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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 March 31, 2005

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 March 31, 2005 and December 31, 2004 (unaudited) 3
  Condensed Schedules of Investments at March 31, 2005 and December 31, 2004 (unaudited) 4 - 5
  Statements of Income and Expenses and Partners' Capital for the three months ended March 31, 2005 and 2004 (unaudited) 6
  Statements of Cash Flows for the three months ended March 31, 2005 and 2004 (unaudited) 7
  Notes to Financial Statements (unaudited) 8 - 10
Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations 11 - 12
Item 3. Quantitative and Qualitative Disclosures about Market Risk 13 - 14
Item 4. Controls and Procedures 15
PART II - Other Information 16

2



Part I

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


  March 31,
2005		 December 31,
2004
Assets:            
Equity in commodity futures trading account:            
Cash (restricted $544,593 and $822,751 in 2005 and 2004, respectively) $ 3,356,401   $ 3,976,658  
Unrealized appreciation on open forward contracts   147,368     521,071  
    3,503,769     4,497,729  
Interest receivable   5,815     4,927  
  $ 3,509,584   $ 4,502,656  
             
Liabilities and Partners' Capital:            
Liabilities:            
Net unrealized depreciation on open futures positions $ 8,053   $ 13,244  
Unrealized depreciation on open forward contracts   148,788     89,096  
Accrued expenses:            
Commissions   16,764     22,002  
Management fees   11,010     14,521  
Incentive fees   —     7,438  
Other   32,963     21,963  
Redemptions payable   80,068     56,031  
    297,646     224,295  
Partners' Capital:            
General Partner, 34 Unit equivalents outstanding in 2005 and 2004   104,704     136,075  
Limited Partners, 1,009 and 1,035 Redeemable Units of Limited Partnership Interest outstanding in 2005 and 2004, respectively   3,107,234     4,142,286  
    3,211,938     4,278,361  
  $ 3,509,584   $ 4,502,656  

See Accompanying Notes to Financial Statements.

3



Shearson Select Advisors Futures Fund L.P.
Condensed Schedule of Investments
March 31, 2005
(Unaudited)


Sector Contract Fair Value
Currencies        
  Unrealized appreciation on forward contracts 2.22% $ 71,768  
  Unrealized depreciation on forward contracts (4.48)%   (144,485 ) 
Total Currencies (2.26)%     (72,717 ) 
         
Interest Rates U.S. 0.44% Futures contracts purchased 0.44%   14,244  
         
Total Interest Rates Non-U.S. (0.22)% Futures contracts purchased (0.22)%   (6,924 ) 
         
Metals        
  Futures contracts purchased 0.14%   4,400  
  Unrealized appreciation on forward contracts 2.35%   75,600  
  Unrealized depreciation on forward contracts (0.13)%   (4,303 ) 
  Total forward contracts 2.22%   71,297  
Total Metals 2.36%     75,697  
         
Total Indices Futures contracts purchased (0.65)%   (20,783 ) 
  Futures contracts purchased 0.03%   1,010  
Total Indices (0.62)%     (19,773 ) 
Total Fair Value (0.30)%   $ (9,473 ) 

Country Composition Investments at
Fair Value		 % of Investments at
Fair Value
Australia $ 1,155     12.19 % 
Germany   (9,099 )    (96.05 ) 
Japan   (11,683 )    (123.33 ) 
United Kingdom   63,218     667.35  
United States   (53,064 )    (560.16 ) 
  $ (9,473 )    100.00 % 

Percentages are based on Partners' capital unless otherwise indicated.

See Accompanying Notes to Financial Statements.

4



Shearson Select Advisors Futures Fund L.P.
Condensed Schedule of Investments
December 31, 2004
(Unaudited)


Sector Contract Fair Value
Currencies
  Unrealized appreciation on forward contracts 10.48% $ 448,521  
  Unrealized depreciation on forward contracts (1.55)%   (66,496 ) 
Total Currencies 8.93%     382,025  
         
Interest Rates U.S.
  Futures contracts purchased (0.18)%   (7,781 ) 
  Futures contracts sold (0.17)%   (7