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 year ended December 31, 2003

Commission File Number 0-16627


                   SHEARSON SELECT ADVISORS FUTURES FUND L.P.
             (Exact name of registrant as specified in its charter)


                      New York                          13-3405705
         (State or other jurisdiction of             (I.R.S. Employer
          incorporation or organization)           Identification No.)

                        c/o Citigroup Managed Futures LLC
                           399 Park Avenue. - 7th Fl.
                            New York, New York 10022
              (Address and Zip Code of principal executive offices)

                                 (212) 559-2011
              (Registrant's telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act: None

Securities registered pursuant to Section 12(g) of the Act: Redeemable 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 to Item 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]

Indicated  by check mark  whether the  registrant  is an  accelerated  filer (as
defined in Rule 12b-2 of the Act).

                                                     Yes         No  X
                                                                    ----

Limited Partnership  Redeemable Units with an aggregate value of $4,440,822 were
outstanding  and  held by  non-affiliates  as of the  last  business  day of the
registrants most recently completed second fiscal quarter.

As of  February  29,  2004,  1,108  Limited  Partnership  Redeemable  Units were
outstanding.

                       DOCUMENTS INCORPORATED BY REFERENCE

                                      None

<PAGE>



                                     PART 1

Item 1.  Business.

     (a) General development of business.  Shearson Select Advisors Futures Fund
L.P. (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  was  authorized  to  sell  50,000   redeemable   units  of  Limited
Partnership Interest  ("Redeemable Units"). The Partnership commenced trading on
July 1, 1987.  Redemptions  for the years ended December 31, 2003, 2002 and 2001
are reported in the  Statements of Partners'  Capital on page F-9 under "Item 8.
Financial Statements and Supplementary Data."

     The  Partnership  will  be  liquidated  upon  the  first  to  occur  of the
following:  December 31, 2007; a decline in net asset value per Redeemable  Unit
on any business  day after  trading to less than $350 per unit; 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  (the  "Limited
Partnership Agreement").

     Citigroup  Managed  Futures LLC,  formerly Smith Barney Futures  Management
LLC, acts as the general partner (the "General Partner") of the Partnership. The
Partnership's  commodity  broker  is  Citigroup  Global  Markets  Inc.  ("CGM"),
formerly  Salomon Smith Barney Inc. CGM is an affiliate of the General  Partner.
The General  Partner is wholly owned by Citigroup  Global  Markets  Holding Inc.
("CGMHI"),  formerly Salomon Smith Barney Holdings Inc., which is the sole owner
of CGM. CGMHI is a wholly owned subsidiary of Citigroup Inc. ("Citigroup")

     The Partnership's  trading of futures,  forwards and options contracts,  if
applicable,  on  commodities  is done  primarily  on United  States  of  America
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 CGM.

     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 an incentive fee payable quarterly equal to 5% 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.  ("JWH"  or the
"Advisor").  The Advisor is not affiliated  with the General Partner or CGM. The
Advisor is not responsible for the organization or operation of the Partnership.
Reference  should be made to "Item 8.  Financial  Statements  and  Supplementary
Data." for further  information  regarding the Advisor  included in the Notes to
Financial Statements.

     The  Management  Agreement  requires the  Partnership  to pay the Advisor a
monthly  management  fee of 1/3 of 1% (4% per  year)  of  month-end  Net  Assets
managed by the  Advisor.  Month-end  Net Assets for the  purpose of  calculating
management fees are Net Assets, as defined in the Limited Partnership Agreement,
prior to the  reduction of  redemptions  and incentive  fees.  In addition,  the
Partnership is obligated to pay an incentive fee equal to 10% of the New Trading
Profits  (as  defined  in the  Management  Agreement)  earned on the Net  Assets
managed by the Advisor during each quarter.

     Pursuant to the terms of the customer  agreement entered into with CGM (the
"Customer  Agreement"),  the Partnership is obligated to pay a monthly commodity
brokerage fee.  Effective  January 1, 1997, the  Partnership  pays CGM 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. Month-end Net Assets for the purpose
of calculating commissions are Net Assets, as defined in the Limited Partnership

                                       2
<PAGE>

Agreement,  prior to the reduction of accrued expenses and redemptions  payable.
The  Partnership  will pay for clearing fees, but not for floor  brokerage which
will be borne by CGM. Reference should be made to "Item 8. Financial  Statements
and  Supplementary  Data."  for  further  information  regarding  the  brokerage
commissions included in the Notes to Financial Statements.

     In addition,  CGM pays 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 between
the  Partnership and CGM gives the Partnership the legal right to net unrealized
gains and losses. 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
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, 2003, 2002, 2001,
2000  and 1999 are set  forth  under  "Item 6.  Selected  Financial  Data."  The
Partnership's capital as of December 31, 2003 was $4,493,233.

     (c) Narrative description of business.

         See Paragraphs (a) and (b) above.

         (i) through (xii) - Not applicable.

         (xiii) - The Partnership has no employees.

     (d) Financial  Information About Geographic Areas. The Partnership does not
engage in sales of goods or services or own any long lived assets, and therefore
this item is not applicable.

     (e)  Available  Information.  The  Partnership  does not  have an  Internet
address.  The Partnership will provide paper copies of its annual report on Form
10-K,  quarterly  reports  on Form  10-Q,  current  reports  on Form 8-K and any
amendments to these reports free of charge upon request.

Item 2. Properties.

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

                                       3
<PAGE>

Item 3.   Legal Proceedings.

     This section  describes  the major pending  legal  proceedings,  other than
ordinary routine  litigation  incidental to the business,  to which CGMHI or its
subsidiaries is a party or to which any of their property is subject.  There are
no material legal  proceedings  pending  against the  Partnership or the General
Partner.

     CGM is a New York  corporation  with its principal place of business at 388
Greenwich Street, New York, New York 10013. CGM is registered as a broker-dealer
and futures  commission  merchant  ("FCM"),  and provides futures  brokerage and
clearing  services  for  institutional  and retail  participants  in the futures
markets.  CGM and its  affiliates  also  provide  investment  banking  and other
financial services for clients worldwide.

     There have been no  administrative,  civil or criminal actions pending,  on
appeal or concluded  against CGM or any of its individual  principals within the
past five years that  management  believes  may have a material  impact on CGM's
ability to act as an FCM. In the ordinary course of its business, CGM is a party
to various claims and regulatory inquiries.

Settlement of Certain Legal and Regulatory Matters

     On April  28,  2003,  CGM  announced  final  agreements  with the SEC,  the
National Association of Securities Dealers ("NASD"), the New York Stock Exchange
("NYSE")  and the New York  Attorney  General to resolve on a civil basis all of
their  outstanding  investigations  into its  research  and IPO  allocation  and
distribution practices (the "Research  Settlement").  To effectuate the Research
Settlement,  the SEC filed a Complaint  and Final  Judgment in the United States
District Court for the Southern District of New York. On October 31, 2003, final
judgment was entered against CGM and nine other  investment  banks. The NASD has
accepted the Letter of Acceptance,  Waiver and Consent  entered into with CGM in
connection with the Research Settlement. In May 2003, the NYSE advised CGMI that
the Hearing Panel's Decision, in which it accepted the Research Settlement,  had
become  final.  As required by the  Research  Settlement,  CGMI has entered into
separate settlement  agreements with 48 states and various U.S.  territories and
is in settlement negotiations with the remaining 2 states.

Enron Corp.

     In April 2002, Citigroup was named as a defendant along with, among others,
commercial and/or  investment  banks,  certain current and former Enron officers
and directors,  lawyers and accountants in a putative  consolidated class action
complaint  that was filed in the United States  District  Court for the Southern
District of Texas seeking unspecified damages. The action,  brought on behalf of
individuals who purchased  Enron  securities  (NEWBY,  ET AL. V. ENRON CORP., ET
AL.), alleges violations of Sections 11 and 15 of the Securities Act of 1933, as
amended, and Sections 10(b) and 20(a) of the Securities Exchange Act of 1934, as
amended.  Citigroup's  motion to dismiss  the  complaint  was denied in December
2002,  and Citigroup  filed an answer in January  2003. In May 2003,  plaintiffs
filed an amended  consolidated  class action  complaint,  and Citigroup  filed a
motion  to  dismiss  in  June  2003.   Plaintiffs   filed  a  motion  for  class
certification in May 2003.  Discovery is proceeding pending the Court's decision
on class certification.

     Additional  actions have been filed  against  Citigroup  and certain of its
affiliates,  including  CGM,  along with other  parties,  including  (i) actions
brought by a number of pension  and  benefit  plans,  investment  funds,  mutual
funds, and other individual and  institutional  investors in connection with the
purchase  of  Enron  and  Enron-related  equity  and debt  securities,  alleging
violations  of  various  state  and  federal   securities   laws,  state  unfair

                                       4
<PAGE>

competition statutes,  common law fraud,  misrepresentation,  unjust enrichment,
breach of fiduciary duty, conspiracy, and other violations of state law; (ii) an
action by banks that  participated  in two Enron  revolving  credit  facilities,
originally  alleging fraud, gross negligence,  breach of implied duties,  aiding
and abetting and civil conspiracy in connection with defendants'  administration
of a credit facility with Enron; the Court granted Citigroup's motion to dismiss
with respect to all claims except for certain  claims of aiding and abetting and
civil  conspiracy;  (iii) an action brought by several funds in connection  with
secondary market purchases of Enron debt securities,  alleging violations of the
federal  securities law,  including Section 11 of the Securities Act of 1933, as
amended, and claims for fraud and  misrepresentation;  (iv) a series of putative
class  actions  by  purchasers  of  NewPower  Holdings  common  stock,  alleging
violations of the federal securities law, including Section 11 of the Securities
Act of 1933,  as amended,  and Section 10(b) of the  Securities  Exchange Act of
1934,  as  amended;  (v) a putative  class  action  brought by clients of CGM in
connection with research reports concerning Enron,  alleging breach of contract;
(vi) an action  brought by a retirement  and health  benefits plan in connection
with the  purchase  of  certain  Enron  notes,  alleging  violation  of  federal
securities law,  including Section 11 of the Securities Act of 1933, as amended,
violations of state securities and unfair  competition law, and common law fraud
and breach of fiduciary duty; (vii) an action brought by the Attorney General of
Connecticut  in  connection  with  various  commercial  and  investment  banking
services  provided  to Enron;  (viii) an action  brought  by  purchasers  in the
secondary  market of Enron  bank  debt,  alleging  claims  for common law fraud,
conspiracy,  gross negligence,  negligence and breach of fiduciary duty; (ix) an
action  brought by an  investment  company,  alleging  that  Enron  fraudulently
induced  it to  enter  into a  commodity  sales  contract;  (x)  five  adversary
proceedings  filed by Enron in its chapter 11 bankruptcy  proceedings to recover
alleged  preferential  payments and fraudulent  transfers  involving  Citigroup,
certain of its affiliates and other entities,  and to disallow or to subordinate
claims  that  Citigroup  and other  entities  have  filed  against  Enron;  (xi)
third-party  actions  brought by former Enron officers and  directors,  alleging
violation of state  securities and other laws and a right to  contribution  from
Citigroup,  in  connection  with claims  under state  securities  and common law
brought  against the officers and  directors  and others;  and (xii) a purported
class action brought on behalf of Connecticut municipalities, alleging violation
of state statutes,  conspiracy to commit fraud,  aiding and abetting a breach of
fiduciary  duty  and  unjust  enrichment.  Several  of  these  cases  have  been
consolidated or coordinated with the NEWBY action and are now generally inactive
pending the Court's decision on the pending motion on class certification.

Dynegy Inc.

     On June 6, 2003,  the  complaint in a  pre-existing  putative  class action
pending in the United States  District Court for the Southern  District of Texas
(IN RE:  DYNEGY INC.  SECURITIES  LITIGATION)  brought by purchasers of publicly
traded debt and equity  securities of Dynegy Inc. was amended to add  Citigroup,
Citibank and CGMI as defendants.  The plaintiffs  allege  violations of Sections
10(b) and 20(a) of the Securities Exchange Act of 1934, as amended,  against the
Citigroup defendants.

WorldCom, Inc.

     Citigroup,  CGM and  certain  executive  officers  and  current  and former
employees have been named as defendants--along  with twenty-two other investment
banks,  certain  current  and  former  WorldCom  officers  and  directors,   and
WorldCom's former  auditors--in a consolidated class action brought on behalf of
individuals and entities who purchased or acquired publicly traded securities of
WorldCom  between  April  29,  1999  and June 25,  2002  (IN RE:  WORLDCOM  INC.

                                       5
<PAGE>

SECURITIES  LITIGATION).  The class action complaint  asserts claims against CGM
under (i) Sections 11 and 12(a)(2) of the Securities Act of 1933, as amended, in
connection  with certain bond offerings in which it served as  underwriter,  and
(ii)  Sections  10(b)  and  20(a) of the  Securities  Exchange  Act of 1934,  as
amended,  and Rule 10b-5  promulgated  under  Section  10(b),  alleging  that it
participated  in  the  preparation   and/or  issuance  of  misleading   WorldCom
registration  statements and disseminated misleading research reports concerning
WorldCom  stock.  On May 19, 2003,  the Court denied CGM's motion to dismiss the
consolidated class action complaint.  On October 24, 2003, the Court granted the
plaintiffs'  motion for class  certification.  On December 31, 2003,  the United
States Court of Appeals for the Second Circuit  granted CGM's  petition  seeking
leave for an interlocutory appeal of the class certification order. The District
Court has scheduled trial to begin in January 2005.

     Pursuant to an order entered May 28, 2003, the District Court  consolidated
approximately  seventy  individual  actions  with the class  action for pretrial
proceedings.  Certain  individual  plaintiffs have appealed the district court's
order denying their motions to remand.  The claims asserted in these  individual
actions are substantially  similar to the claims alleged in the class action and
assert state and federal  securities law claims based on CGMI's research reports
concerning WorldCom and/or CGMI's role as an underwriter in WorldCom offerings.

     Numerous other actions  asserting claims against CGM in connection with its
research  reports about  WorldCom  and/or its role as an  investment  banker for
WorldCom are pending in other federal and state courts.  These actions have been
remanded to various state courts,  are pending in other federal courts,  or have
been  conditionally  transferred  to the United  States  District  Court for the
Southern  District  of New York to be  consolidated  with the class  action.  In
addition,  actions  asserting  claims  against  Citigroup  and  certain  of  its
affiliates  relating to its  WorldCom  research  reports are pending in numerous
arbitrations  around the country.  These arbitration  proceedings  assert claims
that are substantially similar to the claims asserted in the class action.

Global Crossing

     On or about January 28, 2003,  lead  plaintiff in a  consolidated  putative
class action in the United States  District  Court for the Southern  District of
New  York  (IN  RE:  GLOBAL  CROSSING,   LTD.  SECURITIES  LITIGATION)  filed  a
consolidated  complaint  on behalf of  purchasers  of the  securities  of Global
Crossing and Asia Global  Crossing,  which names as  defendants,  among  others,
Citigroup,  CGMI,  CGMHI and certain  executive  officers and current and former
employees.  The putative  class action  complaint  asserts  claims against these
Citigroup  defendants  under (i) Sections 11,  12(a)(2) and 15 of the Securities
Act of 1933,  as amended,  and Section 14(a) of the  Securities  Exchange Act of
1934, as amended and Rule 14A-9A  promulgated  thereunder,  in  connection  with
certain  offerings in which CGMI served as  underwriter  and in connection  with
certain  transactions in which CGMI issued fairness  opinions,  and (ii) Section
10(b) and 20(a) of the  Securities  Exchange Act of 1934,  as amended,  and Rule
10b-5  promulgated  thereunder,   alleging  that  they  disseminated  misleading
research  reports  concerning  Global  Crossing  and Asia Global  Crossing.  The
Citigroup-related defendants have moved to dismiss these claims.

     In addition,  actions asserting claims against Citigroup and certain of its
affiliates  relating  to its Global  Crossing  research  reports  are pending in
numerous arbitrations around the country.  These arbitration  proceedings assert
claims that are  substantially  similar to the claims  asserted in the  putative
class action.

                                       6
<PAGE>

Adelphia Communications Corporation

     On  July 6,  2003,  an  adversary  proceeding  was  filed  by the  Official
Committee   of  Unsecured   Creditors  on  behalf  of  Adelphia   Communications
Corporation  against  certain  lenders  and  investment  banks,  including  CGM,
Citibank,  N.A.,  Citicorp USA, Inc.,  and Citigroup  Financial  Products,  Inc.
(together,  the Citigroup  Parties).  The  complaint  alleges that the Citigroup
Parties and numerous  other  defendants  committed acts in violation of the Bank
Holding Company Act and the common law. The complaints seek equitable relief and
an unspecified amount of compensatory and punitive damages.  In November 2003, a
similar  adversary  proceeding  was filed by the  Equity  Holders  Committee  of
Adelphia.

     In addition,  CGM is among the underwriters named in numerous civil actions
brought to date by investors in Adelphia  debt  securities  in  connection  with
Adelphia securities  offerings between September 1997 and October 2001. Three of
the complaints also assert claims against Citigroup Inc. and Citibank,  N.A. All
of the complaints allege  violations of federal  securities laws, and certain of
the complaints  also allege  violations of state  securities laws and the common
law. The complaint seeks unspecified damages. In December 2003, a second amended
complaint was filed and consolidated  before the same judge of the United States
District Court for the Southern District of New York.

Mutual Funds

     In 2003,  several  issues in the mutual fund  industry  have come under the
scrutiny of federal and state regulators.  CGM has received  subpoenas and other
requests for information  from various  government  regulators  regarding market
timing,  fees,  sales  practices and other mutual fund issues in connection with
various  investigations,  including  an  investigation  by  the  Securities  and
Exchange  Commission and a United States  Attorney into the  arrangements  under
which we became the  transfer  agent for many of the  mutual  funds in the Smith
Barney fund complex. CGM is cooperating fully with all such reviews.

Research

     Since May 2002,  Citigroup,  CGM and certain executive officers and current
and former  employees  have been named as defendants in numerous  putative class
action complaints,  individual actions, and arbitration demands by purchasers of
various  securities,   alleging  that  they  violated  federal  securities  law,
including Sections 10 and 20 of the Securities Exchange Act of 1934, as amended,
and  certain  state  laws for  allegedly  issuing  research  reports  without  a
reasonable  basis in fact and for  allegedly  failing to disclose  conflicts  of
interest  with  companies in  connection  with  published  investment  research,
including AT&T Corp., Winstar Communications, Inc., Rhythm NetConnections, Inc.,
Level 3 Communications, Inc., Metromedia Fiber Network, Inc., XO Communications,
Inc., Williams Communications Group Inc., and Qwest Communications International
Inc. The putative  class  actions  relating to research of these  companies  are
pending  before a single  judge in the  United  States  District  Court  for the
Southern  District  of New York  for  coordinated  proceedings.  The  Court  has
consolidated  these  actions  into  separate  proceedings  corresponding  to the
companies  named  above.   On  January  30,  2004,   plaintiffs  in  the  Rhythm
NetConnections,   Inc.  action   voluntarily   dismissed  their  complaint  with
prejudice.

     In addition,  actions asserting claims against Citigroup and certain of its
affiliates  relating to its research  reports on these  companies are pending in
numerous arbitrations around the country.  These arbitration  proceedings assert
claims that are  substantially  similar to the claims  asserted in the class and
individual actions.

                                       7
<PAGE>

     Three  additional  putative  class  actions are  pending in federal  courts
against  Citigroup and certain of its affiliates,  including CGM, and certain of
their current and former  directors,  officers and  employees,  along with other
parties,  on behalf of persons who  maintained  accounts with CGM. These actions
assert, among other things, common law claims, claims under state statutes,  and
claims under the  Investment  Advisers  Act of 1940,  for  allegedly  failing to
provide objective and unbiased  investment  research and investment  management,
seeking,  among other things,  return of fees and  commissions.  In all three of
these  actions,  the  Citigroup-related  defendants  have moved to  dismiss  the
complaints.  In two of these putative class actions,  these motions were granted
and appeals are now pending.

     In May 2003,  the SEC,  NYSE and NASD issued a subpoena  and letters to CGM
requesting   documents  and  information   with  respect  to  their   continuing
investigation  of individuals in connection with the supervision of the research
and  investment  banking  departments  of CGM.  Other  parties  to the  Research
Settlement have received similar subpoena and letters.

     On June 23,  2003,  the West  Virginia  Attorney  General  filed an  action
against CGM and nine other firms that were parties to the  Research  Settlement.
The West  Virginia  Attorney  General  alleges that the firms  violated the West
Virginia  Consumer  Credit and Protection Act in connection  with their research
activities and seeks monetary penalties. CGM and the other defendants have moved
to dismiss the action.

Other

     In April 2002,  consolidated  amended complaints were filed against CGM and
other  investment  banks named in numerous  putative  class actions filed in the
United States  District  Court for the Southern  District of New York,  alleging
violations  of certain  federal  securities  laws  (including  Section 11 of the
Securities Act of 1933, as amended, and Section 10(b) of the Securities Exchange
Act of 1934,  as amended)  with respect to the  allocation of shares for certain
initial  public  offerings and related  aftermarket  transactions  and damage to
investors caused by allegedly  biased research analyst reports.  On February 19,
2003, the Court issued an opinion denying  defendants'  motion to dismiss.  Also
filed in the Southern  District of New York  against  CGMI and other  investment
banks were several putative class actions that were  consolidated  into a single
class action, alleging violations of certain federal and state antitrust laws in
connection with the allocation of shares in initial public offerings when acting
as underwriters.  On November 3, 2003, the Court granted CGM's motion to dismiss
the consolidated amended complaint in the antitrust case.

     Additional  lawsuits containing similar claims to those described above may
be filed in the future.

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.

                                       8
<PAGE>

                                     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 Redeemable Units of
               Limited Partnership Interest.

          (b)  Holders.  The number of holders  of  Redeemable  Units of Limited
               Partnership Interest as of December 31, 2003 was 301.

          (c)  Distribution.  The  Partnership did not declare a distribution in
               2003 or 2002.

          (d)  Use of Proceeds.  There were no  additional  sales of  Redeemable
               Units in the years ended December 31, 2003, 2002 and 2001.



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  Redeemable  Unit for the years ended  December 31, 2003,  2002,
2001, 2000 and 1999 and total assets at December 31, 2003,  2002, 2001, 2000 and
1999 were as follows:


<TABLE>
<CAPTION>
<S>                                   <C>           <C>            <C>           <C>          <C>
                                      2003         2002           2001          2000           1999
                                     -------    ----------     ---------      ---------      --------
Net realized and unrealized
trading gains (losses) net of
brokerage commissions and clearing
fees of $283,408, $226,451,
$216,379, $189,032 and $300,092
respectively                         $919,661    $1,483,403      $159,010      $139,628      $(991,124)

Interest income                        31,236        38,736        82,770       121,989        157,603
                                    ---------     ---------     ---------     ---------      ---------
                                     $950,897    $1,522,139      $241,780      $261,617      $(833,521)
                                    ---------     ---------     ---------     ---------      ---------
Net income (loss)                    $693,305    $1,220,121       $71,103      $106,856    $(1,076,852)
                                    ---------     ---------     ---------     ---------      ---------
Increase(decrease) in Net Asset
Value per Redeemable Unit             $579.64       $945.40        $37.64       $155.53       $(590.19)

Total assets                       $4,574,180    $4,305,348    $3,282,220    $3,520,482     $4,020,521
                                    ---------     ---------     ---------     ---------      ---------
</TABLE>


                                       9
<PAGE>


Item 7. Management's  Discussion and Analysis of Financial Condition and Results
        of Operations.

Overview

     The Partnership aims to achieve  substantial capital  appreciation  through
speculative trading in U.S. and international  markets for currencies,  interest
rates,  stock indices,  agricultural  and energy  products and precious and base
metals. The Partnership may employ futures,  options on futures,  forward,  spot
and swap contracts in those markets.

     The General  Partner manages all business of the  Partnership.  The General
Partner has delegated its responsibility for the investment of the Partnership's
assets  to  JWH.  The  General  Partner  employs  a  team  of  approximately  15
professionals  whose  primary  emphasis is on  attempting  to  maintain  quality
control among the Advisor to the Partnership  operated or managed by the General
Partner. A full-time staff of due diligence  professionals use  state-of-the-art
technology  and on-site  evaluations  to monitor new and existing  futures money
managers.  The accounting and  operations  staff provides  processing of trading
activity  and  reporting  to limited  partners and  regulatory  authorities.  In
selecting the Advisor for the Partnership,  the General Partner  considered past
performance, trading style, volatility of markets traded and fee requirements.

         Responsibilities of the General Partner include:

          o    due diligence examinations of the Advisor;

          o    selection, appointment and termination of the Advisor;

          o    negotiation of the management agreement; and

          o    monitoring the activity of the Advisor.


     In  addition,  the  General  Partner  prepares  the books and  records  and
provides the administrative and compliance  services that are required by law or
regulation  from time to time in connection  with operation of the  Partnership.
These services include the preparation of required books and records and reports
to limited  partners,  government  agencies and  regulators;  computation of net
asset value;  calculation  of fees;  effecting  subscriptions,  redemptions  and
limited partner communications;  and preparation of offering documents and sales
literature.

     The General  Partner  shall seek the best prices and services  available in
its commodity  futures  brokerage  transactions.  The General Partner reviews at
least  annually,  the brokerage  rates charged to commodity pools similar to the
Partnership  to  determine  that  the  brokerage  fee  the  Partnership  pays is
competitive with other rates.

     The Advisor specializes in managing institutional and individual capital in
the global futures,  interest rate and foreign exchange markets. Since 1981, JWH
has developed and implemented  proprietary  trend-following  trading  techniques
that focus on long-term trends.

     JWH trades its  Financials  and Metals  Portfolio  ("F&M") on behalf of the
Partnership.  F&M seeks to identify and  capitalize on  intermediate-term  price
movements in four worldwide market sectors:  currencies,  interest rates, metals
and global stock indices.  The program uses the  three-phase  investment  style.
Beginning in August 1992,  the  position  size in relation to account  equity in
this program was reduced 50%.  Since the changes were  implemented  in 1992, F&M
has experienced lower volatility.

                                       10
<PAGE>

     (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 and cash equivalents,  net unrealized  appreciation  (depreciation) on open
futures and forward 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 loss in liquidity.

     To minimize  this risk  relating to low margin  deposits,  the  Partnership
follows certain trading policies, including:

     (i) The Partnership invests its assets only in commodity interests that the
Advisor  believes are traded in  sufficient  volume to permit ease of taking and
liquidating positions.  Sufficient volume, in this context, refers to a level of
liquidity  that the  Advisor  believes  will  permit it to enter and exit trades
without noticeably moving the market.

     (ii) The Advisor will not initiate additional positions in any commodity if
these positions would result in aggregate  positions  requiring a margin of more
than 66 2/3% of the Partnership's net assets allocated to the Advisor.

     (iii) The  Partnership  may  occasionally  accept  delivery of a commodity.
Unless such delivery is disposed of promptly by reentering the warehouse receipt
representing  the  delivery  to  the  appropriate  clearinghouse,  the  physical
commodity position is fully hedged.

     (iv) 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  purchases or sale of  additional  positions in the
same or related commodities.

     (v)  The  Partnership  does  not  utilize   borrowings   except  short-term
borrowings if the Partnership takes delivery of any cash commodities.

     (vi) 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 two contracts.

     (vii) The Partnership will not permit the churning of its commodity trading
account.  The term  "churning"  refers to the  practice of entering  and exiting
trades with a frequency  unwarranted  by  legitimate  efforts to profit from the
trades, driven by the desire to generate commission income.

     In the normal  course of business,  the  Partnership  is party to financial
instruments  with  off-balance  sheet  risk,   including   derivative  financial
instruments and derivative commodity  instruments.  These financial  instruments
include  forwards,  futures,  options and swaps,  whose values are 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

                                       11
<PAGE>

financial  instruments at specified terms at specified  future dates, or, in the
case of derivative commodity interests,  to have a reasonable  possibility to be
settled in cash, through physical delivery or with another financial instrument.
These  instruments  may be traded on an  exchange or  over-the-counter  ("OTC").
Exchange  traded  instruments are  standardized  and include futures and certain
option contracts.  OTC contracts are negotiated between  contracting parties and
include  forwards,  swaps and  certain  options.  Each of these  instruments  is
subject to various risks similar to those relating 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.

     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  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 statements of financial  condition and
not  represented  by the contract or notional  amounts of the  instruments.  The
Partnership has credit risk and concentration risk because the sole counterparty
or broker with respect to the Partnership's assets is CGM.

     The General Partner monitors and controls the  Partnership's  risk exposure
on a daily  basis  through  financial,  credit  and risk  management  monitoring
systems,   and  accordingly  believes  that  it  has  effective  procedures  for
evaluating and limiting the credit and market risks to which the  Partnership is
subject.  These  monitoring  systems allow the General Partner to  statistically
analyze actual  trading  results with risk adjusted  performance  indicators and
correlation statistics. In addition,  on-line monitoring systems provide account
analysis  of  futures,   forwards  and  options  positions  by  sector,   margin
requirements,  gain and loss  transactions and collateral  positions.  (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  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  Partnership  will cease trading  operations and liquidate all
open  positions  under certain  circumstances  including a decrease in Net Asset
Value per  Redeemable  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  trading  and by
expenses,  interest income, redemptions of Redeemable Units and distributions of
profits, if any. Gains or losses on trading cannot be predicted. Market moves in


                                       12
<PAGE>

commodities  are dependent  upon  fundamental  and  technical  factors which the
Advisor may or may not be able to identify,  such as changing  supply and demand
relationships,  weather, government agricultural,  commercial and trade programs
and  policies,  national and  international  political  and economic  events and
changes in interest rates.  Partnership expenses consist of, among other things,
commissions,  advisory fees and administrative fees. The level of these expenses
is  dependent  upon the level of  trading  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.  In  addition,  the amount of
interest  income  payable by CGM 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.
A limited  partner may redeem some or all of their  Redeemable  Units at the net
asset value thereof as of the last day of any calendar quarter on 15 days notice
to the General  Partner.  For the year ended  December 31, 2003,  68  Redeemable
Units were  redeemed  for a total of $259,485.  For the year ended  December 31,
2002, 108 Redeemable  Units were redeemed for a total of $336,419.  For the year
ended  December  31,  2001,  98  Redeemable  Units were  redeemed for a total of
$253,937.

     (c) Results of Operations.

     For the year ended  December 31, 2003,  the Net Asset Value per  Redeemable
Unit increased  17.3% from  $3,354.89 to $3,934.53.  For the year ended December
31,  2002,  the Net Asset  Value  per  Redeemable  Unit  increased  39.2%,  from
$2,409.49 to $3,354.89. For the year ended December 31, 2001 the Net Asset Value
per Redeemable Unit increased 1.6% from $2,371.85 to $2,409.49.

     The Partnership experienced a net trading gain before brokerage commissions
and related fees in 2003 of $1,203,069. Gains were primarily attributable to the
trading of currencies, U.S. interest rates and indices.

     In 2003,  the markets had  periodic  strong  trends and then just as strong
reversals resulting in a mixed year for the Partnership's overall performance.

     The Financial & Metals (F&M)  Portfolio had a strong overall year on behalf
of the Partnership for 2003. The foreign currency  positions took advantage of a
declining U.S. dollar and provided the primary source of profits for the year.

     On a very broad basis, the year 2003 can be divided into three periods: the
time  surrounding  the Iraq War (January  through May), the transition to higher
world growth (June through  October),  and the renewed dollar decline  (November
and December).

     The Iraq war was the focus for much of the first half of the year. Like any
uncertain event,  there is the market reaction to the impending event, the event
itself when uncertainty is resolved and the response to the event. The first two
months  of the  year  represented  the  pre-war  uncertainty.  With  uncertainty
concerning when hostilities would begin and the possible impact of these events,
investors showed a desire to move to a defensive and conservative stance. Equity
markets  sold-off,  the dollar  sold-off,  gold prices  rose,  and bond  markets
rallied.  This was a continuation  of many of the trends carried over from 2002.

                                       13
<PAGE>

During  the first two  months of the year,  the  Advisor's  program  had  strong
performance, up over 15%.

     Just prior to the inception of the hostilities, JWH reduced leverage in the
F&M Portfolio  along with its other  programs by 50 percent,  in  expectation of
higher volatility in the markets. Markets were more volatile with a reduction of
liquidity  in response  to events in March.  During this  period,  bond  markets
sold-off,  the dollar  stabilized,  and the stock market started to rally.  Even
with this reduced  leverage the markets were volatile and prior trends disrupted
leading to losses for the month of March.  Positions returned to normal leverage
in its  programs  in April and May saw a  substantial  recovery  of  Partnership
performance  with  profits  coming  from  short  dollar and long  interest  rate
positions.  The Advisor's  performance  during these periods was consistent with
its past actions in uncertain  and  potentially  highly  volatile  markets.  The
General  Partner  was  aware  of  and  acknowledged  the  Advisor's  actions  as
appropriate for the conditions of the economic and political environment.

     In a transition to economic recovery and growth, the major markets began to
reflect  changed  expectations  in the  middle  of June.  The  announcements  of
consistent, positive macroeconomic news led to the unexpected announcement of no
further  easing  actions  by the  European  Central  Bank and the U. S.  Federal
Reserve.  News of  stronger  growth,  especially  in the  U.S.,  suggested  that
deflationary  expectations  may have been over-done;  consequently,  there was a
trend change and  interest  rates moved up off 40 year lows.  Additionally,  the
dollar  actually  rallied on the positive  U.S.  economic  news,  reversing  the
decline from earlier in the year. In both cases,  the JWH program saw a giveback
in trading profits, as the markets transitioned to new trends.

     While  there were gains in stock  index  trading,  JWH's  exposure in these
markets has been relatively low; they were not able to make a sustainable impact
on  performance.  The third quarter and the beginning of the fourth quarter were
unprofitable  for the  Advisor's  trading  program.  This  was the  result  of a
transition to higher worldwide economic growth.

     The final period of 2003 was the renewed dollar  decline  beginning in late
November.  Regardless of the strong growth exhibited in the United States in the
third quarter,  the best in 20 years, the dollar began a new significant decline
against both the euro and yen. This led to significant  fourth quarter  profits,
which boosted performance for the Partnership to finish the year strongly.

     In the  General  Partner's  opinion,  the Advisor  continues  to employ its
trading  methods in a  consistent  and  disciplined  manner and its  results are
consistent  with the  objectives of the  Partnership  and  expectations  for the
Advisor's  program.  The General  Partner  continues  to monitor  the  Advisor's
performance  on a daily,  weekly,  monthly  and  annual  basis to  assure  these
objectives are met.

     The Partnership experienced a net trading gain before brokerage commissions
and related fees in 2002 of $1,709,854. Gains were primarily attributable to the
trading of  currencies,  U.S. and non-U.S.  interest  rates and indices and were
partially offset by losses in metals.

     The   Partnership   experienced   net  trading  gains  of  $375,389  before
commissions  and  expenses in 2001.  Gains were  primarily  attributable  to the
trading of U.S. and non-U.S. interest rates currencies, metals and indices.

     It should be noted that commodity 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

                                       14
<PAGE>

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 Partnership 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 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 Partnership 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 Partnership's ability to gather, process,
and communicate information efficiently and securely,  without interruption,  to
customers,  among Redeemable  Units within the  Partnership,  and in the markets
where the Partnership 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
management and  communicated to external  parties,  including the  Partnership's
Redeemable Unit holders, creditors, and regulators, is free of material errors.

     (e) Critical Accounting Policies.

     The  preparation  of financial  statements  in conformity  with  accounting
principles   generally  accepted  in  the  United  States  of  America  requires
management to make estimates and assumptions that affect the reported amounts of
assets and  liabilities,  revenues  and  expenses,  and related  disclosures  of
contingent  assets and liabilities in the financial  statements and accompanying
notes.

     All commodity interests  (including  derivative  financial  instruments and
derivative commodity  instruments) are used for trading purposes.  The commodity
interests  are  recorded on trade date and open  contracts  are  recorded in the
statements of financial  condition at fair value on the last business day of the

                                       15
<PAGE>

period,  which represents  market value for those commodity  interests for which
market  quotations are readily  available or other measures of fair value deemed
appropriate by management of the General Partner for those  commodity  interests
and foreign  currencies for which market  quotations are not readily  available,
including dealer quotes for swaps and certain option  contracts.  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 period.
Realized gains (losses) and changes in unrealized values on commodity  interests
and foreign  currencies  are  recognized  in the period in which the contract is
closed or the changes occur and are included in net gains (losses) on trading of
commodity interests.

     Foreign currency contracts are those contracts where the Partnership agrees
to receive or deliver a fixed  quantity of foreign  currency for an  agreed-upon
price on an agreed future date. Foreign currency contracts are valued daily, and
the  Partnership's net equity therein,  representing  unrealized gain or loss on
the contracts as measured by the difference between the forward foreign exchange
rates at the dates of entry  into the  contracts  and the  forward  rates at the
reporting dates, is included in the statements of financial condition.  Realized
gains (losses) and changes in unrealized  values on foreign  currency  contracts
are  recognized  in the period in which the  contract  is closed or the  changes
occur and are included in the  statements  of income and expenses and  partners'
capital.

     The General Partner believes that the accounting policies that will be most
critical to the  Partnership's  financial  condition  and results of  operations
relate to the  valuation  of the  Partnership's  positions.  The majority of the
Partnership's positions will be exchange-traded futures contracts, which will be
valued daily at settlement prices published by the exchanges. If applicable, the
Partnership's spot and forward foreign currency contracts will also be valued at
published daily  settlement  prices or at dealers'  quotes.  The General Partner
expects that under normal  circumstances  substantially all of the Partnership's
assets will be valued by objective measures and without difficulty.

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.

     The risk to the  limited  partners  that have  purchased  interests  in the
Partnership  is  limited  to the amount of their  capital  contributions  to the
Partnership and their share of the Partnership assets and undistributed profits.
This limited  liability is a consequence of the  organization of the Partnership
as a limited partnership under applicable law.

     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,  the
diversification results 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

                                       16
<PAGE>

the Partnership's  past performance is not necessarily  indicative of its future
results.

     Value at Risk is a measure  of the  maximum  amount  which the  Partnership
could  reasonably  be expected to lose in a given market  sector.  However,  the
inherent uncertainty of the Partnership's speculative trading and the recurrence
in the markets  traded by the  Partnership  of market  movements  far  exceeding
expectations could result in actual trading or non-trading losses far beyond the
indicated Value at Risk or the Partnership's  experience to date (i.e., "risk of
ruin").  In  light  of the  foregoing  as well as the  risks  and  uncertainties
intrinsic to all future projections, the inclusion of the quantification in this
section should not be considered to constitute  any assurance or  representation
that the  Partnership's  losses in any market sector will be limited to Value at
Risk or by the Partnership's attempts to manage its market risk.

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  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.

     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.

     The fair value of the Partnership's  futures and forward positions does not
have any  optionality  component.  However,  the  Advisor  may  trade  commodity
options. The Value at Risk associated with options is reflected in the following
table as the margin requirement  attributable to the instrument  underlying each
option.  Where this instrument is a futures  contract,  the futures margin,  and
where  this  instrument  is  a  physical   commodity,   the   futures-equivalent
maintenance  margin has been used.  This  calculation is conservative in that it
assumes  that the fair value of an option will decline by the same amount as the
fair value of the underlying  instrument,  whereas,  in fact, the fair values of

                                       17
<PAGE>

the options traded by the  Partnership in almost all cases fluctuate to a lesser
extent than those of the underlying instruments.

     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.

                                       18
<PAGE>

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, 2003 and the
highest and lowest value at any point during the year. All open position trading
risk exposures of the Partnership  have been included in calculating the figures
set forth below. As of December 31, 2003, the Partnership's total capitalization
was $4,493,233.

                                December 31, 2003
<TABLE>
<CAPTION>
<S>                                  <C>             <C>                 <C>               <C>              <C>
                                                                                   Year to Date
                                                                   ------------------------------------------------
                                                 % of Total             High              Low            Average
Market Sector                  Value at Risk    Capitalization     Value at Risk    Value at Risk    Value at Risk*
--------------------------------------------------------------------------------------------------------------------
Currencies
- OTC Contracts                   $ 183,561            4.09%           $254,880          $45,571         $ 122,670
Interest rates U.S.                  63,050            1.40%             63,250            5,400            22,613
Interest rates Non-U.S.              83,931            1.87%            255,109           41,044           124,029
Metals
 - Exchange Traded Contracts         18,000            0.40%             36,000            9,000            12,125
 - OTC Contracts                     30,775            0.68%             42,625            4,000            14,344
Indices                             124,722            2.78%            126,914           24,052            62,786
                                   --------          ------
Total                              $504,039           11.22%
                                    ------           ------
</TABLE>


*Monthly average based on month-end Value at Risk



As of December 31, 2002, the Partnership's total capitalization was $4,059,413.

<TABLE>
<CAPTION>
<S>                                <C>               <C>              <C>                 <C>             <C>
                                December 31, 2002
                                                                                 Year to Date
                                                                   ---------------------------------------------
                                                 % of Total           High              Low            Average
Market Sector                  Value at Risk    Capitalization     Value at Risk    Value at Risk    Value at Risk*
-----------------------------------------------------------------------------------------------------------------
Currencies
- OTC Contracts                 $ 217,890              5.37%       $1,637,685         $ 34,388         $ 138,208
Interest rates U.S.                13,200              0.33%          111,200            6,000            37,625
Interest rates Non-U.S.           202,140              4.97%          231,429           28,411           199,159
Metals
 - Exchange Traded Contracts       11,000              0.27%           11,000            9,000            10,000
 - OTC Contracts                   30,125              0.74%           37,375            3,600            25,400
Indices                            24,298              0.60%          104,215            5,400            63,841
                                 --------             ------
Total                            $498,653             12.28%
                                 --------             -----
</TABLE>

*Quarterly average based on month-end Value at Risk
                                       19
<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  maintenance  margin  requirement  (margin
requirements  generally range between 2% and 15% of contract face value) as well
as many  times 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.

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  Advisor  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.

     The following were the primary trading risk exposures of the Partnership as
of December 31, 2003, by market sector.

Interest Rates. 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-8 countries.
However,  the Partnership also takes futures positions on the government debt of
smaller nations -- e.g., Australia.

                                       20
<PAGE>

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 General Partner does not anticipate that the
risk profile of the Partnership's  currency sector will change  significantly in
the future.  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 U. S.  dollar-based  Partnership  in
expressing Value at Risk in a functional currency other than U.S. dollars.

Stock Indices. The Partnership's primary equity exposure is to equity price risk
in the G-8  countries.  The stock index futures  traded by the  Partnership  are
limited to futures on broadly  based  indices.  As of  December  31,  2003,  the
Partnership's  primary  exposure was in the EUREX (Germany)  stock indices.  The
General Partner  anticipates  little,  if any, trading in non-G-8 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 copper,  the principal  market  exposures of the Partnership
have  consistently  been in the precious  metals,  gold and silver.  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, 2003.

Foreign Currency Balances.  The Partnership's  primary foreign currency balances
are in  Japanese  yen,  British  pounds  and  Australian  dollars.  The  Advisor
regularly  converts foreign  currency  balances to U.S. dollars in an attempt to
control the Partnership's non-trading risk.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

     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.

     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  certain   positions  traded  on  behalf  of  the
Partnership. However, any such intervention would be a highly unusual event. The
General  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.

                                       21
<PAGE>

     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.

                                       22
<PAGE>

Item 8.   Financial Statements and Supplementary Data.



                   SHEARSON SELECT ADVISORS FUTURES FUND L.P.

                          INDEX TO FINANCIAL STATEMENTS

                                                                     Page Number



Oath or Affirmation.                                                     F-2

Independent Auditors' Report                                          F-3 - F-4

Financial Statements:

Statements of Financial Condition at December 31, 2003 and 2002.         F-5

Condensed Schedules of Investments at December 31, 2003 and 2002.     F-6 - F-7

Statements of Income and Expenses for the years ended
December 31, 2003, 2002 and 2001.                                        F-8

Statements of Partners' Capital for the years ended
December 31, 2003, 2002 and 2001.                                        F-9

Notes to Financial Statements.                                       F-10 - F-14

Selected Unaudited Quarterly Financial Data.                            F-15

<PAGE>
                          To the Limited Partners of
                   Shearson Select Advisors Futures Fund L.P.

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






By:/s/ Daniel R. McAuliffe, Jr.
       Daniel R. McAuliffe, Jr.
       Chief Financial Officer and Director
       Citigroup Managed Futures LLC
       General Partner, Shearson Select
       Advisors Futures Fund L.P.

Citigroup Managed Futures LLC
399 Park Avenue
7th Floor
New York, N.Y. 10022
212-559-2011





                                      F-2

<PAGE>


                          Independent Auditors' Report

To the Partners of
  Shearson Select Advisors Futures Fund L.P.:

We have audited the accompanying  statements of financial  condition of Shearson
Select  Advisors  Futures Fund L.P. (the  Partnership),  including the condensed
schedules  of  investments,  as of December  31, 2003 and 2002,  and the related
statements  of income and  expenses,  and  partners'  capital for the years then
ended.  These financial  statements are the  responsibility of the Partnership's
management.  Our  responsibility  is to express  an  opinion on these  financial
statements  based on our  audits.  The  statements  of income and  expenses  and
partners'  capital of the  Partnership for the year ended December 31, 2001 were
audited by other  auditors  whose  report dated  February 28, 2002  expressed an
unqualified opinion on those statements.

We conducted our audits in accordance with auditing standards generally accepted
in the  United  States of  America.  Those  standards  require  that we plan and
perform the audit to obtain  reasonable  assurance  about  whether the financial
statements are free of material misstatement.  An audit includes examining, on a
test basis,  evidence  supporting  the amounts and  disclosures in the financial
statements.  An audit also includes assessing the accounting principles used and
significant  estimates  made by  management,  as well as evaluating  the overall
financial  statement  presentation.   We  believe  that  our  audits  provide  a
reasonable basis for our opinion.

In our opinion,  the financial  statements  referred to above present fairly, in
all  material  respects,  the  financial  position of Shearson  Select  Advisors
Futures  Fund L.P.  as of  December  31,  2003 and 2002,  and the results of its
operations  and its  partners'  capital for the years then ended,  in conformity
with accounting principles generally accepted in the United States of America.

/s/ KPMG LLP
    KPMG LLP
    New York, New York
    February 27, 2004



                                      F-3

<PAGE>


                         Report of Independent Auditors

To the Partners of
  Shearson Select Advisors Futures Fund L.P.:


In our opinion, the accompanying statements of income and expenses and partners'
capital present fairly, in all material respects, the results of Shearson Select
Advisors Futures Fund L.P.'s operations for the year ended December 31, 2001, in
conformity with accounting principles generally accepted in the United States of
America.  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  audit.  We  conducted  our  audit of these
financial statements in accordance with auditing standards generally accepted in
the United  States of America,  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 audit  provides a  reasonable  basis for our
opinion.

/s/ PricewaterhouseCoopers LLP
    PricewaterhouseCoopers LLP
    New York, New York
    February 28, 2002




                                      F-4


<PAGE>


                   Shearson Select Advisors Futures Fund L.P.
                        Statements of Financial Condition
                           December 31, 2003 and 2002
<TABLE>
<CAPTION>
<S>                                                                              <C>                <C>
                                                                               2003                2002
                                                                            ----------         -----------
Assets:
Equity in commodity futures trading account:
   Cash (restricted $536,151 and $508,469 in 2003 and 2002,
    respectively) (Note 3c)                                                 $4,256,795          $3,806,735
   Net unrealized appreciation on open futures positions                           603             223,423
   Unrealized appreciation on open forward contracts                           314,690             272,376
                                                                           -----------         -----------
                                                                             4,572,088           4,302,534
Interest receivable (Note 3c)                                                    2,092               2,814
                                                                           -----------         -----------
                                                                            $4,574,180          $4,305,348
                                                                            ----------         -----------

Liabilities and Partners' Capital:
Liabilities:
  Unrealized depreciation on open forward contracts                            $18,001            $125,373
  Accrued expenses:
   Commissions (Note 3c)                                                        22,781              20,900
   Management fees (Note 3b)                                                    15,054              13,756
   Professional fees                                                            13,198              28,296
   Other                                                                         4,044               3,932
  Redemptions payable (Note 5)                                                   7,869              53,678
                                                                           -----------         -----------
                                                                                80,947             245,935
                                                                           -----------         -----------
Partners' capital (Notes 1 and 5):
  General Partner, 34 Unit equivalents outstanding in
   2003 and 2002                                                               133,774             114,066
  Limited Partners, 1,108 and 1,176 Redeemable Units of Limited
   Partnership Interest outstanding in 2003 and 2002, respectively           4,359,459           3,945,347
                                                                           -----------         -----------
                                                                             4,493,233           4,059,413
                                                                           -----------         -----------
                                                                            $4,574,180          $4,305,348
                                                                           -----------         -----------
</TABLE>


See accompanying notes to financial statements.

                                      F-5
<PAGE>


                   Shearson Select Advisors Futures Fund L.P.
                        Condensed Schedule of Investments
                                December 31, 2003
<TABLE>
<CAPTION>
<S>                                                <C>                                               <C>
Sector                                            Contract                                         Fair Value
------------                                      --------                                         -----------
Currencies
                                       Unrealized depreciation on forward contracts (0.40)%           $(18,001)
                                       Unrealized appreciation on forward contracts 5.76%              258,796
                                                                                                     ---------
  Total Currencies 5.36%                                                                               240,795
                                                                                                     ---------

Total Interest Rates U.S. (0.31)%      Futures contracts sold (0.31)%                                  (14,069)
                                                                                                     ---------

Total Interest Rates Non-U.S. 0.12%    Futures contracts purchased 0.12%                                 5,474
                                                                                                     ---------

Metals
                                       Futures contracts purchased 0.48%                                21,480

                                       Unrealized appreciation on forward contracts 1.24%               55,894
                                                                                                     ---------

  Total Metals 1.72%                                                                                    77,374
                                                                                                     ---------

Indices
                                       Futures contracts sold (0.89)%                                  (39,843)
                                       Futures contracts purchased 0.61%                                27,561
                                                                                                     ---------
  Total Indices (0.28)%                                                                                (12,282)
                                                                                                     ---------

Total Fair Value 6.61%                                                                                $297,292
                                                                                                     =========

                                             Investments        % of Investments
Country Composition                           at Fair Value      at Fair Value
--------------------                        ----------------    ----------------
Germany                                       $   19,439                6.54%
Japan                                            (39,843)             (13.40)
United Kingdom                                    64,665               21.75
United States                                    253,031               85.11
                                            --------------        -----------
                                                $297,292              100.00%
                                            ==============        =============
</TABLE>

Percentages are based on Partner's capital unless otherwise indicated.
See accompanying notes to financial statements.


                                      F-6
<PAGE>


                   Shearson Select Advisors Futures Fund L.P.
                        Condensed Schedule of Investments
                                December 31, 2002
<TABLE>
<CAPTION>
<S>                                          <C>                      <C>                                        <C>
                                           Number of
Sector                                     Contracts                Contract                                       Fair Value
------                                     ----------               ----------                                     ----------
Currencies
                                                           Unrealized depreciation on forward positions (2.58)%   $ (104,615)
                                                           Unrealized appreciation on forward positions  6.55%
                                         EURO 6,075,000     EURO/USD 4.09%, March 19, 2003                           166,218
                                                           Other 2.46%                                                99,730
                                                                                                                   ---------
                                                                                                                     265,948
  Total Currencies 3.97%                                                                                             161,333
                                                                                                                   ---------

Total Interest Rates U.S. 0.68%                            Futures contracts purchased 0.68%                          27,775
                                                                                                                   ---------

Total Interest Rates Non-U.S. 3.94%                        Futures contracts purchased 3.94%                         159,955
                                                                                                                    ---------

Metals
                                                           Futures contracts purchased 0.78%                          31,570

                                                           Unrealized depreciation on forward positions (0.51)%      (20,758)
                                                           Unrealized appreciation on forward positions  0.16%         6,428
                                                                                                                   ---------

                                                           Total Forward contracts (0.35)%                           (14,330)
                                                                                                                    ---------
  Total Metals 0.43%                                                                                                  17,240
                                                                                                                    ---------

Indices
                                                           Futures contracts sold 0.14%                                5,813
                                                           Futures contracts purchased (0.04)%                        (1,690)
                                                                                                                    ---------
  Total Indices 0.10%                                                                                                  4,123
                                                                                                                    ---------

Total Fair Value 9.12%                                                                                              $370,426
                                                                                                                    =========


                                               Investments        % of Investments
Country Composition                           at Fair Value        at Fair Value
--------------------                          --------------     -----------------
Australia                                     $   12,096                3.27%
Germany                                           73,238               19.77
Japan                                             41,860               11.30
United Kingdom                                    24,244                6.54
United States                                    218,988               59.12
                                             --------------        ----------
                                                $370,426              100.00%
                                             ==============        =========
</TABLE>
Percentages are based on Partner's capital unless otherwise indicated.
See accompanying notes to financial statements.

                                      F-7
<PAGE>



                   Shearson Select Advisors Futures Fund L.P.
                        Statements of Income and Expenses
                               for the years ended
                        December 31, 2003, 2002 and 2001
<TABLE>
<CAPTION>
<S>                                                    <C>              <C>               <C>
                                                     2003               2002                2001
                                                 -----------        -----------         ----------
Income:
  Net gains (losses) on trading of
   commodity interests:
   Realized gains on closed positions and
    foreign currencies                            $1,276,203         $1,505,525           $841,259
   Change in unrealized gains (losses)
    on open positions                                (73,134)           204,329           (465,870)
                                                 -----------        -----------         ----------
                                                   1,203,069          1,709,854            375,389
  Interest income (Note 3c)                           31,236             38,736             82,770
                                                 -----------        -----------         ----------
                                                   1,234,305          1,748,590            458,159
                                                 -----------        -----------         ----------
Expenses:
   Brokerage commissions including
    clearing fees of $4,158, $2,429 and
    $2,283, respectively (Note 3c)                   283,408            226,451            216,379
   Management fees (Note 3b)                         181,419            145,558            138,979
   Incentive fees (Notes 3a and 3b)                   66,775            124,151                 --
   Professional fees                                   3,327             27,507             25,919
   Other expenses                                      6,071              4,802              5,779
                                                 -----------        -----------         ----------
                                                     541,000            528,469            387,056
                                                 -----------        -----------         ----------
Net income                                          $693,305         $1,220,121            $71,103
                                                  -----------         ----------       ------------
Net income per Redeemable Unit of Limited
  Partnership Interest and General Partner
  Unit equivalent (Notes 1 and 6)                    $579.64            $945.40             $37.64
                                                  -----------       ------------         ---------
</TABLE>

See accompanying notes to financial statements.

                                      F-8
<PAGE>


                   Shearson Select Advisors Futures Fund L.P.
                     Statements of Partners' Capital for the
                  years ended December 31, 2003, 2002 and 2001
<TABLE>
<CAPTION>
<S>                                                          <C>              <C>                  <C>
                                                          Limited             General
                                                         Partners             Partner            Total
                                                        ------------         ----------        -----------
Partners' capital at December 31, 2000                   $3,277,902             $80,643        $3,358,545
Net income                                                   69,823               1,280            71,103
Redemption of 98 Redeemable Units of
   Limited Partnership Interest                            (253,937)                 --          (253,937)
                                                        -----------          ----------       -----------
Partners' capital at December 31, 2001                    3,093,788              81,923         3,175,711
Net income                                                1,187,978              32,143         1,220,121
Redemption of 108 Redeemable Units of
   Limited Partnership Interest                            (336,419)                 --          (336,419)
                                                        -----------         -----------       -----------
Partners' capital at December 31, 2002                    3,945,347             114,066         4,059,413
Net income                                                  673,597              19,708           693,305
Redemption of 68 Redeemable Units of
   Limited Partnership Interest                            (259,485)                 --          (259,485)
                                                        -----------         -----------       -----------
Partners' capital at December 31, 2003                   $4,359,459            $133,774        $4,493,233
                                                        ------------         ----------        -----------
</TABLE>

See accompanying notes to financial statements.

                                      F-9
<PAGE>


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


1.  Partnership Organization:

     Shearson Select Advisors Futures Fund L.P. (the "Partnership") is a limited
     partnership  which was organized under the laws of the State of Delaware on
     February 10, 1987. The Partnership is engaged in the speculative trading of
     a diversified portfolio of commodity interests including futures contracts,
     options and forward contracts.  The commodity  interests that are traded by
     the  Partnership are volatile and involve a high degree of market risk. The
     Partnership  was  authorized  to sell  50,000  redeemable  units of Limited
     Partnership  Interest  ("Redeemable  Units")  during its  initial  offering
     period.

     Citigroup  Managed  Futures LLC,  formerly Smith Barney Futures  Management
     LLC,  acts  as  the  general   partner  (the  "General   Partner")  of  the
     Partnership. The Partnership's commodity broker is Citigroup Global Markets
     Inc. ("CGM"), formerly Salomon Smith Barney Inc. CGM is an affiliate of the
     General  Partner.  The General Partner is wholly owned by Citigroup  Global
     Markets Holdings Inc. ("CGMHI"), formerly Smith Barney Holdings Inc., which
     is the sole owner of CGM.  CGMHI 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  their  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  Redeemable
     Unit on any  business  day after  trading to less than $350 per  Redeemable
     Unit;  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 statements 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  gains  (losses) on open  positions
          are  recognized  in the period in which the  contract is closed or the
          changes  occur and are  included  in net gains  (losses) on trading of
          commodity interests.

     b.   Income taxes have not been  provided as each  partner is  individually
          liable  for the taxes,  if any,  on their  share of the  Partnership's
          income and expenses.

     c.   The preparation of financial  statements in conformity with accounting
          principles generally accepted in the United States of America requires
          management to make estimates and assumptions  that affect the reported
          amounts of assets and liabilities, disclosure of contingent 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-10
<PAGE>

     d.   Certain  prior  period  amounts have been  reclassified  to conform to
          current year presentation.

3.  Agreements:

     a.   Limited Partnership Agreement:

          The  General  Partner  administers  the  business  and  affairs of the
          Partnership  including  selecting one or more advisors to make trading
          decisions for the  Partnership.  The Partnership  will pay the General
          Partner  an  incentive  fee,  payable  quarterly,  equal  to 5% of New
          Trading Profits, as defined in the Limited Partnership Agreement.  For
          the years ended December 31, 2003 and 2002, the General Partner earned
          incentive fees of $22,259 and $41,384, respectively.

     b.   Management Agreement:

          The General Partner, on behalf of the Partnership,  has entered into a
          Management  Agreement  with  John  W.  Henry  &  Company,   Inc.  (the
          "Advisor"), a registered commodity trading advisor. The Advisor is not
          affiliated  with the General Partner or CGM and is not responsible for
          the organization or operation of the Partnership. The Partnership pays
          the Advisor a monthly  management fee equal to 1/3 of 1% (4% per year)
          of  month-end  Net Assets of the  Partnership  managed by the Advisor.
          Month-end Net Assets,  for the purpose of calculating  management fees
          are Net Assets, as defined in the Limited Partnership Agreement, prior
          to the reduction of redemptions and incentive fees.

          In addition,  the  Partnership  is obligated to pay an incentive  fee,
          payable quarterly,  equal to 10% of New Trading Profits, as defined in
          the Management Agreement, earned by the Advisor for the Partnership.

     c.   Customer Agreement:

          The  Partnership  has  entered  into a Customer  Agreement,  which was
          assigned  to CGM from a  predecessor  company,  whereby  CGM  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
          CGM a monthly  brokerage fee equal to 1/2 of 1% (6% per year) of month
          end net assets, in lieu of brokerage commissions on a per trade basis.
          Month-end Net Assets,  for the purpose of calculating  commissions are
          Net Assets, as defined in the Limited Partnership Agreement,  prior to
          the  reduction  of  accrued  expenses  and  redemptions  payable.  The
          Partnership  pays  for  all  clearing  fees  but not  floor  brokerage
          charges.   All  of  the   Partnership's   cash  is  deposited  in  the
          Partnership's  account at CGM. The Partnership's  cash is deposited by
          CGM in segregated  bank  accounts to the extent  required by Commodity
          Futures Trading Commission regulations. At December 31, 2003 and 2002,
          the  amount of cash held for  margin  requirements  was  $536,151  and
          $508,469, respectively. CGM 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 CGM gives
          the  Partnership  the legal right to net unrealized  gains and losses.
          The Customer Agreement may be terminated upon notice by either party.


                                      F-11
<PAGE>



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 activities are shown in the statements of income and expenses.

     All of the  commodity  interests  owned  by the  Partnership  are  held for
     trading  purposes.  The average fair value during the years ended  December
     31,  2003 and  2002,  based on a  monthly  calculation,  was  $295,425  and
     $397,306, 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 their Redeemable 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 Redeemable Units after such redemption is effected.

                                      F-12
<PAGE>


6.  Financial Highlights:

Changes  in the Net  Asset  Value per  Redeemable  Unit of  Limited  Partnership
Interest  during  the  years  ended  December  31,  2003,  2002 and 2001 were as
follows:

<TABLE>
<CAPTION>
<S>                                                               <C>           <C>           <C>
                                                                 2003            2002           2001
                                                           ------------    ------------   ------------
 Net realized and unrealized gains*                            $770.90       $1,152.90        $101.82
 Interest income                                                 26.56           30.43          59.85
 Expenses**                                                    (217.82)        (237.93)       (124.03)
                                                            ----------      ----------     ----------
 Increase for the year                                          579.64          945.40          37.64
 Net asset value per Redeemable Unit,
  beginning of year                                           3,354.89        2,409.49       2,371.85
                                                            ----------      ----------    -----------
 Net asset value per Redeemable Unit,
  end of year                                                $3,934.53       $3,354.89      $2,409.49
                                                            ------------    ------------   ------------
 *  Includes brokerage commissions
 ** Excludes brokerage commissions


 Ratios to Average Net Assets:
  Net investment loss before incentive fees***                  (10.0)%         (10.3)%         (8.9)%
                                                               -------           ------         ------

  Operating expenses                                             10.7%           11.4%          11.3%
  Incentive fees                                                  1.5%            3.5%           -- %
                                                                ------          ------         ------
  Total expenses                                                 12.2%           14.9%          11.3%
                                                               -------           ------        ------


 Total return:
  Total return before incentive fees                             19.0%           43.5%           1.6%
  Incentive fees                                                 (1.7)%          (4.3)%          -- %
                                                                ------          ------         ------
  Total return after incentive fees                              17.3%           39.2%           1.6%
                                                                -------          ------        ------
</TABLE>

*** Interest income less total expenses (exclusive of incentive fees)

The  above  ratios  may vary for  individual  investors  based on the  timing of
capital transactions during the year. Additionally,  these ratios are calculated
for the  Limited  Partner  class using the  Limited  Partners'  share of income,
expenses and average net assets.

                                      F-13
<PAGE>


7.  Financial Instrument Risks:

     In the normal course of its business, the Partnership is party to financial
     instruments with off-balance  sheet risk,  including  derivative  financial
     instruments   and  derivative   commodity   instruments.   These  financial
     instruments  may include  forwards,  futures and options,  whose values are
     based upon an underlying  asset,  index,  or reference  rate, and generally
     represent  future  commitments  to exchange  currencies  or cash flows,  to
     purchase or sell other financial instruments at specific terms at specified
     future dates, or, in the case of derivative commodity instruments,  to have
     a reasonable  possibility to be settled in cash,  through physical delivery
     or with another financial instrument. These instruments may be traded on an
     exchange or  over-the-counter  ("OTC").  Exchange  traded  instruments  are
     standardized  and  include  futures  and  certain  option  contracts.   OTC
     contracts are negotiated between  contracting  parties and include forwards
     and certain options.  Each of these instruments is subject to various risks
     similar to those related to the underlying financial  instruments including
     market and credit risk. In general, the risks associated with OTC contracts
     are greater than those associated with exchange traded instruments  because
     of the greater risk of default by the counterparty to an OTC contract.

     Market  risk is the  potential  for  changes in the value of the  financial
     instruments  traded by the  Partnership  due to market  changes,  including
     interest and foreign  exchange rate movements and fluctuations in commodity
     or security prices.  Market risk is directly impacted by the volatility and
     liquidity in the markets in which the related underlying assets are traded.

     Credit risk is the possibility  that a loss may occur due to the failure of
     a counterparty to perform according to the terms of a contract. Credit risk
     with respect to exchange  traded  instruments is reduced to the extent that
     an  exchange  or  clearing  organization  acts  as a  counterparty  to  the
     transactions.  The Partnership's  risk of loss in the event of counterparty
     default is typically limited to the amounts recognized in the statements of
     financial condition and not represented by the contract or notional amounts
     of the instruments.  The Partnership has credit risk and concentration risk
     because the sole  counterparty or broker with respect to the  Partnership's
     assets is CGM.

     The General Partner monitors and controls the  Partnership's  risk exposure
     on a daily basis through financial,  credit and risk management  monitoring
     systems and,  accordingly  believes  that it has effective  procedures  for
     evaluating   and  limiting  the  credit  and  market  risks  to  which  the
     Partnership is subject.  These monitoring systems allow the General Partner
     to  statistically   analyze  actual  trading  results  with   risk-adjusted
     performance  indicators and correlation  statistics.  In addition,  on-line
     monitoring  systems  provide  account  analysis  of futures,  forwards  and
     options   positions  by  sector,   margin   requirements,   gain  and  loss
     transactions and collateral positions.

     The majority of these  instruments  mature  within one year of December 31,
     2003.  However,  due to the  nature of the  Partnership's  business,  these
     instruments may not be held to maturity.


                                      F-14

<PAGE>
Selected  unaudited  quarterly  financial  data for the years ended December 31,
2003 and 2002 are summarized below:


<TABLE>
<CAPTION>
<S>                                                <C>                 <C>                 <C>                       <C>
                                           For the period from  For the period from  For the period from        For the period from
                                           October 1, 2003 to     July 1, 2003 to     April 1, 2003 to          January 1, 2003 to
                                            December 31, 2003   September 30, 2003     June 30, 2003              March 31, 2003

Net realized and unrealized trading
 gains (losses) net of brokerage
 commissions and clearing fees
 including interest income                    $ 312,741            $ (247,692)        $ 301,545                   $ 584,303

Net Income (loss)                             $ 282,718            $ (297,532)        $ 208,385                   $ 499,734

Increase (decrease) in Net Asset
 Value per Redeemable Unit                     $ 247.13             $ (256.49)         $ 176.00                    $ 413.00

                                           For the period from  For the period from  For the period from        For the period from
                                           October 1, 2002 to     July 1, 2002 to     April 1, 2002 to          January 1, 2002 to
                                            December 31, 2002   September 30, 2002     June 30, 2002              March 31, 2002

Net realized and unrealized trading
 gains (loss) net of brokerage
 commissions and clearing fees
 including interest income                   $ (283,722)          $ 1,026,856       $ 1,140,694                  $ (361,689)

Net Income (loss)                            $ (330,201)            $ 849,937       $ 1,100,255                  $ (399,870)

Increase (decrease) in Net Asset
 Value per Redeemable Unit                    $ (269.33)             $ 672.42          $ 845.70                   $ (303.39)
</TABLE>



                                      F-15
<PAGE>


Item  9.  Changes  in and  Disagreements  with  Accountants  on  Accounting  and
          Financial Disclosure.

     PricewaterhouseCoopers  LLP was previously the principal accountant for the
Partnership.  On July 9, 2002,  that firm was dismissed as principal  accountant
and KPMG LLP was  engaged  as  principal  accountant.  The  decision  to  change
accountants was approved by the General Partner of the Partnership.

     In  connection  with the audit of the fiscal year ended  December 31, 2001,
and   through    July   9,   2002,    there   were   no    disagreements    with
PricewaterhouseCoopers  LLP on any matter of accounting principles or practices,
financial  statement  disclosure,   or  auditing  scope  or  procedures,   which
disagreements  if not resolved to their  satisfaction  would have caused them to
make reference thereto in their report on the financial statements for the year.

     The audit report of PricewaterhouseCoopers  LLP on the financial statements
of the  Partnership  as of and for the  year  ended  December  31,  2001 did not
contain any adverse  opinion or disclaimer  of opinion,  nor was it qualified or
modified as to uncertainty, audit scope, or accounting principle.

                                       23
<PAGE>

Item 9A. Controls and Procedures.

     Based on their  evaluation  of the  Partnership's  disclosure  controls and
procedures  as of year end the  Chief  Executive  Officer  and  Chief  Financial
Officer have concluded that such controls and procedures are effective.

     There were no significant changes in the Partnership's internal controls or
in other factors that could significantly affect such controls during the fourth
quarter of 2003.

                                    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,  Citigroup  Managed Futures LLC.  Investment  decisions are
made by John W. Henry & Company, Inc. (the "Advisor").

     The  Partnership  has not adopted a code of ethics that applies to officers
because it has no officers.

Item 11.  Executive Compensation.

     The Partnership  has no directors or officers.  Its affairs are managed the
General  Partner.  CGM, 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, 2003, CGM
earned $283,408 in brokerage  commissions and clearing fees. Management fees and
incentive fees of $181,419 and $66,775,  respectively were earned by the Advisor
for the year ended December 31, 2003.

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  Redeemable  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 Unit equivalents (3.0%) as of December 31, 2003.

     (c) Changes in control. None.

Item 13.  Certain Relationships and Related Transactions.

     Citigroup  Global Markets Inc. and Citigroup  Managed  Futures LLC 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".,  "Item 11. Executive Compensation." and
"Item 8. Financial Statements and Supplementary Data."

                                       24
<PAGE>

Item 14. Principal Accountant Fees and Services.

     (a) Audit Fees.  The aggregate  fees billed for each of the last two fiscal
years  for  professional  services  rendered  by KPMG  LLP for the  audit of the
Partnership's  annual  financial  statements,  review  of  financial  statements
included in the Partnership's Forms 10-Q and other services normally provided in
connection with regulatory filings or engagements are as follows:

2003     $4,519
2002     $2,645

     (b Audit-Related Fees. None.

     (c) Tax Fees.  The  aggregate  fees  billed for each of the last two fiscal
years for professional  services rendered by KPMG LLP for tax compliance and tax
advice  given  in  the  preparation  of  the  Partnership's  Schedule  K1s,  the
preparation  of the  Partnership's  Form 1065 and  preparation  of all State Tax
Returns are as follows:

2003     $4,809
2002     $4,809

     (d) All Other Fees. None.

     (e) Not Applicable.

     (f) Not Applicable.

                                       25
<PAGE>

                                     PART IV

Item 15.  Exhibits, Financial Statement Schedules, and Reports on Form 8-K.

     (a) (1)  Financial Statements:

              Statements of Financial Condition at December 31, 2003 and 2002.

              Condensed Schedule of Investments at December 31, 2003 and 2002.

              Statements of Income and Expenses for the years ended December
              31, 2003, 2002 and 2001.

              Statements of Partners' Capital for the years ended December
              31, 2003, 2002 and 2001.

              Notes to Financial Statements.

          (2) Financial  Statement  Schedules:  Financial  Data Schedule for the
              year ended December 31, 2003.

          (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  on  Form  S-1  (file  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 on Form S-1 (file 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).

          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).

                                       26
<PAGE>

          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).

          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).

          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).

                                       27
<PAGE>

          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).

          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).

          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).

                                       28
<PAGE>

          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).

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

          10.31- Letter  extending  Management  Agreement  with John W.  Henry &
               Company, Inc. for 1999 (previously filed).

          10.32- Letter  extending  Management  Agreement  with John W.  Henry &
               Company, Inc. for 2000 (previously filed).

          10.33- Letter  extending  Management  Agreement  with John W.  Henry &
               Company, Inc. for 2001 (previously filed).

          10.34- Letter  extending  Management  Agreements  with John W. Henry &
               Company, Inc. for 2002 (previously filed)

          10.35- Letter  extending  Management  Agreements  with John W. Henry &
               Company, Inc. for 2003 (filed herein)

          16.10 - Letter from PricewaterhouseCoopers LLP (filed herein).

               The exhibits  required to be filed by Item 601 of Regulation  S-K
               are incorporated herein by reference.

          31.1 -  Rule  13a-14(a)/15d-14(a)   Certification   (Certification  of
               President and Director)

          31.2 - Rule 13a-14(a)/15d-14(a)  Certification (Certification of Chief
               Financial Officer and Director)

          32.1 - Section 1350  Certification  (Certification  of  President  and
               Director)

          32.2 - Section 1350  Certification  (Certification  of Chief Financial
               Officer and Director)

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

                                       29
<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

No proxy material has been sent to Limited Partners.




                                       30
<PAGE>


                                   SIGNATURES

     Pursuant to the requirements of Section 13 or 15(d) the Securities Exchange
Act of 1934,  the  Registrant has duly caused this annual report on Form 10-K 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 29th day of March 2004.



SHEARSON SELECT ADVISORS FUTURES FUND L.P.






By:      Citigroup Managed Futures LLC
         (General Partner)



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


     Pursuant to the  requirements of the Securities  Exchange Act of 1934, this
annual report on Form 10-K has been signed below by the following persons in the
capacities and on the date indicated.


/s/ David J. Vogel                           /s/ Shelley Ullman
    David J. Vogel                               Shelley Ullman
    President and Director                       Director



/s/ Maureen O'Toole                          /s/ Steve J. Keltz
    Maureen O'Toole                              Steve J. Keltz
    Director                                     Secretary and Director


/s/ Daniel R. McAuliffe, Jr.
    Daniel R. McAuliffe, Jr.
    Chief Financial Officer and
    Director

                                       31
<PAGE>




                                                                    Exhibit 31.1

                                  CERTIFICATION

I, David J. Vogel, certify that:

1. I have reviewed this annual report on Form 10-K of Shearson  Select  Advisors
Futures Fund L.P. (the "registrant");

2. Based on my knowledge, this report does not contain any untrue statement of a
material fact or omit to state a material fact  necessary to make the statements
made, in light of the  circumstances  under which such statements were made, not
misleading with respect to the period covered by this report;

3.  Based  on my  knowledge,  the  financial  statements,  and  other  financial
information included in this report, fairly present in all material respects the
financial  condition and results of operations of the registrant as of, and for,
the periods presented in this report;

4.  The  registrant's  other  certifying  officer  and  I  are  responsible  for
establishing and maintaining  disclosure  controls and procedures (as defined in
Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have:

     a)  designed  such  disclosure  controls  and  procedures,  or caused  such
disclosure  controls and  procedures to be designed  under our  supervision,  to
ensure that material information relating to the registrant, is made known to us
by others within those  entities,  particularly  during the period in which this
report is being prepared;

     b) evaluated the effectiveness of the registrant's  disclosure controls and
procedures and presented in this report our conclusions  about the effectiveness
of the disclosure  controls and procedures,  as of the end of the period covered
by this report based on such evaluation; and

     c) disclosed in this report any change in the registrant's internal control
over  financial  reporting  that occurred  during the  registrant's  most recent
fiscal quarter (the registrant's  fourth fiscal quarter in the case of an annual
report) that has  materially  affected,  or is  reasonably  likely to materially
affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer and I have disclosed,  based on our
most recent  evaluation of internal  control over  financial  reporting,  to the
registrant's  auditors  and the audit  committee  of the  registrant's  board of
directors (or persons performing the equivalent functions):

     a) all significant  deficiencies  and material  weaknesses in the design or
operation of internal  control over  financial  reporting  which are  reasonably
likely  to  adversely  affect  the  registrant's  ability  to  record,  process,
summarize and report financial information; and

     b) any fraud,  whether or not material,  that involves  management or other
employees who have a significant role in the registrant's  internal control over
financial reporting.

Date:  March 29, 2004
                                             /s/  David J. Vogel
                                                  David J. Vogel
                                                  Citigroup Managed Futures LLC
                                                  President and Director


                                       32
<PAGE>

                                                                    Exhibit 31.2
                                  CERTIFICATION

I, Daniel R. McAuliffe, Jr., certify that:

1. I have reviewed this annual report on Form 10-K of Shearson  Select  Advisors
Futures Fund L.P. (the "registrant");

2. Based on my knowledge, this report does not contain any untrue statement of a
material fact or omit to state a material fact  necessary to make the statements
made, in light of the  circumstances  under which such statements were made, not
misleading with respect to the period covered by this report;

3.  Based  on my  knowledge,  the  financial  statements,  and  other  financial
information included in this report, fairly present in all material respects the
financial  condition and results of operations of the registrant as of, and for,
the periods presented in this report;

4.  The  registrant's  other  certifying  officer  and  I  are  responsible  for
establishing and maintaining  disclosure  controls and procedures (as defined in
Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have:

     a)  designed  such  disclosure  controls  and  procedures,  or caused  such
disclosure  controls and  procedures to be designed  under our  supervision,  to
ensure that material information relating to the registrant, is made known to us
by others within those  entities,  particularly  during the period in which this
report is being prepared;

     b) evaluated the effectiveness of the registrant's  disclosure controls and
procedures and presented in this report our conclusions  about the effectiveness
of the disclosure  controls and procedures,  as of the end of the period covered
by this report based on such evaluation; and

     c) disclosed in this report any change in the registrant's internal control
over  financial  reporting  that occurred  during the  registrant's  most recent
fiscal quarter (the registrant's  fourth fiscal quarter in the case of an annual
report) that has  materially  affected,  or is  reasonably  likely to materially
affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer and I have disclosed,  based on our
most recent  evaluation of internal  control over  financial  reporting,  to the
registrant's  auditors  and the audit  committee  of the  registrant's  board of
directors (or persons performing the equivalent functions):

     a) all significant  deficiencies  and material  weaknesses in the design or
operation of internal  control over  financial  reporting  which are  reasonably
likely  to  adversely  affect  the  registrant's  ability  to  record,  process,
summarize and report financial information; and

     b) any fraud,  whether or not material,  that involves  management or other
employees who have a significant role in the registrant's  internal control over
financial reporting.


Date: March 29, 2004

                                       /s/ Daniel R. McAuliffe, Jr.
                                           Daniel R. McAuliffe, Jr.
                                           Citigroup Managed Futures LLC
                                           Chief Financial Officer and Director

                                       33
<PAGE>

                                                                    Exhibit 32.1

                            CERTIFICATION PURSUANT TO
                             18 U.S.C. SECTION 1350,
                             AS ADOPTED PURSUANT TO
                  SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002


In connection with the Annual Report of Shearson  Select  Advisors  Futures Fund
L.P. (the  "Partnership")  on Form 10-K for the year ending December 31, 2003 as
filed with the  Securities  and  Exchange  Commission  on the date  hereof  (the
"Report"),  I, David J.  Vogel,  President  and  Director of  Citigroup  Managed
Futures LLC, certify, pursuant to 18 U.S.C. ss. 1350, as adopted pursuant to ss.
906 of the Sarbanes-Oxley Act of 2002, that:

     1. The Report fully  complies  with the  requirements  of section  13(a) or
15(d) of the Securities Exchange Act of 1934; and

     2. The information contained in the Report fairly presents, in all material
respects, the financial condition and results of operations of the Partnership.



/s/ David J. Vogel
    David J. Vogel
    Citigroup Managed Futures LLC
    President and Director

Date: March 29, 2004

                                       34
<PAGE>





                                                                    Exhibit 32.2

                            CERTIFICATION PURSUANT TO
                             18 U.S.C. SECTION 1350,
                             AS ADOPTED PURSUANT TO
                  SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002


In connection with the Annual Report of Shearson  Select  Advisors  Futures Fund
L.P. (the  "Partnership")  on Form 10-K for the year ending December 31, 2003 as
filed with the  Securities  and  Exchange  Commission  on the date  hereof  (the
"Report"), I, Daniel R. McAuliffe,  Jr., Chief Financial Officer and Director of
Citigroup  Managed  Futures LLC,  certify,  pursuant to 18 U.S.C.  ss. 1350,  as
adopted pursuant to ss. 906 of the Sarbanes-Oxley Act of 2002, that:

     1. The Report fully  complies  with the  requirements  of section  13(a) or
15(d) of the Securities Exchange Act of 1934; and

     2. The information contained in the Report fairly presents, in all material
respects, the financial condition and results of operations of the Partnership.


/s/ Daniel R. McAuliffe, Jr.
    Daniel R. McAuliffe, Jr.
    Citigroup Managed Futures LLC
    Chief Financial Officer and Director



Date: March 29, 2004


                                       35
<PAGE>

                       Smith Barney Futures Management LLC
                         388 Greenwich Street, 7th Floor
                          New York, New York 10013-2396



June 11, 2002



John W. Henry & Company, Inc.
301 Yamato Road, Suite 2200
Boca Raton, Fl. 33431-4931

Attn: Mr. Ken Webster

         Re:      Management Agreement Renewals

Dear Mr. Webster:

We are  writing  with  respect  to your  management  agreements  concerning  the
commodity pools to which reference is made below (the "Management  Agreements").
We are extending the term of the Management Agreements through June 30, 2003 and
all other provisions of the Management Agreements will remain unchanged.

o        Shearson Mid-West Futures Fund
o        Shearson Lehman Select Advisors Futures Fund L.P.
o        JWH Strategic Allocation Master FD LLC
o        Smith Barney Mid-West Futures Fund L.P. II
o        Smith Barney Westport Futures Fund L.P.
o        Hutton Investors Futures Fund, L.P. II  (HIFF II)
o        AURORA 2001

Please  acknowledge  receipt of this  modification  by signing  one copy of this
letter and returning it to the attention of Mr. Daniel  McAuliffe at the address
above or fax to  212-723-8985.  If you have any  questions  I can be  reached at
212-723-5435.

Very truly yours,

SMITH BARNEY FUTURES MANAGEMENT LLC



By:      /s/ Daniel R. McAuliffe, Jr.
          -------------------------
         Daniel R. McAuliffe, Jr.
         Chief Financial Officer & Director

JOHN W. HENRY & COMPANY, INC.

By:      /s/ Ken Webster
        -------------------------
Print Name:  Ken Webster
DRMcA/sr