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, 2007

OR (    ) TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period fromto

Commission File Number000-16627

SHEARSON SELECT ADVISORS FUTURES FUND L.P.

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(Exact name of registrant as specified in its charter)

New York


13-3405705(State or other jurisdiction of
incorporation or organization)


(I.R.S. Employer
Identification No.)


c/o Citigroup Managed Futures LLC
731 Lexington Avenue. – 25th Fl.
New York, New York 10022

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(Address and Zip Code of principal executive offices)

(212) 559-2011

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(Registrant’s telephone number, including area code)

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

Securities registered pursuant to Section 12(g) of the Act:Redeemable Units of Limited Partnership Interest

(Title of Class)


Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act.

YesNoX

Indicated by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act.

YesNoX

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.

YesXNo

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].

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of ‘‘large accelerated filer’’, ‘‘accelerated filer’’ and ‘‘smaller reporting company’’ in Rule 12b-2 of the Exchange Act.

Large accelerated filer[ ]Accelerated filer[ ]Non-accelerated filer[X]Smaller reporting company[ ]

Indicated by check mark wheather the registrant is a shell company (as defined in Rule 12b-2 of the Act).

YesNoX

Limited Partnership Redeemable Units with an aggregate value of $2,014,389 were outstanding and held by non-affiliates as of the last business day of the registrant’s most recently completed second fiscal quarter.

As of February 29, 2008, 0 Limited Partnership Redeemable Units were outstanding.

DOCUMENTS INCORPORATED BY REFERENCE

List hereunder the following documents if incorporated by reference and the Part of the Form 10-K (e.g., Part I, Part II, etc.) into which the document is incorporated: (1) Any annual report to security holders; (2) Any proxy or information statement; and (3) Any prospectus filed pursuant to Rule 424(b) or (c) under the Securities Act of 1933. The listed documents should be clearly described for identification purposes (e.g., annual report to security holders for fiscal year ended December 24, 1980).

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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, directly or indirectly 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, 2007, 2006 and 2005 are reported in the Statements of Changes in Partners’ Capital on page F-8 under ‘‘Item 8.Financial Statements and Supplementary Data.’’

The Partnership, pursuant to the General Partner’s decision, terminated on December 31, 2007. As a result, the Partnership changed the basis of accounting with effect from January 1, 2007, from the going concern basis to a liquidation basis. Liquidation basis accounting requires the Partnership to record assets and liabilities at values to be received in liquidation.

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’’). The Partnership’s terminated operations on December 31, 2007.

Citigroup Managed Futures LLC, a Delaware Limited Liability Company acts as the general partner (the ‘‘General Partner’’) and commodity pool operator of the Partnership. The Partnership’s commodity broker is Citigroup Global Markets Inc. (‘‘CGM’’). CGM is an affiliate of the General Partner. The General Partner is wholly owned by Citigroup Global Markets Holdings Inc. (‘‘CGMHI’’), 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. The Management Agreement was in effect until December 31, 2007, the date the Partnership terminated operations.

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

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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 the brokerage fee are Net Assets, as defined in the Limited Partnership 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 fees 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 gives the Partnership the legal right to net unrealized gains and losses. The Customer Agreement was terminated on December 31, 2007, the date the Partnership terminated operations.

(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, 2007, 2006, 2005, 2004 and 2003 are set forth under ‘‘Item 6.Selected Financial Data.’’ The Partnership’s capital as of December 31, 2007 was $1,544,257.

(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.

(f)Reports to Security Holders. Not applicable.

(g)Enforceability of Civil Liabilities Against Foreign Persons. Not applicable.

(h)Smaller Reporting Companies. Not applicable

Item 1A.Risk Factors.

As a result of leverage, small changes in the price of the Partnership’s positions may result in major losses.

The trading of commodity interests is speculative, volatile and involves a high degree of leverage. A small change in the market price of a commodity interest contract can produce major losses for the Partnership.

An investor may lose all of their investment.

Due to the speculative nature of trading commodity interests, an investor could lose all of their investment in the Partnership.

The Partnership will pay substantial fees and expenses regardless of profitability.

Regardless of its trading performance, the Partnership will incur fees and expenses, including brokerage and management fees. Substantial incentive fees may be paid to one or more of the trading advisors even if the Partnership experiences a net loss for the full year.

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An investor’s ability to redeem or transfer units is limited.

An investor’s ability to redeem units is limited and no market exists for the units.

Conflicts of interest exist.

The Partnership is subject to numerous conflicts of interest including those that arise from the facts that:

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| | 1. | The General Partner and commodity broker are affiliates;

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| | 2. | Each of the Advisor(s), the commodity broker and their principals and affiliates may trade in commodity interests for their own accounts; and

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| | 3. | Smith Barney financial advisors will receive ongoing compensation for providing services to an investor’s account.

Investing in units might not provide the desired diversification of an investor’s overall portfolio.

The Partnership will not provide any benefit of diversification of an investor’s overall portfolio unless it is profitable and produces returns that are independent from stock and bond market returns.

Past performance is no assurance of future results.

The Advisors’ trading strategies may not perform as they have performed in the past. The Advisors have from time to time incurred substantial losses in trading on behalf of clients.

An investor’s tax liability may exceed cash distributions.

Investors are taxed on their share of the Partnership’s income, even though the Partnership does not intend to make any distributions.

Item 2.Properties.

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

Item 3.Legal Proceedings.

This section describes the major pending legal proceedings, other than ordinary routine litigation incidental to the business, to which CGM 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 material administrative, civil or criminal actions within the past five years against CGM or any of its individual principals and no such actions are currently pending, except as follows.

Enron

In April 2002, Citigroup and CGM were named as defendants 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.(‘‘Newby’’)), 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, which was denied in April 2004.

On June 10, 2005, CGM (along with Citigroup and certain of its subsidiaries) agreed to a settlement inNewby. Under the terms of the settlement, Citigroup will make a pretax payment of $2.01 billion to the

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settlement class (consisting of all purchasers of all publicly traded equity and debt securities issued by Enron and certain Enron-related entities between September 9, 1997 and December 2, 2001. The Regents of the University of California (theNewbylead plaintiff) approved the settlement on July 20. The Court gave final approval to the settlement on May 24, 2006. The amount to be paid in settlement of this action is covered by existing Citigroup litigation reserves.

In September 2003, CGM (and Citigroup and various Citigroup-affiliates) were named as defendants in an adversary proceeding,Enron v. Citigroup, et al. (In re Enron Corp., et al.), filed by Enron in its chapter 11 bankruptcy proceedings against entities that purchased Enron bankruptcy claims from Citigroup, seeking to disallow or to subordinate those claims. The case is scheduled for trial beginning April 28, 2008. Additionally, in November 2003, Enron filed an additional adversary action against CGM (and Citibank, N.A.) seeking to recover fees paid to CGM in connection with the proposed Enron-Dynegy merger. Discovery is proceeding in that action.

Additional Actions

Several additional actions, previously identified, had been consolidated or coordinated with theNewbyaction and stayed (except with respect to certain discovery) until the Court’s decision on class certification on July 5, 2006.

Certain entities that had previously filed separate lawsuits against CGM (along with other Citigroup entities) did not opt out of theNewbysettlement. As a result, the following coordinated/consolidated cases that relate to the purchase of Enron-related securities have been dismissed:California Public Employees’ Retirement System v. Bank of America Securities LLC, et al.,Variable Annuity Life Ins. Co. v. Credit Suisse First Boston Corp., et al., andConseco Annuity Assurance Co. v. Citigroup, Inc.

On February 18, 2005, Judge Harmon granted the motion to dismiss of various financial institution defendants (including CGM) inWashington State Investment Board v. Lay, et al.The action had been brought on behalf of purchasers of Enron’s publicly traded debt and equity securities between September 9, 1997 and October 18, 1998.

On April 19, 2005, CGM (along with Citigroup and certain of its subsidiaries) and various financial institution defendants reached an agreement to settle four state court actions brought by various investment funds that had purchased Enron and/or Enron-linked securities. The four cases areOCM Opportunities Fund III, L.P., et al. v. Citigroup Inc., et al.;Pacific Investment Management Co. LLC, et al. v. Citigroup Inc., et al.;AUSA Life Insurance v. Citigroup Inc., et al.; andPrincipal Global Investors v. Citigroup Inc., et al.The amounts paid in settlement of these actions were covered by existing Citigroup litigation reserves.

On June 3, 2005, CGM (along with Citigroup) and various financial institution defendants reached an agreement in principle to settle a state court action (subsequently consolidated withNewby),Retirement Systems of Alabama v. Merrill Lynch, et al., brought by an Alabama public corporation comprising various state employee pension funds that had purchased Enron securities from (among others) CGM. The District Court approved the settlement on July 5, 2005. The amount paid in settlement of this action was covered by existing Citigroup litigation reserves.

On December 7, 2005, Judge Harmon dismissedCity of Montgomery, Alabama Employees’ Retirement System v. Lay, et al.in light of a settlement between plaintiff and CGM (along with Citigroup and certain Credit Suisse First Boston-entities). The action was originally filed in Alabama state court and subsequently coordinated withNewby. The case arose out of plaintiff’s purchase of certain Enron-linked securities allegedly in reliance on CGM and other analyst reports concerning Enron. The amount paid in settlement of this action was covered by existing Citigroup litigation reserves.

On November 4, 2005,Sierra Pacific Resources and Nevada Power v. Citigroup, et al., a federal court case (subsequently coordinated withNewby) naming as defendants CGM (along with Citigroup and Citibank, N.A., and various financial institution defendants) was voluntarily dismissed with prejudice by the plaintiffs. The case had been brought by purchasers of electricity from Enron.

On December 14, 2005,Aksamit, et al. v. UBS PaineWebber, et al., a state court action (subsequently coordinated withNewby) naming CGM and various other financial institutions as defendants, was

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voluntarily dismissed with prejudice by the plaintiff. The case had been brought on behalf of CGM clients who had purchased Enron securities at various times up until the filing of Enron’s bankruptcy, in reliance on CGM and other analyst reports concerning Enron.

On September 29, 2006, CGM (along with Citigroup and a third-party defendant) filed a partial motion to dismiss inVanguard Balanced Index Fund, et al. v. Citigroup, et al.. The action was filed in Pennsylvania state court in 2003 by certain investment funds, and asserts claims under state securities and common law, arising out of plaintiffs’ purchase of certain Enron-related securities. Vanguard filed opposition papers on November 14, 2006, and the defendants filed their reply on December 1, 2006. The case had been coordinated withNewbyuntil Judge Harmon’s decision on class certification.

On January 2, 2007, Judge Harmon entered final judgment terminatingRavenswood I, L.L.C., et al. v. Citigroup, Inc., et al.in light of a settlement between plaintiffs and Citigroup (including CGM). The action, asserting state statutory and common law claims, had been filed in federal court in Texas on behalf of successors in interest to certain Enron securities owned by Prudential, and subsequently coordinated withNewby. The amount paid in settlement of this action was covered by existing Citigroup litigation reserves.

On January 18, 2007, Judge Harmon dismissedAmerican National Insurance Co., et al. v. Citigroup Inc., et al. in light of a settlement between plaintiffs and Citigroup (including CGM). The action, asserting state securities and common law claims, had been filed in Texas state court and subsequently coordinated withNewby. The amount paid in settlement of this action was covered by existing Citigroup litigation reserves.

On January 23, 2007, Judge Harmon granted plaintiffs’ motion for leave to amend the complaint inSilvercreek Management Inc. v. Salomon Smith Barney, Inc., a federal securities law and fraud action against CGM (and other defendants) on behalf of several funds that allegedly sustained losses arising out of their investments in Enron securities. The case had been coordinated withNewbyuntil Judge Harmon’s decision on class certification, and is currently stayed (along with other actions that implicate the scope of liability of secondary actors under Section 10(b)of the 1934 Act) in light of the Fifth Circuit’s reversal of Judge Harmon’s class certification decision.

On January 25, 2007, Judge Harmon entered final judgment terminatingPublic Employees Retirement Systems of Ohio v. Fastow, et al.in light of a settlement between plaintiffs and certain financial institution defendants (including CGM). The action, asserting state securities and common law fraud claims, had been filed in Ohio state court on behalf of four Ohio pension funds that purchased Enron securities, and was subsequently coordinated withNewby. The amount paid in settlement of this action was covered by existing Citigroup litigation reserves.

On August 15, 2007, CGM (along with other Citigroup entities and various other financial institutions) filed motions to dismissConnecticut Resources Recovery Authority v. Lay, et al., an action sounding in fraud and breach of fiduciary duty, and arising out of an Enron transaction with a Connecticut state agency. The case had been coordinated withNewbyuntil Judge Harmon’s decision on class certification. Plaintiff filed its opposition on November 9, 2007; Citigroup partially joined a reply submitted by other financial institutions on January 30, 2008, and Citigroup’s individual reply was due on February 29, 2008.

On December 27, 2007, plaintiff moved for leave to amend its complaint inPublic Utility District No. 1 of Snohomish County, Washington v. Citigroup, et al.The case, originally filed in Washington federal court in 2004, arises out of alleged losses caused by Enron’s electricity overcharges to a public utility. It alleges three causes of action sounding in tort against CGM (along with various Citigroup entities and other financial institutions). The action had been coordinated withNewbyuntil Judge Harmon’s decision on class certification. CGM and other defendants filed an opposition on January 28, 2008.

On January 28, 2008, the Fifth Circuit heard oral argument on plaintiffs’ appeal against Judge Harmon’s dismissal of various third-party petitions filed by certain Enron outside directors and Arthur Andersen against CGM (and various other financial institution defendants). The petitions, collectively referred to as theFleming Cases, assert fraud and negligence claims; they were filed in Texas state court and subsequently coordinated withNewby.

CGM (along with Citigroup, Citibank N.A., and various J.P. Morgan Chase-entities) has been named in multiple actions brought by certain bank participants in, as well as ‘‘vulture funds’’ who purchased certain

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banks’ interests in, two revolving Enron credit facilities and a syndicated letter of credit facility. The cases,Avenue Capital Management II, L.P., et al. v. J.P. Morgan Chase & Co., et al., andDK Acquisition, et al. v. J.P. Morgan Chase, et al., had been coordinated withNewbyuntil Judge Harmon’s decision on class certification. The actions were conditionally transferred to the Southern District of New York on December 10, 2007, and were assigned to Judge Rakoff on February 4, 2008. Defendants filed partial summary judgment motions in all three cases on December 6, 2007. A fourth action,Bayerische Landesbank, et al. v. J.P. Morgan Chase Bank, et al., brought by certain bank participants in the Enron facilities and subsequently coordinated withNewby, was settled on July 31, 2007, and the district court approved the settlement on August 22, 2007. The amount paid in settlement was covered by existing Citigroup litigation reserves.

On March 26, 2008, Citigroup Inc. issued a press release announcing that it has reached settlement agreements resolving the two largest remaining claims against Citigroup arising out of the collapse of Enron in 2001. Both settlements are fully covered by Citigroup’s existing litigation reserves.

Under the terms of one of the settlement agreements, Citigroup will pay $1.66 billion to Enron and withdraw certain claims in the Enron bankruptcy proceeding. Enron will release all of its claims against Citigroup and certain other parties. Enron will also allow specified Citigroup-related claims in the bankruptcy proceeding, including all of the bankruptcy claims of parties holding approximately $2.4 billion of Enron credit-linked notes (‘‘CLNs’’). Citigroup reached a separate settlement agreement resolving all disputes with the holders of the CLNs, including a suit against Citigroup pending in the Federal District Court in Houston.

The settlements provide that Citigroup denies any wrongdoing and has agreed to the settlements solely to eliminate the uncertainties, burden and expense of further protracted litigation. The Enron settlement agreements must be approved by the bankruptcy court.

RESEARCH

On December 23, 2003, Citigroup and CGM moved to dismiss several consolidated putative class actions alleging violations of Sections 10 and 20 of the Securities Act of 1934, as amended, for purportedly issuing research reports without a reasonable basis in fact and allegedly failing to disclose conflicts of interest with companies in connection with CGM’s published investment research regarding AT&T Corp., Winstar Communications, Inc., Rhythms NetConnections, Inc., Level 3 Communications, Inc., XO Communications, Inc. and Williams Communications Group, Inc. On December 30, 2003, Citigroup and CGM filed a motion to dismiss similar claims in connection with CGM’s published investment research regarding Metromedia Fiber Network, Inc. (‘‘MFN’’).

On January 30, 2004, plaintiffs in the Rhythm NetConnections, Inc. action voluntarily dismissed their complaint with prejudice. In December 2004, Judge Lynch granted in part and denied in part Citigroup’s motions to dismiss the Level 3, XO and Williams Actions. Specifically, he dismissed claims arising out of research published before April 18, 2001, all claims related to Level 3 and XO bondholders, and all claims in the Williams Action on behalf of Guided Portfolio Management accountholders. He denied in part Citigroup’s motion to dismiss the AT&T litigation, although he dismissed claims related to AT&T Wireless, AT&T’s wireless affiliate, in their entirety.

Winstar:On January 5, 2005, the Court dismissed the Winstar action in its entirety with prejudice. Plaintiffs have moved for reconsideration, which motion has been denied. The dismissal with prejudice of the Winstar class action is now final.

Metromedia Fiber Networks:On January 6, 2005, the Court granted in part and denied in part the Citigroup-Related Defendants’ motion to dismiss the claims against it in the MFN action. On June 20, 2006, the Court granted plaintiffs’ motion for class certification. On October 6, 2006, the United States Court of Appeals for the Second Circuit accepted an appeal of the class certification order, which appeal was argued on January 30, 2008, and remains pending. Fact discovery has concluded, and expert discovery has been stayed, by agreement of the parties, pending resolution of the appeal.

AT&T, Level 3 Communications, XO Communications and Williams Communications Group:On January 25, 2005, the Citigroup-Related Defendants renewed their motions to dismiss the remaining portions of the AT&T, XO, Level 3 and Williams cases in light of recent Second Circuit authority on loss

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causation. On February 24, 2005, the judge stayed all discovery in those cases during the pendency of the motion. On May 24, 2005, Citigroup and CGM reached agreements settling all claims in the Level 3 and XO actions for $10.25 million and $9.125 million respectively; on June 8, 2005, the parties reached an agreement to settle all claims in Williams action for $12.5 million. Finally, on September 27, 2005, the Citigroup-Related Defendants agreed to settle all claims in the AT&T action for $74.75 million. The AT&T settlement was finally approved on August 17, 2006. The XO, Level 3 and Williams settlements were finally approved on September 29, 2006. All of the settlements are final and no longer subject to appeal. The amounts paid in settlement of these actions were covered by existing Citigroup litigation reserves.

Focal Communications Corp.:On July 28, 2004, a putative class action by purchasers of Focal Communications Corporation common stock was filed in the United States District Court for the Southern District of New York, asserting claims under Section 10 and Section 20 of the Securities Exchange Act of 1934 against Citigroup, CGM and Jack Grubman. On March 15, 2005, the plaintiffs in the Focal action filed a consolidated amended class action complaint; we have moved to dismiss the complaint, and that motion to dismiss was fully briefed on August 10, 2005. The parties have reached an agreement to settle all claims in the Focal class action for $14 million. The settlement was finally approved on March 23, 2007, and is no longer subject to appeal. The amounts paid in settlement of this action were covered by existing Citigroup litigation reserves.

Customer Class Actions:In addition, four putative class actions were filed 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. These four cases wereNorman v. Salomon Smith Barney, Inc.,Rowinski v. Salomon Smith Barney, Inc.,Politzer v. Salomon Smith Barney, Inc.andDisher, et al. v. Citigroup Global Markets, Inc.InNorman, the judge denied our motion to dismiss, class certification was briefed by the parties, and the action was subsequently settled for $50 million, an amount covered by existing litigation reserves. The settlement was finally approved on May 18, 2006, and is no longer subject to appellate review. InRowinski, the judge granted our motion to dismiss. The plaintiff appealed to the Court of Appeals for the Third Circuit, which affirmed the decision. ThePolitzercase was dismissed by the judge — a decision that was affirmed by the Ninth Circuit Court of Appeals, and that the United States Supreme Court declined to review.

InDisher, the Seventh Circuit Court of Appeals reversed the district court’s decision to remand the case to state court, and directed the district court to dismiss the case as preempted. The United States Supreme Court vacated the Seventh Circuit’s decision, and remanded the case to the Seventh Circuit in light of the Supreme Court’s decision inKircher v. Putnam Funds Trust. On January 22, 2007, the Seventh Circuit dismissed Citigroup’s appeal. On February 1, 2007, plaintiffs secured an order reopening this case in Illinois state court, and on February 16, Citigroup removed the reopened action to federal court. On May 3, 2007, the District Court remanded the action to Illinois state court, and on June 13, 2007, Citigroup moved in state court to dismiss the action. That motion remains pending.

WORLDCOM

On May 10, 2004, the Company, through its parent, Citigroup, announced that it had agreed to settle all claims against it inIn Re WorldCom, Inc. Securities Litigation, a class action brought on behalf of certain investors in WorldCom Securities. Under the terms of the settlement, Citigroup will make a payment of $2.575 billion to the settlement class. Citigroup reached this settlement agreement without admitting any wrongdoing or liability, and the agreement reflects that Citigroup denies that it or its subsidiaries committed any act or omission giving rise to any liability and/or violation of the law. On November 7, 2004, the United States District Court for the Southern District of New York approved the class settlement. The settlement became final in March 2006 and settlement funds have been released to the plaintiffs.

Pursuant to an order dated May 28, 2003, more than 110 individual actions asserting claims against Citigroup and/or CGM based on its research and/or underwriting of WorldCom securities have been consolidated withIn re WorldCom, Inc. Securities Litigation.The United States Court of Appeals for the Second Circuit has affirmed the orders of the United States District Court for the Southern District of New York denying plaintiffs’ motions to remand to state court a large group of these WorldCom-related

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actions. On September 13, 2004, plaintiffs filed a petition for a writ of certiorari to the United States Supreme Court seeking review of the Second Circuit’s ruling, which was denied.

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. As of December 31, 2007, one WorldCom individual action remains pending, in Texas state court. The balance of the individual actions have been settled or dismissed by court order. The settlements of those actions, some of which are discussed below, are covered by existing litigation reserves. Plaintiffs have appealed the dismissal of one of those actions, which appeal has been fully briefed in the United States Court of Appeals for the Second Circuit.

On September 17, 2004,Weinstein, et al. v. Ebbers, et al., a putative class action against CGM and others brought on behalf of holders of WorldCom securities asserting claims based on, among other things, CGM’s research reports concerning WorldCom, was dismissed with prejudice in its entirety by the United States District Court for the Southern District of New York. The plaintiffs noticed an appeal of the dismissal to the United States Court of Appeals for the Second Circuit on October 15, 2004. The parties have reached an agreement in principle on the terms of a settlement of this action, and the appeal has been dismissed.

On September 30, 2004, Citigroup and CGM, along with a number of other defendants, settledRetirement Systems of Alabama, et al. v. J.P. Morgan Chase, et al., a WorldCom individual action that had been remanded to the Circuit Court of Montgomery County, Alabama. On June 22, 2005, Citigroup and CGM, along with other financial institution defendants, entered into a settlement agreement inPublic Employees’ Retirement System of Ohio v. Ebbers, et al.Citigroup’s share of the settlement was $40 million. On August 5, 2005, Citigroup and CGM, along with other financial institution defendants, entered into a settlement agreement in one of these actions,New York City Employees’ Retirement System v. Ebbers, et al., Citigroup’s share of the settlement was $35.557 million. The amounts paid in settlement of these actions were covered by existing Citigroup litigation reserves.

On October 27, 2005, Citigroup and CGM, along with all other defendants, including financial institution defendants, entered into a settlement agreement resolving all claims against the Citigroup-related defendants in 32 individual actions filed on behalf of 70 institutional plaintiffs that have opted out of the WorldCom class action settlement, all of which were brought by Lerach, Coughlin, Stoia, Geller, Rudman & Robbins LLP. Plaintiffs in these actions asserted claims under federal and state law in connection with the Citigroup-related defendants’ research coverage and underwriting of WorldCom securities. Citigroup’s share of the settlement was $249.9 million. The amount paid in settlement of these actions was covered by existing Citigroup litigation reserves.

A FINRA (formerly NASD) arbitration hearing was held inSturm, et al. v. Citigroup, et al.,from September 12 through October 3, 2005. Claimants alleged research analyst conflicts of interest related to SSB research coverage of WorldCom, and brought common law claims, including fraud claims, against Citigroup and CGM. Claimants sought $901 million in compensatory damages, in addition to punitive damages. On November 28, 2005, the arbitration panel denied all of claimants’ claims in their entirety, with prejudice. On February 21, 2006, Claimants filed a motion to vacate the arbitration result. On April 14, 2006, the same Claimants filed another FINRA arbitration proceeding arising out of their investments in Level 3 Communications, Inc. On September 20, 2006, the Citigroup-related Respondents executed an agreement with the Sturms to settle all outstanding matters.

In addition to the court suits, actions asserting claims against CGM relating to its WorldCom research reports are pending in numerous arbitrations around the country. These actions assert claims that are substantially similar to the claims asserted in the class action.

On June 28, 2004, the United States District Court for the Southern District of New York dismissed all claims under the Securities Act of 1933 and certain claims under the Securities Exchange Act of 1934 inIn Re TARGETS Securities Litigation, a putative class action against Citigroup and CGM and certain former employees, leaving only claims under the 1934 Act for purchases of Targeted Growth Enhanced Terms Securities (‘‘TARGETS’’) with respect to the common stock of MCI WorldCom, Inc. after July 30, 1999. On October 20, 2004, the parties signed a Memorandum of Understanding setting forth the terms of a settlement

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of all remaining claims in this action. The settlement was preliminarily approved by the Court on January 11, 2005, and finally approved on April 22, 2005. The amount paid in settlement of this action was covered by existing Citigroup litigation reserves.

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, CGM, 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 CGM served as underwriter and in connection with certain transactions in which CGM 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 hereunder, alleging that they disseminated misleading research reports concerning Global Crossing and Asia Global Crossing. The Citigroup-related defendants have moved to dismiss these claims. Judge Lynch largely denied the motion to dismiss the Section 11 claims against the underwriters.

In March 2005, while the motion to dismiss was pending, the plaintiffs and the Citigroup-related defendants reached a settlement of all claims against the Citigroup-related defendants, including both research and underwriting claims, and including claims concerning losses in both Global Crossing and Asia Global Crossing, for a total of $75 million. The Court granted preliminary approval of the settlement on March 8, 2005, and on July 8, 2005, granted final approval and rejected all objections to the settlement.

Citigroup has also been named as a defendant in two proceedings brought by the Global Crossing Estate Representative on or about January 27, 2004 in the United States Bankruptcy Court for the Southern District of New York. First the Estate Representative filed an adversary proceeding asserting claims against, among others, Citigroup, CGM and certain executive officers and current and former employees, asserting claims under federal bankruptcy law and common law in connection with CGM’s research reports about Global Crossing and for its role as an underwriter in Global Crossing offerings. The Citigroup-Related Defendants moved to dismiss the former action on June 26, 2004, and settled it on September 12, 2005 for $27.5 million. The amount paid in settlement of this action was covered by existing Citigroup litigation reserves. The Estate Representative also filed an adversary proceeding against Citigroup and several other financial institutions seeking to rescind the payment of a $1 billion loan made to a subsidiary of Global Crossing. The Citigroup-related defendants moved to dismiss the latter on May 28, 2004, which motion is still pending.

Adelphia Communications Corporation

On July 6, 2003, the Official Committee of Unsecured Creditors on behalf of Adelphia Communications Corporation filed an adversary proceeding 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 June 2004, motions to dismiss were filed with respect to the complaints of the two committees. Those motions were decided by the bankruptcy court, and were granted in part and denied in part. The bankruptcy court’s ruling was, in part, reviewed by the district court. The Adelphia Recovery Trust, which has replaced the committees as the plaintiff in the action, has filed an amended complaint on behalf of the Adelphia Estate, consolidating the two prior complaints; motions to dismiss the amended complaint and answers have been filed.

In addition, CGM was among the underwriters named in civil actions brought by investors in Adelphia debt securities in connection with Adelphia securities offerings between September 1997 and October 2001. Following settlements of the class action (which is pending appeal) and other individual actions, two cases remain outstanding. The Second Circuit is considering whether the plaintiff in one has proper standing to sue. In September 2007, motions to dismiss in the other case were granted in part and denied in part.

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IPO Allocation Cases

On November 3, 2003, the United States District Court for the Southern District of New York granted CGM’s motion to dismiss the consolidated amended complaint asserting violations of certain federal and state antitrust laws in connection with the allocation of shares in initial public offerings when acting as underwriters. Plaintiffs appealed that decision to the Court of Appeals for the Second Circuit. On September 28, 2005, the Court of Appeals vacated the district court’s order dismissing these actions and remanded for further proceedings. On December 7, 2006, the United States Supreme Court granted ceriorari review of the Second Circuit’s opinion. On June 18, 2007, the United States Supreme Court ruled that the securities law precludes application of the antitrust laws to the claims asserted by plaintiffs, effectively terminating the litigation.

In the securities cases, which are pending before Judge Scheindlin of the Southern District, plaintiffs seek damages against numerous underwriters for alleged violations of the Securities and Exchange Acts of 1933 and 1934 in connection with more than 300 initial public offerings. Plaintiffs allege that the underwriters had a practice to allocate shares in IPOs only to those persons or entities that agreed to purchase shares in the aftermarket at increasing prices, which, they claim, led to inflated secondary market pricing. They further make allegations about analyst conflicts of interest and allege that, because of the aforementioned practice, the underwriters received compensation that was not disclosed in the relevant offering memoranda. Judge Scheindlin recently certified a class and discovery on the merits is ongoing. On June 30, 2005, the United States Court of Appeals for the Second Circuit entered an order agreeing to review the district court’s order granting plaintiffs’ motion for class certification. On December 5, 2006, the Second Circuit reversed Judge Scheindlin’s class certification order. The plaintiffs filed a petition for rehearing in January 2007. On April 6, 2007, the Second Circuit panel that reversed the district court’s class certification decision denied plaintiff’s petition for rehearing, and on May 18, 2007, the Second Circuit denied plaintiffs’ petition for rehearing en banc. On August 14, 2007, plaintiffs filed amended complaints in the six focus cases as well as amended master allegations for all cases in the coordinated proceedings. On September 27, 2007, plaintiffs filed a motion to certify new classes in the six focus cases. Defendants moved to dismiss the amended pleadings in November 2007 and filed an opposition to the new motion for class certification in December 2007.

Mutual Funds

CGM has been named in several class actions and derivative litigations pending in various Federal District Courts arising out of alleged violations of the federal securities laws, including the Investment Company Act, and common law (including breach of fiduciary duty and unjust enrichment). The claims concern practices in connection with the sale of mutual funds, including allegations involving market timing, revenue sharing, incentive payments for the sale of proprietary funds, undisclosed breakpoint discounts for the sale of certain classes of funds, inappropriate share class recommendations and inappropriate fund investments. The litigations involving market timing have been consolidated under the Multi District rules in the United States District Court for the District of Maryland (the ‘‘MDL action’’), and the litigations involving revenue sharing, incentive payment and other issues are pending in the United States District Court for the Southern District of New York. The plaintiffs in these litigations generally seek unspecified compensatory damages, recessionary damages, injunctive relief, costs and fees. In the principal cases concerning revenue sharing, incentive payment and other issues, the lead plaintiff filed a consolidated and amended complaint on December 15, 2004. Citi moved to dismiss the claims and the motion was granted. An appeal is pending and will be fully briefed by April 15, 2008. Several derivative actions and class actions were also dismissed against Citigroup defendants in the MDL action (and we expect that additional actions will be dismissed on similar grounds).

In May 2007, CGM finalized its settlement agreement with the NYSE and the New Jersey Bureau of Securities on the matter related to its market-timing practices prior to September 2003.

Subprime-Mortgage-Related Litigation

Citigroup, along with numerous others, has also been named as a defendant in several lawsuits by shareholders of entities that originated subprime mortgages, and for which CGM underwrote securities offerings. These actions assert that CGM violated Sections 11, 12, and 15 of the Securities Act of 1933, as amended, arising out of allegedly false and misleading statements contained in the registration statements and prospectuses issued in connection with those offerings. Specifically, CGM has been named as a

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defendant in (i) two putative class action lawsuits brought by shareholders of American Home Mortgage Investment Corp., pending in the United States District Court for the Eastern District of New York; and (ii) three putative class action lawsuits brought by shareholders of Countrywide Financial Corp. and its affiliates, pending in the United States District Court for the Central District of California. Citigroup has not yet responded to the complaints in these actions. A motion to remand to California state court has been filed in one of the Countrywide-related actions.

In the course of its business, CGM, as a major futures commission merchant and broker-dealer is a party to various claims and routine regulatory investigations and proceedings that the general partner believes do not have a material adverse effect on the business of CGM.

Item 4.Submission of Matters to a Vote of Security Holders.

There were no matters submitted to the security holders for a vote during the last fiscal year covered by this report.

PART II

|        |                                                                                                              
|------- | -------------------------------------------------------------------------------------------------------------
|Item 5. | Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities.

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

(b)Holders. The number of holders of Redeemable Units as of December 31, 2007 was 193.

(c)Dividends. The Partnership did not declare a distribution in 2007 or 2006.

(d)Use of Proceeds. There were no additional sales of Redeemable Units in the years ended December 31, 2007, 2006 and 2005.

(e)Securities Authorized for Issuance Under Equity Compensation Plans. None.

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, 2007, 2006, 2005, 2004 and 2003 and total assets at December 31, 2007, 2006, 2005, 2004 and 2003 were as follows:

2007


2006


2005


2004


2003Net realized and unrealized trading gains (losses) net of brokerage fees (including clearing fees) of $119,655, $176,707, $207,962, $243,995, and $283,408, respectively



$
(361,540
)



$
(319,447
)



$
(878,772
)



$
190,473




$
919,661Interest income




61,883





94,063





72,316





35,338





31,236$
(299,657
)



$
(225,384
)



$
(806,456
)



$
225,811




$
950,897Net income (loss)



$
(438,709
)



$
(361,500
)



$
(1,024,986
)



$
30,568




$
693,305Increase (decrease) in Net Asset Value per Redeemable Unit



$
(544.38
)



$
(396.78
)



$
(957.16
)



$
67.68




$
579.64Total assets



$
1,581,240




$
2,496,815




$
3,195,444




$
4,502,656




$
4,574,180


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.

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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 20 professionals whose primary emphasis is on attempting to maintain quality control among the advisors to the Partnerships 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:

|  |                                           
|- | ------------------------------------------
|• | due diligence examinations of the Advisor;

|  |                                                       
|- | ------------------------------------------------------
|• | selection, appointment and termination of the Advisor;

|  |                                             
|- | --------------------------------------------
|• | negotiation of the Management Agreement; and

|  |                                        
|- | ---------------------------------------
|• | 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.

(a)Liquidity.

The Partnership does not engage in sales of goods or services. Its only assets are its equity in its commodity futures trading account, consisting of cash, net unrealized appreciation (depreciation) on open futures 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.

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|     |                                                                                                                                                                                                                                                              
|---- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|(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 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 the 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.

(b)Capital resources.

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

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(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 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, 2007, 116 Redeemable Units of Limited Partnership Interest were redeemed for a total of $268,063. For the year ended December 31, 2006, 127 Redeemable Units of Limited Partnership Interest were redeemed for a total of $362,485. For the year ended December 31, 2005, 92 Redeemable Units of Limited Partnership Interest were redeemed for a total of $278,361.

(c)Results of Operations.

For the year ended December 31, 2007, the Net Asset Value per Redeemable Unit decreased 20.6% from $2,648.27 to $2,103.89. For the year ended December 31, 2006, the Net Asset Value per Redeemable Unit decreased 13.0% from $3,045.05 to $2,648.27. For the year ended December 31, 2005, the Net Asset Value per Redeemable Unit decreased 23.9% from $4,002.21 to $3,045.05.

The Partnership experienced a net trading loss before brokerage fees and related fees in 2007 of $241,885 Losses were primarily attributable to the trading of currencies, metals and indices and were primarily offset by gains in U.S. and non-U.S. interest rates.

During 2007, the Partnership profited from macro-economic developments that stimulated volatility and asset price trends of a favorable duration to the underlying advisor’s trading strategies. Negative developments in the U.S. mortgage markets and the increasing probability of recession resonated throughout the capital and commodity markets. A surge in volatility in the global equity markets in February was driven by a tumble in Chinese stock valuations that curbed sentiment for global risk assets and sparked a material sell-off in global stock prices. The year would go on to be highlighted by two additional measurable equity market corrections in the summer and fall. By mid-summer, dislocations in U.S. asset-backed and mortgage-backed credit markets emerged as the central focal point of global capital markets. The ensuing re-pricing of credit risk resulted in a flight-to-quality driven rally in prices of sovereign debt, especially in the U.S. Treasury markets as the Federal Open Market Committee acted rapidly to stem the negative implications for growth. As a result of the series of rate cuts and negative economic data, the U.S. dollar became less attractive and weakened materially against most major currencies during the latter part of the year. Commodity markets continued to signal inflation, further clouding the economic landscape, as global demand for most food and raw materials continued to be robust. Prices moved rather erratically at times. The Partnership was profitable in U.S. and non-U.S. interest rates and recorded losses in currencies, metals and stock indices.

Trading in U.S. and non-U.S. interest rates was profitable as the yields declined in the later part of the year. The sub prime issue demonstrated that redistribution of risk through securitization of mortgages might not entirely shield investors from pricing risk inherent to the valuation of these securities. By shifting away from riskier assets and by buying U.S. Treasury notes as collateral for the riskier assets, the markets effectively lowered the yields on the treasury notes while establishing a strong trend.

Trading in currencies was extremely challenging as the major currencies demonstrated high non-directional volatility. Several factors including the unwinding of the Japanese Yen carry trade and the changing views on global growth and inflation contributed to interruptions in several established long-term trends. Trading in metals also contributed to losses. While precious metals like gold reached record prices, industrial metals like copper, zinc and aluminum experienced several price corrections, synchronous with the

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conflicting views on global growth and inflation. Equity indices also contributed to losses as global equity markets experienced major corrections with high volatility levels previously seen during the technology bubble earlier in the decade. The corrections were precipitated by forced liquidations by several institutional investors to meet redemptions or margin-call requirements.

The Partnership experienced a net trading loss before brokerage fees and related fees in 2006 of $142,740. Losses were primarily attributable to the trading of currencies and non-U.S. interest rates and were partially offset by gains in U.S. interest rates, metals and indices.

The Partnership’s performance in 2006 was characterized by several price trend reversals in the financial markets. Although some directional trends emerged in the early part of the year, the trends did not last and major price corrections occurred during the summer months, especially in currencies. Gains were made in equity indices and metals, while losses were realized in currencies and non-U.S. interest rates.

Gains were made in the metals sector as the trading Advisor was able to capture the uptrend in the prices earlier in the year while minimizing losses during correction in the later part of the year. Gains were also made in the equity indices as rising global equity valuations were supported by increased optimism over economic growth and lower energy prices towards the later part of the year.

Losses mainly stemmed from trading in currencies. The currency market remained difficult as economic data and inflationary concerns perplexed directional trading. Losses were realized in the domestic and global fixed income market as inflationary pressure remained high and markets speculated about the future changes in the interest rates.

The Partnership experienced a net trading loss before brokerage fees and related fees in 2005 of $670,810. Losses were primarily attributable to the trading of currencies, U.S. and non-U.S. interest rates and were partially offset by gains in indices and metals.

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.

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 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.

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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 U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosures of contingent assets and liabilities at the date of the financial statements and reported amounts of revenues and expenses during the reporting period. Actual results could differ from these statements.

The liquidation basis of accounting requires the Partnership to record assets and liabilities at values expected to be achieved in liquidation. The change in basis of accounting from a going-concern basis to a liquidation basis did not have a material effect on the Partnership’s carrying value of assets and liabilities nor its results of operations. All carrying values, whether market or fair values, are expected to be achieved by management during liquidation. Also, the liquidation basis of accounting requires the financial statements to include a statement of net assets available to partners or changes in net assets available to partners. The Statements of Changes in Partners’ Capital (included herein) present the same information and thus a statement of net assets available to partners or changes in net assets available to partners has not been presented for the 12 months ended December 31, 2007.

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.

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 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. 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.

16

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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 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, as amended (the ‘‘Securities Act.’’) and Section 21E of the Securities Exchange Act of 1934. as amended (the ‘‘Exchange Act.’’)). 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.

17

---



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 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.

The Partnership’s Trading Value at Risk in Different Market Sectors

The following tables indicate the trading Value at Risk associated with the Partnership’s open positions by market category as of December 31, 2007 and 2006, and the highest, lowest and average value at any point during the years. All open position trading risk exposures of the Partnership have been included in calculating the figures set forth below. As of December 31, 2007, the Partnership’s total capitalization was $1,544,257.

December 31, 2007

Market Sector


Value at Risk


% of Total
Capitalization


High
Value at Risk


Low
Value at Risk


Average
Value at Risk*Currencies:– OTC Contracts



$
7,965





0.52
%



$
251,862




$
7,965




$
87,292Total



$
7,965





0.52
%


|
|
|
|

|* | Annual average based in month-end Value at Risk
|- | -----------------------------------------------

As of December 31, 2006, the Partnership’s total capitalization was $2,251,029.

December 31, 2006

Market Sector


Value at Risk


% of Total
Capitalization


High
Value at Risk


Low
Value at Risk


Average
Value at Risk*Currencies:– OTC Contracts



$
126,222





5.61
%



$
236,016




$
22,985




$
102,954Interest Rates U.S.




31,000





1.38
%




51,300





9,650





32,179Interest Rates Non-U.S.




104,438





4.64
%




186,326





23,633





93,553Metals:– OTC Contracts




56,758





2.52
%




56,758





9,923





25,251Indices




117,137





5.20
%




165,202





51,000





113,335Total



$
435,555





19.35
%


|
|
|
|

|* | Annual average based on month-end Value at Risk
|- | -----------------------------------------------

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

18

---



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 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, 2007, 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.

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. 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, aluminum and copper.

19

---



Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the only non-trading risk exposures of the Partnership as of December 31, 2007.

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.

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.

20

---



Item 8.Financial Statements and Supplementary Data.

SHEARSON SELECT ADVISORS FUTURES FUND L.P.

INDEX TO FINANCIAL STATEMENTS

Page
NumberOath or Affirmation


F-2Management’s Report on Internal Control over Financing Reporting


F-3Report of Independent Registered Public Accounting Firm


F-4Financial Statements:Statements of Financial Condition at December 31, 2007 (termination of operations) and 2006


F-5Schedules of Investments at December 31, 2007 (termination of operations) and 2006


F-6 – F-7Statements of Income and Expenses for the years ended December 31, 2007 (termination of operations), 2006 and 2005


F-8Statements of Changes in Partners’ Capital for the years ended December 31, 2007 (termination of operations), 2006 and 2005


F-9Statements of Cash Flows for the years ended December 31, 2007 (termination of operations), 2006 and 2005


F-10Notes to Financial Statements


F-11 – F-15Selected Unaudited Quarterly Financial Data


F-16


F-1

---



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:   Jennifer Magro
Chief Financial Officer and Director
Citigroup Managed Futures LLC
General Partner,
Shearson Select Advisors Futures Fund L.P.


Citigroup Managed Futures LLC
731 Lexington Avenue
25th Floor
New York, N.Y. 10022
212-559-2011


F-2

---



Management’s Report on Internal Control over
Financial Reporting

The management of Shearson Select Advisors Futures Fund L.P. (the ‘‘Partnership’’), Citigroup Managed Futures LLC, is responsible for establishing and maintaining adequate internal control over financial reporting. The Partnership’s internal control system was designed to provide reasonable assurance to the Partnership’s management and Board of Directors regarding the preparation and fair presentation of published financial statements in accordance with U.S. generally accepted accounting principles. All internal control systems, no matter how well designed, have inherent limitations. Therefore, even those systems determined to be effective can provide only reasonable assurance with respect to financial statement preparation and presentation.

Management maintains a comprehensive system of controls intended to ensure that transactions are executed in accordance with management’s authorization, assets are safeguarded, and financial records are reliable. Management also takes steps to see that information and communication flows are effective and to monitor performance, including performance of internal control procedures.

The Partnership’s management assessed the effectiveness of the Partnership’s internal control over financial reporting as of December 31, 2007 based on the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in Internal Control-Integrated Framework. Based on this assessment, management believes that, as of December 31, 2007, the Partnership’s internal control over financial reporting is effective.

This annual report does not include an attestation report of the Partnership’s registered public accounting firm regarding internal control over financial reporting. Management’s report was not subject to attestation by the Partnership’s registered public accounting firm pursuant to temporary rules of the Securities and Exchange Commission that permit a company to provide only management’s report in this annual report.

F-3

---



Report of Independent Registered Public Accounting Firm

The Partners
Shearson Select Advisors Futures Fund L.P.:

We have audited the accompanying statement of financial condition in liquidation of Shearson Select Advisors Futures Fund L.P., including the schedule of investments in liquidation, as of December 31, 2007, and the related statements of income and expenses in liquidation, changes in partners’ capital in liquidation, and cash flows in liquidation for the year then ended. In addition, we have audited the statement of financial condition of Shearson Select Advisors Futures Fund L.P., including the schedule of investments, as of December 31, 2006, and the related statements of income and expenses, changes in partners’ capital, and cash flows for each of the years in the two year period ended December 31, 2006. These financial statements are the responsibility of the Partnership’s management. Our responsibility is to express an opinion on these financial statements based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). 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, 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.

As described in Note 1 to the financial statements, pursuant to the Limited Partnership Agreement, the Partnership’s operations were terminated on December 31, 2007, and the Partnership commenced liquidation shortly thereafter. As a result, the Partnership has changed its basis of accounting, with effect from January 1, 2007, from the going-concern basis to a liquidation basis.

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position in liquidation of Shearson Select Advisors Futures Fund L.P. as of December 31, 2007, the results of its operations in liquidation, changes in partners’ capital in liquidation and its cash flows in liquidation for the year ended December 31, 2007 and the financial position as of December 31, 2006, and the results of its operations, changes in partners’ capital, and cash flows for the year ended December 31, 2006, in conformity with U.S. generally accepted accounting principles applied on the basis described in the preceding paragraph.




New York, New York
March 24, 2008

F-4

---



Shearson Select Advisors Futures Fund L.P.
Statements of Financial Condition
December 31, 2007* (termination of operations) and 2006

2007*


2006Assets:Equity in commodity futures trading account:Cash (restricted $8,843 and $457,458 in 2007 and 2006, respectively) (Note 3c)



$
1,573,075




$
2,395,170Unrealized appreciation on open forward contracts




5,190





94,6591,578,265





2,489,829Interest receivable (Note 3c)




2,975





6,986$
1,581,240




$
2,496,815Liabilities and Partners’ Capital:Liabilities:Net unrealized depreciation on open futures positions



$
—




$
65,004Unrealized depreciation on open forward contracts




6,188





16,027Accrued expenses:Brokerage fees (Note 3c)




7,875





12,079Management fees (Note 3b)




5,165





7,963Professional fees




11,187





5,631Other




6,568





9,317Redemptions payable (Note 5)




—





129,76536,983





245,786Partners’ Capital (Notes 1 and 5):General Partner, 34 Unit equivalents outstanding in
2007 and 2006




71,532





90,041Limited Partners, 700 and 816 Redeemable Units of Limited Partnership Interest outstanding in 2007 and 2006, respectively




1,472,725





2,160,9881,544,257





2,251,029$
1,581,240




$
2,496,815


|  |                                               
|- | ----------------------------------------------
|* | Presented on a liquidation basis of accounting

See accompanying notes to financial statements.

F-5

---



Shearson Select Advisors Futures Fund L.P.
Schedule of Investments
December 31, 2007* (termination of operations)

Fair Value


% of Partners’
CapitalUnrealized Appreciation on Forward ContractsCurrencies



$
2





0.00
%*Metals




5,188





0.34Total unrealized appreciation on forward contracts




5,190





0.34Unrealized Depreciation on Forward ContractsMetals




(6,188
)




(0.40
)Total unrealized depreciation on forward contracts




(6,188
)




(0.40
)Total fair value



$
(998
)




(0.06
)%


|* Presented on a liquidation basis of accounting
|------------------------------------------------

|** Due to rounding
|------------------

See accompanying notes to financial statements.

F-6

---



Shearson Select Advisors Futures Fund L.P.
Schedule of Investments
December 31, 2006

Fair Value


% of Partners’
CapitalFutures Contracts PurchasedIndices



$
(6,767
)




(0.30
)%Interest Rates Non-U.S.




(27,113
)




(1.21
)Interest Rates U.S.




(52,488
)




(2.33
)Total futures contracts purchased




(86,368
)




(3.84
)Futures Contracts SoldInterest Rates Non-U.S.




21,364





0.95Unrealized Appreciation on Forward ContractsCurrencies




59,834





2.66Metals




34,825





1.55Total unrealized appreciation on forward contracts




94,659





4.21Unrealized Depreciation on Forward ContractsCurrencies




(6,567
)




(0.29
)Metals




(9,460
)




(0.42
)Total unrealized depreciation on forward contracts




(16,027
)




(0.71
)Total fair value



$
13,628





0.61
%


See accompanying notes to financial statements.

F-7

---



Shearson Select Advisors Futures Fund L.P.
Statements of Income and Expenses
for the years ended
December 31, 2007* (termination of operations), 2006 and 2005

2007*


2006


2005Income:Net losses on trading of commodity interests:Realized losses on closed positions



$
(227,259
)



$
(14,638
)



$
(393,809
)Change in net unrealized losses on open positions




(14,626
)




(128,102
)




(277,001
)Net realized and unrealized losses




(241,885
)




(142,740
)




(670,810
)Interest income (Note 3c)




61,883





94,063





72,316(180,002
)




(48,677
)




(598,494
)Expenses:Brokerage fees including clearing fees of $2,168, $2,886 and $3,140, respectively (Note 3c)




119,655





176,707





207,962Management fees (Note 3b)




75,780





111,145





132,598Professional fees




29,390





23,023





59,006Other




33,882





1,948





26,926258,707





312,823





426,492Net loss



$
(438,709
)



$
(361,500
)



$
(1,024,986
)Net loss per Redeemable Unit of Limited     Partnership Interest and General Partner Unit     equivalent (Notes 1 and 6)



$
(544.38
)



$
(396.78
)



$
(957.16
)


|  |                                               
|- | ----------------------------------------------
|* | Presented on a liquidation basis of accounting

See accompanying notes to financial statements.

F-8

---



Shearson Select Advisors Futures Fund L.P.
Statements of Changes in Partners’ Capital
for the years ended
December 31, 2007* (termination of operations), 2006 and 2005

Limited
Partners


General
Partner


TotalPartners’ Capital at December 31, 2004



$
4,142,286




$
136,075




$
4,278,361Net loss




(992,443
)




(32,543
)




(1,024,986
)Redemption of 92 Redeemable Units of Limited Partnership Interest




(278,361
)




—





(278,361
)Partners’ Capital at December 31, 2005




2,871,482





103,532





2,975,014Net loss




(348,009
)




(13,491
)




(361,500
)Redemption of 127 Redeemable Units of Limited Partnership Interest




(362,485
)




—





(362,485
)Partners’ Capital at December 31, 2006




2,160,988





90,041





2,251,029Net loss*




(420,200
)




(18,509
)




(438,709
)Redemption of 116 Redeemable Units of Limited Partnership Interest




(268,063
)




—





(268,063
)Partners’ Capital at December 31, 2007*



$
1,472,725




$
71,532




$
1,544,257


Net Asset Value per Unit:

2005:



$
3,045.052006:



$
2,648.272007*:



$
2,103.89


|  |                                               
|- | ----------------------------------------------
|* | Presented on a liquidation basis of accounting

See accompanying notes to financial statements.

F-9

---



Shearson Select Advisors Futures Fund L.P.
Statements of Cash Flows
for the years ended December 31, 2007* (termination of operations), 2006 and 2005

2007*


2006


2005Cash flows from operating activities:Net loss



$
(438,709
)



$
(361,500
)



$
(1,024,986
)Adjustments to reconcile net loss to net cash provided by (used in) operating activities:Changes in operating assets and liabilities:(Increase) decrease in restricted cash




448,615





(111,841
)




477,134(Increase) decrease in net unrealized appreciation on open futures positions




—





30,519





(30,519
)Decrease in unrealized appreciation on open forward contracts




89,469





79,672





346,740(Increase) decrease in interest receivable




4,011





(147
)




(1,912
)Increase (decrease) in net unrealized depreciation on open futures positions




(65,004
)




65,004





(13,244
)Increase (decrease) in unrealized depreciation on open forward contracts




(9,839
)




(47,093
)




(25,976
)Accrued expenses:Increase (decrease) in brokerage fees




(4,204
)




(3,583
)




(6,340
)Increase (decrease) in management fees




(2,798
)




(2,231
)




(4,327
)Increase (decrease) in incentive fees




—





—





(7,438
)Increase (decrease) in professional fees




5,556





(29,848
)




30,789Increase (decrease) in other




(2,749
)




(13,577
)




5,621Net cash provided by (used in) operating activities




24,348





(394,625
)




(254,458
)Cash flows from financing activities:Payments for redemptions — Limited Partners




(397,828
)




(305,801
)




(261,311
)Net change in unrestricted cash




(373,480
)




(700,426
)




(515,769
)Unrestricted cash, at beginning of year




1,937,712





2,638,138





3,153,907Unrestricted cash, at end of year



$
1,564,232




$
1,937,712




$
2,638,138


|  |                                               
|- | ----------------------------------------------
|* | Presented on a liquidation basis of accounting

See accompanying notes to financial statements.

F-10

---



Shearson Select Advisors Futures Fund L.P.
(Partnership in Liquidation)
Notes to Financial Statements
December 31, 2007

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, acts as the general partner (the ‘‘General Partner’’) of the Partnership. The Partnership’s commodity broker is Citigroup Global Markets Inc. (‘‘CGM’’). CGM is an affiliate of the General Partner. The General Partner is wholly owned by Citigroup Global Markets Holdings Inc. (‘‘CGMHI’’), 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, pursuant to the General Partner’s decision, terminated on December 31, 2007. As a result, the Partnership changed the basis of accountings with effect from January 1, 2007, from the going concern basis to a liquidation basis. Liquidation basis accounting requires the Partnership to record assets and liabilities at values to be received in liquidation (see Note 8).

The following notes relate to the Partnership while it was in operation.

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 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. 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.

During the current year, the Partnership adopted FASB Interpretation No. 48 ‘‘Accounting for Uncertainty in Income Taxes’’ (‘‘FIN 48’’). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s financial statements to determine whether the tax positions are ‘‘more-likely-than-not’’ of being sustained by the applicable tax authority. Tax positions with respect to tax at the partnership level not deemed to meet the ‘‘more-likely-than-not’’ threshold would be recorded as a tax benefit or expense in the current year. The General Partner has concluded that the adoption of FIN 48 had no impact on the operations of the Partnership for the year ended December 31, 2007 and that no provision for income tax is required in the Partnership’s financial statements.

F-11

---



Shearson Select Advisors Futures Fund L.P.
(Partnership in Liquidation)
Notes to Financial Statements
December 31, 2007

The following are the major tax jurisdictions for the Partnership and the earliest tax year subject to examination: United States - 2004.

|   |                                                                                                                                                                                                                                                                                                                                                                                                                                                    
|-- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|c. | The preparation of financial statements in conformity with U.S. generally accepted accounting principles 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.

| |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 
| | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
| | As of December 31, 2007 the Partnership is within the 12-month window of its liquidation date which has caused the Partnership to move from a going concern to liquidation basis of accounting. The liquidation basis of accounting requires the Partnership to record assets and liabilities at values expected to be achieved in liquidation. The change in basis of accounting from a going-concern basis to a liquidation basis did not have a material effect on the Partnership’s carrying value of assets and liabilities nor its results of operations. All carrying values, whether market or fair values, are expected to be achieved by management during liquidation. Also, the liquidation basis of accounting requires the financial statements to include a statement of net assets available to partners or changes in net assets available to partners. The Statements of Changes in Partners’ Capital (included herein) present the same information and thus a statement of net assets available to partners or changes in net assets available to partners has not been presented for the 12 months ended December 31, 2007.

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, 2007 and 2006, the General Partner did not earn any incentive fees.

|   |                      
|-- | ---------------------
|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 to1/3of 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. The Management Agreement was in effect until December 31, 2007, the date the Partnership terminated operations.

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

|   |                    
|-- | -------------------
|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 fees are Net Assets, as defined in the Limited

F-12

---



Shearson Select Advisors Futures Fund L.P.
(Partnership in Liquidation)
Notes to Financial Statements
December 31, 2007

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, 2007 and 2006, the amount of cash held for margin requirements were $8,843 and $457,458, 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 was terminated on December 31, 2007, the date the Partnership terminated operations.

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, 2007 and 2006, based on a monthly calculation, were $33,502 and $128,277, 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-13

---



Shearson Select Advisors Futures Fund L.P.
(Partnership in Liquidation)
Notes to Financial Statements
December 31, 2007

6.    Financial Highlights:

Changes in the Net Asset Value per Redeemable Unit of Limited Partnership Interest during the years ended December 31, 2007 (termination of operations), 2006 and 2005 were as follows:

2007


2006


2005Net realized and unrealized losses*



$
(448.30
)



$
(353.54
)



$
(815.38
)Interest income




75.91





101.08





69.89Expenses**




(171.99
)




(144.32
)




(211.67
)Decrease for the year




(544.38
)




(396.78
)




(957.16
)Net Asset Value per Redeemable Unit,
beginning of year




2,648.27





3,045.05





4,002.21Net Asset Value per Redeemable Unit,
end of year



$
2,103.89




$
2,648.27




$
3,045.05


|
|
|
|

|* | Includes brokerage fees
|- | -----------------------

|** | Excludes brokerage fees
|-- | -----------------------

2007


2006


2005Ratios to average net assets:Net investment loss***




(10.3
)%




(7.9
)%




(10.5
)%Operating expenses




13.6
%




11.3
%




12.7
%Incentive fees




—
%




—
%




—
%Total expenses




13.6
%




11.3
%




12.7
%Total return:Total return before incentive fees




(20.6
)%




(13.0
)%




(23.9
)%Incentive fees




—
%




—
%




—
%Total return after incentive fees




(20.6
)%




(13.0
)%




(23.9
)%


|
|
|
|

|*** | 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.

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 options 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

F-14

---



Shearson Select Advisors Futures Fund L.P.
(Partnership in Liquidation)
Notes to Financial Statements
December 31, 2007

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 the inception date. However, due to the nature of the Partnership’s business, these instruments may not be held to maturity.

8.    Liquidation of Partnership:

Pursuant to the Limited Partnership Agreement, the Partnership’s operations were terminated on December 31, 2007. Distribution of the Partnership’s Capital was made on January 15, 2008, subsequent to the termination of operations.

At December 31, 2007, the Partnership held open forward contracts which were required to be held to maturity (March 19, 2008). The Partnership has entered into offsetting contracts at the same price and settlement date to fully hedge these positions. As a result, the operations of the Partnership were complete as of December 31, 2007. Until the point of distribution of Partnership Capital on January 15, 2008, the liability of the Limited Partners was limited to their share of the Partnership’s Capital and any undistributed profits.

F-15

---



Selected unaudited quarterly financial data for the Partnership for the years ended December 31, 2007 and 2006 is summarized below:

For the period from
October 1, 2007
to December 31, 2007


For the period from
July 1, 2007 to
September 30, 2007


For the period
from April 1, 2007
to June 30, 2007


For the period from
January 1, 2007 to
March 31, 2007Net realized and unrealized trading gains (losses) net of brokerage fees and clearing fees including interest income



$
(105,526
)



$
(231,803
)



$
488,904




$
(451,232
)Net income (loss)



$
(139,451
)



$
(266,766
)



$
453,582




$
(486,074
)Increase (decrease) in Net Asset Value per Redeemable Unit



$
(186.39
)



$
(332.62
)



$
546.48




$
(571.85
)


For the period from
October 1, 2006 to
December 31, 2006


For the period from
July 1, 2006 to
September 30, 2006


For the period from
April 1, 2006 to
June 30, 2006


For the period from
January 1, 2006 to
March 31, 2006Net realized and unrealized trading gains (losses) net of brokerage fees and clearing fees including interest income



$
(319,516
)



$
81,907




$
14,137




$
(1,912
)Net income (loss)



$
(329,345
)



$
50,942




$
(33,225
)



$
(49,872
)Increase (decrease) in Net Asset Value per Redeemable Unit



$
(366.34
)



$
55.91




$
(35.30
)



$
(51.05
)


F-16

---



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

None.

Item 9A.Controls and Procedures.

The Partnership’s disclosure controls and procedures are designed to ensure that information required to be disclosed under the Exchange Act is accumulated and communicated to management, including the Chief Executive Officer (CEO) and Chief Financial Officer (CFO) of the General Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.

Management is responsible for ensuring that there is an adequate and effective process for establishing, maintaining and evaluating disclosure controls and procedures for the Partnership’s external disclosures.

The General Partner’s CEO and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined in Rule 13a-15(e) and 15d-15(e) under the Exchange Act) as of December 31, 2007 and, based on that evaluation, the CEO and CFO have concluded that at that date the Partnership’s disclosure controls and procedures were effective.

The Partnership’sinternal control over financial reportingis a process under the supervision of the General Partner’s CEO and CFO to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements in accordance with generally accepted accounting principles. These controls include policies and procedures that:

| |   |                                                                                                                                                                  
| | - | -----------------------------------------------------------------------------------------------------------------------------------------------------------------
| | • | pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of the assets of the Partnership;

| |   |                                                                                                                                                                                                                                                                                                                                   
| | - | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
| | • | provide reasonable assurance that (i) transactions are recorded as necessary to permit preparation of financial statements in accordance with U.S. generally accepted accounting principles, and (ii) the Partnership’s receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and

| |   |                                                                                                                                                                                                                 
| | - | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
| | • | provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Partnership’s assets that could have a material effect on the financial statements.

The annual report does not include an attestation report of the Partnership’s registered public accounting firm regarding internal control over financial reporting. Management’s report was not subject to an attestation by the Partnership’s registered public accounting firm pursuant to temporary rules of the Securities Exchange Commission that permit the Partnership to provide only management’s report in this annual report.

There were no changes in the Partnership’s internal control over financial reporting during the fiscal quarter ended December 31, 2007 that materially affected, or are reasonably likely to materially affect, the Partnership's internal control over financial reporting.

Management’s Report on internal control over reporting is included in the Partnership’s annual financial statements under ‘‘Item 8.Financial Statements and Supplementary Data.’’

PART III

Item 10.Directors, Executive Officers and Corporate Governance.

The Partnership has no officers or directors and its affairs are managed by its General Partner. Investment decisions are made by 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 fees for such services, as described under ‘‘Item 1.Business.’’ For the year ended December 31, 2007, CGM earned

21

---



$119,655 in brokerage fees and clearing fees. Management fees and incentive fees of $75,780 and $0, respectively were earned by the Advisor for the year ended December 31, 2007.

|         |                                                                                                
|-------- | -----------------------------------------------------------------------------------------------
|Item 12. | Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters.

(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 Redeemable Unit equivalents (4.6%) as of December 31, 2007.

(c)Changes in control. None.

Item 13.Certain Relationships, Related Transactions and Director Independence.

CGM and the General Partner would be considered promoters for purposes of Item 404 (c) 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.’’

Item 14.Principal Accountant Fees and Services.

(1)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, which is included in the Partnership’s Form 10-K, review of financial statements included in the Partnership’s Form 10-Q and other services normally provided in connection with regulatory filings or engagements are as follows:

2007            $5,182

2006            $15,000

(2)Audit-Related Fees. None.

(3)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:

2007            $2,000

2006            $7,606

(4)All Other Fees. None.

(5)    Not Applicable.

(6)    Not Applicable.

22

---



PART IV

Item 15.Exhibits, Financial Statement Schedules.

|        |                      
|------- | ---------------------
|(a) (1) | Financial Statements:

| |                                                                                             
| | --------------------------------------------------------------------------------------------
| | Statements of Financial Condition at December 31, 2007 (termination of operations) and 2006.

| |                                                                                    
| | -----------------------------------------------------------------------------------
| | Schedules of Investments at December 31, 2007 (termination of operations) and 2006.

| |                                                                                                                    
| | -------------------------------------------------------------------------------------------------------------------
| | Statements of Income and Expenses for the years ended December 31, 2007 (termination of operations), 2006 and 2005.

| |                                                                                                                             
| | ----------------------------------------------------------------------------------------------------------------------------
| | Statements of Changes in Partners’ Capital for the years ended December 31, 2007 (termination of operations), 2006 and 2005.

| |                                                                               
| | ------------------------------------------------------------------------------
| | Statements of Cash Flows for the years ended December 31, 2007, 2006 and 2005.

| |                               
| | ------------------------------
| | Notes to Financial Statements.

|    |          
|--- | ---------
|(2) | 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).

| |                                                                                                      
| | -----------------------------------------------------------------------------------------------------
| | 10.4(e) – Management Agreement between Hayden Commodities Corp. and Donald J. Guy (previously filed).

| |                                                                                                       
| | ------------------------------------------------------------------------------------------------------
| | 10.4(f) – Management Agreement between Hayden Commodities Corp. and I.C.S.C., Inc. (previously filed).

| |                                                                                                   
| | --------------------------------------------------------------------------------------------------
| | 10.4(g) – Management Agreement between Hayden Commodities Corp. and Orion Inc. (previously filed).

| |                                                                                                                     
| | --------------------------------------------------------------------------------------------------------------------
| | 10.4(h) – Management Agreement between Hayden Commodities Corp. and Bacon Investment Corporation (previously filed).

| |                                                                                                     
| | ----------------------------------------------------------------------------------------------------
| | 10.4(I) – Management Agreement between Hayden Commodities Corp. and PRAGMA, Inc. (previously filed).

| |                                                                                                                           
| | --------------------------------------------------------------------------------------------------------------------------
| | 10.4(j) – Management Agreement between Hayden Commodities Corp. and Mint Investment Management Company (previously filed).

| |                                                                                                                
| | ---------------------------------------------------------------------------------------------------------------
| | 10.4(k) – Management Agreement between Hayden Commodities Corp. and John W. Henry & Company (previously filed).

23

---



| |                                                                                                                    
| | -------------------------------------------------------------------------------------------------------------------
| | 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).

| |                                                                                                                                                                                                                         
| | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
| | 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).

24

---



| |                                                                                                                                                                                  
| | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
| | 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).

| |                                                                                                                                                                                                                                                  
| | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
| | 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 Agreement with John W. Henry & Company, Inc. for 2002 (previously filed).

| |                                                                                                              
| | -------------------------------------------------------------------------------------------------------------
| | 10.35 – Letter extending Management Agreement with John W. Henry & Company, Inc. for 2003 (previously filed).

| |                                                                                                              
| | -------------------------------------------------------------------------------------------------------------
| | 10.36 – Letter extending Management Agreement with John W. Henry & Company, Inc. for 2004 (previously filed).

| |                                                                                                              
| | -------------------------------------------------------------------------------------------------------------
| | 10.37 – Letter extending Management Agreement with John W. Henry & Company, Inc. for 2005 (previously filed).

| |                                                                                                              
| | -------------------------------------------------------------------------------------------------------------
| | 10.38 – Letter extending Management Agreement with John W. Henry & Company, Inc. for 2006 (previously filed).

| |                                                                                                          
| | ---------------------------------------------------------------------------------------------------------
| | 10.39 – Letter extending Management Agreement with John W. Henry & Company, Inc. for 2007 (filed herein).

| |                                                                   
| | ------------------------------------------------------------------
| | 16.10 – Letter from PricewaterhouseCoopers LLP (previously filed).

| |                                                                                                      
| | -----------------------------------------------------------------------------------------------------
| | 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)

25

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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.

26

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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 31stday of March 2008.

Shearson Select Advisors Futures Fund L.P.

By:/s/ Citigroup Managed Futures LLC
(General Partner)

By/s/ Jerry Pascucci
Jerry Pascucci, President and 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/ Jerry Pascucci


/s/ Ihor RakowskyJerry Pascucci


Ihor RakowskyPresident and Director


Secretary and Director/s/ Jennifer Magro


/s/ Daryl DewbreyJennifer Magro


Daryl DewbreyChief Financial Officer and Director


Director/s/ Steve Ciampi


/s/ Raymond NolteSteve Ciampi


Raymond NolteDirector


Director/s/ Shelley UllmanShelley UllmanDirector


27

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