<Page>

                                  UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION

                             Washington, D.C. 20549

                                    FORM 10-K

                /X/ Annual Report Pursuant to Section 13 or 15(d)
                     of the Securities Exchange Act of 1934

                  For the fiscal year ended: December 31, 2004
                                       or
                  / / Transition Report Pursuant to Section 13
                 or 15(d) of the Securities Exchange Act of 1934

                         Commission file number: 0-50269

                            ML SELECT FUTURES I L.P.
             (Exact name of registrant as specified in its charter)

                   DELAWARE                             13-3879393
        (State or other jurisdiction of             (I.R.S. Employer
         incorporation or organization)            Identification No.)

                  C/O MERRILL LYNCH ALTERNATIVE INVESTMENTS LLC
                           PRINCETON CORPORATE CAMPUS
                      800 SCUDDERS MILL ROAD - SECTION 2-G
                          PLAINSBORO, NEW JERSEY 08536
                    (Address of principal executive offices)

       Registrant's telephone number, including area code: (609) 282-6996

SECURITIES REGISTERED PURSUANT TO SECTION 12(b) OF THE ACT: None

SECURITIES REGISTERED PURSUANT TO SECTION 12(g) OF THE ACT: Limited Partnership
Units

Indicate by check mark whether the registrant (1) has filed all reports required
to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during
the preceding 12 months (or for such shorter period that the registrant was
required to file such reports), and (2) has been subject to such filing
requirements for the past 90 days.
                                                          Yes  /X/      No   / /

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

Indicate by check mark whether registrant is an accelerated filer (as defined by
Rule 12b-2 of the Act).
                                                          Yes  / /      No   /X/

Aggregate market value of the voting and non-voting common equity held by
non-affiliates of the registrant: the registrant is a limited partnership; as of
February 1, 2005, limited partnership units with an aggregate value of
$548,294,529 were outstanding and held by non-affiliates.

                       DOCUMENTS INCORPORATED BY REFERENCE

The registrant's "2004 Annual Report and Report of Independent Registered Public
Accounting Firm," the annual report to security holders for the fiscal year
ended December 31, 2004, is incorporated by reference into Part II, Item 8, and
Part IV hereof and filed as an Exhibit herewith. Copies of the annual report are
available free of charge by contacting Alternative Investments Client Services
at 1-877-465-8435.

<Page>

                            ML SELECT FUTURES I L. P.

                       ANNUAL REPORT FOR 2004 ON FORM 10-K

                                TABLE OF CONTENTS

<Table>
<Caption>
                                                                                                       PAGE
                                                                                                       ----
<S>        <C>                                                                                          <C>
                                                    PART I
Item 1.    Business                                                                                      1

Item 2.    Properties                                                                                    7

Item 3.    Legal Proceedings                                                                             7

Item 4.    Submission of Matters to a Vote of Security Holders                                           7

                                                    PART II

Item 5.    Market for Registrant's Common Equity, Related Stockholder Matters and Issuer Purchases
           of Equity Securities                                                                          8

Item 6.    Selected Financial Data                                                                       9

Item 7.    Management's Discussion and Analysis of Financial Condition and Results of Operations        11

Item 7A.   Quantitative and Qualitative Disclosures about Market Risks                                  17

Item 8.    Financial Statements and Supplementary Data                                                  21

Item 9.    Changes in and Disagreements with Accountants on Accounting and Financial Disclosure         21

Item 9A.   Controls and Procedures                                                                      21

Item 9B.   Other Information                                                                            22

                                                   PART III

Item 10.   Directors and Executive Officers of the Registrant                                           23

Item 11.   Executive Compensation                                                                       24

Item 12.   Security Ownership of Certain Beneficial Owners and Management and Related
           Stockholder Matters                                                                          24

Item 13.   Certain Relationships and Related Transactions                                               25

Item 14.   Principal Accountant Fees and Services                                                       26

                                                    PART IV

Item 15.   Exhibits and Financial Statement Schedules                                                   27
</Table>

<Page>

                                     PART I

ITEM 1:  BUSINESS

     (a)  GENERAL DEVELOPMENT OF BUSINESS:

          ML Select Futures I L.P. (the "Partnership") was organized under the
Delaware Revised Uniform Limited Partnership Act on August 4, 1995 under the
name ML Chesapeake L.P. The Partnership began trading on April 16, 1996 and
trades in the international futures and forward markets applying proprietary
trading strategies under the direction of Sunrise Capital Partners, LLC
("Sunrise"). The Partnership's objective is to achieve, through speculative
trading, substantial capital appreciation over time.

          Merrill Lynch Alternative Investments LLC ("MLAI"), a wholly-owned
subsidiary of Merrill Lynch Investment Managers, LP ("MLIM"), which, in turn, is
an indirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. ("Merrill
Lynch"), is the general partner of the Partnership. Merrill Lynch, Pierce,
Fenner & Smith Incorporated ("MLPF&S"), a wholly-owned subsidiary of Merrill
Lynch, is the Partnership's commodity broker. As used herein, the capitalized
term "MLAI" also refers to the general partner at times when its name was MLIM
Alternative Strategies LLC, as applicable.

          The proceeds of the Partnership's units of limited partnership
interest (the "Units") were initially allocated to the Partnership's initial
trading adviser, Chesapeake Capital Corporation ("Chesapeake"). On July 1, 1998,
Sunrise replaced Chesapeake as the Partnership's sole trading advisor
("Advisor").

          As of December 31, 2004, the capitalization of the Partnership was
$586,978,366, and the Net Asset Value per Unit, originally $100 as of April 1,
1996, had risen to $234.41.

          The highest month-end Net Asset Value per Unit since Sunrise began
trading the Partnership was $248.26 (March 31, 2004) and the lowest was $127.01
(July 31, 1998).

     (b)  FINANCIAL INFORMATION ABOUT SEGMENTS:

          The Partnership's business constitutes only one segment for financial
reporting purposes, i.e., a speculative "commodity pool." The Partnership does
not engage in sales of goods or services.

     (c)  NARRATIVE DESCRIPTION OF BUSINESS:

          GENERAL

          The Partnership trades in the international futures and forward
markets with the objective of achieving substantial capital appreciation.

          The Partnership has entered into an advisory agreement with Sunrise
whereby Sunrise trades through a managed account the Partnership's assets using
its Expanded Diversified Program. In the Expanded Diversified Program, Sunrise
applies its trend-following systems to a broadly-diversified portfolio of
futures and forward markets, including, but not limited to, precious and
industrial metals, grains, petroleum products, soft commodities, domestic and
foreign interest rate futures, domestic and foreign stock indices (including S&P
500, DAX, and Nikkei 225), currencies an their cross rates, and minor currency
markets.

          One of the aims of the Partnership is to provide diversification to a
limited portion of the risk segment of the Limited Partners' portfolios into an
investment field that has historically often demonstrated a low degree of
performance correlation with traditional stock and bond holdings.

                                        1
<Page>

SUNRISE AND ITS EXPANDED DIVERSIFIED PROGRAM

          Sunrise currently offers five trading programs, one of which, the
Expanded Diversified Trading Program is used in managing the Partnership's
assets. In the Expanded Diversified Trading Program, Sunrise applies its
trend-following systems to a broadly-diversified portfolio of futures and
forward markets, including, but not limited to, precious and industrial metals,
grains, petroleum products, soft commodities, domestic and foreign interest rate
futures, domestic and foreign stock indices (including S&P 500, DAX and Nikkei
225), currencies and their cross rates, and minor currency markets
(collectively, "Commodity Interests"). Sunrise may trade these markets on any
U.S. or non-U.S. exchange. Sunrise may also trade options for the Partnership in
the future; in the event that it does, these options will be considered
Commodity Interests. As of December 31, 2004, Sunrise was managing approximately
$2.5 billion (excluding "notional" funds) in the futures and forward markets.

          SUNRISE'S PROGRAMS ARE TECHNICAL AND TREND-FOLLOWING SYSTEMS

          The mathematical models used by Sunrise's programs are technical
systems, generating trading signals on the basis of statistical research into
past market prices. Sunrise does not attempt to predict or forecast changes in
price through fundamental economic analysis. The trading methodologies employed
by Sunrise are based on programs analyzing a large number of interrelated
mathematical and statistical formulas and techniques, which are quantitative and
proprietary in nature.

          As a trend-following advisor, Sunrise's objective is to participate in
major price trends--sustained price movements either up or down. Such price
trends may be relatively infrequent. Some trend-following advisors have
anticipated that over half of their positions will be unprofitable. Their
strategy is based on making sufficiently large profits from the trends which
they identify and follow to generate overall profits despite the more numerous
but, hopefully, smaller losses incurred on the majority of their positions.

          THE MARKETS TRADED BY SUNRISE FOR THE PARTNERSHIP

          The Partnership trades on a variety of United States and foreign
futures exchanges. Applicable exchange rules differ significantly among
different countries and exchanges. The Partnership's entire off-exchange trading
takes place substantially in the highly liquid, institutionally based currency
forward markets. The forward markets are generally unregulated, and in its
forward trading the Partnership does not deposit margin with respect to its
positions. Spot and forward currency contracts currently are the only
non-exchange traded instruments held by the Partnership.

          To date, approximately 20% to 30% of the Partnership's trades by
volume have been in forward currency contracts, but from time to time the
percentage of the Partnership's trading represented by forward currency trades
may fall substantially outside this range. Because the Partnership need not
deposit any margin with Merrill Lynch in respect of the Partnership's forward
trading, the Partnership's additional risk in trading in such unregulated
markets should be limited to a possible loss of unrealized profits on open
forward positions which a counterparty accessed through Merrill Lynch would not,
in the event of its bankruptcy, be able to pay to Merrill Lynch for the account
of the Partnership.

          As in the case of its market sector allocations, the Partnership's
commitments to different types of markets -- U.S. and non-U.S., regulated and
unregulated -- differ substantially from time to time as well as over time. The
Partnership has no policy restricting its relative commitment to any of these
different types of markets, although generally the bulk of the Partnership's
trading takes place on regulated exchanges.

          The Partnership's financial statements contain information relating to
the types of markets traded by the Partnership. There can, however, be no
assurance as to which markets the Partnership may trade or in which markets the
Partnership's trading may be concentrated at any one time or over time.

                                        2
<Page>

USE OF PROCEEDS AND CASH MANAGEMENT INCOME

          SUBSCRIPTION PROCEEDS

          The Partnership's cash is used as security for and to pay the
Partnership's trading losses as well as its expenses and redemptions. The
primary use of the proceeds of the sale of the Units is to permit Sunrise to
trade on a speculative basis in a wide range of different futures and forwards
markets on behalf of the Partnership. While being used for this purpose, the
Partnership's assets are also generally available for cash management, as more
fully described below under "Available Assets".

          MARKET SECTORS

          In the Expanded Diversified Program, Sunrise applies its
trend-following systems to a broadly diversified portfolio of futures and
forward markets. Interest currently included in the Expanded Diversified Program
are: currencies (majors, minors, & crossrates), metals (gold, silver, copper,
aluminum, nickel, and zinc), indices (S&P 500, DAX, and Nikkei 225), interest
rates, (T-bonds, T-Notes, Eurodollars, Euro-Bund, three-month Euro Futures, Euro
BOBL, Japanese Government Bond, Euroyen, 90-day Australian Bank Accepted Bill
("Aussie Bill") and three-month Canadian Bankers' Acceptance Note), energy
(crude oil and natural gas) and agriculturals (soybeans, soymeal, corn, wheat,
coffee and sugar and cotton).

          MARKET TYPES

          The Partnership trades on a variety of United States and foreign
futures exchanges. Substantially all of the Partnership's off-exchange trading
takes place in the highly liquid, institutionally based currency forward
markets.

          Many of the Partnership's currency trades are executed in the spot and
forward foreign exchange markets (the "FX Markets") where there are no direct
execution costs. Instead, the participants, banks and dealers in the FX markets
take a "spread" between the prices at which they are prepared to buy and sell a
particular currency and such spreads are built into the pricing of the spot or
forward contracts with the Partnership.

          As in the case of its market sector allocations, the Partnership's
commitments to different types of markets - U.S. and non-U.S. regulated and
non-regulated differ substantially from time to time, as well as over time. The
Partnership has no policy restricting its relative commitment to any of these
different types of markets.

          CUSTODY OF ASSETS

          All of the Partnership's assets are currently held in Commodity
Futures Trading Commission ("CFTC") regulated customer accounts at MLPF&S.

          AVAILABLE ASSETS

          The Partnership earns income, as described below, on its "Available
Assets", which can be generally described as the cash actually held by the
Partnership. Available Assets are held primarily in U.S. dollars and are
comprised of the Partnership's cash balances held in the offset accounts (as
described below) - which include "open trade equity" (unrealized gain and loss
on open positions) on United States futures contracts, which is paid into or out
of the Partnership's account on a daily basis; the Partnership's cash balance in
foreign currencies derived from its trading in non-U.S. dollar denominated
futures and options contracts, which includes open trade equity on those
exchanges which settle gains and losses on open positions in such contracts
prior to closing out such positions. Available Assets do not include and the
Partnership does not earn interest income on the Partnership's gains or losses
on its open forward, commodity option and certain foreign futures positions
since such gains and losses are not collected or paid until such positions are
closed out.

                                        3
<Page>

          The Partnership's Available Assets may be greater than, less than or
equal to the Partnership's Net Asset Value (on which the redemption value of the
Units is based) primarily because Net Asset Value reflects all gains and losses
on open positions as well as accrued but unpaid expenses.

          INTEREST EARNED ON THE PARTNERSHIP'S U.S. DOLLAR AVAILABLE ASSETS

          The Partnership's U.S. dollar Available Assets are held in cash in
offset accounts.

          Offset accounts are non-interest bearing demand deposit accounts
maintained with banks unaffiliated with Merrill Lynch. An integral feature of
the offset arrangements is that the participating banks specifically acknowledge
that the offset accounts are MLPF&S customer accounts, not subject to any
Merrill Lynch liability.

          MLPF&S credits the Partnership, as of the end of each month, with
interest at the effective daily 91-day Treasury bill rate on the average daily
U.S. dollar Available Assets held in the offset accounts during such month. The
Partnership receives all the interest paid on the short-term Treasury bills in
which it invests.

          The use of the offset account arrangements for the Partnership's U.S.
dollar Available Assets may be discontinued by Merrill Lynch at any time. If
Merrill Lynch were to terminate the offset arrangements, it would attempt to
invest all of the Partnership's U.S. dollar Available Assets to the maximum
practicable extent in short-term Treasury bills. All interest earned on the U.S.
dollar Available Assets so invested would be paid to the Partnership but MLAI
would expect the amount of such interest to be less than that available to the
Partnership under the offset account arrangements. The remaining U.S. dollar
Available Assets of the Partnership would be kept in cash to meet variation
margin payments and pay expenses, but would not earn interest for the
Partnership.

          The banks at which the offset accounts are maintained make available
to Merrill Lynch interest-free overnight credits, loans or overdrafts in the
amount of the Partnership's U.S. dollar Available Assets held in the offset
accounts, charging Merrill Lynch a small fee for this service. The economic
benefits derived by Merrill Lynch - net of the interest credits paid to the
Partnership and the fee paid to the offset banks - from the offset accounts have
not exceeded 0.75% per annum of the Partnership's average daily U.S. dollar
Available Assets held in the offset accounts. These revenues to Merrill Lynch
are in addition to the Brokerage Commissions and Administrative Fees paid by the
Partnership to MLPF&S and MLAI, respectively.

          INTEREST PAID BY MERRILL LYNCH ON THE PARTNERSHIP'S NON-U.S. DOLLAR
          AVAILABLE ASSETS

          Under the single currency margining system implemented for the
Partnership, the Partnership itself does not deposit foreign currencies to
margin trading in non-U.S. dollar denominated futures contracts and options, if
any. MLPF&S provides the necessary margin, permitting the Partnership to retain
the monies which would otherwise be required for such margin as part of the
Partnership's U.S. dollar Available Assets. The Partnership does not earn
interest on foreign margin deposits provided by MLPF&S. The Partnership does,
however, earn interest on its non-U.S. dollar Available Assets. Specifically,
the Partnership is credited by Merrill Lynch with interest at prevailing
short-term local rates on assets and net gains on non-U.S. dollar denominated
positions for such gains actually held in cash by the Partnership. Merrill Lynch
charges the Partnership Merrill Lynch's cost of financing realized and
unrealized losses on such positions.

          The Partnership holds foreign currency gains and finances foreign
currency losses on an interim basis until converted into U.S. dollars and either
paid into or out of the Partnership's U.S. dollar Available Assets. Foreign
currency gains or losses on open positions are not converted into U.S. dollars
until the positions are closed. Assets of the Partnership while held in foreign
currencies are subject to exchange rate risk.

                                        4
<Page>

          CHARGES

          The following table summarizes the charges incurred by the Partnership
during 2004, 2003, and 2002.

<Table>
<Caption>
                                   2004                          2003                          2002
                       ---------------------------------------------------------------------------------------
                                      % OF AVERAGE                  % OF AVERAGE                  % OF AVERAGE
                          DOLLAR        MONTH-END        DOLLAR       MONTH-END       DOLLAR        MONTH-END
     CHARGES              AMOUNT       NET ASSETS        AMOUNT      NET ASSETS       AMOUNT       NET ASSETS
--------------------------------------------------------------------------------------------------------------
<S>                    <C>                    <C>    <C>                   <C>     <C>                    <C>
Brokerage
Commissions            $ 26,151,018           5.77%  $ 10,533,803           5.83%  $  4,012,892           5.84%
Administrative Fees       1,641,858           0.36%       622,464           0.34%       182,404           0.27%
Profit Shares             4,731,366           1.04%     8,416,558           4.66%     2,508,724           3.65%
                       ---------------------------------------------------------------------------------------
Total                  $ 32,524,242           7.17%  $ 19,572,825          10.83%  $  6,704,020           9.76%
                       =======================================================================================
</Table>

          The foregoing table does not reflect the bid-ask spreads paid by the
Partnership on its forward trading, or the benefits which may be derived by
Merrill Lynch from the deposit of certain of the Partnership's U.S. dollar
assets maintained at MLPF&S.

          Each Unit is subject to the same charges. The Partnership's average
month-end Net Assets during 2004, 2003, and 2002 equaled $453,646,399,
$180,783,609 and $68,702,933, respectively.

          During 2004, 2003, and 2002, the Partnership earned $6,875,902,
$1,831,533, and $1,124,469 in interest income, or approximately 1.52%, 1.02%,
and 1.64%, of the Partnership's average month-end Net Assets.

                         DESCRIPTION OF CURRENT CHARGES

<Table>
<Caption>
RECIPIENT                  NATURE OF PAYMENT                  AMOUNT OF PAYMENT
---------                  -----------------                  -----------------
<S>                        <C>                                <C>
MLPF&S                     Brokerage Commissions              A flat-rate monthly brokerage commission of 0.458 of
                                                              1% (a 5.5% annual rate) of the Partnership's
                                                              month-end assets (including the monthly interest
                                                              credit and before reduction for accrued month-end
                                                              redemptions, distributions, brokerage commissions,
                                                              administrative fees or Profit Shares, in each case as
                                                              of the end of the month of determination). Such
                                                              commissions cover Sunrise's monthly consulting fee as
                                                              well as all floor brokerage and exchange, clearing
                                                              and National Futures Association ("NFA") fees
                                                              incurred in the Partnership's trading.

                                                              During 2004, 2003 and 2002, the round-turn (each
                                                              purchase and sale or sale and purchase of a single
                                                              futures contract) equivalent rate of the
                                                              Partnership's flat-rate Brokerage Commissions was
                                                              approximately $318, $265 and $193.
</Table>

                                        5
<Page>

<Table>
<S>                        <C>                                <C>
MLPF&S                     Use of Partnership assets          Merrill Lynch may derive an economic benefit from
                                                              the deposit of certain of the Partnership's U.S.
                                                              dollar assets in accounts maintained at MLPF&S.

MLAI                       Administrative Fees                A flat-rate monthly charge of 0.021 of 1% (0.25%
                                                              annual rate) of the Partnership's month-end assets
                                                              (including the monthly interest credit and before
                                                              reduction for accrued month-end redemptions,
                                                              distributions, brokerage commissions, administrative
                                                              fees or Profit Shares, in each case as of the end of
                                                              the month of determination). Additionally, the
                                                              Partnership reimburses MLAI the actual cost of the
                                                              State of New Jersey annual filing fee assessed on a
                                                              per partner basis with a maximum of $250,000 per
                                                              year.  The administrative fees cover the
                                                              Partnership's routine administrative expenses and
                                                              MLAI will absorb any administrative costs incurred
                                                              during any calendar year in excess of the foregoing
                                                              amount.

Merrill Lynch              Bid-ask spreads                    Bid-ask spreads on forward and related trades.
International
Bank ("MLIB")
(or an affiliate);
Other
counterparties

MLIB (or an                EFP differentials                  Certain of the Partnership's currency trades may be
affiliate); Other                                             executed in the form of "exchange of futures for
counterparties                                                physical" transactions, in which a counterparty
                                                              (which may be MLIB or an affiliate) receives an
                                                              additional "differential" spread for exchanging the
                                                              Partnership's cash currency positions for equivalent
                                                              futures positions.

Sunrise                    Annual profit shares               23% of any New Trading Profits generated by the
                                                              Partnership as a whole, excluding interest income and
                                                              after reduction for a portion of the Brokerage
                                                              Commissions, as of the end of each calendar year.

Sunrise                    Consulting Fees                    MLPF&S pays Sunrise monthly Consulting Fees of 0.083
                                                              of 1% of the Partnership's month-end assets (a 1%
                                                              annual rate), after reduction for a portion of the
                                                              Brokerage Commissions.

MLPF&S;                    Reimbursement of                   Actual payments to third parties, which are expected
 Others                    delivery, insurance,               to be negligible.
                           storage and any other
                           extraordinary charges;
                           taxes (if any)

MLPF&S;                    Extraordinary expenses             Actual costs incurred; none paid to date.
 Others
</Table>

                                        6
<Page>

          REGULATION

          MLAI, the Advisor and MLPF&S are each subject to regulation by the
CFTC and the NFA. Other than in respect of the registration requirements
pertaining to the Partnership's securities under Section 12(g) of the Securities
Exchange Act of 1934, the Partnership is generally not subject to regulation by
the Securities and Exchange Commission (the "SEC"). However, MLAI itself is
registered as an "investment adviser" under the Investment Advisers Act of 1940.
MLPF&S is also regulated by the SEC and the National Association of Securities
Dealers.

          (i) through (xii) -- not applicable.

          (xiii) The Partnership has no employees.

     (d)  FINANCIAL INFORMATION ABOUT GEOGRAPHIC AREAS

          The Partnership does not engage in material operations in foreign
countries, nor is a material portion of the Partnership's revenue derived from
customers in foreign countries.

          The Partnership trades on a number of foreign commodity exchanges. The
Partnership does not engage in the sales of goods or services.

ITEM 2: PROPERTIES

          The Partnership does not use any physical properties in the conduct of
its business.

          The Partnership's administrative offices are the administrative
offices of MLAI (Merrill Lynch Alternative Investments LLC, Princeton Corporate
Campus, 800 Scudders Mill Road - Section 2G, Plainsboro, New Jersey 08536). MLAI
performs administrative services for the Partnership from MLAI's offices.

ITEM 3: LEGAL PROCEEDINGS

          Neither the Partnership nor MLAI has ever been the subject of any
material litigation. Merrill Lynch is the 100% indirect owner of MLAI, MLIM,
MLPF&S and all other Merrill Lynch entities involved in the operation of the
Partnership. Merrill Lynch as well as certain of its subsidiaries and affiliates
have been named as defendants in civil actions, arbitration proceedings and
claims arising out of their respective business activities. Although the
ultimate outcome of these actions cannot be predicted at this time and the
results of legal proceedings cannot be predicted with certainty, it is the
opinion of management that the result of these matters will not be materially
adverse to the business operations or the financial condition of MLAI or the
Partnership.

ITEM 4: SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS

          None.

                                        7
<Page>

                                     PART II

ITEM 5:   MARKET FOR REGISTRANT'S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND
          ISSUER PURCHASES OF EQUITY SECURITIES

     Item 5(a)

     (a)  MARKET INFORMATION:

          There is no established public trading market for the Units, and none
is likely to develop. Limited Partners may redeem Units on ten days written
notice to MLAI as of the last day of each month at their Net Asset Value,
subject to certain early redemption charges.

     (b)  HOLDERS:

          As of December 31, 2004, there were 5,703 holders of Units, including
MLAI.

     (c)  DIVIDENDS:

          MLAI has not made and does not contemplate making any distributions on
the Units.

     (d)  SECURITIES AUTHORIZED FOR ISSUANCE UNDER EQUITY COMPENSATION PLANS:

          Not applicable.

     Item 5(b)

          Not applicable.

     Item 5(c)

          Not applicable.

                                        8
<Page>

ITEM 6:  SELECTED FINANCIAL DATA

          The following selected financial data has been derived from the
unaudited financial statements of the Partnership.

<Table>
<Caption>
                                FOR THE YEAR       FOR THE YEAR      FOR THE YEAR       FOR THE YEAR       FOR THE YEAR
                                   ENDED              ENDED             ENDED              ENDED              ENDED
                                DECEMBER 31,       DECEMBER 31,      DECEMBER 31,       DECEMBER 31,       DECEMBER 31,
STATEMENT OF INCOME                 2004               2003              2002               2001               2000
---------------------------------------------    ---------------    ---------------    ---------------    ---------------
<S>                           <C>                <C>                <C>                <C>                <C>
TRADING REVENUES:

Trading profit (loss)
  Realized                    $    52,256,615    $    27,402,575    $     5,392,704    $     6,824,865    $      (514,466)
  Change in Unrealized            (14,070,731)        16,373,295          8,250,855         (2,048,558)         2,829,995
                              ---------------    ---------------    ---------------    ---------------    ---------------
    Total trading revenues         38,185,884         43,775,870         13,643,559          4,776,307          2,315,529
                              ---------------    ---------------    ---------------    ---------------    ---------------

INVESTMENT INCOME:
Interest                            6,875,902          1,831,533          1,124,469          1,157,629          1,539,821
                              ---------------    ---------------    ---------------    ---------------    ---------------

EXPENSES:
  Brokerage Commissions            26,151,018         10,533,803          4,012,892          2,033,742          1,449,008
  Profit Shares                     4,731,366          8,416,558          2,508,724            779,623            381,807
  Administrative Fees               1,641,858            622,464            182,404             92,442             65,864
                              ---------------    ---------------    ---------------    ---------------    ---------------
  Total Expenses                   32,524,242         19,572,825          6,704,020          2,905,807          1,896,679
                              ---------------    ---------------    ---------------    ---------------    ---------------

NET INVESTMENT LOSS               (25,648,340)       (17,741,292)        (5,579,551)        (1,748,178)          (356,858)
                              ---------------    ---------------    ---------------    ---------------    ---------------

Net Income                    $    12,537,544    $    26,034,578    $     8,064,008    $     3,028,129    $     1,958,671
                              ===============    ===============    ===============    ===============    ===============

<Caption>
                                DECEMBER 31,       DECEMBER 31,       DECEMBER 31,       DECEMBER 31,       DECEMBER 31,
BALANCE SHEET DATA                  2004               2003               2002               2001               2000
---------------------------------------------    ---------------    ---------------    ---------------    ---------------
<S>                           <C>                <C>                <C>                <C>                <C>
Partnership Net Asset Value   $   586,978,366    $   270,488,591    $   105,744,139    $    50,409,668    $    26,006,133
Net Asset Value Per Unit      $        234.41    $        224.63    $        196.23    $        177.38    $        158.47
                              ---------------    ---------------    ---------------    ---------------    ---------------
</Table>

The following selected financial data has been derived from the audited
financial statements of the Partnership:

<Table>
<Caption>
                                             MONTH-END NET ASSET VALUE PER INITIAL UNIT
------------------------------------------------------------------------------------------------------------------------------------
         JAN.      FEB.       MAR.       APR.       MAY       JUNE      JULY       AUG.       SEPT.      OCT.       NOV.      DEC.
------------------------------------------------------------------------------------------------------------------------------------
<S>   <C>       <C>        <C>        <C>        <C>       <C>        <C>        <C>        <C>        <C>        <C>       <C>
2000  $ 149.88  $ 146.05   $ 144.18   $ 137.24   $ 135.93  $ 135.54   $ 135.89   $ 141.15   $ 139.29   $ 139.35   $ 148.00  $ 158.47
2001  $ 160.87  $ 167.13   $ 179.04   $ 169.51   $ 173.78  $ 171.48   $ 169.00   $ 172.42   $ 183.05   $ 193.22   $ 174.55  $ 177.38
2002  $ 172.84  $ 167.29   $ 167.42   $ 168.82   $ 175.76  $ 189.55   $ 192.20   $ 193.42   $ 203.57   $ 196.64   $ 187.30  $ 196.23
2003  $ 212.87  $ 221.65   $ 207.96   $ 208.62   $ 217.96  $ 209.68   $ 206.45   $ 206.34   $ 199.40   $ 210.45   $ 207.90  $ 224.63
2004  $ 226.76  $ 243.15   $ 248.26   $ 237.31   $ 234.35  $ 227.99   $ 223.83   $ 214.07   $ 215.06   $ 222.39   $ 232.33  $ 234.41
</Table>

Pursuant to CFTC policy, monthly performance is presented from January 1, 2000,
even though the Units were outstanding prior to such date.

                                        9
<Page>

                            ML SELECT FUTURES I L. P.
                                DECEMBER 31, 2004

   TYPE OF POOL: Single Advisor/Publicly-Offered/Non-"Principal Protected"(1)
                        INCEPTION OF TRADING: April 1996
                     AGGREGATE SUBSCRIPTIONS: $579,036,781
                      CURRENT CAPITALIZATION: $586,978,366
                   WORST MONTHLY DRAWDOWN(2): (9.66)% (11/01)
            WORST PEAK-TO-VALLEY DRAWDOWN(3): (13.77)% (04/04-08/04)

              NET ASSET VALUE PER UNIT, DECEMBER 31, 2004: $234.41

<Table>
<Caption>
                          MONTHLY RATES OF RETURN
     ---------------------------------------------------------
     MONTH              2004     2003     2002    2001    2000
     ---------------------------------------------------------
     <S>               <C>      <C>      <C>     <C>     <C>
     January            0.95%    8.48%   (2.56)%  1.51%   3.21%
     February           7.23     4.12    (3.21)   3.89   (2.55)
     March              2.10    (6.18)    0.07    7.13   (1.28)
     April             (4.41)    0.31     0.84   (5.32)  (4.81)
     May               (1.25)    4.48     4.11    2.52   (0.95)
     June              (2.71)   (3.80)    7.85   (1.32)  (0.29)
     July              (1.82)   (1.54)    1.40   (1.45)   0.26
     August            (4.36)   (0.05)    0.63    2.03    3.87
     September          0.46    (3.36)    5.25    6.16   (1.31)
     October            3.41     5.54    (3.40)   5.50    0.04
     November           4.47    (1.21)   (4.75)  (9.66)   6.21
     December           0.89     8.05     4.76    1.62    7.07

     Compound Annual
     Rate of Return     4.35%   14.47%   10.63%  11.93%   9.14%
</Table>

          (1) Certain funds, including funds sponsored by MLAI, are structured
so as to guarantee to investors that their investment will be worth no less than
a specified amount (typically, the initial purchase price) as of a date certain
after the date of investment. The CFTC refers to such funds as "principal
protected." The Partnership has no such feature.

          (2) Worst Monthly Drawdown represents the largest negative Monthly
Rate of Return experienced since January 1, 2000 by the Partnership; a drawdown
is measured on the basis of month-end Net Asset Value only, and does not reflect
intra-month figures.

          (3) Worst Peak-to-Valley Drawdown represents the greatest percentage
decline since January 1, 2000 from a month-end cumulative Monthly Rate of Return
without such cumulative Monthly Rate of Return being equaled or exceeded as of a
subsequent month-end. For example, if the Monthly Rate of Return was (1)% in
each of January and February, 1% in March and (2)% in April, the Peak-to-Valley
Drawdown would still be continuing at the end of April in the amount of
approximately (3)%, whereas if the Monthly Rate of Return had been approximately
3% in March, the Peak-to-Valley Drawdown would have ended as of the end of
February at approximately the (2)% level.

          (4) Monthly Rate of Return is the net performance of the Partnership
during the month of determination (including interest income and after all
expenses have been accrued or paid) divided by the total equity of the
Partnership as of the beginning of such month.

                                       10
<Page>

ITEM 7:   MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND
          RESULTS OF OPERATIONS

     OPERATIONAL OVERVIEW

          This performance summary is an outline description of how the
Partnership performed in the past, not necessarily any indication of how it will
perform in the future. In addition, the general causes to which certain price
movements are attributed may or may not in fact have caused such movements, but
simply occurred at or about the same time.

          The Advisor is unlikely to be profitable in markets in which such
trends do not occur. Static or erratic prices are likely to result in losses.
Similarly, unexpected events (for example, a political upheaval, natural
disaster or governmental intervention) can lead to major short-term losses, as
well as gains.

          While there can be no assurance that the Advisor will be profitable
under any given market condition, markets in which substantial and sustained
price movements occur typically offer the best profit potential for the
Partnership.

     RESULTS OF OPERATIONS

          GENERAL

          Sunrise has been the Partnership's sole Advisor since July 1, 1998.
Sunrise is a trend-following trader, whose program does not attempt to predict
price movements. Sunrise has generally not relied on using fundamental economic
supply or demand analyses nor macroeconomic assessments of the relative
strengths of different national economies or economic sectors. Instead, its
program applies proprietary models to analyzing past market data, and from this
data attempts to determine whether market prices are trending. As a technical
trader, Sunrise bases its strategies on the theory that market prices reflect
the collective judgement of numerous market participants and are, accordingly,
an efficient indication of market movements. However, there are frequent periods
during which fundamental factors external to the market dominate prices.

          If Sunrise's models identify a trend, it signals positions, which
follow the trend. When these models identify the trend as having ended or
reversed, these positions are either closed out or reversed. Due to their
trend-following character, Sunrise's program does not predict either the
commencement or the end of a price movement. Rather, its objective is to
identify a trend early enough to profit from it and detect its end or reversal
in time to close out the Partnership's positions while retaining most of the
profits made from following the trend.

          There are so many influences on the markets that the same general type
of economic event may lead to a price trend in some cases but not in others. The
analysis is further complicated by the fact that the programs are designed to
recognize only certain types of trends and to apply only certain criteria of
when a trend has begun. Consequently, even though significant price trends may
occur, if these trends are not comprised of the type of intra-period price
movements, which its program is, designed to identify, Sunrise may miss the
trend altogether.

     PERFORMANCE SUMMARY

          This performance summary is an outline description of how the
Partnership performed in the past, not necessarily any indication of how it will
perform in the future. In addition, the general causes to which certain price
movements are attributed may or may not in fact have caused such movements, but
simply occurred at or about the same time.

          Sunrise is unlikely to be profitable in markets in which such trends
do not occur. Static or erratic prices are likely to result in losses.
Similarly, unexpected events (for example, a political upheaval, natural
disaster or governmental intervention) can lead to major short-term losses, as
well as gains.

          While there can be no assurance that Sunrise will be profitable under
any given market condition, markets in which substantial and sustained price
movements occur typically offer the best profit potential for the Partnership.

                                       11
<Page>

          2004

<Table>
<Caption>
                                       TOTAL TRADING
                                          RESULTS
           <S>                         <C>
           Interest Rates              $ (7,383,376)
           Stock Indices                  3,019,830
           Agricultural Commodities      18,636,462
           Currencies                    (5,746,930)
           Energy                        29,932,564
           Metals                          (272,666)
                                       ------------
                                       $ 38,185,884
                                       ============
</Table>

          The Partnership was profitable overall for the year with gains
experienced in the energy, agricultural commodities, and stock indices sectors.
Losses were realized in the metals, currency and interest rate sectors.

          The energy sector was the most profitable for the Partnership. Small
losses in January due to crude oil were offset by gains in the remaining part of
the first quarter. This gain was supported by an unusually high level of
weather-related demand and tight U.S. inventories. During the second quarter,
the energy sector was the most profitable sector as crude oil prices reached new
record highs. Higher prices were attributed mostly to growing demand. In the
latter part of the second quarter, crude oil experienced the most dramatic price
increase since the mid 1970's as a result of rapidly growing demand in the
developing world and ongoing geopolitical tensions. Hurricane disruptions also
helped in pushing the market prices upward. Crude oil continued its trend in the
early part of the fourth quarter, reaching record highs with small losses posted
in the remaining part of the quarter.

          The agricultural commodities sector posted solid gains despite losses
in the second quarter. During the first quarter, the agricultural commodities
sector provided the greatest gains for the Partnership. Early in the quarter,
unusually tight grain inventory sent corn and bean prices to new contract highs.
In March, grains rallied to new highs supported by growing global demand and a
drastic reduction in grain inventories. Losses were posted during the second
quarter. Volatile conditions in May prevented the Partnership from initiating
any new positions and the market exposure was reduced to historically low
levels. The agricultural market posted a net gain for the third quarter despite
losses mid-quarter. Short corn and cotton trades generated positive returns as
corn continued its downward trend and cotton prices weakened. Factors favored a
trend towards higher coffee prices during the last part of the fourth quarter.
The price of coffee surpassed one dollar a pound for the first time since July
of 2000 as supplies to keep pace with demand.

          The stock indices sector posted gains for the Partnership. Trading in
stock indices posted gains for the first quarter, with January being the most
profitable month despite a volatile trading market. During the second quarter
trading in stock indices posted losses for the Partnership; however June ended
with foreign stock indices producing marginal profits for the Partnership but
not enough to recover losses earlier in the quarter. In the third quarter,
trading in stock indices posted losses due to thin trading conditions and
direction-less markets. In the beginning of the fourth quarter, stock indices
continued to trend upward on strong economic data and favorable earnings
reports. In the latter part of the year, trading in the stock market indices was
profitable as stocks rose to their highest levels for the year in response to
positive economic news and earnings reports.

          The metals sector posted a loss for the year despite posting
significant gains early in the year. During the first quarter, despite the
volatility in the market, copper and aluminum posted profits early in the
quarter, due to tight supplies. Base metals, with the exception of nickel,
continued to rise driven by strong demand, U.S. dollar weakness and declining
stocks. Silver was the best performing market overall. The metals sector posted
losses for the Partnership in the second quarter. News about a slowing Chinese
economy and possible decline in global demand for commodities put downward
pressure on commodity prices, especially metals. In the third quarter, metals
posted a loss despite small gains in the latter part of the quarter, primarily
due to low trading volumes early in the quarter followed by a difficult trading
environment with markets trading in extremely narrow ranges and the absence of
any directional

                                       12
<Page>

movement. Zinc rallied against the Partnership's short positions reaching the
highest price since June, causing losses at the end of the quarter. During the
fourth quarter positions in precious and industrial metals were profitable, with
trading capitalizing on the rising prices of gold, silver, and zinc. In the
latter part of the year the gaining trend continued as aluminum reached its
highest level in nine years and the price of zinc rose to a five year high.

          The currency sector posted a loss overall for the Partnership.
Currencies started the year as profitable followed by very volatile markets
later in the first quarter which detracted from performance. Losses were posted
for the sector in the second quarter. The largest losses came from short U.S.
dollar positions versus minor currency positions. The second quarter ended with
currency trading exposure close to a historic low for the month of June with few
trading opportunities in the markets. The currency sector posted the largest
losses for the third quarter, with the largest losses posted in August. With
questions over soft employment numbers, terror alerts, uncertainty about the
U.S. election and high oil prices, the U.S. dollar initially weakened, then
gained momentum against major European currencies later in August. Currency
cross rates produced the largest losses within this sector. Early in the fourth
quarter, the dollar weakened against all of its major currency counterparts thus
generating profits for short positions. Many events, including higher oil prices
and uncertainties surrounding a close presidential election, put pressure on the
U.S. currency. In November, the strongest performer was the currency sector,
benefiting from the bearish U.S. dollar trend as the currency's decline
continued throughout the month. Currency trading was difficult in December with
the U.S. dollar declining to record lows against some major and minor
currencies, generating profits which were offset by losses in major currency
cross rates.

          The interest rate sector posted the largest losses for the year. In
the first quarter, the sector posted gains as interest rate futures moved higher
and generated profits. Both domestic and foreign interest rate positions posted
solid gains. The interest rate sector posted the largest losses for the
Partnership in the second quarter. In the beginning of the second quarter, the
market focused on growing expectation of higher U.S. interest rates and began to
prepare for the initial rate increase by the U.S. Federal Reserve. Expectations
of rising interest rates sent the prices of long-term interest rate futures to
their lowest levels in several months. Jobless claims and manufacturing data
proved to be slightly worse than expected and thus had a much bigger impact on
the market than the U.S. Federal Reserve's expected rate hike. During the third
quarter, the U.S. Treasury markets showed high levels of volatility. Despite the
25 basis point increase in short-term interest rates by the U.S. Federal
Reserve, the prices of 30-year Treasury Bonds and ten-year Notes rose sending
long-term U.S. Treasury yields down. In October, profits were posted on the long
side of interest rate futures due to declining long term yields both in the U.S.
and abroad. The fourth quarter ended with gains posted in the sector for the end
of the year.

          2003

<Table>
<Caption>
                                       TOTAL TRADING
                                          RESULTS
           <S>                         <C>
           Interest Rates              $ (3,728,713)
           Stock Indices                  1,923,994
           Agricultural Commodities       8,531,373
           Currencies                    19,593,564
           Energy                        (8,349,280)
           Metals                        25,804,932
                                       ------------
                                       $ 43,775,870
                                       ============
</Table>

          The Partnership was profitable overall for the year with most of the
gains experienced in the metals sector followed by the currency sector. Losses
were realized in the energy and interest rate sectors.

          Despite an unprofitable first half for the metal sector, it proved to
be the most profitable sector for the year. Gold's rise to a six-year high in
January had a positive influence on the month. This uptrend was reversed in
February and March as market actions were driven by the course of the war with
Iraq. The risks and potential impact on the global economy produced increased
volatility, as headlines about the war became a main focus. Metal prices were
stable and produced marginal profits in May. Unfortunately, May's gains could
not offset unfavorable market

                                       13
<Page>

conditions in June. Base metals drove most of the profits in the third quarter.
The markets took direction from economic data and changing perceptions about the
economy. Higher prices during the quarter triggered buy signals to build on the
Partnership's positions. In October, nickel was the best performer in this
sector as the price moved to new highs, while gold and silver moved in a choppy,
sideways pattern. In November, the metals sector experienced a corrective phase
and started to drift lower only to regain momentum at the end of the month after
a series of economic news had signaled that the economy is improving even faster
than expected. The upward trend in base metals accelerated in December with
nickel and copper being the most profitable.

          The currency forward and futures trading had significant gains for the
year. The Partnership started the year with short U.S. dollar positions versus
other major currencies. The Partnership capitalized on the persistent rise in
the value of these currencies against the U.S. dollar. Profits were also posted
in long European currencies against the Japanese yen in January. Trading in
currencies was not profitable in February and March. The anxiety about the war
in Iraq contributed to choppy and narrow price ranges in most major currencies.
Currencies produced large profits in May, as the U.S. dollar remained on the
defensive throughout most of the quarter. The underlying factors driving the
U.S. dollar lower were low U.S. interest rates, the increasing U.S. deficit and
the Federal Reserve's use of the U.S. dollar as a tool to stabilize the U.S.
economy. The U.S. dollar's downtrend was also supported by technical indicators,
which further accelerated the pace of the U.S. dollar's decline. The biggest
beneficiary of the U.S. dollar's slide was the Euro, which hit four-year highs
against the U.S. dollar, the Japanese yen and the British pound. The strong
downward trend in the U.S. dollar that dominated the market for 18 months came
to a halt in June, reversing nearly half of the gains incurred in April and May,
causing some short U.S. dollar positions to be liquidated. The currency sector
was unprofitable in the third quarter. The sector was highly volatile resulting
in difficult trading conditions. The U.S. dollar appreciated against most major
currencies in July and August, resulting in losses for the Partnership. The U.S.
dollar's weakness persisted into the last quarter, declining against most major
and minor currencies. The U.S. dollar weakness against most major and minor
currencies is largely a result of growing trade and budget deficits in the U.S.
Also, U.S. dollar investments are becoming less attractive for foreign investors
because the Federal Reserve has been keeping interest rates at very low levels.

          Agricultural commodities trading resulted in gains for the
Partnership. Sugar prices, like commodities in general, continued their upward
trend. During January, this trend accelerated thus producing significant
profits. Soybeans also contributed to profits with prices moving sharply upward
in the first quarter. Soybeans contributed to profits in April with prices
moving sharply upward. The direction of the markets shifted in May in reaction
to weather and supply reports. The worst performers in this sector were corn and
cotton. Agricultural commodities trading generated the most profits for the
Partnership for the third quarter. This sector was profitable due to long
positions in soybeans, soybean meal and cotton. The soybean complex rallied on
forecasts of cold weather across the Midwest. Tight supplies were also seen as
supportive factors for the products. China's growing demand supported a rally
that emerged in September and accelerated into October with soybean prices
reaching their highest levels since 1995. November's corrective action in grain
prices was large enough for our trading system to trigger partial liquidation of
long positions, causing losses for the month. In December, grains recorded
moderate losses for the month.

          Trading in stock indices posted gains for the year. January and
February were relatively flat. Foreign stock indices were the only positive
sector. Short positions in DAX and Nikkei produced small profits. During the
second quarter, the largest losses came from short positions in stock index
futures when equity markets staged a postwar recovery. Stock indices closed out
July and August on the plus side but fell in September following the G-7
meeting. The G-7 finance ministers and central bankers called for more flexible
exchange rates, which resulted in losses for the Partnership's long positions.
Trading in stock market indices was profitable for October as prices pushed to
new highs for the year in response to strong economic indicators. In December,
positive economic data, stronger corporate profits and supportive monetary and
fiscal policy created an overall upbeat outlook for the equity market.

          Losses were realized in interest rate trading. The continued rise in
interest rate futures prices created a favorable trading environment in January
and February. Price reversals as well as choppiness and volatility in March
caused some losses and subsequently the Partnership's exposure was reduced in
the market. The interest rate sector was profitable in April and May as market
prices continued to rally to falling U.S. interest rates. In June, the interest
rate markets reversed direction when the Federal Reserve announced the decision
to lower interest rates by 25 basis points, which was less than anticipated. The
market reflected disappointment with the Federal Reserve's action by

                                       14
<Page>

selling debt futures. The U.S. bond market suffered heavy losses in July after
the U.S. government announced its intentions to borrow a record amount to
finance the huge deficit. The U.S. bond market managed a timid recovery in
August after making new lows in July. In September, the global economic rebound
was the primary focus of the market. The U.S. continued to produce mixed
economic data, which led some investors to question the strength of the
recovery. The G-7 summit resulted in a call for more flexible exchange rates
around the world. This announcement signaled to the world marketplace that a
weaker U.S. dollar is important to strengthen the global economy. Interest rates
moved up slightly, as the central banks worldwide continued to reiterate that
low interest rates are necessary to sustain an economic recovery.

          Despite a good start, the energy sector provided the greatest losses
for the Partnership. As Iraq-related events brought the possibility of war
closer, petroleum products moved to new highs in the first quarter. Crude oil
was the best performing market in this category. Cold weather conditions in the
Northeast helped push prices to target levels causing a portion of the
Partnership's position to be liquidated to protect profits from a downturn. As
the trend reversed sharply in March, long positions in both markets were
gradually liquidated. Volatility in the first quarter caused exposure in this
market to be reduced. Crude oil was the best performer in June. Its price
strengthened in response to declining inventories. Gains in July and August were
offset by significant losses in September. Crude oil was the most significant
contributor to September's negative results as the trend of falling prices
reversed mid-month and moved against the Partnership's short positions. These
positions were initiated during the first half of the month when the price of
crude oil fell from a high of $31.40 on September 2 to a four month low of
$26.65 on September 19. It was followed by a sharp upward move back to nearly
the $30.00 level. The sudden price shift appeared to be triggered by OPEC's
announcement about their impending production cuts. Crude oil was the biggest
loser in October and was responsible for the largest loss in November. After
terrorism worries receded, the market focused on OPEC's struggle to cut supplies
and keep inventories from growing, which put downside pressure on oil prices.
Energy prices rose in the first two weeks of December in reaction to cold
weather forecasts, but became volatile during the second half of the month.

          2002

<Table>
<Caption>
                                       TOTAL TRADING
                                          RESULTS
           <S>                         <C>
           Interest Rates              $  9,018,593
           Stock Indices                  1,093,349
           Agricultural Commodities        (895,059)
           Currencies                     9,516,835
           Energy                        (3,418,060)
           Metals                        (1,672,099)
                                       ------------
                                       $ 13,643,559
                                       ============
</Table>

          During 2002, the Partnership had profits in the interest rate,
currency and stock index markets, which outpaced losses in the agriculture,
metals and energy sectors.

          The interest rate sector was the most profitable for the year,
providing significant gains during the third quarter. As the yields on U.S.
interest rate futures declined, the Partnership was in a position to realize
profits. Throughout the year, the interest rate markets rallied when
disappointing economic news was announced.

          The currency markets were also significantly profitable during the
year. In April, the U.S. dollar fell against all its major counterparts and
generated losses for the long U.S. dollar positions. The Partnership reversed
its bullish outlook at that point in the year as the currency moved lower. This
positioned the Partnership to be able to capitalize on the economic conditions
later in the year. By June, the U.S. dollar continued to decline, breaking
through important technical levels. Worries regarding the U.S. corporate sector
contributed to the U.S. dollar's weakness. During the third quarter, the
currency sector, like other sectors was highly volatile, which limited the
profitability of the Partnership. By December, tensions over Iraq and North
Korea kept pressure on the already weak U.S. dollar and the Partnership was able
to capitalize on the market condition once more.

                                       15
<Page>

          Trading the stock index markets was also profitable due to the
declining stock market trends, particularly from May to September. While U.S.
Treasury debt markets were hitting all time highs by mid-year, stocks were
falling to new lows, for which the Partnership was prepared.

          The agricultural markets tended to be directionless for most of the
year. The sector posted a moderate loss. Exposure to agricultural markets was
light during the first quarter. Positions were focused on grains and soybeans,
which were profitable in one month only to give back in the next.

          The metals sectors produced losses for the year. Liquidation pressures
in both industrial and precious metals markets forced markets lower mid-year.
The directionless metals markets created a difficult trading environment during
the rest of the year.

          Energy markets brought the toughest challenge to the Partnership in
2002. The market experienced extreme volatility throughout the year,
particularly due to uncertain situations in the Middle East and Iraq. The market
environment was so volatile; in fact, that the trading programs completely
reversed directions in October and again in December.

VARIABLES AFFECTING PERFORMANCE

          The principal variables that determine the net performance of the
Partnership are gross profitability and interest income.

          During all periods set forth above "Selected Financial Data", the
interest rates in many countries were at unusually low levels. The low interest
rates in the United States (although higher than in many other countries)
negatively impacted revenues because interest income is typically a major
component of the Partnership's profitability. In addition, low interest rates
are frequently associated with reduced fixed income market volatility, and in
static markets the Partnership's profit potential generally tends to be
diminished. On the other hand, during periods of higher interest rates, the
relative attractiveness of a high risk investment such as the Partnership may be
reduced as compared to high yielding and much lower risk fixed-income
investments.

          The Partnership's Brokerage Commissions and Administrative Fees are a
constant percentage of the Partnership costs (other than the insignificant
currency trading costs) which are not based on a percentage of the Partnership's
assets (allocated to trading or total) are the Profit Shares payable to the
Advisor based on the new Trading Profits generated by the partnership excluding
interest and after reduction for a portion of the Brokerage Commissions.

          Unlike many investment fields, there is no meaningful distinction in
the operation of the Partnership between realized and unrealized profits. Most
of the contracts traded by the Partnership are highly liquid and can be closed
out at any time.

          Except in unusual circumstances, factors--regulatory approvals, cost
of goods sold, employee relations and the like--which often materially affect an
operating business have virtually no impact on the Partnership.

     LIQUIDITY; CAPITAL RESOURCES

          The Partnership borrows only to a limited extent and only on a
strictly short-term basis in order to finance losses on non-U.S. dollar
denominated trading positions pending the conversion of the Partnership's U.S.
dollar deposits. These borrowings are at a prevailing short-term rate in the
relevant currency.

          Substantially all of the Partnership's assets are held in cash. The
Net Asset Value of the Partnership's cash is not affected by inflation. However,
changes in interest rates could cause periods of strong up or down price trends,
during which the Partnership's profit potential generally increases. Inflation
in commodity prices could also generate price movements, which the strategies
might successfully follow.

                                       16
<Page>

          Because substantially all of the Partnership's assets are held in
cash, the Partnership should be able to close out any or all of its open trading
positions and liquidate any or all of its securities holdings quickly and at
market prices, except in very unusual circumstances. This permits the Advisor to
limit losses as well as reduce market exposure on short notice should its
strategies indicate doing so. In addition, because there is a readily available
market value for the Partnership's positions and assets, the Partnership's
monthly Net Asset Value calculations are precise, and investors need only wait
ten business days to receive the full redemption proceeds of their Units.

          (The Partnership has no applicable off-balance sheet arrangements and
tabular disclosure or contractual obligations of the type described in Items
3.03(a)(4) and 3.03(a)(5) of Regulation S-K.)

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.

          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 effects among the Partnership's open positions and the liquidity
of the markets in which it trades.

          The Partnership, under the direction of Sunrise, 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 quantifications included 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

          QUANTITATIVE FORWARD-LOOKING STATEMENTS

          The following quantitative disclosures regarding the Partnership's
market risk exposures contain "forward-looking statement" within the meaning of
the safe harbor form 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.

          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 or unrealized) and cash flow (at least in the case of exchange-traded
contracts in which profits and losses on open positions are settled daily
through variation margin).

                                       17
<Page>

          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 loss in the fair value of
any given contract incurred in 95%-99% of the one-day time periods included in
the historical sample (generally approximately one year) researched for purposes
of establishing margin levels. 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.

          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.

          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 been aggregated 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.

THE PARTNERSHIP'S TRADING VALUE AT RISK IN DIFFERENT MARKET SECTORS

          The following table indicates the average, highest and lowest trading
Value at Risk associated with the Partnership's open positions by market
category for the fiscal years. During the fiscal year 2004, the Partnership's
average capitalization was approximately $453,646,399. During the fiscal year
2003, the Partnership's average capitalization was approximately $180,783,609.

                                DECEMBER 31, 2004

<Table>
<Caption>
                                AVERAGE         % OF AVERAGE      HIGHEST VALUE     LOWEST VALUE
 MARKET SECTOR               VALUE AT RISK     CAPITALIZATION        AT RISK           AT RISK
 -------------              ---------------    --------------    ---------------   ---------------
 <S>                        <C>                          <C>     <C>               <C>
 Currencies                 $     6,904,846              1.52%   $    21,406,618   $       249,329
 Metals                           2,133,720              0.47%         5,741,975           176,692
 Stock Indices                    1,570,250              0.35%         4,914,249           132,851
 Interest Rates                  19,527,246              4.30%        42,779,682         2,792,931
 Energy                           1,431,291              0.32%         4,318,326                 -
 Agricultural Commodities         1,039,626              0.23%         4,827,681            28,878
                            ---------------    --------------    ---------------   ---------------

 TOTAL                      $    32,606,979              7.19%   $    83,988,531   $     3,380,681
                            ===============    ==============    ===============   ===============
</Table>

                                DECEMBER 31, 2003

<Table>
<Caption>
                                AVERAGE         % OF AVERAGE      HIGHEST VALUE     LOWEST VALUE
 MARKET SECTOR               VALUE AT RISK     CAPITALIZATION        AT RISK           AT RISK
 -------------              ---------------    --------------    ---------------   ---------------
 <S>                        <C>                          <C>     <C>               <C>
 Currencies                 $     3,974,218              2.20%   $    12,177,745   $       559,172
 Metals                           1,404,051              0.78%         4,633,025           150,015
 Stock Indices                      698,898              0.39%         1,872,924            59,918
 Interest Rates                  10,099,404              5.58%        15,632,874         5,055,108
 Energy                             469,649              0.26%         1,580,329                 -
 Agricultural Commodities           527,144              0.29%         1,377,949                 -
                            ---------------    --------------    ---------------   ---------------

 TOTAL                      $    17,173,364              9.50%   $    37,274,846   $     5,824,213
                            ===============    ==============    ===============   ===============
</Table>

                                       18
<Page>

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 (maintenance margin requirements generally ranging between
approximately 1% and 10% 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 --
gives no indication of this "risk of ruin."

NON-TRADING RISK

Foreign Currency Balances; Cash on Deposit with MLPF&S

          The Partnership has non-trading market risk on its foreign cash
balances not needed for margin. However, these balances (as well as the market
risk they represent) are immaterial.

          The Partnership also has non-trading market risk on the approximately
90%-95% of its assets which are held in cash at MLPF&S. The value of this cash
is not interest rate sensitive, but there is cash flow risk in that if interest
rates decline so will the cash flow generated on these monies. This cash flow
risk is immaterial.

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 MLAI 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 risk 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 the time value of
their investment in the Partnership.

          The following were the primary trading risk exposures of the
Partnership as of December 31, 2004, by market sector.

          INTEREST RATES.

          Interest rate risk is the principal market exposure of the
Partnership. Interest rate movements directly affect the price of derivative
sovereign bond 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-7 countries.
However, the Partnership also takes positions in the government debt of smaller
nations e.g., Australia. MLAI anticipates that G-7 interest rates will remain
the primary market exposure of the Partnership for the foreseeable future.

          CURRENCIES.

          The Partnership trades in a number of currencies. However, the
Partnership's major exposures have typically been in the U.S. dollar/Japanese
yen, U.S. dollar/Euro and U.S. dollar/Swiss franc positions. MLAI 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 of maintaining Value at Risk in a
functional currency other than U.S. dollars.

                                       19
<Page>

          STOCK INDICES.

          The Partnership's primary equity exposure is to S&P 500 and German DAX
equity index price movements. The Partnership is primarily exposed to the risk
of adverse price trends or static markets in the major U.S., European and Asian
indices.

          METALS.

          The Partnership's metals market exposure is to fluctuations in both
the price of precious and non-precious metals.

          AGRICULTURAL COMMODITIES

          The Partnership's primary agricultural commodities exposure is to
agricultural price movements which are often directly affected by severe or
unexpected weather conditions. Soybeans, grains, cotton and sugar accounted for
the substantial bulk of the Partnership's agricultural commodities exposure as
of December 31, 2004. However, it is anticipated that the Advisor will maintain
an emphasis on cotton, grains and sugar, in which the Partnership has
historically taken its largest positions.

          ENERGY.

          The Partnership's primary energy market exposure is to natural gas and
crude oil price movements, often resulting from political developments in the
Middle East. Oil prices can be volatile and substantial profits and losses have
been and are expected to continue to be experienced in this market.

QUALITATIVE DISCLOSURES REGARDING NON-TRADING RISK EXPOSURE

          The following were the only non-trading risk exposures of the
Partnership as of December 31, 2004.

          FOREIGN CURRENCY BALANCES.

          The Partnership's primary foreign currency balances are in Japanese
yen, British pounds and Euros.

          U.S. DOLLAR CASH BALANCE.

          The Partnership holds U.S. dollars only in cash at MLPF&S. The
Partnership has immaterial cash flow interest rate risk on its cash on deposit
with MLPF&S in that declining interest rates would cause the income from such
cash to decline.

QUALITATIVE DISCLOSURES REGARDING MEANS OF MANAGING RISK EXPOSURE

TRADING RISK

          MLAI has procedures in place intended to control market risk, although
there can be no assurance that they will, in fact, succeed in doing so. These
procedures focus primarily on monitoring the trading of the Advisor, calculating
the Net Asset Value of the Partnership account managed by the Advisor as of the
close of business on each day and reviewing outstanding positions for
over-concentrations. While MLAI does not itself intervene in the markets to
hedge or diversify the Partnership's market exposure, MLAI may urge the Advisor
to reallocate positions in an attempt to avoid over-concentrations. However,
such interventions are unusual. Sunrise applies its own risk management policies
to its trading.      .

SUNRISE RISK MANAGEMENT

          Sunrise attempts to control risk through the utilization of
proprietary risk management techniques, which are applied at all stages of the
trading process. These techniques are designed to control all aspects of
portfolio, market, and execution risk, with the stated goal of maintaining
Sunrise's historical rates of returns without increased volatility.

          The basis for Sunrise's risk management system is its scientific
approach and historical research. This process attempts to measure the
correlation and performance characteristics associated with various weightings
assigned to different markets and sectors. Sunrise allocates equity risk to each
market and market sector in an effort to minimize the possibility that any one
market or sector has a disproportionate influence on the portfolio. Overall,
portfolio exposure, drawdown and recovery periods are carefully studied.

                                       20
<Page>

          Sunrise uses filters that attempt to avoid taking trades with poor
risk/reward characteristics. In addition, once a trade is taken, an array of
exit strategies are employed that attempt to protect open profits while exiting
positions that fail to trend in the expected direction. Initial money stops are
strictly followed and factors that would make it difficult to execute trades,
such as reduced liquidity or extreme market developments, are also incorporated
in the trading decision and risk management processes.

          Other risk factors such as foreign currency risk when trading in
non-U.S. markets, custodian risk, and counterparty risk when trading in the
over-the counter markets are taken into account and play an important part of
Sunrise's overall risk management process. Sunrise uses only counterparties and
brokers to execute trades that it and the market generally perceive as
creditworthy. The majority of trades are done with institutions with which
Sunrise has long-term relationships.

NON-TRADING RISK

          The Partnership controls the non-trading exchange rate risk by
regularly converting foreign balances back into U.S. dollars at least once per
week, and more frequently if a particular foreign currency balance becomes
unusually high.

          The Partnership has cash flow interest rate risk on its cash on
deposit with MLPF&S in that declining interest rates would cause the income from
such cash to decline. However, a certain amount of cash or cash equivalents must
be held by the Partnership in order to facilitate margin payments and pay
expenses and redemptions. MLAI does not take any steps to limit the cash flow
risk on its cash held on deposit at MLPF&S.

ITEM 8: FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA

SELECTED QUARTERLY FINANCIAL DATA
   SELECT FUTURES LP

Net Income by Quarter
Eight Quarters through December 31, 2004

<Table>
<Caption>
                        FOURTH          THIRD         SECOND         FIRST         FOURTH        THIRD         SECOND       FIRST
                       QUARTER         QUARTER       QUARTER        QUARTER       QUARTER       QUARTER       QUARTER      QUARTER
TOTALS                   2004            2004          2004           2004          2003          2003          2003         2003
------                   ----            ----          ----           ----          ----          ----          ----         ----
<S>                  <C>           <C>            <C>            <C>           <C>           <C>            <C>          <C>
Total Income (Loss)  $ 62,135,681  $ (23,995,794) $ (40,883,596) $ 47,805,495  $ 41,660,599  $  (9,644,281) $ 4,050,503  $ 9,540,582
Total Expenses         13,260,915      7,828,430     (3,616,961)   15,051,858    12,226,988        633,071    2,949,878    3,762,888
                     ---------------------------------------------------------------------------------------------------------------
Net Income (Loss)    $ 48,874,766  $ (31,824,224) $ (37,266,635) $ 32,753,637  $ 29,433,611  $ (10,277,352) $ 1,100,625  $ 5,777,694
                     ===============================================================================================================

Net Income (Loss)
  per Unit           $      19.45  $      (12.96) $      (19.80) $      23.88  $      25.34  $      (10.46) $      1.37  $      9.41
</Table>

          The financial statements required by this Item are included in Exhibit
13.01.

          The supplementary financial information ("information about oil and
gas producing activities") specified by Item 302 of Regulation S-K is not
applicable. MLAI promoted the Partnership and is its controlling person.

ITEM 9: CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND
FINANCIAL DISCLOSURE

          There were no changes in or disagreements with independent auditors on
accounting and financial disclosure.

ITEM 9A: CONTROLS AND PROCEDURES

          Merrill Lynch Alternative Investments LLC, the General Partner of ML
Select Futures I L.P., with the participation of the General Partner's Chief
Executive Officer and the Chief Financial Officer, has evaluated the

                                       21
<Page>

effectiveness of the design and operation of its disclosure controls and
procedures with respect to the Partnership within 90 days of the filing date of
this annual report, and, based on their evaluation, have concluded that these
disclosure controls and procedures are effective. Additionally, there were no
significant changes in the Partnership's internal controls or in other factors
that could significantly affect these controls subsequent to the date of their
evaluation, including any corrective actions with regard to significant
deficiencies and material weaknesses.

ITEM 9B:  OTHER INFORMATION

               Not Applicable.

                                       22
<Page>

                                    PART III

ITEM 10: DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT

     10(a) and 10(b)    IDENTIFICATION OF DIRECTORS AND EXECUTIVE OFFICERS:

          As a limited partnership, the Partnership itself has no officers or
directors and is managed by MLAI. Trading decisions are made by Sunrise on
behalf of the Partnership.

          The managers and executive officers of MLAI and their respective
business backgrounds are as follows:

ROBERT M. ALDERMAN      Chief Executive Officer, President and Manager

STEVEN B. OLGIN         Vice President, Chief Operating Officer and Manager

MICHAEL L. PUNGELLO     Vice President, Chief Financial Officer and Treasurer

JEFFREY F. CHANDOR      Manager

          Mr. Alderman was born in 1960. Mr. Robert M. Alderman is Chief
Executive Officer, President and Manager of MLAI. Mr. Alderman is a Managing
Director of Merrill Lynch Global Private Client and global head of Retail Sales
and Business Management for Alternative Investments. Prior to re-joining Merrill
Lynch and the International Private Client Group in 1999, he was a partner in
the Nashville, Tennessee based firm of J.C. Bradford & Co. where he was the
Director of Marketing, and a National Sales Manager for Prudential Investments.
Mr. Alderman first joined Merrill Lynch in 1987 where he worked until 1997.
During his tenure at Merrill Lynch, Mr. Alderman has held positions in Financial
Planning, Asset Management and High Net Worth Services. He received his Master's
of Business Administration from the Carroll School of Management Boston College
and a Bachelor of Arts from Clark University.

          Steven B. Olgin was born in 1960. Mr. Olgin is Vice President, Chief
Operating Officer and a Manager of MLAI. He joined MLAI in July 1994 and became
a Vice President in July 1995. From 1986 until July 1994, Mr. Olgin was an
associate of the law firm of Sidley & Austin. In 1982, Mr. Olgin graduated from
The American University with a Bachelor of Science in Business Administration
and a Bachelor of Arts in Economics. In 1986, he received his Juris Doctor from
the John Marshall Law School. Mr. Olgin is a member of the Managed Funds
Association's Government Relations Committee and has served as an arbitrator for
the National Futures Association. Mr. Olgin is a member of the Illinois Bar.

          Michael L. Pungello was born in 1957. Mr. Pungello is a Vice
President, Chief Financial Officer and Treasurer of MLAI. He was First Vice
President and Senior Director of Finance for Merrill Lynch's Operations,
Services and Technology Group from January 1998 to March 1999. Prior to that,
Mr. Pungello spent over 18 years with Deloitte & Touche LLP, and was a partner
in their financial services practice from June 1990 to December 1997. He
graduated from Fordham University in 1979 with a Bachelor of Science in
Accounting and received his Master's of Business Administration in Finance from
New York University in 1987.

          Jeffrey F. Chandor was born in 1942. Mr. Chandor is the Global Sales
Director of the General Partner. Mr. Chandor became a Manager of the General
Partner on April 1, 2003. He was a Senior Vice President, Director of Sales,
Marketing and Research and a Director of Merrill Lynch Investment Partners,
Inc., a predecessor to the General Partner. He joined Merrill Lynch, Pierce,
Fenner & Smith Incorporated in 1971 and has served as the Product Manager of
International Institutional Equities, Equity Derivatives and Mortgage-Backed
Securities as well as Managing Director of International Sales in the United
States, and Managing Director of Sales in Europe. Mr. Chandor holds a Bachelor
of Arts degree from Trinity College, Hartford, Connecticut.

          As of December 31, 2004, the principals of MLAI had no investment in
the Partnership, and MLAI's general partner interest in the Partnership was
valued at $6,199,855.

                                       23
<Page>

          MLAI acts as general partner to three public futures funds whose units
of limited partnership interest are registered under the Securities Exchange Act
of 1934: John W. Henry & Co./Millburn L.P., ML JWH Strategic Allocation Fund
L.P. and the Partnership. Because MLAI serves as the sole general partner of
each of these funds, the officers and managers of MLAI effectively manage them
as officers and directors of such funds. Prior to February 28, 2003, MLAI (while
still known as Merrill Lynch Alternative Strategies LLC) acted as general
partner of six public futures funds whose units of limited partnership interest
are registered under the Securities Exchange Act of 1934.

     (c)  IDENTIFICATION OF CERTAIN SIGNIFICANT EMPLOYEES:

          None.

     (d)  FAMILY RELATIONSHIPS:

          None.

     (e)  BUSINESS EXPERIENCE:

          See Item 10(a) and (b) above.

     (f)  INVOLVEMENT IN CERTAIN LEGAL PROCEEDINGS:

          None.

     (g)  PROMOTERS AND CONTROL PERSONS:

          Not applicable.

     (h)  AUDIT COMMITTEE FINANCIAL EXPERT:

          Not applicable. (Neither the Partnership nor MLAI has an audit
committee.)

          CODE OF ETHICS:

          The Partnership has adopted a code of ethics, as of the end of the
period covered by this report, which applies to the Partnership's (MLAI's)
principal executive officer and principal financial officer or persons
performing similar functions on behalf of the Partnership. A copy of the code of
ethics is available to any person, without charge, upon request by calling
1-800-637-3863.

ITEM 11: EXECUTIVE COMPENSATION

          The managers and officers of MLAI are remunerated by MLAI in their
respective positions. The Partnership does not itself have any officers,
managers or employees. The Partnership pays Brokerage Commissions to an
affiliate of MLAI and Administrative Fees to MLAI. MLAI or its affiliates may
also receive certain economic benefits from possession of the Partnership's U.S.
dollar assets. The managers and officers receive no "other compensation" from
the Partnership, and the managers receive no compensation for serving as
managers of MLAI. There are no compensation plans or arrangements relating to a
change in control of either the Partnership or MLAI.

ITEM 12: SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND
RELATED STOCKHOLDER MATTERS

     (a)  SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS:

          As of December 31, 2004, no person or "group" is known to be or have
been the beneficial owner of more than 5% of the Units.

                                       24
<Page>

     (b)  SECURITY OWNERSHIP OF MANAGEMENT:

          As of December 31, 2004, MLAI owned 26,449 Unit-equivalent general
partnership interests, which constituted 1.06% of the total Units outstanding,
the principals of MLAI did not own any Units, and the Advisor did not own any
Units.

     (c)  CHANGES IN CONTROL:

          None.

ITEM 13: CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS

     (a)  TRANSACTIONS BETWEEN MERRILL LYNCH AND THE PARTNERSHIP

          All of the service providers to the Partnership, other than Sunrise,
are affiliates of Merrill Lynch. Merrill Lynch negotiated with Sunrise over the
level of its advisory fees and Profit Shares. However, none of the fees paid by
the Partnership to any Merrill Lynch party were negotiated, and they are higher
than would have been obtained in arms-length bargaining.

          The Partnership pays Merrill Lynch substantial Brokerage Commissions
and Administrative Fees as well as bid-ask spreads on forward currency trades.
The Partnership also pays MLPF&S interest on short-term loans extended by MLPF&S
to cover losses on foreign currency positions.

          Within the Merrill Lynch organization, MLAI is the beneficiary of the
revenues received by different Merrill Lynch entities from the Partnership. MLAI
controls the management of the Partnership and serves as its promoter. Although
MLAI has not sold any assets, directly or indirectly, to the Partnership, MLAI
makes substantial profits from the Partnership due to the foregoing revenues.

          No loans have been, are or will be outstanding between MLAI or any of
its principals and the Partnership.

          MLAI pays substantial selling commissions and trailing commissions to
MLPF&S for distributing the Units. MLAI is ultimately paid back for these
expenditures from the revenues it receives from the Partnership.

     (b)  CERTAIN BUSINESS RELATIONSHIPS:

          MLPF&S, an affiliate of MLAI, acts as the principal commodity broker
for the Partnership.

          In 2004, the Partnership expensed: (i) Brokerage Commissions of
$26,151,018 to MLPF&S, which included $4,735,910 in consulting fees earned by
Sunrise; and (ii) Administrative Fees of $1,641,858 to MLAI. In addition, MLAI
and its affiliates may have derived certain economic benefits from possession of
a portion of the Partnership's assets, as well as from foreign exchange and EFP
trading.

          See Item 1(c), "Narrative Description of Business -- Charges" and "--
Description of Current Charges" for a discussion of other business dealings
between MLAI affiliates and the Partnership.

     (c)  INDEBTEDNESS OF MANAGEMENT:

          The Partnership is prohibited from making any loans, to management or
otherwise.

     (d)  TRANSACTIONS WITH PROMOTERS:

          Not applicable.

                                       25
<Page>

ITEM 14: PRINCIPAL ACCOUNTANT FEE AND SERVICES

     (a)  AUDIT FEES

          Aggregate fees billed for professional services rendered by Deloitte &
Touche LLP in connection with the audit of the Partnership's financial
statements as of and for the year ended December 31, 2004 were $36,650.

          Aggregate fees billed for these services for the year ended December
31, 2003 were $32,000.

     (b)  AUDIT-RELATED FEES

          There were no other audit-related fees billed for the years ended
December 31, 2004 or 2003 related to the Partnership.

     (c)  TAX FEES

          Aggregate fees billed for professional services rendered by Deloitte
Tax LLP in connection with the tax compliance, advice and preparation of the
Partnerships tax returns for the year ended December 31, 2004 were $34,000.

          Aggregate fees billed for these services for the year ended December
31, 2003 were $28,000.

     (d)  ALL OTHER FEES

          No fees were billed to Deloitte & Touche LLP nor Deloitte Tax LLP
during the years ended December 31, 2004 or 2003 for any other professional
services in relation to the Partnership.

          Neither the Partnership nor MLAI has an audit committee to pre-approve
principal accountant fees and services. In lieu of an audit committee, the
managers and the principal financial officer pre-approve all billings prior to
the commencement of services.

                                       26
<Page>

                                     PART IV

ITEM 15: EXHIBITS AND FINANCIAL STATEMENT SCHEDULES

<Table>
<Caption>
                                                                                PAGE:
                                                                                -----
     <S>  <C>                                                                   <C>
     1.   FINANCIAL STATEMENTS (FOUND IN EXHIBIT 13.01):

          Report of Independent Registered Public Accounting Firm                  1

          Statements of Financial Condition as of December 31, 2004 and 2003       2

          For the years ended December 31, 2004, 2003 and 2002:
               Statements of Income                                                3
               Statements of Changes in Partners' Capital                          4

          Financial Data Highlights for the year ended December 31, 2004           5

          Notes to Financial Statements                                         6-11
</Table>

     2.   FINANCIAL STATEMENT SCHEDULES:

          Financial statement schedules not included in this Form 10-K have been
          omitted for the reason that they are not required or are not
          applicable or that equivalent information has been included in the
          financial statements or notes thereto.

     3.   EXHIBITS:

          The following exhibits are incorporated by reference or are filed
          herewith to this Annual Report on Form 10-K:

<Table>
<Caption>
DESIGNATION      DESCRIPTION
-----------      -----------
<S>              <C>
3.01             Amended and Restated Certificate of Limited Partnership of the
                 Registrant.

EXHIBIT 3.01:    Is incorporated herein by reference from Exhibit 3.01 contained
                 in Amendment No. 1 to the Registration Statement (File No.
                 000-50269) filed on April 30, 2003, on Form 10 under the
                 Securities Act of 1933 (the "Registrant's Registration
                 Statement").

3.02             ML Select Futures I L.P. Sixth Amendment and Restated Limited
                 Partnership Agreement.

EXHIBIT 3.02     Is incorporated by reference from Exhibit 3.02(a) contained in
                 the Registrant's Registration Statement

10.01            Subscription Agreement

EXHIBIT 10.01:   Is incorporated by reference from Exhibit 10.01 contained in
                 the Registrant's Registration Statement

10.03            Customer Agreement between ML Chesapeake L.P. and Merrill Lynch
                 Futures Inc.

EXHIBIT 10.03:   Is incorporated hereby by reference from Exhibit 10.03
                 contained in the Registrant's Registration Statement.

10.04            Consulting Agreement between Merrill Lynch Futures Inc. and
                 Sunrise Capital Partners, LLC.
</Table>

                                       27
<Page>

<Table>
<S>              <C>
EXHIBIT 10.04:   Is incorporated hereby by reference from Exhibit 10.04
                 contained in the Registrant's Registration Statement.

10.05            Selling Agreement among ML Chesapeake L.P., Merrill Lynch
                 Investment Partners Inc., Merrill Lynch Futures Inc., Merrill
                 Lynch, Pierce, Fenner & Smith Incorporated and Chesapeake
                 Capital Corporation.

EXHIBIT 10.05:   Is incorporated hereby by reference from Exhibit 10.05
                 contained in the Registrant's Registration Statement.

13.01            2004 Annual Report and Report of Independent Registered Public
                 Accounting Firm.

EXHIBIT 13.01:   Is filed herewith.

31.01 and 31.02  Rule 13a-14(a)/15d-14(a) Certifications

EXHIBIT 31.01
AND 31.02:       Are filed herewith.

32.01 and 32.02  Section 1350 Certifications

EXHIBIT 32.01
AND 32.02:       Are filed herewith.
</Table>

                                       28
<Page>

                                   SIGNATURES

     Pursuant to the requirements of Section 13 or 15(d) 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.

                              ML SELECT FUTURES I L.P.

                              By:  MERRILL LYNCH ALTERNATIVE INVESTMENTS LLC
                                       General Partner

                              By: /s/Robert M. Alderman
                                  ---------------------
                              Robert M. Alderman
                              Chief Executive Officer, President and Manager
                              (Principal Executive Officer)

     Pursuant to the requirements of Section 13 or 15(d) of the Securities
Exchange Act of 1934, this report has been signed on March 31, 2005 by the
following persons on behalf of the Registrant and in the capacities indicated.

<Table>
<Caption>
SIGNATURE                TITLE                                                     DATE
---------                -----                                                     ----
<S>                      <C>                                                       <C>
/s/Robert M. Alderman    Chief Executive Officer, President and Manager            March 31, 2005
---------------------    (Principal Executive Officer)
Robert M. Alderman

/s/Steven B. Olgin       Vice President, Chief Operating Officer and Manager       March 31, 2005
------------------
Steven B. Olgin

/s/Michael L. Pungello   Vice President, Chief Financial Officer and Treasurer     March 31, 2005
----------------------   (Principal Financial and Accounting Officer)
Michael L. Pungello

/s/Jeffrey F. Chandor    Manager                                                   March 31, 2005
---------------------
Jeffrey F. Chandor
</Table>

(Being the principal executive officer, the principal financial and accounting
officer and a majority of the managers of Merrill Lynch Alternative Investments
LLC)

MERRILL LYNCH ALTERNATIVE INVESTMENTS LLC
General Partner of Registrant                                     March 31, 2005

By: /s/Robert M. Alderman
    ---------------------
Robert M. Alderman
Chief Executive Officer, President and Manager
(Principal Executive Officer)

                                       29
<Page>

                                  EXHIBIT 31.01

                     RULE 13a-14(a)/15d-14(a) CERTIFICATIONS

I, Robert M. Alderman, certify that:

1. I have reviewed this report on Form 10-K of ML Select Futures I L.P.;

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 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 31, 2005
--------------------

By /s/ ROBERT M. ALDERMAN
   ----------------------
Robert M. Alderman
Chief Executive Officer, President and Manager
(Principal Executive Officer)

                                       30
<Page>

                                  EXHIBIT 31.02

                     RULE 13a-14(a)/15d-14(a) CERTIFICATIONS

I, Michael L. Pungello, certify that:

1. I have reviewed this report on Form 10-K of ML Select Futures I L.P.;

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 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 31, 2005
--------------------

By /s/ MICHAEL L. PUNGELLO
   -----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
(Principal Financial and Accounting Officer)

                                       31
<Page>

                                  EXHIBIT 32.01

                           SECTION 1350 CERTIFICATION

In connection with this annual report of ML Select Futures I L.P. (the
"Company") on Form 10-K for the fiscal year ended December 31, 2004 as filed
with the Securities and Exchange Commission on the date hereof (this "Report"),
I, Robert M. Alderman, Chief Executive Officer, President and Manager of the
Company, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant of the
Sarbanes-Oxley Act of 2002, that:

1. This 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 this Report fairly presents, in all material
respects, the financial condition and results of operations of the Company.


Date: March 31, 2005
--------------------

By /s/ ROBERT M. ALDERMAN
   ----------------------
Robert M. Alderman
Chief Executive Officer, President and Manager
(Principal Executive Officer)

                                       32
<Page>

                                  EXHIBIT 32.02

                           SECTION 1350 CERTIFICATION

In connection with this annual report of ML Select Futures I L.P. (the
"Company") on Form 10-K for the fiscal year ended December 31, 2004 as filed
with the Securities and Exchange Commission on the date hereof (this "Report"),
I, Michael L. Pungello, Vice President, Chief Financial Officer and Treasurer of
the Company, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant of
the Sarbanes-Oxley Act of 2002, that:

1. This 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 this Report fairly presents, in all material
respects, the financial condition and results of operations of the Company.


Date: March 31, 2005
--------------------

By /s/ MICHAEL L. PUNGELLO
   -----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
(Principal Financial and Accounting Officer)

                                       33
<Page>

                      ML SELECT FUTURES LIMITED PARTNERSHIP

                                 2004 FORM 10-K

                                INDEX TO EXHIBITS

<Table>
<Caption>
                 EXHIBIT
                 -------
<S>              <C>
Exhibit 13.01    2004 Annual Report and Report of Independent Registered Public Accounting Firm
</Table>

                                       34