<PAGE>
 

Select 
Futures 
Fund




December 31, 1996 
Annual Report
                                                                            






[LOGO] DEAN WITTER
<PAGE>
 
DEAN WITTER
Two World Trade Center
62nd Floor
New York, NY 10048
Telephone (212) 392-8899
 
DEAN WITTER SELECT FUTURES FUND L.P.
ANNUAL REPORT
1996
 
Dear Limited Partner:
 
This marks the sixth annual report for the Dean Witter Select Futures Fund L.P.
(the "Fund"). The Fund began 1996 trading at a Net Asset Value per Unit of
$1,864.21 and increased by 5.3% to $1,962.38 on December 31, 1996. Since its
inception in 1991, the Fund has increased by 96.2% (a compound annualized
return of 13.5%).
 
In January, losses were recorded from long energy and agricultural futures
positions as prices in these markets reversed lower, thus giving back a portion
of profits recorded in late 1995. A majority of these losses were offset by
gains recorded in the currency markets from short positions in most major
currencies versus the U.S. dollar, and in the financial futures markets from
long European bond futures positions. During February, significant losses were
recorded as a result of a series of sharp trend reversals in the financial
futures and currency markets. In financial futures, losses were recorded from
long positions in global interest rate and stock index futures as the previous
upward price trend reversed sharply. Additional losses were recorded in
currencies due to a sudden upward move in the value of most major currencies
relative to the U.S. dollar. In March, small losses were posted due primarily
to short-term volatile price movement in global financial futures and metals. A
majority of these losses were offset by gains recorded from long positions in
oil and gas futures.
 
Profits were recorded in currencies during April from short German mark and
<PAGE>
 
Swiss franc positions as the value of these currencies declined versus the U.S.
dollar. Additional gains were recorded from long positions in crude oil and
agricultural futures. Choppy price movement in global financial futures
resulted in losses being recorded during May. Smaller losses were recorded in
the energy markets as a portion of previous months' profits was given back due
to a price reversal lower. During June, profits were recorded primarily from
short positions in copper futures as prices moved sharply lower on news of
significant losses incurred in copper by Sumitomo Corporation. Additional gains
in metals were recorded from short positions in gold, silver and aluminum
futures as prices in these markets also moved lower.
 
In July, the Fund recorded losses in the currency markets from short positions
in the Japanese yen as its value moved sharply higher versus the U.S. dollar.
Smaller losses were recorded from long natural gas futures positions as prices
reversed lower. Losses were also recorded during August primarily from short
positions in coffee futures as prices moved higher. In currency trading,
volatile movement in the value of most major world currencies relative to the
U.S. dollar resulted in smaller losses during August. A majority of these
losses were offset by gains recorded from long positions in the energy markets.
During September, gains were recorded primarily due to a continued upward trend
in oil prices. Additional gains were recorded in financial futures from long
European and Japanese interest rate futures positions as prices moved steadily
higher.
 
The Fund began the fourth quarter with significant gains during October and
November due primarily to long British pound positions, as its value surged
higher versus other major currencies. Strong gains were also recorded in
financial futures as long global interest rate futures positions
profited from a continued upward price trend. A portion of these gains was
given
<PAGE>
 
back during December due to a sharp price reversal lower in the previous upward
trend in global interest rate futures prices. Smaller losses were recorded in
energy and metals futures as prices moved in a short-term volatile pattern.
 
Overall, the Fund recorded net profits for the year due primarily to trading in
global financial futures as prices trended higher during the period of
September through November. Additional gains recorded in the currency markets,
primarily from long British pound positions during the fourth quarter, helped
in offsetting losses recorded from trend reversals and choppy price movement
earlier in the year. The Fund's exposure to domestic commodities hindered
performance in 1996 as agricultural and soft commodities failed to provide
sustained price trends in much of the year.
 
Should you have any questions concerning this report, please feel free to
contact Demeter Management Corporation at Two World Trade Center, 62nd Floor,
New York, NY 10048 or your Dean Witter Account Executive.
 
I hereby affirm, that to the best of my knowledge and belief, the information
contained in this report is accurate and complete. Past performance is not a
guarantee of future results.
 
    Sincerely,
 
    /s/ Mark J. Hawley
    Mark J. Hawley
    President
    Demeter Management Corporation
    General Partner
<PAGE>
 
DEAN WITTER SELECT FUTURES FUND L.P.
INDEPENDENT AUDITORS' REPORT
 
The Limited Partners and the General Partner:
 
We have audited the accompanying statements of financial condition of Dean
Witter Select Futures Fund L.P. (the "Partnership") as of December 31, 1996 and
1995 and the related statements of operations, changes in partners' capital,
and cash flows for each of the three years in the period ended December 31,
1996. 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 audits.
 
We conducted our audits in accordance with generally accepted auditing
standards. 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 audits provide a reasonable basis
for our opinion.
 
In our opinion, such financial statements present fairly, in all material
respects, the financial position of Dean Witter Select Futures Fund L.P. as of
December 31, 1996 and 1995 and the results of its operations and its cash flows
for each of the three years in the period ended December 31, 1996 in conformity
with generally accepted accounting principles.
 
/s/ Deloitte & Touche LLP
February 17, 1997
New York, New York
<PAGE>
 
DEAN WITTER SELECT FUTURES FUND L.P.
STATEMENTS OF FINANCIAL CONDITION
 
<TABLE>
<CAPTION>
                                                         DECEMBER 31,
                                                    -----------------------
                                                       1996        1995
                                                    ----------- -----------
                                                         $           $
<S>                                                 <C>         <C>
                                  ASSETS
Equity in Commodity futures trading
 accounts:
 Cash                                               154,784,007 161,132,662
 Net unrealized gain on open contracts                6,477,994  17,428,211
 Net option premiums                                     18,205      17,020
                                                    ----------- -----------
 Total Trading Equity                               161,280,206 178,577,893
Subscriptions receivable                              5,365,420         --
Interest receivable (DWR)                               533,060     592,357
Due from DWR                                            409,326     172,749
                                                    ----------- -----------
 Total Assets                                       167,588,012 179,342,999
                                                    =========== ===========
                     LIABILITIES AND PARTNERS' CAPITAL
LIABILITIES
 Redemptions payable                                  2,370,157   1,551,357
 Accrued brokerage commissions (DWR)                    491,315     664,318
 Accrued management fees                                403,858     446,105
 Incentive fees payable                                 348,459         --
 Accrued administrative expenses                        123,343     164,267
 Accrued transaction fees and costs                      64,595      70,692
                                                    ----------- -----------
 Total Liabilities                                    3,801,727   2,896,739
                                                    ----------- -----------
PARTNERS' CAPITAL
 Limited Partners (82,132.510 and 93,318.367 Units,
   respectively)                                    161,174,820 173,965,425
 General Partner (1,330.767 Units)                    2,611,465   2,480,835
                                                    ----------- -----------
 Total Partners' Capital                            163,786,285 176,446,260
                                                    ----------- -----------
 Total Liabilities and Partners' Capital            167,588,012 179,342,999
                                                    =========== ===========
NET ASSET VALUE PER UNIT                               1,962.38    1,864.21
                                                    =========== ===========
</TABLE>
 
 
   The accompanying notes are an integral part of these financial statements.
<PAGE>
 
DEAN WITTER SELECT FUTURES FUND L.P.
STATEMENTS OF OPERATIONS
 
<TABLE>
<CAPTION>
                                         FOR THE YEARS
                                             ENDED
                                         DECEMBER 31,
                               -----------------------------------
                                  1996         1995        1994
                               -----------  ----------  ----------
                                    $           $           $
<S>                            <C>          <C>         <C>
REVENUES
Trading Profit (Loss):
 Realized                       26,876,393  65,987,157  19,134,352
 Net change in unrealized      (10,950,217) (4,657,344) (7,758,820)
                               -----------  ----------  ----------
  Total Trading Results         15,926,176  61,329,813  11,375,532
Interest income (DWR)            6,120,347   7,969,749   6,044,870
                               -----------  ----------  ----------
  Total Revenues                22,046,523  69,299,562  17,420,402
                               -----------  ----------  ----------
EXPENSES
Brokerage commissions (DWR)     10,641,478  14,173,695  15,551,182
Management fees                  4,583,197   5,626,908   5,452,353
Transaction fees and costs       1,104,011   1,589,795   1,652,264
Incentive fees                     175,796   8,707,049   4,441,510
Administrative expenses            128,000     148,000     126,000
                               -----------  ----------  ----------
  Total Expenses                16,632,482  30,245,447  27,223,309
                               -----------  ----------  ----------
NET INCOME (LOSS)                5,414,041  39,054,115  (9,802,907)
                               ===========  ==========  ==========
NET INCOME (LOSS) ALLOCATION:
Limited Partners                 5,283,411  38,580,172  (9,695,068)
General Partner                    130,630     473,943    (107,839)
NET INCOME (LOSS) PER UNIT:
Limited Partners                     98.17      356.14      (81.46)
General Partner                      98.17      356.14      (81.46)
</TABLE>
 
STATEMENT OF CHANGES IN PARTNERS' CAPITAL
FOR THE YEARS ENDED DECEMBER 31, 1996, 1995 AND 1994
 
<TABLE>
<CAPTION>
                              UNITS OF
                             PARTNERSHIP    LIMITED     GENERAL
                              INTEREST     PARTNERS     PARTNER      TOTAL
                             -----------  -----------  ---------  -----------
                                               $           $           $
<S>                          <C>          <C>          <C>        <C>
Partners' Capital,
December 31, 1993            125,329.628  197,140,885  2,074,731  199,215,616
Net Loss                             --    (9,695,068)  (107,839)  (9,802,907)
Subscription Adjustment              --       (40,000)    40,000          --
Redemptions                  (13,803.541) (21,223,381)       --   (21,223,381)
                             -----------  -----------  ---------  -----------
Partners' Capital,
December 31, 1994            111,526.087  166,182,436  2,006,892  168,189,328
Net Income                           --    38,580,172    473,943   39,054,115
Redemptions                  (16,876.953) (30,797,183)       --   (30,797,183)
                             -----------  -----------  ---------  -----------
Partners' Capital, December
31, 1995                      94,649.134  173,965,425  2,480,835  176,446,260
Offering of Units              5,140.575   10,251,712        --    10,251,712
Net Income                           --     5,283,411    130,630    5,414,041
Redemptions                  (16,326.432) (28,325,728)       --   (28,325,728)
                             -----------  -----------  ---------  -----------
Partners' Capital,
December 31, 1996             83,463.277  161,174,820  2,611,465  163,786,285
                             ===========  ===========  =========  ===========
</TABLE>
 
   The accompanying notes are an integral part of these financial statements.
<PAGE>
 
DEAN WITTER SELECT FUTURES FUND L.P.
STATEMENTS OF CASH FLOWS
 
<TABLE>
<CAPTION>
                                                   FOR THE YEARS
                                                       ENDED
                                                   DECEMBER 31,
                                        -------------------------------------
                                           1996         1995         1994
                                        -----------  -----------  -----------
                                             $            $            $
CASH FLOWS FROM
 OPERATING ACTIVITIES
<S>                                     <C>          <C>          <C>
Net income (loss):                        5,414,041   39,054,115   (9,802,907)
Noncash item included in net income
  (loss):
 Net change in unrealized                10,950,217    4,657,344    7,758,820
(Increase) decrease in operating
  assets:
 Net option premiums                         (1,185)     368,130     (385,150)
 Interest receivable (DWR)                   59,297       69,088     (276,019)
 Due from DWR                              (236,577)   1,181,051     (771,457)
Increase (decrease) in operating
  liabilities:
 Accrued brokerage commissions (DWR)       (173,003)      23,278       10,720
 Accrued management fees                    (42,247)      18,914      (77,526)
 Incentive fees payable                     348,459          --    (1,295,256)
 Accrued administrative expenses            (40,924)      61,142      (16,097)
 Accrued transaction fees and costs          (6,097)      29,778       (4,749)
                                        -----------  -----------  -----------
Net cash provided by (used for)
  operating activities                   16,271,981   45,462,840   (4,859,621)
                                        -----------  -----------  -----------
CASH FLOWS FROM
  FINANCING ACTIVITIES
Increase in subscriptions receivable     (5,365,420)         --           --
Offering of units                        10,251,712          --           --
Increase (decrease) in redemptions
  payable                                   818,800     (660,125)   1,340,331
Redemptions of units                    (28,325,728) (30,797,183) (21,223,381)
                                        -----------  -----------  -----------
Net cash used for financing activities  (22,620,636) (31,457,308) (19,883,050)
                                        -----------  -----------  -----------
Net increase (decrease)
  in cash                                (6,348,655)  14,005,532  (24,742,671)
Balance at beginning of
  period                                161,132,662  147,127,130  171,869,801
                                        -----------  -----------  -----------
Balance at end of period                154,784,007  161,132,662  147,127,130
                                        ===========  ===========  ===========
</TABLE>
 
   The accompanying notes are an integral part of these financial statements.
<PAGE>
 
DEAN WITTER SELECT FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS
 
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
 
ORGANIZATION--Dean Witter Select Futures Fund L.P. (the "Partnership") is a
limited partnership organized to engage in the speculative trading of commodity
futures contracts, commodity options contracts and forward contracts on foreign
currencies. The general partner for the Partnership is Demeter Management
Corporation ("Demeter"). The commodity broker is Dean Witter Reynolds Inc.
("DWR"). Both DWR and Demeter are wholly-owned subsidiaries of Dean Witter,
Discover & Co. ("DWD"). Demeter has retained EMC Capital Management, Inc.
("EMC"), Rabar Market Research, Inc. ("Rabar") and Sunrise Capital Management,
Inc. ("Sunrise") as the trading advisors of the Partnership.
 
Demeter is required to maintain a 1% minimum interest in the equity of the
Partnership and income (losses) are shared by the General and Limited Partners
based upon their proportional ownership interests.
 
OFFERING OF UNITS--During the period from December 1, 1996 through February 28,
1997 additional Units were offered to the public at a price equal to 100% of
the Net Asset Value as of the close of business on the last day of each month
prior to the March 1, 1997 closing date of the offering.
 
BASIS OF ACCOUNTING--The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts in the financial statements.
 
REVENUE RECOGNITION--Commodity futures contracts, commodity options and forward
contracts on foreign currencies are open commitments until settlement date.
They are valued at market and the resulting unrealized gains and losses are
reflected in income. Monthly, DWR pays the Partnership interest income based
upon 80% of the average daily Net Assets for the month at a rate equal to the
average yield on 13-week U.S. Treasury Bills issued during such month. For
purposes of such interest payments, Net Assets do not include monies due the
Partnership on forward contracts and other commodity interests, but not
actually received.
 
NET INCOME (LOSS) PER UNIT--Net income (loss) per Unit is computed using the
weighted average number of units outstanding during the period.
 
EQUITY IN COMMODITY FUTURES TRADING ACCOUNTS--The Partnership's asset "Equity
in Commodity futures trading accounts" consists of cash on deposit at DWR to be
used as margin for trading and the net asset or liability related to unrealized
gains or losses on open
<PAGE>
 
DEAN WITTER SELECT FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
 
contracts and the net option premiums paid and/or received. The asset or
liability related to the unrealized gains or losses on forward contracts is
presented as a net amount because the Partnership has a master netting
agreement with DWR.
 
BROKERAGE COMMISSIONS AND RELATED TRANSACTION FEES AND COSTS--The Partnership
accrues brokerage commissions on a half-turn basis at 80% of DWR's published
non-member rates. Transaction fees and costs are accrued on a half-turn basis.
Prior to September 1, 1996, brokerage commissions were capped at 3/4 of 1% per
month of the Net Assets allocated to each trading advisor as defined in the
Limited Partnership Agreement. Such transaction fees and costs, exclusive of
"give-up" fees, were capped at 1/12 of 1% per month of the Net Assets allocated
to each trading advisor.
 
Effective September 1, 1996, brokerage commissions and transaction fees
chargeable to the Partnership have been capped at 13/20 of 1% per month of the
Partnership's month-end Net Assets (as defined in the Limited Partnership
Agreement) allocated to each such Trading Advisor.
 
OPERATING EXPENSES--The Partnership bears all operating expenses related to its
trading activities, to a maximum of 1/4 of 1% annually of the Partnership's
average month-end Net Assets. These include filing fees, clerical,
administrative, auditing, accounting,
legal, mailing, printing, and other incidental operating expenses as permitted
by the Limited Partnership Agreement. In addition, the Partnership incurs a
monthly management fee and may incur an incentive fee. Demeter bears all other
operating expenses.
 
REDEMPTIONS--Effective October 1, 1993, Limited Partners may redeem some or all
of their Units at 100% of the Net Asset Value per Unit at the last day of any
month that is at least six months after the closing at which a client first
became a limited partner, upon five business days advance notice by redemption
form to Demeter. However, any Units redeemed at or prior to the end of the
twelfth, eighteenth, or twenty- fourth full months following the closing at
which such person first became a limited partner, may be assessed a redemption
charge equal to 3%, 2% or 1%, respectively, of the Net Asset Value per Unit on
the date of such redemption. Prior to October 1, 1993, redemptions were
restricted to the calendar quarter. Limited Partners who obtained their units
via an exchange from another DWR sponsored commodity pool are not subject to
the six month holding period or the redemption charges.
<PAGE>
 
DEAN WITTER SELECT FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
 
 
DISTRIBUTIONS--Distributions, other than on redemptions of Units, are made on a
pro-rata basis at the sole discretion of Demeter. No distributions have been
made to date.
 
INCOME TAXES--No provision for income taxes has been made in the accompanying
financial statements, as partners are individually responsible for reporting
income or loss based upon their respective share of the Partnership's revenues
and expenses for income tax purposes.
 
DISSOLUTION OF THE PARTNERSHIP--The Partnership will terminate on December 31,
2025 or at an earlier date if certain conditions set forth in the Limited
Partnership Agreement occur.
 
2. RELATED PARTY TRANSACTIONS
 
The Partnership's cash is on deposit with DWR in commodity trading accounts to
meet margin requirements as needed. DWR pays interest on these funds as
described in Note 1. Under its Customer Agreement with DWR, the Partnership
pays DWR brokerage commissions as described in Note 1.
 
3. TRADING ADVISORS
 
Compensation to EMC, Rabar and Sunrise consists of a management fee and an
incentive fee as follows:
 
MANAGEMENT FEE--The Partnership pays a monthly management fee equal to 1/4 of
1% per month of the Partnership's adjusted Net Assets, as defined in the
Limited Partnership Agreement, as of the last day of each month.
 
INCENTIVE FEE--The Partnership will pay a quarterly incentive fee to each
trading advisor equal to 17.5% of the trading advisor's "Trading Profits", as
defined in the Limited Partnership Agreement, experienced by the Net Assets
allocated to such trading advisor as of the end of each calendar quarter. If a
trading advisor has experienced "Trading Losses" with respect to its allocated
Net Assets at the time of a supplemental closing, the trading advisor must earn
back such losses plus a pro rata amount related to the funds allocated to the
trading advisor at a supplemental closing before the trading advisor is
eligible for an incentive fee. Such incentive fee is accrued in each month in
which "Trading Profits" occurs. In those months in which "Trading Profits" are
negative, previous accruals, if any, during the incentive period will be
reduced. In those instances in which a Limited Partner redeems an investment,
the incentive fee (if earned through a redemption date) is to be paid to such
advisor on those redemptions in the month of such redemptions.
<PAGE>
 
DEAN WITTER SELECT FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
 
 
4. FINANCIAL INSTRUMENTS
 
The Partnership trades futures, options and forward contracts in interest
rates, stock indices, commodities, currencies, petroleum, and precious metals.
Futures and forwards represent contracts for delayed delivery of an instrument
at a specified date and price. Risk arises from changes in the value of these
contracts and the potential inability of counterparties to perform under the
terms of the contracts. There are numerous factors which may significantly
influence the market value of these contracts, including interest rate
volatility. At December 31, 1996 and 1995, open contracts were:
 
<TABLE>
<CAPTION>
                         CONTRACT OR NOTIONAL AMOUNT
                         ---------------------------
                             1996          1995
                         ------------- -------------
                               $             $
<S>                      <C>           <C>
EXCHANGE-TRADED CONTRACTS
Financial Futures:
 Commitments to Purchase   295,593,000   925,367,000
 Commitments to Sell       224,416,000   103,322,000
Commodity Futures:
 Commitments to Purchase    28,171,000   293,591,000
 Commitments to Sell       106,936,000    49,216,000
 Options Written             1,299,000       894,000
Foreign Futures:
 Commitments to Purchase   395,250,000   913,417,000
 Commitments to Sell        73,489,000    42,447,000
OFF-EXCHANGE-TRADED FORWARD
  CURRENCY CONTRACTS
 Commitments to Purchase       212,000     7,612,000
 Commitments to Sell               --     40,963,000
</TABLE>
 
A portion of the amounts indicated as off-balance-sheet risk in forward
currency contracts is due to offsetting forward commitments to purchase and to
sell the same currency on the same date in the future. These commitments are
economically offsetting, but are not offset in the forward market until the
settlement date.
 
The unrealized gains on open contracts are reported as a component of "Equity
in Commodity futures trading accounts" on the Statements of Financial Condition
and totaled $6,477,994 and $17,428,211 at December 31, 1996 and 1995,
respectively.
 
Of the $6,477,994 net unrealized gain on open contracts at December 31, 1996,
$6,477,946 related to exchange-traded futures contracts and $48 related to off-
exchange-traded forward currency contracts. Of the $17,428,211 net unrealized
gain on open contracts at December 31, 1995, $16,901,032 related to exchange-
traded futures contracts and $527,179 related to off-exchange-traded forward
currency contracts.
<PAGE>
 
DEAN WITTER SELECT FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
 
 
Exchange-traded futures contracts held by the Partnership at December 31, 1996
and 1995 mature through December 1997 and December 1996, respectively. Off-
exchange-traded forward currency contracts held by the Partnership at December
31, 1996 and 1995 mature through January 1997 and January 1996, respectively.
The contract amounts in the above table represent the Partnership's extent of
involvement in the particular class of financial instrument, but not the credit
risk associated with counterparty nonperformance. The credit risk associated
with these instruments is limited to the amounts reflected in the Partnership's
Statements of Financial Condition.
 
The Partnership also has credit risk because DWR acts as the futures commission
merchant or the sole counterparty, with respect to most of the Partnership's
assets. Exchange-traded futures and options contracts are marked to market on a
daily basis, with variations in value settled on a daily basis. DWR, as the
futures commission merchant for all of the Partnership's exchange-traded
futures and options contracts, is required pursuant to regulations of the
Commodity Futures Trading Commission to segregate from its own assets, and for
the sole benefit of its commodity customers, all funds held by DWR with respect
to exchange-traded futures and options contracts including an amount equal to
the net unrealized gain on all open futures and option contracts which, funds
totaled, $161,261,953 and $178,033,694, at December 31, 1996 and 1995,
respectively. With respect to the Partnership's off-exchange-traded forward
currency contracts, there are no daily settlements of variations in value nor
is there any requirement that an amount equal to the net unrealized gain on
open forward contracts be segregated. With respect to those off-exchange-traded
forward currency contracts, the Partnership is at risk to the ability of DWR,
the counterparty on all of such contracts, to perform.
 
For the year ended December 31, 1996 and 1995, the average fair value of
financial instruments held for trading purposes was as follows:
 
<TABLE>
<CAPTION>
                                        1996
                               -----------------------
                                 ASSETS    LIABILITIES
                               ----------- -----------
                                    $           $
<S>                            <C>         <C>
EXCHANGE-TRADED CONTRACTS:
 Financial Futures             352,972,000 262,469,000
 Commodity Futures              90,720,000  60,672,000
 Options on Commodity Futures    2,341,000     308,000
 Foreign Futures               458,659,000 117,896,000
OFF-EXCHANGE-TRADED FORWARD
  CURRENCY CONTRACTS             9,226,000  20,258,000
</TABLE>
<PAGE>
 
DEAN WITTER SELECT FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS--(CONCLUDED)
 
<TABLE>
<CAPTION>
                                                         1995
                                                -----------------------
                                                  ASSETS    LIABILITIES
                                                ----------- -----------
                                                     $           $
EXCHANGE-TRADED CONTRACTS:
<S>                                             <C>         <C>
 Financial Futures                              505,189,000 343,753,000
 Commodity Futures                              152,820,000 103,015,000
 Foreign Futures                                506,117,000 179,492,000
OFF-EXCHANGE-TRADED FORWARD CURRENCY CONTRACTS   99,808,000 158,150,000
</TABLE>
 
5. LEGAL MATTERS:
 
On September 6, 10, and 20, 1996, similar purported class actions were filed in
the Superior Court of the State of California, County of Los Angeles, on behalf
of all purchasers of interests in limited partnership commodity pools sold by
DWR. Named defendants include DWR, Demeter, Dean Witter Futures & Currency
Management Inc., DWD (all such parties referred to hereafter as the "Dean
Witter Parties"), the Partnership, certain other limited partnership commodity
pools of which Demeter is the general partner, and certain trading advisors to
those pools. Similar purported class actions were also filed on September 18
and 20, 1996, in the Supreme Court of the State of New York, New York County,
and on November 14, 1996 in the Superior Court of the State of Delaware, New
Castle County, against the Dean Witter Parties and certain trading advisors on
behalf of all purchasers of interests in various limited partnership commodity
pools, including the Partnership, sold by DWR. Generally, these complaints
allege, among other things, that the defendants committed fraud, deceit,
misrepresentation, breach of fiduciary duty, fraudulent and unfair business
practices, unjust enrichment, and conversion in connection with the sale and
operation of the various limited partnership commodity pools. The complaints
seek unspecified amounts of compensatory and punitive damages and other relief.
It is possible that additional similar actions may be filed and that, in the
course of these actions, other parties could be added as defendants. The Dean
Witter Parties believe that they and the Partnership have strong defenses to,
and they will vigorously contest, the actions. Although the ultimate outcome of
legal proceedings cannot be predicted with certainty, it is the opinion of
management of the Dean Witter Parties that the resolution of the actions will
not have a material adverse effect on the financial condition or the results of
operations of any of the Dean Witter Parties or the Partnership.
<PAGE>
 
DEAN WITTER REYNOLDS INC.                                    FIRST-CLASS MAIL 
Two World Trade Center                                       ZIP + 4 PRESORT  
62nd Floor                                                   U.S. POSTAGE PAID 
New York, NY 10048                                           BROOKLYN, NY   
                                                             PERMIT NO. 148