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

FORM 10-K

Annual ReportPursuant To Section 13 or 15(d) Of The Securities Exchange Act Of1934

For the year ended December 31, 2005

Commission File Number 0-16627

SHEARSON SELECT ADVISORS FUTURES FUND 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 731 Lexington Avenue. – 25thFl. 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 if the registrant is a well-knownseasoned issuer, as defined in Rule 405 of the SecuritiesAct.

YesX        No     

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

YesX        No     

Indicateby check mark whether the registrant (1) has filed all reports requiredto be filed by Section 13 or 15(d) of the Securities Exchange Act of1934 during the preceding 12 months (or for such shorter period thatthe registrant was required to file such reports), and (2) has beensubject to such filing requirements for the past 90 days.

Yes X        No     

Indicate by check mark if disclosure of delinquent filerspursuant to Item 405 of Regulation S-K is not contained herein, andwill not be contained, to the best of registrant's knowledge, indefinitive proxy or information statements incorporated by reference inPart III of this Form 10-K or any amendment to this form 10-K[X]

Indicate by check mark whether theregistrant is a large accelerated filer, an accelerated filer, or anon-accelerated filer (as defined in Rule 12b-2 of the Act).

Large accelerated filer            Accelerated filer            Non-acceleratedfiler     

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

Yes              NoX

Limited Partnership Redeemable Units with anaggregate value of $3,582,352 were outstanding and held bynon-affiliates as of the last business day of the registrant'smost recently completed second fiscal quarter.

Asof February 28, 2006, 943 Limited Partnership Redeemable Units wereoutstanding.

DOCUMENTS INCORPORATED BYREFERENCE

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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, 2005, 2004 and 2003are 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, acts as the general partner (the"General Partner") of the Partnership. ThePartnership's commodity broker is Citigroup Global Markets Inc.("CGM"). CGM is an affiliate of the GeneralPartner. The General Partner is wholly owned by Citigroup GlobalMarkets Holding Inc. ("CGMHI"), which is thesole owner of CGM. CGMHI is a wholly owned subsidiary 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, 2005, 2004, 2003, 2002 and 2001 are setforth under "Item 6. Selected FinancialData." The Partnership's capital as of December31, 2005 was $2,975,014.

(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.

Item 1A.    RiskFactors.

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

Due to the speculative nature of tradingcommodity interests, an investor could lose all of its investment inthe Partnership.

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

An investor's ability to redeem unitsis limited and no market exists for the units.

The Partnershipis subject to numerous conflicts of interest including those that arisefrom the facts that:

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|  | 1.  | The General Partner andcommodity broker areaffiliates; |

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

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|  | 3.  | Smith Barney financial advisors willreceive ongoing compensation for providing services to aninvestor's account. |

The Partnership will not provide anybenefit of diversification of an investor's overall portfoliounless it is profitable and produces returns that are independent fromstock and bond market returns.

The advisors' tradingstrategies may not perform as they have performed in the past. Theadvisors have from time to time incurred substantial losses in tradingon behalf of clients.

Investors are taxed on their share of thePartnership's income, even though the Partnership does not intendto make any distributions.

Item2.    Properties.

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

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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 material administrative, civil or criminal actions within thepast five years against Citigroup Global Markets or any of itsindividual principals and no such actions are currently pending, exceptas follows.

Regulatory Matters

Both the Department ofLabor and the Internal Revenue Service("IRS") have advised Citigroup Global Marketsthat they were or are reviewing transactions in which Ameritech PensionTrust purchased from Citigroup Global Markets and certain affiliatesapproximately $20.9 million in participations in a portfolio of motelsowned by Motels of America, Inc. and Best Inns, Inc. With respect tothe IRS review, Citigroup Global Markets and certain affiliatedentities have consented to extensions of time for the assessment ofexcise taxes that may be claimed to be due with respect to thetransactions for the years 1987, 1988 and 1989.

IPO RegulatoryInquiries

Since April 2002, Citigroup Global Markets andseveral other broker dealers have received subpoenas and/or requestsfor information from various governmental and self-regulatory agenciesand Congressional committees as part of their research on IPOallocation inquiries. With respect to issues raised by the NASD, theNYSE and the SEC about Citigroup Global Markets' and otherfirms' e-mail retention practices, Citigroup Global Markets andseveral other broker/dealers and the NASD, the NYSE and the SEC enteredinto a settlement agreement in December 2002. Citigroup Global Marketsagreed to pay a penalty in the amount of $1.65 million and did notadmit any wrongdoing. No individuals from Citigroup Global Markets havebeen charged in the IPO allocation proceedings.

IPO CivilLitigation

In April 2002, consolidated amended complaints werefiled against Citigroup Global Markets and other investment banks namedin numerous alleged class actions filed in the United States DistrictCourt for the Southern District of New York, alleging violations ofcertain federal securities laws (including Section 11 of the SecuritiesAct of 1933, as amended, and Section 10(b) of the Securities ExchangeAct of 1934, as amended) with respect to the allocation of shares forcertain initial public offerings and related aftermarket transactionsand damage to investors caused by allegedly biased research analystreports. On February 19, 2003, the Court issued an opinion denyingdefendants' motion to dismiss.

On October 13, 2004, thecourt granted in part the motion to certify class actions for six focuscases in the securities litigation. Citigroup Global Markets 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.

On June 30, 2005, the United States Court of Appeals for the SecondCircuit entered an order in In Re: Initial Public OfferingSecurities Litigation agreeing to review the district court'sorder granting plaintiffs' motion for class certification.

Also filed in the Southern District of New York against CitigroupGlobal Markets and other investment banks were several alleged classactions that were consolidated into a single class action 

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alleging violations of certain federal andstate antitrust laws in connection with the allocation of shares ininitial public offerings when acting as underwriters. On November 3,2003, the court granted Citigroup Global Markets' motion todismiss the consolidated amended complaint in the antitrust case. OnSeptember 28, 2005, the United States Court of Appeals for the SecondCircuit in In Re: Initial Public Offering Antitrust Litigationvacated the district court's order dismissing these actions andremanded for further proceedings.

Research Settlement

On April 28, 2003, Citigroup Global Markets announced finalagreements with the SEC, the NASD, the NYSE and the New York AttorneyGeneral (as lead state among the 50 states, the District of Columbiaand Puerto Rico) to resolve on a civil basis all of their outstandinginvestigations into its research and IPO allocation and distributionpractices (the "Research Settlement"). Aspart of the Research Settlement, Citigroup Global Markets has consentedto the entry of (1) an injunction under the federal securities laws tobe entered in the United States District Court for the SouthernDistrict of New York, barring Citigroup Global Markets from violatingprovisions of the federal securities laws and related NASD and NYSErules relating to research, certain IPO allocation practices, thesafeguarding of material nonpublic information, and the maintenance ofrequired books and records and requiring Citigroup Global Markets toadopt and enforce new restrictions on the operation of research; (2) anNASD Acceptance Waiver and Consent requiring Citigroup Global Marketsto cease and desist from violations of corresponding NASD rules andrequiring Citigroup Global Markets to adopt and enforce the same newrestrictions; (3) an NYSE Stipulation and Consent requiring CitigroupGlobal Markets to cease and desist from violations of correspondingNYSE rules and requiring Citigroup Global Markets to adopt and enforcethe same new restrictions; and (4) an Assurance of Discontinuance withthe New York Attorney General containing substantially the same orsimilar restrictions. The Research Settlement requires Citigroup GlobalMarkets to pay $300 million for retrospective relief, plus $25 millionfor investor education, and commit to spend $75 million to provideindependent third-party research to its clients at no charge. CitigroupGlobal Markets reached these final settlement agreements withoutadmitting or denying any wrongdoing or liability. The ResearchSettlement does not establish wrongdoing or liability for purposes ofany other proceeding. The $300 million was accrued during the fourthquarter of 2002.

To effectuate the Research Settlement, the SECfiled 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 Citigroup Global Markets and nine otherinvestment banks. The NASD has accepted the Letter of Acceptance,Waiver and Consent entered into with Citigroup Global Markets inconnection with the Research Settlement. In May 2003, the NYSE advisedCitigroup Global Markets that the Hearing Panel's Decision, inwhich it accepted the Research Settlement, had become final. Asrequired by the Research Settlement, Citigroup Global Markets also hasentered into separate settlement agreements with numerous states andcertain U.S. territories.

Several individual actions have beenfiled against Citigroup and Citigroup Global Markets relating to, amongother things, research on Qwest Communications International, Inc.alleging violations of state and federal securities laws.

EnronRegulatory Settlement

On July 28, 2003, Citigroup (CitigroupGlobal Markets' ultimate parent) entered into a final settlementagreement with the SEC to resolve the SEC's outstandinginvestigations into Citigroup transactions with Enron Corp. and DynegyInc. Pursuant to the settlement, Citigroup has, among other terms, (1)consented to the entry of an administrative cease and desist order,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 

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entered into an agreement with the FederalReserve Bank of New York ("FED") to resolvetheir inquiries into certain of Citigroup's transactions withEnron. Pursuant to the agreements, Citibank and Citigroup have agreedto submit plans to the OCC and FED, respectively, regarding thehandling of complex structured finance transactions. Also on July 28,2003, Citigroup entered into a settlement agreement with the ManhattanDistrict Attorney's Office to resolve its investigation intocertain of Citigroup' s transactions with Enron. Pursuant to thatsettlement, Citigroup has agreed to pay $25.5 million and to abide byits agreements with the SEC, OCC and FED.

Enron-Related CivilActions

Citigroup Global Markets, Citigroup and various otherCitigroup-related entities have been named as defendants in over 20civil lawsuits pending in state and federal courts throughout theUnited States, alleging claims against Citigroup and Citigroup GlobalMarkets 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.

On June 13, 2005, Citigroup announced a settlement of the Enronclass action litigation (Newby, et al v. Enron Corp., et al.)currently pending in the United States District Court for the SouthernDistrict of Texas, Houston Division. This settlement resolves allclaims against Citigroup brought on behalf of the class of purchasersof publicly traded equity and debt securities issued by Enron andEnron-related entities between September 9, 1997 and December 2, 2001.The settlement, which involves a pre-tax payment of $2.0 billion to thesettlement class, is fully covered by Citigroup's existinglitigation reserves. It is subject to approval by the Board of Regentsof the University of California (the lead plaintiff), the CitigroupBoard and the District Court in Texas.

A Citigroup affiliate,along with other defendants, settled all claims against it in In Re:Newpower Holdings Securities Litigation, a class action brought onbehalf of certain investors in NewPower securities. Citigroup reachedthis settlement agreement without admitting any wrongdoing. OnSeptember 13, 2004, the United States District Court for the SouthernDistrict of New York preliminarily approved the settlement.

InApril 2005, Citigroup, along with other financial institutiondefendants, reached an agreement-in-principle to settle fourstate-court actions brought by various investment funds, which were notpreviously consolidated or coordinated with other actions. The fourcases are OCM Opportunities Fund III, L.P., et al. v. CitigroupInc., et al.; Pacific Investment Management Co. LLC, et al. v.Citigroup Inc., et al.; AUSA Life Insurance v. Citigroup Inc., et al.and Principal Global Investors v. Citigroup Inc., et al. Theamounts to be paid in settlement of these actions are covered byexisting litigation reserves.

On August 26, 2005, a group of 15plaintiffs filed an action in the United States District Court for theSouthern District of Texas (Avenue Capital Management II, L.P., etal. v. J.P. Morgan-Chase & Co., et al.). The complaint names asdefendants Citigroup Inc., Citibank, N.A., Citigroup Global Markets,and several J.P. Morgan entities and alleges fraud, breach of fiduciaryduty and breach of contract arising out of Enron bank debt incurredunder two syndicated revolving credit facilities and a syndicatedletter of credit facility.

Dynegy Inc.

On June6, 2003, the complaint in a pre-existing alleged class action pendingin the United States District Court for the Southern District of Texas(In Re: Dynegy  Inc. Securities Litigation) brought by

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purchasers of publicly traded debt and equitysecurities of Dynegy  Inc. was amended to add Citigroup, Citibankand Citigroup Global Markets 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.

Thecourt had also previously denied lead plaintiff's motion forleave to amend. No appeal was yet timely while the remainder of thecase remained pending. On April 15, 2005, as part of a globalsettlement involving all defendants, Citigroup entered into amemorandum of understanding to settle this case. The amount to be paidin settlement is covered by existing litigation reserves.

WorldCom-Related Litigation

Citigroup, Citigroup GlobalMarkets and certain executive officers and current and former employeeshave been named as defendants — along with twenty-two otherinvestment banks, certain current and former WorldCom officers anddirectors, and WorldCom's former auditors — in aconsolidated class action brought on behalf of individuals and entitieswho purchased or acquired publicly traded securities of WorldCombetween April 29, 1999 and June 25, 2002 in In Re: Worldcom, Inc.Securities Litigation. The class action complaint asserts claimsagainst Citigroup Global Markets under (i) Sections 11 and 12(a)(2) ofthe Securities Act of 1933, as amended, in connection with certain bondofferings in which it served as underwriter, and (ii) Sections 10(b)and 20(a) of the Securities Exchange Act of 1934, as amended, and Rule10b-5 promulgated under Section 10(b), alleging that it participated inthe preparation and/or issuance of misleading WorldCom registrationstatements and disseminated misleading research reports concerningWorldCom stock. In 2003, the district court denied Citigroup GlobalMarkets' motion to dismiss the consolidated class actioncomplaint and granted the plaintiffs' motion for classcertification.

Pursuant to an order entered May 28, 2003, theDistrict Court consolidated approximately seventy-eight individualactions with the class action for pretrial proceedings. The claimsasserted in these individual actions are substantially similar to theclaims alleged in the class action and assert state and federalsecurities law claims based on Citigroup Global Markets' researchreports concerning WorldCom and/or Citigroup Global Markets' roleas an underwriter in WorldCom offerings. Plaintiffs in certain of theseactions filed motions to remove their cases to state court. TheDistrict Court denied these motions and its rulings were upheld onappeal.

Numerous other actions asserting claims againstCitigroup Global Markets in connection with its research reports aboutWorldCom and/or its role as an investment banker for WorldCom arepending in other federal and state courts around the country. Theseactions have been remanded to various state courts, are pending inother federal courts, or have been conditionally transferred to theUnited States District Court for the Southern District of New York tobe consolidated with the class action. In addition to the court suits,actions asserting claims against Citigroup and certain of itsaffiliates relating to its WorldCom research reports are pending innumerous arbitrations around the country. These actions assert claimsthat are substantially 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 of the proposed settlement on November 10, 2004.

On September 17, 2004, Weinstein, et al. v. Ebbers, et al.,an alleged class action against Citigroup Global Markets and othersbrought on behalf of holders of WorldCom securities asserting claimsbased on, among other things, Citigroup Global Markets' researchreports concerning WorldCom, was dismissed with prejudice in itsentirety by the United States District Court for the Southern Districtof New York. The plaintiffs noticed an appeal of the dismissal to theUnited States Court of Appeals for the Second Circuit on October 15,2004. The parties have reached an agreement in principle on the termsof a settlement of this action.

Citigroup and Citigroup GlobalMarkets, along with a number of other defendants, have settledRetirement Systems of Alabama, et al. v. J.P. Morgan Chase &Co., et al., a WorldCom individual action that had been remanded tothe Circuit Court of Montgomery County, Alabama. The settlement becamefinal on September 30, 2004.

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On June 28, 2004, the United StatesDistrict Court for the Southern District of New York dismissed allclaims under the Securities Act of 1933, as amended, and certain claimsunder the Securities Exchange Act of 1934 in In Re: TargetsSecurities Litigation, an alleged class action against Citigroupand Citigroup Global Markets and certain former employees, leaving onlyclaims under the 1934 Act for purchases of Targeted Growth EnhancedTerms Securities With Respect to the Common Stock of MCI WorldCom, Inc.("TARGETS") after July 30, 1999. On October20, 2004, the parties signed a Memorandum of Understanding settingforth the terms of a settlement of all remaining claims in this action.The settlement was preliminarily approved by the Court on January 11,2005.

A fairness hearing was held on November 5, 2004 inconnection with the proposed class settlement between plaintiffs andthe Citigroup-related defendants in In Re: Worldcom, Inc. SecuritiesLitigation.

Citigroup, along with other financialinstitutions and other defendants, entered into settlements resolvingcertain claims against Citigroup-related defendants in a number ofWorldCom-related actions. The settlement amounts are covered byexisting litigation reserves.

Global Crossing

On orabout January 28, 2003, the lead plaintiff in a consolidated allegedclass action in the United States District Court for the SouthernDistrict of New York (In Re: Global Crossing, Ltd. SecuritiesLitigation) filed a consolidated complaint on behalf of purchasersof the securities of Global Crossing and Asia Global Crossing, whichnames as defendants, among others, Citigroup, Citigroup Global Markets,Citigroup Global Markets Holdings Inc. and certain executive officersand current and former employees. The alleged class action complaintasserts claims under the federal securities laws alleging that thedefendants issued research reports without a reasonable basis in factand failed to disclose conflicts of interest with Global Crossing inconnection with published investment research. On March 22, 2004, thelead plaintiff amended its consolidated complaint to add claims onbehalf of purchasers of the securities of Asia Global Crossing. Theadded claims assert causes of action under the federal securities lawsand common law in connection with Citigroup Global Markets'research reports about Global Crossing and Asia Global Crossing and forCitigroup Global Markets' roles as an investment banker forGlobal Crossing and as an underwriter in the Global Crossing and AsiaGlobal Crossing offerings. The Citigroup-related defendants moved todismiss all of the claims against them on July 2, 2004. In March 2005,the plaintiffs and the Citigroup-related defendants reached asettlement of all claims against the Citigroup-related defendants,including both research and underwriting claims and claims concerninglosses in both Global Crossing and Asia Global Crossing, for a total of$75 million. The Court granted preliminary approval of the settlementon March 8, 2005.

In addition, on or about January 27, 2004, theGlobal Crossing Estate Representative filed in the United StatesBankruptcy Court for the Southern District of New York (i) an adversaryproceeding asserting claims against, among others, Citigroup, CitigroupGlobal Markets and certain executive officers and current and formeremployees, under federal bankruptcy law and common law in connectionwith Citigroup Global Markets' research reports about GlobalCrossing and for its role as an underwriter in Global Crossingofferings, and (ii) an adversary proceeding against Citigroup andseveral other financial institutions seeking to rescind the payment ofa $1 billion loan made to a subsidiary of Global Crossing. TheCitigroup-related defendants moved to dismiss the former action on June26, 2004, and the latter on May 28, 2004. The plaintiffs and theCitigroup-related defendants have since entered into a definitivesettlement agreement in the In Re: Global Crossing, Ltd. SecuritiesLitigation; the settlement was preliminarily approved by the Courton March 8, 2005. The amount to be paid in settlement is covered byexisting litigation reserves.

In addition, actions assertingclaims against Citigroup and certain of its affiliates relating to itsGlobal Crossing research reports are pending in numerous arbitrationsaround the country. These arbitration proceedings assert claims thatare substantially 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, 

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including Citigroup Global Markets, Citibank,N.A., Citicorp USA, Inc., and Citigroup Financial Products, Inc.(together, the "Citigroup Parties"). Thecomplaint alleges that the Citigroup Parties and numerous otherdefendants committed acts in violation of the Bank Holding Company Actand the common law. The complaint seeks equitable relief and anunspecified amount of compensatory and punitive damages. In November2003, a similar adversary proceeding was filed by the Equity HoldersCommittee of Adelphia. In June 2004, motions to dismiss were filed withrespect to the complaints of the Official Committee of UnsecuredCreditors and the Equity Holders Committee. The motions are currentlypending.

In addition, Citigroup Global Markets is among theunderwriters named in numerous civil actions brought to date byinvestors in Adelphia debt securities in connection with Adelphiasecurities offerings between September 1997 and October 2001. Three ofthe complaints also asserted claims against Citigroup and Citibank,N.A. All of the complaints alleged violations of federal securitieslaws, and certain of the complaints also alleged violations of statesecurities laws and the common law. The complaints sought unspecifieddamages. In December 2003, a second amended complaint was filed andconsolidated before the same judge of the United States District Courtfor the Southern District of New York.

In May and July of 2005,the United States District Court for the Southern District of New Yorkdismissed several claims on statute of limitations grounds in the classand individual actions being coordinated under In Re: AdelphiaCommunications Corporation Securities and Derivatives Litigation.With the exception of one individual action that was dismissed withprejudice, the court granted the class and individual plaintiffs leaveto re-plead certain of those claims the court found to be time-barred.Additional motions to dismiss the class complaint and the remainingindividual complaints on other grounds remain pending.

MutualFunds

Citigroup and certain of its affiliates have been namedin several class action litigations pending in various federal districtcourts arising out of alleged violations of the federal securitieslaws, the Investment Company Act and the common law (including breachof fiduciary duty and unjust enrichment). The claims concern practicesin connection with the sale of mutual funds, including allegationsinvolving market timing, revenue sharing, incentive payments for thesale of proprietary funds, undisclosed breakpoint discounts for thesale of certain classes of funds, inappropriate share classrecommendations and inappropriate fund investments. The litigationsinvolving market timing have been consolidated under the MDL rules inthe United States District Court for the District of Maryland, and thelitigations involving revenue sharing, incentive payment and otherissues have been consolidated in the United States District Court forthe Southern District of New York. The plaintiffs in these litigationsgenerally seek unspecified compensatory damages, rescissionary damages,injunctive relief, costs and fees. In the principal market timing casesthat name Citigroup, a lead plaintiff has been appointed but thatplaintiff has not yet filed an amended complaint. In the casesconcerning revenue sharing, incentive payment and other issues, thelead plaintiff filed a consolidated and amended complaint on December15, 2004.

Several issues in the mutual fund industry have comeunder the scrutiny of federal and state regulators. Citigroup hasreceived subpoenas and other requests for information from variousgovernment regulators regarding market timing, financing, fees, salespractices and other mutual fund issues in connection with variousinvestigations. Citigroup is cooperating with all such reviews.Additionally, Citigroup Global Markets has entered into a settlementagreement with the SEC with respect to revenue sharing and sales ofclasses of funds.

On May 31, 2005, Citigroup announced thatSmith Barney Fund Management LLC and Citigroup Global Markets completeda settlement with the SEC resolving an investigation by the SEC intomatters relating to arrangements between certain Smith Barney mutualfunds, an affiliated transfer agent and an unaffiliated sub-transferagent. Under the terms of the settlement, Citigroup agreed to pay finestotaling $208.1 million. The settlement, in which Citigroup neitheradmitted nor denied any wrongdoing or liability, includes allegationsof willful misconduct by Smith Barney Fund Management LLC and CitigroupGlobal Markets in failing to disclose aspects of the transfer agentarrangements to certain mutual fund investors.

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Research Analyst Litigation

SinceMay 2002, Citigroup Global Markets and certain executive officers andcurrent and former employees have been named as defendants in numerousalleged class action complaints, individual actions, and arbitrationdemands by purchasers of various securities alleging that they violatedfederal securities law, including Sections 10 and 20 of the SecuritiesExchange Act of 1934, as amended, and certain state laws for allegedlyissuing research reports without a reasonable basis in fact and forallegedly failing to disclose conflicts of interest with companies inconnection with published investment research, including GlobalCrossing, 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.

On September 27, 2005, Citigroupentered into a memorandum of agreement settling all claims against theCitigroup-related defendants in In Re: Salomon Analyst AT&TLitigation, a class action alleging research analyst conflicts ofinterest. The settlement amount is covered by existing litigationreserves. The settlement is subject to judicial approval.

Inaddition to the alleged research class actions, several individualactions have been filed against Citigroup and Citigroup Global Marketsrelating to, among other things, research on Qwest CommunicationsInternational, Inc. These actions allege violations of state andfederal securities laws in connection with Citigroup GlobalMarkets' publication of research about Qwest and its underwritingof Qwest securities.

Two alleged class actions against CitigroupGlobal Markets asserting common law claims in connection with publishedinvestment research on behalf of Citigroup Global Markets customershave been dismissed by United States District Courts, one of which wasaffirmed by the United States Court of Appeals for the Ninth Circuit,and one of which is pending on appeal to the United States Courts ofAppeals for the Third Circuit. Plaintiffs in the Ninth Circuit casehave sought review by the United States Supreme Court; their requestfor an appeal to that Court is pending.

On September 22, 2005,Citigroup reached an agreement-in-principle to settle all claimsagainst the Citigroup-related defendants in Norman v. Salomon SmithBarney, et al., a class action asserting violations of theInvestment Advisers Act of 1940 and various common law claims inconnection with certain investors who maintained guided portfoliomanagement accounts at Smith Barney. The settlement amount is coveredby existing litigation reserves. The settlement is subject to judicialapproval.

On August 17, 2005, in Disher v. Citigroup GlobalMarkets Inc., the United States Court of Appeals for the SeventhCircuit reversed the district court's grant of plaintiffs'motion to remand the case to state court, and directed the districtcourt to dismiss the case as preempted under the Securities LitigationUniform Standards Act ("SLUSA"). The UnitedStates Supreme Court has granted review in another case involving SLUSAthat may affect the Seventh Circuit's dismissal of the Dishermatter.

In Sturm, et al. v. Citigroup, et al., an NASDarbitration seeking significant compensatory and punitive damages,claimants' asserted common law claims, including fraud, arisingout of alleged research analyst conflicts of interest related toCitigroup Global Markets research coverage of WorldCom.

Supervisory Investigation

In May 2003, the SEC, NYSE andNASD issued a subpoena and letters to Citigroup Global Marketsrequesting documents and information with respect to their continuinginvestigation of individuals in connection with the supervision of theresearch and investment banking departments of Citigroup GlobalMarkets. Other parties to the Research Settlement have received similarsubpoenas and letters.

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West Virginia Attorney General Suit

On June 23, 2003, the West Virginia Attorney General filed an actionagainst Citigroup Global Markets and nine other firms that were partiesto the Research Settlement. The West Virginia Attorney General allegesthat the firms violated the West Virginia Consumer Credit andProtection Act in connection with their research activities and seeksmonetary penalties.

Citigroup Shareholder Litigation

InJuly 2002, Citigroup, Citigroup Global Markets and certain officerswere named as defendants in an alleged class action filed in the UnitedStates District Court for the Southern District of New York, brought onbehalf of purchasers of Citigroup common stock between July 24, 1999and July 23, 2002. The complaint seeks unspecified compensatory andpunitive damages for alleged violations of Sections 10(b) and 20(a) ofthe Securities Exchange Act of 1934, and for common law fraud. Fourteenvirtually identical complaints have been filed and consolidated. Thecomplaints allege that Citigroup misstated the extent of itsEnron-related exposure, and that Citigroup's stock price fellonce the true extent of Citigroup's Enron involvements becameknown. Plaintiffs filed an amended complaint on March 10, 2003, whichincorporated the allegations in the 15 separate actions and added newmaterial as well. The amended complaint focuses on certain transactionsbetween Citigroup and Enron and alleged analyst conflicts of interest.The class period for the consolidated amended complaint is July 24,1999 to December 11, 2002. On June 2, 2003, Citigroup filed a motion todismiss the consolidated amended complaint. Plaintiffs' responsewas filed on July 30, and Citigroup's reply was filed on October3, 2003. On August 10, 2004, Judge Swain granted Citigroup'smotion to dismiss the consolidated amended complaint. The plaintiffsfiled a notice of appeal in October 2004.

NASD Settlement

In November 2004, Citigroup Global Markets entered into a finalagreement with the NASD to resolve the NASD's investigation intocertain of its selling practices. Without admitting or denying anyallegations or findings, Citigroup Global Markets accepted certainfactual findings by the NASD that it (i) sold units in two managedfutures funds to 45 customers for whom the investment was not suitable,(ii) failed to maintain records disclosing the basis upon which itsinvestor suitability determinations were made and (iii) failed toadequately disclose the risks of investing in managed futures productson its website. Citigroup Global Markets consented to a censure and afine of $275,000 and offered to redeem the investment of the customersfor whom investment in the two managed futures funds was found notsuitable.

In the course of its business, CGM, as a major futurescommission merchant and broker-dealer is a party to various claims androutine regulatory investigations and proceedings that the generalpartner believes do not have a material adverse effect on the businessof CGM.

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.

PART II

Item 5.    Market forRegistrant's Common Equity, Related Stockholder Matters andIssuer Purchases of Equity Securities.

(a) MarketInformation. The Partnership has issued no stock. There is noestablished public trading market for the Redeemable Units of LimitedPartnership Interest.

(b) Holders. The number ofholders of Redeemable Units of Limited Partnership Interest as ofDecember 31, 2005 was 249.

(c) Dividends. ThePartnership did not declare a distribution in 2005 or 2004.

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(d) Use of Proceeds. There wereno additional sales in the years ended December 31, 2005, 2004 and2003.

(e) Compensation Plans. None

Item6.    Selected Financial Data.

Net realized andunrealized trading gains, interest income, net income and increase inNet Asset Value per Redeemable Unit for the years ended December 31,2005, 2004, 2003, 2002 and 2001 and total assets at December 31, 2005,2004, 2003, 2002 and 2001 were asfollows:

|                                                                                                                                                                           |  |        |            |         |  |        |           |        |  |        |           |        |  |        |           |        |  |        |           |        |  |  |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--|--------|------------|---------|--|--------|-----------|--------|--|--------|-----------|--------|--|--------|-----------|--------|--|--------|-----------|--------|--|--|
|                                                                                                                                                                      |  | 2005   |            | 2004    |  | 2003   |           | 2002   |  | 2001   |
| Netrealized and unrealized trading gains (losses) net of brokeragecommissions (including clearing fees) of $207,962, $243,995, $283,408,$226,451 and $216,379respectively |  | $      | (878,772   | )  |  | $      | 190,473   |   |  | $      | 919,661   |   |  | $      | 1,483,403 |   |  | $      | 159,010   |   |
|                                                                                                                                                                      |  |   |       |    |  |   |      |   |  |   |      |   |  |   |      |   |  |   |      |   |
| Interestincome                                                                                                                                                            |  |   | 72,316     |    |  |   | 35,338    |   |  |   | 31,236    |   |  |   | 38,736    |   |  |   | 82,770    |   |
|                                                                                                                                                                      |  | $      | (806,456   | )  |  | $      | 225,811   |   |  | $      | 950,897   |   |  | $      | 1,522,139 |   |  | $      | 241,780   |   |
| Netincome(loss)                                                                                                                                                           |  | $      | (1,024,986 | )  |  | $      | 30,568    |   |  | $      | 693,305   |   |  | $      | 1,220,121 |   |  | $      | 71,103    |   |
|                                                                                                                                                                      |  |   |       |    |  |   |      |   |  |   |      |   |  |   |      |   |  |   |      |   |
| Increase(decrease) in Net Asset Value per RedeemableUnit                                                                                                                  |  | $      | (957.16    | )  |  | $      | 67.68     |   |  | $      | 579.64    |   |  | $      | 945.40    |   |  | $      | 37.64     |   |
|                                                                                                                                                                      |  |   |       |    |  |   |      |   |  |   |      |   |  |   |      |   |  |   |      |   |
| Totalassets                                                                                                                                                               |  | $      | 3,195,444  |    |  | $      | 4,502,656 |   |  | $      | 4,574,180 |   |  | $      | 4,305,348 |   |  | $      | 3,282,220 |   |
|                                                                                                                                                                           |

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.

Responsibilities of theGeneral Partner include:

|              |                                           |
|--------------|-------------------------------------------|
| •  | due diligenceexaminations of the Advisor; |

|              |                                                      |
|--------------|------------------------------------------------------|
| •  | selection,appointment and termination of theAdvisor; |

|              |                                             |
|--------------|---------------------------------------------|
| •  | negotiation of the managementagreement; and |

|              |                                        |
|--------------|----------------------------------------|
| •  | monitoring the activityof the Advisor. |

In addition, the General Partner prepares thebooks and records and provides the administrative and complianceservices that are required by law or regulation from time to time inconnection with operation 

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of the Partnership. These services includethe preparation of required books and records and reports to limitedpartners, government agencies and regulators; computation of net assetvalue; calculation of fees; effecting subscriptions, redemptions andlimited partner communications; and preparation of offering documentsand sales literature.

The General Partner shall seek the bestprices and services available in its commodity futures brokeragetransactions. The General Partner reviews at least annually, thebrokerage rates charged to commodity pools similar to the Partnershipto determine that the brokerage fee the Partnership pays is competitivewith other rates.

The Advisor specializes in managinginstitutional and individual capital in the global futures, interestrate and foreign exchange markets. Since 1981, JWH has developed andimplemented proprietary trend-following trading techniques that focuson long-term trends.

JWH trades its Financials and MetalsPortfolio ("F&M") on behalf of thePartnership. F&M seeks to identify and capitalize onintermediate-term price movements in four worldwide market sectors:currencies, interest rates, metals and global stock indices. Theprogram uses the three-phase investment style. Beginning in August1992, the position size in relation to account equity in this programwas reduced 50%. Since the changes were implemented in 1992,F&M has experienced lower volatility.

(a)Liquidity.

The Partnership does not engage in sales ofgoods or services. Its only assets are its equity in its commodityfutures trading account, consisting of cash, net unrealizedappreciation (depreciation) on open futures and forward contracts andinterest receivable. Because of the low margin deposits normallyrequired in commodity futures trading, relatively small price movementsmay result in substantial losses to the Partnership. Such substantiallosses could lead to a material loss in liquidity.

To minimizethis risk relating to low margin deposits, the Partnership followscertain trading policies, including:

|           |                                                                                                                                                                                                                                                                                                                                                    |
|-----------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (i)  | ThePartnership invests its assets only in commodity interests that theAdvisor believes are traded in sufficient volume to permit ease oftaking and liquidating positions. Sufficient volume, in this context,refers to a level of liquidity that the Advisor believes will permit itto enter and exit trades 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. |

|            |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |
|------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (vi)  | The Advisor may, fromtime to time, employ trading strategies such as spreads or straddles onbehalf 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. |

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In the normal course of business, thePartnership is party to financial instruments with off-balance sheetrisk, 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 the financial statements.)

Otherthan the risks inherent in commodity trading, the Partnership knows ofno trends, demands, commitments, events or uncertainties which willresult in or which are reasonably likely to result in thePartnership's liquidity increasing or decreasing in any materialway. The Limited Partnership Agreement provides that the Partnershipwill cease trading operations and liquidate all open positions undercertain circumstances including a decrease in Net Asset Value perRedeemable Unit to less than $350 as of the close of business on anybusiness day or a decline in net assets to less than $1,000,000.

(b) Capital resources.

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

(ii)    The Partnership's capital consists of the capitalcontributions of the partners as increased or decreased by gains orlosses on trading and by expenses, interest income, redemptions ofRedeemable Units and distributions of profits, if any. Gains or losseson trading cannot be predicted. Market moves in commodities aredependent upon fundamental and technical factors which the Advisor mayor may not be able to identify, such as changing supply and demandrelationships, weather, government agricultural, commercial and tradeprograms and policies, national and international political andeconomic 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.

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No forecast can be made as to the levelof redemptions in any given period. A limited partner may redeem someor all of their Redeemable Units at the net asset value thereof as ofthe last day of any calendar quarter on 15 days notice to the GeneralPartner. For the year ended December 31, 2005, 92 Redeemable Units wereredeemed for a total of $278,361. For the year ended December 31, 2004,73 Redeemable Units were redeemed for a total of $245,440. For the yearended December 31, 2003, 68 Redeemable Units were redeemed for a totalof $259,485.

(c)    Results of Operations.

Forthe year ended December 31, 2005, the Net Asset Value per RedeemableUnit decreased 23.9% from $4,002.21 to $3,045.05. For the yearended December 31, 2004, the Net Asset Value per Redeemable Unitincreased 1.7% from $3,934.53 to $4,002.21. For the year endedDecember 31, 2003, the Net Asset Value per Redeemable Unit increased17.3%, from $3,354.89 to $3,934.53.

The Partnershipexperienced a net trading loss before brokerage commissions and relatedfees in 2005 of $670,810. Losses were primarily attributable to thetrading of currencies, U.S. and non-U.S. interest rates and werepartially offset by gains in indices and metals.

The year 2005was characterized by several events that made it extraordinarilydifficult for the advisor's program to trade successfully and toretain profits when earned. While profitable trading did occur in themetals and stock index sectors, these relatively minor gains wereoffset by losses experienced in the other sectors.

In financialmarkets, foreign stock market indices were the most profitable sectorfor the Partnership for the year as a resurging Japanese economy andpositive political news in Europe propelled these markets out oflong-term doldrums. More than offsetting these gains were losses in USand non-US interest rate contract trading.

Currency trading wasalso unprofitable with the focus being the U.S. dollar versus bothEuropean and Asian currencies. After a prolonged decline in 2004, theU.S. dollar defied expectations for further weakness and rallied inJanuary resulting in losses for the advisors at the beginning of theyear. The dollar continued strengthening through the second quarter butencountered a prolonged period of volatility at the beginning of thethird quarter with the Chinese governments decision to revalue theChinese yuan.

Profitable trading over the last half of the yearin precious and base metals trading was able to offset most but not allof the losses incurred earlier in the year in the these markets. ThePartnership ended year basically flat in these markets.

Overall,it was a particularly difficult year for the Partnership'sadvisor with periods of favorable market conditions abruptly dashed bysingle events and prolonged volatility.

The Partnershipexperienced a net trading gain before brokerage commissions and relatedfees in 2004 of $434,468. Gains were primarily attributable to thetrading of currencies, U.S. interest rates and indices.

Tradingresults for the year 2004 can be described in three distinct periods:the first two months of the year produced positive results of over6% with trends carrying over from late 2003, the middle fivemonths experienced extraordinarily difficult conditions and losses ofapproximately 35% from record highs for the Partnership, andfinally August through December which witnessed a recovery period withan increase in net asset value per unit of nearly 48%. Theresults for the year were heavily influenced by two market events: thedecline in the value and subsequent volatility of the U.S. dollarversus major currencies and volatile global interest rate and metalsmarkets.

2004 started strongly with many of the trends from late2003 continuing into early 2004. Notably lower interest rates in theU.S. and other major countries fostered strong global economic growthand pressured commodity prices. These resulted in upward trends inprimarily industrial metals and provided profitable tradingopportunities 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 

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severe periods of losses. March through July2004 was such a period for the Partnership's advisor as positionswere adjusted from what had been profitable, long-term trends tochoppy, directionless and volatile markets. Trading was treacherous andthus unprofitable in U.S. and Asian interest rates and global stockindices while metals trading provided some offsetting profits. Thefundamental economic concerns hanging over these markets were furtherexacerbated by the uncertainty surrounding the tightly contested U.S.presidential election.

With 2004 looking dismal going into thelate summer and the price of crude oil climbing to $50 a barrel and theU.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.

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

In the GeneralPartner's opinion, the Advisor continues to employ its tradingmethods in a consistent and disciplined manner and its results areconsistent with the objectives of the Partnership and expectations forthe Advisor's program. The General Partner continues to monitorthe Advisor's performance on a daily, weekly, monthly and annualbasis to assure these objectives are met.

It should be notedthat commodity markets are highly volatile. Broad price fluctuationsand rapid inflation increase the risks involved in commodity trading,but also 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 

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communicated to external parties, includingthe Partnership's Redeemable Unit holders, creditors, andregulators, is free of material errors.

(e)    CriticalAccounting Policies.

The preparation of financialstatements in conformity with accounting principles generally acceptedin the United States of America requires management to make estimatesand assumptions that affect the reported amounts of assets andliabilities, revenues and expenses, and related disclosures ofcontingent assets and liabilities in the financial statements andaccompanying notes.

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 theperiod, which represents market value for those commodity interests forwhich market quotations are readily available or other measures of fairvalue deemed appropriate by management of the General Partner for thosecommodity interests and foreign currencies for which market quotationsare not readily available, including dealer quotes for swaps andcertain option contracts. Investments in commodity interestsdenominated in foreign currencies are translated into U.S. dollars atthe exchange rates prevailing on the last business day of the period.Realized gains (losses) and changes in unrealized values on commodityinterests and foreign currencies are recognized in the period in whichthe contract is closed or the changes occur and are included in netgains (losses) on trading of commodity interests.

Foreigncurrency contracts are those contracts where the Partnership agrees toreceive or deliver a fixed quantity of foreign currency for anagreed-upon price on an agreed future date. Foreign currency contractsare valued daily, and the Partnership's net equity therein,representing unrealized gain or loss on the contracts as measured bythe difference between the forward foreign exchange rates at the datesof entry into the contracts and the forward rates at the reportingdates, is included in the statements of financial condition. Realizedgains (losses) and changes in unrealized values on foreign currencycontracts are recognized in the period in which the contract is closedor the changes occur and are included in the statements of income andexpenses and partners' capital.

The General Partnerbelieves that the accounting policies that will be most critical to thePartnership's financial condition and results of operationsrelate to the valuation of the Partnership's positions. Themajority of the Partnership's positions will be exchange-tradedfutures contracts, which will be valued daily at settlement pricespublished by the exchanges. If applicable, the Partnership's spotand forward foreign currency contracts will also be valued at publisheddaily settlement prices or at dealers' quotes. The GeneralPartner expects that under normal circumstances substantially all ofthe Partnership's assets will be valued by objective measures andwithout difficulty.

Item 7A.    Quantitative andQualitative Disclosures About Market Risk

Introduction

The Partnership is a speculative commoditypool. The market sensitive instruments held by it are acquired forspeculative trading purposes, and all or substantially all of thePartnership's assets are subject to the risk of trading loss.Unlike an operating company, the risk of market sensitive instrumentsis integral, not incidental, to the Partnership's main line ofbusiness.

The risk to the limited partners that have purchasedinterests in the Partnership is limited to the amount of their capitalcontributions to the Partnership and their share of the Partnershipassets and undistributed profits. This limited liability is aconsequence 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.

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The Partnership rapidly acquires andliquidates both long and short positions in a wide range of differentmarkets. Consequently, it is not possible to predict how a particularfuture market scenario will affect performance, and thePartnership's past performance is not necessarily indicative ofits future results.

Value at Risk is a measure of the maximumamount which the Partnership could reasonably be expected to lose in agiven market sector. However, the inherent uncertainty of thePartnership's speculative trading and the recurrence in themarkets traded by the Partnership of market movements far exceedingexpectations could result in actual trading or non-trading losses farbeyond the indicated Value at Risk or the Partnership'sexperience to date (i.e., "risk of ruin"). Inlight of the foregoing as well as the risks and uncertainties intrinsicto all future projections, the inclusion of the quantification in thissection should not be considered to constitute any assurance orrepresentation that the Partnership's losses in any market sectorwill be limited to Value at Risk or by the Partnership's attemptsto manage its market risk.

Quantifying the Partnership'sTrading Value at Risk

The following quantitative disclosuresregarding the Partnership's market risk exposures contain"forward-looking statements" within themeaning of the safe harbor from civil liability provided for suchstatements by the Private Securities Litigation Reform Act of 1995 (setforth in Section 27A of the Securities Act of 1933 and Section 21E ofthe Securities Exchange Act of 1934). All quantitative disclosures inthis section are deemed to be forward-looking statements for purposesof the safe harbor except for statements of historical fact (such asthe terms of particular contracts and the number of market risksensitive instruments held during or at the end of the reportingperiod).

The Partnership's risk exposure in the variousmarket sectors traded by the Advisor is quantified below in terms ofValue at Risk. Due to the Partnership's mark-to-marketaccounting, any loss in the fair value of the Partnership's openpositions is directly reflected in the Partnership's earnings(realized and unrealized).

Exchange maintenance marginrequirements have been used by the Partnership as the measure of itsValue at Risk. Maintenance margin requirements are set by exchanges toequal or exceed the maximum losses reasonably expected to be incurredin the fair value of any given contract in 95%–99%of any one-day intervals. The maintenance margin levels are establishedby dealers and exchanges using historical price studies as well as anassessment of current market volatility (including the impliedvolatility of the options on a given futures contract) and economicfundamentals to provide a probabilistic estimate of the maximumexpected near-term one-day price fluctuation. Maintenance margin hasbeen used rather than the more generally available initial margin,because initial margin includes a credit risk component which is notrelevant to Value at Risk.

In the case of market sensitiveinstruments which are not exchange traded (almost exclusivelycurrencies in the case of the Partnership), the margin requirements forthe equivalent futures positions have been used as Value at Risk. Inthose rare cases in which a futures-equivalent margin is not available,dealers' margins have been used.

The fair value of thePartnership's futures and forward positions does not have anyoptionality component. However, the Advisor may trade commodityoptions. The Value at Risk associated with options is reflected in thefollowing table as the margin requirement attributable to theinstrument underlying each option. Where this instrument is a futurescontract, the futures margin, and where this instrument is a physicalcommodity, the futures-equivalent maintenance margin has been used.This calculation is conservative in that it assumes that the fair valueof an option will decline by the same amount as the fair value of theunderlying instrument, whereas, in fact, the fair values of the optionstraded by the Partnership in almost all cases fluctuate to a lesserextent than those of the underlying instruments.

In quantifyingthe Partnership's Value at Risk, 100% positive correlationin the different positions held in each market risk category has beenassumed. Consequently, the margin requirements applicable to the opencontracts have simply been added to determine each tradingcategory's aggregate Value at Risk. The diversification effectsresulting from the fact that the Partnership's positions arerarely, if ever, 100% positively correlated have not beenreflected.

17

----

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, 2005, 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, 2005,the Partnership's total capitalization was $2,975,014.

December 31,2005

|                         |  |               |         |                          |  |                   |        |                  |  |                      |         |        |  |        |        |        |  |        |         |        |  |  |
|-------------------------|--|---------------|---------|--------------------------|--|-------------------|--------|------------------|--|----------------------|---------|--------|--|--------|--------|--------|--|--------|---------|--------|--|--|
| MarketSector            |  | Value at Risk |         | % ofTotal Capitalization |  | High Value atRisk |        | LowValue at Risk |  | AverageValue atRisk* |
| Currencies:             |  |          |    |                     |  |              |   |             |  |                 |    |   |  |   |   |   |  |   |    |   |
| –OTC              |  | $             | 73,808  |                     |  |              | 2.48   | %           |  | $                    | 638,005 |   |  | $      | 36,387 |   |  | $      | 135,401 |   |
| Interest RatesU.S.      |  |          | 27,400  |                     |  |              | 0.92   | %           |  |                 | 48,950  |   |  |   | 5,750  |   |  |   | 26,953  |   |
| Interest RatesNon-U.S.  |  |          | 30,942  |                     |  |              | 1.04   | %           |  |                 | 281,619 |   |  |   | 30,942 |   |  |   | 122,723 |   |
| – Exchange Traded |  |          | 9,000   |                     |  |              | 0.30   | %           |  |                 | 18,000  |   |  |   | 5,000  |   |  |   | 10,917  |   |
| – OTC             |  |          | 28,375  |                     |  |              | 0.95   | %           |  |                 | 184,423 |   |  |   | 7,400  |   |  |   | 41,948  |   |
| Indices                 |  |          | 145,355 |                     |  |              | 4.89   | %           |  |                 | 462,541 |   |  |   | 10,795 |   |  |   | 122,509 |   |
| Total                   |  | $             | 314,880 |                     |  |              | 10.58  | %           |  |                 |    |   |  |   |   |   |  |   |    |   |
|                         |

|  |
|--|
|  |  |
|  |

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

As of December 31,2004, the Partnership's total capitalization was $4,278,361.

December 31,2004

|                        |  |               |         |                          |  |                   |        |                  |  |                      |           |        |  |        |        |        |  |        |         |        |  |  |
|------------------------|--|---------------|---------|--------------------------|--|-------------------|--------|------------------|--|----------------------|-----------|--------|--|--------|--------|--------|--|--------|---------|--------|--|--|
| MarketSector           |  | Value at Risk |         | % ofTotal Capitalization |  | High Value atRisk |        | LowValue at Risk |  | AverageValue atRisk* |
| Currencies             |  |          |    |                     |  |              |   |             |  |                 |      |   |  |   |   |   |  |   |    |   |
| –OTC             |  | $             | 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 Traded |  |          | 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 |

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.

18

----

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, 2005, 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. The General Partner anticipates little, if any, tradingin non-G-8 stock indices. The Partnership is primarily exposed to therisk of adverse price trends or static markets in the major U.S.,European and Japanese indices. (Static markets would not cause majormarket changes but would make it difficult for the Partnership to avoidbeing "whipsawed" into numerous smalllosses.)

Metals. The Partnership's primary metalmarket exposure is to fluctuations in the price of gold, aluminum andcopper.

Qualitative Disclosures Regarding Non-Trading RiskExposure

The following were the only non-trading risk exposuresof the Partnership as of December 31, 2005.

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

19

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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.

20

----

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, 2005 and 2004                                |  | F-4              |
| CondensedSchedules of Investments at December 31, 2005 and 2004                               |  | F-5– F-6   |
| Statements of Income and Expenses forthe years ended December 31, 2005, 2004 and2003          |  | F-7              |
| Statements of Changes inPartners' Capital for the years ended December 31, 2005, 2004and 2003 |  | F-8              |
| Statements of Cash Flows forthe years ended December 31, 2005, 2004 and 2003                  |  | 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.

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

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

|  | Citigroup Managed Futures LLC731Lexington Avenue25th FloorNew York, N.Y.10022212-559-2011 |
|--|-------------------------------------------------------------------------------------------|

F-2

----

Report of Independent Registered PublicAccounting Firm

To the Partners of Shearson SelectAdvisors Futures Fund L.P.:

We have audited the accompanyingstatements of financial condition of Shearson Select Advisors FuturesFund L.P. (the "Partnership"), including thecondensed schedules of investments, as of December 31, 2005 and 2004,and the related statements of income and expenses, changes inpartners' capital, and cash flows for each of the years in thethree-year period ended December 31, 2005. These financial statementsare the responsibility of the Partnership's management. Ourresponsibility is to express an opinion on these financial statementsbased on our audits.

We conducted our audits in accordance withthe standards of the Public Company Accounting Oversight Board (UnitedStates). Those standards require that we plan and perform the audit toobtain reasonable assurance about whether the financial statements arefree of material misstatement. An audit includes examining, on a testbasis, evidence supporting the amounts and disclosures in the financialstatements. An audit also includes assessing the accounting principlesused and significant estimates made by management, as well asevaluating the overall financial statement presentation. We believethat our audits provide a reasonable basis for our opinion.

Inour opinion, the financial statements referred to above present fairly,in all material respects, the financial position of Shearson SelectAdvisors Futures Fund L.P. as of December 31, 2005 and 2004, and theresults of its operations, changes in its partners' capital, andits cash flows for each of the years in the three-year period endedDecember 31, 2005, in conformity with U.S. generally acceptedaccounting principles.

|  |
|--|
|  |  |
|  |

NewYork, New York March 13, 2006

F-3

----

Shearson Select Advisors Futures FundL.P.Statements of Financial ConditionDecember 31, 2005 and2004

|                                                                                                                          |  |        |           |        |  |        |           |        |  |  |
|--------------------------------------------------------------------------------------------------------------------------|--|--------|-----------|--------|--|--------|-----------|--------|--|--|
|                                                                                                                     |  | 2005   |           | 2004   |
| Assets:                                                                                                                  |  |   |      |   |  |   |      |   |
| Equityin commodity futures trading account:                                                                              |  |   |      |   |  |   |      |   |
| Cash(restricted $345,617 and $822,751 in 2005 and 2004, respectively) (Note3c)                                           |  | $      | 2,983,755 |   |  | $      | 3,976,658 |   |
| Netunrealized appreciation on open futurespositions                                                                      |  |   | 30,519    |   |  |   | —   |   |
| Unrealizedappreciation on open forwardcontracts                                                                          |  |   | 174,331   |   |  |   | 521,071   |   |
|                                                                                                                     |  |   | 3,188,605 |   |  |   | 4,497,729 |   |
| Interestreceivable (Note3c)                                                                                              |  |   | 6,839     |   |  |   | 4,927     |   |
|                                                                                                                     |  | $      | 3,195,444 |   |  | $      | 4,502,656 |   |
| Liabilitiesand Partners'Capital:                                                                                         |  |   |      |   |  |   |      |   |
| Liabilities:                                                                                                             |  |   |      |   |  |   |      |   |
| Netunrealized depreciation on open futurespositions                                                                      |  | $      | —   |   |  | $      | 13,244    |   |
| Unrealizeddepreciation on open forwardcontracts                                                                          |  |   | 63,120    |   |  |   | 89,096    |   |
| Accruedexpenses:                                                                                                         |  |   |      |   |  |   |      |   |
| Commissions (Note3c)                                                                                                     |  |   | 15,662    |   |  |   | 22,002    |   |
| Managementfees (Note3b)                                                                                                  |  |   | 10,194    |   |  |   | 14,521    |   |
| Incentivefees (Note3b)                                                                                                   |  |   | —   |   |  |   | 7,438     |   |
| Professionalfees                                                                                                         |  |   | 35,479    |   |  |   | 4,690     |   |
| Other                                                                                                                    |  |   | 22,894    |   |  |   | 17,273    |   |
| Redemptionspayable (Note5)                                                                                               |  |   | 73,081    |   |  |   | 56,031    |   |
|                                                                                                                     |  |   | 220,430   |   |  |   | 224,295   |   |
| Partners'Capital (Notes 1 and 5):                                                                                        |  |   |      |   |  |   |      |   |
| General Partner, 34Unit equivalents outstanding in 2005 and2004                                                          |  |   | 103,532   |   |  |   | 136,075   |   |
| LimitedPartners, 943 and 1,035 Redeemable Units of Limited PartnershipInterest outstanding in 2005 and 2004,respectively |  |   | 2,871,482 |   |  |   | 4,142,286 |   |
|                                                                                                                     |  |   | 2,975,014 |   |  |   | 4,278,361 |   |
|                                                                                                                     |  | $      | 3,195,444 |   |  | $      | 4,502,656 |   |
|                                                                                                                          |

Seeaccompanying notes to financialstatements.

F-4

----

ShearsonSelect Advisors Futures Fund L.P. Condensed Schedule ofInvestments December 31,2005

|                                                  |  |           |         |                      |  |        |        |         |  |  |
|--------------------------------------------------|--|-----------|---------|----------------------|--|--------|--------|---------|--|--|
|                                             |  | FairValue |         | % ofPartners'Capital |
| FuturesContractsPurchased                        |  |      |    |                 |  |   |   |    |
| Indices                                          |  | $         | 29,535  |                 |  |   | 0.99   | %  |
| Metals                                           |  |      | 14,940  |                 |  |   | 0.50   |    |
| Totalfutures contractspurchased                  |  |      | 44,475  |                 |  |   | 1.49   |    |
| FuturesContractsSold                             |  |      |    |                 |  |   |   |    |
| InterestRates U.S.                               |  |      | (7,547  | )               |  |   | (0.25  | )  |
| InterestRatesNon-U.S.                            |  |      | (6,409  | )               |  |   | (0.22  | )  |
| Totalfutures contractssold                       |  |      | (13,956 | )               |  |   | (0.47  | )  |
| UnrealizedAppreciation on ForwardContracts       |  |      |    |                 |  |   |   |    |
| Currencies                                       |  |      | 63,996  |                 |  |   | 2.15   |    |
| Metals                                           |  |      | 110,335 |                 |  |   | 3.71   |    |
| Totalunrealized appreciation on forwardcontracts |  |      | 174,331 |                 |  |   | 5.86   |    |
| UnrealizedDepreciation on ForwardContracts       |  |      |    |                 |  |   |   |    |
| Currencies                                       |  |      | (47,026 | )               |  |   | (1.58  | )  |
| Metals                                           |  |      | (16,094 | )               |  |   | (0.54  | )  |
| Totalunrealized depreciation on forwardcontracts |  |      | (63,120 | )               |  |   | (2.12  | )  |
| TotalFair Value                                  |  | $         | 141,730 |                 |  |   | 4.76   | %  |
|                                                  |

Percentages are based onPartners' capital unless otherwiseindicated.

See accompanying notes to financialstatements.

F-5

----

Shearson Select Advisors Futures FundL.P. Condensed Schedule of Investments December 31,2004

|                                                  |  |           |         |                      |  |        |        |          |  |  |
|--------------------------------------------------|--|-----------|---------|----------------------|--|--------|--------|----------|--|--|
|                                             |  | FairValue |         | % ofPartners'Capital |
| FuturesContractsPurchased                        |  |      |    |                 |  |   |   |     |
| InterestRatesU.S.                                |  | $         | (7,781  | )               |  |   | (0.18  | )%  |
| InterestRatesNon-U.S.                            |  |      | (6,289  | )               |  |   | (0.15  | )   |
| Indices                                          |  |      | 20,786  |                 |  |   | 0.49   |     |
| Totalfutures contractspurchased                  |  |      | 6,716   |                 |  |   | 0.16   |     |
| FuturesContractsSold                             |  |      |    |                 |  |   |   |     |
| InterestRatesU.S.                                |  |      | (7,000  | )               |  |   | (0.17  | )   |
| Metals                                           |  |      | (12,960 | )               |  |   | (0.30  | )   |
| Totalfutures contractssold                       |  |      | (19,960 | )               |  |   | (0.47  | )   |
| UnrealizedAppreciation on ForwardContracts       |  |      |    |                 |  |   |   |     |
| Currencies                                       |  |      | 448,521 |                 |  |   | 10.48  |     |
| Metals                                           |  |      | 72,550  |                 |  |   | 1.70   |     |
| Totalunrealized appreciation on forwardcontracts |  |      | 521,071 |                 |  |   | 12.18  |     |
| UnrealizedDepreciation on ForwardContracts       |  |      |    |                 |  |   |   |     |
| Currencies                                       |  |      | (66,496 | )               |  |   | (1.55  | )   |
| Metals                                           |  |      | (22,600 | )               |  |   | (0.53  | )   |
| Totalunrealized depreciation on forwardcontracts |  |      | (89,096 | )               |  |   | (2.08  | )   |
| TotalFair Value                                  |  | $         | 418,731 |                 |  |   | 9.79   | %   |
|                                                  |

Percentages are based onPartners' capital unless otherwiseindicated.

See accompanying notes to financialstatements.

F-6

----

Shearson Select Advisors Futures FundL.P.Statements of Income and Expensesfor the yearsendedDecember 31, 2005, 2004 and2003

|                                                                                                                                                                        |  |        |            |         |  |        |         |        |  |        |           |         |  |  |
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--|--------|------------|---------|--|--------|---------|--------|--|--------|-----------|---------|--|--|
|                                                                                                                                                                   |  | 2005   |            | 2004    |  | 2003   |
| Income:                                                                                                                                                                |  |   |       |    |  |   |    |   |  |   |      |    |
| Netgains (losses) on trading of commodityinterests:                                                                                                                    |  |   |       |    |  |   |    |   |  |   |      |    |
| Realized gains (losses) on closedpositions                                                                                                                             |  | $      | (393,809   | )  |  | $      | 313,029 |   |  | $      | 1,276,203 |    |
| Changein unrealized gains (losses) on openpositions                                                                                                                    |  |   | (277,001   | )  |  |   | 121,439 |   |  |   | (73,134   | )  |
| Netrealized and unrealized gains(losses)                                                                                                                               |  |   | (670,810   | )  |  |   | 434,468 |   |  |   | 1,203,069 |    |
| Interestincome (Note3c)                                                                                                                                                |  |   | 72,316     |    |  |   | 35,338  |   |  |   | 31,236    |    |
|                                                                                                                                                                   |  |   | (598,494   | )  |  |   | 469,806 |   |  |   | 1,234,305 |    |
|                                                                                                                                                                   |  |   |       |    |  |   |    |   |  |   |      |    |
| Expenses:                                                                                                                                                              |  |   |       |    |  |   |    |   |  |   |      |    |
| Brokeragecommissions including clearing fees of $3,140 and $2,766 and $4,158,respectively (Note3c)                                                                     |  |   | 207,962    |    |  |   | 243,995 |   |  |   | 283,408   |    |
| Managementfees (Note3b)                                                                                                                                                |  |   | 132,598    |    |  |   | 153,760 |   |  |   | 181,419   |    |
| Incentivefees (Notes 3a and3b)                                                                                                                                         |  |   | —    |    |  |   | 7,438   |   |  |   | 66,775    |    |
| Professionalfees                                                                                                                                                       |  |   | 59,006     |    |  |   | 18,682  |   |  |   | 3,327     |    |
| Otherexpenses                                                                                                                                                          |  |   | 26,926     |    |  |   | 15,363  |   |  |   | 6,071     |    |
|                                                                                                                                                                   |  |   | 426,492    |    |  |   | 439,238 |   |  |   | 541,000   |    |
| Netincome(loss)                                                                                                                                                        |  | $      | (1,024,986 | )  |  | $      | 30,568  |   |  | $      | 693,305   |    |
|                                                                                                                                                                   |  |   |       |    |  |   |    |   |  |   |      |    |
| Netincome (loss) per Redeemable Unit of Limited     Partnership Interestand General Partner Unit     equivalent (Notes 1 and6) |  | $      | (957.16    | )  |  | $      | 67.68   |   |  | $      | 579.64    |    |
|                                                                                                                                                                        |

Seeaccompanying notes to financial statements.

F-7

----

Shearson Select Advisors Futures FundL.P.Statements of Changes in Partners' Capital for theyears ended December 31, 2005, 2004 and2003

|                                                                 |  |                 |           |                |  |        |         |         |  |        |            |         |  |  |
|-----------------------------------------------------------------|--|-----------------|-----------|----------------|--|--------|---------|---------|--|--------|------------|---------|--|--|
|                                                            |  | LimitedPartners |           | GeneralPartner |  | Total  |
| Partners' capital atDecember  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  |    |
| Netloss                                                         |  |            | (992,443  | )         |  |   | (32,543 | )  |  |   | (1,024,986 | )  |
| Redemptionof 92 Redeemable Units of Limited PartnershipInterest |  |            | (278,361  | )         |  |   | — |    |  |   | (278,361   | )  |
| Partners'capital at December 31,2005                            |  | $               | 2,871,482 |           |  | $      | 103,532 |    |  | $      | 2,975,014  |    |
|                                                                 |

Netasset value per RedeemableUnit:

|       |  |   |          |        |  |  |
|-------|--|---|----------|--------|--|--|
| 2003: |  | $ | 3,934.53 |   |
| 2004: |  | $ | 4,002.21 |   |
| 2005: |  | $ | 3,045.05 |   |
|       |

Seeaccompanying notes to financial statements.

F-8

----

Shearson Select Advisors Futures FundL.P.Statements of Cash Flowsfor the years ended December 31,2005, 2004 and 2003

|                                                                                                  |  |        |            |         |  |        |           |         |  |        |           |         |  |  |
|--------------------------------------------------------------------------------------------------|--|--------|------------|---------|--|--------|-----------|---------|--|--------|-----------|---------|--|--|
|                                                                                             |  | 2005   |            | 2004    |  | 2003   |
| Cash flows from operatingactivities:                                                             |  |   |       |    |  |   |      |    |  |   |      |    |
| Net income(loss)                                                                                 |  | $      | (1,024,986 | )  |  | $      | 30,568    |    |  | $      | 693,305   |    |
| Adjustmentsto reconcile net income (loss) to net cash provided by (used in)operating activities: |  |   |       |    |  |   |      |    |  |   |      |    |
| Changes inoperating assets and liabilities:                                                      |  |   |       |    |  |   |      |    |  |   |      |    |
| (Increase)decrease in restrictedcash                                                             |  |   | 477,134    |    |  |   | (286,600  | )  |  |   | (27,682   | )  |
| (Increase)decrease in net unrealized appreciation/depreciation on open futurespositions          |  |   | (30,519    | )  |  |   | 603       |    |  |   | 222,820   |    |
| (Increase)decrease in unrealized appreciation on open forwardcontracts                           |  |   | 346,740    |    |  |   | (206,381  | )  |  |   | (42,314   | )  |
| (Increase)decrease in interestreceivable                                                         |  |   | (1,912     | )  |  |   | (2,835    | )  |  |   | 722       |    |
| Increase(decrease) in net unrealized depreciation on open futurespositions                       |  |   | (13,244    | )  |  |   | 13,244    |    |  |   | —   |    |
| Increase(decrease) in unrealized depreciation on open forwardcontracts                           |  |   | (25,976    | )  |  |   | 71,095    |    |  |   | (107,372  | )  |
| Accruedexpenses:                                                                                 |  |   |       |    |  |   |      |    |  |   |      |    |
| Increase (decrease) incommissions                                                                |  |   | (6,340     | )  |  |   | (779      | )  |  |   | 1,881     |    |
| Increase(decrease) in managementfees                                                             |  |   | (4,327     | )  |  |   | (533      | )  |  |   | 1,298     |    |
| Increase(decrease) in incentivefees                                                              |  |   | (7,438     | )  |  |   | 7,438     |    |  |   | —   |    |
| Increase(decrease) in professionalfees                                                           |  |   | 30,789     |    |  |   | (8,508    | )  |  |   | (15,098   | )  |
| Increase(decrease) inother                                                                       |  |   | 5,621      |    |  |   | 13,229    |    |  |   | 112       |    |
| Netcash provided by (used in) operatingactivities                                                |  |   | (254,458   | )  |  |   | (369,459  | )  |  |   | 727,672   |    |
| Cashflows from financing activities:                                                             |  |   |       |    |  |   |      |    |  |   |      |    |
| Payments forredemptions — LimitedPartners                                                  |  |   | (261,311   | )  |  |   | (197,278  | )  |  |   | (305,294  | )  |
| Netchange incash                                                                                 |  |   | (515,769   | )  |  |   | (566,737  | )  |  |   | 422,378   |    |
| Unrestrictedcash, at beginning ofperiod                                                          |  |   | 3,153,907  |    |  |   | 3,720,644 |    |  |   | 3,298,266 |    |
| Unrestrictedcash, at end ofperiod                                                                |  | $      | 2,638,138  |    |  | $      | 3,153,907 |    |  | $      | 3,720,644 |    |
|                                                                                                  |

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, acts as the general partner (the"General Partner") of the Partnership. ThePartnership's commodity broker is Citigroup Global Markets Inc.("CGM"). CGM is an affiliate of the GeneralPartner. The General Partner is wholly owned by Citigroup GlobalMarkets Holdings Inc. ("CGMHI"), which is thesole owner of CGM. CGMHI is a wholly owned subsidiary of CitigroupInc.

The General Partner and each limited partner share in theprofits and losses of the Partnership in proportion to the amount ofPartnership interest owned by each except that no limited partner shallbe liable for obligations of the Partnership in excess of their initialcapital contribution and profits, if any, net of distributions.

The Partnership will be liquidated upon the first to occur of thefollowing: December 31, 2007; a decline in Net Asset Value perRedeemable Unit on any business day after trading to less than $350 perRedeemable Unit; a decline in net assets after trading commences toless than $1,000,000; or under certain other circumstances as definedin the Limited Partnership Agreement.

2.    AccountingPolicies:

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |
|----------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| a.  | All commodity interests(including derivative financial instruments and derivative commodityinstruments) are used for trading purposes. The commodity interests arerecorded on trade date and open contracts are recorded in thestatements of financial condition at fair value on the last businessday of the year, which represents market value for those commodityinterests for which market quotations are readily available.Investments in commodity interests denominated in foreign currenciesare translated into U.S. dollars at the exchange rates prevailing onthe last business day of the year. Realized gains (losses) and changesin unrealized gains (losses) on open positions are recognized in theperiod in which the contract is closed or the changes occur and areincluded 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  31,2005 and 2004, the General Partner earned incentive fees of $0 and$2,479, 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, 2005and 2004, the amount of cash held for margin requirements was $345,617and $822,751, 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, 2005 and 2004, based on a monthlycalculation, was $175,762 and $205,249, 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, 2005, 2004 and2003 are asfollows:

|                                                      |  |        |          |         |  |        |          |         |  |        |          |         |  |  |
|------------------------------------------------------|--|--------|----------|---------|--|--------|----------|---------|--|--------|----------|---------|--|--|
|                                                 |  | 2005   |          | 2004    |  | 2003   |
| Netrealized and unrealized gains(losses)*            |  | $      | (815.38  | )  |  | $      | 211.47   |    |  | $      | 770.90   |    |
| Interestincome                                       |  |   | 69.89    |    |  |   | 31.89    |    |  |   | 26.56    |    |
| Expenses**                                           |  |   | (211.67  | )  |  |   | (175.68  | )  |  |   | (217.82  | )  |
| Increase(decrease) for theyear                       |  |   | (957.16  | )  |  |   | 67.68    |    |  |   | 579.64   |    |
| Netasset value per Redeemable Unit, beginning ofyear |  |   | 4,002.21 |    |  |   | 3,934.53 |    |  |   | 3,354.89 |    |
| Netasset value per Redeemable Unit, end ofyear       |  | $      | 3,045.05 |    |  | $      | 4,002.21 |    |  | $      | 3,934.53 |    |
|                                                      |

|  |
|--|
|  |  |
|  |

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

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

|                                            |  |        |         |          |  |        |        |          |  |        |        |          |  |  |
|--------------------------------------------|--|--------|---------|----------|--|--------|--------|----------|--|--------|--------|----------|--|--|
|                                       |  | 2005   |         | 2004     |  | 2003   |
| Ratiosto Average NetAssets:                |  |   |    |     |  |   |   |     |  |   |   |     |
| Netinvestment loss before incentivefees*** |  |   | (10.5   | )%  |  |   | (10.3  | )%  |  |   | (10.0  | )%  |
| Operatingexpenses                          |  |   | 12.7    | %   |  |   | 11.2   | %   |  |   | 10.7   | %   |
| Incentivefees                              |  |   | — | %   |  |   | 0.2    | %   |  |   | 1.5    | %   |
| Totalexpenses                              |  |   | 12.7    | %   |  |   | 11.4   | %   |  |   | 12.2   | %   |
|                                       |  |   |    |     |  |   |   |     |  |   |   |     |
| Totalreturn:                               |  |   |    |     |  |   |   |     |  |   |   |     |
| Totalreturn before incentivefees           |  |   | (23.9   | )%  |  |   | 1.9    | %   |  |   | 19.0   | %   |
| Incentivefees                              |  |   | — | %   |  |   | (0.2   | )%  |  |   | (1.7   | )%  |
| Totalreturn after incentivefees            |  |   | (23.9   | )%  |  |   | 1.7    | %   |  |   | 17.3   | %   |
|                                            |

|  |
|--|
|  |  |
|  |

|     |                                                                  |
|-----|------------------------------------------------------------------|
| *** | 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 

F-12

----

ShearsonSelect AdvisorsFutures Fund L.P.Notes to FinancialStatements

and include forwards and certain options.Each of these instruments is subject to various risks similar to thoserelated 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 a 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.

The majority of these instruments mature within one year of December31, 2005. However, due to the nature of the Partnership'sbusiness, these instruments may not be held tomaturity.

F-13

----

Selectedunaudited quarterly financial data for the Partnership for the yearsended December 31, 2005 and December 31, 2004 is summarizedbelow:

|                                                                                                                         |  |                                                        |         |                                                       |  |                                                   |          |                                                      |  |   |         |        |  |   |          |         |  |  |
|-------------------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|---------|-------------------------------------------------------|--|---------------------------------------------------|----------|------------------------------------------------------|--|---|---------|--------|--|---|----------|---------|--|--|
|                                                                                                                    |  | Forthe period from October 1, 2005 to December 31,2005 |         | For the period from July 1, 2005 to September30, 2005 |  | For the period from April 1, 2005 to June30, 2005 |          | For the period from January 1, 2005 to March31, 2005 |
| Net realized andunrealized trading gains (losses) net of brokerage commissions andclearing feesincluding interestincome |  | $                                                      | 273,820 |                                                  |  | $                                                 | (704,797 | )                                               |  | $ | 564,387 |   |  | $ | (939,866 | )  |
| Netincome(loss)                                                                                                         |  | $                                                      | 204,595 |                                                  |  | $                                                 | (763,948 | )                                               |  | $ | 520,722 |   |  | $ | (986,355 | )  |
| Increase(decrease) in Net AssetValue perUnit                                                                            |  | $                                                      | 204.39  |                                                  |  | $                                                 | (738.11  | )                                               |  | $ | 499.25  |   |  | $ | (922.69  | )  |
|                                                                                                                         |

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

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 over financial reporting or inother factors that could significantly affect such controls subsequentto the date of their evaluation as of year end.

PART III

Item 10.    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, 2005, CGM earned $207,962 in brokeragecommissions and clearing fees. Management fees and incentive fees of$132,598 and $0, respectively were earned by the Advisor for the yearended December 31, 2005. 

Item 12.    Security Ownershipof Certain Beneficial Owners and Management.

(a)    Security ownership of certain beneficial owners. ThePartnership knows of no person who beneficially owns more than5% of the Redeemable Units outstanding.

(b)    Securityownership of management. Under the terms of the Limited PartnershipAgreement, the Partnership's affairs are managed by the GeneralPartner. The General Partner owns Units of general partnership interestequivalent to 34 Unit equivalents (3.5%) as of December 31,2005.

(c)    Changes in control. None.

Item13.    Certain Relationships and Related Transactions.

Citigroup Global Markets Inc. and Citigroup Managed Futures LLCwould be considered promoters for purposes of Item 404 (d) ofRegulation S-K. The nature and the amounts of compensation eachpromoter will receive from the Partnership are set forth under"Item 1. Business".,"Item 11. Executive Compensation."and "Item 8. Financial Statements and SupplementaryData."

21

----

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:

2005            $22,826        

2004            $9,390

(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:

2005            $7,606

2004            $5,136

(d)    All Other Fees. None.

(e)    NotApplicable.

(f)    Not Applicable.

22

----

PART IV

Item15.    Exhibits and Financial Statement Schedules.

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

|        |                                                                 |
|--------|-----------------------------------------------------------------|
|   | Statements of Financial Condition atDecember 31, 2005 and 2004. |

|        |                                                                  |
|--------|------------------------------------------------------------------|
|   | CondensedSchedules of Investments at December 31, 2005 and 2004. |

|        |                                                                                        |
|--------|----------------------------------------------------------------------------------------|
|   | Statements of Income and Expenses for theyears ended December 31, 2005, 2004 and 2003. |

|        |                                                                                                |
|--------|------------------------------------------------------------------------------------------------|
|   | Statements of Changes in Partners'Capital for the years ended December 31, 2005, 2004 and2003. |

|        |                                                                               |
|--------|-------------------------------------------------------------------------------|
|   | Statements of Cash Flows for theyears ended December 31, 2005, 2004 and 2003. |

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

23

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

24

----

|        |                                                                                                                                                                                      |
|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 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 (previouslyfiled). |

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

|        |                                                                         |
|--------|-------------------------------------------------------------------------|
|   | 16.10 – Letterfrom 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) |

25

----

    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.

26

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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 the29th day of March 2006.

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/ Ihor Rakowsky                      |
| Maureen O'Toole             |  | Ihor Rakowsky                          |
| Director                    |  | Secretary and Director                 |
| /s/ Daniel R. McAuliffe,Jr. |  | /s/ Jennifer Magro                     |
| DanielR. McAuliffe, Jr.     |  | Jeniffer Magro                         |
| ChiefFinancial Officerand   |  | Director                               |
| Director                    |  |                                   |
|                        |  | /s/Jerry PascucciJerryPascucciDirector |
|                             |

27

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