SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L P
alleging violations of certain federal and state antitrust laws in connection with the allocation of shares in initial public offerings when acting as underwriters. On November 3, 2003, the court granted Citigroup Global Markets' motion to dismiss the consolidated amended complaint in the antitrust case. On September 28, 2005, the United States Court of Appeals for the Second Circuit in In Re: Initial Public Offering Antitrust Litigation vacated the district court's order dismissing these actions and remanded for further proceedings. Research Settlement On April 28, 2003, Citigroup Global Markets announced final agreements with the SEC, the NASD, the NYSE and the New York Attorney General (as lead state among the 50 states, the District of Columbia and Puerto Rico) to resolve on a civil basis all of their outstanding investigations into its research and IPO allocation and distribution practices (the "Research Settlement"). As part of the Research Settlement, Citigroup Global Markets has consented to the entry of (1) an injunction under the federal securities laws to be entered in the United States District Court for the Southern District of New York, barring Citigroup Global Markets from violating provisions of the federal securities laws and related NASD and NYSE rules relating to research, certain IPO allocation practices, the safeguarding of material nonpublic information, and the maintenance of required books and records and requiring Citigroup Global Markets to adopt and enforce new restrictions on the operation of research; (2) an NASD Acceptance Waiver and Consent requiring Citigroup Global Markets to cease and desist from violations of corresponding NASD rules and requiring Citigroup Global Markets to adopt and enforce the same new restrictions; (3) an NYSE Stipulation and Consent requiring Citigroup Global Markets to cease and desist from violations of corresponding NYSE rules and requiring Citigroup Global Markets to adopt and enforce the same new restrictions; and (4) an Assurance of Discontinuance with the New York Attorney General containing substantially the same or similar restrictions. The Research Settlement requires Citigroup Global Markets to pay $300 million for retrospective relief, plus $25 million for investor education, and commit to spend $75 million to provide independent third-party research to its clients at no charge. Citigroup Global Markets reached these final settlement agreements without admitting or denying any wrongdoing or liability. The Research Settlement does not establish wrongdoing or liability for purposes of any other proceeding. The $300 million was accrued during the fourth quarter of 2002. To effectuate the Research Settlement, the SEC filed a Complaint and Final Judgment in the United States District Court for the Southern District of New York. On October 31, 2003, final judgment was entered against Citigroup Global Markets and nine other investment banks. The NASD has accepted the Letter of Acceptance, Waiver and Consent entered into with Citigroup Global Markets in connection with the Research Settlement. In May 2003, the NYSE advised Citigroup Global Markets that the Hearing Panel's Decision, in which it accepted the Research Settlement, had become final. As required by the Research Settlement, Citigroup Global Markets also has entered into separate settlement agreements with numerous states and certain U.S. territories. Several individual actions have been filed against Citigroup and Citigroup Global Markets relating to, among other things, research on Qwest Communications International, Inc. alleging violations of state and federal securities laws. Enron Regulatory Settlement On July 28, 2003, Citigroup (Citigroup Global Markets' ultimate parent) entered into a final settlement agreement with the SEC to resolve the SEC's outstanding investigations into Citigroup transactions with Enron Corp. and Dynegy Inc. Pursuant to the settlement, Citigroup has, among other terms, (1) consented to the entry of an administrative cease and desist order, which bars Citigroup from committing or causing violations of provisions of the federal securities laws, and (2) agreed to pay $120 million ($101.25 million allocable to Enron and $18.75 million allocable to Dynegy). Citigroup entered into this settlement without admitting or denying any wrongdoing or liability, and the settlement does not establish wrongdoing or liability for purposes of any other proceeding. On July 28, 2003, Citibank, N.A. entered into an agreement with the Office of the Comptroller of the Currency ("OCC") and Citigroup  4      entered into an agreement with the Federal Reserve Bank of New York ("FED") to resolve their inquiries into certain of Citigroup's transactions with Enron. Pursuant to the agreements, Citibank and Citigroup have agreed to submit plans to the OCC and FED, respectively, regarding the handling of complex structured finance transactions. Also on July 28, 2003, Citigroup entered into a settlement agreement with the Manhattan District Attorney's Office to resolve its investigation into certain of Citigroup' s transactions with Enron. Pursuant to that settlement, Citigroup has agreed to pay $25.5 million and to abide by its agreements with the SEC, OCC and FED. Enron-Related Civil Actions Citigroup Global Markets, Citigroup and various other Citigroup-related entities have been named as defendants in over 20 civil lawsuits pending in state and federal courts throughout the United States, alleging claims against Citigroup and Citigroup Global Markets based on their dealings with Enron. The majority of these cases have been brought by purchasers and sellers of Enron equity and debt securities and Enron-linked securities. Many of the plaintiffs in these actions are large, institutional investors that had substantial Enron and Enron-linked holdings. The lawsuits collectively allege as against Citigroup and/or its affiliates and subsidiaries, among other things, federal securities fraud, state law claims of negligent misrepresentation, fraud, breach of fiduciary duty, aiding and abetting a breach of fiduciary duty and related claims. In most of these lawsuits, Citigroup is named as a co-defendant along with other investment banks alleged to have had dealings with Enron. The majority of cases pending in the federal courts have been, or are in the process of being, consolidated before a single judge in the United States District Court for the Southern District of Texas. In addition, in five adversary proceedings in the Enron Chapter 11 bankruptcy, Enron and, in one case, its co-debtor affiliates and subsidiaries, and the Official Committee of Unsecured Creditors of Enron Corp., et al., have named Citigroup and/or its affiliates or subsidiaries as defendants. On June 13, 2005, Citigroup announced a settlement of the Enron class action litigation (Newby, et al v. Enron Corp., et al.) currently pending in the United States District Court for the Southern District of Texas, Houston Division. This settlement resolves all claims against Citigroup brought on behalf of the class of purchasers of publicly traded equity and debt securities issued by Enron and Enron-related entities between September 9, 1997 and December 2, 2001. The settlement, which involves a pre-tax payment of $2.0 billion to the settlement class, is fully covered by Citigroup's existing litigation reserves. It is subject to approval by the Board of Regents of the University of California (the lead plaintiff), the Citigroup Board and the District Court in Texas. A Citigroup affiliate, along with other defendants, settled all claims against it in In Re: Newpower Holdings Securities Litigation, a class action brought on behalf of certain investors in NewPower securities. Citigroup reached this settlement agreement without admitting any wrongdoing. On September 13, 2004, the United States District Court for the Southern District of New York preliminarily approved the settlement. In April 2005, Citigroup, along with other financial institution defendants, reached an agreement-in-principle to settle four state-court actions brought by various investment funds, which were not previously consolidated or coordinated with other actions. The four cases are OCM Opportunities Fund III, L.P., et al. v. Citigroup Inc., et al.; Pacific Investment Management Co. LLC, et al. v. Citigroup Inc., et al.; AUSA Life Insurance v. Citigroup Inc., et al. and Principal Global Investors v. Citigroup Inc., et al. The amounts to be paid in settlement of these actions are covered by existing litigation reserves. On August 26, 2005, a group of 15 plaintiffs filed an action in the United States District Court for the Southern District of Texas (Avenue Capital Management II, L.P., et al. v. J.P. Morgan-Chase & Co., et al.). The complaint names as defendants Citigroup Inc., Citibank, N.A., Citigroup Global Markets, and several J.P. Morgan entities and alleges fraud, breach of fiduciary duty and breach of contract arising out of Enron bank debt incurred under two syndicated revolving credit facilities and a syndicated letter of credit facility. Dynegy Inc. On June 6, 2003, the complaint in a pre-existing alleged class action pending in the United States District Court for the Southern District of Texas (In Re: Dynegy  Inc. Securities Litigation) brought by  5      purchasers of publicly traded debt and equity securities of Dynegy  Inc. was amended to add Citigroup, Citibank and Citigroup Global Markets as defendants. The plaintiffs allege violations of Sections 10(b) and 20(a) of the Securities Exchange Act of 1934, as amended, against the Citigroup defendants. The Citigroup defendants filed a motion to dismiss in March  2004, which motion was granted by the District Court in October  2004. The court denied lead plaintiff's request for leave to appeal. The court had also previously denied lead plaintiff's motion for leave to amend. No appeal was yet timely while the remainder of the case remained pending. On April 15, 2005, as part of a global settlement involving all defendants, Citigroup entered into a memorandum of understanding to settle this case. The amount to be paid in settlement is covered by existing litigation reserves. WorldCom-Related Litigation Citigroup, Citigroup Global Markets and certain executive officers and current and former employees have been named as defendants — along with twenty-two other investment banks, certain current and former WorldCom officers and directors, and WorldCom's former auditors — in a consolidated class action brought on behalf of individuals and entities who purchased or acquired publicly traded securities of WorldCom between April 29, 1999 and June 25, 2002 in In Re: Worldcom, Inc. Securities Litigation. The class action complaint asserts claims against Citigroup Global Markets under (i) Sections 11 and 12(a)(2) of the Securities Act of 1933, as amended, in connection with certain bond offerings in which it served as underwriter, and (ii) Sections 10(b) and 20(a) of the Securities Exchange Act of 1934, as amended, and Rule 10b-5 promulgated under Section 10(b), alleging that it participated in the preparation and/or issuance of misleading WorldCom registration statements and disseminated misleading research reports concerning WorldCom stock. In 2003, the district court denied Citigroup Global Markets' motion to dismiss the consolidated class action complaint and granted the plaintiffs' motion for class certification. Pursuant to an order entered May 28, 2003, the District Court consolidated approximately seventy-eight individual actions with the class action for pretrial proceedings. The claims asserted in these individual actions are substantially similar to the claims alleged in the class action and assert state and federal securities law claims based on Citigroup Global Markets' research reports concerning WorldCom and/or Citigroup Global Markets' role as an underwriter in WorldCom offerings. Plaintiffs in certain of these actions filed motions to remove their cases to state court. The District Court denied these motions and its rulings were upheld on appeal. Numerous other actions asserting claims against Citigroup Global Markets in connection with its research reports about WorldCom and/or its role as an investment banker for WorldCom are pending in other federal and state courts around the country. These actions have been remanded to various state courts, are pending in other federal courts, or have been conditionally transferred to the United States District Court for the Southern District of New York to be consolidated with the class action. In addition to the court suits, actions asserting claims against Citigroup and certain of its affiliates relating to its WorldCom research reports are pending in numerous arbitrations around the country. These actions assert claims that are substantially similar to the claims asserted in the class action. On May 10, 2004, Citigroup announced that it had agreed to pay $2.58 billion to settle the WorldCom class action suits. The United States District Court for the Southern District of New York granted approval of the proposed settlement on November 10, 2004. On September 17, 2004, Weinstein, et al. v. Ebbers, et al., an alleged class action against Citigroup Global Markets and others brought on behalf of holders of WorldCom securities asserting claims based on, among other things, Citigroup Global Markets' research reports concerning WorldCom, was dismissed with prejudice in its entirety by the United States District Court for the Southern District of New York. The plaintiffs noticed an appeal of the dismissal to the United States Court of Appeals for the Second Circuit on October 15, 2004. The parties have reached an agreement in principle on the terms of a settlement of this action. Citigroup and Citigroup Global Markets, along with a number of other defendants, have settled Retirement Systems of Alabama, et al. v. J.P. Morgan Chase & Co., et al., a WorldCom individual action that had been remanded to the Circuit Court of Montgomery County, Alabama. The settlement became final on September 30, 2004. 6     On June 28, 2004, the United States District Court for the Southern District of New York dismissed all claims under the Securities Act of 1933, as amended, and certain claims under the Securities Exchange Act of 1934 in In Re: Targets Securities Litigation, an alleged class action against Citigroup and Citigroup Global Markets and certain former employees, leaving only claims under the 1934 Act for purchases of Targeted Growth Enhanced Terms Securities With Respect to the Common Stock of MCI WorldCom, Inc. ("TARGETS") after July 30, 1999. On October 20, 2004, the parties signed a Memorandum of Understanding setting forth the terms of a settlement of all remaining claims in this action. The settlement was preliminarily approved by the Court on January 11, 2005. A fairness hearing was held on November 5, 2004 in connection with the proposed class settlement between plaintiffs and the Citigroup-related defendants in In Re: Worldcom, Inc. Securities Litigation.  Citigroup, along with other financial institutions and other defendants, entered into settlements resolving certain claims against Citigroup-related defendants in a number of WorldCom-related actions. The settlement amounts are covered by existing litigation reserves. Global Crossing On or about January 28, 2003, the lead plaintiff in a consolidated alleged class action in the United States District Court for the Southern District of New York (In Re: Global Crossing, Ltd. Securities Litigation) filed a consolidated complaint on behalf of purchasers of the securities of Global Crossing and Asia Global Crossing, which names as defendants, among others, Citigroup, Citigroup Global Markets, Citigroup Global Markets Holdings Inc. and certain executive officers and current and former employees. The alleged class action complaint asserts claims under the federal securities laws alleging that the defendants issued research reports without a reasonable basis in fact and failed to disclose conflicts of interest with Global Crossing in connection with published investment research. On March 22, 2004, the lead plaintiff amended its consolidated complaint to add claims on behalf of purchasers of the securities of Asia Global Crossing. The added claims assert causes of action under the federal securities laws and common law in connection with Citigroup Global Markets' research reports about Global Crossing and Asia Global Crossing and for Citigroup Global Markets' roles as an investment banker for Global Crossing and as an underwriter in the Global Crossing and Asia Global Crossing offerings. The Citigroup-related defendants moved to dismiss all of the claims against them on July 2, 2004. In March 2005, the plaintiffs and the Citigroup-related defendants reached a settlement of all claims against the Citigroup-related defendants, including both research and underwriting claims and claims concerning losses in both Global Crossing and Asia Global Crossing, for a total of $75 million. The Court granted preliminary approval of the settlement on March 8, 2005. In addition, on or about January 27, 2004, the Global Crossing Estate Representative filed in the United States Bankruptcy Court for the Southern District of New York (i) an adversary proceeding asserting claims against, among others, Citigroup, Citigroup Global Markets and certain executive officers and current and former employees, under federal bankruptcy law and common law in connection with Citigroup Global Markets' research reports about Global Crossing and for its role as an underwriter in Global Crossing offerings, and (ii) an adversary proceeding against Citigroup and several other financial institutions seeking to rescind the payment of a $1 billion loan made to a subsidiary of Global Crossing. The Citigroup-related defendants moved to dismiss the former action on June 26, 2004, and the latter on May 28, 2004. The plaintiffs and the Citigroup-related defendants have since entered into a definitive settlement agreement in the In Re: Global Crossing, Ltd. Securities Litigation; the settlement was preliminarily approved by the Court on March 8, 2005. The amount to be paid in settlement is covered by existing litigation reserves. In addition, actions asserting claims against Citigroup and certain of its affiliates relating to its Global Crossing research reports are pending in numerous arbitrations around the country. These arbitration proceedings assert claims that are substantially similar to the claims asserted in the alleged class action. Adelphia Communications Corporation On July 6, 2003, an adversary proceeding was filed by the Official Committee of Unsecured Creditors on behalf of Adelphia Communications Corporation against certain lenders and investment banks,  7      including Citigroup Global Markets, Citibank, N.A., Citicorp USA, Inc., and Citigroup Financial Products, Inc. (together, the "Citigroup Parties"). The complaint alleges that the Citigroup Parties and numerous other defendants committed acts in violation of the Bank Holding Company Act and the common law. The complaint seeks equitable relief and an unspecified amount of compensatory and punitive damages. In November 2003, a similar adversary proceeding was filed by the Equity Holders Committee of Adelphia. In June 2004, motions to dismiss were filed with respect to the complaints of the Official Committee of Unsecured Creditors and the Equity Holders Committee. The motions are currently pending. In addition, Citigroup Global Markets is among the underwriters named in numerous civil actions brought to date by investors in Adelphia debt securities in connection with Adelphia securities offerings between September 1997 and October 2001. Three of the complaints also asserted claims against Citigroup and Citibank, N.A. All of the complaints alleged violations of federal securities laws, and certain of the complaints also alleged violations of state securities laws and the common law. The complaints sought unspecified damages. In December 2003, a second amended complaint was filed and consolidated before the same judge of the United States District Court for the Southern District of New York. In May and July of 2005, the United States District Court for the Southern District of New York dismissed several claims on statute of limitations grounds in the class and individual actions being coordinated under In Re: Adelphia Communications Corporation Securities and Derivatives Litigation. With the exception of one individual action that was dismissed with prejudice, the court granted the class and individual plaintiffs leave to re-plead certain of those claims the court found to be time-barred. Additional motions to dismiss the class complaint and the remaining individual complaints on other grounds remain pending. Mutual Funds Citigroup and certain of its affiliates have been named in several class action litigations pending in various federal district courts arising out of alleged violations of the federal securities laws, the Investment Company Act and the common law (including breach of fiduciary duty and unjust enrichment). The claims concern practices in connection with the sale of mutual funds, including allegations involving market timing, revenue sharing, incentive payments for the sale of proprietary funds, undisclosed breakpoint discounts for the sale of certain classes of funds, inappropriate share class recommendations and inappropriate fund investments. The litigations involving market timing have been consolidated under the MDL rules in the United States District Court for the District of Maryland, and the litigations involving revenue sharing, incentive payment and other issues have been consolidated in the United States District Court for the Southern District of New York. The plaintiffs in these litigations generally seek unspecified compensatory damages, rescissionary damages, injunctive relief, costs and fees. In the principal market timing cases that name Citigroup, a lead plaintiff has been appointed but that plaintiff has not yet filed an amended complaint. In the cases concerning revenue sharing, incentive payment and other issues, the lead plaintiff filed a consolidated and amended complaint on December 15, 2004. Several issues in the mutual fund industry have come under the scrutiny of federal and state regulators. Citigroup has received subpoenas and other requests for information from various government regulators regarding market timing, financing, fees, sales practices and other mutual fund issues in connection with various investigations. Citigroup is cooperating with all such reviews. Additionally, Citigroup Global Markets has entered into a settlement agreement with the SEC with respect to revenue sharing and sales of classes of funds. On May 31, 2005, Citigroup announced that Smith Barney Fund Management LLC and Citigroup Global Markets completed a settlement with the SEC resolving an investigation by the SEC into matters relating to arrangements between certain Smith Barney mutual funds, an affiliated transfer agent and an unaffiliated sub-transfer agent. Under the terms of the settlement, Citigroup agreed to pay fines totaling $208.1 million. The settlement, in which Citigroup neither admitted nor denied any wrongdoing or liability, includes allegations of willful misconduct by Smith Barney Fund Management LLC and Citigroup Global Markets in failing to disclose aspects of the transfer agent arrangements to certain mutual fund investors. 8     Research Analyst Litigation Since May 2002, Citigroup Global Markets and certain executive officers and current and former employees have been named as defendants in numerous alleged class action complaints, individual actions, and arbitration demands by purchasers of various securities alleging that they violated federal securities law, including Sections 10 and 20 of the Securities Exchange Act of 1934, as amended, and certain state laws for allegedly issuing research reports without a reasonable basis in fact and for allegedly failing to disclose conflicts of interest with companies in connection with published investment research, including Global Crossing, Ltd., AT&T Corp., Level 3 Communications, Inc., Metromedia Fiber Network, Inc., XO Communications, Inc., Williams Communications Group Inc., and Focal Communications, Inc. The alleged class actions relating to research of these companies are pending before a single judge in the United States District Court for the Southern District of New York for coordinated proceedings. The Court has consolidated these actions into separate proceedings corresponding to the companies named above. On December 2, 2004, the Court granted in part and denied in part the Citigroup-related defendants' motions to dismiss the claims against it in the AT&T, Level 3, XO and Williams actions. On January 6, 2005, the Court granted in part and denied in part Citigroup's motion to dismiss the claims against it in the Metromedia action. On September 27, 2005, Citigroup entered into a memorandum of agreement settling all claims against the Citigroup-related defendants in In Re: Salomon Analyst AT&T Litigation, a class action alleging research analyst conflicts of interest. The settlement amount is covered by existing litigation reserves. The settlement is subject to judicial approval. In addition to the alleged research class actions, several individual actions have been filed against Citigroup and Citigroup Global Markets relating to, among other things, research on Qwest Communications International, Inc. These actions allege violations of state and federal securities laws in connection with Citigroup Global Markets' publication of research about Qwest and its underwriting of Qwest securities. Two alleged class actions against Citigroup Global Markets asserting common law claims in connection with published investment research on behalf of Citigroup Global Markets customers have been dismissed by United States District Courts, one of which was affirmed by the United States Court of Appeals for the Ninth Circuit, and one of which is pending on appeal to the United States Courts of Appeals for the Third Circuit. Plaintiffs in the Ninth Circuit case have sought review by the United States Supreme Court; their request for an appeal to that Court is pending. On September 22, 2005, Citigroup reached an agreement-in-principle to settle all claims against the Citigroup-related defendants in Norman v. Salomon Smith Barney, et al., a class action asserting violations of the Investment Advisers Act of 1940 and various common law claims in connection with certain investors who maintained guided portfolio management accounts at Smith Barney. The settlement amount is covered by existing litigation reserves. The settlement is subject to judicial approval. On August 17, 2005, in Disher v. Citigroup Global Markets Inc., the United States Court of Appeals for the Seventh Circuit reversed the district court's grant of plaintiffs' motion to remand the case to state court, and directed the district court to dismiss the case as preempted under the Securities Litigation Uniform Standards Act ("SLUSA"). The United States Supreme Court has granted review in another case involving SLUSA that may affect the Seventh Circuit's dismissal of the Disher matter. In Sturm, et al. v. Citigroup, et al., an NASD arbitration seeking significant compensatory and punitive damages, claimants' asserted common law claims, including fraud, arising out of alleged research analyst conflicts of interest related to Citigroup Global Markets research coverage of WorldCom. Supervisory Investigation In May 2003, the SEC, NYSE and NASD issued a subpoena and letters to Citigroup Global Markets requesting documents and information with respect to their continuing investigation of individuals in connection with the supervision of the research and investment banking departments of Citigroup Global Markets. Other parties to the Research Settlement have received similar subpoenas and letters. 9     West Virginia Attorney General Suit On June 23, 2003, the West Virginia Attorney General filed an action against Citigroup Global Markets and nine other firms that were parties to the Research Settlement. The West Virginia Attorney General alleges that the firms violated the West Virginia Consumer Credit and Protection Act in connection with their research activities and seeks monetary penalties. Citigroup Shareholder Litigation In July 2002, Citigroup, Citigroup Global Markets and certain officers were named as defendants in an alleged class action filed in the United States District Court for the Southern District of New York, brought on behalf of purchasers of Citigroup common stock between July 24, 1999 and July 23, 2002. The complaint seeks unspecified compensatory and punitive damages for alleged violations of Sections 10(b) and 20(a) of the Securities Exchange Act of 1934, and for common law fraud. Fourteen virtually identical complaints have been filed and consolidated. The complaints allege that Citigroup misstated the extent of its Enron-related exposure, and that Citigroup's stock price fell once the true extent of Citigroup's Enron involvements became known. Plaintiffs filed an amended complaint on March 10, 2003, which incorporated the allegations in the 15 separate actions and added new material as well. The amended complaint focuses on certain transactions between Citigroup and Enron and alleged analyst conflicts of interest. The class period for the consolidated amended complaint is July 24, 1999 to December 11, 2002. On June 2, 2003, Citigroup filed a motion to dismiss the consolidated amended complaint. Plaintiffs' response was filed on July 30, and Citigroup's reply was filed on October 3, 2003. On August 10, 2004, Judge Swain granted Citigroup's motion to dismiss the consolidated amended complaint. The plaintiffs filed a notice of appeal in October 2004. NASD Settlement In November 2004, Citigroup Global Markets entered into a final agreement with the NASD to resolve the NASD's investigation into certain of its selling practices. Without admitting or denying any allegations or findings, Citigroup Global Markets accepted certain factual findings by the NASD that it (i) sold units in two managed futures funds to 45 customers for whom the investment was not suitable, (ii) failed to maintain records disclosing the basis upon which its investor suitability determinations were made and (iii) failed to adequately disclose the risks of investing in managed futures products on its website. Citigroup Global Markets consented to a censure and a fine of $275,000 and offered to redeem the investment of the customers for whom investment in the two managed futures funds was found not suitable. In the course of its business, CGM, as a major futures commission merchant and broker-dealer is a party to various claims and routine regulatory investigations and proceedings that the general partner believes do not have a material adverse effect on the business of CGM. Item 4.    Submission of Matters to a Vote of Security Holders.  There were no matters submitted to the security holders for a vote during the last fiscal year covered by this report. PART II Item 5.    Market for Registrant's Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities.  (a) Market Information. The Partnership has issued no stock. There is no established public trading market for the Redeemable Units of Limited Partnership Interest. (b) Holders. The number of holders of Redeemable Units of Limited Partnership Interest as of December 31, 2005 was 249. (c) Dividends. The Partnership did not declare a distribution in 2005 or 2004. 10     (d) Use of Proceeds. There were no additional sales in the years ended December 31, 2005, 2004 and 2003. (e) Compensation Plans. None Item 6.    Selected Financial Data.  Net realized and unrealized trading gains, interest income, net income and increase in Net Asset Value per Redeemable Unit for the years ended December 31, 2005, 2004, 2003, 2002 and 2001 and total assets at December 31, 2005, 2004, 2003, 2002 and 2001 were as follows:                                  2005  2004  2003  2002  2001   Net realized and unrealized trading gains (losses) net of brokerage commissions (including clearing fees) of $207,962, $243,995, $283,408, $226,451 and $216,379 respectively  $                (878,772 )   $ 190,473    $ 919,661    $ 1,483,403    $ 159,010                                            Interest income    72,316      35,338      31,236      38,736      82,770        $                (806,456 )   $ 225,811    $ 950,897    $ 1,522,139    $ 241,780     Net income (loss)  $                (1,024,986 )   $ 30,568    $ 693,305    $ 1,220,121    $ 71,103                                            Increase (decrease) in Net Asset Value per Redeemable Unit  $                (957.16 )   $ 67.68    $ 579.64    $ 945.40    $ 37.64                                            Total assets  $ 3,195,444    $ 4,502,656    $ 4,574,180    $ 4,305,348    $ 3,282,220          Item 7.    Management's Discussion and Analysis of Financial Condition and Results of Operations.  Overview The Partnership aims to achieve substantial capital appreciation through speculative trading in U.S. and international markets for currencies, interest rates, stock indices, agricultural and energy products and precious and base metals. The Partnership may employ futures, options on futures, forward, spot and swap contracts in those markets. The General Partner manages all business of the Partnership. The General Partner has delegated its responsibility for the investment of the Partnership's assets to JWH. The General Partner employs a team of approximately 20 professionals whose primary emphasis is on attempting to maintain quality control among the advisors to the Partnerships operated or managed by the General Partner. A full-time staff of due diligence professionals use state-of-the-art technology and on-site evaluations to monitor new and existing futures money managers. The accounting and operations staff provides processing of trading activity and reporting to limited partners and regulatory authorities. In selecting the Advisor for the Partnership, the General Partner considered past performance, trading style, volatility of markets traded and fee requirements. Responsibilities of the General Partner include:       •  due diligence examinations of the Advisor;         •  selection, appointment and termination of the Advisor;         •  negotiation of the management agreement; and         •  monitoring the activity of the Advisor.   In addition, the General Partner prepares the books and records and provides the administrative and compliance services that are required by law or regulation from time to time in connection with operation  11      of the Partnership. These services include the preparation of required books and records and reports to limited partners, government agencies and regulators; computation of net asset value; calculation of fees; effecting subscriptions, redemptions and limited partner communications; and preparation of offering documents and sales literature. The General Partner shall seek the best prices and services available in its commodity futures brokerage transactions. The General Partner reviews at least annually, the brokerage rates charged to commodity pools similar to the Partnership to determine that the brokerage fee the Partnership pays is competitive with other rates. The Advisor specializes in managing institutional and individual capital in the global futures, interest rate and foreign exchange markets. Since 1981, JWH has developed and implemented proprietary trend-following trading techniques that focus on long-term trends. JWH trades its Financials and Metals Portfolio ("F&M") on behalf of the Partnership. F&M seeks to identify and capitalize on intermediate-term price movements in four worldwide market sectors: currencies, interest rates, metals and global stock indices. The program uses the three-phase investment style. Beginning in August 1992, the position size in relation to account equity in this program was reduced 50%. Since the changes were implemented in 1992, F&M has experienced lower volatility. (a) Liquidity.  The Partnership does not engage in sales of goods or services. Its only assets are its equity in its commodity futures trading account, consisting of cash, net unrealized appreciation (depreciation) on open futures and forward contracts and interest receivable. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership. Such substantial losses could lead to a material loss in liquidity. To minimize this risk relating to low margin deposits, the Partnership follows certain trading policies, including:       (i)  The Partnership invests its assets only in commodity interests that the Advisor believes are traded in sufficient volume to permit ease of taking and liquidating positions. Sufficient volume, in this context, refers to a level of liquidity that the Advisor believes will permit it to enter and exit trades without noticeably moving the market.         (ii)  The Advisor will not initiate additional positions in any commodity if these positions would result in aggregate positions requiring a margin of more than 66  2/3% of the Partnership's net assets allocated to the Advisor.         (iii)  The Partnership may occasionally accept delivery of a commodity. Unless such delivery is disposed of promptly by reentering the warehouse receipt representing the delivery to the appropriate clearinghouse, the physical commodity position is fully hedged.         (iv)  The Partnership does not employ the trading technique commonly known as "pyramiding", in which the speculator uses unrealized profits on existing positions as margin for the purchases or sale of additional positions in the same or related commodities.         (v)  The Partnership does not utilize borrowings except short-term borrowings if the Partnership takes delivery of any cash commodities.         (vi)  The Advisor may, from time to time, employ trading strategies such as spreads or straddles on behalf of the Partnership. The term "spread" or "straddle" describes a commodity futures trading strategy involving the simultaneous buying and selling of futures contracts on the same commodity but involving different delivery dates or markets and in which the trader expects to earn a profit from a widening or narrowing of the difference between the prices of the two contracts.         (vii)  The Partnership will not permit the churning of its commodity trading account. The term "churning" refers to the practice of entering and exiting trades with a frequency unwarranted by legitimate efforts to profit from the trades, driven by the desire to generate commission income.   12     In the normal course of business, the Partnership is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments include forwards, futures, options and swaps, whose values are based upon an underlying asset, index or reference rate, and generally represent future commitments to exchange currencies or cash flows, or to purchase or sell other financial instruments at specified terms at specified future dates, or, in the case of derivative commodity interests, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter ("OTC"). Exchange traded instruments are standardized and include futures and certain option contracts. OTC contracts are negotiated between contracting parties and include forwards, swaps and certain options. Each of these instruments is subject to various risks similar to those relating to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange traded instruments because of the greater risk of default by the counterparty to an OTC contract. Market risk is the potential for changes in the value of the financial instruments traded by the Partnership due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk with respect to exchange traded instruments is reduced to the extent that an exchange or clearing organization acts as counterparty to the transactions. The Partnership's risk of loss in the event of counterparty default is typically limited to the amounts recognized in the statements of financial condition and not represented by the contract or notional amounts of the instruments. The Partnership has credit risk and concentration risk because the sole counterparty or broker with respect to the Partnership's assets is CGM. The General Partner monitors and controls the Partnership's risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership is subject. These monitoring systems allow the General Partner to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition, on-line monitoring systems provide account analysis of futures, forwards and options positions by sector, margin requirements, gain and loss transactions and collateral positions. (See also "Item 8. Financial Statements and Supplementary Data" for further information on financial instrument risk included in the notes to the financial statements.) Other than the risks inherent in commodity trading, the Partnership knows of no trends, demands, commitments, events or uncertainties which will result in or which are reasonably likely to result in the Partnership's liquidity increasing or decreasing in any material way. 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 Redeemable 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 trading and by expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any. Gains or losses on trading cannot be predicted. Market moves in commodities are dependent upon fundamental and technical factors which the Advisor may or may not be able to identify, such as changing supply and demand relationships, weather, government agricultural, commercial and trade programs and policies, national and international political and economic events and changes in interest rates. Partnership expenses consist of, among other things, commissions, advisory fees and administrative fees. The level of these expenses is dependent upon the level of trading and the ability of the Advisor to identify and take advantage of price movements in the commodity markets, in addition to the level of Net Assets maintained. In addition, the amount of interest income payable by CGM is dependent upon interest rates over which the Partnership has no control. 13     No forecast can be made as to the level of redemptions in any given period. A limited partner may redeem some or all of their Redeemable Units at the net asset value thereof as of the last day of any calendar quarter on 15 days notice to the General Partner. For the year ended December 31, 2005, 92 Redeemable Units were redeemed for a total of $278,361. For the year ended December 31, 2004, 73 Redeemable Units were redeemed for a total of $245,440. For the year ended December 31, 2003, 68 Redeemable Units were redeemed for a total of $259,485. (c)    Results of Operations. For the year ended December 31, 2005, the Net Asset Value per Redeemable Unit decreased 23.9% from $4,002.21 to $3,045.05. For the year ended December 31, 2004, the Net Asset Value per Redeemable Unit increased 1.7% from $3,934.53 to $4,002.21. For the year ended December 31, 2003, the Net Asset Value per Redeemable Unit increased 17.3%, from $3,354.89 to $3,934.53. The Partnership experienced a net trading loss before brokerage commissions and related fees in 2005 of $670,810. Losses were primarily attributable to the trading of currencies, U.S. and non-U.S. interest rates and were partially offset by gains in indices and metals. The year 2005 was characterized by several events that made it extraordinarily difficult for the advisor's program to trade successfully and to retain profits when earned. While profitable trading did occur in the metals and stock index sectors, these relatively minor gains were offset by losses experienced in the other sectors. In financial markets, foreign stock market indices were the most profitable sector for the Partnership for the year as a resurging Japanese economy and positive political news in Europe propelled these markets out of long-term doldrums. More than offsetting these gains were losses in US and non-US interest rate contract trading. Currency trading was also unprofitable with the focus being the U.S. dollar versus both European and Asian currencies. After a prolonged decline in 2004, the U.S. dollar defied expectations for further weakness and rallied in January resulting in losses for the advisors at the beginning of the year. The dollar continued strengthening through the second quarter but encountered a prolonged period of volatility at the beginning of the third quarter with the Chinese governments decision to revalue the Chinese yuan. Profitable trading over the last half of the year in precious and base metals trading was able to offset most but not all of the losses incurred earlier in the year in the these markets. The Partnership ended year basically flat in these markets. Overall, it was a particularly difficult year for the Partnership's advisor with periods of favorable market conditions abruptly dashed by single events and prolonged volatility. The Partnership experienced a net trading gain before brokerage commissions and related fees in 2004 of $434,468. Gains were primarily attributable to the trading of currencies, U.S. interest rates and indices. Trading results for the year 2004 can be described in three distinct periods: the first two months of the year produced positive results of over 6% with trends carrying over from late 2003, the middle five months experienced extraordinarily difficult conditions and losses of approximately 35% from record highs for the Partnership, and finally August through December which witnessed a recovery period with an increase in net asset value per unit of nearly 48%. The results for the year were heavily influenced by two market events: the decline in the value and subsequent volatility of the U.S. dollar versus major currencies and volatile global interest rate and metals markets. 2004 started strongly with many of the trends from late 2003 continuing into early 2004. Notably lower interest rates in the U.S. and other major countries fostered strong global economic growth and pressured commodity prices. These resulted in upward trends in primarily industrial metals and provided profitable trading opportunities for the Partnership's advisor. These trends persisted into early March when economic indicators in the U.S. and China suggested rising inflation and markets reversed with higher interest rates, collapsing commodity prices and the dollar reversal. This began a protracted period of tentative and conflicting trends across many sectors. As expected in the nature of trend-following, the strength of profitable trends is often followed by temporary but often  14      severe periods of losses. March through July 2004 was such a period for the Partnership's advisor as positions were adjusted from what had been profitable, long-term trends to choppy, directionless and volatile markets. Trading was treacherous and thus unprofitable in U.S. and Asian interest rates and global stock indices while metals trading provided some offsetting profits. The fundamental economic concerns hanging over these markets were further exacerbated by the uncertainty surrounding the tightly contested U.S. presidential election. With 2004 looking dismal going into the late summer and the price of crude oil climbing to $50 a barrel and the U.S. dollar began a precipitous slide toward $1.40 to the euro. These renewed trends in currency prices combined with declining interest rates and stronger global stock markets were favorable to the Partnership's advisor and provided a solidly profitable August and December for the Partnership. In spite of an extremely difficult and challenging year, the Partnership had an overall increase in net asset value per unit for the year. The Partnership experienced a net trading gain before brokerage commissions and related fees in 2003 of $1,203,069. Gains were primarily attributable to the trading of currencies, U.S. interest rates and indices. In the General Partner's opinion, the Advisor continues to employ its trading methods in a consistent and disciplined manner and its results are consistent with the objectives of the Partnership and expectations for the Advisor's program. The General Partner continues to monitor the Advisor's performance on a daily, weekly, monthly and annual basis to assure these objectives are met. It should be noted that commodity markets are highly volatile. Broad price fluctuations and rapid inflation increase the risks involved in commodity trading, but also increase the possibility of profit. The profitability of the Partnership depends on the existence of major price trends and the ability of the Advisor to identify those price trends correctly. Price trends are influenced by, among other things, changing supply and demand relationships, weather, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events and changes in interest rates. To the extent that market trends exist and the Advisor is able to identify them, the Partnership expects to increase capital through operations. (d)    Operational Risk  The Partnership is directly exposed to market risk and credit risk, which arise in the normal course of its business activities. Slightly less direct, but of critical importance, are risks pertaining to operational and back office support. This is particularly the case in a rapidly changing and increasingly global environment with increasing transaction volumes and an expansion in the number and complexity of products in the marketplace. Such risks include:  Operational/Settlement Risk — the risk of financial and opportunity loss and legal liability attributable to operational problems, such as inaccurate pricing of transactions, untimely trade execution, clearance and/or settlement, or the inability to process large volumes of transactions. The Partnership is subject to increased risks with respect to its trading activities in emerging market securities, where clearance, settlement, and custodial risks are often greater than in more established markets.  Technological Risk — the risk of loss attributable to technological limitations or hardware failure that constrain the Partnership's ability to gather, process, and communicate information efficiently and securely, without interruption, to customers, among Redeemable Units within the Partnership, and in the markets where the Partnership participates.  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  15      communicated to external parties, including the Partnership's Redeemable Unit holders, creditors, and regulators, is free of material errors. (e)    Critical Accounting Policies. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, revenues and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. All commodity interests (including derivative financial instruments and derivative commodity instruments) are used for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded in the statements of financial condition at fair value on the last business day of the period, which represents market value for those commodity interests for which market quotations are readily available or other measures of fair value deemed appropriate by management of the General Partner for those commodity interests and foreign currencies for which market quotations are not readily available, including dealer quotes for swaps and certain option contracts. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing on the last business day of the period. Realized gains (losses) and changes in unrealized values on commodity interests and foreign currencies are recognized in the period in which the contract is closed or the changes occur and are included in net gains (losses) on trading of commodity interests. Foreign currency contracts are those contracts where the Partnership agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Foreign currency contracts are valued daily, and the Partnership's net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting dates, is included in the statements of financial condition. Realized gains (losses) and changes in unrealized values on foreign currency contracts are recognized in the period in which the contract is closed or the changes occur and are included in the statements of income and expenses and partners' capital. The General Partner believes that the accounting policies that will be most critical to the Partnership's financial condition and results of operations relate to the valuation of the Partnership's positions. The majority of the Partnership's positions will be exchange-traded futures contracts, which will be valued daily at settlement prices published by the exchanges. If applicable, the Partnership's spot and forward foreign currency contracts will also be valued at published daily settlement prices or at dealers' quotes. The General Partner expects that under normal circumstances substantially all of the Partnership's assets will be valued by objective measures and without difficulty. Item 7A.    Quantitative and Qualitative Disclosures About Market Risk  Introduction The Partnership is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes, and all or substantially all of the Partnership's assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Partnership's main line of business. The risk to the limited partners that have purchased interests in the Partnership is limited to the amount of their capital contributions to the Partnership and their share of the Partnership assets and undistributed profits. This limited liability is a consequence of the organization of the Partnership as a limited partnership under applicable law. Market movements result in frequent changes in the fair market value of the Partnership's open positions and, consequently, in its earnings and cash flow. The Partnership's market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification results among the Partnership's open positions and the liquidity of the markets in which it trades. 16     The Partnership rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Partnership's past performance is not necessarily indicative of its future results. Value at Risk is a measure of the maximum amount which the Partnership could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Partnership's speculative trading and the recurrence in the markets traded by the Partnership of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Partnership's experience to date (i.e., "risk of ruin"). In light of the foregoing as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification in this section should not be considered to constitute any assurance or representation that the Partnership's losses in any market sector will be limited to Value at Risk or by the Partnership's attempts to manage its market risk. Quantifying the Partnership's Trading Value at Risk The following quantitative disclosures regarding the Partnership's market risk exposures contain "forward-looking statements" within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 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 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. The fair value of the Partnership's futures and forward positions does not have any optionality component. However, the Advisor may trade commodity options. The Value at Risk associated with options is reflected in the following table as the margin requirement attributable to the instrument underlying each option. Where this instrument is a futures contract, the futures margin, and where this instrument is a physical commodity, the futures-equivalent maintenance margin has been used. This calculation is conservative in that it assumes that the fair value of an option will decline by the same amount as the fair value of the underlying instrument, whereas, in fact, the fair values of the options traded by the Partnership in almost all cases fluctuate to a lesser extent than those of the underlying instruments. In quantifying the Partnership's Value at Risk, 100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have simply been added to determine each trading category's aggregate Value at Risk. The diversification effects resulting from the fact that the Partnership's positions are rarely, if ever, 100% positively correlated have not been reflected. 17     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, 2005, and the highest, lowest and average value at any point during the year. All open position trading risk exposures of the Partnership have been included in calculating the figures set forth below. As of December 31, 2005, the Partnership's total capitalization was $2,975,014. December 31, 2005                               Market Sector  Value at Risk  % of Total Capitalization  High Value at Risk  LowValue at Risk  AverageValue at Risk*   Currencies:                                      – OTC  $  73,808      2.48 %   $  638,005    $  36,387    $  135,401     Interest Rates U.S.    27,400      0.92 %     48,950      5,750      26,953     Interest Rates Non-U.S.    30,942      1.04 %     281,619      30,942      122,723     – Exchange Traded     9,000      0.30 %     18,000      5,000      10,917     – OTC    28,375      0.95 %     184,423      7,400      41,948     Indices    145,355      4.89 %     462,541      10,795      122,509     Total  $  314,880      10.58 %                                                 *  Annual average based on month-end Value at Risk   As of December 31, 2004, the Partnership's total capitalization was $4,278,361. December 31, 2004                               Market Sector  Value at Risk  % of Total Capitalization  High Value at Risk  LowValue at Risk  AverageValue at Risk*   Currencies                                      – OTC   $ 269,761      6.31 %   $ 1,057,118    $ 17,780    $ 153,509     Interest Rates U.S.    36,400      0.85 %     65,900      13,200      45,363     Interest Rates Non-U.S.    264,642      6.18 %     289,801      83,677      218,016     Metals                                      – Exchange Traded     18,000      0.42 %     19,500      7,500      17,875     – OTC    38,675      0.90 %     50,050      3,300      25,760     Indices    156,025      3.65 %     276,110      8,655      100,241     Total  $ 783,503      18.31 %                                                 *  Annual average based on month-end Value at Risk   Material Limitations on Value at Risk as an Assessment of Market Risk The face value of the market sector instruments held by the Partnership is typically many times the applicable maintenance margin requirement (margin requirements generally range between 2% and 15% of contract face value) as well as many times the capitalization of the Partnership. The magnitude of the 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. 18     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 Advisor for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Partnership's risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the management strategies of the Partnership. There can be no assurance that the Partnership's current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long- term. Investors must be prepared to lose all or substantially all of their investment in the Partnership. The following were the primary trading risk exposures of the Partnership as of December 31, 2005, by market sector.  Interest Rates. Interest rate movements directly affect the price of the futures positions held by the Partnership and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Partnership's profitability. The Partnership's primary interest rate exposure is to interest rate fluctuations in the United States and the other G-8 countries. However, the Partnership also takes futures positions on the government debt of smaller nations — e.g., Australia.  Currencies. The Partnership's currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions. The General Partner does not anticipate that the risk profile of the Partnership's currency sector will change significantly in the future. The currency trading Value at Risk figure includes foreign margin amounts converted into U.S. dollars with an incremental adjustment to reflect the exchange rate risk inherent to the U. S. dollar-based Partnership in expressing Value at Risk in a functional currency other than U.S. dollars.  Stock Indices. The Partnership's primary equity exposure is to equity price risk in the G-8 countries. The stock index futures traded by the Partnership are limited to futures on broadly based indices. The General Partner anticipates little, if any, trading in non-G-8 stock indices. The Partnership is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Japanese indices. (Static markets would not cause major market changes but would make it difficult for the Partnership to avoid being "whipsawed" into numerous small losses.)  Metals. The Partnership's primary metal market exposure is to fluctuations in the price of gold, aluminum and copper. Qualitative Disclosures Regarding Non-Trading Risk Exposure The following were the only non-trading risk exposures of the Partnership as of December 31, 2005.  Foreign Currency Balances. The Partnership's primary foreign currency balances are in Japanese yen, British pounds and Australian dollars. The Advisor regularly converts foreign currency balances to U.S. dollars in an attempt to control the Partnership's non-trading risk. 19     Qualitative Disclosures Regarding Means of Managing Risk Exposure The General Partner monitors and controls the Partnership's risk exposure on a daily basis through financial, credit and risk management monitoring systems and accordingly believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership is subject. The General Partner monitors the Partnership's performance and the concentration of its open positions, and consults with the Advisor concerning the Partnership's overall risk profile. If the General Partner felt it necessary to do so, the General Partner could require the Advisor to close out individual positions as well as enter certain positions traded on behalf of the Partnership. However, any such intervention would be a highly unusual event. The General Partner primarily relies on the Advisor's own risk control policies while maintaining a general supervisory overview of the Partnership's market risk exposures. The Advisor applies its own risk management policies to its trading. The Advisor often follows diversification guidelines, margin limits and stop loss points to exit a position. The Advisor's research of risk management often suggests ongoing modifications to its trading programs. As part of the General Partner's risk management, the General Partner periodically meets with the Advisor to discuss its risk management and to look for any material changes to the Advisor's portfolio balance and trading techniques. The Advisor is required to notify the General Partner of any material changes to its programs.  20     Item 8.    Financial Statements and Supplementary Data.  SHEARSON SELECT ADVISORS FUTURES FUND L.P. INDEX TO FINANCIAL STATEMENTS                  Page Number   Oath or Affirmation  F-2   Report of Independent Registered Public Accounting Firm  F-3   Financial Statements:      Statements of Financial Condition at December 31, 2005 and 2004  F-4   Condensed Schedules of Investments at December 31, 2005 and 2004  F-5 – F-6   Statements of Income and Expenses for the years ended December 31, 2005, 2004 and 2003  F-7   Statements of Changes in Partners' Capital for the years ended December 31, 2005, 2004 and 2003  F-8   Statements of Cash Flows for the years ended December 31, 2005, 2004 and 2003  F-9   Notes to Financial Statements  F-10 – F-13   Selected Unaudited Quarterly Financial Data  F-14        F-1     To the Limited Partners ofShearson 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 R. McAuliffe, Jr.           Chief Financial Officer and Director          Citigroup Managed Futures LLC          General Partner, Shearson Select          Advisors Futures Fund L.P.        Citigroup Managed Futures LLC 731 Lexington Avenue25th FloorNew York, N.Y. 10022212-559-2011    F-2     Report of Independent Registered Public Accounting Firm To the Partners of Shearson Select Advisors Futures Fund L.P.: We have audited the accompanying statements of financial condition of Shearson Select Advisors Futures Fund L.P. (the "Partnership"), including the condensed schedules of investments, as of December 31, 2005 and 2004, and the related statements of income and expenses, changes in partners' capital, and cash flows for each of the years in the three-year period ended December 31, 2005. These financial statements are the responsibility of the Partnership's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Shearson Select Advisors Futures Fund L.P. as of December 31, 2005 and 2004, and the results of its operations, changes in its partners' capital, and its cash flows for each of the years in the three-year period ended December 31, 2005, in conformity with U.S. generally accepted accounting principles.                  New York, New York March 13, 2006 F-3     Shearson Select Advisors Futures Fund L.P.Statements of Financial ConditionDecember 31, 2005 and 2004                      2005  2004   Assets:                 Equity in commodity futures trading account:                 Cash (restricted $345,617 and $822,751 in 2005 and 2004, respectively) (Note 3c)  $ 2,983,755    $ 3,976,658     Net unrealized appreciation on open futures positions    30,519      —     Unrealized appreciation on open forward contracts    174,331      521,071          3,188,605      4,497,729     Interest receivable (Note 3c)    6,839      4,927        $ 3,195,444    $ 4,502,656     Liabilities and Partners' Capital:                 Liabilities:                 Net unrealized depreciation on open futures positions  $ —    $ 13,244     Unrealized depreciation on open forward contracts    63,120      89,096     Accrued expenses:                 Commissions (Note 3c)    15,662      22,002     Management fees (Note 3b)    10,194      14,521     Incentive fees (Note 3b)    —      7,438     Professional fees    35,479      4,690     Other    22,894      17,273     Redemptions payable (Note 5)    73,081      56,031          220,430      224,295     Partners' Capital (Notes 1 and 5):                 General Partner, 34 Unit equivalents outstanding in 2005 and 2004    103,532      136,075     Limited Partners, 943 and 1,035 Redeemable Units of Limited Partnership Interest outstanding in 2005 and 2004, respectively    2,871,482      4,142,286          2,975,014      4,278,361        $ 3,195,444    $ 4,502,656          See accompanying notes to financial statements. F-4     Shearson Select Advisors Futures Fund L.P. Condensed Schedule of Investments December 31, 2005                      Fair Value  % of Partners'Capital   Futures Contracts Purchased                 Indices  $ 29,535      0.99  %    Metals    14,940      0.50     Total futures contracts purchased    44,475      1.49     Futures Contracts Sold                 Interest Rates U.S.    (7,547 )     (0.25 )    Interest Rates Non-U.S.    (6,409 )     (0.22 )    Total futures contracts sold    (13,956 )     (0.47 )    Unrealized Appreciation on Forward Contracts                 Currencies    63,996      2.15     Metals    110,335      3.71     Total unrealized appreciation on forward contracts    174,331      5.86     Unrealized Depreciation on Forward Contracts                 Currencies    (47,026 )     (1.58 )    Metals    (16,094 )     (0.54 )    Total unrealized depreciation on forward contracts    (63,120 )     (2.12 )    Total Fair Value  $ 141,730      4.76  %         Percentages are based on Partners' capital unless otherwise indicated. See accompanying notes to financial statements. F-5     Shearson Select Advisors Futures Fund L.P. Condensed Schedule of Investments December 31, 2004                      Fair Value  % of Partners'Capital   Futures Contracts Purchased                 Interest Rates U.S.  $                (7,781 )     (0.18 )%    Interest Rates Non-U.S.    (6,289 )     (0.15 )    Indices    20,786      0.49     Total futures contracts purchased    6,716      0.16     Futures Contracts Sold                 Interest Rates U.S.    (7,000 )     (0.17 )    Metals    (12,960 )     (0.30 )    Total futures contracts sold    (19,960 )     (0.47 )    Unrealized Appreciation on Forward Contracts                 Currencies    448,521      10.48     Metals    72,550      1.70     Total unrealized appreciation on forward contracts    521,071      12.18     Unrealized Depreciation on Forward Contracts                 Currencies    (66,496 )     (1.55 )    Metals    (22,600 )     (0.53 )    Total unrealized depreciation on forward contracts    (89,096 )     (2.08 )    Total Fair Value  $ 418,731      9.79  %         Percentages are based on Partners' capital unless otherwise indicated. See accompanying notes to financial statements. F-6     Shearson Select Advisors Futures Fund L.P.Statements of Income and Expensesfor the years endedDecember 31, 2005, 2004 and 2003                          2005  2004  2003   Income:                        Net gains (losses) on trading of commodity interests:                        Realized gains (losses) on closed positions  $                (393,809 )   $ 313,029    $ 1,276,203     Change in unrealized gains (losses) on open positions    (277,001 )     121,439      (73,134 )    Net realized and unrealized gains (losses)    (670,810 )     434,468      1,203,069     Interest income (Note 3c)    72,316      35,338      31,236          (598,494 )     469,806      1,234,305                              Expenses:                        Brokerage commissions including clearing fees of $3,140 and $2,766 and $4,158, respectively (Note 3c)    207,962      243,995      283,408     Management fees (Note 3b)    132,598      153,760      181,419     Incentive fees (Notes 3a and 3b)    —      7,438      66,775     Professional fees    59,006      18,682      3,327     Other expenses    26,926      15,363      6,071          426,492      439,238      541,000     Net income (loss)  $                (1,024,986 )   $ 30,568    $ 693,305                              Net income (loss) per Redeemable Unit of Limited     Partnership Interest and General Partner Unit     equivalent (Notes 1 and 6)  $                (957.16 )   $ 67.68    $ 579.64          See accompanying notes to financial statements. F-7     Shearson Select Advisors Futures Fund L.P.Statements of Changes in Partners' Capital for the years ended December 31, 2005, 2004 and 2003                          Limited Partners  General Partner  Total   Partners' capital at December  31, 2002  $ 3,945,347    $ 114,066    $ 4,059,413     Net income    673,597      19,708      693,305     Redemption of 68 Redeemable Units of Limited Partnership Interest    (259,485 )     —      (259,485 )    Partners' capital at December  31, 2003    4,359,459      133,774      4,493,233     Net income    28,267      2,301      30,568     Redemption of 73 Redeemable Units of Limited Partnership Interest    (245,440 )     —      (245,440 )    Partners' capital at December 31, 2004    4,142,286      136,075      4,278,361     Net loss    (992,443 )     (32,543 )     (1,024,986 )    Redemption of 92 Redeemable Units of Limited Partnership Interest    (278,361 )     —      (278,361 )    Partners' capital at December 31, 2005  $ 2,871,482    $ 103,532    $ 2,975,014          Net asset value per Redeemable Unit:               2003:  $ 3,934.53     2004:  $ 4,002.21     2005:  $ 3,045.05          See accompanying notes to financial statements. F-8     Shearson Select Advisors Futures Fund L.P.Statements of Cash Flowsfor the years ended December 31, 2005, 2004 and 2003                          2005  2004  2003   Cash flows from operating activities:                        Net income (loss)  $                (1,024,986 )   $ 30,568    $ 693,305     Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:                        Changes in operating assets and liabilities:                        (Increase) decrease in restricted cash    477,134      (286,600 )     (27,682 )    (Increase) decrease in net unrealized appreciation/depreciation on open futures positions    (30,519 )     603      222,820     (Increase) decrease in unrealized appreciation on open forward contracts    346,740      (206,381 )     (42,314 )    (Increase) decrease in interest receivable    (1,912 )     (2,835 )     722     Increase (decrease) in net unrealized depreciation on open futures positions    (13,244 )     13,244      —     Increase (decrease) in unrealized depreciation on open forward contracts    (25,976 )     71,095      (107,372 )    Accrued expenses:                        Increase (decrease) in commissions    (6,340 )     (779 )     1,881     Increase (decrease) in management fees    (4,327 )     (533 )     1,298     Increase (decrease) in incentive fees    (7,438 )     7,438      —     Increase (decrease) in professional fees    30,789      (8,508 )     (15,098 )    Increase (decrease) in other    5,621      13,229      112     Net cash provided by (used in) operating activities    (254,458 )     (369,459 )     727,672     Cash flows from financing activities:                        Payments for redemptions — Limited Partners    (261,311 )     (197,278 )     (305,294 )    Net change in cash    (515,769 )     (566,737 )     422,378     Unrestricted cash, at beginning of period    3,153,907      3,720,644      3,298,266     Unrestricted cash, at end of period  $ 2,638,138    $ 3,153,907    $ 3,720,644          See accompanying notes to financial statements. F-9     Shearson Select AdvisorsFutures 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 redeemable units of Limited Partnership Interest ("Redeemable Units") during its initial offering period. Citigroup Managed Futures LLC, acts as the general partner (the "General Partner") of the Partnership. The Partnership's commodity broker is Citigroup Global Markets Inc. ("CGM"). CGM is an affiliate of the General Partner. The General Partner is wholly owned by Citigroup Global Markets Holdings Inc. ("CGMHI"), which is the sole owner of CGM. CGMHI is a wholly owned subsidiary of Citigroup Inc. The General Partner and each limited partner share in the profits and losses of the Partnership in proportion to the amount of Partnership interest owned by each except that no limited partner shall be liable for obligations of the Partnership in excess of their initial capital contribution and profits, if any, net of distributions. The Partnership will be liquidated upon the first to occur of the following: December 31, 2007; a decline in Net Asset Value per Redeemable Unit on any business day after trading to less than $350 per Redeemable Unit; a decline in net assets after trading commences to less than $1,000,000; or under certain other circumstances as defined in the Limited Partnership Agreement. 2.    Accounting Policies:       a.  All commodity interests (including derivative financial instruments and derivative commodity instruments) are used for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded in the statements of financial condition at fair value on the last business day of the year, which represents market value for those commodity interests for which market quotations are readily available. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing on the last business day of the year. Realized gains (losses) and changes in unrealized gains (losses) on open positions are recognized in the period in which the contract is closed or the changes occur and are included in net gains (losses) on trading of commodity interests.         b.  Income taxes have not been provided as each partner is individually liable for the taxes, if any, on their share of the Partnership's income and expenses.         c.  The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates.   3.    Agreements:       a.  Limited Partnership Agreement:   The General Partner administers the business and affairs of the Partnership including selecting one or more advisors to make trading decisions for the Partnership. The Partnership will pay the General Partner an incentive fee payable quarterly equal to 5% of New Trading Profits, as defined in the Limited Partnership Agreement. For the years ended December  31, 2005 and 2004, the General Partner earned incentive fees of $0 and $2,479, respectively. F-10     Shearson Select AdvisorsFutures Fund L.P.Notes to Financial Statements       b.  Management Agreement:   The General Partner, on behalf of the Partnership, has entered into a Management Agreement with John W. Henry & Company, Inc. (the "Advisor"), a registered commodity trading advisor. The Advisor is not affiliated with the General Partner or CGM and is not responsible for the organization or operation of the Partnership. The Partnership pays the Advisor a monthly management fee equal to  1/3 of 1% (4% per year) of month-end Net Assets of the Partnership managed by the Advisor. Month-end Net Assets, for the purpose of calculating management fees are Net Assets, as defined in the Limited Partnership Agreement, prior to the reduction of redemptions and incentive fees. In addition, the Partnership is obligated to pay the Advisor an incentive fee, payable quarterly, equal to 10% of New Trading Profits, as defined in the Management Agreement.       c.  Customer Agreement:   The Partnership has entered into a Customer Agreement, which was assigned to CGM from a predecessor company, whereby CGM provides services which include, among other things, the execution of transactions for the Partnership's account in accordance with orders placed by the Advisor. Effective January 1, 1997, the Partnership pays CGM a monthly brokerage fee equal to ½ of 1% (6% per year) of Month end Net Assets, in lieu of brokerage commissions on a per trade basis. Month-end Net Assets, for the purpose of calculating commissions are Net Assets, as defined in the Limited Partnership Agreement, prior to the reduction of accrued expenses and redemptions payable. The Partnership pays for all clearing fees but not floor brokerage charges. All of the Partnership's cash is deposited in the Partnership's account at CGM. The Partnership's cash is deposited by CGM in segregated bank accounts to the extent required by Commodity Futures Trading Commission regulations. At December 31, 2005 and 2004, the amount of cash held for margin requirements was $345,617 and $822,751, respectively. CGM has agreed to pay the Partnership interest on 70% of the average daily equity in its accounts during each month at the rate of the average noncompetitive yield of 13-week U.S. Treasury Bills as determined at the weekly auctions thereof during the month. The Customer Agreement between the Partnership and CGM gives the Partnership the legal right to net unrealized gains and losses. The Customer Agreement 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 activities are shown in the statements of income and expenses. All of the commodity interests owned by the Partnership are held for trading purposes. The average fair value during the years ended December 31, 2005 and 2004, based on a monthly calculation, was $175,762 and $205,249, respectively. 5.    Distributions and Redemptions: Distributions of profits, if any, will be made at the sole discretion of the General Partner; however, each limited partner may redeem some or all of their Redeemable Units at the Net Asset Value thereof as of the last day of any calendar quarter on 15 days notice to the General Partner, provided that no redemption may result in the limited partner holding fewer than three Redeemable Units after such redemption is effected. F-11     Shearson Select AdvisorsFutures Fund L.P.Notes to Financial Statements 6.    Financial Highlights: Changes in the Net Asset Value per Redeemable Unit of Limited Partnership Interest during the years ended December 31, 2005, 2004 and 2003 are as follows:                          2005  2004  2003   Net realized and unrealized gains (losses)*  $                (815.38 )   $ 211.47    $ 770.90     Interest income    69.89      31.89      26.56     Expenses**    (211.67 )     (175.68 )     (217.82 )    Increase (decrease) for the year    (957.16 )     67.68      579.64     Net asset value per Redeemable Unit, beginning of year    4,002.21      3,934.53      3,354.89     Net asset value per Redeemable Unit, end of year  $ 3,045.05    $ 4,002.21    $ 3,934.53                             * Includes brokerage commissions         ** Excludes brokerage commissions                            2005  2004  2003   Ratios to Average Net Assets:                        Net investment loss before incentive fees***    (10.5 )%     (10.3 )%     (10.0 )%    Operating expenses    12.7 %     11.2 %     10.7 %    Incentive fees    — %     0.2 %     1.5 %    Total expenses    12.7 %     11.4 %     12.2 %                             Total return:                        Total return before incentive fees    (23.9 )%     1.9 %     19.0 %    Incentive fees    — %     (0.2 )%     (1.7 )%    Total return after incentive fees    (23.9 )%     1.7 %     17.3 %                            *** Interest income less total expenses (exclusive of incentive fees)   The above ratios may vary for individual investors based on the timing of capital transactions during the year. Additionally, these ratios are calculated for the limited partner class using the limited partners' share of income, expenses and average net assets. 7.    Financial Instrument Risks: In the normal course of its business, the Partnership is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures and options, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash flows, to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter ("OTC"). Exchange traded instruments are standardized and include futures and certain option contracts. OTC contracts are negotiated between contracting parties  F-12     Shearson Select AdvisorsFutures Fund L.P.Notes to Financial Statements  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. The Partnership's risk of loss in the event of counterparty default is typically limited to the amounts recognized in the statements of financial condition and not represented by the contract or notional amounts of the instruments. The Partnership has credit risk and concentration risk because the sole counterparty or broker with respect to the Partnership's assets is CGM. The General Partner monitors and controls the Partnership's risk exposure on a daily basis through financial, credit and risk management monitoring systems and, accordingly believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership is subject. These monitoring systems allow the General Partner to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, on-line monitoring systems provide account analysis of futures, forwards and options positions by sector, margin requirements, gain and loss transactions and collateral positions. The majority of these instruments mature within one year of December 31, 2005. However, due to the nature of the Partnership's business, these instruments may not be held to maturity. F-13     Selected unaudited quarterly financial data for the Partnership for the years ended December 31, 2005 and December 31, 2004 is summarized below:                              For the period from October 1, 2005 to December 31, 2005  For the period from July 1, 2005 to September 30, 2005  For the period from April 1, 2005 to June 30, 2005  For the period from January 1, 2005 to March 31, 2005   Net realized and unrealized trading gains (losses) net of brokerage commissions and clearing feesincluding interest income  $ 273,820    $                (704,797 )   $ 564,387    $                (939,866 )    Net income (loss)  $ 204,595    $                (763,948 )   $ 520,722    $                (986,355 )    Increase (decrease) in Net AssetValue per Unit  $ 204.39    $                (738.11 )   $ 499.25    $                (922.69 )                                      For the period from October 1, 2004 to December 31, 2004  For the period from July 1, 2004 to September 30, 2004  For the period from April 1, 2004 to June 30, 2004  For the period from January 1, 2004 to March 31, 2004   Net realized and unrealized trading gains (losses) net of brokerage commissions and clearing fees plus interest income  $  1,314,789    $                (187,021 )   $                (928,126 )   $  26,169     Net income (loss)  $  1,252,642    $                (224,803 )   $                (971,983 )   $                (25,288 )    Increase (decrease) in Net Asset Value per Redeemable Unit  $  1,156.64    $                (204.36 )   $                (862.46 )   $                (22.14 )         F-14
None. Item 9A.    Controls and Procedures.  Based on their evaluation of the Partnership's disclosure controls and procedures as of year end the Chief Executive Officer and Chief Financial Officer have concluded that such controls and procedures are effective. There were no significant changes in the Partnership's internal controls over financial reporting or in other factors that could significantly affect such controls subsequent to the date of their evaluation as of year end. 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, Citigroup Managed Futures LLC. Investment decisions are made by John W. Henry & Company, Inc. (the "Advisor"). The Partnership has not adopted a code of ethics that applies to officers because it has no officers. Item 11.    Executive Compensation.  The Partnership has no directors or officers. Its affairs are managed the General Partner. CGM, an affiliate of the General Partner, is the commodity broker for the Partnership and receives brokerage commissions for such services, as described under "Item 1. Business." For the year ended December 31, 2005, CGM earned $207,962 in brokerage commissions and clearing fees. Management fees and incentive fees of $132,598 and $0, respectively were earned by the Advisor for the year ended December 31, 2005.  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 Redeemable Units outstanding. (b)    Security ownership of management. Under the terms of the Limited Partnership Agreement, the Partnership's affairs are managed by the General Partner. The General Partner owns Units of general partnership interest equivalent to 34 Unit equivalents (3.5%) as of December 31, 2005. (c)    Changes in control. None. Item 13.    Certain Relationships and Related Transactions.  Citigroup Global Markets Inc. and Citigroup Managed Futures 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." 21
PART IV Item 15.    Exhibits and Financial Statement Schedules.        (a) (1)  Financial Statements:           Statements of Financial Condition at December 31, 2005 and 2004.           Condensed Schedules of Investments at December 31, 2005 and 2004.           Statements of Income and Expenses for the years ended December 31, 2005, 2004 and 2003.           Statements of Changes in Partners' Capital for the years ended December 31, 2005, 2004 and 2003.           Statements of Cash Flows for the years ended December 31, 2005, 2004 and 2003.           Notes to Financial Statements.         (2)  Exhibits:           3.1 – Limited Partnership Agreement dated as of February 10, 1987 and amended as of April 6, 1987 (filed as Exhibit 3.1 to the Registration Statement on Form S-1 (file No.33-12241) and incorporated herein by reference).           3.2 – Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of Delaware on February 10, 1987 (filed as Exhibit 3.2 to the Registration Statement on Form S-1 (file No. 33-12241) and incorporated herein by reference).           10.1 – Customer Agreement between Shearson Lehman Select Advisors Futures Fund L.P. and Smith Barney Shearson Inc. (previously filed).           10.1(a) – Amendment to Customer Agreement dated as of September 30, 1988 (previously filed).           10.4(a) – Management Agreement between Hayden Commodities Corp. and Dunn Commodities, Inc. (previously filed).           10.4(b) – Management Agreement between Hayden Commodities Corp. and Investment Timing Services (previously filed).           10.4(c) – Management Agreement between Hayden Commodities Corp. and Cresta Commodity Management Inc. (previously filed).           10.4(d) – Management Agreement between Hayden Commodities Corp. and Computerized Advisory (previously filed).           10.6(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).   23             10.4(l) – Management Agreement between Hayden Commodities Corp. and Charles M. Wilson & Company (previously filed).           10.4(m) – Management Agreement between Hayden Commodities Corp. and Sunrise Commodities, Inc. (previously filed).           10.5 – Letter extending Management Agreement with Sunrise Commodities Inc. dated as of June 30, 1989 (previously filed).           10.6 – Letter extending Management Agreement with Charles M. Wilson & Company dated as of June 30, 1989 (previously filed).           10.7 – Letter extending Management Agreement with PRAGMA, Inc. dated June 30, 1989 (previously filed).           10.8 – Letter extending Management Agreement with John W. Henry & Co., Inc. dated as of June 30, 1989 (previously filed).           10.9 – Letter extending Management Agreement with Bacon Investment Corporation dated June 30, 1989 (previously filed).           10.10 – Assignment by Bacon Investment Corporation to Zack Hampton Bacon, III dated as of September 15, 1989 (previously filed).           10.11 – Letter extending Management Agreement with Sunrise Commodities Inc. dated June 26, 1990 (filed as Exhibit 10.11 to Form 10-K for the fiscal year ended December 31, 1991 and incorporated herein by reference).           10.12 – Letter extending Management Agreement with PRAGMA, Inc. dated June 26, 1990 (filed as Exhibit 10.12 to Form 10-K for the fiscal year ended December 31, 1991 and incorporated herein by reference).           10.13 – Letter extending Management Agreement with John W. Henry & Co., Inc. dated June 26, 1990 (filed as Exhibit 10.13 to Form 10-K for the fiscal year ended December 31, 1991 and incorporated herein by reference).           10.14 – Letter extending Management Agreement with Zack Hampton Bacon, III dated June 25, 1990 (filed as Exhibit 10.14 to Form 10-K for the fiscal year ended December 31, 1991 and incorporated herein by reference).           10.15 – Letter extending Management Agreement with Sunrise Commodities, Inc. dated July 16, 1991 (filed as Exhibit 10.15 to Form 10-K for the fiscal year ended December 31, 1991 and incorporated herein by reference).           10.16 – Letter extending Management Agreement with PRAGMA, Inc. dated July 16, 1991 (filed as Exhibit 10.16 to Form 10-K for the fiscal year ended December 31, 1991 and incorporated herein by reference).           10.17 – Letter extending Management Agreement with John W. Henry & Co., Inc. dated July 16, 1991 (filed as Exhibit 10.17 to Form 10-K for the fiscal year ended December 31, 1991 and incorporated herein by reference).           10.18 – Letter extending Management Agreement with Zack Hampton Bacon, III dated July 16, 1991 and (filed as Exhibit 10.18 to Form 10-K for the fiscal year ended December 31, 1991 and incorporated herein by reference).           10.19 – Letter extending Management Agreement with Sunrise Commodities Inc. dated June 30, 1992 (filed as Exhibit 10.19 to Form 10-K for the fiscal year ended December 31, 1992).           10.20 – Letter extending Management Agreement with PRAGMA, Inc. dated June 30, 1992 (filed as Exhibit 10.20 to Form 10-K for the fiscal year ended December 31, 1992).           10.21 – Letter extending Management Agreement with John W. Henry & Co., Inc. dated June 30, 1992 (filed as Exhibit 10.21 to Form 10-K for the fiscal year ended December 31, 1992).   24             10.22 – Letter extending Management Agreement with Zack Hampton Bacon, III dated June 30, 1992 (filed as Exhibit 10.22 to Form 10-K for the fiscal year ended December 31, 1992).           10.23 – Letter terminating Management Agreement with Zack Hampton Bacon, III dated March 31, 1993 (filed as Exhibit 10.23 to Form 10-K for the fiscal year ended December 31, 1993).           10.24 – Letter terminating Management Agreement with PRAGMA, Inc. dated July 29, 1994 (filed as Exhibit 10.24 to Form 10-K for the fiscal year ended December 31, 1994).           10.25 – Management Agreement dated September 1, 1994 the Partnership, the General Partner and Gill Capital Management(filed as Exhibit 10.25 to Form 10-K for the fiscal year ended December 31, 1994).           10.26 – Letters extending Management Agreements with John W. Henry & Co., Sunrise Capital Management, Inc. and Gill Capital Management dated February 16, 1995 (filed as Exhibit 10.26 to Form 10-K for the fiscal year ended December 31, 1994).           10.27 – Letter terminating Management Agreement with Gill Capital Management dated June 27, 1995 (filed as Exhibit 10.27 to Form 10-K for the fiscal year ended December 31, 1995).           10.28 – Letter terminating Management Agreement with Sunrise Capital Management dated December 23, 1996 (previously filed).           10.29 – Letters extending Managements Agreements with John W. Henry & Company, Inc. for 1996 and 1997 (Filed as Exhibit 10.29 to Form 10-K for fiscal year ended December 31, 1997).           10.30 – Letter extending Management Agreement with John W. Henry & Company, Inc. for 1998 (previously filed).           10.31 – Letter extending Management Agreement with John W. Henry & Company, Inc. for 1999 (previously filed).           10.32 – Letter extending Management Agreement with John W. Henry & Company, Inc. for 2000 (previously filed).           10.33 – Letter extending Management Agreement with John W. Henry & Company, Inc. for 2001 (previously filed).           10.34 – Letter extending Management Agreement with John W. Henry & Company, Inc. for 2002 (previously filed)           10.35 – Letter extending Management Agreement with John W. Henry & Company, Inc. for 2003 (previously filed)           10.36 – Letter extending Management Agreement with John W. Henry & Company, Inc. for 2004 (previously filed).           10.37 – Letter extending Management Agreement with John W. Henry & Company, Inc. for 2005 (filed herein)           16.10 – Letter from PricewaterhouseCoopers LLP (previously filed).           The exhibits required to be filed by Item 601 of Regulation S-K are incorporated herein by reference.           31.1 – Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director)           31.2 – Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer and Director)           32.1 – Section 1350 Certification (Certification of President and Director)           32.2 – Section 1350 Certification (Certification of Chief Financial Officer and Director)   25         Supplemental Information To Be Furnished With Reports Filed Pursuant To Section 15(d) Of The Act by Registrants Which Have Not Registered Securities Pursuant To Section 12 Of the Act. Annual Report to Limited Partners No proxy material has been sent to Limited Partners. 26     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 29th day of March 2006.  Shearson Select Advisors Futures Fund L.P.  By:    /s/ Citigroup Managed Futures LLC           (General Partner) By    /s/ David J. Vogel            David J. Vogel, President and Director Pursuant to the requirements of the Securities Exchange Act of 1934, this annual report on Form 10-K has been signed below by the following persons in the capacities and on the date indicated.               /s/ David J. Vogel  /s/ Shelley Ullman   David J. Vogel  Shelley Ullman   President and Director  Director   /s/ Maureen O'Toole  /s/ Ihor Rakowsky   Maureen O'Toole  Ihor Rakowsky   Director  Secretary and Director   /s/ Daniel R. McAuliffe, Jr.  /s/ Jennifer Magro   Daniel R. McAuliffe, Jr.  Jeniffer Magro   Chief Financial Officer and  Director   Director         /s/ Jerry Pascucci Jerry PascucciDirector        27         GRAPHIC 2 ebox.gif GRAPHIC  begin 644 ebox.gif M1TE&.#EA"@`*`(```````/___R'Y!```````+``````*``H```(1A(\0RVO= - -'G1J!CDQU+'FE!0`.S\_ ` end    GRAPHIC 3 html_96378sig1.jpg GRAPHIC  begin 644 html_96378sig1.jpg M_]C_X``02D9)1@`!`0$!(`$@``#__@`V($EM86=E(&=E;F5R871E9"!B>2!' 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We are extending the term of the Management Agreements through June 30, 2006 and all other provisions of the Management Agreements will remain unchanged.       •  Shearson Mid-West Futures Fund         •  Shearson Lehman Select Advisors Futures Fund L.P.         •  Smith Barney Mid-West Futures Fund L.P. II         •  Smith Barney Westport Futures Fund L.P.         •  Hutton Investors Futures Fund, L.P. II (HIFF II)         •  AURORA 2001         •  AURORA III         •  Salomon Smith Barney Diversified 2000 Futures Fund L.P.         •  Alera 100         •  JWH Strategic Allocation Master Fund LLC         •  Citigroup Diversified Futures Fund   Please acknowledge receipt of this modification by signing one copy of this letter and returning it to the attention of Mr. Daniel McAuliffe at the address above or fax to 212-793-1986. If you have any questions I can be reached at 212-559-5043. Very truly yours, CITIGROUP MANAGED FUTURES LLC By:    /s/ Daniel R. McAuliffe, Jr.  Daniel R. McAuliffe, Jr. Chief Financial Officer & Director JOHN W. HENRY & COMPANY, INC. By:    /s/ Ken Webster  Print Name:    Ken Webster  DRMcA/sr         EX-31.1 8 file003.htm CERTIFICATION         Exhibit 31.1 CERTIFICATION I, David J. Vogel, certify that:       1.  I have reviewed this Annual Report on Form 10-K of Shearson Select Advisors Futures Fund L.P. (the "registrant");         2.  Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;         3.  Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;         4.  The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have:         a)  designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;         b)  evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and         c)  disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and         5.  The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):         a)  all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and         b)  any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.   Date: March 29, 2006                     /s/ David J. Vogel                        David J. Vogel Citigroup Managed Futures LLC President and Director            EX-31.2 9 file004.htm CERTIFICATION         Exhibit 31.2 CERTIFICATION I, Daniel R. McAuliffe, Jr., certify that:       1.  I have reviewed this Annual Report on Form 10-K of Shearson Select Advisors Futures Fund L.P. (the "registrant");         2.  Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;         3.  Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;         4.  The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have:            a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;            b) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and            c) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and         5.  The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):            a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and            b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.              Date:   March 29, 2006                  /s/ Daniel R. McAuliffe, Jr.                       Daniel R. McAuliffe, Jr. Citigroup Managed Futures LLC Chief Financial Officer and Director             EX-32.1 10 file005.htm CERTIFICATION         Exhibit 32.1 CERTIFICATION PURSUANT TO 18 U.S.C. SECTION 1350, AS ADOPTED PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 In connection with the Annual Report of Shearson Select Advisors Futures Fund L.P. (the "Partnership") on Form 10-K for the year ending December 31, 2005 as filed with the Securities and Exchange Commission on the date hereof (the "Report"), I, David J. Vogel, President and Director of Citigroup Managed Futures LLC, certify, pursuant to 18 U.S.C. § 1350, as adopted pursuant to § 906 of the Sarbanes-Oxley Act of 2002, that:       1.  The Report fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and         2.  The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Partnership.    /s/ David J. Vogel                              David J. VogelCitigroup Managed Futures LLCPresident and Director  March 29, 2006                                  Date         EX-32.2 11 file006.htm CERTIFICATION         Exhibit 32.2 CERTIFICATION PURSUANT TO 18 U.S.C. SECTION 1350, AS ADOPTED PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 In connection with the Annual Report of Shearson Select Advisors Futures Fund L.P. (the "Partnership") on Form 10-K for the year ending December 31, 2005 as filed with the Securities and Exchange Commission on the date hereof (the "Report"), I, Daniel R. McAuliffe, Jr., Chief Financial Officer and Director of Citigroup Managed Futures LLC, certify, pursuant to 18 U.S.C. § 1350, as adopted pursuant to § 906 of the Sarbanes-Oxley Act of 2002, that:       1.  The Report fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and         2.  The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Partnership.         /s/ Daniel R. McAuliffe, Jr.                 Daniel R. McAuliffe, Jr.Citigroup Managed Futures LLC Chief Financial Officer and Director       March 29, 2006                                 Date         -----END PRIVACY-ENHANCED MESSAGE-----