UNITEDSTATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C.20549

FORM 10-K

Annual Report Pursuant To Section 13or 15(d) Of The Securities Exchange Act Of 1934

For theyear ended December 31, 2004

Commission FileNumber 0-16627

SHEARSON SELECT ADVISORS FUTURESFUND L.P.

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(Exact name ofregistrant as specified in its charter)

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| NewYork                                                      |  | 13-3405705                          |
| (State or otherjurisdiction ofincorporation or organization) |  | (I.R.S.Employer Identification No.) |
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c/oCitigroup Managed Futures LLC 399 Park Avenue. – 7thFl. New York, New York 10022

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(Address and ZipCode of principal executive offices)

(212)559-2011

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(Registrant'stelephone number, including area code)

Securitiesregistered pursuant to Section 12(b) of theAct:  None

Securities registered pursuantto Section 12(g) of the Act:  Redeemable Units of LimitedPartnership Interest

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Indicate by check mark whether the registrant (1)has filed all reports required to be filed by Section 13 or 15(d) ofthe Securities Exchange Act of 1934 during the preceding 12 months (orfor such shorter period that the registrant was required to file suchreports), and (2) has been subject to such filing requirements for thepast 90 days.

YesX        No     

Indicateby check mark if disclosure of delinquent filers pursuant to Item 405of Regulation S-K is not contained herein, and will not be contained,to the best of registrant's knowledge, in definitive proxy orinformation statements incorporated by reference in Part III of thisForm 10-K or any amendment to this form 10-K [X]

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

Yes             No X

LimitedPartnership Redeemable Units with an aggregate value of $3,251,230 wereoutstanding and held by non-affiliates as of the last business day ofthe registrant's most recently completed second fiscalquarter.

As of February 28, 2005, 1,035 LimitedPartnership Redeemable Units were outstanding.

DOCUMENTS INCORPORATED BY REFERENCE

None

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PART 1

Item1.    Business.

(a) General development ofbusiness. Shearson Select Advisors Futures Fund L.P. (the"Partnership") is a limited partnershiporganized on February 10, 1987 under the partnership laws of the Stateof Delaware. The Partnership engages in speculative trading ofcommodity interests, including forward contracts on foreign currencies,commodity options and commodity futures contracts including futurescontracts on United States Treasuries and certain other financialinstruments and foreign currencies. The commodity interests that aretraded by the Partnership are volatile and involve a high degree ofmarket risk. The Partnership was authorized to sell 50,000 redeemableunits of Limited Partnership Interest ("RedeemableUnits"). The Partnership commenced trading on July 1,1987. Redemptions for the years ended December 31, 2004, 2003 and 2002are reported in the Statements of Changes in Partners' Capital onpage F-8 under "Item 8. Financial Statements andSupplementary Data."

The Partnership will beliquidated upon the first to occur of the following: December 31, 2007;a decline in net asset value per Redeemable Unit on any business dayafter trading to less than $350 per unit; a decline in net assets aftertrading commences to less than $1,000,000; or under certain othercircumstances as defined in the limited partnership agreement (the"Limited Partnership Agreement").

Citigroup Managed Futures LLC, formerly Smith Barney FuturesManagement LLC, acts as the general partner (the "GeneralPartner") of the Partnership. The Partnership'scommodity broker is Citigroup Global Markets Inc.("CGM"), formerly Salomon Smith Barney Inc.CGM is an affiliate of the General Partner. The General Partner iswholly owned by Citigroup Global Markets Holding Inc.("CGMHI"), formerly Salomon Smith BarneyHoldings Inc., which is the sole owner of CGM. CGMHI is a wholly ownedsubsidiary of Citigroup Inc.("Citigroup")

The Partnership'strading of futures, forwards and options contracts, if applicable, oncommodities is done primarily on United States of America commoditiesexchanges and may, to a lesser extent, be done on some foreigncommodity exchanges. It engages in such trading through a commoditybrokerage account maintained with CGM.

Under the limitedpartnership agreement of the Partnership (the "LimitedPartnership Agreement"), the General Partner has soleresponsibility for the administration of the business and affairs ofthe Partnership, but may delegate trading discretion to one or moretrading advisors. The Partnership is obligated to pay the GeneralPartner an incentive fee payable quarterly equal to 5% of NewTrading Profits of the Partnership.

The General Partner hasentered into a management agreement (theManagement Agreement)with John W. Henry & Company, Inc. ("JWH"or the "Advisor). The Advisor isnot affiliated with the General Partner or CGM. The Advisor is notresponsible for the organization or operation of the Partnership.Reference should be made to "Item 8. FinancialStatements and Supplementary Data." for furtherinformation regarding the Advisor included in the Notes to FinancialStatements.

The Management Agreement requires the Partnership topay 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 NetAssets for the purpose of calculating management fees are Net Assets,as defined in the Limited Partnership Agreement, prior to the reductionof redemptions and incentive fees. In addition, the Partnership isobligated to pay an incentive fee equal to 10% of the NewTrading Profits (as defined in the Management Agreement) earned on theNet Assets managed by the Advisor during each quarter.

Pursuantto the terms of the customer agreement entered into with CGM (the"Customer Agreement"), the Partnership isobligated to pay a monthly commodity brokerage fee. Effective January1, 1997, the Partnership pays CGM a monthly brokerage fee equal to..5% of month end net assets (6% per year) in lieu ofbrokerage commissions on a per trade basis. Month-end Net Assets forthe purpose of calculating commissions are Net Assets, as defined inthe Limited Partnership Agreement, prior to the reduction of accruedexpenses and redemptions payable. The Partnership will pay for clearingfees, but not for floor brokerage which will be borne by CGM. Referenceshould be made to "Item 8. Financial Statements andSupplementary Data." for further informationregarding the brokerage commissions included in the Notes to FinancialStatements.

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In addition, CGM pays the Partnershipinterest on 70% of the average daily equity maintained in cashin its accounts during each month at the rate of the averagenon-competitive yield of the 13-week U.S. Treasury Bills as determinedat the weekly auctions thereof during the month. The Customer Agreementbetween the Partnership and CGM gives the Partnership the legal rightto net unrealized gains and losses. The Customer Agreement may beterminated upon notice by either party.

(b) Financialinformation about industry segments. The Partnership'sbusiness consists of only one segment, speculative trading of commodityinterests, including forward contracts on foreign currencies, commodityoptions and commodity futures contracts (including futures contracts onU.S. Treasuries and other financial instruments, foreign currencies andstock indices). The Partnership does not engage in sales of goods orservices. The Partnership's net income (loss) from operations forthe years ended December 31, 2004, 2003, 2002, 2001 and 2000 are setforth under "Item 6. Selected FinancialData." The Partnership's capital as of December31, 2004 was $4,278,361.

(c) Narrative description ofbusiness.

See Paragraphs (a) and (b) above.

(i)through (xii) - Not applicable.

(xiii) - The Partnership has noemployees.

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

(e) Available Information. The Partnershipdoes not have an Internet address. The Partnership will provide papercopies of its annual report on Form 10-K, quarterly reports on Form10-Q, current reports on Form 8-K and any amendments to these reportsfree of charge upon request.

Item2.    Properties.

The Partnership does not own orlease any properties. The General Partner operates out of facilitiesprovided by its affiliate, CGM.

Item 3.    LegalProceedings.

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

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

There havebeen no administrative, civil or criminal actions pending, on appeal orconcluded against CGM or any of its individual principals within thepast five years that management believes may have a material impact onCGM's ability to act as an FCM. In the ordinary course of itsbusiness, CGM is a party to various claims and regulatoryinquiries.

Regulatory Matters

Both the Department ofLabor and the Internal Revenue Service("IRS") have advised CGM that they were orare reviewing transactions in which Ameritech Pension Trust purchasedfrom CGM and certain affiliates approximately $20.9 million inparticipations in a portfolio of motels owned by Motels of America,Inc. and Best Inns, Inc. With respect to the IRS review, CGM andcertain affiliated entities have consented to extensions of time forthe assessment of excise taxes that may be claimed to be due withrespect to the transactions for the years 1987, 1988 and1989.

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In April 2000, CGM and several otherbroker-dealers entered into a settlement with the IRS and the SEC,concluding an industry-wide investigation into the pricing of Treasurysecurities in advanced refunding transactions.

IPO RegulatoryInquiries

Since April 2002, CGM and several other brokerdealers have received subpoenas and/or requests for information fromvarious governmental and self-regulatory agencies and Congressionalcommittees as part of their research on IPO allocation inquiries. Withrespect to issues raised by the NASD, the NYSE and the SEC aboutCGM' and other firms' e-mail retention practices, CGM andseveral other broker/dealers and the NASD, the NYSE and the SEC enteredinto a settlement agreement in December 2002. CGM agreed to pay apenalty in the amount of $1.65 million and did not admit anywrongdoing.

IPO Civil Litigation

In April 2002,consolidated amended complaints were filed against CGM and otherinvestment banks named in numerous alleged class actions filed in theUnited States District Court for the Southern District of New York,alleging violations of certain federal securities laws (includingSection 11 of the Securities Act of 1933, as amended, and Section 10(b)of the Securities Exchange Act of 1934, as amended) with respect to theallocation of shares for certain initial public offerings and relatedaftermarket transactions and damage to investors caused by allegedlybiased research analyst reports. On February 19, 2003, the Court issuedan opinion denying defendants' motion to dismiss.

OnOctober 13, 2004, the court granted in part the motion to certify classactions for six focus cases in the securities litigation. CGM is not adefendant in any of the six focus cases. The underwriter defendants inthe focus cases have filed a petition to the United States Court ofAppeals for the Second Circuit seeking review of this decision.

Also filed in the Southern District of New York against CGM andother investment banks were several alleged class actions that wereconsolidated into a single class action alleging violations of certainfederal and state antitrust laws in connection with the allocation ofshares in initial public offerings when acting as underwriters. OnNovember 3, 2003, the court granted CGM's motion to dismiss theconsolidated amended complaint in the antitrust case. An appeal to theSecond Circuit of the dismissal granted to CGM in November 2003 withrespect to the antitrust case relating to the allocation of shares forcertain initial public offerings is pending.

ResearchSettlement

On April 28, 2003, CGM announced final agreementswith the SEC, the NASD, the NYSE and the New York Attorney General (aslead state among the 50 states, the District Columbia and Puerto Rico)to resolve on a civil basis all of their outstanding investigationsinto its research and IPO allocation and distribution practices (the"Research Settlement"). As part of theResearch Settlement, CGM has consented to the entry of (1) aninjunction under the federal securities laws to be entered in theUnited States District Court for the Southern District of New York,barring CGM from violating provisions of the federal securities lawsand related NASD and NYSE rules relating to research, certain IPOallocation practices, the safeguarding of material nonpublicinformation, and the maintenance of required books and records andrequiring CGM to adopt and enforce new restrictions on the operation ofresearch; (2) an NASD Acceptance Waiver and Consent requiring CGM tocease and desist from violations of corresponding NASD rules andrequiring CGM to adopt and enforce the same new restrictions; (3) anNYSE Stipulation and Consent requiring CGM to cease and desist fromviolations of corresponding NYSE rules and requiring CGM to adopt andenforce the same new restrictions; and (4) an Assurance ofDiscontinuance with the New York Attorney General containingsubstantially the same or similar restrictions. The Research Settlementrequires CGM to pay $300 million for retrospective relief, plus $25million for investor education, and commit to spend $75 million toprovide independent third-party research to its clients at no charge.CGM reached these final settlement agreements without admitting ordenying any wrongdoing or liability. The Research Settlement does notestablish wrongdoing or liability for purposes of any other proceeding.The $300 million was accrued during the 2002 fourth quarter.

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To effectuate the Research Settlement, theSEC filed a Complaint and Final Judgment in the United States DistrictCourt for the Southern District of New York. On October 31, 2003, finaljudgment was entered against CGM and nine other investment banks. TheNASD has accepted the Letter of Acceptance, Waiver and Consent enteredinto with CGM in connection with the Research Settlement. In May 2003,the NYSE advised CGM that the Hearing Panel's Decision, in whichit accepted the Research Settlement, had become final. As required bythe Research Settlement, CGM also has entered into separate settlementagreements with numerous states and certain U.S. territories.

Several individual actions have been filed against Citigroup and CGMrelating to, among other things, research on Qwest CommunicationsInternational, Inc. alleging violations of state and federal securitieslaws.

Enron Regulatory Settlement

On July 28,2003, Citigroup (CGM's ultimate parent) entered into a finalsettlement agreement with the SEC to resolve the SEC'soutstanding investigations into Citigroup transactions with Enron Corp.and Dynegy Inc. Pursuant to the settlement, Citigroup has, among otherterms, (1) consented to the entry of an administrative cease and desistorder, which bars Citigroup from committing or causing violations ofprovisions of the federal securities laws, and (2) agreed to pay $120million ($101.25 million allocable to Enron and $18.75 millionallocable to Dynegy). Citigroup entered into this settlement withoutadmitting or denying any wrongdoing or liability, and the settlementdoes not establish wrongdoing or liability for purposes of any otherproceeding. On July 28, 2003, Citibank, N.A. entered into an agreementwith the Office of the Comptroller of the Currency("OCC") and Citigroup entered into anagreement with the Federal Reserve Bank of New York("FED") to resolve their inquiries intocertain of Citigroup's transactions with Enron. Pursuant to theagreements, Citibank and Citigroup have agreed to submit plans to theOCC and FED, respectively, regarding the handling of complex structuredfinance transactions. Also on July 28, 2003, Citigroup entered into asettlement agreement with the Manhattan District Attorney'sOffice to resolve its investigation into certain of Citigroup'stransactions with Enron. Pursuant to that settlement, Citigroup hasagreed to pay $25.5 million and to abide by its agreements with theSEC, OCC and FED.

Enron-Related Civil Actions

CGM,Citigroup and various other Citigroup-related entities have been namedas defendants in over 20 civil lawsuits pending in state and federalcourts throughout the United States, alleging claims against Citigroupand CGM based on their dealings with Enron. The majority of these caseshave been brought by purchasers and sellers of Enron equity and debtsecurities and Enron-linked securities. Many of the plaintiffs in theseactions are large, institutional investors that had substantial Enronand Enron-linked holdings. The lawsuits collectively allege as againstCitigroup and/or its affiliates and subsidiaries, among other things,federal securities fraud, state law claims of negligentmisrepresentation, fraud, breach of fiduciary duty, aiding and abettinga breach of fiduciary duty and related claims. In most of theselawsuits, Citigroup is named as a co-defendant along with otherinvestment banks alleged to have had dealings with Enron. The majorityof cases pending in the federal courts have been, or are in the processof being, consolidated before a single judge in the United StatesDistrict Court for the Southern District of Texas. In addition, in fiveadversary proceedings in the Enron Chapter 11 bankruptcy, Enron and, inone case, its co-debtor affiliates and subsidiaries, and the OfficialCommittee of Unsecured Creditors of Enron Corp., et al., have namedCitigroup and/or its affiliates or subsidiaries as defendants.

ACitigroup affiliate, along with other defendants, settled all claimsagainst it in In Re: Newpower Holdings Securities Litigation, aclass action brought on behalf of certain investors in NewPowersecurities. Citigroup reached this settlement agreement withoutadmitting any wrongdoing. On September 13, 2004, the United StatesDistrict Court for the Southern District of New York preliminarilyapproved the settlement.

Dynegy Inc.

 OnJune  6, 2003, the complaint in a pre-existing putative classaction pending in the United States District Court for the SouthernDistrict of Texas (IN RE: DYNEGY  INC. SECURITIES LITIGATION)

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brought by purchasers of publicly traded debtand equity securities of Dynegy  Inc. was amended to addCitigroup, Citibank and CGMI as defendants. The plaintiffs allegeviolations of Sections 10(b) and 20(a) of the Securities Exchange Actof 1934, as amended, against the Citigroup defendants. The Citigroupdefendants filed a motion to dismiss in March  2004, which motionwas granted by the District Court in October  2004. The courtdenied lead plaintiff's request for leave to appeal.

Worldcom-Related Litigation

Citigroup, CGM and certainexecutive officers and current and former employees have been named asdefendants — along with twenty-two other investment banks,certain current and former WorldCom officers and directors, andWorldCom's former auditors — in a consolidated class actionbrought on behalf of individuals and entities who purchased or acquiredpublicly traded securities of WorldCom between April 29, 1999 and June25, 2002 In Re: Worldcom, Inc. Securities Litigation. The classaction complaint asserts claims against CGM under (i) Sections 11 and12(a)(2) of the Securities Act of 1933, as amended, in connection withcertain bond offerings in which it served as underwriter, and (ii)Sections 10(b) and 20(a) of the Securities Exchange Act of 1934, asamended, and Rule 10b-5 promulgated under Section 10(b), alleging thatit participated in the preparation and/or issuance of misleadingWorldCom registration statements and disseminated misleading researchreports concerning WorldCom stock. In 2003, the district court deniedCGM' motion to dismiss the consolidated class action complaintand granted the plaintiffs' motion for class certification.

Pursuant to an order entered May 28, 2003, the District Courtconsolidated approximately seventy-eight individual actions with theclass action for pretrial proceedings. The claims asserted in theseindividual actions are substantially similar to the claims alleged inthe class action and assert state and federal securities law claimsbased on CGM's research reports concerning WorldCom and/orCGM's role as an underwriter in WorldCom offerings. Plaintiffs incertain of these actions filed motions to remand their cases to statecourt. The District Court denied these motions and its rulings wereupheld on appeal.

Numerous other actions asserting claimsagainst CGM in connection with its research reports about WorldComand/or its role as an investment banker for WorldCom are pending inother federal and state courts around the country. These actions havebeen remanded to various state courts, are pending in other federalcourts, or have been conditionally transferred to the United StatesDistrict Court for the Southern District of New York to be consolidatedwith the class action. In addition to the court suits, actionsasserting claims against Citigroup and certain of its affiliatesrelating to its WorldCom research reports are pending in numerousarbitrations around the country. These actions assert claims that aresubstantially similar to the claims asserted in the classaction.

On May 10, 2004, Citigroup announced that it had agreedto pay $2.58 billion to settle the WorldCom class action suits. TheUnited States District Court for the Southern District of New Yorkgranted approval to the proposed settlement on November 10,2004.

On September 17, 2004, Weinstein, et al. v. Ebbers, etal., an alleged class action against CGM and others brought onbehalf 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 StatesDistrict Court for the Southern District of New York. The plaintiffsnoticed an appeal of the dismissal to the United States Court ofAppeals for the Second Circuit on October 15, 2004. The parties havereached an agreement in principle on the terms of a settlement of thisaction.

Citigroup and CGM, along with a number of otherdefendants, have settled Retirement Systems of Alabama, et al. v.J.P. Morgan Chase & Co., et al., a WorldCom individual actionthat had been remanded to the Circuit Court of Montgomery County,Alabama. The settlement became final on September 30, 2004.

OnJune 28, 2004, the United States District Court for the SouthernDistrict of New York dismissed all claims under the Securities Act of1933, as amended, and certain claims under the Securities Exchange Actof 1934 in In Re: Targets Securities Litigation, an allegedclass action against Citigroup and CGM and certain former employees,leaving only claims under the 1934 Act for purchases of Targeted GrowthEnhanced Terms Securities With Respect to the Common Stock of MCIWorldCom, Inc. ("TARGETS") 

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after July 30, 1999. On October 20, 2004, theparties signed a Memorandum of Understanding setting forth the terms ofa settlement of all remaining claims in this action. The settlement waspreliminarily approved by the Court on January 11, 2005.

Afairness hearing was held on November 5, 2004 in connection with theproposed class settlement between plaintiffs and the Citigroup-relateddefendants in In Re: Worldcom, Inc. Securities Litigation.

Global Crossing

On or about January 28, 2003, leadplaintiff in a consolidated alleged class action in the United StatesDistrict Court for the Southern District of New York (In Re: GlobalCrossing, Ltd. Securities Litigation) filed a consolidatedcomplaint on behalf of purchasers of the securities of Global Crossingand Asia Global Crossing, which names as defendants, among others,Citigroup, CGM, CGMH and certain executive officers and current andformer employees. The purported class action complaint asserts claimsunder the federal securities laws alleging that the defendants issuedresearch reports without a reasonable basis in fact and failed todisclose conflicts of interest with Global Crossing in connection withpublished investment research. On March 22, 2004, the lead plaintiffamended its consolidated complaint to add claims on behalf ofpurchasers of the securities of Asia Global Crossing. The added claimsassert causes of action under the federal securities laws and commonlaw in connection with CGM's research reports about GlobalCrossing and Asia Global Crossing and for CGM's roles as aninvestment banker for Global Crossing and as an underwriter in theGlobal Crossing and Asia Global Crossing offerings. The Citigrouprelated defendants moved to dismiss all of the claims against them onJuly 2, 2004. The plaintiffs and the Citigroup related defendants havereached an agreement in principle on the terms of a settlement of thisaction.

In addition, on or about January 27, 2004, the GlobalCrossing Estate Representative filed in the United States BankruptcyCourt for the Southern District of New York (i) an adversary proceedingasserting claims against, among others, Citigroup, CGM and certainexecutive officers and current and former employees, asserting claimsunder federal bankruptcy law and common law in connection withCGM's research reports about Global Crossing and for its role asan underwriter in Global Crossing offerings, and (ii) an adversaryproceeding against Citigroup and several other financial institutionsseeking to rescind the payment of a $1 billion loan made to asubsidiary of Global Crossing. The Citigroup related defendants movedto dismiss the former action on June 26, 2004, and the latter on May28, 2004.

In addition, actions asserting claims againstCitigroup and certain of its affiliates relating to its Global Crossingresearch reports are pending in numerous arbitrations around thecountry. These arbitration proceedings assert claims that aresubstantially similar to the claims asserted in the alleged classaction.

Adelphia Communications Corporation

On July 6,2003, an adversary proceeding was filed by the Official Committee ofUnsecured Creditors on behalf of Adelphia Communications Corporationagainst 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 theCitigroup Parties and numerous other defendants committed acts inviolation of the Bank Holding Company Act and the common law. Thecomplaint seeks equitable relief and an unspecified amount ofcompensatory and punitive damages. In November 2003, a similaradversary proceeding was filed by the Equity Holders Committee ofAdelphia. In June 2004, motions to dismiss were filed with respect tothe complaints of the Official Committee of Unsecured Creditors and theEquity Holders Committee. The motions are currently pending.

Inaddition, CGM is among the underwriters named in numerous civil actionsbrought to date by investors in Adelphia debt securities in connectionwith Adelphia securities offerings between September 1997 and October2001. Three of the complaints also assert claims against Citigroup Inc.and Citibank, N.A. All of the complaints allege violations of federalsecurities laws, and certain of the complaints also allege violationsof state securities laws and the common law. The complaint seeksunspecified damages. In December 2003, a second amended complaint wasfiled and consolidated before the same judge of the United StatesDistrict Court for the Southern District of New York. In February 2004,motions to dismiss the class and individual actions pending in theUnited States District Court for the Southern District were filed. Themotions are currently pending.

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Mutual Funds

Citigroup and certainof its affiliates have been named in several class action litigationspending in various federal district courts arising out of allegedviolations of the federal securities laws, the Investment Company Actand common law (including breach of fiduciary duty and unjustenrichment). The claims concern practices in connection with the saleof mutual funds, including allegations involving market timing, revenuesharing, incentive payments for the sale of proprietary funds,undisclosed breakpoint discounts for the sale of certain classes offunds, inappropriate share class recommendations and inappropriate fundinvestments. The litigations involving market timing have beenconsolidated under the MDL rules in the United States District Courtfor the District of Maryland, and the litigations involving revenuesharing, incentive payment and other issues have been consolidated inthe United States District Court for the Southern District of New York.The plaintiffs in these litigations generally seek unspecifiedcompensatory damages, rescissionary damages, injunctive relief, costsand fees. In the principal market timing cases that name Citigroup, alead plaintiff has been appointed but that plaintiff has not yet filedan amended complaint. In the cases concerning revenue sharing,incentive payment and other issues, the lead plaintiff filed aconsolidated and amended complaint on December 15, 2004.

Severalissues in the mutual fund industry have come under scrutiny of federaland state regulators. Citigroup has received subpoenas and otherrequests for information from various government regulators regardingmarket timing, financing, fees, sales practices and other mutual fundissues in connection with various investigations. Citigroup iscooperating with all such reviews.

Research AnalystLitigation

Since May 2002, CGM and certain executive officersand current and former employees have been named as defendants innumerous alleged class action complaints, individual actions, andarbitration demands by purchasers of various securities alleging thatthey violated federal securities law, including Sections 10 and 20 ofthe Securities Exchange Act of 1934, as amended, and certain state lawsfor allegedly issuing research reports without a reasonable basis infact and for allegedly failing to disclose conflicts of interest withcompanies in connection with published investment research, includingGlobal Crossing, Ltd., AT&T Corp., Level 3 Communications, Inc.,Metromedia Fiber Network, Inc., XO Communications, Inc., WilliamsCommunications Group Inc., and Focal Communications, Inc. The allegedclass actions relating to research of these companies are pendingbefore a single judge in the United States District Court for theSouthern District of New York for coordinated proceedings. The Courthas consolidated these actions into separate proceedings correspondingto the companies named above. On December 2, 2004, the Court granted inpart and denied in part the Citigroup related defendants' motionsto dismiss the claims against it in the AT&T, Level 3, XO andWilliams actions. On January 6, 2005, the Court granted in part anddenied in part Citigroup's motion to dismiss the claims againstit in the Metromedia action.

In addition to the alleged researchclass actions, several individual actions have been filed againstCitigroup and CGM relating to, among other things, research on QwestCommunications International, Inc. These actions allege violations ofstate and federal securities laws in connection with CGM'spublication of research about Qwest and its underwriting of Qwestsecurities.

Two alleged class actions against CGM assertingcommon law claims in connection with published investment research onbehalf of CGM customers have been dismissed by United States DistrictCourts, one of which was affirmed by the United States Court of Appealsfor the Ninth Circuit, and one of which is pending on appeal to theUnited States Courts of Appeals for the Third Circuit. Two moreputative class actions raising similar claims are pending against CGM,one in the United States District Court for the Southern District ofNew York (Norman v. Salomon Smith Barney, et al.) and the otherin Illinois state court (Disher v. CGM Inc.). On June 9, 2004,the District Court denied CGMI's motion to dismiss Norman v.Salomon Smith Barney, et al., a case which asserts violations ofthe Investment Advisers Act of 1940 and various common law claims inconnection with certain investors who maintained guided portfoliomanagement accounts at Smith Barney.

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Supervisory Investigation

In May2003, the SEC, NYSE and NASD issued a subpoena and letters to CGMrequesting documents and information with respect to their continuinginvestigation of individuals in connection with the supervision of theresearch and investment banking departments of CGM. Other parties tothe Research Settlement have received similar subpoenas andletters.

West Virginia Attorney General Suit

On June23, 2003, the West Virginia Attorney General filed an action againstCGM and nine other firms that were parties to the Research Settlement.The West Virginia Attorney General alleges that the firms violated theWest Virginia Consumer Credit and Protection Act in connection withtheir research activities and seeks monetary penalties.

Citigroup Shareholder Litigation

In July 2002, Citigroup,CGM and certain officers were named as defendants in an alleged classaction filed in the United States District Court for the SouthernDistrict of New York, brought on behalf of purchasers of Citigroupcommon stock between July 24, 1999 and July 23, 2002. The complaintseeks unspecified compensatory and punitive damages for allegedviolations of Sections 10(b) and 20(a) of the Securities Exchange Actof 1934, and for common law fraud. Fourteen virtually identicalcomplaints have been filed and consolidated. The complaints allege thatCitigroup misstated the extent of its Enron-related exposure, and thatCitigroup's stock price fell once the true extent ofCitigroup's Enron involvements became known. Plaintiffs filed anamended complaint on March 10, 2003, which incorporated the allegationsin the 15 separate actions and added new material as well. The amendedcomplaint focuses on certain transactions between Citigroup and Enronand alleged analyst conflicts of interest. The class period for theconsolidated amended complaint is July 24, 1999 to December 11, 2002.On June 2, 2003, Citigroup filed a motion to dismiss the consolidatedamended complaint. Plaintiffs' response was filed on July 30, andCitigroup's reply was filed on October 3, 2003. On August 10,2004, Judge Swain granted Citigroup's motion to dismiss theconsolidated amended complaint. The plaintiffs filed a notice of appealin October 2004.

NASD Settlement

In November 2004, CGMentered into a final agreement with the NASD to resolve theNASD's investigation into certain of its selling practices.Without admitting or denying any allegations or findings, CGM acceptedcertain factual findings by the NASD that it (i) sold units in twomanaged futures funds to 45 customers for whom the investment was notsuitable, (ii) failed to maintain records disclosing the basis uponwhich its investor suitability determinations were made and (iii)failed to adequately disclose the risks of investing in managed futuresproducts on its website. CGM consented to a censure and a fine of$275,000 and offered to redeem the investment of the customers for whominvestment in the two managed futures funds was found not suitable.

In the course of its business, CGM, as a major futures commissionmerchant and broker-dealer is a party to various claims and routineregulatory investigations and proceedings that the general partnerbelieves do not have a material adverse effect on the business ofCGM.

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

There were no matters submitted to thesecurity holders for a vote during the last fiscal year covered by thisreport.

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PART II

Item 5.    Marketfor Registrant's Common Equity and Related Security HolderMatters.

(a) Market Information. The Partnershiphas issued no stock. There is no established public trading market forthe Redeemable Units of Limited Partnership Interest.

(b)Holders. The number of holders of Redeemable Units of LimitedPartnership Interest as of December 31, 2004 was 277.

(c)Distribution. The Partnership did not declare a distributionin 2004 or 2003.

(d) Use of Proceeds. There were noadditional sales in the years ended December 31, 2004, 2003 and2002.

Item 6.    Selected Financial Data.

Net realized and unrealized trading gains, interest income, netincome and increase in Net Asset Value per Redeemable Unit for theyears ended December 31, 2004, 2003, 2002, 2001 and 2000 and totalassets at December 31, 2004, 2003, 2002, 2001 and 2000 were asfollows:

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|                                                                                                                                                             |  | 2004   |           | 2003   |  | 2002   |           | 2001   |  | 2000   |
| Netrealized and unrealized trading gains net of brokerage commissions(including clearing fees) of $243,995, $283,408, $226,451, $216,379 and$189,032respectively |  | $      | 190,473   |   |  | $      | 919,661   |   |  | $      | 1,483,403 |   |  | $      | 159,010   |   |  | $      | 139,628   |   |
|                                                                                                                                                             |  |   |      |   |  |   |      |   |  |   |      |   |  |   |      |   |  |   |      |   |
| Interestincome                                                                                                                                                   |  |   | 35,338    |   |  |   | 31,236    |   |  |   | 38,736    |   |  |   | 82,770    |   |  |   | 121,989   |   |
|                                                                                                                                                             |  | $      | 225,811   |   |  | $      | 950,897   |   |  | $      | 1,522,139 |   |  | $      | 241,780   |   |  | $      | 261,617   |   |
| Netincome                                                                                                                                                        |  | $      | 30,568    |   |  | $      | 693,305   |   |  | $      | 1,220,121 |   |  | $      | 71,103    |   |  | $      | 106,856   |   |
|                                                                                                                                                             |  |   |      |   |  |   |      |   |  |   |      |   |  |   |      |   |  |   |      |   |
| Increasein Net Asset Value per RedeemableUnit                                                                                                                    |  | $      | 67.68     |   |  | $      | 579.64    |   |  | $      | 945.40    |   |  | $      | 37.64     |   |  | $      | 155.53    |   |
|                                                                                                                                                             |  |   |      |   |  |   |      |   |  |   |      |   |  |   |      |   |  |   |      |   |
| **Totalassets**                                                                                                                                                  |  | $      | 4,502,656 |   |  | $      | 4,574,180 |   |  | $      | 4,305,348 |   |  | $      | 3,282,220 |   |  | $      | 3,520,482 |   |
|                                                                                                                                                                  |

Item7.    Management's Discussion and Analysis of FinancialCondition and Results of Operations.

Overview

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

The General Partner manages all business of the Partnership. TheGeneral Partner has delegated its responsibility for the investment ofthe Partnership's assets to JWH. The General Partner employs ateam of approximately 20 professionals whose primary emphasis is onattempting to maintain quality control among the advisors to thePartnerships operated or managed by the General Partner. A full-timestaff of due diligence professionals use state-of-the-art technologyand on-site evaluations to monitor new and existing futures moneymanagers. The accounting and operations staff provides processing oftrading activity and reporting to limited partners and regulatoryauthorities. In selecting the Advisor for the Partnership, the GeneralPartner considered past performance, trading style, volatility ofmarkets traded and fee requirements.

9

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Responsibilities of the General Partnerinclude:

|              |                                           |
|--------------|-------------------------------------------|
| •  | due diligence examinations ofthe Advisor; |

|              |                                                       |
|--------------|-------------------------------------------------------|
| •  | selection, appointment andtermination of the Advisor; |

|              |                                            |
|--------------|--------------------------------------------|
| •  | negotiationof the management agreement;and |

|              |                                        |
|--------------|----------------------------------------|
| •  | monitoring the activity of theAdvisor. |

In addition, the General Partner prepares the books andrecords and provides the administrative and compliance services thatare required by law or regulation from time to time in connection withoperation of the Partnership. These services include the preparation ofrequired books and records and reports to limited partners, governmentagencies and regulators; computation of net asset value; calculation offees; effecting subscriptions, redemptions and limited partnercommunications; and preparation of offering documents and salesliterature.

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

The Advisor specializes in managing institutional and individualcapital in the global futures, interest rate and foreign exchangemarkets. Since 1981, JWH has developed and implemented proprietarytrend-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 pricemovements in four worldwide market sectors: currencies, interest rates,metals and global stock indices. The program uses the three-phaseinvestment style. Beginning in August 1992, the position size inrelation to account equity in this program was reduced 50%.Since the changes were implemented in 1992, F&M has experiencedlower volatility.

(a) Liquidity.

The Partnershipdoes not engage in sales of goods or services. Its only assets are itsequity in its commodity futures trading account, consisting of cash andcash equivalents, net unrealized appreciation (depreciation) on openfutures and forward contracts and interest receivable. Because of thelow margin deposits normally required in commodity futures trading,relatively small price movements may result in substantial losses tothe Partnership. Such substantial losses could lead to a material lossin liquidity.

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

|           |                                                                                                                                                                                                                                                                                                                                                    |
|-----------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (i)  | The Partnership invests itsassets only in commodity interests that the Advisor believes are tradedin sufficient volume to permit ease of taking and liquidatingpositions. Sufficient volume, in this context, refers to a level ofliquidity that the Advisor believes will permit it to enter and exittrades without noticeably moving the market. |

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

|             |                                                                                                                                                                                                                                                            |
|-------------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (iii)  | The Partnership may occasionally acceptdelivery of a commodity. Unless such delivery is disposed of promptlyby reentering the warehouse receipt representing the delivery to theappropriate clearinghouse, the physical commodity position is fullyhedged. |

|            |                                                                                                                                                                                                                                                         |
|------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (iv)  | The Partnership does not employthe trading technique commonly known as"pyramiding", in which the speculator usesunrealized profits on existing positions as margin for the purchases orsale of additional positions in the same or related commodities. |

|           |                                                                                                                                   |
|-----------|-----------------------------------------------------------------------------------------------------------------------------------|
| (v)  | The Partnership does not utilize borrowingsexcept short-term borrowings if the Partnership takes delivery of anycash commodities. |

10

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|            |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |
|------------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (vi)  | The Advisor may,from time to time, employ trading strategies such as spreads orstraddles on behalf of the Partnership. The term"spread" or"straddle" describes a commodity futurestrading strategy involving the simultaneous buying and selling offutures contracts on the same commodity but involving differentdelivery dates or markets and in which the trader expects to earn aprofit from a widening or narrowing of the difference between theprices of the two contracts. |

|             |                                                                                                                                                                                                                                                                                       |
|-------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (vii)  | ThePartnership will not permit the churning of its commodity tradingaccount. The term "churning" refers to thepractice of entering and exiting trades with a frequency unwarranted bylegitimate efforts to profit from the trades, driven by the desire togenerate commission income. |

In the normal course of business,the Partnership is party to financial instruments with off-balancesheet risk, including derivative financial instruments and derivativecommodity instruments. These financial instruments include forwards,futures, options and swaps, whose values are based upon an underlyingasset, index or reference rate, and generally represent futurecommitments to exchange currencies or cash flows, or to purchase orsell other financial instruments at specified terms at specified futuredates, or, in the case of derivative commodity interests, to have areasonable possibility to be settled in cash, through physical deliveryor with another financial instrument. These instruments may be tradedon an exchange or over-the-counter ("OTC").Exchange traded instruments are standardized and include futures andcertain option contracts. OTC contracts are negotiated betweencontracting parties and include forwards, swaps and certain options.Each of these instruments is subject to various risks similar to thoserelating to the underlying financial instruments including market andcredit risk. In general, the risks associated with OTC contracts aregreater than those associated with exchange traded instruments becauseof the greater risk of default by the counterparty to an OTCcontract.

Market risk is the potential for changes in the valueof the financial instruments traded by the Partnership due to marketchanges, including interest and foreign exchange rate movements andfluctuations in commodity or security prices. Market risk is directlyimpacted by the volatility and liquidity in the markets in which therelated underlying assets are traded.

Credit risk is thepossibility that a loss may occur due to the failure of a counterpartyto perform according to the terms of a contract. Credit risk withrespect to exchange traded instruments is reduced to the extent that anexchange or clearing organization acts as counterparty to thetransactions. The Partnership's risk of loss in the event ofcounterparty default is typically limited to the amounts recognized inthe statements of financial condition and not represented by thecontract or notional amounts of the instruments. The Partnership hascredit risk and concentration risk because the sole counterparty orbroker with respect to the Partnership's assets is CGM.

The General Partner monitors and controls the Partnership'srisk exposure on a daily basis through financial, credit and riskmanagement monitoring systems, and accordingly believes that it haseffective procedures for evaluating and limiting the credit and marketrisks to which the Partnership is subject. These monitoring systemsallow the General Partner to statistically analyze actual tradingresults with risk adjusted performance indicators and correlationstatistics. In addition, on-line monitoring systems provide accountanalysis of futures, forwards and options positions by sector, marginrequirements, gain and loss transactions and collateral positions. (Seealso "Item 8. Financial Statements and SupplementaryData" for further information on financial instrumentrisk included in the Notes to Financial Statements.)

Other thanthe risks inherent in commodity trading, the Partnership knows of notrends, demands, commitments, events or uncertainties which will resultin or which are reasonably likely to result in the Partnership'sliquidity increasing or decreasing in any material way. The LimitedPartnership Agreement provides that the Partnership will cease tradingoperations and liquidate all open positions under certain circumstancesincluding a decrease in Net Asset Value per Redeemable Unit to lessthan $350 as of the close of business on any business day or a declinein net assets to less than $1,000,000.

(b) Capitalresources.

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

(ii)    ThePartnership's capital consists of the capital contributions ofthe partners as increased or decreased by gains or losses on tradingand by expenses, interest income, redemptions of Redeemable

11

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Units and distributions of profits, if any.Gains or losses on trading cannot be predicted. Market moves incommodities are dependent upon fundamental and technical factors whichthe Advisor may or may not be able to identify, such as changing supplyand demand relationships, weather, government agricultural, commercialand trade programs and policies, national and international politicaland economic events and changes in interest rates. Partnership expensesconsist of, among other things, commissions, advisory fees andadministrative fees. The level of these expenses is dependent upon thelevel of trading and the ability of the Advisor to identify and takeadvantage of price movements in the commodity markets, in addition tothe level of Net Assets maintained. In addition, the amount of interestincome payable by CGM is dependent upon interest rates over which thePartnership has no control.

No forecast can be made as to thelevel of redemptions in any given period. A limited partner may redeemsome or all of their Redeemable Units at the net asset value thereof asof the last day of any calendar quarter on 15 days notice to theGeneral Partner. For the year ended December 31, 2004, 73 RedeemableUnits were redeemed for a total of $245,440. For the year endedDecember 31, 2003, 68 Redeemable Units were redeemed for a total of$259,485. For the year ended December 31, 2002, 108 Redeemable Unitswere redeemed for a total of $336,419.

(c)    Results ofOperations.

For the year ended December 31, 2004, the NetAsset Value per Redeemable Unit increased 1.7% from $3,934.53 to$4,002.21. For the year ended December 31, 2003, the Net Asset Valueper Redeemable Unit increased 17.3%, from $3,354.89 to$3,934.53. For the year ended December 31, 2002 the Net Asset Value perRedeemable Unit increased 39.2% from $2,409.49 to $3,354.89.

The Partnership experienced a net trading gain before brokeragecommissions and related fees in 2004 of $434,468. Gains were primarilyattributable to the trading of currencies, U.S. interest rates andindices.

Trading results for the year 2004 can be described inthree distinct periods: the first two months of the year producedpositive results of over 6% with trends carrying over from late2003, the middle five months experienced extraordinarily difficultconditions and losses of approximately 35% from record highs forthe Partnership, and finally August through December which witnessed arecovery period with an increase in net asset value per unit of nearly48%. The results for the year were heavily influenced by twomarket events: the decline in the value and subsequent volatility ofthe U.S. dollar versus major currencies and volatile global interestrate and metals markets.

The year started strongly with many ofthe trends from late 2003 continuing into early 2004. Notably lowerinterest rates in the U.S. and other major countries fostered strongglobal economic growth and pressured commodity prices. These resultedin upward trends in primarily industrial metals and provided profitabletrading opportunities for the Partnership's advisor. These trendspersisted into early March when economic indicators in the U.S. andChina suggested rising inflation and markets reversed with higherinterest rates, collapsing commodity prices and the dollarreversal.

This began a protracted period of tentative andconflicting trends across many sectors. As expected in the nature oftrend-following, the strength of profitable trends is often followed bytemporary but often severe periods of losses. March through July wassuch a period for the Partnership's advisor as positions wereadjusted from what had been profitable, long-term trends to choppy,directionless and volatile markets. Trading was treacherous and thusunprofitable in U.S. and Asian interest rates and global stock indiceswhile metals trading provided some offsetting profits. The fundamentaleconomic concerns hanging over these markets were further exacerbatedby the uncertainty surrounding the tightly contested U.S. presidentialelection.

With the year looking dismal going into the latesummer and the price of crude oil climbing to $50 a barrel and the U.S.dollar began a precipitous slide toward $1.40 to the euro. Theserenewed trends in currency prices combined with declining interestrates and stronger global stock markets were favorable to thePartnership's advisor and provided a solidly profitable Augustand December for the Partnership. In spite of an extremely difficultand challenging year, the Partnership had an overall increase in netasset value per unit for the year.

12

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

In 2003, themarkets had periodic strong trends and then just as strong reversalsresulting in a mixed year for the Partnership's overallperformance.

The Financial & Metals (F&M) Portfolio hada strong overall year on behalf of the Partnership for 2003, much as aresult of the trading model used. Traditionally, this program has beenvolatile because of its focus on financial markets and its use of athree-phase model; but historically it also has been rewarded for itsaggressive market positioning. The foreign currency positions tookadvantage of a declining U.S. dollar and provided the primary source ofprofits for the year.

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

The Iraq war was the focus for much of the first halfof the year. Like any uncertain event, there is the market reaction tothe impending event, the event itself when uncertainty is resolved andthe response to the event. The first two months of the year representedthe pre-war uncertainty. With uncertainty concerning when hostilitieswould begin and the possible impact of these events, investors showed adesire to move to a defensive and conservative stance. Equity marketssold-off, the dollar sold-off, gold prices rose, and bond marketsrallied. This was a continuation of many of the trends carried overfrom 2002. During the first two months of the year, the Advisor'sprogram had strong performance, up over 15%.

Just priorto the inception of the hostilities, JWH reduced leverage in theF&M Portfolio along with its other programs by 50 percent, inexpectation of higher volatility in the markets. Markets were morevolatile with a reduction of liquidity in response to events in March.During this period, bond markets sold-off, the dollar stabilized, andthe stock market started to rally. Even with this reduced leverage themarkets were volatile and prior trends disrupted leading to losses forthe month of March. Positions returned to normal leverage in itsprograms in April and May saw a substantial recovery of Partnershipperformance with profits coming from short dollar and long interestrate positions. The Advisor's performance during these periodswas consistent with its past actions in uncertain and potentiallyhighly volatile markets. The General Partner was aware of andacknowledged the Advisor's actions as appropriate for theconditions of the economic and political environment.

In atransition to economic recovery and growth, the major markets began toreflect changed expectations in the middle of June. The announcementsof consistent, positive macroeconomic news led to the unexpectedannouncement of no further easing actions by the European Central Bankand the U.S. Federal Reserve. News of stronger growth, especially inthe U.S., suggested that deflationary expectations may have beenover-done; consequently, there was a trend change and interest ratesmoved up off 40 year lows. Additionally, the dollar actually rallied onthe positive U.S. economic news, reversing the decline from earlier inthe year. In both cases, the JWH program saw a giveback in tradingprofits, as the markets transitioned to new trends.

While therewere gains in stock index trading, JWH's exposure in thesemarkets has been relatively low; they were not able to make asustainable impact on performance. The third quarter and the beginningof the fourth quarter were unprofitable for the Advisor's tradingprogram. This was the result of a transition to higher worldwideeconomic growth.

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

Inthe General Partner's opinion, the Advisor continues to employits trading methods in a consistent and disciplined manner and itsresults are consistent with the objectives of the Partnership andexpectations for the Advisor's program. The General Partnercontinues to monitor the Advisor's performance on a daily,weekly, monthly and annual basis to assure these objectives aremet.

13

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

It should be noted thatcommodity markets are highly volatile. Broad price fluctuations andrapid inflation increase the risks involved in commodity trading, butalso increase the possibility of profit. The profitability of thePartnership depends on the existence of major price trends and theability of the Advisor to identify those price trends correctly. Pricetrends are influenced by, among other things, changing supply anddemand relationships, weather, governmental, agricultural, commercialand trade programs and policies, national and international politicaland economic events and changes in interest rates. To the extent thatmarket trends exist and the Advisor is able to identify them, thePartnership expects to increase capital through operations.

(d)    Operational Risk

The Partnership isdirectly exposed to market risk and credit risk, which arise in thenormal course of its business activities. Slightly less direct, but ofcritical importance, are risks pertaining to operational and backoffice support. This is particularly the case in a rapidly changing andincreasingly global environment with increasing transaction volumes andan expansion in the number and complexity of products in themarketplace.

Such risks include:

Operational/Settlement Risk — the risk of financial andopportunity loss and legal liability attributable to operationalproblems, such as inaccurate pricing of transactions, untimely tradeexecution, clearance and/or settlement, or the inability to processlarge volumes of transactions. The Partnership is subject to increasedrisks with respect to its trading activities in emerging marketsecurities, where clearance, settlement, and custodial risks are oftengreater than in more established markets.

TechnologicalRisk — the risk of loss attributable to technologicallimitations or hardware failure that constrain the Partnership'sability to gather, process, and communicate information efficiently andsecurely, without interruption, to customers, among Redeemable Unitswithin the Partnership, and in the markets where the Partnershipparticipates.

Legal/Documentation Risk — the riskof loss attributable to deficiencies in the documentation oftransactions (such as trade confirmations) and customer relationships(such as master netting agreements) or errors that result innoncompliance with applicable legal and regulatory requirements.

Financial Control Risk — the risk of loss attributableto limitations in financial systems and controls. Strong financialsystems and controls ensure that assets are safeguarded, thattransactions are executed in accordance with management'sauthorization, and that financial information utilized by managementand communicated to external parties, including the Partnership'sRedeemable Unit holders, creditors, and regulators, is free of materialerrors.

(e)    Critical Accounting Policies.

The preparation of financial statements in conformity withaccounting principles generally accepted in the United States ofAmerica requires management to make estimates and assumptions thataffect the reported amounts of assets and liabilities, revenues andexpenses, and related disclosures of contingent assets and liabilitiesin the financial statements and accompanying notes.

Allcommodity interests (including derivative financial instruments andderivative commodity instruments) are used for trading purposes. Thecommodity interests are recorded on trade date and open contracts arerecorded in the statements of financial condition at fair value on thelast business day of the period, which represents market value forthose commodity interests for which market quotations are readilyavailable or other measures of fair value deemed appropriate bymanagement of the General Partner for those commodity interests andforeign currencies for which market quotations are not readilyavailable, including dealer quotes for swaps and certain optioncontracts. Investments in commodity interests denominated in foreigncurrencies are translated into U.S. dollars at the exchange ratesprevailing on the last business day of the period. Realized gains(losses) and changes in unrealized values 

14

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on commodity interests and foreigncurrencies are recognized in the period in which the contract is closedor the changes occur and are included in net gains (losses) on tradingof commodity interests.

Foreign currency contracts are thosecontracts where the Partnership agrees to receive or deliver a fixedquantity of foreign currency for an agreed-upon price on an agreedfuture date. Foreign currency contracts are valued daily, and thePartnership's net equity therein, representing unrealized gain orloss on the contracts as measured by the difference between the forwardforeign exchange rates at the dates of entry into the contracts and theforward rates at the reporting dates, is included in the statements offinancial condition. Realized gains (losses) and changes in unrealizedvalues on foreign currency contracts are recognized in the period inwhich the contract is closed or the changes occur and are included inthe statements of income and expenses and partners' capital.

The General Partner believes that the accounting policies that willbe most critical to the Partnership's financial condition andresults of operations relate to the valuation of thePartnership's positions. The majority of the Partnership'spositions will be exchange-traded futures contracts, which will bevalued daily at settlement prices published by the exchanges. Ifapplicable, the Partnership's spot and forward foreign currencycontracts will also be valued at published daily settlement prices orat dealers' quotes. The General Partner expects that under normalcircumstances substantially all of the Partnership's assets willbe valued by objective measures and without difficulty.

Item7A.    Quantitative and Qualitative Disclosures About MarketRisk

Introduction

The Partnership is aspeculative commodity pool. The market sensitive instruments held by itare acquired for speculative trading purposes, and all or substantiallyall of the Partnership's assets are subject to the risk oftrading loss. Unlike an operating company, the risk of market sensitiveinstruments is integral, not incidental, to the Partnership'smain line of business.

The risk to the limited partners thathave purchased interests in the Partnership is limited to the amount oftheir capital contributions to the Partnership and their share of thePartnership assets and undistributed profits. This limited liability isa consequence of the organization of the Partnership as a limitedpartnership under applicable law.

Market movements result infrequent changes in the fair market value of the Partnership'sopen positions and, consequently, in its earnings and cash flow. ThePartnership's market risk is influenced by a wide variety offactors, including the level and volatility of interest rates, exchangerates, equity price levels, the market value of financial instrumentsand contracts, the diversification results among thePartnership's open positions and the liquidity of the markets inwhich it trades.

The Partnership rapidly acquires and liquidatesboth long and short positions in a wide range of different markets.Consequently, it is not possible to predict how a particular futuremarket scenario will affect performance, and the Partnership'spast performance is not necessarily indicative of its futureresults.

Value at Risk is a measure of the maximum amount whichthe Partnership could reasonably be expected to lose in a given marketsector. However, the inherent uncertainty of the Partnership'sspeculative trading and the recurrence in the markets traded by thePartnership of market movements far exceeding expectations could resultin actual trading or non-trading losses far beyond the indicated Valueat Risk or the Partnership's experience to date (i.e.,"risk of ruin"). In light of the foregoing aswell as the risks and uncertainties intrinsic to all futureprojections, the inclusion of the quantification in this section shouldnot be considered to constitute any assurance or representation thatthe Partnership's losses in any market sector will be limited toValue at Risk or by the Partnership's attempts to manage itsmarket risk. 

Quantifying the Partnership's Trading Valueat Risk

The following quantitative disclosures regarding thePartnership's market risk exposures contain"forward-looking statements" within themeaning of the safe harbor from civil liability provided for such

15

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statements by the Private SecuritiesLitigation Reform Act of 1995 (set forth in Section 27A of theSecurities Act of 1933 and Section 21E of the Securities Exchange Actof 1934). All quantitative disclosures in this section are deemed to beforward-looking statements for purposes of the safe harbor except forstatements of historical fact (such as the terms of particularcontracts and the number of market risk sensitive instruments heldduring or at the end of the reporting period).

ThePartnership's risk exposure in the various market sectors tradedby the Advisor is quantified below in terms of Value at Risk. Due tothe Partnership's mark-to-market accounting, any loss in the fairvalue of the Partnership's open positions is directly reflectedin the Partnership's earnings (realized and unrealized).

Exchange maintenance margin requirements have been used by thePartnership as the measure of its Value at Risk. Maintenance marginrequirements are set by exchanges to equal or exceed the maximum lossesreasonably expected to be incurred in the fair value of any givencontract in 95%–99% of any one-day intervals. Themaintenance margin levels are established by dealers and exchangesusing historical price studies as well as an assessment of currentmarket volatility (including the implied volatility of the options on agiven futures contract) and economic fundamentals to provide aprobabilistic estimate of the maximum expected near-term one-day pricefluctuation. Maintenance margin has been used rather than the moregenerally available initial margin, because initial margin includes acredit risk component which is not relevant to Value at Risk.

Inthe case of market sensitive instruments which are not exchange traded(almost exclusively currencies in the case of the Partnership), themargin requirements for the equivalent futures positions have been usedas Value at Risk. In those rare cases in which a futures-equivalentmargin is not available, dealers' margins have been used.

The fair value of the Partnership's futures and forwardpositions does not have any optionality component. However, the Advisormay trade commodity options. The Value at Risk associated with optionsis reflected in the following table as the margin requirementattributable to the instrument underlying each option. Where thisinstrument is a futures contract, the futures margin, and where thisinstrument is a physical commodity, the futures-equivalent maintenancemargin has been used. This calculation is conservative in that itassumes that the fair value of an option will decline by the sameamount as the fair value of the underlying instrument, whereas, infact, the fair values of the options traded by the Partnership inalmost all cases fluctuate to a lesser extent than those of theunderlying instruments.

In quantifying the Partnership'sValue at Risk, 100% positive correlation in the differentpositions held in each market risk category has been assumed.Consequently, the margin requirements applicable to the open contractshave simply been added to determine each trading category'saggregate Value at Risk. The diversification effects resulting from thefact that the Partnership's positions are rarely, if ever,100% positively correlated have not been reflected.

16

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The Partnership's Trading Value atRisk in Different Market Sectors

The following table indicatesthe trading Value at Risk associated with the Partnership's openpositions by market category as of December 31, 2004, and the highest,lowest and average value at any point during the year. All openposition trading risk exposures of the Partnership have been includedin calculating the figures set forth below. As of December 31, 2004,the Partnership's total capitalization was $4,278,361.

December 31,2004

|                                 |  |               |         |                          |  |                   |       |                  |  |                      |           |        |  |        |        |        |  |        |         |        |  |  |
|---------------------------------|--|---------------|---------|--------------------------|--|-------------------|-------|------------------|--|----------------------|-----------|--------|--|--------|--------|--------|--|--------|---------|--------|--|--|
|                            |  |          |         | Yearto Date              |
| MarketSector                    |  | Value at Risk |         | % ofTotal Capitalization |  | High Value atRisk |       | LowValue at Risk |  | AverageValue atRisk* |
| Currencies                      |  |
| –OTCContracts             |  | $             | 269,761 |                     |  |              | 6.31  | %           |  | $                    | 1,057,118 |   |  | $      | 17,780 |   |  | $      | 153,509 |   |
| InterestRatesU.S.               |  |          | 36,400  |                     |  |              | 0.85  | %           |  |                 | 65,900    |   |  |   | 13,200 |   |  |   | 45,363  |   |
| InterestRatesNon-U.S.           |  |          | 264,642 |                     |  |              | 6.18  | %           |  |                 | 289,801   |   |  |   | 83,677 |   |  |   | 218,016 |   |
| Metals                          |  |
| –Exchange TradedContracts |  |          | 18,000  |                     |  |              | 0.42  | %           |  |                 | 19,500    |   |  |   | 7,500  |   |  |   | 17,875  |   |
| –OTC                      |  |          | 38,675  |                     |  |              | 0.90  | %           |  |                 | 50,050    |   |  |   | 3,300  |   |  |   | 25,760  |   |
| Indices                         |  |          | 156,025 |                     |  |              | 3.65  | %           |  |                 | 276,110   |   |  |   | 8,655  |   |  |   | 100,241 |   |
| **Total**                       |  | $             | 783,503 |                     |  |              | 18.31 | %           |  |
|                                 |

|  |
|--|
|  |  |
|  |

|         |                                                |
|---------|------------------------------------------------|
| *  | Annualaverage based on month-end Value at Risk |

As of December 31,2003, the Partnership's total capitalization was $4,493,233.

December 31, 2003

|                                 |  |               |         |                          |  |                   |        |                  |  |                      |         |        |  |        |        |        |  |        |         |        |  |  |
|---------------------------------|--|---------------|---------|--------------------------|--|-------------------|--------|------------------|--|----------------------|---------|--------|--|--------|--------|--------|--|--------|---------|--------|--|--|
|                            |  |          |         | Yearto Date              |
| MarketSector                    |  | Value at Risk |         | % ofTotal Capitalization |  | High Value atRisk |        | LowValue at Risk |  | AverageValue atRisk* |
| Currencies                      |  |          |    |                     |  |              |   |             |  |                 |    |   |  |   |   |   |  |   |    |   |
| –OTCContracts             |  | $             | 183,561 |                     |  |              | 4.09   | %           |  | $                    | 254,880 |   |  | $      | 45,571 |   |  | $      | 122,670 |   |
| InterestratesU.S.               |  |          | 63,050  |                     |  |              | 1.40   | %           |  |                 | 63,250  |   |  |   | 5,400  |   |  |   | 22,613  |   |
| InterestratesNon-U.S.           |  |          | 83,931  |                     |  |              | 1.87   | %           |  |                 | 255,109 |   |  |   | 41,044 |   |  |   | 124,029 |   |
| Metals                          |  |          |    |                     |  |              |   |             |  |                 |    |   |  |   |   |   |  |   |    |   |
| –Exchange TradedContracts |  |          | 18,000  |                     |  |              | 0.40   | %           |  |                 | 36,000  |   |  |   | 9,000  |   |  |   | 12,125  |   |
| –OTCContracts             |  |          | 30,775  |                     |  |              | 0.68   | %           |  |                 | 42,625  |   |  |   | 4,000  |   |  |   | 14,344  |   |
| Indices                         |  |          | 124,722 |                     |  |              | 2.78   | %           |  |                 | 126,914 |   |  |   | 24,052 |   |  |   | 62,786  |   |
| **Total**                       |  | $             | 504,039 |                     |  |              | 11.22  | %           |  |                 |    |   |  |   |   |   |  |   |    |   |
|                                 |

|  |
|--|
|  |  |
|  |

|         |                                                |
|---------|------------------------------------------------|
| *  | Annualaverage based on month-end Value at Risk |

Material Limitationson Value at Risk as an Assessment of Market Risk

The face valueof the market sector instruments held by the Partnership is typicallymany times the applicable maintenance margin requirement (marginrequirements generally range between 2% and 15% ofcontract face value) as well as many times the capitalization of thePartnership. The magnitude of the Partnership's open positionscreates a "risk of ruin" not typically foundin most other investment vehicles. Because of the size of itspositions, certain market conditions unusual, but historicallyrecurring from time to time could cause the Partnership to incur severelosses over a short period of time. The foregoing Value at Risk tableas well as the past performance of the Partnership give no indicationof this "risk of ruin." 

Non-TradingRisk

The Partnership has non-trading market risk on its foreigncash balances not needed for margin. However, these balances (as wellas any market risk they represent) are immaterial.

17

----

Materiality, as used in this section,"Qualitative and Quantitative Disclosures About MarketRisk," is based on an assessment of reasonably possiblemarket movements and the potential losses caused by such movements,taking into account the leverage, optionality and multiplier featuresof the Partnership's market sensitive instruments.

Qualitative Disclosures Regarding Primary Trading RiskExposures

The following qualitative disclosures regarding thePartnership's market risk exposures – except for (i) thosedisclosures that are statements of historical fact and (ii) thedescriptions of how the Partnership manages its primary market riskexposures – constitute forward-looking statements within themeaning of Section 27A of the Securities Act and Section 21E of theSecurities Exchange Act. The Partnership's primary market riskexposures as well as the strategies used and to be used by the GeneralPartner and the Advisor for managing such exposures are subject tonumerous uncertainties, contingencies and risks, any one of which couldcause the actual results of the Partnership's risk controls todiffer materially from the objectives of such strategies. Governmentinterventions, defaults and expropriations, illiquid markets, theemergence of dominant fundamental factors, political upheavals, changesin historical price relationships, an influx of new marketparticipants, increased regulation and many other factors could resultin material losses as well as in material changes to the risk exposuresand the management strategies of the Partnership. There can be noassurance that the Partnership's current market exposure and/orrisk management strategies will not change materially or that any suchstrategies will be effective in either the short- or long- term.Investors must be prepared to lose all or substantially all of theirinvestment in the Partnership.

The following were the primarytrading risk exposures of the Partnership as of December 31, 2004, bymarket sector.

Interest Rates. Interest rate movementsdirectly affect the price of the futures positions held by thePartnership and indirectly the value of its stock index and currencypositions. Interest rate movements in one country as well as relativeinterest rate movements between countries materially impact thePartnership's profitability. The Partnership's primaryinterest rate exposure is to interest rate fluctuations in the UnitedStates and the other G-8 countries. However, the Partnership also takesfutures positions on the government debt of smaller nations —e.g., Australia.

Currencies. ThePartnership's currency exposure is to exchange rate fluctuations,primarily fluctuations which disrupt the historical pricingrelationships between different currencies and currency pairs. Thesefluctuations are influenced by interest rate changes as well aspolitical and general economic conditions. The General Partner does notanticipate that the risk profile of the Partnership's currencysector will change significantly in the future. The currency tradingValue at Risk figure includes foreign margin amounts converted intoU.S. dollars with an incremental adjustment to reflect the exchangerate risk inherent to the U. S. dollar-based Partnership in expressingValue at Risk in a functional currency other than U.S. dollars.

Stock Indices. The Partnership's primary equityexposure is to equity price risk in the G-8 countries. The stock indexfutures traded by the Partnership are limited to futures on broadlybased indices. As of December 31, 2004, the Partnership's primaryexposure was in the Chicago Mercantile Exchange (U.S.) and the EUREX(Germany) stock indices. The General Partner anticipates little, ifany, trading in non-G-8 stock indices. The Partnership is primarilyexposed to the risk of adverse price trends or static markets in themajor U.S., European and Japanese indices. (Static markets would notcause major market changes but would make it difficult for thePartnership to avoid being "whipsawed" intonumerous small losses.)

Metals. The Partnership'sprimary metal market exposure is to fluctuations in the price ofaluminum and copper.

Qualitative Disclosures RegardingNon-Trading Risk Exposure

The following were the onlynon-trading risk exposures of the Partnership as of December 31,2004.

Foreign Currency Balances. ThePartnership's primary foreign currency balances are in Japaneseyen, British pounds and Australian dollars. The Advisor regularlyconverts foreign currency balances to U.S. dollars in an attempt tocontrol the Partnership's non-trading risk.

18

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Qualitative Disclosures Regarding Meansof Managing Risk Exposure

The General Partner monitors andcontrols the Partnership's risk exposure on a daily basis throughfinancial, credit and risk management monitoring systems andaccordingly believes that it has effective procedures for evaluatingand limiting the credit and market risks to which the Partnership issubject.

The General Partner monitors the Partnership'sperformance and the concentration of its open positions, and consultswith the Advisor concerning the Partnership's overall riskprofile. If the General Partner felt it necessary to do so, the GeneralPartner could require the Advisor to close out individual positions aswell as enter certain positions traded on behalf of the Partnership.However, any such intervention would be a highly unusual event. TheGeneral Partner primarily relies on the Advisor's own riskcontrol policies while maintaining a general supervisory overview ofthe Partnership's market risk exposures.

The Advisorapplies its own risk management policies to its trading. The Advisoroften follows diversification guidelines, margin limits and stop losspoints to exit a position. The Advisor's research of riskmanagement often suggests ongoing modifications to its tradingprograms.

As part of the General Partner's riskmanagement, the General Partner periodically meets with the Advisor todiscuss its risk management and to look for any material changes to theAdvisor's portfolio balance and trading techniques. The Advisoris required to notify the General Partner of any material changes toits programs.

19

----

Item8.    Financial Statements and Supplementary Data.

SHEARSON SELECT ADVISORS FUTURES FUND L.P.

INDEX TOFINANCIALSTATEMENTS

|                                                                                               |  |                  |  |  |  |  |
|-----------------------------------------------------------------------------------------------|--|------------------|--|--|--|--|
|                                                                                          |  | PageNumber       |
| Oath orAffirmation                                                                            |  | F-2              |
| Report of Independent Registered Public AccountingFirm                                        |  | F-3              |
| FinancialStatements:                                                                          |  |
| Statements of Financial Condition atDecember 31, 2004 and 2003                                |  | F-4              |
| CondensedSchedules of Investments at December 31, 2004 and 2003                               |  | F-5– F-6   |
| Statements of Income and Expenses forthe years ended December 31, 2004, 2003 and2002          |  | F-7              |
| Statements of Changes inPartners' Capital for the years ended December 31, 2004, 2003and 2002 |  | F-8              |
| Statements of Cash Flows forthe years ended December 31, 2004, 2003 and 2002                  |  | F-9              |
| Notes to Financial Statements                                                                 |  | F-10 –F-13 |
| Selected Unaudited Quarterly FinancialData                                                    |  | F-14             |
|                                                                                               |

F-1

----

Tothe Limited Partners ofShearson Select Advisors Futures FundL.P.

To the best of the knowledge and belief of theundersigned, the information contained herein is accurate andcomplete.

|  | /s/ Daniel R. McAuliffe,Jr. |
|--|-----------------------------|

|  |
|--|
|  |  |  |
|  |

|  | By:   DanielR. McAuliffe, Jr.           Chief Financial Officer andDirector          Citigroup Managed FuturesLLC          General Partner, ShearsonSelect          Advisors Futures Fund L.P. |
|--|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|  | **Citigroup Managed Futures LLC**399 ParkAvenue7th FloorNew York, N.Y.10022212-559-2011 |
|--|-----------------------------------------------------------------------------------------|

F-2

----

Report of Independent Registered PublicAccounting Firm

To the Partners ofShearson SelectAdvisors Futures Fund L.P.:

We have audited the accompanyingstatements of financial condition of Shearson Select Advisors FuturesFund L.P. (the Partnership), including the condensed schedules ofinvestments, as of December 31, 2004 and 2003, and the relatedstatements of income and expenses, changes in partners' capital,and cash flows for each of the years in the three-year period endedDecember 31, 2004. These financial statements are the responsibility ofthe Partnership's management. Our responsibility is to express anopinion on these financial statements based on our audits.

Weconducted our audits in accordance with the standards of the PublicCompany Accounting Oversight Board (United States). Those standardsrequire that we plan and perform the audit to obtain reasonableassurance about whether the financial statements are free of materialmisstatement. An audit includes examining, on a test basis, evidencesupporting the amounts and disclosures in the financial statements. Anaudit also includes assessing the accounting principles used andsignificant estimates made by management, as well as evaluating theoverall financial statement presentation. We believe that our auditsprovide a reasonable basis for our opinion.

In our opinion, thefinancial statements referred to above present fairly, in all materialrespects, the financial position of Shearson Select Advisors FuturesFund L.P. as of December 31, 2004 and 2003, and the results of itsoperations, changes in its partners' capital, and its cash flowsfor each of the years in the three-year period ended December 31, 2004,in conformity with U.S. generally accepted accounting principles.

/s/ KPMG LLP

New York, New YorkMarch 14,2005

F-3

----

Shearson Select Advisors Futures FundL.P.Statements of Financial ConditionDecember 31, 2004 and2003

|                                                                                                                            |  |        |           |        |  |        |           |        |  |  |
|----------------------------------------------------------------------------------------------------------------------------|--|--------|-----------|--------|--|--------|-----------|--------|--|--|
|                                                                                                                       |  | 2004   |           | 2003   |
| **Assets:**                                                                                                                |  |   |      |   |  |
| Equityin commodity futures tradingaccount:                                                                                 |  |   |      |   |  |
| Cash (restricted $822,751and $536,151 in 2004 and 2003, respectively) (Note3c)                                             |  | $      | 3,976,658 |   |  | $      | 4,256,795 |   |
| Netunrealized appreciation on open futurespositions                                                                        |  |   | —   |   |  |   | 603       |   |
| Unrealizedappreciation on open forwardcontracts                                                                            |  |   | 521,071   |   |  |   | 314,690   |   |
|                                                                                                                       |  |   | 4,497,729 |   |  |   | 4,572,088 |   |
| Interestreceivable (Note3c)                                                                                                |  |   | 4,927     |   |  |   | 2,092     |   |
|                                                                                                                       |  | $      | 4,502,656 |   |  | $      | 4,574,180 |   |
| **Liabilitiesand Partners'Capital:**                                                                                       |  |   |      |   |  |
| Liabilities:                                                                                                               |  |   |      |   |  |
| Netunrealized depreciation on open futurespositions                                                                        |  | $      | 13,244    |   |  | $      | —   |   |
| Unrealizeddepreciation on open forwardcontracts                                                                            |  |   | 89,096    |   |  |   | 18,001    |   |
| Accruedexpenses:                                                                                                           |  |   |      |   |  |
| Commissions (Note3c)                                                                                                       |  |   | 22,002    |   |  |   | 22,781    |   |
| Managementfees (Note3b)                                                                                                    |  |   | 14,521    |   |  |   | 15,054    |   |
| Incentivefees (Note3b)                                                                                                     |  |   | 7,438     |   |  |   | —   |   |
| Professionalfees                                                                                                           |  |   | 4,690     |   |  |   | 13,198    |   |
| Other                                                                                                                      |  |   | 17,273    |   |  |   | 4,044     |   |
| Redemptionspayable (Note5)                                                                                                 |  |   | 56,031    |   |  |   | 7,869     |   |
|                                                                                                                       |  |   | 224,295   |   |  |   | 80,947    |   |
| Partners'Capital (Notes 1 and 5):                                                                                          |  |   |      |   |  |
| GeneralPartner, 34 Unit equivalents outstanding in 2004 and2003                                                            |  |   | 136,075   |   |  |   | 133,774   |   |
| LimitedPartners, 1,035 and 1,108 Redeemable Units of Limited PartnershipInterest outstanding in 2004 and 2003,respectively |  |   | 4,142,286 |   |  |   | 4,359,459 |   |
|                                                                                                                       |  |   | 4,278,361 |   |  |   | 4,493,233 |   |
|                                                                                                                       |  | $      | 4,502,656 |   |  | $      | 4,574,180 |   |
|                                                                                                                            |

Seeaccompanying notes to financialstatements.

F-4

----

ShearsonSelect Advisors Futures Fund L.P.Condensed Schedule ofInvestmentsDecember 31,2004

|                                 |  |                                                    |  |           |         |         |  |  |  |  |
|---------------------------------|--|----------------------------------------------------|--|-----------|---------|---------|--|--|--|--|
| Sector                          |  | Contract                                           |  | FairValue |
| Currencies                      |  |
|                            |  | Unrealizedappreciation on forward contracts10.48%  |  | $         | 448,521 |    |
|                            |  | Unrealizeddepreciation on forward contracts(1.55)% |  |      | (66,496 | )  |
| TotalCurrencies8.93%            |  |                                               |  |      | 382,025 |    |
|                            |  |                                               |  |      |    |    |
| InterestRates U.S.              |  |
|                            |  | Futures contracts purchased(0.18)%                 |  |      | (7,781  | )  |
|                            |  | Futurescontracts sold(0.17)%                       |  |      | (7,000  | )  |
| TotalInterest Rates U.S.(0.35)% |  |                                               |  |      | (14,781 | )  |
|                            |  |                                               |  |      |    |    |
| InterestRates Non-U.S. (0.15)%  |  | Futures contracts purchased(0.15)%                 |  |      | (6,289  | )  |
|                            |  |                                               |  |      |    |    |
| Metals                          |  |
|                            |  | Futurescontracts sold(0.30)%                       |  |      | (12,960 | )  |
|                            |  |
|                            |  | Unrealizedappreciation on forward contracts1.70%   |  |      | 72,550  |    |
|                            |  | Unrealizeddepreciation on forward contracts(0.53)% |  |      | (22,600 | )  |
|                            |  | Totalforward contracts1.17%                        |  |      | 49,950  |    |
| TotalMetals0.87%                |  |                                               |  |      | 36,990  |    |
|                            |  |                                               |  |      |    |    |
| Indices0.49%                    |  | Futures contracts purchased0.49%                   |  |      | 20,786  |    |
|                            |  |                                               |  |      |    |    |
| TotalFair Value9.79%            |  |                                               |  | $         | 418,731 |    |
|                                 |

|                    |  |                          |         |                             |  |        |        |          |  |  |
|--------------------|--|--------------------------|---------|-----------------------------|--|--------|--------|----------|--|--|
| CountryComposition |  | Investmentsat Fair Value |         | % ofInvestmentsat FairValue |
| Australia          |  | $                        | (37,532 | )                      |  |   | (8.96  | )%  |
| Germany            |  |                     | 26,966  |                        |  |   | 6.44   |     |
| Japan              |  |                     | 2,734   |                        |  |   | 0.65   |     |
| UnitedKingdom      |  |                     | 57,698  |                        |  |   | 13.78  |     |
| UnitedStates       |  |                     | 368,865 |                        |  |   | 88.09  |     |
|               |  | $                        | 418,731 |                        |  |   | 100.00 | %   |
|                    |

Percentagesare based on Partner's capital unless otherwiseindicated.

See accompanying notes to financialstatements.

F-5

----

Shearson Select Advisors Futures FundL.P.Condensed Schedule of InvestmentsDecember 31,2003

|                              |  |                                                    |  |           |         |         |  |  |  |  |
|------------------------------|--|----------------------------------------------------|--|-----------|---------|---------|--|--|--|--|
| Sector                       |  | Contract                                           |  | FairValue |
| Currencies                   |  | Unrealizeddepreciation on forward contracts(0.40)% |  | $         | (18,001 | )  |
|                         |  | Unrealizedappreciation on forward contracts5.76%   |  |      | 258,796 |    |
| TotalCurrencies5.36%         |  |                                               |  |      | 240,795 |    |
|                         |  |                                               |  |      |    |    |
| InterestRates U.S. (0.31)%   |  | Futures contracts sold(0.31)%                      |  |      | (14,069 | )  |
|                         |  |                                               |  |      |    |    |
| InterestRates Non-U.S. 0.12% |  | Futures contracts purchased0.12%                   |  |      | 5,474   |    |
|                         |  |                                               |  |      |    |    |
| Metals                       |  | Futurescontracts purchased0.48%                    |  |      | 21,480  |    |
|                         |  | Unrealizedappreciation on forward contracts1.24%   |  |      | 55,894  |    |
|                         |  |                                               |  |      |    |    |
| TotalMetals1.72%             |  |                                               |  |      | 77,374  |    |
|                         |  |                                               |  |      |    |    |
| Indices                      |  | Futurescontracts sold(0.89)%                       |  |      | (39,843 | )  |
|                         |  | Futurescontracts purchased0.61%                    |  |      | 27,561  |    |
| TotalIndices(0.28)%          |  |                                               |  |      | (12,282 | )  |
|                         |  |                                               |  |      |    |    |
| TotalFair Value6.61%         |  |                                               |  | $         | 297,292 |    |
|                              |

|                    |  |                          |         |                             |  |        |        |         |  |  |
|--------------------|--|--------------------------|---------|-----------------------------|--|--------|--------|---------|--|--|
| CountryComposition |  | Investmentsat Fair Value |         | % ofInvestmentsat FairValue |
| Germany            |  | $                        | 19,439  |                        |  |   | 6.54   | %  |
| Japan              |  |                     | (39,843 | )                      |  |   | (13.40 | )  |
| UnitedKingdom      |  |                     | 64,665  |                        |  |   | 21.75  |    |
| UnitedStates       |  |                     | 253,031 |                        |  |   | 85.11  |    |
|               |  | $                        | 297,292 |                        |  |   | 100.00 | %  |
|                    |

Percentagesare based on Partner's capital unless otherwiseindicated.

See accompanying notes to financialstatements.

F-6

----

Shearson Select Advisors Futures FundL.P.Statements of Income and Expensesfor the yearsendedDecember 31, 2004, 2003 and2002

|                                                                                                                 |  |        |         |        |  |        |           |         |  |        |           |        |  |  |
|-----------------------------------------------------------------------------------------------------------------|--|--------|---------|--------|--|--------|-----------|---------|--|--------|-----------|--------|--|--|
|                                                                                                            |  | 2004   |         | 2003   |  | 2002   |
| Income:                                                                                                         |  |   |    |   |  |   |      |    |  |
| Netgains (losses) on trading of commodityinterests:                                                             |  |   |    |   |  |   |      |    |  |
| Realized gains onclosed positions and foreigncurrencies                                                         |  | $      | 313,029 |   |  | $      | 1,276,203 |    |  | $      | 1,505,525 |   |
| Changein unrealized gains (losses)on openpositions                                                              |  |   | 121,439 |   |  |   | (73,134   | )  |  |   | 204,329   |   |
|                                                                                                            |  |   | 434,468 |   |  |   | 1,203,069 |    |  |   | 1,709,854 |   |
| Interestincome (Note3c)                                                                                         |  |   | 35,338  |   |  |   | 31,236    |    |  |   | 38,736    |   |
|                                                                                                            |  |   | 469,806 |   |  |   | 1,234,305 |    |  |   | 1,748,590 |   |
| Expenses:                                                                                                       |  |
| Brokeragecommissions including clearing fees of $2,766, $4,158 and $2,429,respectively (Note3c)                 |  |   | 243,995 |   |  |   | 283,408   |    |  |   | 226,451   |   |
| Managementfees (Note3b)                                                                                         |  |   | 153,760 |   |  |   | 181,419   |    |  |   | 145,558   |   |
| Incentivefees (Notes 3a and3b)                                                                                  |  |   | 7,438   |   |  |   | 66,775    |    |  |   | 124,151   |   |
| Professionalfees                                                                                                |  |   | 18,682  |   |  |   | 3,327     |    |  |   | 27,507    |   |
| Otherexpenses                                                                                                   |  |   | 15,363  |   |  |   | 6,071     |    |  |   | 4,802     |   |
|                                                                                                            |  |   | 439,238 |   |  |   | 541,000   |    |  |   | 528,469   |   |
| Netincome                                                                                                       |  | $      | 30,568  |   |  | $      | 693,305   |    |  | $      | 1,220,121 |   |
|                                                                                                            |  |   |    |   |  |   |      |    |  |
| Netincome per Redeemable Unit of Limited Partnership Interest and GeneralPartner Unit equivalent (Notes 1 and6) |  | $      | 67.68   |   |  | $      | 579.64    |    |  | $      | 945.40    |   |
|                                                                                                            |  |   |    |   |  |
|                                                                                                                 |

Seeaccompanying notes to financial statements.

F-7

----

Shearson Select Advisors Futures FundL.P.Statements of Changes in Partners' Capital for theyears ended December 31, 2004, 2003 and2002

|                                                                  |  |                 |           |                |  |        |         |        |  |        |           |         |  |  |
|------------------------------------------------------------------|--|-----------------|-----------|----------------|--|--------|---------|--------|--|--------|-----------|---------|--|--|
|                                                             |  | LimitedPartners |           | GeneralPartner |  | Total  |
| Partners' capital atDecember  31,2001                            |  | $               | 3,093,788 |           |  | $      | 81,923  |   |  | $      | 3,175,711 |    |
| Netincome                                                        |  |            | 1,187,978 |           |  |   | 32,143  |   |  |   | 1,220,121 |    |
| Redemptionof 108 Redeemable Units of Limited PartnershipInterest |  |            | (336,419  | )         |  |   | — |   |  |   | (336,419  | )  |
| Partners'capital at December  31,2002                            |  |            | 3,945,347 |           |  |   | 114,066 |   |  |   | 4,059,413 |    |
| Netincome                                                        |  |            | 673,597   |           |  |   | 19,708  |   |  |   | 693,305   |    |
| Redemptionof 68 Redeemable Units of Limited PartnershipInterest  |  |            | (259,485  | )         |  |   | — |   |  |   | (259,485  | )  |
| Partners'capital at December  31,2003                            |  |            | 4,359,459 |           |  |   | 133,774 |   |  |   | 4,493,233 |    |
| Netincome                                                        |  |            | 28,267    |           |  |   | 2,301   |   |  |   | 30,568    |    |
| Redemptionof 73 Redeemable Units of Limited PartnershipInterest  |  |            | (245,440  | )         |  |   | — |   |  |   | (245,440  | )  |
| Partners'capital at December  31,2004                            |  | $               | 4,142,286 |           |  | $      | 136,075 |   |  | $      | 4,278,361 |    |
|                                                             |  |            |      |           |  |   |    |   |  |   |      |    |
|                                                                  |

|                                     |  |           |  |  |  |  |
|-------------------------------------|--|-----------|--|--|--|--|
| Net asset value per RedeemableUnit: |
| 2002                                |  | $3,354.89 |
| 2003                                |  | $3,934.53 |
| 2004                                |  | $4,002.21 |
|                                     |

Seeaccompanying notes to financial statements.

F-8

----

Shearson Select Advisors Futures FundL.P.Statements of Cash Flowsfor the years ended December 31,2004, 2003 and 2002

|                                                                                           |  |        |           |         |  |        |           |         |  |        |
|-------------------------------------------------------------------------------------------|--|--------|-----------|---------|--|--------|-----------|---------|--|--------|
|                                                                                      |  | 2004   |           | 2003    |  | 2002   |
| Cash flows from operatingactivities:                                                      |  |
| Net income                                                                                |  | $      | 30,568    |    |  | $      | 693,305   |    |  | $      | 1,220,121 |   |
| Adjustments to reconcile net income to netcash provided by (used in) operatingactivities: |  |
| Changes in operatingassets and liabilities:                                               |  |
| (Increase) decreasein restrictedcash                                                      |  |   | (286,600  | )  |  |   | (27,682   | )  |  |   | (186,749 | )  |
| (Increase) decrease in net unrealized appreciation onopen futures positions               |  |   | 603       |    |  |   | 222,820   |    |  |   | (245,009 | )  |
| (Increase)decrease in unrealized appreciation on open forwardcontracts                    |  |   | (206,381  | )  |  |   | (42,314   | )  |  |   | (84,693 | )  |
| (Increase) decrease in interestreceivable                                                 |  |   | (2,835    | )  |  |   | 722       |    |  |   | 604 |   |
| Increase (decrease) in unrealized depreciation on openfuturespositions                    |  |   | 13,244    |    |  |   | —   |    |  |   | — |   |
| Increase(decrease) in unrealized depreciation on open forwardcontracts                    |  |   | 71,095    |    |  |   | (107,372  | )  |  |   | 125,373 |   |
| Accruedexpenses:                                                                          |  |
| Increase (decrease) incommissions                                                         |  |   | (779      | )  |  |   | 1,881     |    |  |   | 4,489 |   |
| Increase (decrease) in managementfees                                                     |  |   | (533      | )  |  |   | 1,298     |    |  |   | 2,966 |   |
| Increase (decrease) in incentive fees                                                     |  |   | 7,438     |    |  |   | —   |    |  |   | — |   |
| Increase(decrease) in professionalfees                                                    |  |   | (8,508    | )  |  |   | (15,098   | )  |  |   | 2,705 |   |
| Increase (decrease) in other                                                              |  |   | 13,229    |    |  |   | 112       |    |  |   | 814 |   |
| Increase (decrease) inredemptions payable                                                 |  |   | 48,162    |    |  |   | (45,809   | )  |  |   | 3,079 |   |
| Net cash providedby (used in) operatingactivities                                         |  |   | (321,297  | )  |  |   | 681,863   |    |  |   | 843,700 |   |
| Cash flows from financingactivities:                                                      |  |
| Payments for redemptions —LimitedPartners                                           |  |   | (245,440  | )  |  |   | (259,485  | )  |  |   | (336,419 | )  |
| Net change incash                                                                         |  |   | (566,737  | )  |  |   | 422,378   |    |  |   | 507,281 |   |
| Unrestricted cash, at beginning ofyear                                                    |  |   | 3,720,644 |    |  |   | 3,298,266 |    |  |   | 2,790,985 |   |
| Unrestrictedcash, at end of year                                                          |  | $      | 3,153,907 |    |  | $      | 3,720,644 |    |  | $      | 3,298,266 |   |
|                                                                                           |

Seeaccompanying notes to financialstatements.

F-9

----

ShearsonSelect AdvisorsFutures Fund L.P.Notes to FinancialStatements

1.    PartnershipOrganization:

Shearson Select Advisors Futures Fund L.P. (the"Partnership") is a limited partnership whichwas organized under the laws of the State of Delaware on February 10,1987. The Partnership is engaged in the speculative trading of adiversified portfolio of commodity interests including futurescontracts, options and forward contracts. The commodity interests thatare traded by the Partnership are volatile and involve a high degree ofmarket risk. The Partnership was authorized to sell 50,000 redeemableunits of Limited Partnership Interest ("RedeemableUnits") during its initial offering period.

Citigroup Managed Futures LLC, formerly Smith Barney FuturesManagement LLC, acts as the general partner (the "GeneralPartner") of the Partnership. The Partnership'scommodity broker is Citigroup Global Markets Inc.("CGM"), formerly Salomon Smith Barney Inc.CGM is an affiliate of the General Partner. The General Partner iswholly owned by Citigroup Global Markets Holdings Inc.("CGMHI"), formerly Smith Barney HoldingsInc., which is the sole owner of CGM. CGMHI is a wholly ownedsubsidiary of Citigroup Inc.

The General Partner and eachlimited partner share in the profits and losses of the Partnership inproportion to the amount of Partnership interest owned by each exceptthat no limited partner shall be liable for obligations of thePartnership in excess of their initial capital contribution andprofits, if any, net of distributions.

The Partnership will beliquidated upon the first to occur of the following: December 31, 2007;a decline in Net Asset Value per Redeemable Unit on any business dayafter trading to less than $350 per Redeemable Unit; a decline in netassets after trading commences to less than $1,000,000; or undercertain other circumstances as defined in the Limited PartnershipAgreement.

2.    Accounting Policies:

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |
|----------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| a.  | All commodity interests (includingderivative financial instruments and derivative commodity instruments)are used for trading purposes. The commodity interests are recorded ontrade date and open contracts are recorded in the statements offinancial condition at fair value on the last business day of the year,which represents market value for those commodity interests for whichmarket quotations are readily available. Investments in commodityinterests denominated in foreign currencies are translated into U.S.dollars at the exchange rates prevailing on the last business day ofthe year. Realized gains (losses) and changes in unrealized gains(losses) on open positions are recognized in the period in which thecontract 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 eachpartner is individually liable for the taxes, if any, on their share ofthe Partnership's income and expenses. |

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |
|----------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| c.  | The preparation of financial statements inconformity with accounting principles generally accepted in the UnitedStates of America requires management to make estimates and assumptionsthat affect the reported amounts of assets and liabilities, disclosureof contingent assets and liabilities at the date of the financialstatements and the reported amounts of revenues and expenses during thereporting period. Actual results could differ from these estimates. |

3.    Agreements:

|          |                               |
|----------|-------------------------------|
| a.  | LimitedPartnership Agreement: |

The General Partner administersthe business and affairs of the Partnership including selecting one ormore advisors to make trading decisions for the Partnership. ThePartnership will pay the General Partner an incentive fee payablequarterly equal to 5% of New Trading Profits, as defined in theLimited Partnership Agreement. For the years ended December  31,2004 and 2003, the General Partner earned incentive fees of $2,479 and$22,259, respectively.

F-10

----

ShearsonSelect AdvisorsFutures Fund L.P.Notes to FinancialStatements

|          |                      |
|----------|----------------------|
| b.  | ManagementAgreement: |

The General Partner, on behalf of thePartnership, has entered into a Management Agreement with John W. Henry& Company, Inc. (the "Advisor"), aregistered commodity trading advisor. The Advisor is not affiliatedwith the General Partner or CGM and is not responsible for theorganization or operation of the Partnership. The Partnership pays theAdvisor a monthly management fee equal to  1/3 of1% (4% per year) of month-end Net Assets of thePartnership managed by the Advisor. Month-end Net Assets, for thepurpose of calculating management fees are Net Assets, as defined inthe Limited Partnership Agreement, prior to the reduction ofredemptions and incentive fees.

In addition, thePartnership is obligated to pay the Advisor an incentive fee, payablequarterly, equal to 10% of New Trading Profits, as defined inthe Management Agreement.

|          |                    |
|----------|--------------------|
| c.  | CustomerAgreement: |

The Partnership has entered into aCustomer Agreement, which was assigned to CGM from a predecessorcompany, whereby CGM provides services which include, among otherthings, the execution of transactions for the Partnership'saccount in accordance with orders placed by the Advisor. EffectiveJanuary 1, 1997, the Partnership pays CGM a monthly brokerage fee equalto 1⁄2 of 1% (6% per year) of Month endNet Assets, in lieu of brokerage commissions on a per trade basis.Month-end Net Assets, for the purpose of calculating commissions areNet Assets, as defined in the Limited Partnership Agreement, prior tothe reduction of accrued expenses and redemptions payable. ThePartnership pays for all clearing fees but not floor brokerage charges.All of the Partnership's cash is deposited in thePartnership's account at CGM. The Partnership's cash isdeposited by CGM in segregated bank accounts to the extent required byCommodity Futures Trading Commission regulations. At December 31, 2004and 2003, the amount of cash held for margin requirements was $822,751and $536,151, respectively. CGM has agreed to pay the Partnershipinterest on 70% of the average daily equity in its accountsduring each month at the rate of the average noncompetitive yield of13-week U.S. Treasury Bills as determined at the weekly auctionsthereof during the month. The Customer Agreement between thePartnership and CGM gives the Partnership the legal right to netunrealized gains and losses. The Customer Agreement may be terminatedupon notice by either party.

4.    Trading Activities:

The Partnership was formed for the purpose of trading contracts in avariety of commodity interests, including derivative financialinstruments and derivative commodity instruments. The results of thePartnership's trading activities are shown in the statements ofincome and expenses.

All of the commodity interests owned by thePartnership are held for trading purposes. The average fair valueduring the years ended December 31, 2004 and 2003, based on a monthlycalculation, was $205,249 and $295,425, respectively.

5.    Distributions and Redemptions:

Distributions of profits, if any, will be made at the solediscretion of the General Partner; however, each limited partner mayredeem some or all of their Redeemable Units at the Net Asset Valuethereof as of the last day of any calendar quarter on 15 days notice tothe General Partner, provided that no redemption may result in thelimited partner holding fewer than three Redeemable Units after suchredemption is effected.

F-11

----

ShearsonSelect AdvisorsFutures Fund L.P.Notes to FinancialStatements

6.    Financial Highlights:

Changes in the Net Asset Value per Redeemable Unit of LimitedPartnership Interest during the years ended December 31, 2004, 2003 and2002 are asfollows:

|                                                      |  |        |          |         |  |        |          |         |  |        |          |         |  |  |
|------------------------------------------------------|--|--------|----------|---------|--|--------|----------|---------|--|--------|----------|---------|--|--|
|                                                 |  | 2004   |          | 2003    |  | 2002   |
| Netrealized and unrealizedgains*                     |  | $      | 211.47   |    |  | $      | 770.90   |    |  | $      | 1,152.90 |    |
| Interestincome                                       |  |   | 31.89    |    |  |   | 26.56    |    |  |   | 30.43    |    |
| Expenses**                                           |  |   | (175.68  | )  |  |   | (217.82  | )  |  |   | (237.93  | )  |
| Increasefor theyear                                  |  |   | 67.68    |    |  |   | 579.64   |    |  |   | 945.40   |    |
| Netasset value per Redeemable Unit, beginning ofyear |  |   | 3,934.53 |    |  |   | 3,354.89 |    |  |   | 2,409.49 |    |
| Netasset value per Redeemable Unit, end ofyear       |  | $      | 4,002.21 |    |  | $      | 3,934.53 |    |  | $      | 3,354.89 |    |
|                                                      |

|  |
|--|
|  |  |
|  |

|   |                               |
|---|-------------------------------|
| * | Includesbrokerage commissions |

|    |                               |
|----|-------------------------------|
| ** | Excludes brokeragecommissions |

|                                            |  |        |        |          |  |        |        |          |  |        |        |          |  |  |
|--------------------------------------------|--|--------|--------|----------|--|--------|--------|----------|--|--------|--------|----------|--|--|
|                                       |  | 2004   |        | 2003     |  | 2002   |
| Ratiosto Average NetAssets:                |  |   |   |     |  |   |   |     |  |   |   |     |
| Netinvestment loss before incentivefees*** |  |   | (10.3  | )%  |  |   | (10.0  | )%  |  |   | (10.3  | )%  |
| Operatingexpenses                          |  |   | 11.2   | %   |  |   | 10.7   | %   |  |   | 11.4   | %   |
| Incentivefees                              |  |   | 0.2    | %   |  |   | 1.5    | %   |  |   | 3.5    | %   |
| Totalexpenses                              |  |   | 11.4   | %   |  |   | 12.2   | %   |  |   | 14.9   | %   |
|                                       |  |   |   |     |  |   |   |     |  |   |   |     |
| Totalreturn:                               |  |   |   |     |  |   |   |     |  |   |   |     |
| Totalreturn before incentivefees           |  |   | 1.9    | %   |  |   | 19.0   | %   |  |   | 43.5   | %   |
| Incentivefees                              |  |   | (0.2   | )%  |  |   | (1.7   | )%  |  |   | (4.3   | )%  |
| Totalreturn after incentivefees            |  |   | 1.7    | %   |  |   | 17.3   | %   |  |   | 39.2   | %   |
|                                            |

|  |
|--|
|  |  |
|  |

|     |                                                                  |
|-----|------------------------------------------------------------------|
| *** | Interestincome less total expenses (exclusive of incentive fees) |

The above ratios may vary for individual investors based on thetiming of capital transactions during the year. Additionally, theseratios are calculated for the limited partner class using the limitedpartners' share of income, expenses and average net assets.

7.    Financial Instrument Risks:

In the normal course ofits business, the Partnership is party to financial instruments withoff-balance sheet risk, including derivative financial instruments andderivative commodity instruments. These financial instruments mayinclude forwards, futures and options, whose values are based upon anunderlying asset, index, or reference rate, and generally representfuture commitments to exchange currencies or cash flows, to purchase orsell other financial instruments at specific terms at specified futuredates, or, in the case of derivative commodity instruments, to have areasonable possibility to be settled in cash, through physical deliveryor with another financial instrument. These instruments may be tradedon an exchange or over-the-counter ("OTC").Exchange traded instruments are standardized and include futures andcertain option contracts. OTC contracts are negotiated betweencontracting parties and 

F-12

----

ShearsonSelect AdvisorsFutures Fund L.P.Notes to FinancialStatements

include forwards and certain options. Each ofthese instruments is subject to various risks similar to those relatedto the underlying financial instruments including market and creditrisk. In general, the risks associated with OTC contracts are greaterthan those associated with exchange traded instruments because of thegreater risk of default by the counterparty to an OTC contract.

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

Credit risk is the possibilitythat a loss may occur due to the failure of a counterparty to performaccording to the terms of a contract. Credit risk with respect toexchange traded instruments is reduced to the extent that an exchangeor clearing organization acts as a counterparty to the transactions.The Partnership's risk of loss in the event of counterpartydefault is typically limited to the amounts recognized in thestatements of financial condition and not represented by the contractor notional amounts of the instruments. The Partnership has credit riskand concentration risk because the sole counterparty or broker withrespect to the Partnership's assets is CGM.

The GeneralPartner monitors and controls the Partnership's risk exposure ona daily basis through financial, credit and risk management monitoringsystems and, accordingly believes that it has effective procedures forevaluating and limiting the credit and market risks to which thePartnership is subject. These monitoring systems allow the GeneralPartner to statistically analyze actual trading results withrisk-adjusted performance indicators and correlation statistics. Inaddition, on-line monitoring systems provide account analysis offutures, forwards and options positions by sector, margin requirements,gain and loss transactions and collateral positions.

Themajority of these instruments mature within one year of December 31,2004. However, due to the nature of the Partnership's business,these instruments may not be held tomaturity.

F-13

----

Selectedunaudited quarterly financial data for the years ended December 31,2004 and December 31, 2003 is summarizedbelow:

|                                                                                                                      |  |                                                        |           |                                                       |  |                                                   |          |                                                      |  |   |          |         |  |   |         |         |  |  |
|----------------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|-----------|-------------------------------------------------------|--|---------------------------------------------------|----------|------------------------------------------------------|--|---|----------|---------|--|---|---------|---------|--|--|
|                                                                                                                 |  | Forthe period from October 1, 2004 to December 31,2004 |           | For the period from July 1, 2004 to September30, 2004 |  | For the period from April 1, 2004 to June30, 2004 |          | For the period from January 1, 2004 to March31, 2004 |
| Net realized andunrealized trading gains (losses) net of brokerage commissions andclearing fees plus interest income |  | $                                                      | 1,314,789 |                                                  |  | $                                                 | (187,021 | )                                               |  | $ | (928,126 | )  |  | $ | 26,169  |    |
| Netincome (loss)                                                                                                     |  | $                                                      | 1,252,642 |                                                  |  | $                                                 | (224,803 | )                                               |  | $ | (971,983 | )  |  | $ | (25,288 | )  |
| Increase (decrease) inNet Asset Value per Redeemable Unit                                                            |  | $                                                      | 1,156.64  |                                                  |  | $                                                 | (204.36  | )                                               |  | $ | (862.46  | )  |  | $ | (22.14  | )  |
|                                                                                                                      |

|                                                                                                                    |  |                                                        |         |                                                       |  |                                                   |          |                                                      |  |   |         |        |  |   |         |        |  |  |
|--------------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|---------|-------------------------------------------------------|--|---------------------------------------------------|----------|------------------------------------------------------|--|---|---------|--------|--|---|---------|--------|--|--|
|                                                                                                               |  | Forthe period from October 1, 2003 to December 31,2003 |         | For the period from July 1, 2003 to September30, 2003 |  | For the period from April 1, 2003 to June30, 2003 |          | For the period from January 1, 2003 to March31, 2003 |
| Net realized andunrealized trading gains (losses) net of brokerage commissions andclearing feesplus interestincome |  | $                                                      | 312,741 |                                                  |  | $                                                 | (247,692 | )                                               |  | $ | 301,545 |   |  | $ | 584,303 |   |
| Netincome(loss)                                                                                                    |  | $                                                      | 282,718 |                                                  |  | $                                                 | (297,532 | )                                               |  | $ | 208,385 |   |  | $ | 499,734 |   |
| Increase(decrease) in Net AssetValue per RedeemableUnit                                                            |  | $                                                      | 247.13  |                                                  |  | $                                                 | (256.49  | )                                               |  | $ | 176.00  |   |  | $ | 413.00  |   |
|                                                                                                                    |

F-14

----

Item 9.    Changes in and Disagreements with Accountants onAccounting and Financial Disclosure.

None.

Item 9A.    Controls and Procedures.

Based ontheir evaluation of the Partnership's disclosure controls andprocedures as of year end the Chief Executive Officer and ChiefFinancial Officer have concluded that such controls and procedures areeffective.

There were no significant changes in thePartnership's internal controls or in other factors that couldsignificantly affect such controls subsequent to the date of theirevaluation as of year end.

PART III

Item10.    Directors and Executive Officers of theRegistrant.

The Partnership has no officers or directorsand its affairs are managed by its General Partner, Citigroup ManagedFutures LLC. Investment decisions are made by John W. Henry &Company, Inc. (the "Advisor").

ThePartnership has not adopted a code of ethics that applies to officersbecause it has no officers.

Item 11.    ExecutiveCompensation.

The Partnership has no directors orofficers. Its affairs are managed the General Partner. CGM, anaffiliate of the General Partner, is the commodity broker for thePartnership and receives brokerage commissions for such services, asdescribed under "Item 1. Business."For the year ended December 31, 2004, CGM earned $243,995 in brokeragecommissions and clearing fees. Management fees and incentive fees of$153,760 and $4,959, respectively were earned by the Advisor for theyear ended December 31, 2004. In addition, the General Partner received$2,479 of incentive fees for the year ended December 31, 2004.

Item 12.    Security Ownership of Certain Beneficial Ownersand Management.

(a)    Security ownership of certainbeneficial owners. The Partnership knows of no person who beneficiallyowns more than 5% of the Redeemable Units outstanding.

(b)    Security ownership of management. Under the terms of theLimited Partnership Agreement, the Partnership's affairs aremanaged by the General Partner. The General Partner owns Units ofgeneral partnership interest equivalent to 34 Unit equivalents(3.2%) as of December 31, 2004.

(c)    Changes incontrol. None.

Item 13.    Certain Relationships andRelated Transactions.

Citigroup Global Markets Inc. andCitigroup Managed Futures LLC would be considered promoters forpurposes of Item 404 (d) of Regulation S-K. The nature and the amountsof compensation each promoter will receive from the Partnership are setforth under "Item 1. Business".,"Item 11. Executive Compensation."and "Item 8. Financial Statements and SupplementaryData."

20

----

Item 14.    Principal Accountant Feesand Services.

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

2004            $9,390

2003            $4,519

(b)    Audit-Related Fees. None.

(c)    TaxFees. The aggregate fees billed for each of the last two fiscalyears for professional services rendered by KPMG LLP for tax complianceand tax advice given in the preparation of the Partnership'sSchedule K1s, the preparation of the Partnership's Form 1065 andpreparation of all State Tax Returns are as follows:

2004            $5,136

2003            $4,809

(d)    All Other Fees. None.

(e)    NotApplicable.

(f)    Not Applicable.

21

----

PART IV

Item15.    Exhibits, Financial Statement Schedules, and Reports onForm 8-K.

|               |                      |
|---------------|----------------------|
| (a) (1)  | FinancialStatements: |

|        |                                                                 |
|--------|-----------------------------------------------------------------|
|   | Statements of FinancialCondition at December 31, 2004 and 2003. |

|        |                                                                  |
|--------|------------------------------------------------------------------|
|   | Condensed Schedules of Investments atDecember 31, 2004 and 2003. |

|        |                                                                                        |
|--------|----------------------------------------------------------------------------------------|
|   | Statements of Income and Expenses for theyears ended December 31, 2004, 2003 and 2002. |

|        |                                                                                                |
|--------|------------------------------------------------------------------------------------------------|
|   | Statements of Changes in Partners'Capital for the years ended December 31, 2004, 2003 and2002. |

|        |                                                                               |
|--------|-------------------------------------------------------------------------------|
|   | Statements of Cash Flows for theyears ended December 31, 2004, 2003 and 2002. |

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

|           |           |
|-----------|-----------|
| (2)  | Exhibits: |

|        |                                                                                                                                                                                                                                |
|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 3.1 – Limited Partnership Agreementdated as of February 10, 1987 and amended as of April 6, 1987 (filed asExhibit 3.1 to the Registration Statement on Form S-1 (fileNo.33-12241) and incorporated herein by reference). |

|        |                                                                                                                                                                                                                                                                                         |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 3.2 – Certificate of LimitedPartnership of the Partnership as filed in the office of the Secretaryof State of the State of Delaware on February 10, 1987 (filed asExhibit 3.2 to the Registration Statement on Form S-1 (file No.33-12241) and incorporated herein by reference). |

|        |                                                                                                                                            |
|--------|--------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.1 – Customer Agreement betweenShearson Lehman Select Advisors Futures Fund L.P. and Smith BarneyShearson Inc. (previously filed). |

|        |                                                                                                   |
|--------|---------------------------------------------------------------------------------------------------|
|   | 10.1(a) – Amendment to CustomerAgreement dated as of September 30, 1988 (previously filed). |

|        |                                                                                                                    |
|--------|--------------------------------------------------------------------------------------------------------------------|
|   | 10.4(a) – Management Agreementbetween Hayden Commodities Corp. and Dunn Commodities, Inc. (previouslyfiled). |

|        |                                                                                                                        |
|--------|------------------------------------------------------------------------------------------------------------------------|
|   | 10.4(b) – ManagementAgreement between Hayden Commodities Corp. and Investment TimingServices (previously filed). |

|        |                                                                                                                              |
|--------|------------------------------------------------------------------------------------------------------------------------------|
|   | 10.4(c)– Management Agreement between Hayden Commodities Corp. andCresta Commodity Management Inc. (previously filed). |

|        |                                                                                                                   |
|--------|-------------------------------------------------------------------------------------------------------------------|
|   | 10.4(d) – Management Agreementbetween Hayden Commodities Corp. and Computerized Advisory (previouslyfiled). |

|        |                                                                                                           |
|--------|-----------------------------------------------------------------------------------------------------------|
|   | 10.6(e) – ManagementAgreement 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 OrionInc. (previously filed). |

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

|        |                                                                                                          |
|--------|----------------------------------------------------------------------------------------------------------|
|   | 10.4(I) – Management Agreementbetween Hayden Commodities Corp. and PRAGMA, Inc. (previouslyfiled). |

|        |                                                                                                                                |
|--------|--------------------------------------------------------------------------------------------------------------------------------|
|   | 10.4(j) – ManagementAgreement between Hayden Commodities Corp. and Mint InvestmentManagement Company (previously filed). |

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

22

----

|        |                                                                                                                             |
|--------|-----------------------------------------------------------------------------------------------------------------------------|
|   | 10.4(l) –Management Agreement between Hayden Commodities Corp. and Charles M.Wilson & Company (previously filed). |

|        |                                                                                                                       |
|--------|-----------------------------------------------------------------------------------------------------------------------|
|   | 10.4(m) – Management Agreementbetween 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 ManagementAgreement 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 ManagementAgreement with Bacon Investment Corporation dated June 30, 1989(previously filed). |

|        |                                                                                                                                      |
|--------|--------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.10 –Assignment by Bacon Investment Corporation to Zack Hampton Bacon, IIIdated as of September 15, 1989 (previously filed). |

|        |                                                                                                                                                                                                                            |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.11 – Letter extending ManagementAgreement with Sunrise Commodities Inc. dated June 26, 1990 (filed asExhibit 10.11 to Form 10-K for the fiscal year ended December 31, 1991and incorporated herein by reference). |

|        |                                                                                                                                                                                                                |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.12 – Letter extending ManagementAgreement with PRAGMA, Inc. dated June 26, 1990 (filed as Exhibit 10.12to Form 10-K for the fiscal year ended December 31, 1991 andincorporated herein by reference). |

|        |                                                                                                                                                                                                                                 |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.13 – Letter extending ManagementAgreement with John W. Henry & Co., Inc. dated June 26, 1990 (filedas Exhibit 10.13 to Form 10-K for the fiscal year ended December 31,1991 and incorporated herein by reference). |

|        |                                                                                                                                                                                                                           |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.14 – Letter extending ManagementAgreement with Zack Hampton Bacon, III dated June 25, 1990 (filed asExhibit 10.14 to Form 10-K for the fiscal year ended December 31, 1991and incorporated herein by reference). |

|        |                                                                                                                                                                                                                             |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.15 – Letter extending ManagementAgreement with Sunrise Commodities, Inc. dated July 16, 1991 (filed asExhibit 10.15 to Form 10-K for the fiscal year ended December 31, 1991and incorporated herein by reference). |

|        |                                                                                                                                                                                                                |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.16 – Letter extending ManagementAgreement with PRAGMA, Inc. dated July 16, 1991 (filed as Exhibit 10.16to Form 10-K for the fiscal year ended December 31, 1991 andincorporated herein by reference). |

|        |                                                                                                                                                                                                                                 |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.17 – Letter extending ManagementAgreement with John W. Henry & Co., Inc. dated July 16, 1991 (filedas Exhibit 10.17 to Form 10-K for the fiscal year ended December 31,1991 and incorporated herein by reference). |

|        |                                                                                                                                                                                                                               |
|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.18 – Letter extending ManagementAgreement with Zack Hampton Bacon, III dated July 16, 1991 and (filedas Exhibit 10.18 to Form 10-K for the fiscal year ended December 31,1991 and incorporated herein by reference). |

|        |                                                                                                                                                                                       |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.19 – Letter extending ManagementAgreement with Sunrise Commodities Inc. dated June 30, 1992 (filed asExhibit 10.19 to Form 10-K for the fiscal year ended December 31,1992). |

|        |                                                                                                                                                                           |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.20 – Letter extendingManagement Agreement with PRAGMA, Inc. dated June 30, 1992 (filed asExhibit 10.20 to Form 10-K for the fiscal year ended December 31,1992). |

|        |                                                                                                                                                                                            |
|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.21 – Letter extendingManagement Agreement with John W. Henry & Co., Inc. dated June 30,1992 (filed as Exhibit 10.21 to Form 10-K for the fiscal year endedDecember 31, 1992). |

23

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|        |                                                                                                                                                                                      |
|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.22 –Letter extending Management Agreement with Zack Hampton Bacon, IIIdated June 30, 1992 (filed as Exhibit 10.22 to Form 10-K for the fiscalyear ended December 31, 1992). |

|        |                                                                                                                                                                                         |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.23– Letter terminating Management Agreement with Zack HamptonBacon, III dated March 31, 1993 (filed as Exhibit 10.23 to Form 10-Kfor the fiscal year ended December 31, 1993). |

|        |                                                                                                                                                                             |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.24 – Letter terminatingManagement Agreement with PRAGMA, Inc. dated July 29, 1994 (filed asExhibit 10.24 to Form 10-K for the fiscal year ended December 31,1994). |

|        |                                                                                                                                                                                                            |
|--------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.25 – ManagementAgreement dated September 1, 1994 the Partnership, the General Partnerand Gill Capital Management(filed as Exhibit 10.25 to Form 10-K for thefiscal year ended December 31, 1994). |

|        |                                                                                                                                                                                                                                                         |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.26 – Letters extendingManagement Agreements with John W. Henry & Co., Sunrise CapitalManagement, Inc. and Gill Capital Management dated February 16, 1995(filed as Exhibit 10.26 to Form 10-K for the fiscal year ended December31, 1994). |

|        |                                                                                                                                                                                        |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.27 – Letterterminating Management Agreement with Gill Capital Management datedJune 27, 1995 (filed as Exhibit 10.27 to Form 10-K for the fiscal yearended December 31, 1995). |

|        |                                                                                                                                 |
|--------|---------------------------------------------------------------------------------------------------------------------------------|
|   | 10.28– Letter terminating Management Agreement with Sunrise CapitalManagement dated December 23, 1996 (previously filed). |

|        |                                                                                                                                                                                             |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.29 – Letters extendingManagements Agreements with John W. Henry & Company, Inc. for 1996and 1997 (Filed as Exhibit 10.29 to Form 10-K for fiscal year endedDecember 31, 1997). |

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

|        |                                                                                                                       |
|--------|-----------------------------------------------------------------------------------------------------------------------|
|   | 10.31 – Letter extending ManagementAgreement with John W. Henry & Company, Inc. for 1999 (previouslyfiled). |

|        |                                                                                                                       |
|--------|-----------------------------------------------------------------------------------------------------------------------|
|   | 10.32 – Letterextending 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 ManagementAgreement with John W. Henry & Company, Inc. for 2002 (previouslyfiled) |

|        |                                                                                                                      |
|--------|----------------------------------------------------------------------------------------------------------------------|
|   | 10.35 – Letter extendingManagement 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 (filed herein). |

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

|        |                                                                                                      |
|--------|------------------------------------------------------------------------------------------------------|
|   | The exhibits required to be filed by Item601 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 andDirector) |

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

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

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

24

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    Supplemental Information ToBe Furnished With Reports Filed Pursuant To Section 15(d) Of The Act byRegistrants Which Have Not Registered Securities Pursuant To Section 12Of the Act.

Annual Report to Limited Partners

Noproxy material has been sent to LimitedPartners.

25

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SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) the SecuritiesExchange Act of 1934, the Registrant has duly caused this annual reporton Form 10-K to be signed on its behalf by the undersigned, thereuntoduly authorized, in the City of New York and State of New York on the31st day of March 2005.

Shearson Select Advisors FuturesFund L.P.

By:    /s/ Citigroup Managed FuturesLLC           (General Partner)

By    /s/ David J.Vogel           David J. Vogel, President andDirector

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

|                             |  |                        |  |  |  |  |
|-----------------------------|--|------------------------|--|--|--|--|
| /s/ David J. Vogel          |  | /s/ ShelleyUllman      |
| David J. Vogel              |  | ShelleyUllman          |
| President andDirector       |  | Director               |
| /s/ MaureenO'Toole          |  | /s/ Steven J. Keltz    |
| Maureen O'Toole             |  | Steven J. Keltz        |
| Director                    |  | Secretary and Director |
| /s/ Daniel R. McAuliffe,Jr. |  |                   |
| Daniel R. McAuliffe,Jr.     |  |                   |
| Chief Financial Officerand  |  |                   |
| Director                    |  |                   |
|                             |

26

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