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DRAFT

FORM 10-Q

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

(X) QUARTERLY REPORT UNDER SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

OR ( ) TRANSITION REPORT UNDER SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

For the Quarter ended September 30, 2004

Commission File Number 0-16627

SHEARSON SELECT ADVISORS FUTURES FUND L.P.

(Exact name of registrant as specified in its charter)


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

c/o Citigroup Managed Futures LLC
399 Park Avenue – 7th Fl.
New York, New York 10022

(Address and Zip Code of principal executive offices)

(212) 559-2011

(Registrant's telephone number, including area code)

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

Yes X     No    

Indicate by check mark whether the registrant is an accelerated filer (as defined in rule 12b-2 of the Exchange Act).

Yes         No X



SHEARSON SELECT ADVISORS FUTURES FUND L.P.

FORM 10-Q

INDEX


    Page
Number
PART I - Financial Information:
Item 1. Financial Statements:
  Statements of Financial Condition at September 30, 2004 and December 31, 2003 (unaudited) 3
  Condensed Schedules of Investments at September 30, 2004 and December 31, 2003 (unaudited) 4 - 5
  Statements of Income and Expenses and Partners' Capital for the three and nine months ended September 30, 2004 and 2003 (unaudited) 6
  Statements of Cash Flows for the three and nine months ended September 30, 2004 and 2003 (unaudited) 7
  Notes to Financial Statements (unaudited) 8 - 10
Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations 11 - 13
Item 3. Quantitative and Qualitative Disclosures about Market Risk 14 - 15
Item 4. Controls and Procedures 16
PART II - Other Information 17

2



Part I

Item 1. Financial Statements
Shearson Select Advisors Futures Fund L.P.
Statements of Financial Condition
(Unaudited)


  September 30,
2004		 December 31,
2003
Assets:            
Equity in commodity futures trading account:            
Cash (restricted $491,700 and $536,151 in 2004 and 2003, respectively) $ 2,963,145   $ 4,256,795  
Net unrealized appreciation on open futures positions   234,113     603  
Unrealized appreciation on open forward contracts   102,111     314,690  
    3,299,369     4,572,088  
Interest receivable   3,067     2,092  
  $ 3,302,436   $ 4,574,180  
             
Liabilities and Partners' Capital:            
Liabilities:            
Unrealized depreciation on open forward contracts $ 115,752   $ 18,001  
Accrued expenses:            
Commissions   15,933     22,781  
Management fees   10,469     15,054  
Other   30,157     17,242  
Redemptions payable   48,375     7,869  
    220,686     80,947  
Partners' Capital:            
General Partner, 34 Unit equivalents outstanding in 2004 and 2003   96,749     133,774  
Limited Partners, 1,049 and 1,108 Redeemable Units of Limited Partnership Interest outstanding in 2004 and 2003, respectively   2,985,001     4,359,459  
    3,081,750     4,493,233  
  $ 3,302,436   $ 4,574,180  

See Accompanying Notes to Unaudited Financial Statements.

3



Shearson Select Advisors Futures Fund L.P.
Condensed Schedule of Investments
September 30, 2004
(Unaudited)


Sector Contract Fair Value
Currencies        
  Unrealized appreciation on forward contracts 1.96% $ 60,419  
  Unrealized depreciation on forward contracts (3.31)%   (101,877 ) 
Total Currencies (1.35)%     (41,458 ) 
         
Total Interest Rates U.S. 1.71% Futures contracts purchased 1.71%   52,625  
         
Total Interest Rates Non-U.S. 5.07% Futures contracts purchased 5.07%   156,124  
         
Metals        
  Futures contracts purchased 1.00%   30,840  
  Unrealized appreciation on forward contracts 1.35%   41,692  
  Unrealized depreciation on forward contracts (0.45)%   (13,875 ) 
  Total forward contracts 0.90%   27,817  
Total Metals 1.90%     58,657  
         
Total Indices (0.18)% Futures contracts purchased (0.18)%   (5,476 ) 
Total Fair Value 7.15%   $ 220,472  

Country Composition Investments at
Fair Value		 % of Investments at
Fair Value
Australia $ (5,322 )    (2.41 )% 
Germany   24,575     11.15  
Japan   86,546     39.25  
United Kingdom   72,666     32.96  
United States   42,007     19.05  
  $ 220,472     100.00 % 

Percentages are based on Partners' capital unless otherwise indicated.

See Accompanying Notes to Unaudited Financial Statements.

4



Shearson Select Advisors Futures Fund L.P.
Condensed Schedule of Investments
December 31, 2003
(Unaudited)


Sector Contract Fair Value
         
Currencies        
  Unrealized depreciation on forward contracts (0.40)% $ (18,001 ) 
  Unrealized appreciation on forward contracts 5.76%   258,796  
Total Currencies 5.36%     240,795  
         
Total Interest Rates U.S. (0.31)% Futures contracts sold (0.31)%   (14,069 ) 
         
Total Interest Rates Non-U.S. 0.12%