<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> 0000862525
<NAME> THE SECTOR STRATEGY FUND (SM) 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>                               25,219,444              35,459,081
<SECURITIES-RESALE>                                  0                       0
<SECURITIES-BORROWED>                                0                       0
<INSTRUMENTS-OWNED>                          7,321,993                       0
<PP&E>                                               0                       0
<TOTAL-ASSETS>                              32,541,437              35,459,081
<SHORT-TERM>                                         0                       0
<PAYABLES>                                     592,405                 775,034
<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>                                  31,949,032              34,684,047 
<TOTAL-LIABILITY-AND-EQUITY>                32,541,437              35,459,081 
<TRADING-REVENUE>                            3,471,890               9,353,952 
<INTEREST-DIVIDENDS>                         1,364,326               1,954,622 
<COMMISSIONS>                                2,636,241               3,480,701 
<INVESTMENT-BANKING-REVENUES>                        0                       0
<FEE-REVENUE>                                        0                       0
<INTEREST-EXPENSE>                                   0                       0
<COMPENSATION>                                       0                       0
<INCOME-PRETAX>                              3,699,252               6,743,703
<INCOME-PRE-EXTRAORDINARY>                   3,699,252               6,743,703
<EXTRAORDINARY>                                      0                       0
<CHANGES>                                            0                       0
<NET-INCOME>                                 3,699,252               6,743,703 
<EPS-PRIMARY>                                    20.37                   28.26
<EPS-DILUTED>                                    20.37                   28.26
        

</TABLE>