FORM 10-Q
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
(X) QUARTERLY REPORT UNDER SECTION 13 or 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
OR ( ) TRANSITION REPORT UNDER SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE Act of 1934
For the Quarter ended September 30, 2003
Commission File Number 0-16627
SHEARSON SELECT ADVISORS FUTURES FUND L.P.
(Exact name of registrant as specified in its charter)
Delaware 13-3405705
(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification No.)
c/o Citigroup Managed Futures LLC
399 Park Avenue - 7th Fl.
New York, New York 10022
(Address and Zip Code of principal executive offices)
(212) 559-2011
(Registrant's telephone number, including area code)
Indicate by check mark whether the registrant (1) has filed all reports required
to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during
the preceding 12 months (or for such shorter periods 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 whether the registrant is an accelerated filer (as
defined in rule 12b-2 of the Exchange Act).
Yes ____ No __X__
SHEARSON SELECT ADVISORS FUTURES FUND L.P.
FORM 10-Q
INDEX
Page
Number
PART I - Financial Information:
Item 1. Financial Statements:
Statements of Financial Condition at
September 30, 2003 and December 31,
2002 (unaudited). 3
Condensed Schedules of Investments at
September 30, 2003 and December 31, 2002
(unaudited). 4 - 5
Statements of Income and Expenses
and Partners' Capital for the three and
nine months ended September 30, 2003 and
2002 (unaudited). 6
Notes to Financial Statements
(unaudited). 7 - 11
Item 2. Management's Discussion and Analysis
of Financial Condition and Results of
Operations. 12 - 15
Item 3. Quantitative and Qualitative Disclosures
about Market Risk. 16 - 17
Item 4. Controls and Procedures. 18
PART II - Other Information 19
Part I
Item 1. Financial Statements
Shearson Select Advisors Futures Fund L.P.
Statements of Financial Condition
(Unaudited)
September 30, December 31,
2003 2002
------------ ------------
Assets:
Equity in commodity futures trading account:
Cash (restricted $446,427 and $508,469 in
2003 and 2002, respectively) $4,193,984 $3,806,735
Net unrealized (depreciation) appreciation
on open futures positions (3,033) 223,423
Unrealized appreciation on open forward contracts 471,884 272,376
----------- -----------
4,662,835 4,302,534
Interest receivable 2,478 2,814
----------- -----------
$4,665,313 $4,305,348
=========== ===========
Liabilities and Partners' Capital:
Liabilities:
Unrealized depreciation on open forward contracts $316,048 $125,373
Accrued expenses:
Commissions 21,746 20,900
Management fees 14,306 13,756
Other 35,831 32,228
Redemptions payable 58,998 53,678
----------- -----------
446,929 245,935
----------- -----------
Partners' Capital :
General Partner, 34 Unit equivalents
outstanding in 2003 and 2002 125,372 114,066
Limited Partners, 1,110 and 1,176 Redeemable Units
of Limited Partnership Interest
outstanding in 2003 and 2002, respectively 4,093,012 3,945,347
----------- -----------
4,218,384 4,059,413
----------- -----------
$4,665,313 $4,305,348
=========== ===========
See Accompanying Notes to Unaudited Financial Statements.
3
Shearson Select Advisors Futures Fund L.P.
Condensed Schedule of Investments
September 30, 2003
(Unaudited)
Sector Number of contracts Contract Fair Value
- --------------- -------------------------------------------------------- ----------------
Currencies
Unrealized depreciation on forward contracts (6.30)%
CHF 2,691,000 CHF/USD (2.50)% December 17, 2003 $ (105,563)
Other (3.80)% (160,125)
---------------
(265,688)
Unrealized appreciation on forward contracts 10.81%
JPY 734,868,042 JPY/USD 6.42% December 17, 2003 270,618
Other 4.39% 185,190
---------------
455,808
--------------
Total Currencies 4.51% 190,120
---------------
Interest Rates U.S. 0.64% Futures contracts purchased 0.64% 27,063
---------------
Interest Rates Non-U.S.
Futures contracts sold (0.81)% (34,255)
Futures contracts purchased 0.40% 16,933
---------------
Total Interest Rates Non-U.S. (0.41)% (17,322)
---------------
Metals
Futures contracts purchased 0.58% 24,660
Unrealized depreciation on forward contracts (1.19)% (50,360)
Unrealized appreciation on forward contracts 0.38% 16,076
---------------
Total forward contracts (0.81)% (34,284)
Total Metals (0.23)% (9,624)
---------------
Indices
Futures contracts sold 0.07% 2,900
Futures contracts purchased (0.96)% (40,334)
---------------
Total Indices (0.89)% (37,434)
---------------
Total Fair Value 3.62% $ 152,803
===============
Country Composition Investments at % of Investments at
Fair Value Fair Value
- ----------------------- --------------------------- --------------
Germany $ 16,922 11.07 %
Japan (68,606) (44.89)
United Kingdom (34,596) (22.64)
United States 239,083 156.46
----------- ----------
$ 152,803 100.00 %
=========== =========
Percentages are based on Partners' capital unless otherwise indicated
See Accompanying Notes to Unaudited Financial Statements.
4
Shearson Select Advisors Futures Fund L.P.
Condensed Schedule of Investments
December 31, 2002
(Unaudited)
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 Unaudited Financial Statements.
5
SHEARSON SELECT ADVISORS FUTURES FUND L.P.
STATEMENTS OF INCOME AND EXPENSES AND PARTNERS' CAPITAL
(UNAUDITED)
THREE MONTHS ENDED NINE MONTHS ENDED
SEPTEMBER 30, SEPTEMBER 30,
-------------------------- --------------------------
2003 2002 2003 2002
----------- --------- --------------------------
Income:
Net gains (losses) on trading of commodity
interests:
Realized gains (losses) on closed positions $(522,283) $1,327,528 $1,046,844 $1,668,656
Change in unrealized gains (losses) on open
positions 336,204 (244,250) (217,623) 273,151
----------- ----------- ----------- -----------
Net realized and unrealized gains (losses) (186,079) 1,083,278 829,221 1,941,807
Interest income 7,649 11,739 24,900 28,752
----------- ----------- ----------- -----------
(178,430) 1,095,017 854,121 1,970,559
----------- ----------- ----------- -----------
Expenses:
Brokerage commissions including clearing fees
of $1,387, $424, $3,249 and $1,803, respectively 69,262 68,161 215,965 164,698
Management fees 44,021 44,272 138,257 105,716
Incentive fees -- 124,151 66,775 124,151
Other expenses 5,819 8,496 22,537 25,672
----------- ----------- ----------- -----------
119,102 245,080 443,534 420,237
----------- ----------- ----------- -----------
Net income (loss) (297,532) 849,937 410,587 1,550,322
Redemptions - L.P. (58,998) (137,720) (251,616) (282,741)
----------- ----------- ----------- -----------
Net increase (decrease) in Partners' capital (356,530) 712,217 158,971 1,267,581
Partners' capital, beginning of period 4,574,914 3,731,075 4,059,413 3,175,711
----------- ----------- ----------- -----------
Partners' capital, end of period $4,218,384 $4,443,292 $4,218,384 $4,443,292
----------- ----------- ----------- -----------
Net asset value per Redeemable Unit
(1,144 and 1,226 Redeemable Units outstanding
at September 30, 2003 and 2002, respectively) $3,687.40 $3,624.22 $3,687.40 $3,624.22
----------- ----------- ----------- -----------
Net income (loss) per Redeemable Unit of Limited Partnership
Interest and General Partner Unit equivalent $(256.49) $672.42 $332.51 $1,214.73
----------- ----------- ----------- -----------
See Accompanying Notes to Unaudited Financial Statements.
6
Shearson Select Advisors Futures Fund L.P.
Notes to Financial Statements
September 30, 2003
(Unaudited)
1. General
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 commenced trading on July 1, 1987.
On April 7, 2003, Smith Barney Futures Management LLC changed its name to
Citigroup Managed Futures LLC. Citigroup Managed Futures LLC acts as the general
partner (the "General Partner") of the Partnership. The Partnership's commodity
broker is Citigroup Global Markets Inc. ("CGM"), formerly Salomon Smith Barney
Inc. CGM is an affiliate of the General Partner. The General Partner is wholly
owned by Citigroup Global Markets Holdings Inc. ("CGMHI"), formerly Salomon
Smith Barney Holdings Inc., which is the sole owner of CGM. CGMHI is a wholly
owned subsidiary of Citigroup Inc. As of September 30, 2003, all trading
decisions are made by John W. Henry & Company (the "Advisor").
The accompanying financial statements are unaudited but, in the opinion of
management, include all adjustments, consisting only of normal recurring
adjustments, necessary for a fair presentation of the Partnership's financial
condition at September 30, 2003 and December 31, 2002 and the results of its
operations for the three and nine months ended September 30, 2003 and 2002.
These financial statements present the results of interim periods and do not
include all disclosures normally provided in annual financial statements. You
should read these financial statements together with the financial statements
and notes included in the Partnership's annual report on Form 10-K filed with
the Securities and Exchange Commission for the year ended December 31, 2002.
Due to the nature of commodity trading, the results of operations for the
interim periods presented should not be considered indicative of the results
that may be expected for the entire year.
Certain prior period amounts have been reclassified to conform to current
year presentation.
(Continued)
7
Shearson Select Advisors Futures Fund L.P.
Notes to Financial Statements
September 30, 2003
(Unaudited)
(Continued)
2. Financial Highlights:
Changes in net asset value per Redeemable Unit for the three and nine
months ended September 30, 2003 and 2002 were as follows:
THREE-MONTHS ENDED NINE-MONTHS ENDED
SEPTEMBER 30, SEPTEMBER 30,
2003 2002 2003 2002
Net realized and unrealized
(losses) gains * $ (220.11) $ 803.10 $ 503.06 $1,392.46
Interest income 6.60 9.29 21.02 22.28
Expenses ** (42.98) (139.97) (191.57) (200.01)
--------- -------- ------- --------
Decrease/Increase for period (256.49) 672.42 332.51 1,214.73
Net Asset Value per Redeemable
Unit, beginning of period 3,943.89 2,951.80 3,354.89 2,409.49
--------- -------- ------- --------
Net Asset Value per Redeemable
Unit, end of period $3,687.40 $3,624.22 $3,687.40 $3,624.22
======== ======== ======== ========
* Includes brokerage commissions
** Excludes brokerage commissions
8
Shearson Select Advisors Futures Fund L.P.
Notes to Financial Statements
September 30, 2003
(Unaudited)
(Continued)
Financial Highlights continued:
THREE-MONTHS ENDED NINE-MONTHS ENDED
SEPTEMBER 30, SEPTEMBER 30,
2003 2002 2003 2002
Ratios to average net assets: ***
Net investment loss before
incentive fees **** (10.0)% (10.4)% (10.5)% (10.4)%
Operating expenses 10.7% 11.6% 11.2% 11.6%
Incentive fees 0.0% 11.9% 2.0% 4.9%
------- -------- ------- --------
Total expenses 10.7% 23.5% 13.2% 16.5%
======== ======== ======== ========
Total Return:
Total return before incentive
fees (6.5)% 26.2% 11.7% 54.6%
Incentive fees (0.0)% (3.4)% (1.8)% (4.2)%
--------- -------- ------- --------
Total return after incentive fees (6.5)% 22.8% 9.9% 50.4%
======== ======== ======== ========
*** Annualized
**** Interest income less total expenses (exclusive of incentive fees)
The above ratios may vary for individual investors based on the timing of
capital transactions during the period.
9
Shearson Select Advisors Futures Fund L.P.
Notes to Financial Statements
September 30, 2003
(Unaudited)
(Continued)
3. Trading Activities:
The Partnership was formed for the purpose of trading contracts in a
variety of commodity interests, including derivative financial instruments and
derivative commodity instruments. The results of the Partnership's trading
activities are shown in the Statements of Income and Expenses and Partners'
Capital and are discussed in Item 2, Management's Discussion and Analysis of
Financial Condition and Results of Operations.
The Customer Agreement between the Partnership and CGM gives the
Partnership the legal right to net unrealized gains and losses on open futures
positions.
All of the commodity interests owned by the Partnership are held for
trading purposes. The average fair values during the nine and twelve months
ended September 30, 2003 and December 31, 2002, based on a monthly calculation,
were assets of $271,624 and $397,306, respectively. The fair value of these
commodity interests, including options thereon, if applicable, at September 30,
2003 and December 31, 2002, were assets of $152,803 and $370,426, respectively.
Fair values for exchange traded commodity futures and options are based on
quoted market prices for those futures and options. Fair values for all other
financial instruments for which market quotations are not readily available are
based on calculations approved by the General Partner.
4. Financial Instrument Risk:
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
10
Shearson Select Advisors Futures Fund L.P.
Notes to Financial Statements
September 30, 2003
(Unaudited)
(Continued)
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 as unrealized appreciation in the statements
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 CGM.
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 September 30,
2003. However, due to the nature of the Partnership's business, these
instruments may not be held to maturity.
11
Item 2. Management's Discussion and Analysis of Financial Condition and Results
of Operations.
Liquidity and Capital Resources
The Partnership does not engage in the sale of goods or services. Its only
assets are its equity in its commodity futures trading account, consisting of
cash, net unrealized appreciation (depreciation) on open futures and forward
contracts, commodity options and interest receivable. Because of the low margin
deposits normally required in commodity futures trading, relatively small price
movements may result in substantial losses to the Partnership. While substantial
losses could lead to a decrease in liquidity, no such losses occurred during the
third quarter of 2003.
The Partnership's capital consists of the capital contributions of the
partners as increased or decreased by realized and/or unrealized gains or losses
on commodity futures trading, expenses, interest income, redemptions of
Redeemable Units and distributions of profits, if any.
For the nine months ended September 30, 2003, Partnership capital increased
3.9% from $4,059,413 to $4,218,384. This increase was attributable to net income
from operations of $410,587 which was partially offset by the redemption of 66
Redeemable Units resulting in an outflow of $251,616. Future redemptions can
impact the amount of funds available for investment in commodity contract
positions in subsequent periods.
Critical Accounting Policies
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, disclosures of contingent assets and liabilities at the
date of the financial statements and reported amounts of revenues and expenses
during the reporting period. Actual results could differ from these estimates.
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
statements of financial condition at fair value on the last business day of the
period, which represents market value for those commodity interests for which
market quotations are readily available or other measures of fair value deemed
appropriate by management of the General Partner for those commodity interests
and foreign currencies for which market quotations are not readily available.
Investments in commodity interests denominated in foreign currencies are
12
translated into U.S. dollars at the exchange rates prevailing on the last
business day of the period. 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.
Foreign currency contracts are those contracts where the Partnership agrees
to receive or deliver a fixed quantity of foreign currency for an agreed-upon
price on an agreed future date. Foreign currency contracts are valued daily, and
the Partnership's net equity therein, representing unrealized gain or loss on
the contracts as measured by the difference between the forward foreign exchange
rates at the date of entry into the contracts and the forward rates at the
reporting date, is included in the statements of financial condition. 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 the statements of income and expenses and partners' capital.
Results of Operations
During the Partnership's third quarter of 2003, the net asset value per
Redeemable Unit decreased 6.5% from $3,943.89 to $3,687.40 as compared to an
increase of 22.8% in the third quarter of 2002. The Partnership experienced a
net trading loss before brokerage commissions and related fees in the third
quarter of 2003 of $186,079. Losses were primarily attributable to the trading
of commodity contracts in currencies, U.S. and non-U.S. interest rates and
metals and were partially offset by gains in indices. The Partnership
experienced a net trading gain before brokerage commissions and related fees in
the third quarter of 2002 of $1,083,278. Gains were primarily attributable to
the trading of commodity contracts in U.S. and non-U.S. interest rates and
indices and were partially offset by losses in currencies and metals.
During the nine months ended September 30, 2003, the Partnerships net asset
value per Redeemable Unit increased 9.9% from $3,354.89 to $3,687.40 as compared
to an increase of 50.4% in the nine months ended September 30, 2002. The
Partnership experienced a net trading gain before brokerage commissions and
related fees in the nine months ended September 30, 2003 of $829,221. Gains were
primarily attributable to the trading of contracts in currencies, U.S. and
non-U.S. interest rates and indices and were partially offset by losses in
metals. The Partnership experienced a net trading gain before brokerage
commissions and related fees in the nine months ended September 30, 2002 of
$1,941,807. Gains were primarily attributable to the trading of commodity
contracts in metals, U.S. and non-U.S. interest rates and indices and were
partially offset by losses in currencies.
13
Commodity futures markets are highly volatile. The potential for broad and
rapid price fluctuations increases the risks involved in commodity trading, but
also increases the possibility of profit. The profitability of the Partnership
depends on the existence of major price trends and the ability of the Advisor to
correctly identify those price trends. Price trends are influenced by, among
other things, changing supply and demand relationships, weather, governmental,
agricultural, commercial and trade programs and policies, national and
international political and economic events and changes in interest rates. To
the extent that market trends exist and the Advisor is able to identify them,
the Partnership expects to increase capital through operations.
Interest income on 70% of the Partnership's daily average equity maintained
in cash was earned at the monthly average 13-week U.S. Treasury Bill yield. CGM
may continue to maintain the Partnership assets in cash and/or place all of the
Partnership assets in 90-day Treasury bills and pay the Partnership 70% of the
interest earned on the Treasury bills purchased. CGM will retain 30% of any
interest earned on Treasury bills. Interest income for the three and nine months
ended September 30, 2003 decreased by $4,090 and $3,852, respectively, as
compared to the corresponding periods in 2002. The decrease in interest income
is primarily due to a decrease in interest rates for the three and nine months
ended September 30, 2003 as compared to 2002.
Brokerage commissions are calculated on the Partnership's adjusted net
asset value on the last day of each month and are affected by trading
performance and redemptions. Accordingly, they must be compared in relation to
the fluctuations in the monthly net asset values. Commissions and fees for the
three and nine months ended September 30, 2003 increased by $1,101 and $51,267,
respectively, as compared to the corresponding periods in 2002. The increase in
brokerage commissions for the three months ended September 30, 2003 is due to an
increase in clearing fees offset by a decrease in average net assets during the
period. The increase in brokerage commissions for the nine months ended
September 30, 2003 is due to higher average net assets during the period.
Management fees are calculated as a percentage of the Partnership's net
asset value as of the end of each month and are affected by trading performance
and redemptions. Management fees for the three months ended September 30, 2003
decreased by $251 and for the nine months ended September 30, 2003 increased by
$32,541 as compared to the corresponding periods in 2002. The decrease in
management fees for the three months ended September 30, 2003 is due to a
decrease in average net assets during the period. The increase in management
fees for the nine months ended September 30, 2003 is due to an increase in
average net assets during the period.
14
Incentive fees paid by the Partnership are based on the new trading profits
of the Partnership as defined in the Limited Partnership Agreement. Trading
profits for the three and nine months ended September 30, 2003 resulted in
incentive fees of $0 and $66,775, respectively. Trading profits for the three
and nine months ended September 30, 2002 resulted in incentive fees of $124,151.
15
Item 3. Quantitative and Qualitative Disclosures about Market Risk
The Partnership is a speculative commodity pool. The market sensitive
instruments held by it are acquired for speculative trading purposes, and all or
substantially all of the Partnership's assets are subject to the risk of trading
loss. Unlike an operating company, the risk of market sensitive instruments is
integral, not incidental, to the Partnership's main line of business.
Market movements result in frequent changes in the fair 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 value of financial instruments and contracts, the
diversification effects 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
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.
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
interval. 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.
16
The following table indicates the trading Value at Risk associated with the
Partnership's open positions by market category as of September 30, 2003 and the
highest and lowest value at any point during the three and nine months ended
September 30, 2003. All open position trading risk exposures of the Partnership
have been included in calculating the figures set forth below. As of September
30, 2003, the Partnership's total capitalization was $4,218,384. There has been
no material change in the trading Value at Risk information previously disclosed
in the Form 10-K for the year ended December 31, 2002.
September 30, 2003
(Unaudited)
Year to Date
% of Total High Low Average
Market Sector Value at Risk Capitalization Value at Risk Value at Risk Value at risk
------------ ------------ -------------- ------------ ------------ ------------
Currencies:
- OTC Contracts $180,240 4.27% $254,880 $45,571 $163,560
Interest rates U.S. 33,250 0.79% 60,250 5,400 30,150
Interest Rates Non-U.S. 90,126 2.14% 255,109 49,457 165,372
Metals:
- Exchange Traded
Contracts 18,000 0.42% 36,000 9,000 16,167
- OTC Contracts 8,750 0.21% 42,625 4,000 19,125
Indices 95,870 2.27% 113,613 24,052 83,714
------- ------
Total $426,236 10.10%
======= ======
17
Item 4. Controls and Procedures
Based on their evaluation of the Partnership's disclosure controls and
procedures as of September 30, 2003, the President and Chief Financial Officer
of the General Partner have concluded that such controls and procedures are
effective.
During the Partnership's last fiscal quarter, no changes occurred in the
Partnership's internal control over financial reporting that have materially
affected, or are reasonably likely to materially affect, the Partnership's
internal control over financial reporting.
18
PART II. OTHER INFORMATION
Item 1. LEGAL PROCEEDINGS
The following information supplements and amends our discussion set forth
under Part I, Item 3 "Legal Proceedings" in the Company's Annual Report on Form
10-K for the fiscal year ended December 31, 2002, as updated by our Quarterly
Reports on Form 10-Q for the quarters ended March 31, 2003 and June 30, 2003 and
our Current Report on Form 8-K dated April 28, 2003.
ENRON
TITTLE, ET AL. v. ENRON CORP., ET AL.
On September 30, 2003, all of the claims against Citigroup in this
litigation were dismissed.
Additional Actions
Several additional actions, previously identified, have been consolidated
or coordinated with the Newby action and are stayed, except with respect to
certain discovery, until after the court's decision on class certification. In
addition, on August 15, 2003, a purported class action was brought by purchasers
of Enron stock alleging state law claims of negligent misrepresentation, fraud,
breach of fiduciary duty and aiding and abetting a breach of fiduciary duty. On
August 29, 2003, an investment company filed a lawsuit alleging that Citigroup,
CGM and several other defendants (including, among others, Enron's auditor,
financial institutions, outside law firms and rating agencies) engaged in a
conspiracy, which purportedly caused plaintiff to lose credit (in the form of a
commodity sales contract) it extended to an Enron subsidiary in purported
reliance on Enron's financial statements. On September 24, 2003, Enron filed an
adversary proceeding in its chapter 11 bankruptcy proceedings to recover alleged
preferential payments and fraudulent transfers involving Citigroup, CGM and
other entities, and to disallow or to subordinate bankruptcy claims that
Citigroup, CGM and other entities have filed against Enron.
Research
In connection with the global research settlement, on October 31, 2003,
final judgment was entered against CGM and nine other investment banks. In
addition, CGM has entered into separate settlement agreements with numerous
states and certain U.S. territories.
19
WORLDCOM
Citigroup and/or CGM are now named in approximately 35 individual state
court actions brought by pension funds and other institutional investors based
on underwriting of debt securities of WorldCom. Most of these actions have been
removed to federal court and transferred to the United States District Court for
the Southern District of New York for centralized pretrial hearings with other
WorldCom actions. On October 24, 2003, the court granted plaintiffs' motion to
have this matter certified as a class action.
OTHER
On November 3, 2003, the United States District Court for the Southern
District of New York granted the Company's motion to dismiss the consolidated
amended complaint asserting violations of certain federal and state antitrust
laws by CGM and other investment banks in connection with the allocation of
shares in initial public offerings underwritten by such parties.
Item 2. Changes in Securities and Use of Proceeds - None
Item 3. Defaults Upon Senior Securities - None
Item 4. Submission of Matters to a Vote of Security Holders - None
Item 5. Other Information - None
Item 6. The exhibits required to be filed by Item 601 of Regulation S-K are
incorporated herein by reference to the exhibit index of the Partnership's
Report on Form 10-K for the period ended December 31, 2002.
(a) Exhibit - 31.1 - Rule 13a-14(a)/15d-14(a) Certifications
(Certifications of President and Director)
Exhibit - 31.2 - Rule 13a-14(a)/15d-14(a) Certifications
(Certifications of Chief financial Officer and Director)
Exhibit - 32.1 - Section 1350 Certifications (Certification of
President and Director).
Exhibit - 32.2 - Section 1350 Certifications (Certification of
Chief Financial Officer and Director).
(b) Reports on Form 8-K - None
20
SIGNATURES
Pursuant to the requirements of Section 13 or 15 (d) of the Securities
Exchange Act of 1934, the registrant has duly caused this report to be signed on
its behalf by the undersigned, thereunto duly authorized.
SHEARSON SELECT ADVISORS FUTURES FUND L.P.
By: Citigroup Managed Futures LLC
(General Partner)
By: /s/ David J. Vogel
David J. Vogel, President and Director
Date: 11/13/03
Pursuant to the requirements of the Securities Exchange Act of 1934, this
report has been signed below by the following persons on behalf of the
registrant and in the capacities and on the dates indicated.
By: Citigroup Managed Futures LLC
(General Partner)
By: /s/ David J. Vogel
David J. Vogel, President and Director
Date: 11/13/03
By: /s/ Daniel R. McAuliffe, Jr.
Daniel R. McAuliffe, Jr.
Chief Financial Officer and Director
Date: 11/13/03
21
Exhibit 31.1
CERTIFICATIONS
I, David J. Vogel, certify that:
1. I have reviewed this quarterly report on Form 10-Q of Shearson Select
Advisors Futures Fund L.P. (the "registrant");
2. Based on my knowledge, this 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 report;
3. Based on my knowledge, the financial statements, and other financial
information included in this 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 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-15(e) and 15d-15(e)) for the registrant and have:
a) designed such disclosure controls and procedures, or caused such disclosure
controls and procedures to be designed under our supervision, 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 report is being prepared;
b) evaluated the effectiveness of the registrant's disclosure controls and
procedures and presented in this report our conclusions about the effectiveness
of the disclosure controls and procedures, as of the end of the period covered
by this report based on such evaluation; and
c) disclosed in this report any change in the registrant's internal control over
financial reporting that occurred during the registrant's most recent fiscal
quarter (the registrant's fourth fiscal quarter in the case of an annual report)
that has materially affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting; and
5. The registrant's other certifying officer and I have disclosed, based on our
most recent evaluation of internal control over financial reporting, to the
registrant's auditors and the audit committee of the registrant's board of
directors (or persons performing the equivalent functions):
22
a) all significant deficiencies and material weaknesses in the design or
operation of internal control over financial reporting which are reasonably
likely to adversely affect the registrant's ability to record, process,
summarize and report financial information; and
b) any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant's internal control over
financial reporting.
Date: November 13, 2003
/s/ David J. Vogel
David J. Vogel
Citigroup Managed Futures LLC
President and Director
23
Exhibit 31.2
CERTIFICATIONS
I, Daniel R. McAuliffe, Jr., certify that:
1. I have reviewed this quarterly report on Form 10-Q of Shearson Select
Advisors Futures Fund L.P. (the "registrant");
2. Based on my knowledge, this 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 report;
3. Based on my knowledge, the financial statements, and other financial
information included in this 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 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-15(e) and 15d-15(e)) for the registrant and have:
a) designed such disclosure controls and procedures, or caused such disclosure
controls and procedures to be designed under our supervision, 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 report is being prepared;
b) evaluated the effectiveness of the registrant's disclosure controls and
procedures and presented in this report our conclusions about the effectiveness
of the disclosure controls and procedures, as of the end of the period covered
by this report
based on such evaluation; and
c) disclosed in this report any change in the registrant's internal control over
financial reporting that occurred during the registrant's most recent fiscal
quarter (the registrant's fourth fiscal quarter in the case of an annual report)
that has materially affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting; and
5. The registrant's other certifying officer and I have disclosed, based on our
most recent evaluation of internal control over financial reporting, to the
registrant's auditors and the audit committee of the registrant's board of
directors (or persons performing the equivalent functions):
24
a) all significant deficiencies and material weaknesses in the design or
operation of internal control over financial reporting which are reasonably
likely to adversely affect the registrant's ability to record, process,
summarize and report financial information; and
b) any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant's internal control
over financial reporting.
Date: November 13, 2003
/s/ Daniel R. Mcauliffe, Jr.
Daniel R. McAuliffe, Jr.
Citigroup Managed Futures LLC
Chief Financial Officer and Director
25
Exhibit 32.1
CERTIFICATION PURSUANT TO
18 U.S.C. SECTION 1350,
AS ADOPTED PURSUANT TO
SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002
In connection with the Quarterly Report of Shearson Select Advisors Futures Fund
L.P. (the "Partnership") on Form 10-Q for the period ending September 30, 2003
as filed with the Securities and Exchange Commission on the date hereof (the
"Report"), I, David J. Vogel, President and Director of Citigroup Managed
Futures LLC, certify, pursuant to 18 U.S.C. ss. 1350, as adopted pursuant to ss.
906 of the Sarbanes-Oxley Act of 2002, that:
(1) The Report fully complies with the requirements of section 13(a) or
15(d) of the Securities Exchange Act of 1934; and
(2) The information contained in the Report fairly presents, in all
material respects, the financial condition and results of operations of the
Partnership.
/s/ David J. Vogel
David J. Vogel
Citigroup Managed Futures LLC
President and Director
November 13, 2003
26
Exhibit 32.2
CERTIFICATION PURSUANT TO
18 U.S.C. SECTION 1350,
AS ADOPTED PURSUANT TO
SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002
In connection with the Quarterly Report of Shearson Select Advisors Futures Fund
L.P. (the "Partnership") on Form 10-Q for the period ending September 30, 2003
as filed with the Securities and Exchange Commission on the date hereof (the
"Report"), I, Daniel R. McAuliffe, Jr., Chief Financial Officer and Director of
Citigroup Managed Futures LLC, certify, pursuant to 18 U.S.C. ss. 1350, as
adopted pursuant to ss. 906 of the Sarbanes-Oxley Act of 2002, that:
(1) The Report fully complies with the requirements of section 13(a) or
15(d) of the Securities Exchange Act of 1934; and
(2) The information contained in the Report fairly presents, in all
material respects, the financial condition and results of operations of the
Partnership.
/s/ Daniel R. McAuliffe, Jr.
Daniel R. McAuliffe, Jr.
Citigroup Managed Futures LLC
Chief Financial Officer and Director
November 13, 2003
27