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, 1996

Commission File Number 0-16627

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

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

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

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

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

Securities registered pursuant to Section 12(g) of the Act: 50,000  Units
                                                            of Limited
                                                            Partnership
                                                            Interest
                                                            (Title of Class)

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

                                     Yes   X    No

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


<PAGE>



                                    PART I

Item 1. Business.

      (a) General development of business. Shearson Select Advisors Futures Fund
(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, 1996,  1995 and 1994,  are reported in the  Statements of Partners'
Capital on page F-5 under "Item 8. Financial Statements and Supplementary Data."
      The  Partnership's  trading of futures  contracts on  commodities  is done
primarily on United States commodities exchanges and may, to a lesser extent, be
done on some foreign commodity  exchanges.  It engages in such trading through a
commodity  brokerage account maintained with its commodity broker,  Smith Barney
Inc. ("SB").
      Smith Barney  Futures  Management  Inc.  acts as the general  partner (the
"General  Partner")  of the  Partnership.  SB is an  affiliate  of  the  General
Partner.
      Under the Limited  Partnership  Agreement of the Partnership (the "Limited
Partnership Agreement"), the General Partner has sole

                                      2

<PAGE>



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 4% per year of the month end Net Assets of the Partnership, as
defined, managed by each advisor and an incentive fee payable quarterly equal to
15% of Net Trading Profits of the Partnership.
      At December 31, 1996, the General  Partner had management  agreements (the
"Management  Agreements")  with Sunrise  Capital  Management and John W. Henry &
Company, Inc. (collectively,  the "Advisors"),  none of which is affiliated with
the others or with the  General  Partner.  Reference  should be made to "Item 8.
Financial Statements and Supplementary Data." for further information  regarding
the Advisors included in the notes to the financial statements.
      The Management  Agreements require the General Partner to pay the Advisors
a monthly  management fee of 1/3 of 1% of the Net Assets of the  Partnership (of
4% per year)  managed by each Advisor and an  incentive  fee equal to 10% of the
Net Trading Profits earned on the Net Assets managed by each Advisor during each
quarter. The incentive fees paid to the Advisors will be paid out of the General
Partner's  own  funds to the  extent  that  incentive  fees  owed to  particular
Advisors  exceed  the  incentive  fee  paid by the  Partnership  to the  General
Partner.  Thus,  the  Partnership  will pay an incentive  fee based on aggregate
profits earned by all the

                                      3

<PAGE>



Advisors, not on any individual Advisor's profits.
      Pursuant to the terms of the customer  agreement entered into with SB (the
"Customer  Agreement"),  the Partnership is obligated to pay a monthly commodity
brokerage  fee.  Effective  July 1,  1995,  the  Partnership  pays SB a  monthly
brokerage  fee equal to .667% of month end net  assets  (8% per year) in lieu of
brokerage  commissions on a per trade basis.  Brokerage commissions were reduced
as of this date and the Partnership  previously paid SB a monthly  brokerage fee
equal to .833% of month end net assets (10%) per year. The Partnership  will pay
for clearing  fees, but not for floor  brokerage  which will be borne by SB. The
Customer  Agreement  between the  Partnership  and SB gives the  Partnership the
legal  right to net  unrealized  gains and losses.  Reference  should be made to
"Item 8. Financial  Statements and Supplementary  Data." for further information
regarding  the  brokerage  commissions  included  in the notes to the  financial
statements.
      In addition,  SB will pay the  Partnership  interest on 70% of the average
daily equity maintained in cash in its accounts during each month at the rate of
the  average  non-competitive  yield  of the  13-week  U.S.  Treasury  Bills  as
determined  at the  weekly  auctions  thereof  during the  month.  The  Customer
Agreement may be terminated upon notice by either party.
      (b) Financial  information  about  industry  segments.  The  Partnership's
business  consists  of  only  one  segment,  speculative  trading  of  commodity
interests, including forward contracts on foreign currencies,  commodity options
and commodity futures

                                      4

<PAGE>



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, 1996, 1995, 1994, 1993, and 1992 are
set forth under  "Item 6.  Select  Financial  Data."  Partnership  capital as of
December 31, 1996 was $6,139,970.
      (c)  Narrative description of business.
      See Paragraphs (a) and (b) above.
      (i) through (x) - Not applicable.
      (xi) through (xii) - Not applicable.
      (xiii) - The Partnership has no employees.
      (d)    Financial Information About Foreign and Domestic
             Operations  and Export Sales.  The  Partnership  does not engage in
sales of goods or services, and therefore this item is not applicable.
Item 2. Properties.
        The  Partnership  does  not own or lease  any  properties.  The  General
Partner operates out of facilities provided by its affiliate, SB.
Item 3. Legal Proceedings.
        There are no pending legal  proceedings  to which the  Partnership  is a
party or to which any of its assets is subject.  No material  legal  proceedings
affecting the Partnership were terminated during the fiscal year 1996.


                                      5

<PAGE>



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, 1996 was 661.
      (c)  Distribution.  The Partnership did not declare a
           distribution in 1996.

                                      6

<PAGE>



Item 6. Select Financial Data.
           Net realized and unrealized trading gains (losses),  interest income,
           net income (loss) and increase (decrease) in net asset value per Unit
           for the years ended December 31, 1996, 1995, 1994, 1993, and 1992 and
           total assets at December 31, 1996, 1995, 1994, 1993, and 1992 were as
           follows:

<TABLE>
<CAPTION>


                                        1996                1995            1994              1993             1992
                                    ------------        ------------    ------------     -------------    -------------
<S>                                     <C>                  <C>            <C>                <C>            <C>    

Net realized and unrealized 
 trading gains (losses) net 
 of brokerage  commissions and
 clearing fees of $493,435, 
 $618,168, $828,783, $1,057,289,
 and $1,036,415, respectively           $1,411,077      $ 1,706,320     $  (988,663)      $ 2,188,701      $(1,251,991)

Interest income                            202,098          256,528         238,826           215,048          249,629
                                        -----------     ------------    ------------      ------------     -----------

                                        $1,613,175      $ 1,962,848     $  (749,837)      $ 2,403,749      $(1,002,362)
                                        ===========     ============    ============      ============     ============

Net Income (loss)                       $1,141,619      $ 1,610,495     $(1,128,851)      $ 1,862,704      $(1,452,252)
                                        ===========     ============    ============      ============     ============

Increase (decrease) in net
 asset value per unit                      $423.08          $416.20        $(250.84)          $306.90         $(174.11)
                                           ========         ========       =========          ========        =========

Total assets                            $6,709,794      $ 6,537,230     $ 6,586,035       $10,415,370      $ 9,874,510
                                        ===========     ============    ============      ============     ===========

</TABLE>


                                            7

<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 and cash equivalents,  net unrealized  appreciation
(depreciation) on open futures contracts and interest receivable. Because of the
low margin deposits normally  required in commodity futures trading,  relatively
small price movements may result in substantial losses to the Partnership.  Such
substantial  losses could lead to a material decrease in liquidity.  To minimize
this risk, the Partnership follows certain policies including:
         (1)  Partnership  funds are invested only in commodity  contracts which
are traded in sufficient volume to permit, in the opinion of the Advisors,  ease
of taking and liquidating positions.
         (2)  The   Partnership   diversifies   its   positions   among  various
commodities.  No Advisor initiates additional positions in any commodity for the
Partnership if such additional positions would result in aggregate positions for
all  commodities  requiring  a margin of more than  66-2/3% of net assets of the
Partnership managed by the Advisor.
         (3) The  Partnership may  occasionally  accept delivery of a commodity.
Unless such  delivery is disposed  of  promptly  by  retendering  the  warehouse
receipt  representing  the  delivery  to the  appropriate  clearing  house,  the
physical commodity position is fully hedged.

                                      8

<PAGE>



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

                                      9

<PAGE>



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

                                      10

<PAGE>



technical  factors  which the  Partnership's  Advisors may or may not be able to
identify.  Partnership  expenses  consist of, among other  things,  commissions,
management  fees and incentive  fees.  The level of these  expenses is dependent
upon the level of trading and the ability of the  Advisors to identify  and take
advantage of price movements in the commodity markets,  in addition to the level
of Net  Assets  maintained.  The  amount of  interest  income  payable  by SB is
dependent  upon interest  rates over which the  Partnership  has no control.  No
forecast  can be made as to the level of  redemptions  in any given  period.  In
1996, 502 Units were redeemed for a total of $1,036,793. In 1995, 890 Units were
redeemed  for a  total  of  $1,705,059  which  includes  the  General  Partner's
redemption  representing 38 Unit equivalents  totaling  $74,532.  In 1994, 1,140
Units  were  redeemed  for a total of  $1,913,674  which  includes  the  General
Partner's redemption representing 435 Unit equivalents totaling $726,072.
      (c) Results of  operations.  For the year ended December 31, 1996, the net
asset value per Unit increased 21.6%, from $1,961.37 to $2,384.45.  For the year
ended  December  31,  1995,  the net asset value per Unit  increased  26.9% from
$1,545.17 to  $1,961.37.  For the year ended  December  31, 1994,  the net asset
value per Unit decreased 14.0%, from $1,796.01 to $1,545.17.
   The  Partnership   experienced   net  trading  gains  of  $1,904,512   before
commissions  and  expenses  in 1996.  Gains were  recognized  in the  trading of
currencies,  energy  products,  interest  rates and metals,  and were  partially
offset by losses in indices and

                                      11

<PAGE>



agricultural products.
      The  Partnership  experienced  net  trading  gains  of  $2,324,488  before
commissions  and expenses in 1995.  Realized  trading gains of  $2,541,756  were
attributable  to gains  incurred in the trading of interest  rates,  currencies,
stock  indices and  agricultural  commodity  futures.  However,  these  realized
trading gains were partially  offset by realized  trading losses  experienced in
the trading of commodity futures in energy and precious metals.
      The  Partnership   experienced  net  trading  losses  of  $159,880  before
commissions  and  expenses  in 1994.  Realized  trading  losses of $33,222  were
attributable  to trading in  financial,  industrial,  stock  indices  and energy
commodity futures.  However, these realized trading losses were partially offset
by realized  trading gains  experienced  in the trading of commodity  futures in
agricultural and precious metals.
      Commodity  futures markets are highly volatile.  Broad price  fluctuations
and rapid inflation increase the risks involved in commodity  trading,  but also
increase the possibility of profit. The profitability of the Partnership depends
on the  existence  of major  price  trends and the  ability of the  Advisors  to
identify  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 Advisors are able to identify  them,
the Partnership expects to increase capital through operations.

                                      12

<PAGE>



Item 8.   Financial Statements and Supplementary Data.




                     SHEARSON SELECT ADVISORS FUTURES FUND
                         INDEX TO FINANCIAL STATEMENTS



                                                                  Page
                                                                  Number


                Report of Independent Accountants.                  F-2

                Financial Statements:
                Statement of Financial Condition at
                December 31, 1996 and 1995.                         F-3

                Statement of Income and Expenses for
                the years ended December 31, 1996,
                1995 and 1994                                       F-4

                Statement of Partners' Capital for the
                years ended December 31, 1996, 1995 and
                1994.                                               F-5

                Notes to Financial Statements.                    F-6 -  F-11










                                      F-1

                                   Continued


<PAGE>

                        Report of Independent Accountants

To the Partners of
  Shearson Select Advisors
     Futures Fund:

We have audited the  accompanying  statement of financial  condition of SHEARSON
SELECT ADVISORS  FUTURES FUND (formerly  Shearson Lehman Select Advisors Futures
Fund L.P.) (a Delaware  Limited  Partnership)  as of December 31, 1996 and 1995,
and the related  statements of income and expenses and partners' capital for the
years ended December 31, 1996, 1995 and 1994. These financial statements are the
responsibility of the management of the General Partner.  Our  responsibility is
to express an opinion on these financial statements based on our audits.

We  conducted  our  audits  in  accordance  with  generally   accepted  auditing
standards.  Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement.  An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements.  An audit also includes
assessing the accounting  principles used and significant  estimates made by the
management of the General Partner,  as well as evaluating the overall  financial
statement  presentation.  We believe that our audits provide a reasonable  basis
for our opinion.

In our opinion,  the financial  statements  referred to above present fairly, in
all  material  respects,  the  financial  position of Shearson  Select  Advisors
Futures Fund as of December 31, 1996 and 1995, and the results of its operations
for the years  ended  December  31,  1996,  1995 and 1994,  in  conformity  with
generally accepted accounting principles.



                                                      Coopers & Lybrand L.L.P.

New York, New York
February 28, 1997

                                      F-2
<PAGE>


                            Shearson Select Advisors
                                  Futures Fund
                        Statement of Financial Condition
                           December 31, 1996 and 1995


                                                         1996           1995
Assets:
Equity in commodity futures
 trading account:
  Cash and cash equivalents (Note 3b)                 $6,581,238      $6,220,627
  Net unrealized appreciation
   on open futures contracts                             109,713         296,486
                                                      ----------      ----------
                                                       6,690,951       6,517,113
Interest receivable                                       18,843          20,117
                                                      ----------      ----------
                                                      $6,709,794      $6,537,230
                                                      ==========      ==========
Liabilities and Partners'
Capital:
Liabilities:
 Accrued expenses:
  Commissions                                         $   44,732      $   43,582
  Management fees                                         22,103          21,568
  Other                                                   34,022          23,087
  Incentive fees                                         175,680
 Redemptions payable (Note 5)                            293,287         413,849
                                                      ----------      ----------
                                                         569,824         502,086
                                                      ----------      ----------

Partners' capital (Notes 1, 5, and 6):
 General Partner, 34 Unit
  equivalents outstanding in
  1996 and 1995                                           81,071          66,687
 Limited Partners, 2,541 and
  3,043 Units of Limited
  Partnership Interest
  outstanding, in
  1996 and 1995, respectively                          6,058,899       5,968,457
                                                      ----------      ----------
                                                       6,139,970       6,035,144
                                                      ----------      ----------
                                                      $6,709,794      $6,537,230
                                                      ==========      ==========


See notes to financial statements.

                                      F-3
<PAGE>


                            Shearson Select Advisors
                                  Futures Fund
                        Statement of Income and Expenses
                               for the years ended
                        December 31, 1996, 1995 and 1994


                                          1996           1995          1994
Income:
 Net gains (losses) on
  trading of commodity
  interests:
  Realized gains (losses)
   on closed positions                $ 2,091,285    $ 2,541,756    $   (33,222)
  Change in unrealized
   gains/losses
   on open positions                     (186,773)      (217,268)      (126,658)
                                      -----------    -----------    -----------
                                        1,904,512      2,324,488       (159,880)
 Less, Brokerage commissions
  and clearing fees ($6,720,
  $7,491 and $10,714,
  respectively) (Note 3b)                (493,435)      (618,168)      (828,783)
                                      -----------    -----------    -----------
 Net realized and
  unrealized gains (losses)             1,411,077      1,706,320       (988,663)
 Interest income (Note 3b)                202,098        256,528        238,826
                                      -----------    -----------    -----------
                                        1,613,175      1,962,848       (749,837)
                                      -----------    -----------    -----------
Expenses:
 Management fees (Note 3a)                240,634        258,861        314,745
 Incentive fees (Note 3a)                 175,680         41,244         10,601
 Other expenses                            55,242         52,248         53,668
                                      -----------    -----------    -----------
                                          471,556        352,353        379,014
                                      -----------    -----------    -----------
Net income (loss)                     $ 1,141,619    $ 1,610,495    $(1,128,851)
                                      ===========    ===========    ===========
Net income (loss) per Unit
 of Limited Partnership
 Interest and General Partner Unit
 equivalent (Notes 1 and 6)           $    423.08    $    416.20    $   (250.84)
                                      ===========    ===========    ===========


See notes to financial statements.

                                      F-4
<PAGE>


                            Shearson Select Advisors
                                  Futures Fund
                     Statement of Partners' Capital for the
                 years ended December 31, 1996, 1995 and 1994


                                    Limited          General
                                    Partners         Partner           Total
Partners' capital at
  December 31, 1993               $ 8,261,656      $   910,577      $ 9,172,233
Net loss                           (1,055,598)         (73,253)      (1,128,851)
Redemption of 705
  Units of Limited
  Partnership Interest
  and General Partner
  redemption
  representing
  435 Unit equivalents             (1,187,602)        (726,072)      (1,913,674)
                                  -----------      -----------      -----------
Partners' capital at
  December 31, 1994                 6,018,456          111,252        6,129,708
Net income                          1,580,528           29,967        1,610,495
Redemption of 852
  Units of Limited
  Partnership Interest
  and General Partner
  redemption representing
  38 Unit equivalents              (1,630,527)         (74,532)      (1,705,059)
                                  -----------      -----------      -----------
Partners' capital at
  December 31, 1995                 5,968,457           66,687        6,035,144
Net income                          1,127,235           14,384        1,141,619
Redemption of 502
  Units of Limited
  Partnership Interest             (1,036,793)                       (1,036,793)
                                  -----------      -----------      -----------
Partners' capital at
  December 31, 1996               $ 6,058,899      $    81,071      $ 6,139,970
                                  ===========      ===========      ===========


See notes to financial statements.

                                      F-5
<PAGE>


                            Shearson Select Advisors
                                  Futures Fund
                          Notes to Financial Statements

1. Partnership Organization:

   Shearson  Select  Advisors  Futures  Fund,  formerly  Shearson  Lehman Select
   Advisors  Futures Fund L.P.,  (the  "Partnership")  is a limited  partnership
   which was  organized  under the laws of the State of Delaware on February 10,
   1987. The Partnership is engaged in the speculative  trading of 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  Inc.  acts as  the  general  partner (the
   "General  Partner")  of  the  Partnership.  Smith   Barney  Inc.  ("SB"),  an
   affiliate  of  the   General  Partner,  acts  as  commodity  broker  for  the
   Partnership (see Note 3b).

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

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

2. Accounting Policies:

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

                                      F-6
<PAGE>
                            Shearson Select Advisors
                                  Futures Fund
                          Notes to Financial Statements

   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.

3. Agreements:

   a.Management Agreements and Limited Partnership Agreement:

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

     At December 31, 1996 the General Partner had Management Agreements with the
     following Advisors: Sunrise Capital Management and John W. Henry & Company,
     Inc.  The  Management  Agreements  require the  General  Partner to pay the
     Advisors a management fee payable monthly of 4% per annum of the Net Assets
     of the  Partnership  managed by each Advisor and an  incentive  fee payable
     quarterly  equal to 10% of Net  Trading  Profits  earned on the Net  Assets
     managed by each Advisor.

                                      F-7
<PAGE>
                            Shearson Select Advisors
                                  Futures Fund
                          Notes to Financial Statements

   b.Customer Agreement

     The Partnership has entered into a Customer Agreement which was assigned to
     SB whereby SB provides  services  which  include,  among other things,  the
     execution of transactions for the Partnership's  account in accordance with
     orders placed by the Advisors. Effective July 1, 1995, the Partnership pays
     SB a monthly  brokerage  fee equal to .667% of month-end net assets (8% per
     year) in lieu of  brokerage  commissions  on a per trade  basis.  Brokerage
     commissions  were  reduced as of this date and the  Partnership  previously
     paid SB a monthly brokerage fee equal to .833% of month end net assets (10%
     per  year).  The  Partnership  pays for all  clearing  fees  but not  floor
     brokerage.   All  of  the   Partnership's   assets  are  deposited  in  the
     Partnership's account at SB. The Partnership's funds are deposited by SB in
     segregated   bank  accounts  as  required  by  Commodity   Futures  Trading
     Commission  regulations.  At December 31, 1996 and 1995, the amount of cash
     held for margin  requirements was $523,907 and $771,150,  respectively.  SB
     has agreed to pay the  Partnership  interest  on 70% of the  average  daily
     equity  in its  accounts  during  each  month  at the  rate of the  average
     noncompetitive  yield of 13-week U.S.  Treasury  Bills as determined at the
     weekly auctions  thereof during the month. The Customer  Agreement  between
     the  Partnership  and SB  gives  the  Partnership  the  legal  right to net
     unrealized gains and losses.  The Customer Agreement may be terminated upon
     notice by either party.

4. Trading Activities:

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

   All of the commodity  interests owned by the Partnership are held for trading
   purposes.  The fair value of these  commodity  interests,  including  options
   thereon,   at  December  31, 1996  and  1995  was  $109,713   and   $296,486,
   respectively,  and the average fair value during the years then ended,  based
   on monthly calculation, was $547,563 and $464,853 respectively.

5. Distributions and Redemptions:

   Distributions of profits,  if any, will be made at the sole discretion of the
   General Partner;  however, each limited partner may redeem some or all of 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.

                                      F-8
<PAGE>
                            Shearson Select Advisors
                                  Futures Fund
                          Notes to Financial Statements

6. Net Asset Value Per Unit:

   Changes in the net asset value per Unit during the years ended  December  31,
   1996, 1995, and 1994 were as follows:


                                1996            1995         1994
   Net realized and
   unrealized gains
   (losses)                 $  520.78       $  442.66      $ (222.14)
   Interest income              69.77           72.01          50.70
   Expenses                   (167.47)         (98.47)        (79.40)
                            ---------       ---------      ---------
   Increase (decrease)
   for year                    423.08          416.20        (250.84)
   Net asset value per
   Unit, beginning of year   1,961.37        1,545.17       1,796.01
                            ---------       ---------      ---------
   Net asset value per
   Unit, end of year        $2,384.45       $1,961.37      $1,545.17
                            =========       =========      =========

7. Financial Instrument Risk:

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

                                      F-9
<PAGE>
                            Shearson Select Advisors
                                  Futures Fund
                          Notes to Financial Statements

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

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

   The 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 not recorded
   in  the  financial  statements,  reflect  the  extent  of  the  Partnership's
   involvement  in these  instruments.  At December  31,  1996,  the notional or
   contractual  amounts of the  Partnership's  commitment  to purchase  and sell
   these instruments was $31,027,760 and $19,166,823, respectively. All of these
   instruments mature within one year of December 31, 1996. However,  due to the
   nature of the  Partnership's  business,  these instruments may not be held to
   maturity.  At  December  31,  1996,  the  fair  value  of  the  Partnership's
   derivatives, including options thereon, was $109,713, as detailed below.

                                      F-10
<PAGE>
                            Shearson Select Advisors
                                  Futures Fund
                          Notes to Financial Statements


                                   Notional or Contractual
                                    Amount of Commitments
                                  To Purchase       To Sell         Fair Value
Currencies
 -OTC Contracts                   $ 8,474,920      $ 6,350,389      $    38,097
Interest Rate U.S.                  1,251,469                0          (12,595)
Interest Rate
 Non-U.S.                          21,301,371        8,623,530          (11,939)
Metals                                      0        3,586,870           74,070
Indices                                     0          606,034           22,080
                                  -----------      -----------      -----------
Totals                            $31,027,760      $19,166,823      $   109,713
                                  ===========      ===========      ===========

8. Subsequent event:

   Effective  January 1, 1997,  Sunrise Capital  Management was terminated as an
   Advisor to the Partnership and the assets previously  managed by Sunrise were
   allocated to the Partnership's advisor, John W. Henry & Company, Inc.

   In addition,  also effective January 1, 1997, brokerage commissions have been
   reduced to .5% of month-end  net assets (6% per year) from .667% of month-end
   net assets (8% per year).

                                      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 Inc. At December
31, 1996 the General  Partner has  selected  two  Advisors,  neither of which is
affiliated  with the General  Partner or its parent.  The Advisors  selected are
Sunrise Commodities Inc. and John W. Henry & Company, Inc.
Item 11.  Executive Compensation.
            The  Partnership  has no  directors  or  officers.  Its  affairs are
managed by Smith Barney  Futures  Management  Inc., its General  Partner,  which
receives  compensation for its services,  as set forth under "Item 1. Business."
SB, an  affiliate  of the  General  Partner,  is the  commodity  broker  for the
Partnership and receives brokerage  commissions for such services,  as described
under  "Item 1.  Business."  For the year ended  December  31,  1996,  SB earned
$493,435 in brokerage  commissions  and clearing fees and $240,634 in management
fees were paid or were payable to the General Partner.  The General Partner also
earned  $175,680 in incentive  fees in 1996.  The Advisors are  compensated  for
management and incentive fees from the General Partner's own funds.

                                      13

<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 (1.3%) as of December 31, 1996.
            (c).  Changes in control.  None.
Item 13.   Certain Relationships and Related Transactions.
           Smith Barney Inc. and Smith Barney Futures  Management  Inc. would be
considered  promoters for purposes of Item 404 (d) of Regulation S-K. The nature
and the amounts of compensation  each promoter will receive from the Partnership
are set forth under "Item 1. Business." and "Item 11. Executive Compensation

                                    PART IV
Item 14.       Exhibits, Financial Statement Schedules, and Reports
               on Form 8-K.
      (a) (1)   Financial Statements:
                 Statement  of  Financial  Condition
                 at December  31, 1996 and 1995.  
                 Statement  of Income and  Expenses 
                 for the years ended December  31,  1996,
                 1995 and 1994.  
                 Statement  of  Partners' Capital
                 for the years ended December 31, 1996,
                 1995 and 1994.

                                      14

<PAGE>



           (2)  Financial Statement Schedules:  Financial Data
                  Schedule for the year ended December 31, 1996.
           (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).


                                      15

<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).


                                      16

<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).


                                      17

<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).
          10.17 -      Letter extending Management Agreement with John
                       W. Henry & Co., Inc. dated July 16, 1991 (filed

                                      18

<PAGE>



                       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).
          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

                                      19

<PAGE>



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

                                      20

<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


                                      21

<PAGE>



                                  SIGNATURES

       Pursuant  to  the  requirements  of  the  Securities  Act  of  1933,  the
Registrant  has duly  caused  this  Registration  Statement  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 24th day of March 1997.

SHEARSON SELECT ADVISORS FUTURES FUND


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



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


       Pursuant  to  the  requirements  of the  Securities  Act  of  1933,  this
Registration  Statement  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 Schaefer                 /s/    Daniel A. Dantuono
Michael Schaefer                          Daniel A. Dantuono
Director                                  Treasurer, Chief Financial
                                          Officer and Director



/s/  Philip M. Waterman, Jr.              /s/ Daniel R. McAuliffe, Jr.
Philip M. Waterman, Jr.                   Daniel R. McAuliffe, Jr.
Director and Vice-Chairman                Director




/s/ Steve J. Keltz                        /s/   Shelley Ullman
Steve J. Keltz                            Shelley Ullman
Secretary and Director                    Director



                                      22

<PAGE>