**UNITED STATES**

**SECURITIES AND EXCHANGECOMMISSION**

 

**Washington, D.C. 20549**

 

**FORM 10-K**

 

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

 

**For the fiscal year ended:December 31, 2005**

**or**

**o****Transition Report Pursuant to Section 13or 15(d) of the Securities Exchange Act of 1934**

 

**Commission file number: 0-50269**

 

**ML SELECT FUTURES I  L.P.**

(Exact name of registrantas specified in its charter)

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

 

**c/o Merrill Lynch AlternativeInvestments LLC**

**Princeton Corporate Campus**

**800 Scudders Mill Road – Section2-G**

### **Plainsboro, New Jersey 08536**

(Address of principalexecutive offices)

 

Registrant’s telephonenumber, 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 if the registrant is a well-known seasoned issuer,as defined in Rule 405 of the Securities Act.

Yes  o    No  ý

 

Indicate by check mark if the registrant is not required to filereports pursuant to Section 13 or 15(d) of the Act.

 

Yes  o    No  ý

 

Indicate by check mark if the registrant (1) has filed all reportsrequired to be filed by Section 13 or 15(d) of the Securities Exchange Act of1934 during the preceding 12 months (or for such shorter period that theregistrant was required to file such reports), and (2) has been subject to suchfiling requirements for the past 90 days.

Yes  ý    No  o

 

Indicate by check mark if disclosure of delinquent filers pursuant toItem 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 informationstatements incorporated by reference in Part III of this Form 10-K or anyamendment to this Form 10-K. ý

 

Indicate by check mark whether the registrant is a large acceleratedfiler, an accelerated filer, or a non-accelerated filer. See definition of “acceleratedfiler and large accelerated filer” in Rule 12b-2 of the Exchange Act. (Checkone):

 
| Large accelerated filero |   | Accelerated filero |   | Non-accelerated filerý |
|--------------------------|--------|--------------------|--------|-----------------------------|

 

Indicate by check mark whether the registrant is a shell company (asdefined by Rule 12b-2 of the Act).

Yes  o    No  ý

 

The limited partnership units of the registrant are not publicly traded.Accordingly, there is no aggregate market value for the registrant’soutstanding equity that is readily determinable.

 

As of February 1, 2006, limited partnership units with an aggregate netasset value of $385,773,640 were held by non-affiliates.

 

**Documents Incorporated byReference**

 

The registrant’s 2005 Annual Report and Report of Independent RegisteredPublic Accounting Firm, the annual report to security holders for the fiscalyear ended December 31, 2005, is incorporated by reference into Part II, Item8, and Part IV hereof and filed as an Exhibit herewith. Copies of theannual report are available free of charge by contacting AlternativeInvestments Client Services at 1-877-465-8435.

 

 

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**ML SELECT FUTURES I L. P.**

 

ANNUAL REPORT FOR 2005 ONFORM 10-K

 

Table of Contents

 
|      | PART I                                                                                                              |   |
|-----------|---------------------------------------------------------------------------------------------------------------------|--------|
|      |                                                                                                                |   |
| Item  1.  | Business                                                                                                            | 1      |
|      |                                                                                                                |   |
| Item  1A. | Risk Factors                                                                                                        | 7      |
|      |                                                                                                                |   |
| Item  2.  | Properties                                                                                                          | 9      |
|      |                                                                                                                |   |
| Item 3.   | Legal Proceedings                                                                                                   | 9      |
|      |                                                                                                                |   |
| Item 4.   | Submission  of Matters to a Vote of Security Holders                                                                | 9      |
|      |                                                                                                                |   |
|      | PART II                                                                                                             |   |
|      |                                                                                                                |   |
| Item 5.   | Market for  Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases  of Equity Securities | 10     |
|      |                                                                                                                |   |
| Item 6.   | Selected Financial  Data                                                                                            | 11     |
|      |                                                                                                                |   |
| Item 7.   | Management’s  Discussion and Analysis of Financial Condition and Results of Operations                         | 13     |
|      |                                                                                                                |   |
| Item 7A.  | Quantitative  and Qualitative Disclosures about Market Risks                                                        | 19     |
|      |                                                                                                                |   |
| Item 8.   | Financial  Statements and Supplementary Data                                                                        | 24     |
|      |                                                                                                                |   |
| Item 9.   | Changes in  and Disagreements with Accountants on Accounting and Financial Disclosure                               | 24     |
|      |                                                                                                                |   |
| Item 9A.  | Controls and  Procedures                                                                                            | 24     |
|      |                                                                                                                |   |
| Item 9B.  | Other Information                                                                                                   | 25     |
|      |                                                                                                                |   |
|      | PART III                                                                                                            |   |
|      |                                                                                                                |   |
| Item 10.  | Directors  and Executive Officers of the Registrant                                                                 | 25     |
|      |                                                                                                                |   |
| Item 11.  | Executive  Compensation                                                                                             | 27     |
|      |                                                                                                                |   |
| Item 12.  | Security  Ownership of Certain Beneficial Owners and Management and Related Stockholder  Matters                    | 27     |
|      |                                                                                                                |   |
| Item 13.  | Certain  Relationships and Related Transactions                                                                     | 27     |
|      |                                                                                                                |   |
| Item 14.  | Principal  Accountant Fees and Services                                                                             | 28     |
|      |                                                                                                                |   |
|      | PART IV                                                                                                             |   |
|      |                                                                                                                |   |
| Item 15.  | Exhibits and  Financial Statement Schedules                                                                         | 29     |

 

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**PART I**

 

**Item 1:   Business**

 

(a)                                GeneralDevelopment of Business:

 

ML Select Futures I L.P. (the “Partnership”) wasorganized under the Delaware Revised Uniform Limited Partnership Act on August4, 1995 under the name ML Chesapeake L.P. The Partnership began trading onApril 16, 1996 and trades in the international futures and forward marketsapplying proprietary trading strategies under the direction of Sunrise CapitalPartners, LLC (“Sunrise”). The Partnership’s objective is to achieve, throughspeculative trading, substantial capital appreciation over time.

 

Merrill Lynch Alternative Investments LLC (“MLAI”), isa 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. MerrillLynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”), a wholly-ownedsubsidiary of Merrill Lynch, is the Partnership’s commodity broker. As usedherein, the capitalized term “MLAI” also refers to the general partner at timeswhen its name was MLIM Alternative Strategies LLC, as applicable.

 

The proceeds of the Partnership’s units of limitedpartnership interest (the “Units”) were initially allocated to the Partnership’sinitial trading adviser, Chesapeake Capital Corporation (“Chesapeake”). On July1, 1998, Sunrise replaced Chesapeake as the Partnership’s sole trading advisor(“Advisor”).

 

As of December 31, 2005, the capitalization of thePartnership was $396,829,138, and the Net Asset Value per Unit, originally $100as of April 1, 1996, had risen to $224.17.

 

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

 

(b)                               FinancialInformation about Segments:

 

The Partnership’s business constitutes only onesegment for financial reporting purposes, i.e*.,*a speculative “commodity pool”. The Partnership does not engage in sales ofgoods or services.

 

(c)                                NarrativeDescription of Business:

 

***General***

 

The Partnership trades in the international futuresand forward markets with the objective of achieving substantial capitalappreciation.

 

The Partnership has entered into an advisory agreementwith Sunrise whereby Sunrise trades the Partnership’s assets through a managedaccount using its Expanded Diversified Program. In the Expanded DiversifiedProgram, Sunrise applies its trend-following systems to a broadly-diversifiedportfolio 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.

 

One of the aims of the Partnership is to providediversification to a limited portion of the risk segment of the LimitedPartners’ portfolios into an investment field that has historically oftendemonstrated a low degree of performance correlation with traditional stock andbond holdings.

 

1

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***Sunrise and its Expanded Diversified Program***

 

Sunrise currently offers five trading programs, one ofwhich, the Expanded Diversified Trading Program is used in managing thePartnership’s assets. In the Expanded Diversified Trading Program, Sunriseapplies its trend-following systems to a broadly-diversified portfolio offutures and forward markets, including, but not limited to, precious andindustrial metals, grains, petroleum products, soft commodities, domestic andforeign interest rate futures, domestic and foreign stock indices (includingS&P 500, DAX and Nikkei 225), currencies and their cross rates, and minorcurrency markets (collectively, “Commodity Interests”). Sunrise may trade thesemarkets on any U.S. or non-U.S. exchange. Sunrise may also trade options forthe Partnership in the future; in the event that it does, these options will beconsidered Commodity Interests. As of December 31, 2005, Sunrise was managingapproximately $1.82 billion (excluding “notional” funds) in the futures andforward markets.

 

###### Sunrise’s Programs Are Technical and Trend-FollowingSystems

 

The mathematical models used by Sunrise’s programs aretechnical systems, generating trading signals on the basis of statisticalresearch into past market prices. Sunrise does not attempt to predict orforecast changes in price through fundamental economic analysis. The tradingmethodologies employed by Sunrise are based on programs analyzing a largenumber of interrelated mathematical and statistical formulas and techniques,which are quantitative and proprietary in nature.

 

As a trend-following advisor, Sunrise’s objective isto participate in major price trends—sustained price movements either up ordown. Such price trends may be relatively infrequent. Some trend-followingadvisors have anticipated that over half of their positions will beunprofitable. Their strategy is based on making sufficiently large profits fromthe trends which they identify and follow to generate overall profits despitethe more numerous but, hopefully, smaller losses incurred on the majority oftheir positions.

 

The Markets Traded bySunrise for the Partnership

 

The Partnership trades on a variety of United Statesand foreign futures exchanges. Applicable exchange rules differ significantlyamong different countries and exchanges. The Partnership’s entire off-exchangetrading takes place substantially in the highly liquid, institutionally basedcurrency forward markets. The forward markets are generally unregulated, and inits forward trading the Partnership does not deposit margin with respect to itspositions. Spot and forward currency contracts currently are the onlynon-exchange traded instruments held by the Partnership.

 

To date, approximately 20% to 30% of the Partnership’strades by volume have been in forward currency contracts, but from time to timethe percentage of the Partnership’s trading represented by forward currencytrades may fall substantially outside this range. Because the Partnership neednot deposit any margin with Merrill Lynch in respect of the Partnership’sforward trading, the Partnership’s additional risk in trading in suchunregulated markets should be limited to a possible loss of unrealized profitson open forward positions which a counterparty accessed through Merrill Lynchwould not, in the event of its bankruptcy, be able to pay to Merrill Lynch forthe account of the Partnership.

 

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

 

The Partnership’s financial statements containinformation relating to the types of markets traded by the Partnership. Therecan, however, be no assurance as to which markets the Partnership may trade orin which markets the Partnership’s trading may be concentrated at any one timeor over time.

 

2

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***Use of Proceeds and Cash Management Income***

 

Subscription Proceeds

 

The Partnership’s cash isused as security for and to pay the Partnership’s trading losses as well as itsexpenses and redemptions. The primary use of the proceeds of the sale of theUnits is to permit Sunrise to trade on a speculative basis in a wide range ofdifferent futures and forwards markets on behalf of the Partnership. Whilebeing used for this purpose, the Partnership’s assets are also generallyavailable for cash management, as more fully described below under “Available Assets”.

 

Market Sectors

 

In the Expanded Diversified Program, Sunrise appliesits trend-following systems to a broadly diversified portfolio of futures andforward markets. Commodity Interests currently included in the ExpandedDiversified 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-dayAustralian 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 Statesand foreign futures exchanges. Substantially all of the Partnership’soff-exchange trading takes place in the highly liquid, institutionally basedcurrency forward markets.

 

Many of the Partnership’s currency trades are executedin the spot and forward foreign exchange markets (the “FX Markets”) where thereare no direct execution costs. Instead, the participants, banks and dealers inthe FX markets take a “spread” between the prices at which they are prepared tobuy and sell a particular currency and such spreads are built into the pricingof the spot or forward contracts with the Partnership.

 

As in the case of its market sector allocations, thePartnership’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 asover time. The Partnership has no policy restricting its relative commitment toany of these different types of markets.

 

Custody of Assets

 

All of the Partnership’s assetsare currently held in Commodity Futures Trading Commission (“CFTC”) regulatedcustomer accounts at MLPF&S.

 

Available Assets

 

The Partnership earns income, as described below, onits “Available Assets”, which can be generally described as the cash actuallyheld by the Partnership. Available Assets are held primarily in U.S. dollarsand are comprised of the Partnership’s cash balances held in the offsetaccounts (as described below) – which include “open trade equity” (unrealizedgain and loss on open positions) on United States futures contracts, which ispaid into or out of the Partnership’s account on a daily basis; the Partnership’scash balance in foreign currencies derived from its trading in non-U.S. dollardenominated futures and options contracts, which includes open trade equity onthose exchanges which settle gains and losses on open positions in suchcontracts prior to closing out such positions. Available Assets do not includeand the Partnership does not earn interest income on the Partnership’s gains orlosses on its open forward, commodity option and certain foreign futurespositions since such gains and losses are not collected or paid until suchpositions are closed out.

 

3

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The Partnership’s Available Assets may be greaterthan, less than or equal to the Partnership’s Net Asset Value (on which theredemption value of the Units is based) primarily because Net Asset Valuereflects all gains and losses on open positions as well as accrued but unpaidexpenses.

 

Interest Earned on thePartnership’s U.S. Dollar Available Assets

 

The Partnership’s U.S. dollar Available Assets areheld in cash in offset accounts.

 

Offset accounts are non-interest bearing demanddeposit accounts maintained with banks unaffiliated with Merrill Lynch. Anintegral feature of the offset arrangements is that the participating banksspecifically acknowledge that the offset accounts are MLPF&S customeraccounts, not subject to any Merrill Lynch liability.

 

MLPF&S credits the Partnership, as of the end ofeach month, with interest at the effective daily 91-day Treasury bill rate onthe average daily U.S. dollar Available Assets held in the offset accountsduring such month.

 

The use of the offset account arrangements for the Partnership’sU.S. dollar Available Assets may be discontinued by Merrill Lynch at any time. IfMerrill Lynch were to terminate the offset arrangements, it would attempt toinvest all of the Partnership’s U.S. dollar Available Assets to the maximumpracticable extent in short-term Treasury bills. All interest earned on theU.S. dollar Available Assets so invested would be paid to the Partnership but MLAIwould expect the amount of such interest to be less than that available to thePartnership under the offset account arrangements. The remaining U.S. dollarAvailable Assets of the Partnership would be kept in cash to meet variationmargin payments and pay expenses, but would not earn interest for thePartnership.

 

The banks at which the offset accounts are maintainedmake available to Merrill Lynch interest-free overnight credits, loans oroverdrafts in the amount of the Partnership’s U.S. dollar Available Assets heldin the offset accounts, charging Merrill Lynch a small fee for this service. Theeconomic benefits derived by Merrill Lynch – net of the interest credits paidto the Partnership and the fee paid to the offset banks – from the offsetaccounts have not exceeded 0.75% per annum of the Partnership’s average dailyU.S. dollar Available Assets held in the offset accounts. These revenues toMerrill Lynch are in addition to the Brokerage Commissions and AdministrativeFees paid by the Partnership to MLPF&S and MLAI, respectively.

 

Interest Paid by MerrillLynch on the Partnership’s Non-U.S. Dollar Available Assets

 

Under the single currencymargining system implemented for the Partnership, the Partnership itself doesnot deposit foreign currencies to margin trading in non-U.S. dollar denominatedfutures contracts and options, if any. MLPF&S provides the necessarymargin, permitting the Partnership to retain the monies which would otherwisebe required for such margin as part of the Partnership’s U.S. dollar AvailableAssets. The Partnership does not earn interest on foreign margin depositsprovided by MLPF&S. The Partnership does, however, earn interest on itsnon-U.S. dollar Available Assets. Specifically, the Partnership is credited byMerrill Lynch with interest at prevailing short-term local rates on assets andnet gains on non-U.S. dollar denominated positions for such gains actually heldin cash by the Partnership. Merrill Lynch charges the Partnership Merrill Lynch’scost of financing realized and unrealized losses on such positions.

 

The Partnership holdsforeign currency gains and finances foreign currency losses on an interim basisuntil converted into U.S. dollars and either paid into or out of thePartnership’s U.S. dollar Available Assets. Foreign currency gains or losses onopen positions are not converted into U.S. dollars until the positions areclosed. Assets of the Partnership while held in foreign currencies are subjectto exchange rate risk.

 

4

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***Charges***

 

The following tablesummarizes the charges incurred by the Partnership during 2005, 2004, and 2003.

 
| ** **            | ** ** | **2005**           | ** ** | **2004**                                 | ** ** | **2003**           | ** ** |
|-----------------------|------------|--------------------|------------|------------------------------------------|------------|--------------------|------------|
| **Charges**           | ** ** | **Dollar  Amount** | ** ** | **% of  Average  Month-End  Net Assets** | ** ** | **Dollar  Amount** | ** ** | **% of  Average  Month-End  Net Assets** | ** ** | **Dollar  Amount** | ** ** | **% of  Average  Month-End  Net Assets** | ** ** |
|                  |       |               |       |                                     |       |               |       |   |   |   |   |   |   |
| Brokerage Commissions |       | $                  | 27,053,850 |                                     | 5.58       | %                  | $          | 26,151,018 |   | 5.77 | % | $ | 10,533,803 |   | 5.83 | % |
| Administrative  Fees  |       | 1,479,720          |       | 0.31                                     | %          | 1,641,858          |       | 0.36 | % | 622,464 |   | 0.34 | % |
| Profit Shares         |       | —             |       | 0.00                                     | %          | 4,731,366          |       | 1.04 | % | 8,416,558 |   | 4.66 | % |
| Total Expenses        |       | $                  | 28,533,570 |                                     | 5.89       | %                  | $          | 32,524,242 |   | 7.17 | % | $ | 19,572,825 |   | 10.83 | % |

 

The foregoing table does not reflect the bid-askspreads paid by the Partnership on its forward trading, or the benefits whichmay be derived by Merrill Lynch from the deposit of certain of the Partnership’sU.S. dollar assets maintained at MLPF&S.

 

Each Unit is subject tothe same charges. The Partnership’s average month-end Net Assets during 2005,2004, and 2003 equaled $484,905,224, $453,646,399 and $180,783,609,respectively.

 

During 2005, 2004, and 2003, the Partnership earned $15,719,664, $6,875,902, and $1,831,533 in interest income, or approximately 3.24%,1.52%, and 1.02%, of the Partnership’s average month-end Net Assets.

 

**Description of Current Charges**

 
| **Recipient** |   | **Nature  of Payment** |   | **Amount  of Payment**                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |
|---------------|--------|------------------------|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 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 2005, 2004 and 2003, 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 $370, $318 and $265, respectively. |

 

5

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| 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 International Bank (“MLIB”) (or an  affiliate); Other counterparties |   | Bid–ask spreads                                                                               |   | Bid–ask spreads on forward and related trades.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
|                                                                                         |   |                                                                                               |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |
| MLIB (or an affiliate); Other counterparties                                                 |   | EFP differentials                                                                                  |   | Certain of the Partnership’s currency trades may be  executed in the form of “exchange of futures for 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;  Others                                                                          |   | Reimbursement of delivery, insurance, storage and any  other extraordinary charges; taxes (if any) |   | Actual payments to third parties, which are expected  to be negligible.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |
|                                                                                         |   |                                                                                               |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |
| MLPF&S;  Others                                                                          |   | Extraordinary expenses                                                                             |   | Actual costs incurred; none paid to date.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |

 

6

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***Regulation***

 

MLAI, the Advisor and MLPF&S are each subject toregulation by the CFTC and the NFA. Other than in respect of the registrationrequirements pertaining to the Partnership’s securities under Section 12(g) ofthe Securities Exchange Act of 1934, the Partnership is generally not subjectto regulation by the Securities and Exchange Commission (the “SEC”). However, MLAIitself is registered as an “investment adviser” under the Investment AdvisersAct of 1940. MLPF&S is also regulated by the SEC and the NationalAssociation of Securities Dealers.

 

(i) through (xii) — not applicable.

 

(xiii)  The Partnership has no employees.

 

(d)                                FinancialInformation about Geographic Areas

 

The Partnership does not engage in material operationsin foreign countries, nor is a material portion of the Partnership’s revenuederived from customers in foreign countries.

 

The Partnership trades on a number of foreigncommodity exchanges. The Partnership does not engage in the sales of goods orservices.

 

**Item 1A: Risk Factors**

 

***TheLarge Size of the Partnership’s Trading Positions Increases the Risk of Sudden,Major Losses***

*** ***

The Partnership takes positions with values up to approximately 15times its total equity. Consequently, even small price movements can causemajor losses.

 

***InvestorsMust Not Rely on the Past Performance of Either Sunrise or the Partnership inDeciding Whether to Buy Units***

*** ***

The performance of the Partnership is entirely unpredictable, and thepast performance of the Partnership as well as of Sunrise is not necessarilyindicative of their future results.

 

The price data which Sunrise has researched in developing its programsmay not reflect the changing dynamics of future markets. If not, the ExpandedDiversified Program would have little chance of being profitable. An influx ofnew market participants, changes in market regulation, international politicaldevelopments, demographic changes and numerous other factors can contribute toonce-successful strategies becoming outdated. Not all of these factors can beidentified, much less quantified. There can be no assurance that Sunrise willtrade profitably for the Partnership.

 

***SunriseAnalyzes Only Technical Market Data. No Economic Factors External to MarketPrices Are Analyzed***

*** ***

The Sunrise programs focus exclusively on statistical analysis ofmarket prices. Consequently, any factor external to the market itself whichdominates prices is likely to cause major losses. For example, a pendingpolitical or economic event may be very likely to cause a major price movement,but Sunrise would continue to maintain positions that would incur major lossesas a result of such movement, if its programs indicated that it should do so.

 

The likelihood of the Units being profitable could be materiallydiminished during periods when events external to the markets themselves havean important impact on prices. During such periods, Sunrise’s historical priceanalysis could establish positions on the wrong side of the price movementscaused by such events.

 

***Effectsof Speculative Position Limits***

*** ***

The CFTC and commodity exchanges have established speculative positionlimits (referred to as “position limits”) on the maximum futures positionswhich any person, or group of persons acting in concert, may hold or control inparticular commodities. All commodity accounts controlled by Sunrise and itsprincipals and their

 

7

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affiliates are combined for speculative position limit purposes. Ifsuch limits were to be reached, Sunrise would be required to reduce the size ofthe positions which would otherwise be taken for the Partnership in order toavoid exceeding such limits. Any such reduction could adversely affect theoperations and profitability of the Partnership.

 

***Lack ofthe Types of Price Trends Which the Expanded Diversified Program Can IdentifyWill Cause Major Losses***

*** ***

The Partnership cannot trade profitably unless major price trends occurin at least certain markets that it trades. Many markets are trendless most ofthe time, and in static markets Sunrise’s programs are likely to incur losses. Infact, Sunrise expects more than half of its trades to be unprofitable; itdepends on significant gains from a few major trends to offset these losses. Itis not just any price trend, but price trends of the type which Sunrise’ssystems have been designed to identify, which are necessary for the Partnershipto be profitable.

 

***TheDanger to the Partnership of “Whipsaw” Markets***

*** ***

Often, the most unprofitable market conditions for the Partnership arethose in which prices “whipsaw,” moving quickly upward, then reversing, thenmoving upward again, then reversing again. In such conditions, the programs mayestablish a series of losing positions based on incorrectly identifying boththe brief upward or downward price movements as trends.

 

***ThePartnership’s Substantial Expenses Will Cause Losses Unless Offset by Profits***

*** ***

The Partnership’s expenses could, over time, result in significantlosses. Except for the Profit Share these expenses are payable whether or notthe Partnership is profitable. It is also possible for Sunrise to earn a profitshare even if the Partnership has a loss. That is because the calculation ofour profit share does not include 100% of the costs associated with running thePartnership.

 

***Sunrise’sHigh Level of Equity Under Management Could Lead to Diminished Returns***

*** ***

Sunrise’s equity under management is approx 1.8 billion. The more moneySunrise manages, the more difficult it may be for Sunrise to trade profitablybecause of the difficulty of trading larger positions without adverselyaffecting prices and performance. Large trades may result in more priceslippage than smaller orders.

 

***IlliquidMarkets Could Make It Impossible for Sunrise to Realize Profits or Limit Losses***

*** ***

In illiquid markets, Sunrise could be unable to capitalize on tradingopportunities or close out losing positions. There are numerous factors whichcan contribute to market illiquidity, far too many for Sunrise to be able topredict. There can be no assurance that a market which has been highly liquidin the past will not experience periods of unexpected illiquidity.

 

Unexpected market illiquidity has caused major losses in recent yearsin certain sectors. There can be no assurance that the same will not happen tothe Partnership from time to time. The large size of the positions whichSunrise may acquire for the Partnership increases the risk of illiquidity byboth making its positions more difficult to liquidate and increasing the lossesincurred while trying to do so.

 

***ThePartnership Trades Extensively in Foreign Markets; These Markets Are LessRegulated Than U.S. Markets and Are Subject to Exchange Rate, Market Practiceand Political Risks***

*** ***

The Expanded Diversified Program trades a great deal outside the U.S. Fromtime to time, as much as approximately 40% of the Partnership’s overall marketexposure could involve positions taken on foreign markets (excluding foreignexchange transactions in U.S. markets). Foreign trading involves risks —including exchange-rate exposure, possible governmental intervention and lackof regulation — which U.S. trading does not. In addition, the Partnership maynot have the same access to certain positions on foreign exchanges as do localtraders, and the historical market data on which Sunrise bases its strategiesmay not be as reliable or accessible as it is in the United States. Certainforeign exchanges may also be in a more or less developmental stage so thatprior price histories may not be indicative of current price dynamics. The rightsof clients in the event of the insolvency or bankruptcy of a non-U.S. market orbroker are also likely to be more limited than in the case of U.S. markets orbrokers.

 

8

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***ThePartnership Could Lose Assets and Have Its Trading Disrupted Due to theBankruptcy of MLPF&S or Others***

*** ***

The Partnership is subject to the risk of MLPF&S, exchange orclearinghouse insolvency. Partnership assets could be lost or impounded duringlengthy bankruptcy proceedings. Were a substantial portion of the Partnership’scapital tied up in a bankruptcy, MLAI might suspend or limit trading, perhapscausing the Partnership to miss significant profit opportunities. No MLAIPartnership has ever lost any assets due to the bankruptcy or default of abroker, exchange or clearinghouse, but there can be no assurance that this willnot happen in the future.

 

**Item 2:   Properties**

 

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

 

The Partnership’s administrative offices are theadministrative 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 Partnershipfrom MLAI’s offices.

 

**Item 3:   LegalProceedings**

 

Neither the Partnership nor MLAI has ever been thesubject of any material litigation. Merrill Lynch is the 100% indirect owner ofMLAI, MLIM, MLPF&S and all other Merrill Lynch entities involved in theoperation of the Partnership. Merrill Lynch as well as certain of itssubsidiaries and affiliates have been named as defendants in civil actions,arbitration proceedings and claims arising out of their respective businessactivities. Although the ultimate outcome of these actions cannot be predictedat this time and the results of legal proceedings cannot be predicted withcertainty, it is the opinion of management that the result of these matterswill not be materially adverse to the business operations or the financialcondition of MLAI or the Partnership.

 

**Item 4:   Submission of Matters to a Vote of Security Holders**

 

None.

 

9

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**PART II**

 

**Item 5:****          Market for Registrant’sCommon Equity, Related Stockholder Matters and Issuer Purchases of EquitySecurities**

 

Item 5(a)

 

(a)                                MarketInformation:

 

There is no establishedpublic trading market for the Units, and none is likely to develop. LimitedPartners may redeem Units on ten days written notice to MLAI as of the last dayof each month at their Net Asset Value, subject to certain early redemptioncharges.

 

(b)                               Holders:

 

As of December 31, 2005, there were 4,724 holders ofUnits, including MLAI.

 

(c)                                Dividends:

 

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

 

(d)                               SecuritiesAuthorized for Issuance Under Equity Compensation Plans:

 

Not applicable.

 

(e)                                RecentSales of Unregistered Securities; Uses of Proceeds From Registered Securities:

 

Not applicable.

 

Item 5(b)

 

Not applicable.

 

Item 5(c)

 

Not applicable.

 

10

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**Item 6:   Selected Financial Data**

 

The following selected financial data has been derivedfrom the audited financial statements of the Partnership.

 
| **Statement of Income**         | ** ** | **For the Year  Ended  December 31,  2005** | ** **  | **For the Year  Ended  December 31,  2004** | ** ** | **For the Year  Ended  December 31,  2003** | ** ** | **For the Year  Ended  December 31,  2002** | ** ** | **For the Year  Ended  December 31,  2001** | ** ** |
|---------------------------------|------------|---------------------------------------------|-------------|---------------------------------------------|------------|---------------------------------------------|------------|---------------------------------------------|------------|---------------------------------------------|------------|
|                            |       |                                        |        |                                        |       |                                        |       |                                        |       |                                        |       |
| TRADING PROFITS  (LOSSES):      |       |                                        |        |                                        |       |                                        |       |                                        |       |                                        |       |
| Realized                        |       | $                                           | (24,222,659 | )                                           | $          | 52,256,615                                  |       | $                                           | 27,402,575 |                                        | $          | 5,392,704 |   | $ | 6,824,865 |   |
| Change in  Unrealized           |       | 3,041,057                                   |        | (14,070,731                                 | )          | 16,373,295                                  |       | 8,250,855                                   |       | (2,048,558                                  | )          |
| Total trading  profits (losses) |       | (21,181,602                                 | )           | 38,185,884                                  |       | 43,775,870                                  |       | 13,643,559                                  |       | 4,776,307                                   |       |
|                            |       |                                        |        |                                        |       |                                        |       |                                        |       |                                        |       |
| INVESTMENT  INCOME:             |       |                                        |        |                                        |       |                                        |       |                                        |       |                                        |       |
| Interest                        |       | 15,719,664                                  |        | 6,875,902                                   |       | 1,831,533                                   |       | 1,124,469                                   |       | 1,157,629                                   |       |
|                            |       |                                        |        |                                        |       |                                        |       |                                        |       |                                        |       |
| EXPENSES:                       |       |                                        |        |                                        |       |                                        |       |                                        |       |                                        |       |
| Brokerage  Commissions          |       | 27,053,850                                  |        | 26,151,018                                  |       | 10,533,803                                  |       | 4,012,892                                   |       | 2,033,742                                   |       |
| Profit Shares                   |       | —                                      |        | 4,731,366                                   |       | 8,416,558                                   |       | 2,508,724                                   |       | 779,623                                     |       |
| Administrative  Fees            |       | 1,479,720                                   |        | 1,641,858                                   |       | 622,464                                     |       | 182,404                                     |       | 92,442                                      |       |
| Total Expenses                  |       | 28,533,570                                  |        | 32,524,242                                  |       | 19,572,825                                  |       | 6,704,020                                   |       | 2,905,807                                   |       |
|                            |       |                                        |        |                                        |       |                                        |       |                                        |       |                                        |       |
| NET INVESTMENT  LOSS            |       | (12,813,906                                 | )           | (25,648,340                                 | )          | (17,741,292                                 | )          | (5,579,551                                  | )          | (1,748,178                                  | )          |
|                            |       |                                        |        |                                        |       |                                        |       |                                        |       |                                        |       |
| **NET  INCOME (LOSS)**          |       | $                                           | (33,995,508 | )                                           | $          | 12,537,544                                  |       | $                                           | 26,034,578 |                                        | $          | 8,064,008 |   | $ | 3,028,129 |   |

 
| **Balance  Sheet Data**      | ** ** | **December  31, 2005** | ** **  | **December  31, 2004** | ** ** | **December  31, 2003** | ** ** | **December  31, 2002** | ** **  | **December  31, 2001** | ** ** |
|------------------------------|------------|------------------------|-------------|------------------------|------------|------------------------|------------|------------------------|-------------|------------------------|------------|
|                         |       |                   |        |                   |       |                   |       |                   |        |                   |       |
| Partnership Net  Asset Value |       | $                      | 396,829,138 |                   | $          | 586,978,366            |       | $                      | 270,488,591 |                   | $          | 105,744,139 |   | $ | 50,409,668 |   |
| Net Asset Value  per Unit    |       | $                      | 224.17      |                   | $          | 234.41                 |       | $                      | 224.63      |                   | $          | 196.23 |   | $ | 177.38 |   |

 

MONTH-END NET ASSET VALUEPER INITIAL UNIT

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** | **Oct.** | ** ** | **Nov.** | ** ** | **Dec.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|----------|------------|----------|------------|----------|------------|
| 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 |   |
| 2005       |       | $        | 219.59     |     | $          | 218.75   |       | $        | 217.11     |    | $          | 213.97   |       | $        | 212.55     |     | $          | 211.75    |       | $        | 206.46     |     | $          | 206.27   |       | $ | 208.46 |   | $ | 210.63 |   | $ | 221.59 |   | $ | 224.17 |   |

 

Pursuant to CFTC policy, monthly performance is presented from January1, 2001, even though the Units were outstanding prior to such date.

 

11

----

 

**ML SELECT FUTURES I L.P.**

**December 31, 2005**

 

*Type of Pool:*  Single Advisor/Publicly-Offered/Non-“PrincipalProtected”(1)

*Inception of Trading:*April 1996

*Aggregate Subscriptions:*   $580,218,018

*Current Capitalization: * $396,829,138

*Worst Monthly Drawdown(2): *(9.66)% (11/01)

*Worst Peak-to-Valley Drawdown(3): *(16.91)%  (04/04-08/05)

 

*Net AssetValue per Unit, December 31, 2005:*  $224.17

 

**MonthlyRates of Return**

 
| **Month**                       | ** ** | **2005** | ** ** | **2004** | ** ** | **2003** | ** ** | **2002** | ** ** | **2001** | ** ** |
|---------------------------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
| January                         |       | (6.32    | )%         | 0.95     | %          | 8.48     | %          | (2.56    | )%         | 1.51     | %          |
| February                        |       | (0.38    | )          | 7.23     |       | 4.12     |       | (3.21    | )          | 3.89     |       |
| March                           |       | (0.75    | )          | 2.10     |       | (6.18    | )          | 0.07     |       | 7.13     |       |
| April                           |       | (1.45    | )          | (4.41    | )          | 0.31     |       | 0.84     |       | (5.32    | )          |
| May                             |       | (0.67    | )          | (1.25    | )          | 4.48     |       | 4.11     |       | 2.52     |       |
| June                            |       | (0.37    | )          | (2.71    | )          | (3.80    | )          | 7.85     |       | (1.32    | )          |
| July                            |       | (2.50    | )          | (1.82    | )          | (1.54    | )          | 1.40     |       | (1.45    | )          |
| August                          |       | (0.09    | )          | (4.36    | )          | (0.05    | )          | 0.63     |       | 2.03     |       |
| September                       |       | 1.06     |       | 0.46     |       | (3.36    | )          | 5.25     |       | 6.16     |       |
| October                         |       | 1.04     |       | 3.41     |       | 5.54     |       | (3.40    | )          | 5.50     |       |
| November                        |       | 5.20     |       | 4.47     |       | (1.21    | )          | (4.75    | )          | (9.66    | )          |
| December                        |       | 1.16     |       | 0.89     |       | 8.05     |       | 4.76     |       | 1.62     |       |
|                            |       |     |       |     |       |     |       |     |       |     |       |
| Compound Annual Rate  of Return |       | -4.37    | %          | 4.35     | %          | 14.47    | %          | 10.63    | %          | 11.93    | %          |

 

----

(1) Certain funds, including funds sponsored by MLAI,are structured so as to guarantee to investors that their investment will beworth 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 suchfunds as “principal protected”. The Partnership has no such feature.

 

(2) Worst Monthly Drawdown represents the largestnegative Monthly Rate of Return experienced since January 1, 2001 by thePartnership; a drawdown is measured on the basis of month-end Net Asset Valueonly, and does not reflect intra-month figures.

 

(3) Worst Peak-to-Valley Drawdown represents thegreatest percentage decline since January 1, 2001 from a month-endcumulative Monthly Rate of Return without such cumulative Monthly Rate ofReturn being equaled or exceeded as of a subsequent month-end. For example, ifthe Monthly Rate of Return was (1)% in each of January and February, 1% inMarch and (2)% in April, the Peak-to-Valley Drawdown would still be continuingat the end of April in the amount of approximately (3)%, whereas if the MonthlyRate of Return had been approximately 3% in March, the Peak-to-Valley Drawdownwould have ended as of the end of February at approximately the (2)% level.

 

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

 

12

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**Item 7:           Management’s Discussion and Analysis of FinancialCondition and Results of Operations**

 

***Resultsof Operations***

 

General

 

Sunrise has been the Partnership’s sole Advisor sinceJuly 1, 1998. Sunrise is a trend-following trader, whose program does notattempt to predict price movements. Sunrise has generally not relied on usingfundamental economic supply or demand analyses nor macroeconomic assessments ofthe relative strengths of different national economies or economic sectors. Instead,its program applies proprietary models to analyzing past market data, and fromthis data attempts to determine whether market prices are trending. As atechnical trader, Sunrise bases its strategies on the theory that market pricesreflect the collective judgement of numerous market participants and are,accordingly, an efficient indication of market movements. However, there arefrequent periods during which fundamental factors external to the marketdominate prices.

 

If Sunrise’s models identify a trend, it signalspositions, which follow the trend. When these models identify the trend ashaving ended or reversed, these positions are either closed out or reversed. Dueto their trend-following character, Sunrise’s program does not predict eitherthe commencement or the end of a price movement. Rather, its objective is toidentify a trend early enough to profit from it and detect its end or reversalin time to close out the Partnership’s positions while retaining most of theprofits made from following the trend.

 

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

 

***PerformanceSummary***

 

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

 

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

 

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

 

13

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* *

*2005*

 
| ** **               | ** ** | **Total Trading  Profit (Loss)** | ** **  |
|--------------------------|------------|----------------------------------|-------------|
| Stock Indices            |       | $                                | 13,907,052  |   |
| Metals                   |       | 8,710,419                        |        |
| Interest Rates           |       | 8,153,645                        |        |
| Energy                   |       | (113,377                         | )           |
| Agricultural Commodities |       | (1,958,031                       | )           |
| Currencies               |       | (49,881,310                      | )           |
|                     |       | $                                | (21,181,602 | ) |

 

The Partnership experienced an overall loss for theyear. Stock indices, metals sector and interest rates were profitable for thePartnership while the energy sector, agricultural commodities, and currenciessustained losses.

 

Stock indices posted the highest profit for thePartnership. There were little gains in the first half of the year due to sucha volatile trading environment. Stock indices outperformed the other sectors inthe Partnership in the third quarter. In particular, the DAX, German’sbenchmark stock index was near a three-year high and the Nikkei 225 Stock Indexreached a new four-year high. The Partnership took advantage of its tradingprofits by partially liquidating its long positions at profit target levels.The year ended with foreign stock indices continuing to be profitable, movingto new highs. This caused an exit in the remaining long Nikkei 225 position tolock in profit targets.

 

The metals sector was profitable for the Partnership.The year began with trend reversals and severe volatility causing losses inprecious and base metals only to regain their bullish momentum as the yearprogressed with aluminum and copper prices strengthening due to a tightersupply-demand situation. The gold futures appreciated significantly inSeptember due to the increased demand for gold which is a direct correlation torising inflation expectations. Strong demand combined with historically lowinventories and inflation concerns drove the prices to new highs in November.Therefore, profitable metals positions (copper, aluminum) were partiallyliquidated after reaching profit targets. The year ended with gold, which isusually sensitive to the U.S. dollar and tends to move in the oppositedirection, reaching new contract highs as the U.S. dollar declined in value.Silver and aluminum also posted solid profits.

 

The interest rate sector also posted gains for thePartnership. The year began with both domestic and foreign interest ratefutures recording record profits as yields on long-term debt instrumentscontinued to fall. However, the trend reversed early in the year generatingprofits on short Eurodollar positions only to reverse again at the end of theJune. France’s decision not to ratify a new European constitution seemed tocontribute to the rally in interest rate futures. Favorable economic news andexpectations that the Federal Reserve might stop raising interest rates in thesummer may also explain the strength in bond prices. On July 1st, the U.S.Federal Reserve raised the Federal funds rate by another 0.25%, whichrepresented the ninth increase of that size since the central bank began totighten credit in June 2004 and caused the price of underlying debt instrumentsto move down against long positions. Gains were generated in short-terminterest rate futures with the Partnership having a short position in theEurodollar. The year ended with losses as prices moved against the Partnership’sshort positions. The Partnership experienced an inversion of the yield curve aslong-term yields dropped below the level of short-term yields. The strongdemand of  U.S. Treasury bonds and notesmay have been driving long-term yields lower.

 

The energy sector posted losses for the Partnership.Trading in this sector was in the third quarter only. Crude oil rallied tolevels above $70.00 per barrel but dropped sharply after the U.S. governmentdecided to release some oil from energy stockpiles, while the Partnership’slong crude oil positions recorded profits. Prices remained at levels not seenfor 15 years as the market struggled for direction after refinery andproduction shutdowns in the aftermath of Hurricanes Katrina and Rita.

 

14

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The agricultural sector posted losses for thePartnership due to the volatility of the trading market. Profits from sugarreached an 11 year high and became one of the best performing commodities in2005. However, profits from sugar could not offset losses sustained from othercommodities.

 

The currency sector was the least profitable for thePartnership. The year was characterized by a strong U.S. dollar even in lightof higher energy prices and Hurricane Katrina’s effects. At the beginning ofthe year, the U.S. dollar gained support by improved U.S. economic data andmoved higher against most major and minor currencies. The rising U.S. dollartriggered exit signals for short U.S. dollar positions which resulted inlosses. The trend of a stronger U.S. dollar continued through the middle partof the year as key economic reports indicated the United States is growingfaster than other developed countries coupled with higher interest rates in theU.S. In the beginning of July, there was an approximate 2% revaluation of theChinese yuan against the U.S. dollar which led to a short rally in severalAsian currencies including the Japanese yen. Positive momentum for the U.S. dollarcame at the end of the year which resulted from favorable interest ratedifferentials. The U.S. interest rates had climbed by 300 bps over the past twoyears, while European and Japanese rates have remained stagnant.

 

*2004*

 
| ** **               | ** ** | **Total Trading  Profit (Loss)** | ** ** |
|--------------------------|------------|----------------------------------|------------|
| 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 |   |

 

The Partnership was profitable overall for the yearwith gains experienced in the energy, agricultural commodities, and stockindices sectors. Losses were realized in the metals, currency and interest ratesectors.

 

The energy sector was the most profitable for thePartnership. Small losses in January due to crude oil were offset by gains inthe remaining part of the first quarter. This gain was supported by anunusually high level of weather-related demand and tight U.S. inventories. Duringthe second quarter, the energy sector was the most profitable sector as crudeoil prices reached new record highs. Higher prices were attributed mostly togrowing demand. In the latter part of the second quarter, crude oil experiencedthe most dramatic price increase since the mid 1970’s as a result of rapidlygrowing demand in the developing world and ongoing geopolitical tensions. Hurricanedisruptions also helped in pushing the market prices upward. Crude oil continuedits trend in the early part of the fourth quarter, reaching record highs withsmall losses posted in the remaining part of the quarter.

 

The agricultural commodities sector posted solid gainsdespite losses in the second quarter. During the first quarter, the agriculturalcommodities sector provided the greatest gains for the Partnership. Early inthe quarter, unusually tight grain inventory sent corn and bean prices to newcontract highs. In March, grains rallied to new highs supported by growingglobal demand and a drastic reduction in grain inventories. Losses were postedduring the second quarter. Volatile conditions in May prevented the Partnershipfrom initiating any new positions and the market exposure was reduced tohistorically low levels. The agricultural market posted a net gain for thethird quarter despite losses mid-quarter. Short corn and cotton tradesgenerated positive returns as corn continued its downward trend and cottonprices weakened. Factors favored a trend towards higher coffee prices duringthe last part of the fourth quarter. The price of coffee surpassed one dollar apound for the first time since July of 2000 as supplies to keep pace withdemand.

 

The stock indices sector posted gains for thePartnership. Trading in stock indices posted gains for the first quarter, withJanuary being the most profitable month despite a volatile trading market. Duringthe second

 

15

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quarter trading in stock indices posted losses for the Partnership;however June ended with foreign stock indices producing marginal profits forthe Partnership but not enough to recover losses earlier in the quarter. In thethird quarter, trading in stock indices posted losses due to thin tradingconditions and direction-less markets. In the beginning of the fourth quarter,stock indices continued to trend upward on strong economic data and favorableearnings reports. In the latter part of the year, trading in the stock marketindices was profitable as stocks rose to their highest levels for the year inresponse to positive economic news and earnings reports.

 

The metals sector posted a loss for the year despiteposting significant gains early in the year. During the first quarter, despitethe volatility in the market, copper and aluminum posted profits early in thequarter, due to tight supplies. Base metals, with the exception of nickel,continued to rise driven by strong demand, U.S. dollar weakness and decliningstocks. Silver was the best performing market overall. The metals sector postedlosses for the Partnership in the second quarter. News about a slowing Chineseeconomy and possible decline in global demand for commodities put downwardpressure on commodity prices, especially metals. In the third quarter, metalsposted a loss despite small gains in the latter part of the quarter, primarilydue to low trading volumes early in the quarter followed by a difficult tradingenvironment with markets trading in extremely narrow ranges and the absence ofany directional movement. Zinc rallied against the Partnership’s shortpositions reaching the highest price since June, causing losses at the end ofthe quarter. During the fourth quarter positions in precious and industrialmetals 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 asaluminum reached its highest level in nine years and the price of zinc rose toa five year high.

 

The currency sector posted a loss overall for thePartnership. Currencies started the year as profitable followed by veryvolatile markets later in the first quarter which detracted from performance. Losseswere posted for the sector in the second quarter. The largest losses came fromshort U.S. dollar positions versus minor currency positions. The second quarterended with currency trading exposure close to a historic low for the month ofJune with few trading opportunities in the markets. The currency sector postedthe largest losses for the third quarter, with the largest losses posted inAugust. With questions over soft employment numbers, terror alerts, uncertaintyabout the U.S. election and high oil prices, the U.S. dollar initiallyweakened, then gained momentum against major European currencies later in August.Currency cross rates produced the largest losses within this sector. Early inthe fourth quarter, the dollar weakened against all of its major currencycounterparts thus generating profits for short positions. Many events,including higher oil prices and uncertainties surrounding a close presidentialelection, put pressure on the U.S. currency. In November, the strongestperformer was the currency sector, benefiting from the bearish U.S. dollartrend as the currency’s decline continued throughout the month. Currencytrading was difficult in December with the U.S. dollar declining to record lowsagainst some major and minor currencies, generating profits which were offsetby losses in major currency cross rates.

 

The interest rate sector posted the largest losses forthe year. In the first quarter, the sector posted gains as interest ratefutures moved higher and generated profits. Both domestic and foreign interestrate positions posted solid gains. The interest rate sector posted the largestlosses for the Partnership in the second quarter. In the beginning of the secondquarter, the market focused on growing expectation of higher U.S. interestrates and began to prepare for the initial rate increase by the U.S. FederalReserve. Expectations of rising interest rates sent the prices of long-terminterest rate futures to their lowest levels in several months. Jobless claimsand manufacturing data proved to be slightly worse than expected and thus had amuch bigger impact on the market than the U.S. Federal Reserve’s expected ratehike. During the third quarter, the U.S. Treasury markets showed high levels ofvolatility. Despite the 25 basis point increase in short-term interest rates bythe U.S. Federal Reserve, the prices of 30-year Treasury Bonds and ten-yearNotes rose sending long-term U.S. Treasury yields down. In October, profitswere posted on the long side of interest rate futures due to declining longterm yields both in the U.S. and abroad. The fourth quarter ended with gainsposted in the sector for the end of the year.

 

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*2003*

 
| ** **               | ** ** | **Total Trading  Profit (Loss)** | ** ** |
|--------------------------|------------|----------------------------------|------------|
| 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 |   |

 

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

 

Despite an unprofitable first half for the metalsector, it proved to be the most profitable sector for the year. Gold’s rise toa six-year high in January had a positive influence on the month. This uptrendwas reversed in February and March as market actions were driven by the courseof the war with Iraq. The risks and potential impact on the global economyproduced 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 conditions in June. Base metalsdrove most of the profits in the third quarter. The markets took direction fromeconomic data and changing perceptions about the economy. Higher prices duringthe quarter triggered buy signals to build on the Partnership’s positions. InOctober, nickel was the best performer in this sector as the price moved to newhighs, while gold and silver moved in a choppy, sideways pattern. In November,the metals sector experienced a corrective phase and started to drift loweronly to regain momentum at the end of the month after a series of economic newshad signaled that the economy is improving even faster than expected. Theupward trend in base metals accelerated in December with nickel and copperbeing the most profitable.

 

The currency forward and futures trading hadsignificant gains for the year. The Partnership started the year with shortU.S. dollar positions versus other major currencies. The Partnership capitalizedon the persistent rise in the value of these currencies against the U.S.dollar. Profits were also posted in long European currencies against theJapanese yen in January. Trading in currencies was not profitable in Februaryand March. The anxiety about the war in Iraq contributed to choppy and narrowprice ranges in most major currencies. Currencies produced large profits inMay, as the U.S. dollar remained on the defensive throughout most of thequarter. 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 ofthe U.S. dollar as a tool to stabilize the U.S. economy. The U.S. dollar’sdowntrend was also supported by technical indicators, which further acceleratedthe 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 someshort U.S. dollar positions to be liquidated. The currency sector wasunprofitable in the third quarter. The sector was highly volatile resulting indifficult trading conditions. The U.S. dollar appreciated against most majorcurrencies in July and August, resulting in losses for the Partnership. TheU.S. dollar’s weakness persisted into the last quarter, declining against mostmajor and minor currencies. The U.S. dollar weakness against most major andminor currencies is largely a result of growing trade and budget deficits inthe U.S. Also, U.S. dollar investments are becoming less attractive for foreigninvestors because the Federal Reserve has been keeping interest rates at verylow levels.

 

Agricultural commodities trading resulted in gains forthe Partnership. Sugar prices, like commodities in general, continued theirupward trend. During January, this trend accelerated thus producing significantprofits. Soybeans also contributed to profits with prices moving sharply upwardin the first quarter. Soybeans contributed to profits in April with pricesmoving sharply upward. The direction of the markets shifted in May in reactionto weather and supply reports. The worst performers in this sector were cornand cotton. Agricultural commodities trading generated the most profits for thePartnership for the third quarter. This sector was profitable due to longpositions in

 

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soybeans, soybean meal and cotton. The soybean complex rallied onforecasts of cold weather across the Midwest. Tight supplies were also seen assupportive factors for the products. China’s growing demand supported a rallythat emerged in September and accelerated into October with soybean pricesreaching their highest levels since 1995. November’s corrective action in grainprices was large enough for our trading system to trigger partial liquidationof long positions, causing losses for the month. In December, grains recordedmoderate losses for the month.

 

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

 

Losses were realized in interest rate trading. Thecontinued rise in interest rate futures prices created a favorable tradingenvironment in January and February. Price reversals as well as choppiness andvolatility in March caused some losses and subsequently the Partnership’s exposurewas reduced in the market. The interest rate sector was profitable in April andMay as market prices continued to rally to falling U.S. interest rates. InJune, the interest rate markets reversed direction when the Federal Reserveannounced the decision to lower interest rates by 25 basis points, which wasless than anticipated. The market reflected disappointment with the FederalReserve’s action by selling debt futures. The U.S. bond market suffered heavylosses in July after the U.S. government announced its intentions to borrow arecord amount to finance the huge deficit. The U.S. bond market managed a timidrecovery in August after making new lows in July. In September, the globaleconomic rebound was the primary focus of the market. The U.S. continued toproduce mixed economic data, which led some investors to question the strengthof the recovery. The G-7 summit resulted in a call for more flexible exchangerates around the world. This announcement signaled to the world marketplacethat a weaker U.S. dollar is important to strengthen the global economy. Interestrates moved up slightly, as the central banks worldwide continued to reiteratethat low interest rates are necessary to sustain an economic recovery.

 

Despite a good start, the energy sector provided thegreatest losses for the Partnership. As Iraq-related events brought thepossibility of war closer, petroleum products moved to new highs in the firstquarter. Crude oil was the best performing market in this category. Coldweather conditions in the Northeast helped push prices to target levels causinga portion of the Partnership’s position to be liquidated to protect profitsfrom a downturn. As the trend reversed sharply in March, long positions in bothmarkets were gradually liquidated. Volatility in the first quarter causedexposure in this market to be reduced. Crude oil was the best performer inJune. Its price strengthened in response to declining inventories. Gains inJuly and August were offset by significant losses in September. Crude oil wasthe most significant contributor to September’s negative results as the trendof falling prices reversed mid-month and moved against the Partnership’s shortpositions. These positions were initiated during the first half of the monthwhen the price of crude oil fell from a high of $31.40 on September 2 to a fourmonth low of $26.65 on September 19. It was followed by a sharp upward moveback to nearly the $30.00 level. The sudden price shift appeared to betriggered by OPEC’s announcement about their impending production cuts. Crudeoil was the biggest loser in October and was responsible for the largest lossin November. After terrorism worries receded, the market focused on OPEC’sstruggle to cut supplies and keep inventories from growing, which put downsidepressure on oil prices. Energy prices rose in the first two weeks of Decemberin reaction to cold weather forecasts, but became volatile during the secondhalf of the month.

 

Variables AffectingPerformance

 

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

 

During all periods set forth above “Selected FinancialData”, the interest rates in many countries were at unusually low levels. Thelow interest rates in the United States (although higher than in many other

 

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countries) negatively impacted revenues because interest income istypically a major component of the Partnership’s profitability. In addition,low interest rates are frequently associated with reduced fixed income marketvolatility, and in static markets the Partnership’s profit potential generallytends to be diminished. On the other hand, during periods of higher interestrates, the relative attractiveness of a high risk investment such as thePartnership may be reduced as compared to high yielding and much lower riskfixed-income investments.

 

The Partnership’s Brokerage Commissions andAdministrative Fees are a constant percentage of the Partnership costs (otherthan the insignificant currency trading costs) which are not based on apercentage of the Partnership’s assets (allocated to trading or total) are theProfit Shares payable to the Advisor based on the new Trading Profits generatedby the partnership excluding interest and after reduction for a portion of theBrokerage Commissions.

 

Unlike many investment fields, there is no meaningfuldistinction in the operation of the Partnership between realized and unrealizedprofits. Most of the contracts traded by the Partnership are highly liquid andcan be closed out at any time.

 

Except in unusual circumstances, factors—regulatoryapprovals, cost of goods sold, employee relations and the like—which oftenmaterially affect an operating business have virtually no impact on thePartnership.

 

***Liquidity;Capital Resources***

 

The Partnership borrows only to a limited extent andonly 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’sU.S. dollar deposits. These borrowings are at a prevailing short-term rate inthe relevant currency.

 

Substantially all of the Partnership’s assets are heldin cash. The Net Asset Value of the Partnership’s cash is not affected byinflation. However, changes in interest rates could cause periods of strong upor down price trends, during which the Partnership’s profit potential generallyincreases. Inflation in commodity prices could also generate price movements,which the strategies might successfully follow.

 

Because substantially all of the Partnership’s assetsare held in cash, the Partnership should be able to close out any or all of itsopen trading positions and liquidate any or all of its securities holdingsquickly and at market prices, except in very unusual circumstances. Thispermits the Advisor to limit losses as well as reduce market exposure on shortnotice should its strategies indicate doing so. In addition, because there is areadily available market value for the Partnership’s positions and assets, thePartnership’s monthly Net Asset Value calculations are precise, and investorsneed only wait ten business days to receive the full redemption proceeds oftheir Units.

 

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

 

**Item 7A:****Quantitative and Qualitative Disclosures AboutMarket Risk**

 

Introduction

 

The Partnership is a speculative commodity pool. Themarket sensitive instruments held by it are acquired for speculative tradingpurposes and all or substantially all of the Partnership’s assets are subjectto the risk of trading loss. Unlike an operating company, the risk of marketsensitive instruments is integral, not incidental, to the Partnership’s mainline of business.

 

Market movements result in frequent changes in thefair market value of the Partnership’s open positions and, consequently, in itsearnings and cash flow. The Partnership’s market risk is influenced by a widevariety of factors, including the level and volatility of interest rates,exchange rates, equity price levels, the market

 

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value of financial instruments and contracts, the diversificationeffects among the Partnership’s open positions and the liquidity of the marketsin which it trades.

 

The Partnership, under the direction of Sunrise,rapidly acquires and liquidates both long and short positions in a wide rangeof different markets. Consequently, it is not possible to predict how aparticular future market scenario will affect performance, and the Partnership’spast performance is not necessarily indicative of its future results.

 

Value at Risk is a measure of the maximum amount whichthe Partnership could reasonably be expected to lose in a given market sector.However, the inherent uncertainty of the Partnership’s speculative trading andthe recurrence in the markets traded by the Partnership of market movements farexceeding expectations could result in actual trading or non-trading losses farbeyond 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 anduncertainties intrinsic to all future projections, the quantifications includedin this section should not be considered to constitute any assurance orrepresentation that the Partnership’s losses in any market sector will belimited to Value at Risk or by the Partnership’s attempts to manage its marketrisk.

 

Quantifying ThePartnership’s Trading Value At Risk

 

QuantitativeForward-Looking Statements

 

The following quantitative disclosures regarding thePartnership’s market risk exposures contain “forward-looking statement” withinthe meaning of the safe harbor form civil liability provided for suchstatements by the Private Securities Litigation Reform Act of 1995 (set forthin Section 27Aof the Securities Act of 1933 and Section 21E of the SecuritiesExchange Act of 1934). All quantitative disclosures in this section are deemedto be forward-looking statements for purposes of the safe harbor, except forstatements of historical fact.

 

The Partnership’s risk exposure in the various marketsectors traded by the Advisor is quantified below in terms of Value at Risk. Dueto the Partnership’s mark-to-market accounting, any loss in the fair value ofthe Partnership’s open positions is directly reflected in the Partnership’searnings (realized or unrealized) and cash flow (at least in the case ofexchange-traded contracts in which profits and losses on open positions aresettled daily through variation margin).

 

Exchange maintenance margin requirements have beenused by the Partnership as the measure of its Value at Risk. Maintenance marginrequirements are set by exchanges to equal or exceed the maximum loss in thefair value of any given contract incurred in 95%-99% of the one-day timeperiods included in the historical sample (generally approximately one year)researched for purposes of establishing margin levels. The maintenance marginlevels are established by dealers and exchanges using historical price studiesas well as an assessment of current market volatility (including the impliedvolatility of the options on a given futures contract) and economicfundamentals to provide a probabilistic estimate of the maximum expectednear-term one-day price fluctuation.

 

In the case of market sensitive instruments which arenot exchange-traded (almost exclusively currencies in the case of the Partnership),the margin requirements for the equivalent futures positions have been used asValue at Risk. In those rare cases in which a futures-equivalent margin is notavailable, dealers’ margins have been used.

 

100% positive correlation in the different positionsheld in each market risk category has been assumed. Consequently, the marginrequirements applicable to the open contracts have been aggregated to determineeach trading category’s aggregate Value at Risk. The diversification effectsresulting 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 tableindicates the average, highest and lowest trading Value at Risk associated withthe Partnership’s open positions by market category for the fiscal years.During the fiscal year 2005, the

 

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Partnership’s average capitalization was approximately$484,905,224. During the fiscal year 2004, the Partnership’s averagecapitalization was approximately $453,646,399.

 
| ** **               | ** ** | **December 31, 2005**      | ** ** |
|--------------------------|------------|----------------------------|------------|
| **Market Sector**        | ** ** | **Average  Value at Risk** | ** ** | **% of  Average  Capitalization** | ** ** | **Highest  Value  At Risk** | ** ** | **Lowest  Value  At Risk** | ** ** |
|                     |       |                       |       |   |   |   |   |   |   |
| Currencies               |       | $                          | 6,987,693  |   | 1.44 | % | $ | 17,754,659 |   | $ | 2,858,755 |   |
| Metals                   |       | 1,196,851                  |       | 0.25 | % | 2,854,149 |   | 173,179 |   |
| Stock Indices            |       | 2,376,331                  |       | 0.49 | % | 4,192,393 |   | 737,915 |   |
| Interest Rates           |       | 23,465,447                 |       | 4.84 | % | 41,662,275 |   | 14,439,368 |   |
| Energy                   |       | 173,769                    |       | 0.04 | % | 1,117,195 |   | — |   |
| Agricultural Commodities |       | 986,646                    |       | 0.20 | % | 2,046,715 |   | 310,872 |   |
|                     |       |                       |       |   |   |   |   |   |   |
| TOTAL                    |       | $                          | 35,186,737 |   | 7.26 | % | $ | 69,627,386 |   | $ | 18,520,089 |   |

 
| ** **               | ** ** | **December 31, 2004**      | ** ** |
|--------------------------|------------|----------------------------|------------|
| **Market Sector**        | ** ** | **Average  Value at Risk** | ** ** | **% of  Average  Capitalization** | ** ** | **Highest  Value  At Risk** | ** ** | **Lowest  Value  At Risk** | ** ** |
|                     |       |                       |       |   |   |   |   |   |   |
| 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 |   |

 

Material Limitations on Value at Risk as an Assessmentof Market Risk

 

The face value of themarket sector instruments held by the Partnership is typically many times theapplicable maintenance margin requirement (maintenance margin requirementsgenerally ranging between approximately 1% and 10% of contract face value) aswell as many times the capitalization of the Partnership. The magnitude of thePartnership’s open positions creates a “risk of ruin” not typically found inmost other investment vehicles. Because of the size of its positions, certainmarket 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 thePartnership — gives no indication of this “risk of ruin.”

 

**Non-Trading Risk**

 

Foreign Currency Balances; Cash on Deposit with MLPF&S

 

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

 

The Partnership also hasnon-trading market risk on the approximately 90%-95% of its assets which areheld in cash at MLPF&S. The value of this cash is not interest ratesensitive, but there is cash flow risk in that if interest rates decline sowill the cash flow generated on these monies. This cash flow risk isimmaterial.

 

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**Qualitative Disclosures Regarding Primary TradingRisk Exposures**

 

The following qualitative disclosures regarding thePartnership’s market risk exposures — except for (i) those disclosures that arestatements of historical fact and (ii) the descriptions of how the Partnershipmanages its primary market risk exposures — constitute forward-looking statementswithin the meaning of Section 27A of the Securities Act and Section 21E of theSecurities Exchange Act. The Partnership’s primary market risk exposures aswell as the strategies used and to be used by MLAI and the Advisor for managingsuch exposures are subject to numerous uncertainties, contingencies and risks,any one of which could cause the actual results of the Partnership’s riskcontrols to differ materially from the objectives of such strategies.Government interventions, defaults and expropriations, illiquid markets, theemergence of dominant fundamental factors, political upheavals, changes inhistorical price relationships, an influx of new market participants, increasedregulation and many other factors could result in material losses as well as inmaterial changes to the risk exposures and the risk management strategies ofthe Partnership. There can be no assurance that the Partnership’s currentmarket exposure and/or risk management strategies will not change materially orthat 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 valueof their investment in the Partnership.

 

The following were the primary trading risk exposuresof the Partnership as of December 31, 2005, by market sector.

 

**Interest Rates**.

 

Interest rate risk is the principal market exposure ofthe Partnership. Interest rate movements directly affect the price ofderivative sovereign bond positions held by the Partnership and indirectly thevalue of its stock index and currency positions. Interest rate movements in onecountry as well as relative interest rate movements between countriesmaterially impact the Partnership’s profitability. The Partnership’s primaryinterest rate exposure is to interest rate fluctuations in the United Statesand the other G-7 countries. However, the Partnership also takes positions inthe government debt of smaller nations e.g., Australia. The Partnership anticipatesthat G-7 interest rates will remain the primary market exposure of thePartnership 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. ThePartnership does not anticipate that the risk profile of the Partnership’scurrency sector will change significantly in the future. The currency tradingValue at Risk figure includes foreign margin amounts converted into U.S.dollars with an incremental adjustment to reflect the exchange rate risk ofmaintaining Value at Risk in a functional currency other than U.S. dollars.

 

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**Stock Indices**.

 

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

 

**Metals**.

 

The Partnership’s metals market exposure is tofluctuations in both the price of precious and non-precious metals.

 

**Agricultural Commodities**

 

The Partnership’s primary agricultural commoditiesexposure is to agricultural price movements which are often directly affectedby severe or unexpected weather conditions. Soybeans, grains, cotton and sugaraccounted for the substantial bulk of the Partnership’s agriculturalcommodities exposure as of December 31, 2005. However, it is anticipated thatthe Advisor will maintain an emphasis on cotton, grains and sugar, in which thePartnership has historically taken its largest positions.

 

**Energy**.

 

The Partnership’s primary energy market exposure is tonatural gas and crude oil price movements, often resulting from politicaldevelopments in the Middle East. Oil prices can be volatile and substantialprofits and losses have been and are expected to continue to be experienced inthis market.

 

**Qualitative Disclosures Regarding Non-Trading RiskExposure**

 

The following were the only non-trading risk exposuresof the Partnership as of December 31, 2005.

 

**Foreign Currency Balances.**

 

The Partnership’s primary foreign currency balancesare in Japanese yen, British pounds and Euros.

 

**U.S. Dollar Cash Balance**.

 

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

 

**QualitativeDisclosures Regarding Means of Managing Risk Exposure**

** **

#### **Trading Risk**

#### ** **

MLAI has procedures in place intended to controlmarket risk, although there can be no assurance that they will, in fact,succeed in doing so. These procedures focus primarily on monitoring the tradingof the Advisor, calculating the Net Asset Value of the Partnership accountmanaged by the Advisor as of the close of business on each day and reviewingoutstanding positions for over-concentrations. While MLAI does not itselfintervene in the markets to hedge or diversify the Partnership’s marketexposure, MLAI may urge the Advisor to reallocate positions in an attempt toavoid over-concentrations. However, such interventions are unusual. Sunriseapplies its own risk management policies to its trading.

 

 Sunrise Risk Management

 

Sunrise attempts to control risk through theutilization of proprietary risk management techniques, which are applied at allstages of the trading process. These techniques are designed to control allaspects of portfolio, market, and execution risk, with the stated goal ofmaintaining Sunrise’s historical rates of returns without increased volatility.

 

The basis for Sunrise’s risk management system is itsscientific approach and historical research. This process attempts to measurethe correlation and performance characteristics associated with variousweightings assigned to different markets and sectors. Sunrise allocates equityrisk to each market and market sector in an effort to minimize the possibilitythat any one market or sector has a disproportionate influence on theportfolio. Overall, portfolio exposure, drawdown and recovery periods arecarefully studied.

 

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Sunrise uses filters that attempt to avoid takingtrades with poor risk/reward characteristics. In addition, once a trade istaken, an array of exit strategies are employed that attempt to protect openprofits while exiting positions that fail to trend in the expected direction.Initial money stops are strictly followed and factors that would make it difficultto 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 whentrading in non-U.S. markets, custodian risk, and counterparty risk when tradingin the over-the counter markets are taken into account and play an importantpart of Sunrise’s overall risk management process. Sunrise uses onlycounterparties and brokers to execute trades that it and the market generallyperceive as creditworthy. The majority of trades are done with institutionswith which Sunrise has long-term relationships.

 

## Non-Trading Risk

 

The Partnership controls the non-trading exchange raterisk by regularly converting foreign balances back into U.S. dollars at leastonce per week, and more frequently if a particular foreign currency balancebecomes unusually high.

 

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

 

**Item 8: Financial Statementsand Supplementary Data**

 

**SelectedQuarterly Financial Data**

**ML Select Futures I L.P.**

 

Net Income by Quarter

Eight Quarters through December 31, 2005

 
| **Totals**                  | ** ** | **Fourth  Quarter  2005** | ** ** | **Third  Quarter  2005** | ** ** | **Second  Quarter  2005** | ** ** | **First  Quarter  2005** | ** **  | **Fourth  Quarter  2004** | ** ** | **Third  Quarter  2004** | ** ** | **Second  Quarter  2004** | ** ** | **First  Quarter  2004** | ** ** |
|-----------------------------|------------|---------------------------|------------|--------------------------|------------|---------------------------|------------|--------------------------|-------------|---------------------------|------------|--------------------------|------------|---------------------------|------------|--------------------------|------------|
|                        |       |                      |       |                     |       |                      |       |                     |        |                      |       |                     |       |                      |       |                     |       |
| Total Income  (Loss)        |       | $                         | 36,773,681 |                     | $          | (1,332,056                | )          | $                        | (5,567,342  | )                         | $          | (35,336,221              | )          | $                         | 62,135,681 |                     | $          | (23,995,794 | ) | $ | (40,883,596 | ) | $ | 47,805,496 |   |
| Total Expenses              |       | 6,220,773                 |       | 6,824,170                |       | 7,549,663                 |       | 7,938,964                |        | 13,260,915                |       | 7,828,430                |       | (3,616,961                | )          | 15,051,859               |       |
| Net Income (Loss)           |       | $                         | 30,552,908 |                     | $          | (8,156,226                | )          | $                        | (13,117,005 | )                         | $          | (43,275,185              | )          | $                         | 48,874,766 |                     | $          | (31,824,224 | ) | $ | (37,266,635 | ) | 32,753,637 |   |
|                        |       |                      |       |                     |       |                      |       |                     |        |                      |       |                     |       |                      |       |                     |       |
| Net Income (Loss)  per Unit |       | $                         | 15.66      |                     | $          | (3.61                     | )          | $                        | (5.38       | )                         | $          | (17.34                   | )          | $                         | 19.45      |                     | $          | (12.96 | ) | $ | (19.80 | ) | $ | 23.88 |   |

 

The financial statements required by this Item areincluded in Exhibit 13.01.

 

The supplementary financial information (“informationabout oil and gas producing activities”) specified by Item 302(b) of RegulationS-K is not applicable.

 

**Item 9: Changes in andDisagreements with Accountants on Accounting and Financial Disclosure**

 

There were no changes in or disagreements with the independentregistered public accounting firm on accounting and financial disclosure.

 

**Item 9A: Controls andProcedures**

 

Merrill Lynch Alternative Investments LLC, the GeneralPartner of ML Select Futures I L.P., with the participation of the GeneralPartner’s Chief Executive Officer and the Chief Financial Officer, hasevaluated the

 

24

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effectiveness of the design and operation of its disclosure controlsand procedures with respect to the Partnership as of the end of the periodcovered by this annual report, and, based on their evaluation, have concludedthat these disclosure controls and procedures are effective. Additionally,there were no significant changes in the Partnership’s internal controls or inother factors that could significantly affect these controls subsequent to thedate of their evaluation, including any corrective actions with regard tosignificant deficiencies and material weaknesses.

 

**Item 9B:  OtherInformation**

 

Not Applicable.

 

**PART III**

 

**Item 10: Directors andExecutive Officers of the Registrant**

 

10(a) and 10(b)     Identification of Directors andExecutive Officers:

 

As a limited partnership, the Partnership itself hasno officers or directors and is managed by MLAI. Trading decisions are made bySunrise on behalf of the Partnership.

 

The managers and executive officers of MLAI and theirrespective 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 andglobal head of Retail Sales and Business Management for AlternativeInvestments. Prior to re-joining Merrill Lynch and the International PrivateClient Group in 1999, he was a partner in the Nashville, Tennessee based firmof J.C. Bradford & Co. where he was the Director of Marketing, and aNational Sales Manager for Prudential Investments. Mr. Alderman first joinedMerrill Lynch in 1987 where he worked until 1997. During his tenure at MerrillLynch, Mr. Alderman has held positions in Financial Planning, Asset Managementand High Net Worth Services. He received his Master’s of BusinessAdministration from the Carroll School of Management Boston College and aBachelor of Arts from Clark University.

 

Steven B. Olgin was born in 1960. Mr. Olgin is VicePresident, Chief Operating Officer and a Manager of MLAI. He joined MLAI inJuly 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 inBusiness Administration and a Bachelor of Arts in Economics. In 1986, hereceived his Juris Doctor from the John Marshall Law School. Mr. Olgin is amember of the Managed Funds Association’s Government Relations Committee andhas served as an arbitrator for the National Futures Association. Mr. Olgin isa member of the Illinois Bar.

 

Michael L. Pungello was born in 1957. Mr. Pungello isa Vice President, Chief Financial Officer and Treasurer of MLAI. He was FirstVice 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 apartner in their financial services practice from June 1990 to December 1997.He graduated from Fordham University in 1979 with a Bachelor of Science inAccounting and received his Master’s of Business Administration in Finance fromNew York University in 1987.

 

Jeffrey F. Chandor wasborn 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 aSenior Vice President,

 

25

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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 Managerof International Institutional Equities, Equity Derivatives and Mortgage-BackedSecurities as well as Managing Director of International Sales in the UnitedStates, and Managing Director of Sales in Europe. Mr. Chandor holds a Bachelorof Arts degree from Trinity College, Hartford, Connecticut.

 

As of December 31, 2005,the principals of MLAI had no investment in the Partnership, and MLAI’s generalpartner interest in the Partnership was valued at $5,928,997.

 

MLAI acts as the sponsor,general partner or manager to ten public futures funds whose units of limitedpartner or member interests are registered under the Securities Exchange Act of1934: John W. Henry & Co./Millburn L.P., ML JWH Strategic Allocation  L.P., ML Global Horizons I L.P., ML PrincipalProtection L.P., ML Futures Investments L.P., ML Appleton FuturesAccess LLC, MLAspect FuturesAccess LLC, ML Cornerstone FuturesAccess LLC, ML WintonFuturesAccess LLC and the Partnership. Because MLAI serves as the sponsor,general partner or manager of each of these funds, the officers and managers ofMLAI effectively manage them as officers and directors of such funds.

 

(c)                                Identificationof Certain Significant Employees:

 

None.

 

(d)                               FamilyRelationships:

 

None.

 

(e)                                BusinessExperience:

 

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

 

(f)                                  Involvementin Certain Legal Proceedings:

 

None.

 

(g)                               Promotersand Control Persons:

 

Not applicable.

 

(h)                               AuditCommittee Financial Expert:

 

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

 

Section 16(a) BeneficialOwnership Reporting Compliance:

 

Not applicable.

 

Section 16(a) BeneficialOwnership Reporting Compliance:

 

Not applicable.

 

Code of Ethics:

 

The Partnership has adopted a code of ethics, as ofthe end of the period covered by this report, which applies to the Partnership’s(MLAI’s) principal executive officer and principal financial officer or personsperforming similar functions on behalf of the Partnership. A copy of the codeof ethics is available to any person, without charge, upon request by calling1-877-465-8435.

 

26

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**Item 11: ExecutiveCompensation**

 

The managers and officersof MLAI are remunerated by MLAI in their respective positions. The Partnershipdoes not itself have any officers, managers or employees. The Partnership paysBrokerage Commissions to an affiliate of MLAI and Administrative Fees to MLAI. MLAIor its affiliates may also receive certain economic benefits from possession ofthe Partnership’s U.S. dollar assets. The managers and officers receive no “othercompensation” from the Partnership, and the managers receive no compensationfor serving as managers of MLAI. There are no compensation plans orarrangements relating to a change in control of either the Partnership or MLAI.

 

**Item 12: Security Ownership ofCertain Beneficial Owners and Management and Related Stockholder Matters**

 

(a)                                SecurityOwnership of Certain Beneficial Owners:

 

Not applicable (The Units are non-voting limitedpartnership interests. The Partnership is managed   by MLAI, its general partner).

 

(b)                               SecurityOwnership of Management:

 

As of December 31, 2005, MLAI owned 26,449Unit-equivalent general partnership interests, which constituted 1.49% of thetotal Units outstanding, the principals of MLAI did not own any Units, and theAdvisor did not own any Units.

 

(c)                                Changesin Control:

 

None.

 

(d)                               SecuritiesAuthorized for Issuance Under Equity Compensation Plans:

 

Not applicable.

 

**Item 13: Certain Relationshipsand Related Transactions**

 

(a)                                Transactionsbetween Merrill Lynch and the Partnership

 

All of the serviceproviders to the Partnership, other than Sunrise, are affiliates of MerrillLynch. Merrill Lynch negotiated with Sunrise over the level of its advisoryfees and Profit Shares. However, none of the fees paid by the Partnership toany Merrill Lynch party were negotiated, and they are higher than would havebeen obtained in arms-length bargaining.

 

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

 

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

 

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

 

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

 

27

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(b)                               CertainBusiness Relationships:

 

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

 

In 2005, the Partnership expensed:  (i) Brokerage Commissions of $27,053,850 toMLPF&S, which included $5,052,149 in consulting fees earned by Sunrise; and(ii) Administrative Fees of $1,479,720 to MLAI. In addition, MLAI and itsaffiliates may have derived certain economic benefits from possession of aportion of the Partnership’s assets, as well as from foreign exchange and EFPtrading.

 

See Item 1(c), “Narrative Description of Business —Charges” and “— Description of Current Charges” for a discussion of otherbusiness dealings between MLAI affiliates and the Partnership.

 

(c)                                Indebtednessof Management:

 

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

 

**Item 14: Principal AccountantFee and Services**

 

(a)                                  AuditFees

 

Aggregate fees billed forprofessional services rendered by Deloitte & Touche LLP in connection withthe audit of the Partnership’s financial statements as of and for the yearended December 31, 2005 were $38,500.

 

Aggregate fees billed forthese services for the year ended December 31, 2004 were $36,650.

 

(b)                                 Audit-RelatedFees

 

There were no otheraudit-related fees billed for the years ended December 31, 2005 or 2004 relatedto the Partnership.

 

(c)                                  TaxFees

 

Aggregate fees billed for professional servicesrendered by Deloitte Tax LLP in connection with the tax compliance, advice andpreparation of the Partnerships tax returns for the year ended December 31, 2005were $72,000.

 

Aggregate fees billed for these services for the yearended December 31, 2004 were $34,000.

 

(d)                                 AllOther Fees

 

No fees were billed to Deloitte & Touche LLP norDeloitte Tax LLP during the years ended December 31, 2005 or 2004 for any otherprofessional services in relation to the Partnership.

 

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

 

28

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#### **PART IV**

#### ** **

**Item 15: Exhibits and FinancialStatement Schedules**

 
| 1.     | Financial Statements (found in Exhibit 13.01):                                                                                                                                                                                                   | Page   |
|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|
|   |                                                                                                                                                                                                                                             |   |
|   | Report of Independent Registered Public Accounting  Firm                                                                                                                                                                                         | 1      |
|   |                                                                                                                                                                                                                                             |   |
|   | Statements of Financial Condition as of December 31,  2005 and 2004                                                                                                                                                                              | 2      |
|   |                                                                                                                                                                                                                                             |   |
|   | For the years ended December 31, 2005, 2004 and  2003:                                                                                                                                                                                           |   |
|   | Statements of  Operations                                                                                                                                                                                                                        | 3      |
|   | Statements of  Changes in Partners’ Capital                                                                                                                                                                                                 | 4      |
|   |                                                                                                                                                                                                                                             |   |
|   | Financial Data Highlights for the year ended  December 31, 2005                                                                                                                                                                                  | 5      |
|   |                                                                                                                                                                                                                                             |   |
|   | Notes to Financial Statements                                                                                                                                                                                                                    | 6-12   |
|   |                                                                                                                                                                                                                                             |   |
| 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:                                                                                                                                  |   |

 
| **Designation** | ** ** | **Description**                                                                                                                                                                                                                                                           |
|-----------------|------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|            |       |                                                                                                                                                                                                                                                                      |
| 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.                                                                                                                                                                               |

 

29

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| 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           |   | 2005 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.                                                                                                                                                                                          |

 

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**SIGNATURES**

 

Pursuant to the requirements of Section 13 or 15(d) ofthe Securities Exchange Act of 1934, the Registrant has duly caused this reportto 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) ofthe Securities Exchange Act of 1934, this report has been signed on March 31,2006 by the following persons on behalf of the Registrant and in the capacitiesindicated.

 
| **Signature**          | ** ** | **Title**                                    | ** **                                             | **Date** |
|------------------------|------------|----------------------------------------------|--------------------------------------------------------|----------|
|                   |       |                                         |                                                   |     |
| /s/Robert M. Alderman  |       |                                         | Chief Executive Officer, President and Manager         |     | March 31, 2006 |
| Robert M. Alderman     |       | (Principal Executive Officer)                |                                                   |     |
|                   |       |                                         |                                                   |     |
| /s/Steven B. Olgin     |       |                                         | Vice President, Chief Operating Officer and Manager    |     | March 31, 2006 |
| Steven B. Olgin        |       |                                         |                                                   |     |
|                   |       |                                         |                                                   |     |
| /s/Michael L. Pungello |       |                                         | Vice President, Chief Financial Officer and  Treasurer |     | March 31, 2006 |
| Michael L. Pungello    |       | (Principal Financial and Accounting Officer) |                                                   |     |
|                   |       |                                         |                                                   |     |
| /s/Jeffrey F. Chandor  |       |                                         | Manager                                                |     | March 31, 2006 |
| Jeffrey F. Chandor     |       |                                         |                                                   |     |
|                        |            |                                              |                                                        |          |  |  |  |  |

 

(Being the principal executive officer, the principal financial andaccounting officer and a majority of the managers of Merrill Lynch AlternativeInvestments LLC)

 
| **MERRILL LYNCH ALTERNATIVE INVESTMENTS LLC**  |                  |
|------------------------------------------------|-----------------------|
| General Partner of Registrant                  | March 31, 2006        |
|                                           |                  |
|                                           |                  |
| By:                                            | /s/Robert M. Alderman |   |   |
| Robert M. Alderman                             |                  |
| Chief Executive Officer, President and Manager |                  |
| (Principal Executive Officer)                  |                  |
|                                                |                       |  |  |

 

31

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**ML SELECT FUTURES LIMITEDPARTNERSHIP**

 

2005 FORM 10-K

 

INDEX TO EXHIBITS

 
| ** **    | ** ** | **Exhibit**                                                                     |
|---------------|------------|---------------------------------------------------------------------------------|
|          |       |                                                                            |
| Exhibit 13.01 |       | 2005 Annual Report and  Report of Independent Registered Public Accounting Firm |

 

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