~~June 30, December 31, 2004 2003~~ FORM 10------------------------ Assets: Equity in commodity futures trading account: Cash (restricted $470,043 and $536,151 in 2004 and 2003, respectively) $3,643,531 $4,256,795 Net unrealized appreciation on open futures positions -- 603 Unrealized appreciation on open forward contracts 9,431 314,690 ---------- ---------- 3,562,962 4,572,088 Interest receivable 2,830 2,092 ---------- ---------- $3,655,792 $4,574,180 ========== ========== Liabilities and Partners' Capital: Liabilities: Net unrealized depreciation on open futures positions $ 55,243 $ -- Unrealized depreciation on open forward contracts 109,449 18,001 Accrued expenses: Commissions 17,456 22,781 Management fees 11,496 15,054 Other 24,872 17,242 Redemptions payable 82,348 7,869 ---------- ---------- 300,864 80,947 ---------- ---------- Partners' Capital : General Partner, 34 Unit equivalents outstanding in 2004 and 2003 103,698 133,774 Limited Partners, 1,066 and 1,108 Redeemable Units of Limited Partnership Interest outstanding in 2004 and 2003, respectively 3,251,230 4,359,459 ---------- ---------- 3,354,928 4,493,233 ---------- ---------- $3,655,792 $4,574,180 ========== ==========Q

~~Sector~~SECURITIES ~~Contract~~AND ~~Fair~~EXCHANGE Value -------- --------- ----------- Currencies Unrealized appreciation on forward contracts 0.21% $ 7,148 Unrealized depreciation on forward contracts (2.38)% (79,899) ---------- Total Currencies (2.17)% (72,751) ---------- Interest Rates U.S. Futures contracts purchased (0.14)% (4,615) Futures contracts sold (1.13)% (38,015) ---------- Total Interest Rates U.S. (1.27)% (42,630) ---------- Interest Rates Non-U.S. Futures contracts purchased (0.02)% (687) Futures contracts sold (0.28)% (9,463) ---------- Total Interest Rates Non-U.S. (0.30)% (10,150) ---------- Metals Futures contracts sold (0.10)% (3,300) Unrealized appreciation on forward contracts 0.07% 2,283 Unrealized depreciation on forward contracts (0.88)% (29,550) ---------- Total forward contracts (0.81)% (27,267) ---------- Total Metals (0.91)% (30,567) --------- Total Indices 0.02% Futures contracts purchased 0.02% 837 ---------- Total Fair Value (4.63)% $ (155,261) ========== Investments at % of Investments at Country Composition Fair Value Fair Value -------------------- ------------ ---------- Australia $ (4,615) (2.97)% Germany (7,471) (4.81) Japan (11,491) (7.40) United Kingdom (48,133) (31.00) United States (83,551) (53.82) ----------- -------- $ (155,261) (100.00)% =========== ========COMMISSION

Sector Contract Fair Value -------------------------------------- ------------------------------------------------------ ----------------- Currencies Unrealized depreciation on forward contracts (0.40)% $(18WASHINGTON,~~001) Unrealized appreciation on forward contracts 5~~ D.~~76% 258,796 --------- Total Currencies 5~~C.~~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% Futures contracts purchased 0.12% 5,474 --------- Metals Futures contracts purchased 0.48% 21,480 Unrealized appreciation on forward contracts 1.24% 55,894 --------- Total Metals 1.72% 77,374 --------- Indices Futures contracts sold (0.89)% (39,843) Futures contracts purchased 0.61% 27,561 --------- Total Indices (0.28)% (12,282) --------- Total Fair Value 6.61% $297,292 ========= Investments % of Investments Country Composition at Fair Value at Fair Value -------------------- ------------ ------------ Germany $ 19,439 6.54% Japan (39,843) (13.40) United Kingdom 64,665 21.75 United States 253,031 85.11 -------- ------ $297,292 100.00% ======== ======20549

~~Three Months Ended Six Months Ended June 30, June 30, ------------------------ ------------------------ 2004 2003 2004 2003 ------------------------ ------------------------ Income: Net gains~~ (~~losses~~X) onQUARTERLY ~~trading~~REPORT ofUNDER ~~commodity~~SECTION ~~interests:~~13 ~~Realized~~OR 15(~~losses~~d) gains on closed positions $ (779,132) $ 451,400 $ (333,544) $ 1,569,127 Change in unrealized losses on open positions (99,254) (84,062) (452,553) (553,827) ----------- ----------- ----------- ----------- Net realized and unrealized gains (losses) (878,386) 367,338 (786,097) 1,015,300 Interest income 7,643 8,812 14,560 17,251 ----------- ----------- ----------- ----------- (870,743) 376,150 (771,537) 1,032,551 ----------- ----------- ----------- ----------- Expenses: Brokerage commissions including clearing fees of $692, $1,193, $1,187 and $1,862, respectively 57,383 74,605 130,420 146,703 Management fees 36,862 47,569 82,924 94,236 Incentive fees -- 36,775 -- 66,775 Other expenses 6,995 8,816 12,390 16,718 ----------- ----------- ----------- ----------- 101,240 167,765 225,734 324,432 ----------- ----------- ----------- ----------- Net income (loss) (971,983) 208,385 (997,271) 708,119 Redemptions (82,348) (94,653) (141,034) (192,618) ----------- ----------- ----------- ----------- Net increase (decrease) in Partners' capital (1,054,331) 113,732 (1,138,305) 515,501 Partners' capital, beginning of period 4,409,259 4,461,182 4,493,233 4,059,413 ----------- ----------- ----------- ----------- Partners' capital, end of period $ 3,354,928 $ 4,574,914 $ 3,354,928 $ 4,574,914 ========== =========== =========== =========== Net asset value per Redeemable Unit (1,100 and 1,160 Redeemable Units outstanding at June 30, 2004 and 2003, respectively) $ 3,049.93 $ 3,943.89 $ 3,049.93 $ 3,943.89 =========== =========== =========== =========== Net income (loss) per Redeemable Unit of Limited Partnership Interest and General Partner Unit equivalent $ (862.46) $ 176.00 $ (884.60) $ 589.00 =========== =========== =========== ===========

~~Three~~OF ~~Months~~THE ~~Ended~~SECURITIES ~~Six~~EXCHANGE ~~Months~~ACT ~~Ended~~OF June 30, June 30, ---------------------- ------------------------ 2004 2003 2004 2003 ---------------------- ------------------------ Cash flows from operating activities: Net Income (loss) $ (971,983) $ 208,385 $ (997,271) $ 708,119 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Changes in operating assets and liabilities: Net unrealized appreciation (depreciation) on open futures positions 210,322 85,459 55,846 299,714 Unrealized appreciation on open forward contracts 264,106 3,670 305,259 134,834 (Increase) decrease in interest receivable (309) 248 (738) 6 Unrealized depreciation on open forward contracts (375,174) (5,067) 91,448 119,279 Accrued expenses: Increase (decrease) in commissions (5,177) 635 (5,325) 3,075 Increase (decrease) in management fees (3,447) 392 (3,558) 1,984 Increase in incentive fees -- 6,775 -- 36,775 Increase in other 3,735 8,816 7,630 16,718 Increase (decrease) in redemptions payable 23,662 (3,312) 74,479 40,975 --------- --------- --------- --------- Net cash provided by (used in) operating activities (854,265) 306,001 (472,230) 1,361,479 --------- --------- --------- --------- Cash flows from financing activities: Payments for redemptions (82,348) (94,653) (141,034) (192,618) -------- --------- --------- --------- Net change in cash (936,613) 211,348 (613,264) 1,168,861 Cash, at beginning of period 4,580,144 4,764,248 4,256,795 3,806,735 ----------- --------- --------- --------- Cash, at end of period $ 3,643,531 $ 4,975,596 $ 3,643,531 $ 4,975,596 =========== =========== =========== ===========1934

~~Three~~OR ~~Months Ended Six Months Ended June 30, June 30, --------------------------- ------------------------ 2004 2003 2004 2003 -------------- --------- ---------- -------- Net realized and unrealized gains~~ (losses)* ~~$ (830.32~~) $TRANSITION REPORT ~~247.25~~UNDER $SECTION ~~(813.47)~~13 $OR 723.17 Interest income 6.78 7.44 12.83 14.42 Expenses** 15(~~38.92~~d) (78.69) (83.96) (148.59) --------- --------- --------- --------- Increase (decrease) for the period (862.46) 176.00 (884.60) 589.00 Net Asset Value per Redeemable Unit, beginning of period 3,912.39 3,767.89 3,934.53 3,354.89 --------- --------- --------- --------- Net Asset Value per Redeemable Unit, end of period $ 3,049.93 $ 3,943.89 $ 3,049.93 $ 3,943.89 ========= ========= ========= ========= * Includes brokerage commissions ** Excludes brokerage commissions Ratio to average net assets: *** Net investment loss before incentive fees**** (9.8)% (10.6)% (10.2)% (10.7)% ========= ========= ========= ========= Operating expenses 10.6% 11.4% 10.9% 11.4% Incentive fees 0.0% 3.2% 0.0% 3.0% --------- --------- --------- --------- Total expenses 10.6% 14.6% 10.9% 14.4% ========= ========= ========= ========= Total return: Total return before incentive fees (22.0)% 5.5% (22.5)% 19.3% Incentive fees 0.0% (0.8)% 0.0% (1.7)% --------- --------- --------- --------- Total return after incentive fees (22.0)% 4.7% (22.5)% 17.6% ========= ========= ========= =========

~~Three~~OF ~~Months~~THE ~~Ended~~SECURITIES ~~June~~EXCHANGE ACT ~~30,~~OF 2004 ------------------------------------------------------- % of Total High Low Average Market Sector Value at Risk Capitalization Value at Risk Value at Risk Value at Risk -------------------------------------------------------------------------------------------- Currencies - OTC Contracts $ 78,933 2.35% $ 1,057,118 $ 76,832 $ 113,123 Interest rates U.S. 39,700 1.18% 65,900 13,200 42,367 Interest rates Non-U.S. 150,720 4.49% 289,801 83,677 149,187 Metals - Exchange Contracts 18,000 0.54% 19,500 16,500 18,000 - OTC Contracts 10,125 0.30% 32,100 3,300 9,108 Indices 135,158 4.03% 152,659 8,655 59,400 ------------------- ------------- Totals $ 432,636 12.89% =================== =============1934

~~-------------------------------~~ For ----------------------- ----------------------- ---------------------- ----------------------- Period (a) Total Number of (b) Average Price (c) Total Number of (d) Maximum Number Shares (or Units) Paid per Share Shares (or (or Approximate Purchased* (or Unit)** Units) Purchased Dollar Value) of as Part of Shares (or Publicly Units) that May Announced Plans Yet Be Purchased or Programs Under the ~~Plans~~Quarter orended March Programs ------------------------------- ----------------------- ----------------------- ---------------------- ----------------------- April 1, 2004 - April 30, 2004 0 N/A N/A N/A ------------------------------- ----------------------- ----------------------- ---------------------- ----------------------- May 1, 2004 - May 31, 2004 0 N/A N/A N/A ------------------------------- ----------------------- ----------------------- ---------------------- ----------------------- June 1, 2004 - June 30, 2004 27 $3,049.93 N/A N/A ------------------------------- ----------------------- ----------------------- ---------------------- ----------------------- Total 27 $3,049.93 N/A N/A ------------------------------- ----------------------- ----------------------- ---------------------- -----------------------2005

Commission File Number 0-16627

SHEARSON SELECT ADVISORS FUTURES FUND L.P.

(Exact name of registrant as specified in its charter)

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

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.

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.

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)%		(7,000	)
Total Interest Rates U.S. (0.35)%			(14,781	)

Interest Rates Non-U.S. (0.15)%	Futures contracts purchased (0.15)%		(6,289	)

Metals
	Futures contracts sold (0.30)%		(12,960	)

	Unrealized appreciation on forward contracts 1.70%		72,550
	Unrealized depreciation on forward contracts (0.53)%		(22,600	)
	Total forward contracts 1.17%		49,950
Total Metals 0.87%			36,990

Indices 0.49%	Futures contracts purchased 0.49%		20,786

Total Fair Value 9.79%		$	418,731


Country Composition	Investments at Fair Value			% of Investments at Fair Value
Australia	$	(37,532	)		(8.96	)%
Germany		26,966			6.44
Japan		2,734			0.65
United Kingdom		57,698			13.78
United States		368,865			88.09
	$	418,731			100.00	%

Percentages are based on Partner's capital unless otherwise indicated.

See Accompanying Notes to Financial Statements.

Shearson Select Advisors Futures Fund L.P.
Statements of Income and Expenses and Partners' Capital
(Unaudited)


	Three Months Ended March 31,
	2005			2004
Income:
Net gains (losses) on trading of commodity interests:
Realized gains (losses) on closed positions	$	(472,267	)	$	445,588
Change in unrealized gains (losses) on open positions		(428,204	)		(353,299	)
		(900,471	)		92,289
Interest income		16,394			6,917
		(884,077	)		99,206
Expenses:
Brokerage commissions including clearing fees of $894 and $495, respectively		55,789			73,037
Management fees		35,489			46,062
Other expenses		11,000			5,395
		102,278			124,494
Net loss		(986,355	)		(25,288	)
Redemptions - Limited Partners		(80,068	)		(58,686	)
Net decrease in Partners' capital		(1,066,423	)		(83,974	)
Partners' capital, beginning of period		4,278,361			4,493,233
Partners' capital, end of period	$	3,211,938		$	4,409,259
Net asset value per Redeemable Unit (1,043 and 1,127 Redeemable Units outstanding at March 31, 2005 and 2004, respectively)	$	3,079.52		$	3,912.39
Net loss per Redeemable Unit of Limited Partnership Interest and General Partner Unit equivalent	$	(922.69	)	$	(22.14	)

See Accompanying Notes to Financial Statements.

Shearson Select Advisors Futures Fund L.P.
Statements of Cash Flows
(Unaudited)


	Three Months Ended March 31,
	2005			2004
Cash flows from operating activities:
Net loss	$	(986,355	)	$	(25,288	)
Adjustments to reconcile net loss to net cash provided by (used in) operating activities:
Changes in operating assets and liabilities:
(Increase) decrease in restricted cash		278,158			(29,726	)
(Increase) decrease in net unrealized appreciation on open futures positions		—			(154,476	)
(Increase) decrease in unrealized appreciation on open forward contracts		373,703			41,153
(Increase) decrease in interest receivable		(888	)		(429	)
Increase (decrease) in net unrealized depreciation on open futures positions		(5,191	)		—
Increase (decrease) in unrealized depreciation on open forward contracts		59,692			466,622
Accrued expenses:
Increase (decrease) in commissions		(5,238	)		(148	)
Increase (decrease) in management fees		(3,511	)		(111	)
Increase (decrease) in incentive fees		(7,438	)		—
Increase (decrease) in other		11,000			3,895
Increase (decrease) in redemptions payable		24,037			50,817
Net cash provided by (used in) operating activities		(262,031	)		352,309
Cash flows from financing activities:
Payments for redemptions — Limited Partners		(80,068	)		(58,686	)
Net change in cash		(342,099	)		293,623
Unrestricted cash, at beginning of period		3,153,907			3,720,644
Unrestricted cash, at end of period	$	2,811,808		$	4,014,267

See Accompanying Notes to Financial Statements.

Shearson Select Advisors Futures Fund L.P.
Notes to Financial Statements
March 31, 2005
(Unaudited)

1. General

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 commenced trading on July 1, 1987.

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. As of March 31, 2005, all trading decisions are made by John W. Henry & Company, Inc. (the "Advisor").

The accompanying financial statements are unaudited but, in the opinion of management, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair presentation of the Partnership's financial condition at March 31, 2005 and December 31, 2004 and the results of its operations and cash flows for the three months ended March 31, 2005 and 2004. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. You should read these financial statements together with the financial statements and notes included in the Partnership's Annual Report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2004.

Due to the nature of commodity trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.

Shearson Select Advisors Futures Fund L.P.
Notes to Financial Statements
March 31, 2005
(Unaudited)

2. Financial Highlights:

Changes in Net Asset Value per Redeemable Unit of Limited Partnership Interest for the three months ended March 31, 2005 and 2004 were as follows:


	Three Months Ended March 31,
	2005			2004
Net realized and unrealized gains (losses)*	$	(894.54	)	$	16.85
Interest income		15.34			6.05
Expenses**		(43.49	)		(45.04	)
Increase (decrease) for the period		(922.69	)		(22.14	)
Net Asset Value per Redeemable Unit, beginning of period		4,002.21			3,934.53
Net Asset Value per Redeemable Unit, end of period	$	3,079.52		$	3,912.39
* Includes brokerage commissions
** Excludes brokerage commissions
Ratio to average net assets: ***
Net investment loss before incentive fees****		(9.4	)%		(10.4	)%
Operating expenses		11.2	%		11.0	%
Incentive fees		—	%		—	%
Total expenses		11.2	%		11.0	%
Total return:
Total return before incentive fees		(23.1	)%		(0.6)	%
Incentive fees		—	%		—	%
Total return after incentive fees		(23.1	)%		(0.6)	%


***	Annualized (other than incentive fee)


****	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 period. Additionally, these ratios are calculated for the Limited Partner class using the Limited Partners' share of income expenses and average net assets.

3. 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 and Partners' Capital and are discussed in Item 2, Management's Discussion and Analysis of Financial Condition and Results of Operations.

The Customer Agreement between the Partnership and CGM gives the Partnership the legal right to net unrealized gains and losses.

All of the commodity interests owned by the Partnership are held for trading purposes. The average fair values of these interests during the three and twelve months ended March 31, 2005 and December 31, 2004, based on a monthly calculation, were $1,951 and $205,249, respectively. The fair values of these

Shearson Select Advisors Futures Fund L.P.
Notes to Financial Statements
March 31, 2005
(Unaudited)

commodity interests, including options thereon, if applicable, at March 31, 2005 and December 31, 2004, were $(9,473) and $418,731, respectively. Fair values for exchange traded commodity futures and options are based on quoted market prices for those futures and options. Fair values for all other financial instruments for which market quotations are not readily available are based on calculations approved by the General Partner.

4. 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 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 as unrealized appreciation 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 March 31, 2005. However, due to the nature of the Partnership's business, these instruments may not be held to maturity.

Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations.

Liquidity and Capital Resources

The Partnership does not engage in the sale 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. While substantial losses could lead to a decrease in liquidity, no such losses occurred during the first quarter of 2005.

The Partnership's capital consists of the capital contributions of the partners as increased or decreased by realized and/or unrealized gains or losses on commodity futures trading, expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any.

For the three months ended March 31, 2005, Partnership capital decreased 24.9% from $4,278,361 to $3,211,938. This decrease was attributable to a net loss from operations of $986,355 coupled with the redemption of 26 Redeemable Units resulting in an outflow of $80,068. Future redemptions can impact the amount of funds available for investment in commodity contract positions in subsequent periods.

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, disclosures of contingent assets and liabilities at the date of the financial statements and reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates.

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. 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 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.

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 date of entry into the contracts and the forward rates at the reporting date, is included in the statements of financial condition. 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 the statements of income and expenses and partners' capital.

Results of Operations

During the Partnership's first quarter of 2005, the net asset value per Redeemable Unit decreased 23.1% from $4,002.21 to $3,079.52 as compared to a decrease of 0.6% in the first quarter of 2004. The Partnership experienced a net trading loss before brokerage commissions and related fees in the first quarter of 2005 of $900,471. Losses were primarily attributable to the trading of commodity contracts in currencies, non-U.S. interest rates, metals and indices and were partially offset by gains in U.S. interest rates. The Partnership experienced a net trading gain before brokerage commissions and related fees in the first quarter of 2004 of $92,289. Gains were primarily attributable to the trading of commodity contracts in U.S. and non-U.S. interest rates and metals and were partially offset by losses in currencies and indices.

Results for the first quarter were highlighted by difficult trading conditions in across all market sectors and resulted in effectively giving back much of the gains from the fourth quarter 2004.

First quarter performance was adversely affected by sharp trend-reversals and general choppy price patterns across a number of markets. In currency trading, the U.S. dollar, which had generated profits consistently in 2004, began to reverse its long-term decline and moved back to the low 130s in relation to the Euro. This move was particularly disruptive in January but continued through the quarter as the markets produced no identifiable direction and was the Partnership's largest overall losing position. Trading in non-U.S. interest rate contracts produced losses while favorable trends produced slightly positive results in U.S. interest rate trading. Stock indices showed some strength in February but not sufficient to offset losses in January and March. Metals trading following patterns in the currency markets and was negative for the Partnership.

Commodity futures markets are highly volatile. The potential for broad and rapid price fluctuations increases the risks involved in commodity trading, but also increases the possibility of profit. The profitability of the Partnership depends on the existence of major price trends and the ability of the Advisor to correctly identify those price trends. 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.

Interest income on 70% of the Partnership's daily average equity maintained in cash was earned at the monthly average 13-week U.S. Treasury Bill yield. CGM may continue to maintain the Partnership assets in cash and/or place all of the Partnership assets in 90-day Treasury bills and pay the Partnership 70% of the interest earned on the Treasury bills purchased. CGM will retain 30% of any interest earned on Treasury bills. Interest income for the three months ended March 31, 2005 increased by $9,477, as compared to the corresponding period in 2004. The increase in interest income is primarily due to an increase in interest rates during the three months ended March 31, 2005 as compared to 2004.

Brokerage commissions are calculated on the Partnership's adjusted net asset value on the last day of each month and are affected by trading performance and redemptions. Accordingly, they must be compared in relation to the fluctuations in the monthly net asset values. Commissions and fees for the three months ended March 31, 2005 decreased by $17,248 as compared to the corresponding period in 2004. The decrease in brokerage commissions and fees is due to a decrease in average net assets during the three months ended March 31, 2005 as compared to 2004.

Management fees are calculated as a percentage of the Partnership's net asset value as of the end of each month and are affected by trading performance and redemptions. Management fees for the three months ended March 31, 2005 decreased by $10,573 as compared to the corresponding period in 2004. The decrease in management fees is due to a decrease in average net assets during the three months ended March 31, 2005 as compared to 2004.

Incentive fees paid by the Partnership are based on the new trading profits of the Partnership as defined in the Limited Partnership Agreement. There were no incentive fees accrued for the three months ended March 31, 2005 and 2004.

Item 3. Quantitative and Qualitative Disclosures about Market Risk

The Partnership is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes, and all or substantially all of the Partnership's assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Partnership's main line of business.

Market movements result in frequent changes in the fair 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 value of financial instruments and contracts, the diversification effects among the Partnership's open positions and the liquidity of the markets in which it trades.

The Partnership rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Partnership's past performance is not necessarily indicative of its future results.

Value at Risk is a measure of the maximum amount which the Partnership could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Partnership's speculative trading and the recurrence in the markets traded by the Partnership of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Partnership's experience to date (i.e., "risk of ruin"). In light of the foregoing as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification 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.

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 interval. 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.

The following table indicates the trading Value at Risk associated with the Partnership's open positions by market category as of March 31, 2005 and the highest, lowest and average values during the three months ended March 31, 2005. All open position trading risk exposures of the Partnership have been included in calculating the figures set forth below. As of March 31, 2005, the Partnership's total capitalization was $3,211,938. There has been no material change in the trading Value at Risk information previously disclosed in the Partnership's Annual Report on Form 10-K for the year ended December 31, 2004.

March 31, 2005
(Unaudited)


						Three months ended March 31, 2005
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies
– OTC	$	130,006		4.05	%	$	267,602	$	36,387	$	110,476
Interest rates U.S.		42,850		1.33	%		46,200		14,840		33,528
Interest rates Non-U.S.		68,827		2.14	%		262,764		68,827		114,119
Metals
– Exchange Traded Contracts		16,500		0.52	%		18,000		10,500		16,500
– OTC		184,423		5.74	%		184,423		38,675		91,841
Indices		181,715		5.66	%		198,925		96,215		145,787
Totals	$	624,321		19.44	%


*	Average of month-end Values at Risk

Item 4. Controls and Procedures

Based on their evaluation of the Partnership's disclosure controls and procedures as of March 31, 2005, the President and Chief Financial Officer of the General Partner have concluded that such controls and procedures are effective.

During the Partnership's last fiscal quarter, no changes occurred in the Partnership's internal control over financial reporting that have materially affected, or are reasonably likely to materially affect, the Partnership's internal control over financial reporting.

PART II. OTHER INFORMATION

Item 1. Legal Proceedings

The following information supplements and amends our discussion set forth under Part I, Item 3 "Legal Proceedings" in the Partnership's Annual Report on Form 10-K for the fiscal year ended December 31, 2004.

Enron Corp.

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 the NEWBY action. 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.

Dynegy Inc.

The court had 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, Inc.

The District Court approved the settlement of the IN RE TARGETS SECURITIES LITIGATION on April 22, 2005.

Global Crossing

The plaintiffs and the Citigroup Related Defendants have 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.

Research

Two putative class actions against CGMI asserting common law claims on behalf of CGMI customers in connection with published investment research have been dismissed by United States District Courts, the dismissals of which were affirmed by the United States Court of Appeals for the Third and Ninth Circuits, respectively. Plaintiffs in the Ninth Circuit case have sought review by the United States Supreme Court; their petition for a writ of certiorari, which CGMI opposed, is pending before that court.

Mutual Funds

CGMHI entered into a settlement with the SEC with respect to revenue sharing and sales of classes of funds.

Investigations of Euro Zone Government Bonds Trade

The German prosecutors have declined to take any actions against the employees in connection with this matter.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

The following chart sets forth the purchases of Redeemable Units by the Partnership.

Period

(a)Total Number
of Shares
(or Units) Purchased*

(b)Average
Price Paid per
Share (or Unit)**

(c)Total Number
of Shares (or Units)
Purchased as Part
of Publicly Announced
Plans or Programs

(d)Maximum Number
(or Approximate
Dollar Value) of Shares
(or Units) that
May Yet Be
Purchased Under the
Plans or Programs

January 1, 2005 -
January 31, 2005

N/A

February 1, 2005 -
February 28, 2005

N/A

March 1, 2005 -
March 31, 2005

$3,079.52

N/A

Total

$3,079.52

N/A

* Generally, Limited Partners are permitted to redeem their Redeemable Units as of the end of each month on 10 days' notice to the General Partner. Under certain circumstances, the General Partner can compel redemption but to date the General Partner has not exercised this right. Purchases of Redeemable Units by the Partnership reflected in the chart above were made in the ordinary course of the Partnership's business in connection with effecting redemptions for Limited Partners.


	** Redemptions of Redeemable Units are effected as of the last day of each month at the Net Asset Value per Redeemable Unit as of that day.

Item 3. Defaults Upon Senior Securities – None

Item 4. Submission of Matters to a Vote of Security Holders – None

Item 5. Other Information – None

Item 6. Exhibits

The exhibits required to be filed by Item 601 of Regulation S-K are incorporated herein by reference to the exhibit index of the Partnership's Annual Report on Form 10-K for the year ended December 31, 2004.

Exhibit – 31.1 – Rule 13a-14(a)/15d-14(a) Certification
(Certification of President and Director)

Exhibit – 31.2 – Rule 13a-14(a)/15d-14(a) Certification
(Certification of Chief Financial Officer and Director)

Exhibit – 32.1 – Section 1350 Certification
(Certification of President and Director).

Exhibit – 32.2 – Section 1350 Certification
(Certification of Chief Financial Officer and Director).

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

SHEARSON SELECT ADVISORS FUTURES FUND L.P.


By:				Citigroup Managed Futures LLC
				(General Partner)
By:				/s/ David J. Vogel
				David J. Vogel, President and Director
Date:				May 16, 2005
By:				/s/ Daniel R. McAuliffe, Jr.
				Daniel R. McAuliffe, Jr. Chief Financial Officer and Director
Date:				May 16, 2005

(State or other jurisdiction of

(I.R.S. Employer

incorporation or organization)

Identification No.)

Filing Compare · SHEARSON LEHMAN SELECT ADVISORS FUTURES FUND L P