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, 1998

Commission File Number 0-16627

                      SHEARSON SELECT ADVISORS FUTURES FUND
             (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 Smith Barney Futures Management Inc.
                           390 Greenwich St. - 1st Fl.
                           New York, New York 10013 
---------------------------------------------------------------------------
              (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
Securities registered pursuant to Section 12(g) of the Act:  Units
                                                             of Limited
                                                             Partnership
                                                             Interest
                                                             (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]

As of  February  28,  1999  Limited  Partnership  Units  with an aggregate value
of  $2,656.82  were  outstanding  and held by non-affiliates.


                       DOCUMENTS INCORPORATED BY REFERENCE
                                      NONE


<PAGE>




                                     PART 1
Item 1. Business.

         (a) General  development of business.  Shearson Select Advisors Futures
Fund (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,  1998,  1997 and 1996,  are reported in the  Statement of Partners'
Capital on page F-6 under "Item 8. Financial Statements and Supplementary Data."
     Smith  Barney  Futures  Management  Inc.  acts as the general  partner (the
"General  Partner") of the Partnership.  On September 1, 1998, the Partnership's
commodity  broker,  Smith  Barney  Inc.,  merged with  Salomon  Brothers Inc and
changed its name to 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.  ("SSBH"),  which is the sole owner of SSB.  On October 8, 1998,
Travelers Group Inc. merged with Citicorp Inc. and changed its name to Citigroup
Inc. SSBH is a wholly owned subsidiary of Citigroup Inc.
         The  Partnership's  trading of futures contracts on commodities is done

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<PAGE>

primarily on United States 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 a monthly
management  fee of 1/3 of 1% (4% per year) of the  month  end Net  Assets of the
Partnership,  as defined,  managed by each advisor and an incentive  fee payable
quarterly equal to 15% 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.  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  General  Partner  to pay the
Advisor  a  monthly  management  fee  of  1/3 of 1% of  the  Net  Assets  of the
Partnership  (of 4% per year)  managed by the Advisor and an incentive fee equal
to 10% of the New  Trading  Profits  (as  defined in the  Management  Agreement)

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<PAGE>

earned on the Net  Assets  managed  by the  Advisor  during  each  quarter.  The
incentive fee paid to the Advisor will be paid out of the General  Partner's own
funds to the extent  that the  incentive  fee owed to the  Advisor  exceeds  the
incentive  fee  paid  by the  Partnership  to the  General  Partner.  Thus,  the
Partnership  will pay an incentive fee based on aggregate  profits earned by the
Advisor.
         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  will  pay 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.
         (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

                                      4
<PAGE>

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, 1998, 1997, 1996,
1995,  and  1994  are  set  forth  under  "Item  6.  Selected  Financial  Data."
Partnership capital as of December 31, 1998 was $5,545,665.
         (c)  Narrative  description  of business. 
         See  Paragraphs  (a) and (b) above. 
         (i)  through (x) - Not  applicable.  
         (xi)  through  (xii) - Not applicable.  
         (xiii) - The Partnership  has no employees.
         (d)  Financial  Information  About  Foreign and Domestic Operations and
         Export  Sales.  The Partnership  does  not engage  in sales of goods or
         services,  and therefore this item is not applicable.

                                5
<PAGE>


Item 2. Properties.
               The Partnership does not own or lease any properties. The General
Partner operates out of facilities provided by its affiliate, SSB.

Item 3. Legal Proceedings.
              There  are no  material  legal  proceedings  pending  against  the
Partnership  or the General  Partner.  
              This section  describes  the major legal  proceedings,  other than
ordinary  routine  litigation  incidental  to the business,  to which SSBH,  the
parent  company of this  General  Partner or its  subsidiaries  is a party or to
which any of their property is subject.
              In September  1992,  Harris Trust and Savings Bank (as trustee for
Ameritech  Pension  Trust  ("APT"),  Ameritech  Corporation,  and an  officer of
Ameritech filed suit against Salomon  Brothers Inc. ("SBI") and Salomon Brothers
Realty Corporation ("SBRC") in the U.S. District Court for the Northern District
of Illinois  (Harris Trust Savings Bank, not  individually but solely as trustee
for the Ameritech Pension Trust,  Ameritech Corporation and John A. Edwardson v.
Salomon  Brothers Inc and Salomon  Brothers  Realty  Corp.).  The second amended
complaint  alleges that three purchases by APT from defendants of  participation
interests  in net cash flow or resale  proceeds  of three  portfolios  of motels
owned by Motels of America, Inc. ("MOA"), as well as a fourth purchase by APT of
a similar participation  interest with respect to a portfolio of motels owned by
Best Inns, Inc. ("Best"),  violated the Employee  Retirement Income Security Act
("ERISA"),  and that the purchase of the  participation  interests for the third


                                6

<PAGE>

MOA portfolio and for the Best portfolio  violated the Racketeer  Influenced and
Corrupt   Organization  Act  ("RICO")  and  state  law.  SBI  had  acquired  the
participation  interests  in  transactions  in which it  purchased  as principal
mortgage notes issued by MOA and Best to finance  purchases of motel portfolios;
95% of three such  interests  and 100% of one such interest were sold to APT for
purchase prices  aggregating  approximately  $20.9 million.  Plaintiffs'  second
amended complaint seeks (a) judgment on the ERISA claims for the purchase prices
of  the  four  participation   interests   (approximately  $20.9  million),  for
rescission and for  disgorgement  of profits,  as well as other relief,  and (b)
judgment on the claims  brought  under RICO and state law in the amount of $12.3
million,  with  damages  trebled to $37 million on the RICO claims and  punitive
damages  in excess of $37  million on certain of the state law claims as well as
other  relief.  The court  dismissed  the RICO,  breach of contract,  and unjust
enrichment  claims.  The court also found that  defendants did not qualify as an
ERISA  fiduciary and dismissed the claims based on that  allegation.  Defendants
moved for summary  judgment on the sole remaining  claim. The motion was denied,
and defendants  appealed to the U.S.  Court of Appeals for the Seventh  Circuit.
Defendants are awaiting a decision.
              Both the Department of Labor and the Internal Revenue Service have
advised  SBI that  they  were or are  reviewing  the  transactions  in which APT
acquired  such  participation  interests.  With respect to the Internal  Revenue
Service review,  SSBH, SBI and SBRC have consented to extensions of time for the
assessment  of excise  taxes that may be  claimed to be due with  respect to the


                            7

<PAGE>

transactions  for the years 1987,  1988 and 1989.  In August 1996,  the IRS sent
SSBH,  SBI and SBRC what appeared to be draft  "30-day  letters" with respect to
the  transactions and SSBH, SBI and SBRC were given an opportunity to comment on
whether the IRS should issue 30-day letters,  which would actually  commence the
assessment  process.  In October 1996, SSBH, SBI and SBRC submitted a memorandum
setting forth  reasons why the IRS should not issue 30-day  letters with respect
to the transactions.
     In December  1996, a complaint  seeking  unspecified  monetary  damages was
filed by Orange County,  California against numerous brokerage firms,  including
Smith  Barney,  in the  U.S.  Bankruptcy  Court  for  the  Central  District  of
California  (County  of  Orange  et al. v.  Bear  Stearns  & Co.  Inc.  et al.).
Plaintiff alleges,  among other things, that defendants  recommended and sold to
plaintiff  unsuitable  securities  and that such  transactions  were outside the
scope of  plaintiff's  statutory and  constitutional  authority  (ultra  vires).
Defendants'  motion for summary  judgment  was granted with respect to the ultra
vires  claims in  February  1999.  The court  allowed  the  filing of an amended
complaint asserting claims based on alleged breaches of fiduciary duty.
     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


                                  8

<PAGE>

declaratory  judgment  that  Smith  Barney  Inc.  and  another  underwriter  are
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  Company  filed a  motion  to  dismiss  the
complaints in September 1998, and the complaints were subsequently  amended. The
Company has filed a motion to dismiss the amended complaints.

              In November 1998, a purported class action  complaint was filed in
the United  States  District  Court for the Middle  District of Florida  (Dwight
Brock as Clerk for Collier  County v.  Merrill  Lynch,  et al.).  The  complaint
alleges that, pursuant to a nationwide conspiracy,  17 broker-dealer defendants,
including SSB, charged excessive  mark-ups in connection with advanced refunding
transactions.   The  Company  intends  to  contest  this  complaint  vigorously.
Environmental Matters
         In July  1996,  the City and  County of Denver  ("Denver")  enacted  an
ordinance   imposing   a   substantial   fee  on  any   radioactive   waste   or
radium-contaminated  material  disposed  of in the City of  Denver.  Under  this
ordinance,  Denver assessed a subsidiary of Salomon,  the S.W. Shattuck Chemical
Company, Inc.  ("Shattuck"),  $9.35 million for certain disposal already carried
out. Shattuck sued to enjoin  imposition of the fee on  constitutional  grounds.
The  United  States  also  sued,  seeking  to  enjoin  imposition  of the fee on
constitutional  grounds.  Denver  counterclaimed  and  moved  to add  SSBH  as a
defendant  for past costs.  These cases have been  consolidated  before the U.S.
District Court in Colorado,  which granted  Shattuck's  motion for a preliminary


                                   9

<PAGE>

injunction  enjoining Denver from enforcing the ordinance during the pendency of
the litigation. The parties have reached a settlement.
         The Company 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 the  Company'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 the Company's management,  none of these actions
is  expected to have a material  adverse  effect on the  consolidated  financial
condition of the Company and its subsidiaries.  
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, 1998 was 524.
    (c)  Distribution. The Partnership did not declare a distribution in 1998 or
         1997.


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<PAGE>


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, 1998,  1997,  1996, 1995, and 1994 and total assets at December 31,
1998, 1997, 1996, 1995, and 1994 were as follows:


<TABLE>
<CAPTION>

                                              1998          1997          1996          1995           1994
                                       ------------  ------------  ------------ -------------     ---------
<S>                                         <C>             <C>           <C>          <C>          <C> 
Net realized and unrealized trading
 gains (losses) net of brokerage
 commissions and clearing fees
 of $331,645, $373,144, $493,435,
 $618,168 and $828,783, respectively   $   300,001   $   895,110   $ 1,411,077   $ 1,706,320    $  (988,663)

Interest income                            180,533       213,272       202,098       256,528        238,826
                                       -----------   -----------   -----------   -----------    -----------

                                       $   480,534   $ 1,108,382   $ 1,613,175   $ 1,962,848    $  (749,837)
                                       ===========   ===========   ===========   ===========    ===========


Net income (loss)                      $   158,830   $   723,608   $ 1,141,619   $ 1,610,495    $(1,128,851)
                                       ===========   ===========   ===========   ===========    ===========

Increase (decrease) in net
 asset value per unit                  $    110.78   $    311.28   $    423.08   $    416.20    $   (250.84)
                                       ===========   ===========   ===========   ===========    ===========

Total assets                           $ 5,755,721   $ 6,503,549   $ 6,709,794   $ 6,537,230    $ 6,586,035
                                       ===========   ===========   ===========   ===========    ===========
</TABLE>

                                          11


<PAGE>


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
futures  contracts 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.  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  contracts
which are traded in sufficient volume to permit, in the opinion of the Advisors,
ease of taking and liquidating positions.
             (2)  The  Partnership   diversifies  its  positions  among  various
commodities.  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.

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<PAGE>


             (4) The Partnership does not employ the trading technique  commonly
known as  "pyramiding",  in which the  speculator  uses  unrealized  profits  on
existing 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 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

                                   13
<PAGE>


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.  (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  futures  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 General  Partner may, in its
discretion,  cause the Partnership to 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.
             (ii)   The   Partnership's   capital   consists   of  the   capital
contributions  of the  partners as  increased or decreased by gains or losses on
commodity futures trading and by expenses, interest income, redemptions of Units
and  distributions  of profits,  if any.  Gains or losses on  commodity  futures
trading  cannot be predicted.  Market moves in  commodities  are dependent  upon


                                   14

<PAGE>

fundamental and technical  factors which the  Partnership's  Advisors may or may
not be able to identify.  Partnership  expenses  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. In 1998, 335 units were redeemed for a total of
$843,006. In 1997, 264 Units were redeemed for a total of $633,737. In 1996, 502
Units were redeemed for a total of $1,036,793.
      (c)    Results of operations. For the year ended December 31, 1998 the net
asset value per unit  increased 4.1 % from  $2,695.73 to 2,806.51.  For the year
ended  December 31, 1997,  the net asset value per Unit  increased  13.1%,  from
$2,384.45 to  $2,695.73.  For the year ended  December  31, 1996,  the net asset
value per Unit increased 21.6%, from $1,961.37 to $2,384.45.
     The   Partnership   experienced   net  trading  gains  of  $631,646  before
commissions  and expenses in 1998.  Gains were primarily  attributable to in the
trading of U.S. and non-U.S.  interest rates and were partially offset by losses
in currencies, metals and indices.
     The  Partnership   experienced  net  trading  gains  of  $1,268,254  before
commissions  and  expenses in 1997.  Gains were  primarily  attributable  to the

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<PAGE>


trading of currencies, U.S. and non-U.S. interest rates, metals and indices.
                  The  Partnership  experienced  net trading gains of $1,904,512
before  commissions and expenses in 1996.  Gains were primarily  attributable to
the trading of currencies, energy products, U.S. and non-U.S. interest rates and
metals,  and were  partially  offset  by  losses  in  indices  and  agricultural
products.
                  Commodity  futures  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  Company 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  support.  This is  particularly  the  case  in a  rapidly  changing  and
increasingly  global  environment  with  increasing  transaction  volumes and an


                             16

<PAGE>

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 Company 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 Company's ability to gather, process, and
communicate  information  efficiently and securely,  without interruption,  with
customers,  among units within the Company, and in the markets where the Company
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
that assets are safeguarded,  that  transactions are executed in accordance with
management's   authorization,   and  that  financial   information  utilized  by


                                 17

<PAGE>


management  and  communicated  to  external  parties,  including  the  Company's
stockholder,  creditors,  and regulators,  is free of material  errors.  
Risk of Computer System Failure (Year 2000 Issue)
                  The Year 2000 issue is the  result of  existing  computers  in
many  businesses  using  only two digits to  identify a year in the date  field.
These  computers and programs,  often referred to as  "information  technology,"
were  designed  and  developed  without  considering  the impact of the upcoming
change in the century. If not corrected,  many computer  applications could fail
or create  erroneous  results at the Year 2000.  Such systems and  processes are
dependent on correctly identifying dates in the next century.
                  The  General   Partner   administers   the   business  of  the
Partnership through various systems and processes maintained by SSBH and SSB. In
addition, the operation of the Partnership is dependent on the capability of the
Partnership's  Advisors,  the brokers and  exchanges  through which the Advisors
trade, and other third parties to prepare adequately for the Year 2000 impact on
their  systems  and  processes.   The  Partnership  itself  has  no  systems  or
information technology applications relevant to its operations.
                  The General Partner,  SSB, SSBH and their parent  organization
Citigroup Inc. have  undertaken a  comprehensive,  firm-wide  evaluation of both
internal and external  systems  (systems  related to third parties) to determine
the  specific  modifications  needed to prepare for the year 2000.  The combined
Year 2000 program in SSB is expected to cost approximately $140 million over the
four years  from 1996  through  1999,  and  involve  over 450 people at the peak
staffing level. SSB expects to complete all compliance and certification work by


                              18

<PAGE>


June 1999. At this time,  over 95% of SSBH systems have completed the correction
process  and are Year 2000  compliant.  Over 73% of the systems  have  completed
certification testing. The Year 2000 project at SSBH remains on schedule.
                  The systems and components  supporting  the General  Partner's
business that require  remediation have been identified and  modifications  have
been made to bring them into Year 2000 compliance.  Testing of these systems was
completed in the fourth  quarter of 1998.  Final testing and  certification  are
expected to be completed by the end of the first quarter of 1999.
                  This expenditure and the General Partner's resources dedicated
to the preparation for Year 2000 do not and will not have  a  material impact on
the operation or results of the Partnership.
                  The General Partner has requested and received statements from
the Advisors that each has undertaken its own evaluation and  remediation  plans
to identify any of its  computer  systems  that are Year 2000  vulnerable.  Each
Advisor has confirmed it is taking immediate  actions to remedy those systems as
necessary. The General Partner will continue to inquire into and to confirm each
Advisor's readiness for Year 2000.
                  The most likely and most  significant  risk to the Partnership
associated  with the lack of Year  2000  readiness  is the  failure  of  outside
organizations,  including the commodities exchanges, clearing organizations,  or


                             19

<PAGE>

regulators  with which the  Partnership  interacts  to  resolve  their Year 2000
issues in a timely  manner.  This risk could  involve the inability to determine
the value of the  Partnership  at some  point in time and would  make  effecting
purchases  or  redemptions  of Units in the  Partnership  infeasible  until such
valuation was determinable.
                  SSB has  successfully  participated in  industry-wide  testing
including:  The Streetwide  Beta Testing  organized by the  Securities  Industry
Association  (SIA),  a  government  securities  clearing  test with the  Federal
Reserve Bank of New York,  The  Depository  Trust  Company,  and The Bank of New
York,  and Futures  Industry  Association  participants  test.  The firm is also
participating in the streetwide testing which commenced in March 1999.
                  It is possible that problems may occur that would require some
time to repair.  Moreover,  it is possible that problems will occur outside SSBH
for which  SSBH could  experience  a  secondary  effect.  Consequently,  SSBH is
preparing   comprehensive,   written   contingency  plans  so  that  alternative
procedures  and a  framework  for  critical  decisions  are  defined  before any
potential crisis occurs.
               The goal of Year 2000 contingency  planning is a set of alternate
procedures to be used in the event of a critical  system failure or a failure by
a supplier or  counterparty.  Planning work was completed in December  1998, and
testing of alternative  procedures  will be conducted in the first half of 1999.
European  Economic  and Monetary  Union 
European  Economic and  Monetary  Union  ("EMU") is an historic  event in Europe
involving the unification of currency in eleven major countries. The new unified

                             20

<PAGE>


currency,  called the Euro,  is expected  to compete on a global  scale with the
U.S. Dollar and the Japanese Yen.

     Introduction  of the Euro  began on  January  1,  1999,  when the  European
Central Bank assumed control of the monetary policy for  participating  nations.
Exchange  rates between the  participating  countries were fixed and the Euro is
available for  electronic  payments.  Also on January 1, 1999,  various  issuers
re-denominated  their  securities and  harmonized  bond payment  conventions.  A
three-year  transition  period began on January 1, 1999,  after which Euro notes
and coins will be issued by the European  Central  Bank and national  currencies
will be phased out.
     The Company completed a successful conversion to the Euro and has commenced
trading and settlement in the new currency with no major exceptions.
     As the  preceding  risks are  largely  interrelated,  so are the  Company's
actions to mitigate and manage them. The Company's Chief Administrative  Officer
is  responsible  for,  among other things,  oversight of global  operations  and
technology.  An  essential  element in  mitigating  the risks noted above is the
optimization  of information  technology and the ability to manage and implement
change.  To be an effective  competitor in an  information-driven  business of a
global nature  requires the  development  of global  systems and databases  that
ensure increased and more timely access to reliable data.

                                     21
<PAGE>


                (e) New Accounting Pronouncements
                In June 1998, the Financial  Accounting  Standards  Board issued
SFAS 133,  Accounting for Derivative  Instruments and Hedging  Activities ("SFAS
133").  SFAS 133  requires  that an  entity  recognize  all  derivatives  in the
statement of financial  condition and measure those  instruments  at fair value.
SFAS 133 is effective for fiscal year beginning  after June 15, 1999 SFAS 133 is
expected  to  have  no  material  impact  on  the  financial  statements  of the
Partnership as all commodity  interests are recorded at fair value, with changes
therein reported in the statement of income and expenses. 
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
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,


                                22
<PAGE>

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  included 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. 
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


                                  23

<PAGE>

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
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.


                                   24

<PAGE>


         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.
         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.
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, 1998. All
open position  trading risk exposures of the  Partnership  have been included in
calculating  the  figures  set  forth  below.  As  of  December  31,  1998,  the
Partnership's total capitalization was $5,545,665.

                        December 31, 1998
                                        % of Total
Market Sector        Value at Risk    Capitalization

Currencies
- OTC Contracts           $ 63,180      1.14%
Interest rates U.S.         82,600      1.49%
Interest rates Non-U.S     355,460      6.41%
Metals                    $ 12,800      0.23%
                          --------   --------

Total                     $514,040      9.27%
                          ========   =========

                                 25

<PAGE>

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 margin requirement  (margin  requirements
generally  range  between  2% and 15% of  contract  face  value)  as well as 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.

                                26
<PAGE>



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.


                                 27
<PAGE>

         The  following   were  the  primary   trading  risk  exposures  of  the
Partnership as of December 31, 1998, by market sector.
         Interest Rates.  Interest rate risk is the principal market exposure of
the  Partnership.  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 remain the primary market  exposure of the  Partnership  for
the foreseeable future. The changes in interest rates which have the most effect
on the  Partnership are changes in long-term,  as opposed to short-term,  rates.
Consequently,  even a material  change in  short-term  rates  would have  little
effect on the Partnership were the medium- to long-term rates to remain steady.
         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 Partnership's  major exposures have typically
been in the dollar/yen,  dollar/mark  and  dollar/pound  positions.  The General
Partner does not anticipate that the risk profile of the Partnership's  currency


                                28
<PAGE>

sector will change significantly in the future, although it is difficult at this
point to predict  the effect of the  introduction  of the Euro on the  Advisors'
currency trading strategies.  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.
         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 by law  limited  to futures on  broadly  based  indices.  As of
December 31, 1998,  the  Partnership's  primary  exposures were in the Financial
Times (England),  Nikkei (Japan) and SFE (Australian) 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 aluminum,  copper and tin, the  principal
market  exposures  of the  Partnership  have  consistently  been in the precious


                                    29
<PAGE>

metals,  gold and silver.  The  Advisor's  gold  trading  has been  increasingly
limited due to the long-lasting and mainly non-volatile  decline in the price of
gold over the last 10-15 years.  However,  silver prices have remained  volatile
over  this  period,  and the  Advisor  has from time to time  taken  substantial
positions as they have perceived market  opportunities  to develop.  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, 1998.
         Foreign Currency Balances.  The Partnership's  primary foreign currency
balances are in Japanese yen,  German marks,  British  pounds and French francs.
The  Advisor  regularly  converts  foreign  currency  balances  to dollars in an
attempt to control the Partnership's non-trading risk.
Qualitative Disclosures Regarding Means of Managing Risk Exposure
         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  programs  traded  on  behalf  of the  Partnership.
However,  any such  intervention  would be a highly unusual  event.  The General


                                 30
<PAGE>

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.


                                   31

<PAGE>



Item 8.   Financial Statements and Supplementary Data.




                      SHEARSON SELECT ADVISORS FUTURES FUND
                          INDEX TO FINANCIAL STATEMENTS


                                                             Page
                                                            Number

   Oath or Affirmation                                        F-2

   Report of Independent Accountants.                         F-3
   Financial Statements:
   Statement of Financial Condition at
   December 31, 1998 and 1997.                                F-4

   Statement of Income and Expenses for
   the years ended December 31, 1998,
   1997 and 1996                                              F-5

   Statement of Partners' Capital for the
   years ended December 31, 1998, 1997 and
   1996.                                                      F-6

   Notes to Financial Statements.                          F-7 -F-11





                                                         F-1

                                                      Continued


<PAGE>

  To The Limited Partners of
                      Shearson Select Advisors Futures Fund

To the best of the  knowledge  and belief of the  undersigned,  the  information
contained herein is accurate and complete.







By:  Daniel A. Dantuono, Chief Financial Officer
     Smith Barney Futures Management Inc.
     General Partner, Shearson Select
      Advisors Futures Fund

Smith Barney Futures Management Inc.
390 Greenwich Street
1st Floor
New York, N.Y. 10013
212-723-5424






                                 F-2


















<PAGE>




                         
                        Report of Independent Accountants

To the Partners of
  Shearson Select Advisors Futures Fund:


In our  opinion,  the  accompanying  statement of  financial  condition  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 at December  31,  1998 and 1997,  and the results of its
operations for each of the three years in the period ended December 31, 1998, in
conformity  with  generally  accepted  accounting  principles.  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  generally  accepted  auditing  standards  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 the opinion expressed above.


                                                     PricewaterhouseCoopers LLP


New York, New York
February 26, 1999

                            F-3

<PAGE>


                      Shearson Select Advisors Futures Fund
                         Statement of Financial Condition
                            December 31, 1998 and 1997
<TABLE>
<CAPTION>

                                                  1998        1997
<S>                                              <C>          <C>  

Assets:
Equity in commodity futures
     trading account:
   Cash (Note 3b)                           $5,145,243   $6,178,150
   Net unrealized appreciation on open
     futures contracts                         596,728      306,078
                                            ----------   ----------
                                             5,741,971    6,484,228
Interest receivable                             13,750       19,321
                                            ----------   ----------
                                            $5,755,721   $6,503,549
                                            ----------   ----------


Liabilities and Partners' Capital:
Liabilities:
  Accrued expenses:
   Commissions                              $   28,779   $   32,518
   Management fees                              18,998       21,498
   Other                                        27,567       21,583
   Incentive fees                                 --         68,714
  Redemptions payable (Note 5)                 134,712      129,395
                                            ----------   ----------
                                               210,056      273,708
                                            ----------   ----------
Partners' capital (Notes 1, 5, and 6):
  General Partner, 34 Unit equivalents
   outstanding in 
   1998 and 1997                                95,421       91,655
Limited Partners, 1,942 and 2,277 Units  
   outstanding in 1998 and 1997,
   respectivelyof Limited
   Partnership Interest                      5,450,244    6,138,186
                                            ----------   ----------
                                             5,545,665    6,229,841
                                            ----------   ----------
                                            $5,755,721   $6,503,549
                                            ==========   ==========

</TABLE>
See notes to financial statements.

                                F-4
<PAGE>


                      Shearson Select Advisors Futures Fund
                         Statement of Income and Expenses
                               for the Years Ended
                         December 31, 1998, 1997 and 1996
<TABLE>
<CAPTION>
 
                                   1998           1997            1996
<S>                                <C>             <C>            <C>  

Income:
  Net gains on trading
   of commodity interests:
   Realized gains on    
    closed positions         $   340,996    $ 1,071,889    $ 2,091,285
   Change in unrealized 
    gains/losses on
    open positions               290,650        196,365       (186,773)
                              -----------    -----------    -----------
                                 631,646      1,268,254      1,904,512
  Less,
   Brokerage commissions
   including clearing fees
   of $4,463, $4,856 and
   $6,720, respectively
   (Note 3b)                    (331,645)      (373,144)      (493,435)
                             -----------    -----------    -----------
  Net realized and
   unrealized gains              300,001        895,110      1,411,077
  Interest income(Note 3b)       180,533        213,272        202,098
                             -----------    -----------    -----------
                                 480,534      1,108,382      1,613,175
                             -----------    -----------    -----------
   
Expenses:
  Management fees (Note 3a)      215,929        241,865        240,634 
  Incentive  fees (Note 3a)       58,423        101,180        175,680
  Other expenses                  47,352         41,729         55,242
                             -----------    -----------    -----------
                                 321,704        384,774        471,556
                             -----------    -----------    -----------
Net income                   $   158,830    $   723,608    $ 1,141,619
                             ===========    ===========    ===========
Net income per Unit
   of Limited Partnership
   Interest and General
   Partner Unit equivalent
   (Notes 1 and 6)           $    110.78    $    311.28    $    423.08
                             ===========    ===========    ===========
</TABLE>

  See notes to financial statements.

                                         F-5
<PAGE>


                      Shearson Select Advisors Futures Fund
                      Statement of Partners' Capital for the
                   Years Ended December 31, 1998, 1997 and 1996
<TABLE>
<CAPTION>

                          Limited          General
                         Partners          Partner        Total
<S>                         <C>                <C>         <C> 

Partners' capital at
   December 31, 1995      $ 5,968,457    $    66,687   $ 6,035,144
Net income                  1,127,235         14,384     1,141,619
Redemption of 502
   Units of  Limited
   Partnership Interest    (1,036,793)          --      (1,036,793)
                          -----------    -----------   -----------

Partners' capital at
   December 31, 1996        6,058,899         81,071     6,139,970
Net income                    713,024         10,584       723,608
Redemption of 264
   Units of Limited
   Partnership Interest      (633,737)          --        (633,737)
                          -----------    -----------   -----------
Partners' capital at
   December 31, 1997        6,138,186         91,655     6,229,841
Net income                    155,064          3,766       158,830
Redemption of 335
   Units of Limited
   Partnership Interest      (843,006)          --        (843,006)
                          -----------    -----------   -----------
Partners' capital at
   December 31, 1998      $ 5,450,244    $    95,421   $ 5,545,665
                          ===========    ===========   ===========
</TABLE>


See notes to financial statements.

                                      F-6

<PAGE>


                            Shearson Select Advisors
                                Futures Fund L.P.
                          Notes to Financial Statements


1.  Partnership Organization:

    Shearson  Select  Advisors  Futures  Fund (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 public offering.

     Smith  Barney  Futures  Management  Inc.  acts as the general  partner (the
     "General   Partner")  of  the  Partnership.   On  September  1,  1998,  the
     Partnership's  commodity  broker,  Smith Barney  Inc.,  merged with Salomon
     Brothers Inc and changed its name to 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. ("SSBH"), which is the sole owner of
     SSB. On October 8, 1998, Travelers Group Inc. merged with Citicorp Inc. and
     changed its name to Citigroup  Inc.  SSBH 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 his 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 values on commodity  interests 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 his share of the  Partnership's  income
       and expenses.

    c. The  preparation  of financial  statements in conformity  with  generally
       accepted accounting  principles requires management to make estimates and
       assumptions that affect the reported amounts of 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.
                                      F-7
<PAGE>

3.  Agreements:

    a. Management Agreement and Limited Partnership Agreement:

       Under  the  Partnership's  Limited  Partnership  Agreement,  the  General
       Partner is permitted to delegate its authority to trade the Partnership's
       assets to one or more trading  advisors and to compensate  those advisors
       from the General  Partner's  own funds.  The General  Partner  receives a
       monthly  management  fee of 1/3 of 1% (4% per year) of the  month-end Net
       Assets of the  Partnership  managed by the Advisor,  and an incentive fee
       payable quarterly equal to 15% of Net Trading Profits, as defined, of the
       Partnership.

       At December 31, 1998, the General Partner had a Management Agreement with
       John W. Henry & Company,  Inc. (the "Advisor").  The Management Agreement
       requires the General  Partner to pay the Advisor a management fee payable
       monthly of 4% per annum of the Net Assets of the  Partnership  managed by
       the Advisor and an incentive  fee payable  quarterly  equal to 10% of Net
       Trading  Profits,  as  defined,  earned on the Net Assets  managed by the
       Advisor.

    b. 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 .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 SSB 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 pays for
       all clearing fees but not floor brokerage.  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, 1998
       and 1997,  the amount of cash held for margin  requirements  was $547,430
       and  $747,392,  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
    activity are shown in the statement of income and expenses.

                                   F-8

<PAGE>



    All of the commodity interests owned by the Partnership are held for trading
    purposes.  The fair value of these commodity  interests,  including  options
    thereon,  if  applicable,  at December  31, 1998 and 1997 was  $596,728  and
    $306,078,  respectively,  and the average  fair value  during the years then
    ended,  based  on  a  monthly   calculation,   was  $352,056  and  $331,109,
    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 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,  provided  that  no
    redemption may result in the limited  partner holding fewer than three Units
    after such redemption is effected.

6.  Net Asset Value Per Unit:

    Changes in the net asset value per Unit of Partnership  interest  during the
    years ended December 31, 1998, 1997, and 1996 were as follows:


<TABLE>
<CAPTION>

                                        1998         1997        1996
<S>                                     <C>         <C>            <C> 
   
   Net realized and
    unrealized gains                $  177.52   $   382.44   $   520.78
   Interest income                      83.33        86.74        69.77
   Expenses                           (150.07)     (157.90)     (167.47)
                                    ---------    ---------    ---------
   Increase for year                   110.78       311.28       423.08
   Net asset value per Unit,
    beginning of year                2,695.73     2,384.45     1,961.37
                                    ---------    ---------    ---------
   Net asset value per Unit,
   end of year                      $2,806.51   $ 2,695.73   $ 2,384.45
                                    =========    =========    =========
  </TABLE>

                                                     

7.  Financial Instrument Risks:

    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, 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 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.

                                F-9

<PAGE>



    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 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 notional or contractual amounts of these instruments, while not recorded
    in the  financial  statements,  reflect  the  extent  of  the  Partnership's
    involvement in these instruments.

    At  December  31,  1998,  the  notional  or   contractual   amounts  of  the
    Partnership's   commitment  to  purchase  and  sell  these  instruments  was
    $34,798,228 and $36,115,123,  respectively.  All of these instruments mature
    within one year of  December  31,  1998.  However,  due to the nature of the
    Partnership's  business,  these instruments may not be held to maturity.  At
    December  31,  1998,  the  fair  value  of  the  Partnership's  derivatives,
    including options thereon, if applicable, was $596,728, as detailed below.


                              December 31, 1998
                            Notional or Contractual
                             Amount of Commitments
<TABLE>
<CAPTION>
 
                          To Purchase      To Sell      air Value
<S>                           <C>            <C>          <C>   
       
Currencies
 -OTC Contracts          $ 2,891,770   $   921,439   $    28,455
Interest Rate U.S.         5,461,344     6,169,050       (41,469)
Interest Rate Non-U.S     26,445,114    28,562,174       610,002
Metals                          --         462,460          (260)
                         -----------   -----------   -----------
Totals                   $34,798,228   $36,115,123   $   596,728
                         ===========   ===========   ===========
</TABLE>
                                F-10
  <PAGE>


    At  December  31,  1997,  the  notional  or   contractual   amounts  of  the
    Partnership's   commitment  to  purchase  and  sell  these  instruments  was
    $27,377,209  and  $42,685,981,  respectively,  and  the  fair  value  of the
    Partnership's  derivatives,  including options thereon,  if applicable,  was
    $306,078, as detailed below.



                                     December 31, 1997
                                   Notional or Contractual
                                   Amount of Commitments
 <TABLE>
<CAPTION>

                        To Purchase        To Sell     Fair Value
<S>                            <C>          <C>             <C> 
Currencies
 -OTC Contracts         $ 6,940,963   $13,511,341   $   (27,629)
Interest Rate U.S.        5,864,656          --          46,500
Interest Rate Non-U.S    13,830,230    26,125,122        16,152
Metals                      741,360     2,480,550       224,630
Indices                        --         568,968        46,425
                        -----------   -----------   -----------
Totals                  $27,377,209   $42,685,981   $   306,078
                        ===========   ===========   ===========
</TABLE>



8.  New Accounting Pronouncements:

    In June 1998,  the  Financial  Accounting  Standards  Board issued SFAS 133,
    Accounting for Derivative  Instruments and Hedging  Activities ("SFAS 133").
    SFAS 133 requires that an entity  recognize all derivatives in the statement
    of financial condition and measure those instruments at fair value. SFAS 133
    is effective  for fiscal years  beginning  after June 15, 1999.  SFAS 133 is
    expected  to have no  material  impact on the  financial  statements  of the
    Partnership  as all  commodity  interests  are recorded at fair value,  with
    changes therein reported in the statement of income and expenses.



                               F-11


<PAGE>



Item 9.   Changes  in  and  Disagreements  with  Accountants  on  Accounting and
          Financial Disclosure.
          During  the  last  two  fiscal   years  and  any   subsequent  interim
period, no independent accountant who was engaged as the principal accountant to
audit the Partnership's financial statements has resigned or was dismissed.
                                    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 Inc.Investment
decisions are made by John W. Henry & Company, Inc. (The "Advisor").
Item 11.  Executive Compensation.
          The Partnership has no directors or officers.  Its affairs are managed
by Smith Barney Futures  Management Inc., 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, 1998,  SSB  earned  $331,645  in  brokerage
commissions and  clearing  fees. Management fees paid or payable to  the General
Partner were  $215,929 and the General Partner also earned  $58,423 in incentive
fees in 1998. The Advisor was compensated for management and incentive fees from
the General Partners own funds.

                                  32
<PAGE>


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 (1.7%) as of December 31,
1998.
                 (c).  Changes in control.  None.
Item 13.  Certain Relationships and Related Transactions.
                  Salomon Smith Barney Inc. and Smith Barney Futures  Management
Inc.  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 are set forth under "Item 1. Business." and "Item 11.  Executive
Compensation."
                                     PART IV
Item 14.   Exhibits, Financial Statement Schedules, and Reports on Form 8-K.
         (a) (1)           Financial Statements:
                           Statement of Financial Condition at December 31, 1998
                           and 1997.
                           Statement  of Income and Expenses for the years ended
                           December  31,  1998,  1997  and  1996.


                                   33

<PAGE>

                         Statement  of  Partners'   Capital  for the years ended
                         December  31, 1998, 1997 and 1996.
               (2)       Financial Statement Schedules: Financial Data Schedule
                         for the year ended December 31, 1998.
               (3)       Exhibits:
               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  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 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)




                                        34
<PAGE>


                10.4(c)- Management   Agreement   between   Hayden  Commodities
                         Corp. and Cresta Commodity  Management Inc. (previously
                         filed)
                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).


                                      35
<PAGE>


           10.4(m)- Management   Agreement   between  Hayden  Commodities Corp.
                    and Sunrise  Commodities,  Inc.  (previously  filed). 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).

                                       36
<PAGE>


   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).



                                             37
<PAGE>


        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).   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)




                                           38
<PAGE>


             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).
             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).


                                         39

<PAGE>

             10.30- Letter  extending  Management  Agreement  with John W. Henry
                    and Company,  Inc. for 1998 (filed  herein). 

        (b) Reports on  8-K: None Filed.



                                     40

<PAGE>



     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











                                    41
<PAGE>





                                   SIGNATURES

          Pursuant  to the  requirements  of Section 13 or 15(d) the  Securities
Exchange Act of 1934, the Registrant has duly caused this Registration Statement
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 24th day of March 1999.

SHEARSON SELECT ADVISORS FUTURES FUND


By:       Smith Barney Futures Management Inc.
          (General Partner)



By        /s/        David J. Vogel
          David J. Vogel, President & Director


          Pursuant to the  requirements of the Securities  Exchange Act of 1934,
this  Registration  Statement has been signed below by the following  persons in
the capacities and on the date indicated.



/s/     David J. Vogel                         /s/     Jack H. Lehman III
David J. Vogel,                                        Jack H. Lehman III
Director, Principal Executive                        Chairman and Director
Officer and President



/s/      Michael Schaefer                     /s/    Daniel A. Dantuono
Michael Schaefer                                     Daniel A. Dantuono
Director                                        Treasurer, Chief Financial
                                                   Officer and Director



/s/ Daniel R. McAuliffe, Jr.                  /s/     Steve J. Keltz
Daniel R. McAuliffe, Jr.                              Steve J. Keltz
Director                                        Secretary and Director



/s/   Shelley Ullman
Shelley Ullman
Director


                                        42

<PAGE>