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, 2002
Commission File Number 0-16627
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SHEARSON SELECT ADVISORS FUTURES FUND L.P.
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(Exact name of registrant as specified in its charter)
Delaware 13-3405705
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State or other jurisdiction of (I.R.S.Employer
incorporation or organization) Identification No.)
c/o Smith Barney Futures Management LLC
388 Greenwich St. - 7th Fl.
New York, New York 10013
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(Address and Zip Code of principal executive offices)
(212) 723-5424
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(Registrant's telephone number, including area code)
Securities registered pursuant to Section 12(b) of the Act: None
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Securities registered pursuant to Section 12(g) of the Act: Units of Limited
Partnership
Interest
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(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]
Indicate by check mark whether the registrant is an accelerated filer (as
defined in Rule 12b-2 of the Acts).
Yes No X
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Limited Partnership Units with an aggregate value of $3,630,714 were outstanding
and held by non-affiliates as of the last business day of the registrant's most
recently completed second fiscal quarter.
As of February 28, 2003, 2,360.0950 Limited Partnership Units were outstanding.
DOCUMENTS INCORPORATED BY REFERENCE
NONE
PART 1
Item 1. Business.
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(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, 2002, 2001 and 2000 are reported in the Statement of Partners'
Capital on page F-9 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
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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 pays 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.
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(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, 2002, 2001, 2000,
1999 and 1998 are set forth under "Item 6. Selected Financial Data." Partnership
capital as of December 31, 2002 was $4,059,413.
(c) Narrative description of business.
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See Paragraphs (a) and (b) above.
(i) 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.
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The Partnership does not own or lease any properties. The General Partner
operates out of facilities provided by its affiliate, SSB.
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Item 3. Legal Proceedings.
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This section describes the major pending legal proceedings, other than
ordinary routine litigation incidental to the business, to which Salomon Smith
Barney Holdings Inc. ("SSBHI") or its subsidiaries is a party or to which any of
their property is subject. There are no material legal proceedings pending
against the Partnership or the General Partner.
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 Commodity Futures Trading Commission ("CFTC") disclosure
requirements are:
In December 1996, a complaint seeking unspecified monetary damages was
filed by Orange County, California against numerous brokerage firms, including
SSB, 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,
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among other things, that the brokerage firms recommended and sold unsuitable
securities to Orange County. SSB and the remaining brokerage firms settled with
Orange County in mid 1999. SSB paid $1,333,333 to settle this matter.
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. SSB has asked the
court to dismiss the amended complaints. The court denied the motion but stayed
the case. Subsequently, the City withdrew its lawsuit.
In November 1998, a class action complaint was filed in the U.S. 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 SSB, charged
excessive mark-ups in connection with advanced 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. In
November 1999, SSB moved to dismiss the amended complaint. In May 2001, the
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parties reached and the court preliminarily approved a tentative settlement. SSB
paid $1,063,457 to settle this matter and in September 2001, the court approved
the settlement.
In connection with the Louisiana and Florida matters, the IRS and SEC
conducted 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. Thereafter,
the plaintiffs filed voluntary discontinuances.
In December 1998, SSB was one of 28 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, SSB,
without admitting or denying the factual allegations, agreed to an order which
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 SEC
Rules 15c1-2, 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 SSB 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 that, while acting as
prime broker for the hedge fund, SSB breached its contracts with plaintiffs,
misused their monies and engaged in tortious conduct, including breaching its
fiduciary duties. SSB asked the court to dismiss the complaint in full. In
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October 1999, the court dismissed the tort claims, including the breach of
fiduciary duty claims. The court allowed the breach of contract and conversion
claims to stand. In December 1999, SSB filed an answer and asserted
counterclaims against the investment advisor. In response to plaintiff's motion
to strike out the counterclaims, in January 2000, SSB amended its counterclaims
against the investment advisor to seek indemnification and contribution.
Plaintiffs moved to strike SSB's amended counterclaims in February 2000. In
September 2000, the court denied plaintiffs' motion to dismiss SSB's
counterclaims based on indemnification and contribution. In August 2002, SSB
filed a motion for summary judgment.
In April 2002, numerous class action complaints were filed against Salomon
Smith Barney and other investment banks in the U.S. District Court for the
Southern District of New York alleging violations of certain federal securities
laws (including Section 11 of the Securities Act of 1933 and Section 10(b) of
the Securities Exchange Act of 1934) with respect to the allocation of shares
for certain initial public offerings and related aftermarket transactions and
damage to investors caused by allegedly biased research analyst reports. On
February 19, 2003, the court issued an opinion denying the defendants' motion to
dismiss. Also pending in the Southern District of New York against SSB and other
investment banks are several alleged class actions which have been consolidated
into a single class action alleging violations of certain federal and state
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antitrust laws in connection with the allocation of shares in initial public
offerings underwritten by such parties. The defendants in these actions have
moved to dismiss the consolidated amended complaint but the court has not yet
rendered a decision on those motions.
In April 2002, Citigroup and, in one case, SSB were named as defendants
along with, among others, commercial and/or investment banks, certain current
and former Enron officers and directors, lawyers and accountants in two alleged
consolidated class action complaints that were filed in the U.S. District Court
for the Southern District of Texas seeking unspecified damages. One action,
brought on behalf of individuals who purchased Enron securities (Newby, et al.
v. Enron Corp., et al.), alleges violations of Sections 11 and 15 of the
Securities Act of 1933 and Sections 10(b) and 20(a) of the Securities Exchange
Act of 1934 and the other action, brought on behalf of current and former Enron
employees (Tittle, et al. v. Enron Corp., et al.), alleges violations of ERISA
and RICO, as well as negligence and civil conspiracy. On May 8, 2002, Citigroup
and SSB filed motions to dismiss the complaints. On December 19, 2002, the
motions to dismiss the Newby complaint were denied. The motion to dismiss the
complaint in Tittle remains pending.
Since April 2002, SSB and several other broker dealers have received
subpoenas and/or requests for information from various governmental and
self-regulatory agencies and Congressional committees, including the NASD Inc.
which has raised issues about SSB's internal e-mail retention practices and
research on Winstar Communications, Inc. With respect to Winstar, SSB has
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entered into a settlement agreement. SSB agreed to pay a penalty in the amount
of $5 million and did not admit to any wrongdoing. With respect to other such
matters, on December 20, 2002, Citigroup and a number of other broker/dealers
reached a settlement-in-principle with the SEC, the NASD Inc., the New York
Stock Exchange (the "NYSE") and the Attorney General of New York of all issues
raised in their research, initial public offerings allocation and
spinning-related inquiries. In addition, with respect to issues raised by the
NASD, the NYSE and the SEC about SSB's and other firms' e-mail retention
practices, SSB and several other broker/dealers and the NASD, the NYSE and the
SEC entered into a settlement agreement in December 2002. SSB agreed to pay a
penalty in the amount of $1.65 million and did not admit to any allegation of
wrongdoing.
Since May 2002, Citigroup, SSB and certain principals, executive officers
and current and former employees have been named as defendants in a number of
alleged class action complaints filed in the U.S. District Court for the
Southern District of New York by purchasers of various securities alleging they
violated federal securities law, including Sections 10 and 20 of the Securities
Exchange Act of 1934 by issuing research reports without reasonable basis and
failing to disclose conflicts of interest in connection with published
investment research, including Global Crossing, WorldCom, Inc., AT&T, Winstar,
Rhythm Net Connections, Level 3 Communications, MetroMedia Fiber Network, XO
Communications and Williams Communications Group Inc. Nearly all of these
actions are pending before a single judge in the U.S. District Court for the
Southern District of New York for coordinated proceedings. The court has
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consolidated these actions into nine separate categories corresponding to the
companies named above.
Additional actions have been filed against Citigroup and certain of its
affiliates, including SSB, and certain of their current and former directors,
officers and employees, along with other parties, including: (1) three putative
class actions filed in state courts and federal courts on behalf of persons who
maintained accounts with SSB asserting, among other things, common law claims,
claims under state statutes, and claims under the Investment Advisers Act of
1940, for allegedly failing to provide objective and unbiased investment
research and investment management, seeking, among other things, return of fees
and commissions; (2) approximately fifteen actions filed in different state
courts by individuals asserting, among other claims, common law claims and
claims under state securities laws, for allegedly issuing research reports
without a reasonable basis in fact and for allegedly failing to disclose
conflicts of interest with companies in connection with published investment
research, including Global Crossing and WorldCom, Inc.; (3) approximately five
actions filed in different state courts by pension and other funds asserting
common law claims and statutory claims under, among other things, state and
federal securities laws, for allegedly issuing research reports without a
reasonable basis in fact and for allegedly failing to disclose conflicts of
interest with companies in connection with published investment research,
including WorldCom, Inc. and Qwest Communications International Inc.; and (4)
more than two hundred arbitrations asserting common law claims and statutory
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claims under, among other things, state and federal securities laws, for
allegedly issuing research reports without a reasonable basis in fact and for
allegedly failing to disclose conflicts of interest with companies in connection
with published investment research.
In July 2002, Citigroup, SSB and various of its affiliates and certain of
their officers and other employees were named as defendants, along with, among
others, commercial and/or investment banks, certain current and former Enron
officers and directors, lawyers and accountants in an alleged class action filed
in the U.S. District Court for the Southern District of New York on behalf of
purchasers of the Yosemite Notes and Enron Credit-Linked Notes, among other
securities (Hudson Soft Co., Ltd v. Credit Suisse First Boston Corporation, et
al.). The complaint alleges violations of RICO and of Sections 10(b) and 20(a)
of the Securities Exchange Act of 1934 and seeks unspecified damages.
Additional actions have been filed against Citigroup and certain of its
affiliates, including SSB, along with other parties, including (i) three actions
brought in state courts by state pension plans for alleged violations of state
securities law and common law fraud and unjust enrichment; (ii) an action by
banks that participated in two Enron revolving credit facilities, alleging
fraud, gross negligence and breach of implied duties in connection with
defendants' administration of a credit facility with Enron; (iii) an action
brought by several funds in connection with secondary market purchases of Enron
Corp. debt securities alleging violations of federal securities law, including
Section 11 of the Securities Act of 1933, and claims for fraud and
misrepresentation; (iv) a series of alleged class actions by purchasers of
NewPower Holdings common stock alleging violations of federal securities law,
including Section 11 of the Securities Act of 1933 and Section 10(b) of the
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Securities Exchange Act of 1934; (v) an action brought by two investment funds
in connection with purchases of Enron-related securities for alleged violations
of state securities and unfair competition statutes; (vi) an action brought by
several investment funds and fund owners in connection with purchases of notes
of the Osprey I and Osprey II Trusts for alleged violation of state and federal
securities laws and claims for common law fraud, misrepresentation and
conspiracy; (vii) an action brought by several investment funds and fund owners
in connection with purchases of notes of the Osprey I and Osprey II Trusts for
alleged violation of state and federal securities laws and state unfair
competition laws and claims for common law fraud and misrepresentation; (viii)
an action brought by the Attorney General of Connecticut in connection with
various commercial and investment banking services provided to Enron; (ix) a
putative class action brought by clients of SSB in connection with research
reports concerning Enron, alleging breach of contract; (x) actions brought by
several investment funds in connection with the purchase of notes and/or
certificates of the Osprey Trusts, the Marlin Trust, and the Marlin Water trust,
as well as the purchase of other Enron or Enron-related securities, alleging
violation of state and federal securities laws, and common law civil conspiracy
and fraud; (xi) an action brought by a retirement and health benefits plan in
connection with the purchase of certain Enron notes, alleging violation of
federal securities law, including Section 11 of the Securities Act of 1933, as
amended, violations of state securities and unfair competition law, and common
law fraud and breach of fiduciary duty; and (xii) an action brought by two
broker/dealers in connection with the purchase of certain notes, alleging
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violation of federal and state securities laws. Several of these cases have been
consolidated with the Newby action and stayed pending the Court's decision on
the pending motions of certain defendants to dismiss Newby.
Additionally, Citigroup and certain of its affiliates, including SSB, have
provided substantial information to, and have entered into substantive
discussions with, the Securities and Exchange Commission regarding certain of
their transactions with Enron and a transaction with Dynegy Inc. Citigroup and
certain of its affiliates, including SSB, also have received subpoenas and
requests for information from various other regulatory and governmental agencies
and Congressional committees, as well as from the Special Examiner in the Enron
bankruptcy, regarding certain transactions and business relationships with Enron
and its affiliates. Citigroup and such affiliates, including SSB, are
cooperating fully with all such requests.
Citigroup and SSB are involved in a number of lawsuits arising out of the
underwriting of debt securities of WorldCom, Inc. These lawsuits include
putative class actions filed in July 2002 by alleged purchasers of WorldCom debt
securities in the United States District Court for the Southern District of New
York (Above Paradise Investments Ltd. V. Worldcom, Inc., et al.; Municipal
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Police Employees Retirement System Of Louisiana V. Worldcom, Inc., et al.), and
in the United States District Court for the Southern District of Mississippi
(Longacre Master Fund V. Worldcom, Inc., et al.). These putative class action
complaints assert violations of federal securities law, including Sections 11
and 12 of the Securities Act of 1933, as amended, and seek unspecified damages
from the underwriters.
On October 11, 2002, the Above Paradise and Municipal Police Employees
lawsuits filed in the United States District Court for the Southern District of
New York were superseded by the filing of a consolidated putative class action
complaint in the United States District Court for the Southern District of New
York (In Re Worldcom, Inc. Securities Litigation). In the consolidated
complaint, in addition to the claims of violations by the underwriters of the
federal securities law, including Sections 11 and 12 of the Securities Act of
1933, as amended, the plaintiffs allege violations of Section 10(b) of the
Securities Exchange Act of 1934, as amended, and Rule 10b-5 promulgated
thereunder, by SSB arising out of alleged conflicts of interest of SSB and Jack
Grubman. The plaintiffs continue to seek unspecified compensatory damages. In
addition to the consolidated class action complaint, the Southern District of
Mississippi class action has been transferred by the Judicial Panel on
MultiDistrict Litigation to the Southern District of New York for centralized
pre-trial proceedings with other WorldCom-related actions.
In addition to the several putative class actions that have been commenced,
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certain individual actions have been filed in various federal and state courts
against Citigroup and SSB, along with other parties, concerning WorldCom debt
securities including individual state court actions brought by approximately 18
pension funds and other institutional investors in connection with the
underwriting of debt securities of WorldCom alleging violations of Section 11 of
the Securities Act of 1933, as amended, and, in one case, violations of various
state securities laws and common law fraud. Most of these actions have been
removed to federal court and have been transferred to the Southern District of
New York for centralized pre-trial proceedings with other WorldCom-related
actions.
A putative class action on behalf of participants in WorldCom's 401(k)
salary savings plan and those WorldCom benefit plans covered by ERISA alleging
violations of ERISA and common law fraud (Emanuele V. Worldcom, Inc., Et Al.),
which was commenced in the United States District Court for the District of
Columbia, also has been transferred by the Judicial Panel on MultiDistrict
Litigation to the Southern District of New York for centralized pre-trial
proceedings with other WorldCom-related actions. In December 2002, the claims
against SSB and the other underwriters were dismissed without prejudice.
On or about January 27, 2003, lead plaintiff in a consolidated putative
class action in the United States District Court for the District of New Jersey
(In Re AT&T Corporation Securities Litgation) sought leave to amend its
complaint on behalf of purchasers of AT&T common stock asserting claims against,
among others, AT&T Corporation, to add as named defendants Citigroup, SSB and
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certain executive officers and current and former employees, asserting claims
under federal securities laws for allegedly issuing research reports without a
reasonable basis in fact and for allegedly failing to disclose conflicts of
interest with AT&T in connection with published investment research.
On or about January 28, 2003, lead plaintiff in a consolidated putative
class action in the United States District Court for the Southern District of
New York (In Re Global Crossing, Ltd. Securities Litigation) filed a
consolidated complaint on behalf of purchasers of the securities of Global
Crossing and its subsidiaries, which names as defendants, among others,
Citigroup, SSB and certain executive officers and current and former employees,
asserting claims under federal securities laws for allegedly issuing research
reports without a reasonable basis in fact and for allegedly failing to disclose
conflicts of interest with Global Crossing in connection with published
investment research.
SSBHI and various subsidiaries have also been named as defendants in
various matters incident to and typical of the businesses in which they are
engaged. These include numerous civil actions, arbitration proceedings and other
matters in which SSBHI's broker-dealer subsidiaries have been named, arising in
the normal course of business out of activities as a broker and dealer in
securities, as an underwriter of securities, as an investment banker or
otherwise. In the opinion of SSBHI's management, none of these actions is
expected to have a material adverse effect on the results of operations,
consolidated financial condition or liquidity of SSBHI and its subsidiaries.
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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, 2002 was 319.
(c) Distribution. The Partnership did not declare a distribution in 2002
or 2001.
(d) Use of Proceeds. There were no additional sales in the years ended
December 31, 2002, 2001 and 2000.
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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, 2002, 2001, 2000, 1999 and
1998 and total assets at December 31, 2002, 2001, 2000, 1999 and 1998 were as
follows:
2002 2001 2000 1999 1998
Net realized and unrealized
trading gains (losses) net
of brokerage commissions
and clearing fees of $226,451,
$216,379 $189,032, $300,092,
and $331,645, respectively $ 1,483,403 $ 159,010 $ 139,628 $ (991,124) $ 300,001
Interest income 38,736 82,770 121,989 157,603 180,533
----------- ----------- ----------- ----------- -----------
$ 1,522,139 $ 241,780 $ 261,617 $ (833,521) $ 480,534
=========== =========== =========== =========== ===========
Net income (loss) $ 1,220,121 $ 71,103 $ 106,856 $(1,076,852) $ 158,830
=========== =========== =========== =========== ===========
Increase (decrease) in Net
Asset Value per unit $ 945.40 $ 37.64 $ 155.53 $ (590.19) $ 110.78
=========== =========== =========== =========== ===========
Total assets $ 4,179,975 $ 3,282,220 $ 3,520,482 $ 4,020,521 $ 5,755,721
=========== =========== =========== =========== ===========
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Item 7. Management's Discussion and Analysis of Financial Condition and Results
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.
(4) The Partnership does not employ the trading technique commonly known as
"pyramiding," in which the speculator uses unrealized profits on existing
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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 two 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
through financial, credit and risk management monitoring systems and accordingly
22
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 as of the end of the latest fiscal period.
(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
23
consist of, among other things, commissions, management fees and incentive fees.
The level of these expenses is dependent 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, 2002, 108 Units were redeemed
for a total of $336,419. For the year ended December 31, 2001, 98 units were
redeemed for a total of $253,937. For the year ended December 31, 2000, 324
Units were redeemed for a total of $604,706.
(c) Results of operations. For the year ended December 31, 2002, the Net
Asset Value per Unit increased 39.2%, from $2,409.49 to $3,354.89. For the year
ended December 31, 2001 the Net Asset Value per Unit increased 1.6% from
$2,371.85 to $2,409.49. For the year ended December 31, 2000, the Net Asset
Value per Unit increased 7.0%, from $2,216.32 to $2,371.85
The Partnership experienced a net trading gain before brokerage commissions
and related fees in 2002 of $1,709,854. Gains were primarily attributable to the
trading of currencies, U.S. and non-U.S. interest rates and indices and were
partially offset by losses in metals.
24
The Partnership experienced net trading gains of $375,389 before
commissions and expenses in 2001. Gains were primarily attributable to the
trading of U.S. and non-U.S. interest rates currencies, metals and indices.
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.
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
25
support. This is particularly the case in a rapidly changing and 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
26
that assets are safeguarded, that transactions are executed in accordance with
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.
(e) Critical Accounting Policies
The General Partner believes that the accounting policies that will be most
critical to the Partnership's financial condition and results of operations
relate to the valuation of the Partnership's positions. The majority of the
Partnership's positions will be exchange-traded futures contracts, which will be
valued daily at settlement prices published by the exchanges. If applicable, the
Partnership's spot and forward foreign currency contracts will also be valued at
published daily settlement prices or at dealers' quotes. The General Partner
expects that under normal circumstances substantially all of the Partnership's
assets will be valued by objective measures and without difficulty.
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
27
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
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 in this
section should not be considered to constitute any assurance or representation
28
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
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
29
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 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, the Advisors may 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.
30
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.
31
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, 2002 and the
highest and lowest value at any point during the year. All open position trading
risk exposures of the Partnership have been included in calculating the figures
set forth below. As of December 31, 2002, the Partnership's total capitalization
was $4,059,413.
December 31, 2002
Year to Date
of Total High Low
Market Sector Value at Risk Capitalization Value at Risk Value at Risk
- --------------------------------------------------------------------------------------------
Currencies
- - OTC Contracts $ 217,890 5.37% 1,637,685 34,388
Interest rates U.S. 13,200 0.33% 111,200 6,000
Interest rates Non-U.S 202,140 4.97% 231,429 28,411
Metals
- - Exchange Traded Contracts 11,000 0.27% 11,000 9,000
- - OTC Contracts 30,125 0.74% 37,375 3,600
Indices 24,298 0.60% 104,215 5,400
--------- ---------
Total $ 498,653 12.28%
========= =========
32
As of December 31, 2001 the Partnership's total capitalization was $3,175,711.
December 31, 2001
Year to Date
of Total High Low
Market Sector Value at Risk Capitalization Value at Risk Value at Risk
- --------------------------------------------------------------------------------------------
Currencies
- - OTC Contracts $156,605 4.93% 208,683 32,401
Interest rates U.S. 18,400 0.58% 54,550 11,000
Interest rates Non-U.S 116,073 3.66% 263,358 38,766
Metals
- - Exchange Traded Contracts 9,000 0.28% 35,000 180
- - OTC Contracts 4,000 0.13% 31,250 4,000
Indices 8,015 0.25% 60,483 7,891
-------- --------
Total $312,093 9.83%
======== ========
33
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.
34
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 Partnership as
35
of December 31, 2002, 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 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.
36
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
limited to futures on broadly based indices. As of December 31, 2002, the
Partnership's primary exposure was in the EUREX (Germany) 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
trade base metals such as 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, 2002.
Foreign Currency Balances. The Partnership's primary foreign currency
balances are in Japanese yen, British pounds and Australian dollar. The Advisor
regularly converts foreign currency balances to dollars in an attempt to control
the Partnership's non-trading risk.
37
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
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.
38
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
Reports of Independent Accountants F-3 - F-4
Financial Statements:
Statements of Financial Condition at
December 31, 2002 and 2001. F-5
Condensed Schedules of Investments at
December 31, 2002 and 2001. F-6 - F-7
Statements of Income and Expenses for
the years ended December 31, 2002,
2001 and 2000. F-8
Statements of Partners' Capital for the
years ended December 31, 2002, 2001 and
2000. F-9
Notes to Financial Statements. F-10 - F-13
Selected unaudited quarterly financial
data. F-14
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 R. McAuliffe, Jr.
Chief Financial Officer and Director
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 Auditors
To the Partners of
Shearson Select Advisors Futures Fund L.P.:
We have audited the accompanying statement of financial condition of Shearson
Select Advisors Futures Fund L.P. (the Partnership), including the condensed
schedule of investments, as of December 31, 2002, and the related statements of
income and expenses, and partners' capital for the year then ended. These
financial statements are the responsibility of the Partnership's management. Our
responsibility is to express an opinion on these financial statements based on
our audit. The financial statements of the Partnership as of December 31, 2001
and for the years ended December 31, 2001 and 2000 were audited by other
auditors whose report dated February 28, 2002 expressed an unqualified opinion
on those statements.
We conducted our audit in accordance with auditing standards generally accepted
in the United States of America. Those standards 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. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audit provides a
reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in
all material respects, the financial position of Shearson Select Advisors
Futures Fund L.P. as of December 31, 2002, and the results of its operations and
changes in its partners' capital for the year then ended, in conformity with
accounting principles generally accepted in the United States of America.
KPMG LLP
New York, New York
March 7, 2003
F-3
Report of Independent Accountants
To the Partners of
Shearson Select Advisors Futures Fund L.P.:
In our opinion, the accompanying statement of financial condition, including the
condensed schedule of investments, 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,
2001, and the results of its operations for each of the two years in the period
ended December 31, 2001, 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
February 28, 2002
F-4
Shearson Select Advisors Futures Fund L.P.
Statements of Financial Condition
December 31, 2002 and 2001
2002 2001
Assets:
Equity in commodity futures trading account:
Cash (restricted $508,469 and $321,720 in 2002 and 2001,
respectively) (Note 3c) $3,806,735 $3,112,705
Net unrealized appreciation on open positions* 370,426 166,097
---------- ----------
4,177,161 3,278,802
Interest receivable 2,814 3,418
---------- ----------
$4,179,975 $3,282,220
---------- ----------
Liabilities and Partners' Capital:
Liabilities:
Accrued expenses:
Commissions (Note 3c) $ 20,900 $ 16,411
Management fees (Note 3b) 13,756 10,790
Professional fees 28,296 25,591
Other 3,932 3,118
Redemptions payable (Note 5) 53,678 50,599
---------- ----------
120,562 106,509
---------- ----------
Partners' capital (Notes 1 and 5):
General Partner, 34 Unit equivalents outstanding in
2002 and 2001 114,066 81,923
Limited Partners, 1,176 and 1,284 Units of Limited Partnership
Interest outstanding in 2002 and 2001, respectively 3,945,347 3,093,788
---------- ----------
4,059,413 3,175,711
---------- ----------
$4,179,975 $3,282,220
---------- ----------
* Forward contracts included in this balance are presented gross in the
accompanying Condensed Schedule of Investments.
See accompanying notes to financial statements.
F-5
Shearson Select Advisors Futures Fund L.P.
Condensed Schedule of Investments
December 31, 2002
Number of
Sector Contracts Contract Fair Value
----------
Currencies
Unrealized depreciation on forward positions (2.58)% $ (104,615)
Unrealized appreciation on forward positions 6.55%
EURO 6,075,000 EURO/USD 4.09%, March 19, 2003 166,218
Other 2.46% 99,730
----------
265,948
----------
Total Currencies 3.97% 161,333
----------
Total Interest Rates U.S. 0.68% Futures contracts purchased 0.68% 27,775
----------
Total Interest Rates Non-U.S. 3.94% Futures contracts purchased 3.94% 159,955
----------
Metals
Futures contracts purchased 0.78% $31,570
Unrealized depreciation on forward positions (0.51)% (20,758)
Unrealized appreciation on forward positions 0.16% 6,428
----------
Total Forward contracts (0.35)% (14,330)
----------
Total Metals 0.43% 17,240
----------
Indices
Futures contracts sold 0.14% 5,813
Futures contracts purchased (0.04)% (1,690)
----------
Total Indices 0.10% 4,123
----------
Total Fair Value 9.12% $370,426
==========
Investments % of Investments
Country Composition at Fair Value at Fair Value
- ---------------------------------- --------------- ----------------------
Australia $ 12,096 3.27%
Germany 73,238 19.77
Japan 41,860 11.30
United Kingdom 24,244 6.54
United States 218,988 59.12
------------- -----------------
$370,426 100.00%
============= =================
Percentages are based on Partner's capital unless otherwise indicated.
See accompanying notes to financial statements.
F-6
Shearson Select Advisors Futures Fund L.P.
Condensed Schedule of Investments
December 31, 2001
Number of
Sector Contracts Contract Fair Value
----------
Currencies
Over the counter contracts purchased (0.17)% $ (5,314)
Over the counter contracts sold 6.08%
JPY 681,894,200 JPY/USD 7.1%, March 20, 2002 225,597
Other (1.02)% (32,600)
---------
Total Currencies 5.91% 187,683
---------
Total Interest Rates Non-U.S.
Futures contracts purchased (0.04)% (1,392)
Futures contracts sold 1.25% 39,705
---------
Total Interest Rates Non-U.S. 1.21% 38,313
---------
Total Interest Rates U.S. (0.09)% Futures contracts sold (0.09)% (2,828)
---------
Metals
Futures contracts purchased (0.72)% (22,787)
Futures contracts sold (1.14)% (36,410)
---------
Total Metals (1.86)% (59,197)
---------
Total Indices 0.06% Futures contracts purchased 0.06% 2,126
---------
Total Fair Value 5.23% $166,097
==========
Investments % of Investments
Country Composition at Fair Value at Fair Value
- ---------------------------------- --------------- ----------------------
Australia $ 6,002 3.61%
Japan (3,420) (2.06)
Germany 34,202 20.59
United Kingdom (53,472) (32.19)
United States 182,785 110.05
------------- -----------------
$166,097 100.00%
============= =================
Percentages are based on Partner's capital unless otherwise indicated
See accompanying notes to financial statements.
F-7
Shearson Select Advisors Futures Fund L.P.
Statements of Income and Expenses
for the years ended
December 31, 2002, 2001 and 2000
2002 2001 2000
Income:
Net gains (losses) on trading of
commodity interests:
Realized gains (losses) on closed
positions and foreign currencies $1,505,525 $ 841,259 $ (305,365)
Change in unrealized gains (losses)
on open positions 204,329 (465,870) 634,025
---------- ---------- ----------
1,709,854 375,389 328,660
Interest income (Note 3c) 38,736 82,770 121,989
---------- ---------- ----------
1,748,590 458,159 450,649
---------- ---------- ----------
Expenses:
Brokerage commissions including clearing
fees of $2,429, $2,283 and $2,625,
respectively (Note 3c) 226,451 216,379 189,032
Management fees (Note 3b) 145,558 138,979 119,891
Incentive fees 124,151 -- --
Professional fees 27,507 25,919 29,507
Other expenses 4,802 5,779 5,363
---------- ---------- ----------
528,469 387,056 343,793
---------- ---------- ----------
Net income (loss) $1,220,121 $ 71,103 $ 106,856
---------- ---------- ----------
Net income (loss) per Unit of Limited
Partnership Interest and General Partner
Unit equivalent (Notes 1 and 6) $ 945.40 $ 37.64 $ 155.53
---------- ---------- ----------
See accompanying notes to financial statements.
F-8
Shearson Select Advisors Futures Fund L.P.
Statements of Partners' Capital for the
years ended December 31, 2002, 2001 and 2000
Limited General
Partners Partner Total
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
Net income 69,823 1,280 71,103
Redemption of 98 Units of
Limited Partnership Interest (253,937) -- (253,937)
----------- ----------- -----------
Partners' capital at December 31, 2001 3,093,788 81,923 3,175,711
Net income 1,187,978 32,143 1,220,121
Redemption of 108 Units of
Limited Partnership Interest (336,419) -- (336,419)
----------- ----------- -----------
Partners' capital at December 31, 2002 $ 3,945,347 $ 114,066 $ 4,059,413
----------- ----------- -----------
See accompanying notes to financial statements.
F-9
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 their 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 gains (losses)
on open positions 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.
b. Income taxes have not been provided as each partner is individually liable
for the taxes, if any, on their share of the Partnership's income and
expenses.
c. The preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities, disclosure of contingent 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.
d. Certain prior period amounts have been reclassified to conform to current
year presentation.
F-10
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. Month-end Net Assets, for the
purpose of calculating management fees are Net Assets, as defined in the
Limited Partnership Agreement, prior to the reduction of redemptions and
incentive fees.
In addition, the Partnership is obligated to pay an incentive fee equal to
10% of New 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. Month-end Net Assets, for the
purpose of calculating commissions are Net Assets, as defined in the
Limited Partnership Agreement, prior to the reduction of all liabilities of
the Partnership. 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, 2002 and 2001, the amount
of cash held for margin requirements was $508,469 and $321,720,
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.
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 activities are shown in the statement of income and expenses.
F-11
All of the commodity interests owned by the Partnership are held for
trading purposes. The average fair value during the years ended December
31, 2002 and 2001, based on a monthly calculation, was $397,306 and
$208,540, respectively.
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 their 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. Financial Highlights: Changes in the net asset value per Unit of
Partnership interest during the years ended December 31, 2002, 2001 and
2000 were as follows:
2002 2001 2000
--------- --------- ---------
Net realized and unrealized gains* $ 1,152.90 $ 101.82 $ 175.88
Interest income 30.43 59.85 77.06
Expenses** (237.93) (124.03) (97.41)
--------- --------- ---------
Increase for year 945.40 37.64 155.53
Net asset value per Unit, beginning of year 2,409.49 2,371.85 2,216.32
--------- --------- ---------
Net asset value per Unit, end of year $ 3,354.89 $ 2,409.49 $ 2,371.85
--------- --------- ---------
* Includes brokerage commissions
** Excludes brokerage commissions
Ratios to Average Net Assets:
Net investment loss before incentive fees*** (10.3)% (8.9)%
Incentive fees (3.5)% --
---- ----
Net investment loss after incentive fees (13.8)% (8.9)%
---- ----
Net gain before incentive fees**** 37.9% 2.1%
Incentive fees**** (3.5)% --
---- ----
Net gain after incentive fees**** 34.4% 2.1%
---- ----
Operating expenses 11.4% 11.3%
Incentive fees 3.5% --
---- ----
Total expenses 14.9% 11.3%
---- ----
Total return:
Total return before incentive fees 43.5% 1.6%
Incentive fees (4.3)% --
---- ----
Total return after incentive fees 39.2% 1.6%
---- ----
*** Interest income less total expenses (exclusive of incentive fees)
**** Supplemental information not required
The above ratios may vary for individual investors based on the timing of
capital transactions during the year.
F-12
7. Financial Instrument Risks:
In the normal course of its business the Partnership is party to financial
instruments with off-balance sheet risk, including derivative financial
instruments and derivative commodity instruments. These financial
instruments may include forwards, futures and options, whose values are
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. 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.
The majority of these instruments mature within one year of December 31,
2002. However, due to the nature of the Partnership's business, these
instruments may not be held to maturity.
F-13
Selected unaudited quarterly financial data for the years ended December 31,
2002 and December 31, 2001 is summarized below:
For the period from For the period from For the period from For the period from
October 1, 2002 to July 1, 2002 to April 1, 2002 to June January 1, 2002 to
December 31, 2002 September 30, 2002 30, 2002 March 31, 2002
Net realized and unrealized
trading gains (losses) net of
brokerage commissions and clearing
fees including interest income ($283,722) $1,026,856 $1,140,694 ($361,689)
Net Income (loss) ($330,201) $849,937 $1,100,255 ($399,870)
Increase (decrease) in Net Asset ($269.33) $672.42 $845.70 ($303.39)
Value per Unit
For the period from For the period from For the period from For the period from
October 1, 2001 to July 1, 2001 to April 1, 2001 to June January 1, 2001 to
December 31, 2001 September 30, 2001 30, 2001 March 31, 2001
Net realized and unrealized
trading gains (losses) net of
brokerage commissions and clearing
fees including interest income ($269,770) $294,697 ($435,515) $652,368
Net Income (loss) ($310,471) $252,619 ($478,406) $607,361
Increase (decrease) in Net Asset ($231.87) $185.75 ($345.17) $428.93
Value per Unit
F-14
Item 9. Changes in and Disagreements with Accountants on Accounting and
Financial Disclosure.
PricewaterhouseCoopers LLP was previously the principal accountant for the
Partnership. On July 9, 2002, that firm was dismissed as principal accountant
and KPMG LLP was engaged as principal accountant. The decision to change
accountants was approved by the general partner of the Partnership.
In connection with the audits of the two fiscal years ended December 31,
2001, and through July 9, 2002, there were no disagreements with
PricewaterhouseCoopers LLP on any matter of accounting principles or practices,
financial statement disclosure, or auditing scope or procedures, which
disagreements if not resolved to their satisfaction would have caused them to
make reference thereto in their reports on the financial statements for such
years.
The audit reports of PricewaterhouseCoopers LLP on the financial statements
of the Partnership as of and for the years ended December 31, 2001 and 2000 did
not contain any adverse opinion or disclaimer of opinion, nor were they
qualified or modified as to uncertainty, audit scope, or accounting principle.
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").
39
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, 2002, SSB earned $226,451 in brokerage
commissions and clearing fees. Management fees and incentive fees of $145,558
and $124,151, respectively were earned by the advisor for the year ended
December 31, 2002.
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 (2.9%) as of
December31,2002.
(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
40
are set forth under "Item 1. Business.", "Item 11. Executive Compensation" and
"Item 8. Financial Statements and Supplementary Data."
Item 14. Control and Procedures
Based on their evaluation of the Partnership's disclosure controls and
procedures as of a date within 90 days of the filing of this report, the Chief
Executive Officer and Chief Financial Officer have concluded that such controls
and procedures are effective.
There were no significant changes in the Partnership's internal controls or
in other factors that could significantly affect such controls subsequent to the
date of their evaluation.
PART IV
Item 15. Exhibits, Financial Statement Schedules, and Reports on Form 8-K.
(a) (1) Financial Statements:
Statements of Financial Condition at December 31, 2002 and 2001.
Statements of Income and Expenses for the years ended December
31, 2002, 2001 and 2000.
Statements of Partners' Capital for the years
ended December 31, 2002, 2001 and 2000.
(2) Financial Statement Schedules: Financial Data Schedule for the
year ended December 31, 2002.
(3) Exhibits:
41
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 on Form S-1 (file 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 on Form S-1 (file 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. (previously
filed).
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).
10.4(c)- Management Agreement between Hayden Commodities Corp. and
Cresta Commodity Management Inc. (previously filed).
42
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).
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).
43
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).
44
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).
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).
45
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).
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).
46
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).
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).
47
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 (previously filed).
10.33- Letter extending Management Agreement with John W. Henry and
Company, Inc. for 2001 (previously filed).
10.34- Letter extending Management Agreements with John W. Henry and
Company, Inc. for 2002 (filed herein)
99.1 Certificate of Chief Executive Officer.
99.2 Certificate of Chief Financial Officer.
(b) Reports on 8-K: None Filed.
48
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
No proxy material has been sent to Limited Partners.
49
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 27th day of March 2003.
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/ Shelley Ullman
- ------------------------------ -----------------------------
David J. Vogel Director
Director, Principal Executive
Officer and President
/s/ Maureen O'Toole /s/ Steve J. Keltz
- -------------------------- ----------------------------
Maureen O'Toole Secretary and Director
Director
/s/ Daniel R. McAuliffe, Jr.
- ------------------------------
Daniel R. McAuliffe, Jr.
Chief Financial Officer
Director
50
CERTIFICATION
I, David J. Vogel, certify that:
1. I have reviewed this annual report on Form 10-K of Shearson Select Advisors
Futures Fund L.P.;
2. Based on my knowledge, this annual report does not contain any untrue
statement of a material fact or omit to state a material fact necessary to
make the statements made, in light of the circumstances under which such
statements were made, not misleading with respect to the period covered by
this annual report;
3. Based on my knowledge, the financial statements, and other financial
information included in this annual report, fairly present in all material
respects the financial condition and results of operations of the
registrant as of, and for, the periods presented in this annual report;
4. The registrant's other certifying officer and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined
in Exchange Act Rules 13a-14 and 15d-14) for the registrant and we have:
a. designed such disclosure controls and procedures to ensure that
material information relating to the registrant, including its
consolidated subsidiaries, is made known to us by others within those
entities, particularly during the period in which this annual report
is being prepared;
b. evaluated the effectiveness of the registrant's disclosure controls
and procedures as of a date within 90 days prior to the filing date of
this annual report (the "Evaluation Date"); and
c. presented in this annual report our conclusions about the
effectiveness of the disclosure controls and procedures based on our
evaluation as of the Evaluation Date;
5. The registrant's other certifying officer and I have disclosed, based on
our most recent evaluation, to the registrant's auditors and the audit
committee of registrant's board of directors (or persons performing the
equivalent function):
51
a. all significant deficiencies in the design or operation of internal
controls which could adversely affect the registrant's ability to
record, process, summarize and report financial data and have
identified for the registrant's auditors any material weaknesses in
internal controls; and
b. any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant's internal
controls; and
6. The registrant's other certifying officer and I have indicated in this
annual report whether or not there were significant changes in internal
controls or in other factors that could significantly affect internal
controls subsequent to the date of our most recent evaluation, including
any corrective actions with regard to significant deficiencies and material
weaknesses.
Date: March 27, 2003
-----------------------
David J. Vogel
Chief Executive Officer
52
CERTIFICATION
I, Daniel R. McAuliffe, Jr., certify that:
1. I have reviewed this annual report on Form 10-K of Shearson Select Advisors
Futures Fund L.P.;
2. Based on my knowledge, this annual report does not contain any untrue
statement of a material fact or omit to state a material fact necessary to
make the statements made, in light of the circumstances under which such
statements were made, not misleading with respect to the period covered by
this annual report;
3. Based on my knowledge, the financial statements, and other financial
information included in this annual report, fairly present in all material
respects the financial condition and results of operations of the
registrant as of, and for, the periods presented in this annual report;
4. The registrant's other certifying officer and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined
in Exchange Act Rules 13a-14 and 15d-14) for the registrant and we have:
a. designed such disclosure controls and procedures to ensure that
material information relating to the registrant, including its
consolidated subsidiaries, is made known to us by others within those
entities, particularly during the period in which this annual report
is being prepared;
b. evaluated the effectiveness of the registrant's disclosure controls
and procedures as of a date within 90 days prior to the filing date of
this annual report (the "Evaluation Date"); and
c. presented in this annual report our conclusions about the
effectiveness of the disclosure controls and procedures based on our
evaluation as of the Evaluation Date;
5. The registrant's other certifying officer and I have disclosed, based on
our most recent evaluation, to the registrant's auditors and the audit
committee of registrant's board of directors (or persons performing the
equivalent function):
53
a. all significant deficiencies in the design or operation of internal
controls which could adversely affect the registrant's ability to
record, process, summarize and report financial data and have
identified for the registrant's auditors any material weaknesses in
internal controls; and
b. any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant's internal
controls; and
6. The registrant's other certifying officer and I have indicated in this
annual report whether or not there were significant changes in internal
controls or in other factors that could significantly affect internal
controls subsequent to the date of our most recent evaluation, including
any corrective actions with regard to significant deficiencies and material
weaknesses.
Date: March 27, 2003
-----------------------
Daniel R. McAuliffe, Jr.
Chief Financial Officer
54
CIK> 0000811078
NAME> Sherson Select Futures Fund L.P.
TABLE>
PERIOD-TYPE> 12-MONTHS
FISCAL-YEAR-END> DEC-31-2002
PERIOD-START> JAN-01-2002
PERIOD-END> DEC-31-2002
CASH> 3,806,735
SECURITIES> 370,426
RECEIVABLES> 2,814
ALLOWANCES> 0
INVENTORY> 0
CURRENT-ASSETS> 4,179,975
PP&E> 0
DEPRECIATION> 0
TOTAL-ASSETS> 4,179,975
CURRENT-LIABILITIES> 120,562
BONDS> 0
PREFERRED-MANDATORY> 0
PREFERRED> 0
COMMON> 0
OTHER-SE> 4,059,413
TOTAL-LIABILITY-AND-EQUITY> 4,179,975
SALES> 0
TOTAL-REVENUES> 1,748,590
CGS> 0
TOTAL-COSTS> 0
OTHER-EXPENSES> 528,469
LOSS-PROVISION> 0
INTEREST-EXPENSE> 0
INCOME-PRETAX> 1,220,121
INCOME-TAX> 0
INCOME-CONTINUING> 0
DISCONTINUED> 0
EXTRAORDINARY> 0
CHANGES> 0
NET-INCOME> 1,220,121
EPS-PRIMARY> 945.40
EPS-DILUTED> 0