UNITED STATES

                       SECURITIES AND EXCHANGE COMMISSION

                             WASHINGTON, D.C. 20549

                                    FORM 10-K

                  Annual Report Pursuant to Section 13 or 15(d)

                     of the Securities Exchange Act of 1934

                   For the fiscal year ended December 31, 1999

Commission File Number 0-16627

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

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

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

                              (212) 723-5424
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(Registrant's telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:  None
Securities registered pursuant to Section 12(g) of the Act:  Units
                                                             of Limited
                                                             Partnership
                                                             Interest
                                                             (Title of Class)

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


                                    Yes X No

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

As of  February  29,  2000  Limited Partnership Units  with an  aggregate  value
of  $3,465,678  were  outstanding  and  held by non-affiliates.


                       DOCUMENTS INCORPORATED BY REFERENCE
                                      NONE


<PAGE>




                                     PART 1
Item 1. Business.

         (a) General  development of business.  Shearson Select Advisors Futures
Fund L.P. (the "Partnership") is a limited partnership organized on February 10,
1987  under the  Partnership  Laws of the  State of  Delaware.  The  Partnership
engages  in  speculative  trading  of  commodity  interests,  including  forward
contracts  on  foreign  currencies,  commodity  options  and  commodity  futures
contracts  including  futures  contracts on United States Treasuries and certain
other financial instruments and foreign currencies. The commodity interests that
are traded by the  Partnership  are volatile and involve a high degree of market
risk. The  Partnership  commenced  trading on July 1, 1987.  Redemptions for the
years ended  December 31, 1999,  1998 and 1997, are reported in the Statement of
Partners'  Capital  on  page  F-6  under  "Item  8.  Financial   Statements  and
Supplementary Data."
         Smith Barney Futures  Management  LLC acts as the general  partner (the
"General  Partner") of the Partnership.  The General Partner changed its form of
organization  from a corporation  to a limited  liability  company on October 1,
1999. The  Partnership's  commodity broker is Salomon Smith Barney Inc. ("SSB").
SSB is an affiliate of the General Partner.  The General Partner is wholly owned
by Salomon Smith Barney Holdings Inc. ("SSBHI"), which is the sole owner of SSB.
SSBHI is a wholly owned subsidiary of Citigroup Inc.
         The  Partnership's  trading of futures contracts on commodities is done
primarily on United States commodities exchanges and may, to a lesser extent, be
                                   2
<PAGE>

done on some foreign commodity  exchanges.  It engages in such trading through a
commodity brokerage account maintained with SSB.
         Under  the  Limited  Partnership  Agreement  of  the  Partnership  (the
"Limited  Partnership  Agreement"),  the General Partner has sole responsibility
for the  administration of the business and affairs of the Partnership,  but may
delegate trading discretion to one or more trading advisors.
         The  Partnership  is  obligated  to pay the  General  Partner a monthly
management  fee of 1/3 of 1% (4% per year) of the  month  end Net  Assets of the
Partnership,  as defined,  managed by each advisor and an incentive  fee payable
quarterly equal to 15% of New Trading Profits of the Partnership.
         The General  Partner  has  entered  into a  management  agreement  (the
"Management Agreement") with John W. Henry & Company, Inc. ("the Advisor").  The
Advisor is not affiliated with the General Partner or SSB.  Reference  should be
made to "Item 8.  Financial  Statements  and  Supplementary  Data." for  further
information  regarding  the  Advisor  included  in the  notes  to the  financial
statements.
                                   3
<PAGE>


         The  Management  Agreement  requires  the  General  Partner  to pay the
Advisor  a  monthly  management  fee  of  1/3 of 1% of  the  Net  Assets  of the
Partnership  (of 4% per year)  managed by the Advisor and an incentive fee equal
to 10% of the New  Trading  Profits  (as  defined in the  Management  Agreement)
earned on the Net  Assets  managed  by the  Advisor  during  each  quarter.  The
incentive fee paid to the Advisor will be paid out of the General  Partner's own
funds to the extent  that the  incentive  fee owed to the  Advisor  exceeds  the
incentive  fee  paid  by the  Partnership  to the  General  Partner.  Thus,  the
Partnership  will pay an incentive fee based on aggregate  profits earned by the
Advisor.
         Pursuant to the terms of the customer  agreement  entered into with SSB
(the  "Customer  Agreement"),  the  Partnership  is  obligated  to pay a monthly
commodity  brokerage fee.  Effective January 1, 1997, the Partnership pays SSB a
monthly brokerage fee equal to .5% of month end net assets (6% per year) in lieu
of brokerage commissions on a per trade basis. From July 1, 1995 through January
1, 1997,  the  Partnership  paid Smith Barney a monthly  brokerage  fee equal to
 .667% of month end net assets (8% per year). The Partnership previously paid SSB
a monthly  brokerage  fee equal to .833% of month end net assets  (10% per year)
prior to July 1, 1995. The  Partnership  will pay for clearing fees, but not for
floor brokerage which will be borne by SSB. The Customer  Agreement  between the
Partnership  and SSB gives the  Partnership  the legal  right to net  unrealized
gains and losses.  Reference should be made to "Item 8. Financial Statements and
                                   4
<PAGE>

Supplementary Data." for further information regarding the brokerage commissions
included in the notes to the financial statements.
         In  addition,  SSB  will  pay the  Partnership  interest  on 70% of the
average daily equity maintained in cash in its accounts during each month at the
rate of the average  non-competitive yield of the 13-week U.S. Treasury Bills as
determined  at the  weekly  auctions  thereof  during the  month.  The  Customer
Agreement may be terminated upon notice by either party.
         (b) Financial  information about industry  segments.  The Partnership's
business  consists  of  only  one  segment,  speculative  trading  of  commodity
interests, including forward contracts on foreign currencies,  commodity options
and commodity futures contracts  (including futures contracts on U.S. Treasuries
and other financial  instruments,  foreign  currencies and stock  indices).  The
Partnership does not engage in sales of goods or services. The Partnership's net
income (loss) from operations for the years ended December 31, 1999, 1998, 1997,
1996,  and  1995  are  set  forth  under  "Item  6.  Selected  Financial  Data."
Partnership capital as of December 31, 1999 was $3,856,395.
         (c)  Narrative  description  of business.
          See  Paragraphs  (a) and (b)  above.
         (i)  through (x) - Not  applicable.
         (xi)  through  (xii) - Not applicable.
         (xiii) - The Partnership has no employees.
         (d) Financial  Information About Geographic Areas. The Partnership does
       not engage in sales of goods or  services  or own any long lived  assets,
       and therefore this item is not applicable.
                                   5
<PAGE>

Item 2. Properties.
               The Partnership does not own or lease any properties. The General
Partner operates out of facilities provided by its affiliate, SSB.
Item 3. Legal Proceedings.
                  There have been no material administrative,  civil or criminal
actions  within  the  past  five  years  against  SSB or  any of its  individual
principals and no such actions are currently pending, except as follows.
         In  September  1992,  Harris  Trust and  Savings  Bank (as  trustee for
Ameritech  Pension Trust),  Ameritech  Corporation,  and an officer of Ameritech
sued  Salomon  Brothers  Inc  ("SBI") and Salomon  Brothers  Realty  Corporation
("SBRC")  in the U.S.  District  Court for the  Northern  District  of  Illinois
(Harris  Trust  Savings  Bank,  not  individually  but solely as trustee for the
Ameritech Pension Trust,  Ameritech Corporation and John A. Edwardson v. Salomon
Brothers Inc and Salomon  Brothers  Realty  Corp.).  The complaint  alleged that
purchases by Ameritech  Pension Trust from the Salomon entities of approximately
$20.9  million in  participations  in a portfolio  of motels  owned by Motels of
America,  Inc.  and Best Inns,  Inc.  violated the  Employee  Retirement  Income
Security Act ("ERISA"),  the Racketeer  Influenced and Corrupt  Organization Act
("RICO") and state law. SBI had acquired the participations  issued by Motels of
America and Best Inns to finance  purchases of motel  portfolios and sold 95% of
three  such  issues  and 100% of one  such  issue to  Ameritech  Pension  Trust.
                                   6
<PAGE>

Ameritech Pension Trust's  complaint sought (1)  approximately  $20.9 million on
the ERISA  claim,  and (2) in excess  of $70  million  on the RICO and state law
claims as well as other relief.  In various  decisions  between  August 1993 and
July 1999, the courts hearing the case have dismissed all of the  allegations in
the complaint against the Salomon entities.  In October 1999, Ameritech appealed
to the U.S.  Supreme Court and in January 2000, the Supreme Court agreed to hear
the case and oral  argument  will be heard on April 17,  2000.  The appeal seeks
review of the decision of the U.S. Court of Appeals for the Seventh Circuit that
dismissed the sole remaining ERISA claim against the Salomon entities.
         Both the Department of Labor and the Internal  Revenue  Service ("IRS")
have  advised  SBI that they were or are  reviewing  the  transactions  in which
Ameritech  Pension Trust acquired such  participations.  With respect to the IRS
review,  SSBHI,  SBI and  SBRC  have  consented  to  extensions  of time for the
assessment  of excise  taxes that may be  claimed to be due with  respect to the
transactions  for the years 1987,  1988 and 1989. As of the date of this report,
the IRS has not issued such 30-day letters to SSBHI, SBI or SBRC.
         In December 1996, a complaint seeking unspecified  monetary damages was
filed by Orange County, California against numerous  brokerage firms,  including
SSB, in the U.S. Bankruptcy  Court for  the  Central  District  of   California.
(County of Orange et al. v. Bear Stearns & Co.Inc.et al.) The complaint alleged,
among other  things, that the brokerage firms recommended  and  sold  unsuitable
securities to Orange County. SSB and the remaining  brokerage firms settled with
Orange County in mid 1999.
                                   7
<PAGE>

        In  June  1998,  complaints  were  filed  in  the U.S.  District  Court
for the Eastern District of Louisiana in two actions (Board of Liquidations,City
Debt of the City of New Orleans v. Smith  Barney   Inc. et ano.   and  The  City
of New  Orleans v. Smith  Barney  Inc.  et ano.),  in  which  the  City  of  New
Orleans  seeks  a   determination   that   Smith   Barney   Inc.   and   another
underwriter  will be responsible for any damages that  the  City  may  incur  in
the event the IRS denies tax exempt  status  to  the  City's  General Obligation
Refunding Bonds Series 1991. The  complaint  were  subsequently   amended.  SSB
has asked the court to dismiss the  amended   complaints.   In  May  1999,   the
Court denied SSB's motion to dismiss, but  stayed  the  litigation  because  the
matter was not ripe. In March 2000, the city filed a  notice  of  discontinuance
dismissing the complaint.
         In November  1998,  a class  action  complaint  was filed in the United
States  District Court for the Middle District of Florida (Dwight Brock as Clerk
for Collier  County v. Merrill  Lynch,  et al.).  The  complaint  alleged  that,
pursuant to a nationwide conspiracy, 17 broker-dealer defendants, including SSB,
charged excessive mark-ups in connection with advanced  refunding  transactions.
Among  other  relief,  plaintiffs  sought  compensatory  and  punitive  damages,
restitution  and/or  rescission of the  transactions and disgorgement of alleged
excessive  profits.  In  October  1999,  the  plaintiff  filed a second  amended
complaint. SSB has asked the court to dismiss the amended complaint.
         In connection with the Louisiana and Florida  matters,  the IRS and SEC
have been conducting an industry-wide investigation into the pricing of Treasury
securities in advanced refunding transactions.
                                   8
<PAGE>

         In December 1998, SSB was one of twenty-eight  market making firms that
reached a settlement  with the SEC in the matter titled In the Matter of Certain
Market Making  Activities on NASDAQ.  As part of the  settlement of that matter,
SSB, without  admitting or denying the factual  allegations,  agreed to an order
that  required  that it: (i) cease and desist  from  committing  or causing  any
violations of Sections  15(c)(1) and (2) of the Securities  Exchange Act of 1934
and Rules  15c1-2,  15c2-7 and 17a-3  thereunder,  (ii) pay  penalties  totaling
approximately  $760,000,  and (iii) submit certain policies and procedures to an
independent consultant for review.
         In March 1999, a complaint  seeking in excess of $250 million was filed
by a hedge fund and its investment  advisor  against SSB in the Supreme Court of
the  State of New  York,  County of New York  (MKP  Master  Fund,  LDC et al. v.
Salomon  Smith Barney Inc.).  The complaint  included  allegations  that,  while
acting as prime  broker for the hedge fund,  SSB  breached  its  contracts  with
plaintiffs,  misused their monies, and engaged in tortious  (wrongful)  conduct,
including  breaching  its fiduciary  duties.  SSB asked the court to dismiss the
complaint  in full.  In  October  1999,  the court  dismissed  the tort  claims,
including the breach of fiduciary  duty claims.  The court allowed the breach of
contract and misuse of money  claims to stand.  In December  1999,  SSB filed an
answer and asserted counterclaims against the investment advisor. In response to
plaintiff's motion to strike the counterclaims, in January 2000, SSB amended its
counterclaims  against  the  investment  advisor  to  seek  indemnification  and
contribution. Plaintiffs moved to strike SSB's amended counterclaims in February
2000. SSB will continue to contest this lawsuit vigorously.
                                   9
<PAGE>

         In the  course of its  business,  SSB,  as a major  futures  commission
merchant and  broker-dealer is a party to various claims and routine  regulatory
investigations  and proceedings  that the general partner believes do not have a
material  effect on the business of SSB. Item 4. Submission of Matters to a Vote
of Security Holders.
       There were no matters submitted to the security holders for a vote during
the last fiscal year covered by this report.
                                                       PART II
Item 5.  Market for Registrant's Common Equity and Related Security
         Holder Matters.
     (a) Market  Information.  The Partnership has issued no stock.  There is no
         established public trading market for the Units  of Limited Partnership
         Interest.
     (b) Holders.  The number  of holders  of Units of  Partnership Interest  as
         of December 31, 1999 was 454.
     (c) Distribution.  The Partnership  did not declare a distribution  in 1999
         or 1998.
     (d) Use of Proceeds. There  were  no  additional  sales  in the years ended
         December 31, 1999, 1998 and 1997.

                                   10
<PAGE>


Item 6. Selected Financial Data.
Net realized and unrealized trading gains (losses),  interest income, net income
(loss) and increase  (decrease)  in net asset value per Unit for the years ended
December 31, 1999,  1998,  1997, 1996, and 1995 and total assets at December 31,
1999, 1998, 1997, 1996, and 1995 were as follows:

<TABLE>
<CAPTION>
<S>                                     <C>             <C>           <C>           <C>           <C>
                                        1999           1998          1997          1996          1995
                                 -----------    -----------   -----------   -----------   -----------
Net realized and unrealized
trading gains (losses) net
of brokerage  commissions
and clearing fees of $300,092,
$331,645, $373,144, $493,435
and $618,168, respectively       $  (991,124)   $   300,001   $   895,110   $ 1,411,077   $ 1,706,320

Interest income                      157,603        180,533       213,272       202,098       256,528
                                 -----------    -----------   -----------   -----------   -----------

                                 $  (833,521)   $   480,534   $ 1,108,382   $ 1,613,175   $ 1,962,848
                                 ===========    ===========   ===========   ===========   ===========



Net income (loss)                $(1,076,852)   $   158,830   $   723,608   $ 1,141,619   $ 1,610,495
                                 ===========    ===========   ===========   ===========   ===========

Increase (decrease) in net
 asset value per unit            $   (590.19)   $    110.78   $    311.28   $    423.08   $    416.20
                                 ===========    ===========   ===========   ===========   ===========

Total assets                     $ 4,020,521    $ 5,755,721   $ 6,503,549   $ 6,709,794   $ 6,537,230
                                 ===========    ===========   ===========   ===========   ===========

</TABLE>


                                   11
<PAGE>


Item 7.  Management's   Discussion   and  Analysis of Financial  Condition   and
Results of Operations.
         (a)  Liquidity.  The  Partnership  does not engage in sales of goods or
services.  Its only  assets  are its  equity in its  commodity  futures  trading
account,  consisting of cash, net unrealized appreciation (depreciation) on open
futures  contracts and interest  receivable.  Because of the low margin deposits
normally required in commodity futures trading, relatively small price movements
may result in substantial  losses to the Partnership.  Such  substantial  losses
could lead to a material  decrease  in  liquidity.  To minimize  this risk,  the
Partnership follows certain policies including:
             (1)  Partnership  funds are invested  only in  commodity  contracts
which are traded in sufficient volume to permit, in the opinion of the Advisors,
ease of taking and liquidating positions.
             (2) No Advisor initiates  additional positions in any commodity for
the Partnership if such additional positions would result in aggregate positions
for all commodities requiring a margin of more than 66-2/3% of net assets of the
Partnership managed by the Advisor.
             (3)  The  Partnership  may   occasionally   accept  delivery  of  a
commodity.  Unless such  delivery is  disposed  of promptly by  retendering  the
warehouse receipt  representing the delivery to the appropriate  clearing house,
the physical commodity position is fully hedged.

                                   12
<PAGE>


             (4) The Partnership does not employ the trading technique  commonly
known as  "pyramiding,"  in which the  speculator  uses  unrealized  profits  on
existing positions as margin for the purchase or sale of additional positions in
the same or related commodities.
             (5) The Partnership does not utilize  borrowings  except short-term
borrowings if the Partnership takes delivery of any cash commodities.
             (6) The Advisor may, from time to time,  employ trading  strategies
such as spreads or straddles on behalf of the Partnership.  The term "spread" or
"straddle"   describes  a  commodity  futures  trading  strategy  involving  the
simultaneous  buying and selling of futures  contracts on the same commodity but
involving different delivery dates or markets and in which the trader expects to
earn a profit from a widening or narrowing of the difference  between the prices
of the contracts.
             The Partnership is party to financial  instruments with off-balance
sheet risk, including derivative financial  instruments and derivative commodity
instruments,  in the normal course of its business.  These financial instruments
may  include  forwards,  futures  and  options,  whose  value is  based  upon an
underlying  asset,  index,  or reference  rate, and generally  represent  future
commitments to exchange  currencies or cash flows,  or to purchase or sell other
financial  instruments  at specified  terms at specified  future dates.  Each of
these  instruments  is subject to various risks similar to those relating to the
underlying financial  instruments  including market and credit risk. The General
Partner monitors and controls the  Partnership's  risk exposure on a daily basis
                                   13
<PAGE>

through financial, credit and risk management monitoring systems and accordingly
believes that it has effective procedures for evaluating and limiting the credit
and  market  risks to which  the  Partnership  is  subject.  (See  also  Item 8.
"Financial  Statements  and  Supplementary  Data." for  further  information  on
financial instrument risk included in the notes to financial statements.)
          Other  than the risks  inherent  in  commodity  futures  trading,  the
Partnership knows of no trends,  demands,  commitments,  events or uncertainties
which  will  result  in  or  which  are  reasonably  likely  to  result  in  the
Partnership's  liquidity  increasing  or  decreasing  in any  material  way. The
Limited  Partnership  Agreement provides that the Partnership will cease trading
operations  and  liquidate  all  open  positions  under  certain   circumstances
including  a  decrease  in net asset  value per Unit to less than $350 as of the
close of  business on any  business  day or a decline in net assets to less than
$1,000,000.
         (b)  Capital  resources.  (i) The  Partnership  has  made  no  material
commitments for capital expenditures.
             (ii)   The   Partnership's   capital   consists   of  the   capital
contributions  of the  partners as  increased or decreased by gains or losses on
commodity futures trading and by expenses, interest income, redemptions of Units
and  distributions  of profits,  if any.  Gains or losses on  commodity  futures
trading  cannot be predicted.  Market moves in  commodities  are dependent  upon
fundamental and technical  factors which the  Partnership's  Advisors may or may
                                   14
<PAGE>

not be able to identify.  Partnership  expenses  consist of, among other things,
commissions,  management fees and incentive fees. The level of these expenses is
dependent  upon the level of  trading  gains or losses  and the  ability  of the
Advisor to identify  and take  advantage  of price  movements  in the  commodity
markets,  in  addition  to the level of Net  Assets  maintained.  The  amount of
interest  income  payable by SSB is dependent upon interest rates over which the
Partnership  has no  control.  No  forecast  can be  made  as to  the  level  of
redemptions in any given period. In 1999, 236 Units were redeemed for a total of
$612,418. In 1998, 335 units were redeemed for a total of $843,006. In 1997, 264
Units were redeemed for a total of $633,737
         (c) Results of  operations.  For the year ended  December 31, 1999, the
net asset value per Unit decreased 21.0%,  from $2,806.51 to $2,216.32.  For the
year ended  December 31, 1998 the net asset value per unit  increased 4.1 % from
$2,695.73 to 2,806.51. For the year ended December 31, 1997, the net asset value
per Unit increased 13.1%, from $2,384.45 to $2,695.73
                  The   Partnership   experienced  a  net  trading  loss  before
brokerage  commissions  and  related  fees  in  1999 of  $691,032.  Losses  were
primarily  attributable to the trading of commodity futures in U.S. and non-U.S.
interest  rates,  metals  and  indices  and were  partially  offset  by gains in
currencies.
                  The  Partnership  experienced  net trading  gains of $631,646
before  commissions  and expenses in 1998.  Gains were primarily attributable to
                                   15
<PAGE>

in the trading of U.S. and non-U.S. interest rates and were partially offset by
losses in currencies,  metals and indices.
                  The Partnership  experienced  net trading gains of $1,268,254
before  commissions  and expenses in 1997.  Gains were primarily attributable to
the trading of currencies, U.S. and non-U.S. interest rates, metals and indices.
                  Commodity  futures  markets are highly  volatile.  Broad price
fluctuations  and rapid  inflation  increase  the risks  involved  in  commodity
trading,  but also increase the possibility of profit.  The profitability of the
Partnership  depends on the  existence  of major price trends and the ability of
the  Advisor  to  identify  those  price  trends  correctly.  Price  trends  are
influenced  by, among other things,  changing  supply and demand  relationships,
weather, governmental, agricultural, commercial and trade programs and policies,
national and international political and economic events and changes in interest
rates.  To the  extent  that  market  trends  exist and the  Advisor  is able to
identify them, the Partnership expects to increase capital through operations.
         (d)      Operational Risk
                  The Partnership is directly  exposed to market risk and credit
risk, which arise in the normal course of its business activities. Slightly less
direct, but of critical importance, are risks pertaining to operational and back
office  support.  This is  particularly  the  case  in a  rapidly  changing  and
increasingly  global  environment  with  increasing  transaction  volumes and an
expansion  in the number and  complexity  of products in the  marketplace.
Such risks  include:
Operational/Settlement  Risk  -  the  risk  of  financial  and opportunity  loss
and legal liability  attributable  to operational problems,  such  as inaccurate
pricing of transactions, untimely trade execution,  clearance and/or settlement,
or the inability to process large volumes of  transactions. The  Partnership  is
subject to increased risks  with  respect to its  trading activities in emerging
market  securities,  where  clearance,  settlement,  and  custodial   risks  are
often   greater  than  in  more   established   markets.
                                   16
<PAGE>

Technological Risk - the risk of loss attributable to technological  limitations
or hardware failure that constrain the Partnership's ability to gather, process,
and communicate information efficiently and securely,  without interruption,  to
customers,  among units  within the  Partnership,  and in the markets  where the
Partnership   participates.
Legal/Documentation   Risk  -  the  risk  of  loss attributable to  deficiencies
in the documentation of transactions (such as trade confirmations) and  customer
relationships (such as master netting agreements) or  errors   that   result  in
noncompliance  with  applicable  legal  and  regulatory requirements.
Financial  Control  Risk  - the  risk  of  loss   attributable  to   limitations
in financial  systems  and controls.   Strong  financial  systems  and  controls
ensure that assets are safeguarded, that transactions are executed in accordance
with  management's  authorization,  and that  financial  information utilized by
management  and  communicated  to external parties, including  the Partnership's
unitholders,  creditors,  and  regulators,  is free of  material errors.

Risk of Computer System Failure (Year 2000 Issue)
                  SSBHI's computer systems and business  processes  successfully
handled the date change from December 31, 1999 to January 1, 2000.  SSBHI is not
aware of any significant year 2000 problems  encountered  internally or with the
third parties with which it interfaces,  including customers and counterparties,
the global financial market  infrastructure,  and the utility  infrastructure on
which all corporations rely.
                  Based on  operations  since  January 1,  2000,  SSBHI does not
expect any  significant  impact to its ongoing  business as a result of the year
2000 issue. However, it is possible that the full impact of year 2000 issues has
not been fully recognized and no assurances can be given that year 2000 problems
will not emerge.
                  The pretax costs associated with required system modifications
and  conversions  totaled  approximately  $130 million.  These costs were funded
through  operating  cash flow and  expensed  in the  period  in which  they were
incurred.
                   The   expenditures  and  the  General   Partner's   resources
dedicated to the preparation for Year 2000 did not have a material impact on the
operation or results of the Partnership.
                  The most likely and most  significant  risk to the Partnership
associated  with the lack of Year  2000  readiness  is the  failure  of  outside
organizations,  including the commodities exchanges, clearing organizations,  or
                                   17
<PAGE>

regulators  with which the  Partnership  interacts  to  resolve  their Year 2000
issues in a timely  manner.  This risk could  involve the inability to determine
the value of the  Partnership  at some  point in time and would  make  effecting
purchases  or  redemptions  of Units in the  Partnership  infeasible  until such
valuation was determinable.
                (e) New Accounting Pronouncements
     The Partnership adopted Statement on Financial Accounting Standards No. 133
("SFAS  133"),  Accounting  For  Derivative  Financial  Instruments  and Hedging
Activities,  on January 1, 1999. SFAS 133 requires that an entity  recognize all
derivative instruments in the statement of financial condition and measure those
financial instruments at fair value. SFAS 133 has no impact on Partners' Capital
and operating results as all derivative  instruments are recorded at fair value,
with changes therein reported in the statement of income and expenses.

Item 7A. Quantitative and Qualitative Disclosures About Market
         Risk
Introduction
         The Partnership is a speculative  commodity pool. The market  sensitive
instruments held by it are acquired for speculative trading purposes, and all or
substantially all of the Partnership's assets are subject to the risk of trading
loss. Unlike an operating company,  the risk of market sensitive  instruments is
integral, not incidental, to the Partnership's main line of business.
                  Market movements result in frequent changes in the fair market
                                   18
<PAGE>

value of the Partnership's open positions and, consequently, in its earnings and
cash flow.  The  Partnership's  market risk is  influenced  by a wide variety of
factors,  including the level and volatility of interest rates,  exchange rates,
equity price levels,  the market value of financial  instruments  and contracts,
the  diversification  results  among the  Partnership's  open  positions and the
liquidity of the markets in which it trades.
                  The Partnership  rapidly acquires and liquidates both long and
short positions in a wide range of different  markets.  Consequently,  it is not
possible  to  predict  how a  particular  future  market  scenario  will  affect
performance,   and  the  Partnership's   past  performance  is  not  necessarily
indicative of its future results.
                  Value at Risk is a measure  of the  maximum  amount  which the
Partnership  could  reasonably  be  expected to lose in a given  market  sector.
However, the inherent  uncertainty of the Partnership's  speculative trading and
the recurrence in the markets traded by the Partnership of market  movements far
exceeding  expectations could result in actual trading or non-trading losses far
beyond  the  indicated  Value at Risk or the  Partnership's  experience  to date
(i.e.,  "risk of  ruin").  In light of the  foregoing  as well as the  risks and
uncertainties  intrinsic  to  all  future  projections,  the  inclusion  of  the
quantification  included in this section  should not be considered to constitute
any  assurance or  representation  that the  Partnership's  losses in any market
sector  will be limited  to Value at Risk or by the  Partnership's  attempts  to
                                   19
<PAGE>

manage its market risk.
Quantifying the Partnership's Trading Value at Risk
                  The   following   quantitative   disclosures   regarding   the
Partnership's market risk exposures contain "forward-looking  statements" within
the meaning of the safe harbor from civil liability provided for such statements
by the Private  Securities  Litigation  Reform Act of 1995 (set forth in Section
27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act
of  1934).  All  quantitative  disclosures  in this  section  are  deemed  to be
forward-looking statements for purposes of the safe harbor except for statements
of historical fact (such as the terms of particular  contracts and the number of
market risk  sensitive  instruments  held during or at the end of the  reporting
period).
         The Partnership's risk exposure in the various market sectors traded by
the  Advisor  is  quantified  below  in  terms  of  Value  at  Risk.  Due to the
Partnership's  mark-to-market  accounting,  any  loss in the  fair  value of the
Partnership's open positions is directly reflected in the Partnership's earnings
(realized and unrealized).
         Exchange   maintenance  margin  requirements  have  been  used  by  the
Partnership as the measure of its Value at Risk. Maintenance margin requirements
are set by exchanges to equal or exceed the maximum losses  reasonably  expected
to be incurred in the fair value of any given contract in 95%-99% of any one-day
intervals.  The  maintenance  margin  levels  are  established  by  dealers  and
exchanges  using  historical  price  studies as well as an assessment of current
                                   20
<PAGE>

market  volatility  (including the implied  volatility of the options on a given
futures contract) and economic fundamentals to provide a probabilistic  estimate
of the maximum expected near-term one-day price fluctuation.  Maintenance margin
has been used rather than the more generally  available initial margin,  because
initial margin  includes a credit risk component  which is not relevant to Value
at Risk.
         In the case of market  sensitive  instruments  which  are not  exchange
traded  (almost  exclusively  currencies  in the case of the  Partnership),  the
margin requirements for the equivalent futures positions have been used as Value
at  Risk.  In those  rare  cases in  which a  futures-equivalent  margin  is not
available, dealers' margins have been used.
         In  quantifying  the   Partnership's   Value  at  Risk,  100%  positive
correlation  in the  different  positions  held in each market risk category has
been  assumed.  Consequently,  the margin  requirements  applicable  to the open
contracts have simply been added to determine each trading category's  aggregate
Value at Risk.  The  diversification  effects  resulting  from the fact that the
Partnership's positions are rarely, if ever, 100% positively correlated have not
been reflected.
                                   21
<PAGE>


The Partnership's Trading Value at Risk in Different Market Sectors
         The following table indicates the trading Value at Risk associated with
the Partnership's open positions by market category as of December 31, 1999. All
open position  trading risk exposures of the  Partnership  have been included in
calculating  the  figures  set  forth  below.  As  of  December  31,  1999,  the
Partnership's total capitalization was $3,856,395.

                                December 31, 1999

                                Year to Date
                                                           High       Low
Market Sector             Value at        % of Total       Value      Value
                          Risk           Capitalization    at Risk    at Risk
--------------------------------------------------------------------------------

Currencies
- OTC Contracts           $179,054       4.64%             $237,128   $136,764
Interest rates U.S.         60,500       1.57%              100,000     55,928
Interest rates Non-U.S      83,511       2.17%              390,546    124,694
Metals                      78,000       2.02%              134,400     68,800
Indices                     68,327       1.77%              157,388    157,388
                          --------   --------
Total                     $469,392      12.17%
                          ========   ========

                                   22
<PAGE>


         As of December 31, 1998, the  Partnership's  total  capitalization  was
$5,545,665.
                                         December 31, 1998

                                                              % of Total
Market Sector                       Value at Risk             Capitalization

Currencies
- OTC Contracts                      $  63,180                 1.14%
Interest rates U.S.                     82,600                 1.49%
Interest rates Non-U.S.                355,460                 6.41%
Metals                               $  12,800                 0.23%
                                     ---------                ------

Total                                $ 514,040                 9.27%
                                     =========                ======


Material Limitations on Value at Risk as an Assessment of Market Risk
         The face value of the market sector instruments held by the Partnership
is typically many times the applicable  maintenance margin  requirement  (margin
requirements  generally range between 2% and 15% of contract face value) as well
as, many times,  the  capitalization  of the  Partnership.  The magnitude of the
Partnership's  open  positions  creates a "risk of ruin" not typically  found in
most other investment  vehicles.  Because of the size of its positions,  certain
market  conditions -- unusual,  but historically  recurring from time to time --
could cause the  Partnership to incur severe losses over a short period of time.
The  foregoing  Value at Risk  table -- as well as the past  performance  of the
Partnership -- give no indication of this "risk of ruin."

 Non-Trading Risk
         The  Partnership  has  non-trading  market  risk  on its  foreign  cash
balances not needed for margin.  However,  these balances (as well as any market
risk they represent) are immaterial.
                                   23
<PAGE>

         Materiality  as used in this  section,  "Qualitative  and  Quantitative
Disclosures About Market Risk," is based on an assessment of reasonably possible
market movements and the potential losses caused by such movements,  taking into
account the leverage,  optionality and multiplier  features of the Partnership's
market sensitive instruments.  Qualitative Disclosures Regarding Primary Trading
Risk Exposures
                  The   following   qualitative    disclosures   regarding   the
Partnership's  market risk exposures - except for (i) those disclosures that are
statements of historical  fact and (ii) the  descriptions of how the Partnership
manages  its  primary  market  risk   exposures  -  constitute   forward-looking
statements  within the meaning of Section 27A of the  Securities Act and Section
21E of the  Securities  Exchange  Act.  The  Partnership's  primary  market risk
exposures as well as the strategies  used and to be used by the General  Partner
and  the  Advisors  for  managing   such   exposures  are  subject  to  numerous
uncertainties,  contingencies and risks, any one of which could cause the actual
results  of the  Partnership's  risk  controls  to  differ  materially  from the
objectives  of  such   strategies.   Government   interventions,   defaults  and
expropriations, illiquid markets, the emergence of dominant fundamental factors,
political upheavals, changes in historical price relationships, an influx of new
market participants, increased regulation and many other factors could result in
material  losses as well as in material  changes to the risk  exposures  and the
                                   24
<PAGE>

management  strategies of the  Partnership.  There can be no assurance  that the
Partnership's current market exposure and/or risk management strategies will not
change  materially or that any such  strategies  will be effective in either the
short- or long- term.  Investors  must be prepared to lose all or  substantially
all of their investment in the Partnership.
        The following were the primary trading risk exposures of the Partnership
as of December 31, 1999, by market sector.
     Interest  Rates.  Interest rate movements  directly affect the price of the
futures  positions held by the Partnership and indirectly the value of its stock
index and currency positions.  Interest rate movements in one country as well as
relative  interest  rate  movements  between  countries  materially  impact  the
Partnership's profitability. The Partnership's primary interest rate exposure is
to interest rate  fluctuations in the United States and the other G-7 countries.
However,  the Partnership also takes futures positions on the government debt of
smaller nations -- e.g.,  Australia.  The General Partner  anticipates  that G-7
interest  rates will be one of the primary market  exposures of the  Partnership
for the  foreseeable  future.  The changes in interest rates which have the most
effect on the  Partnership  are changes in long-term,  as opposed to short-term,
rates.  Consequently,  even a material  change in  short-term  rates  would have
little effect on the  Partnership  were the medium- to long-term rates to remain
steady.
         Currencies.  The  Partnership's  currency  exposure is to exchange rate
fluctuations,  primarily  fluctuations  which  disrupt  the  historical  pricing
                                   25
<PAGE>

relationships   between   different   currencies  and  currency   pairs.   These
fluctuations  are  influenced  by interest rate changes as well as political and
general economic  conditions.  The Partnership's  major exposures have typically
been in the dollar/yen,  dollar/mark  and  dollar/pound  positions.  The General
Partner does not anticipate that the risk profile of the Partnership's  currency
sector will change  significantly  in the future.  The currency trading Value at
Risk figure includes foreign margin amounts  converted into U.S. dollars with an
incremental  adjustment  to  reflect  the  exchange  rate risk  inherent  to the
dollar-based  Partnership in expressing  Value at Risk in a functional  currency
other than dollars.
         Stock Indices.  The Partnership's  primary equity exposure is to equity
price  risk  in the  G-7  countries.  The  stock  index  futures  traded  by the
Partnership  are by law  limited  to futures on  broadly  based  indices.  As of
December 31, 1999,  the  Partnership's  primary  exposures were in the Financial
Times (England),  Nikkei (Japan) and SFE (Australian) stock indices. The General
Partner  anticipates  little,  if any,  trading in non-G-7  stock  indices.  The
Partnership  is primarily  exposed to the risk of adverse price trends or static
markets in the major U.S., European and Japanese indices.  (Static markets would
not cause major market  changes but would make it difficult for the  Partnership
to avoid being "whipsawed" into numerous small losses.)
         Metals.   The  Partnership's   primary  metal  market  exposure  is  to
fluctuations  in the price of gold and silver.  Although  the Advisor  will from
                                   26
<PAGE>

time to time trade base metals such as aluminum,  copper and tin, the  principal
market  exposures  of the  Partnership  have  consistently  been in the precious
metals,  gold and silver.  The  Advisor's  gold  trading  has been  increasingly
limited due to the long-lasting and mainly non-volatile  decline in the price of
gold over the last 10-15 years.  However,  silver prices have remained  volatile
over  this  period,  and the  Advisor  has from time to time  taken  substantial
positions as they have perceived market  opportunities  to develop.  The General
Partner  anticipates  that gold and silver will remain the primary metals market
exposure for the Partnership. Qualitative Disclosures Regarding Non-Trading Risk
Exposure
         The  following  were  the  only   non-trading  risk  exposures  of  the
Partnership as of December 31, 1999.
         Foreign Currency Balances.  The Partnership's  primary foreign currency
balances are in Japanese yen,  German marks,  British  pounds and French francs.
The  Advisor  regularly  converts  foreign  currency  balances  to dollars in an
attempt to control the Partnership's non-trading risk.
         Qualitative Disclosures Regarding Means of Managing Risk Exposure
         The General  Partner  monitors  and  controls  the  Partnership's  risk
exposure  on a  daily  basis  through  financial,  credit  and  risk  management
monitoring systems and accordingly believes that it has effective procedures for
evaluating and limiting the credit and market risks to which the  Partnership is
subject.
                                   27
<PAGE>

         The General  Partner  monitors the  Partnership's  performance  and the
concentration  of its open positions,  and consults with the Advisor  concerning
the Partnership's overall risk profile. If the General Partner felt it necessary
to do so, the General  Partner could require the Advisor to close out individual
positions  as  well  as  enter  certain   positions  traded  on  behalf  of  the
Partnership. However, any such intervention would be a highly unusual event. The
General  Partner  primarily  relies on the Advisor's  own risk control  policies
while maintaining a general  supervisory  overview of the  Partnership's  market
risk exposures.
         The Advisor  applies its own risk  management  policies to its trading.
The Advisor often  follows  diversification  guidelines,  margin limits and stop
loss points to exit a position.  The Advisor's research of risk management often
suggests ongoing modifications to its trading programs.
         As part of the General  Partner's risk management,  the General Partner
periodically  meets with the Advisor to discuss its risk  management and to look
for  any  material  changes  to the  Advisor's  portfolio  balance  and  trading
techniques.  The  Advisor  is  required  to notify  the  General  Partner of any
material changes to its programs.


                                   28

<PAGE>



Item 8.   Financial Statements and Supplementary Data.




                                        SHEARSON SELECT ADVISORS FUTURES FUND
                                            INDEX TO FINANCIAL STATEMENTS


                                                                      Page
                                                                     Number

                        Oath or Affirmation                            F-2

                        Report of Independent Accountants.             F-3

                        Financial Statements:
                        Statement of Financial Condition at
                        December 31, 1999 and 1998.                    F-4

                        Statement of Income and Expenses for
                        the years ended December 31, 1999,
                        1998 and 1997                                  F-5

                        Statement of Partners' Capital for the
                        years ended December 31, 1999, 1998 and
                        1997.                                          F-6

                        Notes to Financial Statements.               F-7 -F-11

<PAGE>


                           To The Limited Partners of
                   Shearson Select Advisors Futures Fund L.P.

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







By:  Daniel A. Dantuono, Chief Financial Officer
     Smith Barney Futures Management LLC
     General Partner, Shearson Select
      Advisors Futures Fund L.P.

     Smith Barney Futures Management LLC
     390 Greenwich Street
     1st Floor
     New York, N.Y. 10013
     212-723-5424


                                   F-2



<PAGE>




                        Report of Independent Accountants

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


In our  opinion,  the  accompanying  statement of  financial  condition  and the
related  statements  of income and  expenses and of  partners'  capital  present
fairly,  in all material  respects,  the financial  position of Shearson  Select
Advisors Futures Fund L.P. at December 31, 1999 and 1998, and the results of its
operations for each of the three years in the period ended December 31, 1999, in
conformity with accounting  principles  generally accepted in the United States.
These  financial  statements  are the  responsibility  of the  management of the
General Partner;  our responsibility is to express an opinion on these financial
statements  based on our  audits.  We  conducted  our audits of these  financial
statements  in  accordance  with auditing  standards  generally  accepted in the
United  States,  which  require  that we plan and  perform  the  audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement.  An audit includes examining, on a test basis, evidence supporting
the  amounts  and  disclosures  in  the  financial  statements,   assessing  the
accounting  principles used and significant  estimates made by the management of
the  General   Partner,   and   evaluating  the  overall   financial   statement
presentation.  We believe  that our audits  provide a  reasonable  basis for the
opinion expressed above.


                                                      PricewaterhouseCoopers LLP


New York, New York
February 25, 2000

                                   F-3

<PAGE>


                   Shearson Select Advisors Futures Fund L.P.
                        Statement of Financial Condition
                           December 31, 1999 and 1998

<TABLE>
<CAPTION>
<S>                                                                       <C>           <C>
                                                                          1999           1998
Assets:
Equity in commodity futures trading account:
   Cash (Note 3b)                                                  $ 4,010,166    $ 5,145,243
   Net unrealized appreciation (depreciation)
   on open futures contracts                                            (2,058)       596,728
                                                                   -----------    -----------
                                                                     4,008,108      5,741,971
Interest receivable                                                     12,413         13,750
                                                                   -----------    -----------
                                                                   $ 4,020,521    $ 5,755,721
                                                                   -----------    -----------

Liabilities and Partners' Capital:
Liabilities:
  Accrued expenses:
   Commissions                                                     $    20,103    $    28,779
   Management fees                                                      13,209         18,998
   Professional fees                                                    35,111         24,644
   Other                                                                 2,618          2,923
  Redemptions payable (Note 5)                                          93,085        134,712
                                                                   -----------    -----------
                                                                       164,126        210,056
                                                                   -----------    -----------
Partners' capital (Notes 1, 5, and 6):
  General Partner, 34 Unit equivalents outstanding in
   1999 and 1998                                                        75,355         95,421
  Limited Partners, 1,706 and 1,942 Units of Limited Partnership
   Interest outstanding in 1999 and 1998, respectively               3,781,040      5,450,244
                                                                   -----------    -----------
                                                                     3,856,395      5,545,665
                                                                   -----------    -----------
                                                                   $ 4,020,521    $ 5,755,721
                                                                   -----------    -----------
</TABLE>

See notes to financial statements.

                                                  F-4
<PAGE>


                   Shearson Select Advisors Futures Fund L.P.
                        Statement of Income and Expenses
                               for the years ended
                        December 31, 1999, 1998 and 1997
<TABLE>
<CAPTION>
<S>                                                              <C>            <C>           <C>
                                                                 1999           1998           1997
Income:
  Net gains (losses) on trading of commodity interests:
   Realized gains (losses) on closed
    positions                                             $   (92,246)   $   340,996    $ 1,071,889
   Change in unrealized gains (losses)
    on open positions                                        (598,786)       290,650        196,365
                                                          -----------    -----------    -----------
                                                             (691,032)       631,646      1,268,254
  Less, Brokerage commissions including
   clearing fees of $4,471,  $4,463 and
   $4,856, respectively (Note 3b)                            (300,092)      (331,645)      (373,144)
                                                          -----------    -----------    -----------

  Net realized and unrealized gains
   (losses)                                                  (991,124)       300,001        895,110
  Interest income (Note 3b)                                   157,603        180,533        213,272
                                                          -----------    -----------    -----------
                                                             (833,521)       480,534      1,108,382
                                                          -----------    -----------    -----------

Expenses:

  Management fees (Note 3a)                                   194,847        215,929        241,865
  Incentive fees (Note 3a)                                       --           58,423        101,180
  Professional fees                                            44,794         40,803         33,386
  Other expenses                                                3,690          6,549          8,343
                                                          -----------    -----------    -----------
                                                              243,331        321,704        384,774
                                                          -----------    -----------    -----------
Net income (loss)                                         $(1,076,852)   $   158,830    $   723,608
                                                          -----------    -----------    -----------
Net income (loss) per Unit of Limited
  Partnership Interest and General
  Partner Unit equivalent (Notes 1 and 6)                 $   (590.19)   $    110.78    $    311.28
                                                          -----------    -----------    -----------
</TABLE>

See notes to financial statements.

                                                                      F-5
<PAGE>


                   Shearson Select Advisors Futures Fund L.P.
                     Statement of Partners' Capital for the
                  years ended December 31, 1999, 1998 and 1997

<TABLE>
<CAPTION>
<S>                                           <C>              <C>        <C>
                                             Limited        General
                                            Partners        Partner        Total

Partners' capital at December 31, 1996   $ 6,058,899    $    81,071    $ 6,139,970
Net income                                   713,024         10,584        723,608
Redemption of 264 Units of
   Limited Partnership Interest             (633,737)          --         (633,737)
                                         -----------    -----------    -----------
Partners' capital at December 31, 1997     6,138,186         91,655      6,229,841
Net income                                   155,064          3,766        158,830
Redemption of 335 Units of
   Limited Partnership Interest             (843,006)          --         (843,006)
                                         -----------    -----------    -----------
Partners' capital at December 31, 1998     5,450,244         95,421      5,545,665
Net loss                                  (1,056,786)       (20,066)    (1,076,852)
Redemption of 236 Units of
   Limited Partnership Interest             (612,418)          --         (612,418)
                                          -----------    -----------    -----------
Partners' capital at December 31, 1999   $ 3,781,040    $    75,355    $ 3,856,395
                                         -----------    -----------    -----------
</TABLE>

See notes to financial statements.

                                                  F-6
<PAGE>


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


1.  Partnership Organization:

    Shearson Select Advisors Futures Fund L.P. (the  "Partnership") is a limited
    partnership  which was organized  under the laws of the State of Delaware on
    February 10, 1987. The Partnership is engaged in the speculative  trading of
    a diversified  portfolio of commodity interests including futures contracts,
    options and forward  contracts.  The commodity  interests that are traded by
    the  Partnership  are volatile and involve a high degree of market risk. The
    Partnership  was  authorized  to sell  50,000  Units of Limited  Partnership
    Interest  ("Units")  during  its  public  offering.   Smith  Barney  Futures
    Management  LLC acts as the general  partner (the "General  Partner") of the
    Partnership.  The General Partner  changed its form of  organization  from a
    corporation  to  a  limited  liability  company  on  October  1,  1999.  The
    Partnership's  commodity broker is Salomon Smith Barney Inc. ("SSB"). SSB is
    an affiliate of the General Partner.  The General Partner is wholly owned by
    Salomon  Smith Barney  Holdings Inc.  ("SSBHI"),  which is the sole owner of
    SSB. SSBHI is a wholly owned subsidiary of Citigroup Inc.

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

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

2.  Accounting Policies:

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

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

    c. The  preparation  of financial  statements in conformity  with  generally
       accepted accounting  principles requires management to make estimates and
       assumptions that affect the reported amounts of assets and liabilities at
       the date of the financial statements and the reported amounts of revenues
       and expenses  during the reporting  period.  Actual  results could differ
       from these estimates.

                                   F-7
<PAGE>

3.  Agreements:

    a. Management Agreement and Limited Partnership Agreement:

       Under  the  Partnership's  Limited  Partnership  Agreement,  the  General
       Partner is permitted to delegate its authority to trade the Partnership's
       assets to one or more trading  advisors and to compensate  those advisors
       from the General  Partner's  own funds.  The General  Partner  receives a
       monthly  management  fee of 1/3 of 1% (4% per year) of the  month-end Net
       Assets of the  Partnership  managed by the advisor,  and an incentive fee
       payable quarterly equal to 15% of Net Trading Profits,  as defined in the
       Limited Partnership Agreement, of the Partnership.

       At December 31, 1999, the General Partner had a Management Agreement with
       John W. Henry & Company,  Inc. (the "Advisor").  The Management Agreement
       requires the General  Partner to pay the Advisor a management fee payable
       monthly of 4% per annum of the Net Assets of the  Partnership  managed by
       the Advisor and an incentive  fee payable  quarterly  equal to 10% of Net
       Trading Profits,  as defined in the Management  Agreement,  earned on the
       Net Assets managed by the Advisor.

    b. Customer Agreement

       The Partnership has entered into a Customer Agreement, which was assigned
       to SSB from a predecessor  company,  whereby SSB provides  services which
       include,  among other  things,  the  execution  of  transactions  for the
       Partnership's  account in  accordance  with orders placed by the Advisor.
       Effective  January 1, 1997, the Partnership pays SSB a monthly  brokerage
       fee  equal  to .5% of  month  end net  assets  (6% per  year)  in lieu of
       brokerage  commissions on a per trade basis. The Partnership pays for all
       clearing fees but not floor brokerage  charges.  All of the Partnership's
       cash is deposited in the Partnership's  account at SSB. The Partnership's
       cash is  deposited  by SSB in  segregated  bank  accounts  to the  extent
       required by Commodity Futures Trading Commission regulations. At December
       31, 1999 and 1998,  the amount of cash held for margin  requirements  was
       $517,865  and  $547,430,   respectively.   SSB  has  agreed  to  pay  the
       Partnership  interest on 70% of the average  daily equity in its accounts
       during  each  month at the rate of the  average  noncompetitive  yield of
       13-week U.S.  Treasury Bills as determined at the weekly auctions thereof
       during the month. The Customer  Agreement between the Partnership and SSB
       gives the Partnership the legal right to net unrealized gains and losses.
       The Customer Agreement may be terminated upon notice by either party.

                                   F-8
<PAGE>

4.  Trading Activities:

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

    All of the commodity interests owned by the Partnership are held for trading
    purposes.  The average fair value  during the years ended  December 31, 1999
    and  1998,  based on a  monthly  calculation,  was  $212,790  and  $352,056,
    respectively. The fair value of these commodity interests, including options
    thereon,  if  applicable,  at December  31, 1999 and 1998 was  $(2,058)  and
    $596,728, respectively, as detailed below.

                                Fair Value
                          December 31,   December 31,
                              1999         1998
Currencies:
 -OTC Contracts            $ (59,672)   $  28,455
 Interest Rates U.S.          47,375      (41,469)
 Interest Rates Non-U.S       19,287      610,002
 Metals                      (22,030)        (260)
 Indices                      12,982         --
                           ---------    ---------
 Total                     $  (2,058)   $ 596,728
                           ---------    ---------

5.  Distributions and Redemptions:

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

6.  Net Asset Value Per Unit:

    Changes in the net asset value per Unit of Partnership  interest during the
    years ended December 31, 1999,  1998, and 1997 were as follows:


<TABLE>
<CAPTION>
<S>                                                       <C>           <C>         <C>
                                                         1999           1998        1997

    Net realized and unrealized gains (losses)      $  (544.55)  $   177.52   $   382.44
    Interest income                                      84.45        83.33        86.74
    Expenses                                           (130.09)     (150.07)     (157.90)
                                                      ---------    ---------    ---------
    Increase (decrease) for year                       (590.19)      110.78       311.28
    Net asset value per Unit, beginning of year       2,806.51     2,695.73     2,384.45
                                                     ---------    ---------    ---------
    Net asset value per Unit, end of year          $  2,216.32   $ 2,806.51   $ 2,695.73
                                                     ---------    ---------    ---------
</TABLE>


                                  F-9
<PAGE>


7.  Financial Instrument Risks:

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

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

    Credit risk is the possibility that a loss may occur due to the failure of a
    counterparty  to perform  according to the terms of a contract.  Credit risk
    with respect to exchange traded instruments is reduced to the extent that an
    exchange or clearing organization acts as a counterparty to the transactions
    (see  table  in Note  4).  The  Partnership's  risk of loss in the  event of
    counterparty  default is typically limited to the amounts  recognized in the
    statement  of financial  condition  and not  represented  by the contract or
    notional amounts of the instruments.  The Partnership has concentration risk
    because the sole  counterparty  or broker with respect to the  Partnership's
    assets is SSB.

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

    The   notional  or   contractual   amounts  of  these   instruments,   while
    appropriately not recorded in the financial  statements,  reflect the extent
    of the Partnership's involvement in these instruments. The majority of these
    instruments mature within one year of December 31, 1999. However, due to the
    nature of the Partnership's  business,  these instruments may not be held to
    maturity.
                                        F-10

<PAGE>

8.  New Accounting Pronouncements:
    The Partnership adopted Statement on Financial  Accounting Standards No. 133
    ("SFAS 133"),  Accounting for Derivative  Financial  Instruments and Hedging
    Activities,  on January 1, 1999. SFAS 133 requires that an entity  recognize
    all  derivative  instruments  in the  statement of financial  condition  and
    measure those financial instruments at fair value. SFAS 133 has no impact on
    Partners'  Capital and operating  results as all derivative  instruments are
    recorded at fair value,  with changes  therein  reported in the statement of
    income and expenses.

                                        F-11
<PAGE>





Item 9.       Changes in and Disagreements with Accountants on
Accounting and Financial Disclosure.
                  During the last two fiscal  years and any  subsequent  interim
period, no independent accountant who was engaged as the principal accountant to
audit the Partnership's financial statements has resigned or was dismissed.
                                                      PART III
Item 10.  Directors and Executive Officers of the Registrant.
                  The  Partnership  has no officers or directors and its affairs
are managed  by  its  General  Partner,  Smith  Barney  Futures  Management LLC.
Investment decisions are made by John W. Henry & Company, Inc. (the "Advisor").
Item 11.  Executive Compensation.
                  The Partnership has no directors or officers.  Its affairs are
managed by Smith Barney Futures  Management  LLC, its General  Partner.  SSB, an
affiliate of the General  Partner,  is the commodity  broker for the Partnership
and receives brokerage  commissions for such services,  as described under "Item
1.  Business."  For the year ended  December  31, 1999,  SSB earned  $300,092 in
brokerage  commissions and clearing fees. Management fees paid or payable to the
General  Partner were $194,847.  The Advisor was compensated for management fees
from the General Partners own funds.

                                   29
<PAGE>


Item 12.   Security Ownership of Certain Beneficial Owners and Management.
                 (a). Security  ownership of certain  beneficial  owners.
                      --------------------------------------------------
The Partnership knows of no person who beneficially owns more
than 5% of the Units outstanding.
                 (b). Security  ownership of management.  Under the terms of the
Limited  Partnership  Agreement,  the  Partnership's  affairs are managed by the
General Partner.  The General Partner owns Units of general partnership interest
equivalent to 34 Units of Limited Partnership Interest (1.9%) as of December 31,
1999.
                 (c).  Changes in control.  None.
Item 13.  Certain Relationships and Related Transactions.
                  Salomon Smith Barney Inc. and Smith Barney Futures  Management
LLC would be considered promoters for purposes of Item 404(d) of Regulation S-K.
The nature and the amounts of  compensation  each promoter will receive from the
Partnership are  set  forth under "Item 1. Business.","Item 11.Executive
Compensation" and "Item 8.  Financial Statements and Supplementary Data."
                                                       PART IV
Item 14.   Exhibits, Financial Statement Schedules, and Reports on Form 8-K.
         (a)   (1)         Financial Statements:
                           Statement of Financial Condition at December 31, 1999
                           and 1998.
                           Statement  of Income and Expenses for the years ended
                                   30
<PAGE>

                           December  31,  1999,  1998  and  1997.  Statement  of
                           Partners'  Capital for the years ended  December  31,
                           1999, 1998 and 1997.
               (2)         Financial Statement Schedules:Financial Data Schedule
                           for the year ended December 31, 1999.
               (3)         Exhibits:
               3.1                - Limited  Partnership  Agreement  dated as of
                                  February  10,  1987 and amended as of April 6,
                                  1987 (filed as Exhibit 3.1 to the Registration
                                  Statement  No.33-12241 and incorporated herein
                                  by reference).
               3.2                - Certificate  of Limited  Partnership  of the
                                  Partnership  as  filed  in the  office  of the
                                  Secretary of State of the State of Delaware on
                                  February 10, 1987 (filed as Exhibit 3.2 to the
                                  Registration Statement No.
                                  33-12241 and incorporated herein by reference)
              10.1 -              Customer  Agreement  between  Shearson  Lehman
                                  Select  Advisors  Futures Fund L.P. and  Smith
                                  Barney Shearson Inc. (previously filed).
              10.1(a)- Amendment to Customer Agreement dated as of September 30,
                       1988 (previously filed).
              10.4(a)- Management Agreement between Hayden Commodities Corp. and
                       Dunn Commodities, Inc. (previously filed).
              10.4(b)- Management Agreement between Hayden Commodities Corp. and
                       Investment Timing Services (previously filed).

                                   31
<PAGE>

              10.4(c)- Management Agreement between Hayden Commodities Corp. and
                       Cresta Commodity Management Inc. (previously filed).
              10.4(d)- Management Agreement between Hayden Commodities Corp. and
                       Computerized Advisory (previously filed).
              10.6(e)- Management Agreement between Hayden Commodities Corp. and
                       Donald J. Guy (previously filed).
              10.4(f)- Management Agreement between Hayden Commodities Corp. and
                       I.C.S.C., Inc. (previously filed).
              10.4(g)- Management Agreement between Hayden Commodities Corp. and
                       Orion Inc. (previously filed).
              10.4(h)- Management Agreement between Hayden Commodities Corp. and
                       Bacon Investment Corporation (previously filed).
              10.4(I)- Management Agreement between Hayden Commodities Corp. and
                       PRAGMA, Inc. (previously filed).
              10.4(j)- Management Agreement between Hayden Commodities Corp. and
                       Mint Investment  Management  Company  (previously filed).
              10.4(k)- Management Agreement between Hayden Commodities Corp. and
                       John W. Henry & Company (previously filed).
              10.4(l)- Management Agreement between Hayden Commodities Corp. and
                       Charles M. Wilson & Company (previously filed).

                                   32
<PAGE>


              10.4(m)- Management Agreement between Hayden Commodities Corp. and
                       Sunrise Commodities, Inc. (previously filed).
              10.5 -   Letter  extending   Management  Agreement  with   Sunrise
                       Commodities Inc. dated as of June  30,  1989  (previously
                       filed).
              10.6 -   Letter  extending   Management   Agreement  with  Charles
                       M. Wilson & Company dated as of June 30, 1989 (previously
                       filed).
              10.7 -   Letter extending Management Agreement with  PRAGMA,  Inc.
                       dated June 30, 1989 (previously filed).
              10.8 -   Letter  extending   Management  Agreement  with  John  W.
                       Henry & Co., Inc. dated  as of  June 30, 1989 (previously
                       filed).
              10.9 -   Letter extending Management Agreement     with      Bacon
                       Investment  Corporation dated June 30, 1989   (previously
                       filed).
             10.10 -   Assignment  by  Bacon Investment   Corporation   to  Zack
                       Hampton   Bacon,  III  dated as  of   September  15, 1989
                       (previously filed).
             10.11 -   Letter  extending   Management   Agreement  with  Sunrise
                       Commodities Inc. dated June 26, 1990 (filed    as Exhibit
                       10.11 to Form 10-K for the fiscal year ended December 31,
                       1991 and  incorporated  herein by  reference).

                                   33
<PAGE>


             10.12 -  Letter extending  Management  Agreement with PRAGMA,  Inc.
                      dated June 26, 1990 (filed as Exhibit 10.12  to  Form 10-K
                      for  the  fiscal  year  ended  December  31,  1991     and
                      incorporated herein by reference).
             10.13 -  Letter  extending  Management Agreement with John W. Henry
                      & Co.,  Inc.  dated June 26, 1990 (filed  as  Exhibit  10.
                      13 to Form 10-K for the fiscal  year  ended December   31,
                      1991  and incorporated herein by reference).
             10.14-   Letter  extending Management Agreement with  Zack  Hampton
                      Bacon,  III dated June 25, 1990 (filed  as  Exhibit  10.14
                      to Form 10-K for the fiscal  year   ended   December   31,
                      1991  and incorporated herein by reference).
             10.15 -  Letter  extending   Management   Agreement  with   Sunrise
                      Commodities,  Inc. dated July 16, 1991 (filed  as  Exhibit
                      10.15 to Form 10-K for the fiscal   year  ended   December
                      31,  1991  and incorporated herein by reference).
             10.16 -  Letter extending  Management  Agreement with PRAGMA,  Inc.
                      dated July 16, 1991 (filed as Exhibit 10.16 to Form   10-K
                      for   the  fiscal  year    ended  December  31,  1991  and
                      incorporated herein by reference).

                                   34
<PAGE>


             10.17 -  Letter  extending Management Agreement with  John W. Henry
                      & Co.,  Inc.  dated July 16, 1991 (filed  as  Exhibit  10.
                      17 to Form 10-K for the fiscal  year  ended   December 31,
                      1991  and  incorporated herein by reference).
             10.18 -  Letter  extending  Management  Agreement with Zack Hampton
                      Bacon, III dated July 16, 1991 and (filed  as  Exhibit 10.
                      18 to Form 10-K for the  fiscal  year  ended  December 31,
                      1991  and incorporated herein by reference).
             10.19 -  Letter  extending   Management   Agreement   with  Sunrise
                      Commodities Inc. dated June 30, 1992 (filed as Exhibit 10.
                      19 to Form 10-K for the fiscal  year  ended  December  31,
                      1992).
             10.20 -  Letter  extending   Management Agreement with PRAGMA, Inc.
                      dated  June  30,  1992 ( filed as Exhibit  10.20  to  Form
                      10-K for the fiscal year ended December 31, 1992).
             10.21 -  Letter extending  Management  Agreement with John W. Henry
                      & Co., Inc. dated June 30, 1992 (filed as Exhibit 10.21 to
                      Form 10-K for the fiscal year ended December 31, 1992).
             10.22 -  Letter  extending  Management  Agreement with Zack Hampton
                      Bacon,  III dated June 30, 1992 (filed as Exhibit 10.22 to
                      Form 10-K for the fiscal year ended December 31, 1992).

                                   35
<PAGE>


             10.23 -   Letter  terminating   Management   Agreement   with  Zack
                       Hampton Bacon, III dated March 31, 1993 (filed as Exhibit
                       10.23 to Form 10-K for the fiscal year ended December 31,
                       1993).
             10.24 -   Letter  terminating  Management  Agreement  with PRAGMA,
                       Inc. dated July 29, 1994 (filed as Exhibit 10.24 to Form
                       10-K for the fiscal year ended December 31, 1994).
             10.25 -   Management  Agreement  dated   September  1,   1994   the
                       Partnership,   the   General   Partner  and Gill  Capital
                       Management(filed as Exhibit 10.25 to  Form  10-K  for the
                       fiscal year ended December 31, 1994).
             10.26 -   Letters  extending    Management  Agreements with John W.
                       Henry & Co., Sunrise  Capital Management,  Inc. and  Gill
                       Capital  Management  dated  February 16, 1995 (filed  as
                       Exhibit 10.26  to  Form  10-K  for  the fiscal year ended
                       December 31, 1994).
             10.27 -   Letter  terminating   Management  Agreement    with  Gill
                       Capital Management  dated June 27, 1995 (filed as Exhibit
                       10.27 to Form 10-K for the fiscal year ended December 31,
                       1995).
             10.28 -   Letter  terminating   Management   Agreement with Sunrise
                       Capital  Management  dated  December 23, 1996 (previously
                       filed).
             10.29 -   Letters  extending  Managements  Agreements  with John W.
                       Henry  &  Company,   Inc.  for  1996   and 1997 (Filed as
                       Exhibit 10.29 to Form 10-K for fiscal year ended December
                       31, 1997).
             10.30 -   Letter extending Management Agreement with John W. Henry
                       and Company, Inc. for 1998 (previously filed).
             10.31 -   Letter extending Management Agreement with John W. Henry
                       and Company, Inc. for 1999 (filed herein).
         (b)  Reports on 8-K:   None Filed.

                                   36
<PAGE>


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



Annual Report to Limited Partners

                                   37
<PAGE>



                                   SIGNATURES

          Pursuant  to the  requirements  of Section 13 or 15(d) the  Securities
Exchange Act of 1934,  the Registrant has duly caused this annual report on Form
10-K to be signed on its behalf by the  undersigned,  thereunto duly authorized,
in the City of New York and State of New York on the 30th day of March 2000.

SHEARSON SELECT ADVISORS FUTURES FUND L.P.


By:       Smith Barney Futures Management LLC
          (General Partner)



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


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



/s/ David J. Vogel                                      /s/  Jack H. Lehman III
David J. Vogel                                               Jack H. Lehman III
Director, Principal Executive                              Chairman and Director
Officer and President



/s/ Michael R. Schaefer                                   /s/ Daniel A. Dantuono
Michael R. Schaefer                                           Daniel A. Dantuono
Director                                              Treasurer, Chief Financial
                                                            Officer and Director



/s/ Daniel R. McAuliffe, Jr.                             /s/ Steve J. Keltz
Daniel R. McAuliffe, Jr.                                  Steve J. Keltz
Director                                                  Secretary and Director



/s/ Shelley Ullman
Shelley Ullman
Director

                                   38