<PAGE>   1
                                 UNITED STATES

                       SECURITIES AND EXCHANGE COMMISSION

                             WASHINGTON, D.C. 20549

                                   FORM 10-K

                 Annual Report Pursuant to Section 13 or 15(d)

                     of the Securities Exchange Act of 1934

                 For the Fiscal year ended December 31, 1995

Commission File Number 0-16627
                      --------

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

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

                   c/o Smith Barney Futures Management Inc.
                         390 Greenwich St. - 1st Fl.
                           New York, New York 10013
------------------------------------------------------------------------------
            (Address and Zip Code of principal executive offices)

                                (212) 723-5424
------------------------------------------------------------------------------
             (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:  50,000  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 /  /





<PAGE>   2
                                     PART I

Item 1. Business.

         (a) General development of business.  Shearson Lehman 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
other financial instruments, foreign currencies and stock indices.  The
Partnership commenced trading on July 1, 1987.  Redemptions for the years ended
December 31, 1995, 1994 and 1993, are reported in the Statements of Partners'
Capital on page F-5 under "Item 8.  Financial Statements and Supplementary
Data."

         The Partnership's trading of futures contracts on commodities is done
primarily on United States commodities exchanges and may, to a lesser extent,
be done on some foreign commodity exchanges.  It engages in such trading
through a commodity brokerage account maintained with its commodity broker,
Smith Barney Inc. ("SB").

         Smith Barney Futures Management Inc. acts as the general partner (the
"General Partner") of the Partnership.  SB is an affiliate of the General
Partner.

    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





                                       2
<PAGE>   3
more trading advisors.

   The Partnership is obligated to pay the General Partner a monthly management
fee of 4% per year of the month end Net Assets of the Partnership, as defined,
managed by each advisor and an incentive fee payable quarterly equal to 15% of
Net Trading Profits of the Partnership in the aggregate, as defined in the
Limited Partnership Agreement.

         At December 31, 1995, the General Partner had management agreements
(the "Management Agreements") with Sunrise Capital Management and John W. Henry
& Co., Inc. (collectively, the "Advisors"), none of which is affiliated with
the others or with the General Partner.  The General Partner terminated Gill
Capital Management as an Advisor effective June 30, 1995.  

         The Management Agreements require the General Partner to pay the
Advisors a monthly management fee of 1/3 of 1% of the Net Assets of the
Partnership (of 4% per year) managed by each Advisor and an incentive fee equal
to 10% of the Net Trading Profits, as defined in each Management Agreement,
earned on the Net Assets managed by each Advisor during each quarter.  The
incentive fees paid to the Advisors will be paid out of the General Partner's
own funds to the extent that incentive fees owed to particular Advisors exceed
the incentive fee paid by the Partnership to the General Partner.   Thus, the
Partnership will pay an incentive fee based on aggregate profits earned by all
the Advisors, not on any individual





                                       3
<PAGE>   4
Advisor's profits.

         Pursuant to the terms of the customer agreement entered into with SB
(the "Customer Agreement"), the Partnership is obligated to pay a monthly
commodity brokerage fee.  Effective July 1, 1995, the Partnership pays SB a
monthly brokerage fee equal to .667% of month end net assets (8% per year) in
lieu of brokerage commissions on a per trade basis.  Brokerage commissions
were reduced as of this date and the Partnership previously paid SB a monthly
brokerage fee equal to .833% of month end net assets (10%) per year. The
Partnership will pay for clearing fees, but not for floor brokerage which will
be borne by SB.

         In addition, SB will pay the Partnership interest on 70% of the
average daily equity maintained in cash in its accounts during each month at
the rate of the average non-competitive yield of the 13-week U.S. Treasury
Bills as determined at the weekly auctions thereof during the month.  The
Customer Agreement may be terminated upon notice by either party.

         (b)  Financial information about industry segments.  The
Partnership's business consists of only one segment, speculative trading of
commodity interests, including forward contracts on foreign currencies,
commodity options and commodity futures contracts (including futures contracts
on U.S. Treasuries 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, 1995, 1994, 1993, 1992, and 1991 are set forth under





                                       4
<PAGE>   5
"Item 6.  Select Financial Data."  Partnership capital as of December 31,
1995 was $6,035,144.

         (c)  Narrative description of business.

         See Paragraphs (a) and (b) above.

         (i) through (x) - Not applicable.

         (xi) through (xii) - Not applicable.

         (xiii) - The Partnership has no employees.

         (d)     Financial Information About Foreign and Domestic 
                 Operations and Export Sales.  The Partnership does not engage
in sales of goods or services, and therefore this item is not applicable.

Item 2. Properties.

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

Item 3. Legal Proceedings.

         There are no pending legal proceedings to which the Partnership is a
party or to which any of its assets is subject.  No material legal proceedings
affecting the Partnership were terminated during the fiscal year 1995.

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.





                                       5
<PAGE>   6
                                    PART II

Item 5.  Market for Registrant's Common Equity and Related Security
         Holder Matters.

         (a)     Market Information.  The Partnership has issued no stock.
                 There is no established public trading market for the Units 
                 of Limited Partnership Interest.

         (b)     Holders. The number of holders of Units of Partnership
                 Interest as of December 31, 1995 was 776.

         (c)     Distribution.  The Partnership did not declare a distribution
                 in 1995.





                                       6
<PAGE>   7
Item 6. Select Financial Data.

         Net realized and unrealized trading gains (losses), interest income,
         net income (loss) and increase (decrease) in net asset value per Unit
         for the years ended December 31, 1995, 1994, 1993, 1992, and 1991 and
         total assets at December 31, 1995, 1994, 1993, 1992, and 1991 were as
         follows:



<TABLE>
<CAPTION>
                                       1995                 1994                  1993                 1992                1991    
                                   ------------         ------------          ------------        -------------       -------------
<S>                             <C>                     <C>                   <C>                 <C>                <C>
Net realized and unrealized                                                                                      
 trading gains (losses) net                                                                                      
 of brokerage commissions                                                                                        
 and clearing fees of                                                                                            
 $618,168, $828,783,                                                                                             
 $1,057,289,$1,036,415                                                                                           
 and $1,448,774 respectively       $  1,706,320          $  (988,663)          $ 2,188,701         $(1,251,991)       $  1,941,436
                                                                                                                 
Interest income                    $    256,528          $   238,826           $   215,048         $   249,629        $    442,084
                                   ------------          -----------           -----------         -----------        ------------
                                   $  1,962,848          $  (749,837)          $ 2,403,749         $(1,002,362)       $  2,383,520
                                   ============          ===========           ===========         ===========        ============
                                                                                                                 
Net Income (loss)                  $  1,610,495          $(1,128,851)          $ 1,862,704         $(1,452,252)       $  1,680,627
                                   ============          ===========           ===========         ===========        ============
                                                                                                                 
                                                                                                                 
Increase (decrease) in net                                                                                       
 asset value per unit              $     416.20          $   (250.84)          $    306.90         $   (174.11)       $     219.49
                                    ===========          ===========           ===========         ===========        ============
                                                                                                                 
                                                                                                                 
Total assets                       $  6,537,230          $ 6,586,035           $10,415,370         $ 9,874,510        $ 13,470,423
                                    ===========          ===========           ===========         ===========        ============
</TABLE> 





                                       7
<PAGE>   8
Item 7.         Management's Discussion and Analysis of Financial
                Condition and Results of Operations.

         (a)    Liquidity. The Partnership does not engage in sales of goods or
services.  Its only assets are its equity in its commodity futures trading
account, consisting of cash and cash equivalents, net unrealized appreciation
(depreciation) on open futures contracts and interest receivable.  Because of
the low margin deposits normally required in commodity futures trading,
relatively small price movements may result in substantial losses to the
Partnership.  Such substantial losses could lead to a material decrease in
liquidity.  To minimize this risk, the Partnership follows certain policies
including:

         (1)     Partnership funds are invested only in contracts which are 
traded in sufficient volume to permit, in the opinion of the Advisors, ease
of taking and liquidating positions.

         (2)     The Partnership diversifies its positions among various
commodities. No Advisor initiates additional positions in any commodity for the
Partnership if such additional positions would result in aggregate positions
for all commodities requiring a margin of more than 66-2/3% of net assets of
the Partnership managed by the Advisor.

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





                                       8
<PAGE>   9
         (4)     The Partnership does not employ the trading technique commonly
known as "pyramiding", in which the speculator uses unrealized profits on
existing positions as margin for the purchase or sale of additional positions
in the same or related commodities.

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

         (6)     The Advisors may, from time to time, employ trading strategies
such as spreads or straddles on behalf of the Partnership.  The term "spread"
or "straddle" describes a commodity futures trading strategy involving the
simultaneous buying and selling of futures contracts on the same commodity but
involving different delivery dates or markets and in which the trader expects
to earn a profit from a widening or narrowing of the difference between the
prices of the contracts.

         The Partnership is party to financial instruments with off-balance
sheet risk, including derivative financial instruments and derivative commodity
instruments, in the normal course of its business.  These financial instruments
include forwards, futures and options, whose value is based upon an underlying
asset, index, or reference rate, and generally represent future commitments to
exchange currencies or cash flows, or to purchase or sell other financial
instruments at specified terms at specified future dates.  Each of these
instruments is subject to various risks similar to those relating to the
underlying financial instruments including market and credit risk.  The General
Partner monitors and controls





                                       9
<PAGE>   10
the Partnership's risk exposure on a daily basis through financial, credit and
risk management monitoring systems and, accordingly believes that it has
effective procedures for evaluating and limiting the credit and market risks to
which the Partnership is subject.  (See also Item 8. "Financial Statement and
Supplementary Data.," for further information on financial instrument risk
included in the notes to financial statements.)

          Other than the risks inherent in commodity futures trading, the
Partnership knows of no trends, demands, commitments, events or uncertainties
which will result in or which are reasonably likely to result in the
Partnership's liquidity increasing or decreasing in any material way.  The
Limited Partnership Agreement provides that the General Partner may, in its
discretion, cause the Partnership to cease trading operations and liquidate all
open positions under certain circumstances including a decrease in Net Asset
Value per Unit to less than $350 as of the close of business on any business
day or a decline in Net Assets after trading commences to less than $1,000,000.

         (b)   Capital resources.  (i)  The Partnership has made no material
commitments for capital expenditures.

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





                                       10
<PAGE>   11
technical factors which the Partnership may or may not be able to identify.
Partnership expenses consist of, among other things, commissions, management
fees and incentive fees.   The level of these expenses is dependent upon the
level of trading and the ability of the Advisors to identify and take advantage
of price movements in the commodity markets, in addition to the level of Net
Assets maintained.   The amount of interest income payable by SB is dependent
upon interest rates over which the Partnership has no control.   No forecast
can be made as to the level of redemptions in any given period.   In 1995, 890
Units were redeemed for a total of $1,705,059 which includes the General
Partner's redemption representing 38 Unit equivalents totaling $74,532.   In
1994, 1,140 Units were redeemed for a total of $1,913,674 which includes the
General Partner's redemption representing 435 Units equivalents totaling
$726,072.  In 1993, 1,103 Limited Partnership Units were redeemed for a total
of $1,937,814.

         (c)   Results of operations.   For the year ended December 31, 1995,
the net asset value per Unit increased 26.9% from $1,545.17 to $1,961.37.   For
the year ended December 31, 1994, the net asset value per Unit decreased 14.0%,
from $1,796.01 to $1,545.17.   For the year ended December 31, 1993, the net
asset value per Unit increased 20.6%, from $1,489.11 to $1,796.01.

         The Partnership experienced net trading gains of $2,324,488 before
commissions and expenses in 1995.   Realized trading gains of $2,541,756 were
attributable to gains incurred in the trading of interest rates, currencies,
stock indices and agricultural commodity futures.  However, these realized
trading gains were





                                       11
<PAGE>   12
partially offset by realized trading losses experienced in the trading of
commodity futures in energy and precious metals.  The Partnership experienced
net trading losses of $159,880 before commissions and expenses in 1994.
Realized trading losses of $33,222 were attributable to trading in financial,
industrial, stock indices and energy commodity futures.  However, these
realized trading losses were partially offset by realized trading gains
experienced in the trading of commodity futures in agricultural and precious
metals.  The Partnership experienced net trading gains of $3,245,990 before
commissions and expenses in 1993.  Realized trading gains of $2,824,702 were
attrituable to trading in financial, livestock, industrial, precious metals,
grains and oils and stock indices.  However, these realized trading gains were
partially offset by realized trading losses experienced in the trading of
commodity futures in foods.

         Commodity futures markets are highly volatile.  Broad price
fluctuations and rapid inflation increase the risks involved in commodity
trading, but also increase the possibility of profit.  The profitability of
the Partnership depends on the existence of major price trends and the ability
of the Advisors to identify correctly those price trends.  These 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
Advisors are able to identify them, the Partnership expects to increase capital
through operations.





                                       12
<PAGE>   13
Item 8.  Financial Statements and Supplementary Data.


              SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L.P.
                        INDEX TO FINANCIAL STATEMENTS

<TABLE>                                             
<CAPTION>                                           
                                                           Page
                                                          Number
                                                          ------
<S>                                                     <C>
Report of Independent Accountants.                         F-2
                                                    
Financial Statements:                               
Statements of Financial Condition at                
December 31, 1995 and 1994.                                F-3
                                                    
Statements of Income and Expenses for               
the years ended December 31, 1995,                  
1994 and 1993.                                             F-4
                                                    
Statements of Partners' Capital for                 
the years ended December 31, 1995,                  
1994 and 1993.                                             F-5
                                                    
Notes to Financial Statements.                          F-6 - F-9
</TABLE>                                            
                                                    




                                      F-1

                                   CONTINUED





<PAGE>   14
                       REPORT OF INDEPENDENT ACCOUNTANTS

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

We have audited the accompanying statements of financial condition of SHEARSON
LEHMAN SELECT ADVISORS FUTURES FUND L. P. (a Delaware Limited Partnership) as
of December 31, 1995 and 1994 and the related statements of income and expenses
and partners' capital for the years ended December 31, 1995, 1994 and 1993.
These financial statements are the responsibility of the management of the
General Partner. Our responsibility is to express an opinion on these financial
statements based on our audits.

We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements.  An audit
also includes assessing the accounting principles used and significant
estimates made by management of the General Partner, 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 Lehman Select
Advisors Futures Fund L. P. as of December 31, 1995 and 1994, and the results
of its operations for the years ended December 31, 1995, 1994 and 1993, in
conformity with generally accepted accounting principles.


                                                    /s/ COOPERS & LYBRAND L.L.P.
                                                    Coopers & Lybrand L.L.P.

New York, New York
February 21, 1996





                                      F-2
<PAGE>   15
                        SHEARSON LEHMAN SELECT ADVISORS
                               FUTURES FUND L.P.
                       STATEMENTS OF FINANCIAL CONDITION
                           DECEMBER 31, 1995 AND 1994

<TABLE>
<CAPTION>
                                                              1995                     1994
                                                           ----------               ----------
<S>                                                        <C>                      <C>

ASSETS:
Equity in commodity futures
  trading account:
  Cash and cash equivalents (Note 3b)                      $6,220,627               $6,049,620
  Net unrealized appreciation
    on open futures contracts                                 296,486                  513,754
                                                           ----------               ----------
                                                            6,517,113                6,563,374
Interest receivable                                            20,117                   22,661
                                                           ----------               ----------
                                                           $6,537,230               $6,586,035
                                                           ==========               ==========

LIABILITIES AND PARTNERS' CAPITAL:

Liabilities:
  Accrued expenses:
    Commissions                                               $43,582                  $54,884
    Management fees                                            21,568                   20,223
    Other                                                      23,087                   33,557
  Redemptions payable (Note 5)                                413,849                  347,663
                                                           ----------               ----------
                                                              502,086                  456,327
                                                           ----------               ----------

Partners' capital (Notes 1, 5 and 6):
  General Partner, 34 and 72 Unit
    equivalents outstanding in
   1995 and 1994, respectively                                 66,687                  111,252
  Limited Partners, 3,043 and
    3,895 Units of Limited
    Partnership Interest
    outstanding in 1995 and
    1994, respectively                                      5,968,457                6,018,456
                                                           ----------               ----------
                                                            6,035,144                6,129,708
                                                           ----------               ----------
                                                           $6,537,230               $6,586,035
                                                           ==========               ==========
</TABLE>


See notes to financial statements.


                                      F-3

<PAGE>   16
                        SHEARSON LEHMAN SELECT ADVISORS
                               FUTURES FUND L.P.
                       STATEMENTS OF INCOME AND EXPENSES
                              FOR THE YEARS ENDED
                        DECEMBER 31, 1995, 1994 AND 1993

<TABLE>
<CAPTION>
                                                     1995              1994            1993
                                                     ----              ----            ----
<S>                                              <C>             <C>               <C>
Income:
  Net gains (losses) on
    trading of commodity
    interests:
  Realized gains (losses)
     on closed positions                          $2,541,756         $(33,222)       $2,824,702
  Change in unrealized
    gains/losses on
    open positions                                  (217,268)        (126,658)          421,288
                                                  ----------       ----------       -----------
                                                   2,324,488         (159,880)        3,245,990
  Less, Brokerage
    commissions and
    clearing fees ($7,491
    $10,714 and $18,810,
    respectively) (Note 3b)                         (618,168)        (828,783)       (1,057,289)
                                                  ----------       ----------       -----------
  Net realized and
    unrealized gains
    (losses)                                       1,706,320         (988,663)        2,188,701
  Interest income (Note 3b)                          256,528          238,826           215,048
                                                  ----------       ----------       -----------
                                                   1,962,848         (749,837)        2,403,749
                                                  ----------       ----------       -----------

Expenses:
  Management fees (Note 3a)                          258,861          314,745           411,013
  Incentive fees (Note 3a)                            41,244           10,601            80,234
  Other expenses                                      52,248           53,668            49,798
                                                  ----------       ----------        ----------
                                                     352,353          379,014           541,045
                                                  ----------       ----------        ----------
Net income (loss)                                 $1,610,495      $(1,128,851)       $1,862,704
                                                  ==========      ===========        ==========
Net income (loss) per Unit
  of Limited Partnership Interest
  and General Partner Unit
  equivalent (Notes 1 and 6)                         $416.20         $(250.84)          $306.90
                                                  ==========      ===========        ==========
</TABLE>

See notes to financial statements.




                                      F-4





<PAGE>   17
                        SHEARSON LEHMAN SELECT ADVISORS
                               FUTURES FUND L.P.
                        STATEMENTS OF PARTNERS' CAPITAL
                              FOR THE YEARS ENDED
                        DECEMBER 31, 1995, 1994 AND 1993

<TABLE>
<CAPTION>
                                                  LIMITED           GENERAL
                                                  PARTNERS          PARTNER           TOTAL
                                                 -----------        ---------      -----------
<S>                                              <C>               <C>             <C>
Partners' capital at
  December 31, 1992                              $8,492,364          $754,979       $9,247,343
Net income                                        1,707,106           155,598        1,862,704
Redemption of 1,103
  Units of Limited
  Partnership Interest                           (1,937,814)                        (1,937,814)
                                                 ----------        ----------      -----------
Partners' capital at
  December 31, 1993                               8,261,656           910,577        9,172,233
Net loss                                         (1,055,598)          (73,253)      (1,128,851)
Redemption of 705
  Units of Limited
  Partnership Interest
  and General Partner
  redemption representing
  435 Unit equivalents                           (1,187,602)         (726,072)      (1,913,674)
                                                 ----------        ----------      -----------
Partners' capital at
  December 31, 1994                               6,018,456           111,252        6,129,708
Net income                                        1,580,528            29,967        1,610,495
Redemption of 852
  Units of Limited
  Partnership Interest
  and General Partner
  redemption representing
  38 Unit equivalents                            (1,630,527)          (74,532)      (1,705,059)
                                                 ----------        ----------      -----------
Partners' capital at
  December 31, 1995                              $5,968,457        $   66,687       $6,035,144
                                                 ==========        ==========      ===========
</TABLE>


See notes to financial statements.



                                      F-5
<PAGE>   18
                        SHEARSON LEHMAN SELECT ADVISORS
                               FUTURES FUND L.P.

                         NOTES TO FINANCIAL STATEMENTS

1.       Partnership Organization:

         Shearson Lehman 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 commodity interests including forward
         contracts on foreign currencies, commodity options and commodity
         futures contracts including futures contracts on U.S. 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 Units of Limited Partnership Interest
         ("Units") during its public offering.

         Smith Barney Futures Management Inc. acts as the general partner (the
         "General Partner") of the Partnership. Smith Barney Inc. ("SB"), an
         affiliate of the General Partner, acts as commodity broker for the
         Partnership (see Note 3b) .

         The General Partner and each limited partner share in the profits and
         losses of the Partnership in proportion to the amount of the
         Partnership interest owned by each, except that no limited partner
         shall be liable for obligations of the Partnership in excess of his
         initial capital contribution and profits, if any, net of
         distributions.

         The Partnership will be liquidated upon the first to occur of the
         following: December 31, 2007; a decline in net asset value per Unit on
         any business day after trading to less than $350; a decline in net
         assets after trading commences to less than $1,000,000; or under
         certain other circumstances as defined in the Limited Partnership
         Agreement.

2.       Accounting Policies:

         a.      All commodity interests (including derivative financial
                 instruments and derivative commodity instruments) are used for
                 trading purposes. The commodity interests are recorded on
                 trade date and open contracts are recorded in the statement of
                 financial condition at market value for those commodity
                 interests for which market quotations are readily available or
                 at fair value on the last business day of the year.
                 Investments in commodity interests denominated in foreign
                 currency are translated into U.S. dollars at the exchange
                 rates prevailing on the last business day of the year.
                 Realized gain (loss) and changes in unrealized values on
                 commodity interests are recognized in the period in which the
                 contract is closed or the changes occur and are included in
                 net gains (losses) on trading of commodity interests.

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

         c.      The preparation of financial statements in conformity with
                 generally accepted accounting principles requires management
                 to make estimates and assumptions that affect the reported
                 amounts of assets and liabilities at the date of the financial
                 statements and the





                                      F-6

<PAGE>   19
                        SHEARSON LEHMAN SELECT ADVISORS
                               FUTURES FUND L.P.

                         NOTES TO FINANCIAL STATEMENTS

         reported amounts of revenues and expenses during the reporting period.
         Actual results could differ from these estimates.

3.       Agreements:

         a.      Management Agreements and Limited Partnership Agreement:

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

                 At December 31, 1995, the General Partner had Management
                 Agreements with the following Advisors: Sunrise Commodities
                 Inc. and John W. Henry & Co. Inc., effective until June 30,
                 1996, at which time they may be renewed at the option of the
                 General Partner. The General Partner terminated Gill Capital
                 Management as an Advisor effective June 30, 1995.

                 The Management Agreements require the General Partner to pay
                 the Advisors a management fee payable monthly of 4% per annum
                 of the Net Assets, as defined, of the Partnership managed by
                 each Advisor and an incentive fee payable quarterly equal to
                 10% of Net Trading Profits, as defined, earned on the Net
                 Assets managed by each Advisor.

         b.      Customer Agreement:

                 The Partnership has entered into a Customer Agreement which
                 was assigned to SB whereby SB provides services which include,
                 among other things, the execution of transactions for the
                 Partnership's account in accordance with orders placed by the
                 Advisors.  Effective July 1, 1995, the Partnership pays SB a
                 monthly brokerage fee equal to .667% of month end net assets
                 (8% per year) in lieu of brokerage commissions on a per trade
                 basis. Brokerage commissions were reduced as of this date and
                 the Partnership previously paid SB a monthly brokerage fee
                 equal to .833% of month end net assets (10% per year). The
                 Partnership pays for all clearing fees but not floor
                 brokerage. All of the Partnership's assets are deposited in
                 the Partnership's account at SB. The Partnership's funds are
                 deposited by SB in segregated bank accounts as required by
                 Commodity Futures Trading Commission regulations.  At December
                 31, 1995, the amount of cash held for margin requirements was
                 $771,150. SB 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 may be
                 terminated upon notice by either party.


                                      F-7





<PAGE>   20
                        SHEARSON LEHMAN SELECT ADVISORS
                               FUTURES FUND L.P.

                         NOTES TO FINANCIAL STATEMENTS

4.       Trading Activities:

         The Partnership was formed for the purpose of trading contracts in a
         variety of commodity interests, including derivative financial
         instruments and derivative commodity instruments. The results of the
         Partnership's trading activity are shown in the statement of income
         and expenses.

         All of the commodity interests owned by the Partnership are held for
         trading purposes. The fair value of these commodity interests,
         including options thereon, at December 31, 1995 was $296,486 and the
         average fair value during the year then ended, based on monthly
         calculation, was $464,853.

5.       Distributions and Redemptions:

         Distributions of profits, if any, will be made at the sole discretion
         of the  General Partner; however, each limited partner may redeem some
         or all of his Units at the net asset value thereof as of the last day
         of any calendar quarter on 15 days' notice to the General Partner,
         provided that no redemption may result in the limited partner holding
         fewer than three Units after such redemption is effected.

6.       Net Asset Value Per Unit:

         Change in the net asset value per Unit during the years ended December
         31, 1995, 1994 and 1993 were as follows:

<TABLE>
<CAPTION>
                                                     1995              1994             1993
                                                  ---------         ---------       ---------
          <S>                                     <C>               <C>             <C>
          Net realized and
            unrealized gains
            (losses)                                $442.66          $(222.14)        $361.75
          Interest income                             72.01             50.70           36.20
          Expenses                                   (98.47)           (79.40)         (91.05)
                                                  ---------         ---------       ---------
          Increase (decrease)
            for year                                 416.20           (250.84)         306.90
          Net asset value
            per Unit, beginning
            of year                                1,545.17          1,796.01        1,489.11
                                                  ---------         ---------       ---------
          Net asset value per
            Unit, end of year                     $1,961.37         $1,545.17       $1,796.01
                                                  =========         =========       =========
</TABLE>



                                      F-8
<PAGE>   21
                        SHEARSON LEHMAN SELECT ADVISORS
                               FUTURES FUND L.P.

                         NOTES TO FINANCIAL STATEMENTS

7.       Financial Instrument Risk:

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

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

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

         The notional or contractual amounts of these instruments, while not
         recorded in the financial statements, reflect the extent of the
         Partnership's involvement in these instruments. At December 31, 1995,
         the notional or contractual amounts of the Partnership's commitment to
         purchase and sell these instruments was approximately $51,980,000 and
         $13,546,000, respectively.





                                      F-9





<PAGE>   22
Item 9.          Changes in and Disagreements with Accountants on 
                 Accounting and Financial Disclosure.

                 During the last two fiscal years and any subsequent interim
period, no independent accountant who was engaged as the principal accountant
to audit the Partnership's financial statements has resigned or was dismissed.

                                    PART III

Item 10.         Directors and Executive Officers of the Registrant.

                 The Partnership has no officers or directors and its affairs
are managed by its General Partner, Smith Barney Futures Management Inc. At
December 31, 1995 the General Partner has selected two Advisors, none of which
is affiliated with the General Partner or its parent.  The Advisors selected
are Sunrise Commodities Inc. and John W. Henry & Co., Inc.

Item 11.         Executive Compensation.

                 The Partnership has no directors or officers.  Its affairs are
managed by Smith Barney Futures Management Inc., its General Partner, which
receives compensation for its services, as set forth under "Item 1. Business."
SB, 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, 1995, SB earned
$618,168 in brokerage commissions and clearing fees and $258,861 in management
fees were paid or were payable to the General Partner.  The General Partner
also earned $41,244 in incentive fees in 1995.  The Advisors are compensated
for management and incentive fees from the General Partner's own funds.





                                       13
<PAGE>   23
Item 12.         Security Ownership of Certain Beneficial Owners and
                 Management.

                 (a).  Security ownership of certain beneficial owners.  The
Partnership knows of no person who beneficially owns more than 5% of the Units
outstanding.

                 (b).  Security ownership of management.  Under the terms of
the Limited Partnership Agreement, the Partnership's affairs are managed by the
General Partner.  The General Partner owns Units of general partnership
interest equivalent to 34 Units (1.1%).

                 (c).  Changes in control.  None.

Item 13.         Certain Relationships and Related Transactions.

                 Smith Barney Inc. and Smith Barney Futures Management Inc.
would be considered promoters for purposes of Item 404 (d) of Regulation S-K.
The nature and the amounts of compensation each promoter will receive from the
Partnership are set forth under "Item 1. Business." and "Item 11. Executive
Compensation

                                    PART IV

Item 14.         Exhibits, Financial Statement Schedules, and Reports on Form
                 8-K.

         (a) (1) Financial Statements:

                 Statements of Financial Condition at December 31, 1995 and
1994.  

                 Statements of Income and Expenses for the years ended
December 31, 1995, 1994 and 1993.  

                 Statements of Partners' Capital for the years ended 
December 31, 1995, 1994 and 1993.

          (2)    Financial Statement Schedules:  Financial Data





                                       14
<PAGE>   24

                 Schedule for the year ended December 31, 1995.

          (3)    Exhibits:

         3.1 -        Limited Partnership Agreement dated as of February
                      10, 1987 and amended as of April 6, 1987 (filed as
                      Exhibit 3.1 to the Registration Statement No.33-12241
                      and incorporated herein by reference).
                     
         3.2 -        Certificate of Limited Partnership of the Partnership
                      as filed in the office of the Secretary of State of
                      the State of Delaware on February 10, 1987 (filed as
                      Exhibit 3.2 to the Registration Statement No.
                      33-12241 and incorporated herein by reference).
                     
         10.1 -       Customer Agreement between Shearson Lehman Select
                      Advisors Futures Fund L.P. and Smith Barney Shearson
                      Inc. (previously filed).
                     
         10.1(a)-     Amendment to Customer Agreement dated as of September
                      30, 1988 (previously filed).
                     
         10.4(a) -    Management Agreement between Hayden Commodities Corp.
                      and Dunn Commodities, Inc.(previously filed).
                     
         10.4(b) -    Management Agreement between Hayden Commodities Corp.
                      and Investment Timing Services (previously filed).
                     
         10.4(c)-     Management Agreement between Hayden Commodities Corp.
                      and Cresta Commodity Management Inc. (previously
                      filed).
                     
                     
                     
                     
                     
                                   15
<PAGE>   25
         10.4(d) -    Management Agreement between Hayden Commodities Corp.
                      and Computerized Advisory (previously filed).
                     
         10.6(e) -    Management Agreement between Hayden Commodities Corp.
                      and Donald J. Guy (previously filed).
                     
         10.4(f) -    Management Agreement between Hayden Commodities Corp.
                      and I.C.S.C., Inc. (previously filed).
                     
         10.4(g) -    Management Agreement between Hayden Commodities Corp.
                      and Orion Inc. (previously filed).
                     
         10.4(h) -    Management Agreement between Hayden Commodities Corp.
                      and Bacon Investment Corporation (previously filed).
                     
         10.4(i) -    Management Agreement between Hayden Commodities Corp.
                      and PRAGMA, Inc. (previously filed).
                     
         10.4(j) -    Management Agreement between Hayden Commodities Corp.
                      and Mint Investment Management Company (previously
                      filed).
                     
         10.4(k) -    Management Agreement between Hayden Commodities Corp.
                      and John W. Henry & Co., Inc. (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
                     
                     
                     
                     
                     
                                   16
<PAGE>   26
                      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).
                     
                     
                     
                     
                     
                                   17
<PAGE>   27
         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 
                     
                     
                     
                     
                     
                                   18
<PAGE>   28
                      (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).
                     
                     
                     
                     
                     
                                   19
<PAGE>   29
         10.25 -      Management Agreement dated September 1, 1994 the
                      Partnership, the General Partner and Gill Capital
                      Management(filed as Exhibit 10.25 to Form 10-K for
                      the fiscal year ended December 31, 1994).
                     
         10.26 -      Letters extending Management Agreements with John W.
                      Henry & Co., Sunrise Capital Management, Inc. and
                      Gill Capital Management  dated February 16, 1995
                      (filed as Exhibit 10.26 to Form 10-K for the fiscal
                      year ended December 31, 1994).
                     
         10.27 -      Letter terminating Management Agreement with Gill
                      Capital Management dated June 27, 1995 (filed herein).
                     


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





                                       20
<PAGE>   30
         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





                                      21
<PAGE>   31
                                   SIGNATURES

         Pursuant to the requirements of Section 13 or 15 (d) of the Securities
Exchange Act of 1934, the registrant has duly caused this registration
statement to be signed on its behalf by the undersigned, thereunto duly 
authorized.

SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L.P.
-------------------------------------------------
(Registrant)

Date: March 29, 1996

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


By:      /s/ Alexander J. Sloane, Chief Executive Officer
         ------------------------------------------------
         Alexander J. Sloane, Chief Executive Officer


         Pursuant to the requirements of the Securities Exchange Act of 1934,
this report has been signed below by the following persons on behalf of the
registrant and in the capacities indicated as of March 29, 1996.


/s/ Philip M. Waterman, Jr.
Philip M. Waterman, Jr.
Co-Chairman and Director

/s/ Jack H. Lehman III
Jack H. Lehman III
Co-Chairman and Director

/s/ Alexander J. Sloane
Alexander J. Sloane
President and Director

/s/ Steve J. Keltz
Steve J. Keltz
Director

/s/ David J. Vogel
David J. Vogel
Director

/s/ Daniel A. Dantuono             
Daniel A. Dantuono
Chief Financial Officer 
and Director

/s/ Daniel R. McAuliffe, Jr.
Daniel R. McAuliffe, Jr.
Director

/s/ Shelley Ullman
Shelley Ullman
Director

/s/ Michael Schaefer
Michael Schaefer
Director




                                       22
<PAGE>   32
                                EXHIBIT INDEX


         3.1 -        Limited Partnership Agreement dated as of February
                      10, 1987 and amended as of April 6, 1987 (filed as
                      Exhibit 3.1 to the Registration Statement No.33-12241
                      and incorporated herein by reference).
                     
         3.2 -        Certificate of Limited Partnership of the Partnership
                      as filed in the office of the Secretary of State of
                      the State of Delaware on February 10, 1987 (filed as
                      Exhibit 3.2 to the Registration Statement No.
                      33-12241 and incorporated herein by reference).
                     
         10.1 -       Customer Agreement between Shearson Lehman Select
                      Advisors Futures Fund L.P. and Smith Barney Shearson
                      Inc. (previously filed).
                     
         10.1(a)-     Amendment to Customer Agreement dated as of September
                      30, 1988 (previously filed).
                     
         10.4(a) -    Management Agreement between Hayden Commodities Corp.
                      and Dunn Commodities, Inc.(previously filed).
                     
         10.4(b) -    Management Agreement between Hayden Commodities Corp.
                      and Investment Timing Services (previously filed).
                     
         10.4(c)-     Management Agreement between Hayden Commodities Corp.
                      and Cresta Commodity Management Inc. (previously
                      filed).
                     
                     
                     
                     
                     

<PAGE>   33
         10.4(d) -    Management Agreement between Hayden Commodities Corp.
                      and Computerized Advisory (previously filed).
                     
         10.6(e) -    Management Agreement between Hayden Commodities Corp.
                      and Donald J. Guy (previously filed).
                     
         10.4(f) -    Management Agreement between Hayden Commodities Corp.
                      and I.C.S.C., Inc. (previously filed).
                     
         10.4(g) -    Management Agreement between Hayden Commodities Corp.
                      and Orion Inc. (previously filed).
                     
         10.4(h) -    Management Agreement between Hayden Commodities Corp.
                      and Bacon Investment Corporation (previously filed).
                     
         10.4(i) -    Management Agreement between Hayden Commodities Corp.
                      and PRAGMA, Inc. (previously filed).
                     
         10.4(j) -    Management Agreement between Hayden Commodities Corp.
                      and Mint Investment Management Company (previously
                      filed).
                     
         10.4(k) -    Management Agreement between Hayden Commodities Corp.
                      and John W. Henry & Co., Inc. (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
                     
                     
                     
                     
                     

<PAGE>   34
                      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).
                     
                     
                     
                     
                     

<PAGE>   35
         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 
                     
                     
                     
                     
                     

<PAGE>   36
                      (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).
                     
                     
                     
                     
                     

<PAGE>   37
         10.25 -      Management Agreement dated September 1, 1994 the
                      Partnership, the General Partner and Gill Capital
                      Management(filed as Exhibit 10.25 to Form 10-K for
                      the fiscal year ended December 31, 1994).
                     
         10.26 -      Letters extending Management Agreements with John W.
                      Henry & Co., Sunrise Capital Management, Inc. and
                      Gill Capital Management  dated February 16, 1995
                      (filed as Exhibit 10.26 to Form 10-K for the fiscal
                      year ended December 31, 1994).
                     
         10.27 -      Letter terminating Management Agreement with Gill
                      Capital Management dated June 27, 1995 (filed herein).
                     
         27    -      Financial Data Schedule