<TABLE> <S> <C>

<PAGE>
 
<ARTICLE> BD
<LEGEND>
THIS SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM STATEMENTS
OF FINANCIAL CONDITION, STATEMENTS OF OPERATIONS, STATEMENTS OF CHANGES IN
PARTNERS' CAPITAL AND IS QUALIFIED IN ITS ENTIRETY BY REFERENCE TO SUCH
FINANCIAL STATEMENTS.
</LEGEND>
<CIK> 0000867247
<NAME> THE SECTOR STRATEGY FUND(SM) II L.P.
       
<S>                             <C>                     <C>
<PERIOD-TYPE>                   12-MOS                   12-MOS
<FISCAL-YEAR-END>                          DEC-31-1996             DEC-31-1995
<PERIOD-START>                             JAN-01-1996             JAN-01-1995
<PERIOD-END>                               DEC-31-1996             DEC-31-1995
<CASH>                                               0                       0
<RECEIVABLES>                               33,082,518              60,952,963
<SECURITIES-RESALE>                                  0                       0
<SECURITIES-BORROWED>                                0                       0
<INSTRUMENTS-OWNED>                         10,807,733                       0
<PP&E>                                               0                       0
<TOTAL-ASSETS>                              43,890,251              60,952,963
<SHORT-TERM>                                         0                       0
<PAYABLES>                                   1,306,146               3,359,707
<REPOS-SOLD>                                         0                       0
<SECURITIES-LOANED>                                  0                       0
<INSTRUMENTS-SOLD>                                   0                       0
<LONG-TERM>                                          0                       0
<PREFERRED-MANDATORY>                                0                       0
<PREFERRED>                                          0                       0
<COMMON>                                             0                       0
<OTHER-SE>                                  42,584,105              57,593,256
<TOTAL-LIABILITY-AND-EQUITY>                43,890,251              60,952,963
<TRADING-REVENUE>                            4,849,129              11,676,137
<INTEREST-DIVIDENDS>                         2,009,987               3,519,449
<COMMISSIONS>                                4,213,004               6,481,462
<INVESTMENT-BANKING-REVENUES>                        0                       0
<FEE-REVENUE>                                        0                       0
<INTEREST-EXPENSE>                                   0                       0
<COMPENSATION>                                       0                       0
<INCOME-PRETAX>                              4,425,958               7,395,031
<INCOME-PRE-EXTRAORDINARY>                   4,425,958               7,395,031
<EXTRAORDINARY>                                      0                       0
<CHANGES>                                            0                       0
<NET-INCOME>                                 4,425,958               7,395,031
<EPS-PRIMARY>                                    11.78                   13.00
<EPS-DILUTED>                                    11.78                   13.00
        

</TABLE>