concerning
the Partnership's overall risk profile. If the General Partner felt it necessary
to do so, the General Partner could require the Advisor to close out individual
positions as well as enter certain positions traded on behalf of the
Partnership. However, any such intervention would be a highly unusual event. The
General Partner primarily relies on the Advisor's own risk control policies
while maintaining a general supervisory overview of the Partnership's market
risk exposures.
The Advisor applies its own risk management policies to its trading.
The Advisor often follows diversification guidelines, margin limits and stop
loss points to exit a position. The Advisor's research of risk management often
suggests ongoing modifications to its trading programs.
As part of the General Partner's risk management, the General Partner
periodically meets with the Advisor to discuss its risk management and to look
28
for any material changes to the Advisor's portfolio balance and trading
techniques. The Advisor is required to notify the General Partner of any
material changes to its programs.
29
Item 8. Financial Statements and Supplementary Data.
SHEARSON SELECT ADVISORS FUTURES FUND L.P.
INDEX TO FINANCIAL STATEMENTS
Page
Number
Oath or Affirmation F-2
Report of Independent Accountants. F-3
Financial Statements: Statement of Financial Condition at
December 31, 2000 and 1999 F-4
Statement of Income and Expenses for
the years ended December 31, 2000, 1999 and 1998 F-5
Statement of Partners' Capital for the
years ended December 31, 2000, 1999 and 1998. F-6
Notes to Financial Statements. F-7 -F-11
F-1
To The Limited Partners of
Shearson Select Advisors Futures Fund L.P.
To the best of the knowledge and belief of the undersigned, the information
contained herein is accurate and complete.
By: Daniel A. Dantuono, Chief Financial Officer
Smith Barney Futures Management LLC
General Partner, Shearson Select
Advisors Futures Fund L.P.
Smith Barney Futures Management LLC
388 Greenwich Street
7th Floor
New York, N.Y. 10013
212-723-5424
F-2
Report of Independent Accountants
To the Partners of
Shearson Select Advisors Futures Fund L.P.:
In our opinion, the accompanying statement of financial condition and the
related statements of income and expenses and of partners' capital present
fairly, in all material respects, the financial position of Shearson Select
Advisors Futures Fund L.P. at December 31, 2000 and 1999, and the results of its
operations for each of the three years in the period ended December 31, 2000, in
conformity with accounting principles generally accepted in the United States of
America. 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 of these
financial statements in accordance with auditing standards generally accepted in
the United States of America, which 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, assessing
the accounting principles used and significant estimates made by the management
of the General Partner, and evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
PricewaterhouseCoopers LLP
New York, New York
March 9, 2001
F-3
Shearson Select Advisors Futures Fund L.P.
Statement of Financial Condition
December 31, 2000 and 1999
2000 1999
Assets:
Equity in commodity futures trading account:
Cash (Note 3c) $ 2,877,784 $ 4,010,166
Net unrealized appreciation
(depreciation) on open positions 631,967 (2,058)
----------- -----------
3,509,751 4,008,108
Interest receivable 10,731 12,413
----------- -----------
$ 3,520,482 $ 4,020,521
----------- -----------
Liabilities and Partners' Capital:
Liabilities:
Accrued expenses:
Commissions $ 17,602 $ 20,103
Management fees 11,574 13,209
Professional fees 27,769 35,111
Other 3,002 2,618
Redemptions payable (Note 5) 101,990 93,085
----------- -----------
161,937 164,126
----------- -----------
Partners' capital (Notes 1, 5 and 6):
General Partner, 34 Unit equivalents
outstanding in
2000 and 1999 80,643 75,355
Limited Partners, 1,382 and 1,706 Units
of Limited Partnership Interest
outstanding in 2000 and 1999,
respectively 3,277,902 3,781,040
----------- -----------
3,358,545 3,856,395
----------- -----------
$ 3,520,482 $ 4,020,521
----------- -----------
See notes to financial statements.
F-4
Shearson Select Advisors Futures Fund L.P.
Statement of Income and Expenses
for the years ended
December 31, 2000, 1999 and 1998
2000 1999 1998
Net gains (losses) on
trading of commodit interests:
Realized gains (losses)
on closed positions $ (305,365) $ (92,246) $ 340,996
Change in unrealized gains
(losses) on open positions 634,025 (598,786) 290,650
----------- ----------- -----------
328,660 (691,032) 631,646
Less, Brokerage commissions
includin clearing fees of
$2,625, $4,471 and $4,463,
respectively (Note 3c) (189,032) (300,092) (331,645)
----------- ----------- -----------
Net realized and
unrealized gains losses) 139,628 (991,124) 300,001
Interest ncome (Note 3c) 121,989 157,603 180,533
----------- ----------- -----------
261,617 (833,521) 480,534
----------- ----------- -----------
Expenses:
Management fees (Note 3b) 119,891 194,847 215,929
Incentive fees
(Note 3a and 3b) -- -- 58,423
Professional fees 29,507 44,794 40,803
Other expenses 5,363 3,690 6,549
----------- ----------- -----------
154,761 243,331 321,704
----------- ----------- -----------
Net income (loss) $ 106,856 $(1,076,852) $ 158,830
----------- ----------- -----------
Net income (loss) per
Unit of Limited
Partnership Interest and
General Partner Unit
equivalen (Notes 1 and 6) $ 155.53 $ (590.19) $ 110.78
--------- --------- ----------
See notes to financial statements.
F-5
Shearson Select Advisors Futures Fund L.P.
Statement of Partners' Capital for the
years ended December 31, 2000, 1999 and 1998
Limited General
Partners Partner Total
Partners' capital at
December 31, 1997 $6,138,186 $91,655 $6,229,841
Net income 155,064 3,766 158,830
Redemption of 335 Units of
Limited Partnership Interest (843,006) -- (843,006)
----------- ----------- -----------
Partners' capital at
December 31, 1998 5,450,244 95,421 5,545,665
Net loss (1,056,786) (20,066) (1,076,852)
Redemption of 236 Units of
Limited Partnership Interest (612,418) -- (612,418)
----------- ----------- -----------
Partners' capital at
December 31, 1999 3,781,040 75,355 3,856,395
Net income 101,568 5,288 106,856
Redemption of 324 Units of
Limited Partnership Interest (604,706) -- (604,706)
----------- ----------- -----------
Partners' capital at
December 31, 2000 $ 3,277,902 $ 80,643 $ 3,358,545
----------- ----------- -----------
See notes to financial statements.
F-6
Shearson Select Advisors
Futures Fund L.P.
Notes to Financial Statements
1. Partnership Organization:
Shearson 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
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 was authorized to sell 50,000 Units of Limited Partnership
Interest ("Units") during its initial offering period. Smith Barney Futures
Management LLC acts as the general partner (the "General Partner") of the
Partnership. The Partnership's commodity broker is 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. ("SSBHI"), which is the
sole owner of SSB. SSBHI is a wholly owned subsidiary of Citigroup Inc.
The General Partner and each limited partner share in the profits and losses
of the Partnership in proportion to the amount of 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 (including derivative financial instruments and
derivative commodity instruments) are used for trading purposes. The
commodity interests are recorded on trade date and open contracts are
recorded in the statement of financial condition at fair value on the
last business day of the year, which represents market value for those
commodity interests for which market quotations are readily available.
Investments in commodity interests denominated in foreign currencies are
translated into U.S. dollars at the exchange rates prevailing on the last
business day of the year. Realized gains (losses) and changes in
unrealized values on commodity interests and foreign currencies are
recognized in the period in which the contract is closed or the changes
occur and are included in net gains (losses) on trading of commodity
interests.
F-7
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.
c. The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities at
the date of the financial statements and the reported amounts of revenues
and expenses during the reporting period. Actual results could differ
from these estimates.
3. Agreements:
a. Limited Partnership Agreement:
The General Partner administers the business and affairs of the
Partnership including selecting one or more advisors to make trading
decisions for the Partnership. The Partnership will pay the General
Partner an incentive fee payable quarterly equal to 5% of Net Trading
Profits, as defined in the Limited Partnership Agreement of the
Partnership.
b. Management Agreement:
The General Partner, on behalf of the Partnership, has entered into a
Management Agreement with John W. Henry & Company, Inc. (the "Advisor"),
a registered commodity trading advisor. The Advisor is not affiliated
with the General Partner or SSB and is not responsible for the
organization or operation of the Partnership. The Partnership pays the
Advisor a monthly management fee equal to 1/3 of 1% (4% per year) of
month-end Net Assets of the Partnership managed by the Advisor and an
incentive fee equal to 10% of Net Trading Profits, as defined in the
Management Agreement, earned by the Advisor for the Partnership.
c. Customer Agreement:
The Partnership has entered into a Customer Agreement, which was assigned
to SSB from a predecessor company, whereby SSB provides services which
include, among other things, the execution of transactions for the
Partnership's account in accordance with orders placed by the Advisor.
Effective January 1, 1997, the Partnership pays SSB a monthly brokerage
fee equal to 1/2 of 1% (6% per year) of month end net assets, in lieu of
brokerage commissions on a per trade basis. The Partnership pays for all
clearing fees but not floor brokerage charges. All of the Partnership's
cash is deposited in the Partnership's account at SSB. The Partnership's
cash is deposited by SSB in segregated bank accounts to the extent
required by Commodity Futures Trading Commission regulations. At December
31, 2000 and 1999, the amount of cash held for margin requirements was
$524,522 and $517,865, respectively. SSB 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 between the Partnership and SSB
gives the Partnership the legal right to net unrealized gains and losses.
The Customer Agreement may be terminated upon notice by either party.
F-8
4. 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.
All of the commodity interests owned by the Partnership are held for trading
purposes. The average fair value during the years ended December 31, 2000
and 1999, based on a monthly calculation, was $120,583 and $212,790,
respectively. The fair value of these commodity interests, including options
thereon, if applicable, at December 31, 2000 and 1999 was $631,967 and
$(2,058), respectively, as detailed below.
Fair Value
December 31, December 31,
2000 1999
Currencies:
-OTC Contracts $ 283,667 $ (59,672)
Interest Rates U.S. 133,125 47,375
Interest Rates Non-U.S 197,476 19,287
Metals (Exchange Traded and OTC Contracts) (18,307) (22,030)
Indices 36,006 12,982
--------- ---------
Total $ 631,967 $ (2,058)
--------- ---------
5. 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.
6. Net Asset Value Per Unit:
Changes in the net asset value per Unit of Partnership interest during the
years ended December 31, 2000, 1999 and 1998 were as follows:
2000 1999 1998
Net realized and unrealized gains
(losses) $ 175.88 $ (544.55) $177.52
Interest income 77.06 84.45 83.33
Expenses (97.41) (130.09) (150.07)
-------- -------- --------
Increase (decrease) for year 155.53 (590.19) 110.78
Net asset value per Unit, beginning of year 2,216.32 2,806.51 2,695.73
-------- -------- --------
Net asset value per Unit, end of year $ 2,371.85 $2,216.32 2,806.51
-------- -------- --------
F-9
7. Financial Instrument Risks:
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 may 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, through physical delivery 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
(see table in Note 4). 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 credit risk and
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.
F-10
The notional or contractual amounts of these instruments, while
appropriately not recorded in the financial statements, reflect the extent
of the Partnership's involvement in these instruments. The majority of these
instruments mature within one year of December 31, 2000. However, due to the
nature of the Partnership's business, these instruments may not be held to
maturity.
F-11
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 LLC.
Investment decisions are made by John W. Henry & Company, Inc. (the "Advisor").
Item 11. Executive Compensation.
The Partnership has no directors or officers. Its affairs are
managed by Smith Barney Futures Management LLC, its General Partner. SSB, 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, 2000, SSB earned $189,032 in
brokerage commissions and clearing fees. Management fees earned by the Advisor
were $119,891 for the year ended December 31, 2000. There were no incentive fees
earned by the advisor for the year ended December 31, 2000
30
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 34 Units of Limited Partnership Interest (2.4%) as of December 31,
2000.
(c). Changes in control. None.
Item 13. Certain Relationships and Related Transactions.
Salomon Smith Barney Inc. and Smith Barney Futures Management
LLC 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.", "Item 11. Executive
Compensation" and "Item 8. Financial Statements and Supplementary Data."
PART IV
Item 14. Exhibits, Financial Statement Schedules, and Reports on Form 8-K.
(a) (1) Financial Statements:
Statement of Financial Condition at December 31, 2000
and 1999.
Statement of Income and Expenses for the years ended
31
December 31, 2000, 1999 and 1998.
Statement of Partners' Capital for the years ended
December 31, 2000, 1999 and 1998.
(2) Financial Statement Schedules: Financial Data Schedule
for the year ended December 31, 2000.
(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. (previouslyfiled).
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)
10.4(b) - Management Agreement between Hayden Commodities
Corp. and Investment Timing Services (previously
filed).
32
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 & Company (previously filed).
33
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 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).
34
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 (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)
35
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 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).
36
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 as Exhibit 10.24 to Form 10-K for
the fiscal year ended December 31, 1994).
10.25- Management Agreement dated September 1, 1994 the
Partnership, the General Partner and Gill Capital
Management(filed as Exhibit 10.25 to Form 10-K for the
fiscal year ended December 31, 1994).
10.26- Letters extending Management Agreements with John W.
Henry & Co., Sunrise Capital Management, Inc. and Gill
Capital Management dated February 16, 1995 (filed as Exhibit
10.26 to Form 10-K for the fiscal year ended December 31,
1994).
10.27- Letter terminating Management Agreement with Gill Capital
Management dated June 27, 1995 (filed as Exhibit 10.27 to
Form 10-K for the fiscal year ended December 31, 1995)
10.28- Letter terminating Management Agreement with Sunrise
Capital Management dated December 23, 1996 (previously
filed)
37
10.29- Letters extending Managements Agreements with John W.
Henry & Company, Inc. for 1996 and 1997 (Filed as
Exhibit 10.29 to Form 10-K for fiscal year ended
December 31, 1997)
10.30- Letter extending Management Agreement with John W.
Henry and Company, Inc. for 1998 (previously filed).
10.31- Letter extending Management Agreement with John W.
Henry and Company, Inc. for 1999 (previously filed).
10.32- Letter extending Management Agreement with John W.
Henry and Company, Inc. for 2000 (filed herein).
(b) Reports on 8-K: None Filed.
38
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
39
SIGNATURES
Pursuant to the requirements of Section 13 or 15(d) the Securities
Exchange Act of 1934, the Registrant has duly caused this annual report on Form
10-K to be signed on its behalf by the undersigned, thereunto duly authorized,
in the City of New York and State of New York on the 30th day of March 2001.
SHEARSON SELECT ADVISORS FUTURES FUND L.P.
By: Smith Barney Futures Management LLC
(General Partner)
By /s/ David J. Vogel
David J. Vogel, President & Director
Pursuant to the requirements of the Securities Exchange Act of 1934,
this annual report on Form 10-K has been signed below by the following persons
in the capacities and on the date indicated.
/s/ David J. Vogel /s/ Jack H. Lehman III
David J. Vogel Jack H. Lehman III
Director, Principal Executive Chairman and Director
Officer and President
/s/ Michael R. Schaefer /s/ Daniel A. Dantuono
Michael R. Schaefer Daniel A. Dantuono
Director Treasurer, Chief Financial
Officer and Director
/s/ Daniel R. McAuliffe, Jr. /s/ Steve J. Keltz
Daniel R. McAuliffe, Jr. Steve J. Keltz
Director Secretary and Director
/s/ Shelley Ullman
Shelley Ullman
Director
40