<PAGE>   1
                       SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D.C. 20549
                                    FORM 10-K


                 ANNUAL REPORT PURSUANT TO SECTION 13 or 15 (d)
                     OF THE SECURITIES EXCHANGE ACT OF 1934

                   For the fiscal year ended December 31, 1998

                         Commission file number 33-49716

                        Jefferson Futures Reserve I, L.P.
             (Exact name of registrant as specified in its charter)

           Delaware                                              36-3782502
(State or other jurisdiction of                               (I.R.S. Employer
 incorporation or organization)                              Identification No.)

            161 Maiden Lane                                      010006-2778
              4th Floor                                           (Zip code)
            New York, N.Y.
(Address of principal executive offices)

Registrant's telephone number, including area code:(212)843-2000.

Securities registered pursuant to Section 12(b) of the Act:  None
Securities registered pursuant to Section 12 (g) of the Act:
Units of Limited Partnership Interest

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

         Registrant is a limited partnership and thus has no voting stock held
by non-affiliates or otherwise.

                       DOCUMENTS INCORPORATED BY REFERENCE

         (1) A portion of the Prospectus dated October 27, 1992, included within
the registration Statement on Form S-1 (File No. 33-49716) effective October 27,
1992 incorporated by reference into Parts I, II, III, and IV.

         (2) A portion of the Partnership's Annual Report to Limited Partners
for the fiscal year ended December 31, 1998 (the "1998 Annual Report to Limited
Partners") are incorporated by reference into Part II and Part IV.


                                     PART I

Item 1.   Business
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(a) Jefferson Futures Reserve I, L.P. (the "Fund", the "Partnership", the
"Registrant) a limited partnership that was organized on August 14, 1991,
commenced trading on May 5, 1993. The business of the Fund is the speculative
trading of commodity interests. The General Partner for the Fund is Advanced
Futures Strategies, Inc. (the "General Partner"). Lamborn Securities, Inc.
("Lamborn") will act as the selling agent for the Fund. There were no changes
made during 1998 that affected asset allocation to the Trading Advisors. The
assets allocated to one of the Funds Trading Advisors, Willowbridge Associates,
Inc. are now being traded pursuant to their "Argo Trading System". The commodity
broker for the Fund is Fimat Futures U.S.A., Inc. (The "Broker").

         The Fund will terminate on December 31, 2011, or upon any occurrence
that would require dissolution as specified in the Funds prospectus.

         The Fund will pay a flat fixed-rate commission fee of .75 of 1% (9%
annually) of the Partnerships Net Assets (before deducting for management and
incentive fees) to the Broker as of the end of each month. The Broker will then
pay all executions costs connected with the clearing the Partnerships account,
including all NFA, exchange, floor brokerage, give-up, clearing, and other fees.
The Broker may then remit to the Selling Agent a potion of such brokerage fee.

         The Fund incurs ongoing legal, accounting, administrative, and other
miscellaneous costs.

         The Fund has no Employees.

         The fund does not engage in operations in any foreign countries other
than trading on foreign exchanges.

         Trendlogic Associates,Inc. and Willowbridge Associates, Inc.'s
management agreements remain in place from the previous year, with the exception
of the change noted above. Pursuant to the terms of such agreement, the Fund,
via the General Partner, pays the Advisors a monthly management fee on all Net
Allocated Assets (as defined in the Fund's Prospectus), in the respective
Advisor's trading account ranging from 0 - 2.5% annually. The Fund pays the
Advisors a quarterly incentive fee ranging from 10 - 17.5% of Trading Profits
(as defined in the Prospectus), if any, achieved on the Net Allocated Assets in
the respective Advisor's account as of such fiscal quarter. Trading Profits
(Loss), as defined, are equal to the net of gains and losses realized during
such fiscal quarter from transactions initiated by the Advisors, plus or minus
the net change during such fiscal quarter in unrealized gains or losses from
transactions initiated by such advisor, less the allocated portion of fixed
brokerage commission fees paid or accrued), minus any accumulated Trading Loss
relating to periods prior to such fiscal quarter (adjusted as provided below for
redemptions and distributions allocated to the Advisors during such fiscal
quarter) incurred by the Advisor
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since the quarter end as of which an incentive fee was previously paid to the
Advisor or, if no incentive fee has ever been paid to the Advisor, from the
inception of trading. The Cumulative Trading Loss (CTL), if any, shall be
reduced as of each month-end in which distributions, redemptions, or
reallocations from the Advisor are deemed to have occurred. For purposes hereof,
redemptions are deemed to have occurred on the applicable Redemption Date (as
defined in the Limited Partnership Agreement) and distributions and redemptions
are deemed to have occurred as of the month-end in which such distributions were
payable or such reallocations were effected. The Fund's final prospectus dated
October 27, 1992 contains a more detailed description of the fee calculations.

         The Trading Advisors and the General Partner are required to be
registered under regulations of the CFTC and the NFA, a commodity industry
self-regulatory organization. The Commodity Broker is required to be registered
with the CFTC and the NFA as a Future Commission Merchant and is subject to
certain financial and other requirements in order to maintain its registration.


Item 2.  Properties.

         The Fund does not own or lease any real property. The General Partner
uses its offices to perform administrative services for the Fund at no cost to
the Fund.

Item 3.  Legal Proceedings.

         The General Partner is not aware of any pending legal proceedings to
which the Fund or the General Partner is a party or to which any of its assets
are subject.

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

         No matters were submitted during the fiscal year ended December 31,
1998 to a vote of security holders through the solicitation of proxies or
otherwise.


                                     PART II

Item 5.  Market for the Registrant's Common Equity and Related Stockholders 
         Matters.

         There is no established public trading market for the Units, nor will
one develop. Units may be transferred or redeemed subject to the condition
imposed by the Agreement of Limited Partnership. As of December 31, 1998 a total
of 712 Units were outstanding and held by approximately 80 Unit Holders
including 26.0 Units of General Partner interest.
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         The General Partner, pursuant to the Limited Partnership Agreement, has
the sole discretion in determining what distributions, if any, the Partnership
will make to its Unit Holders. The General Partner has not made any
distributions as of December 31, 1998.

Item 6.  Selected Financial Data.

         The following is a summary of operations and total assets of the
Partnership for the years ended December 31, 1998, December 31, 1997, December
31, 1996, December 31, 1995, and December 31, 1994.




                 See Following Page For Selected Financial Data.
<PAGE>   5
Item 7.  Management's Discussion  and  Analysis of Financial Condition and 
         Results of Operations.

Liquidity

         The Partnership's assets are on deposit in separate commodity interest
trading accounts with the Broker and are used by the Partnership as margin to
engage in commodity futures, forward contracts and other commodity interest
trading. The Broker holds such assets in either non-interest bearing bank
accounts or in securities approved by the CFTC for investment of customer funds.
The Partnership's assets held by the Broker may be used as margin solely for the
Partnership's trading. Since the Partnership's sole purpose is to trade in
commodity futures contracts and other commodity interests, it is expected that
the Partnership will continue to own such liquid assets for margin purposes.

         The Partnership's investment in commodity futures contracts, forward
contracts and other commodity interests may be illiquid. If the price for a
futures contract for a particular commodity has increased or decreased by an
amount equal to the "daily limit", positions in the commodity can neither be
taken nor liquidated unless traders are willing to effect trades at or within
the limit. Commodity futures prices have occasionally moved the daily limit for
several consecutive days with little or no trading. Such market conditions could
prevent the Partnership from promptly liquidating its commodity futures
positions.

         There is no limitation on daily price moves in trading forward
contracts on foreign currencies. The markets for some world currencies have low
trading volume and are illiquid, which may prevent the Partnership from trading
in potentially profitable markets or prevent the Partnership from promptly
liquidating unfavorable positions in such markets and subjecting it to
substantial losses.

         Either of these market conditions could result in restrictions on
redemptions.



Capital Resources

         The purpose of the Fund is to trade commodity interests; as such, the
Fund does not have, nor does it expect to have, any capital assets and has no
material commitments for capital expenditures. The Fund's use of assets is
solely to provide necessary margin or premiums for, and to pay for any losses
incurred in connection with its trading activities.
<PAGE>   6
Results of Operations

         Total assets of the partnership as of December 31, 1998 were $697,219,
at December 31,1997 were $783,601, at December 31, 1996 were $1,116,477, at
December 31, 1995 were $1,652,303, and at December 31, 1994 they were
$1,715,818. The Fund permits units to be redeemed after the first six months of
operation of the Fund, with a redemption charge of 4% for any withdrawals from
6-9 months. The other redemption fees will be 3%, 2%, 1%, and 0%, for
redemptions occurring 10-12 months, 13-15 months, 16-18 months, and after 18
months, respectively. During the year ended December 31, 1994 total redemptions
were $236,626, during 1995 redemptions totaled $294,488, during 1996 redemptions
totaled $431,970, during 1997 redemptions totaled $227,241, and during 1998
redemptions totaled $85,385.

         As of December 31, 1998, the Net Asset Value per Unit was $925, a gain
of 5.54%. As of December 31, 1997, the Net Asset Value per Unit was $876, a loss
of 14.38% from the prior year. At December 31, 1996, the Net Asset Value per
Unit was approximately $1,023, a loss of 3.2% over the prior years N.A.V. As of
December 31, 1995, the Net Asset Value per Unit was approximately $1,057, a gain
of 13.2% over the prior years N.A.V. At December 31, 1994, the Net Asset Value
per Unit was approximately $934, which reflects a net gain of 2.3% for the year
ended December 31, 1994.

         In 1998, the partnership had a net gain of $31,519, with the Advisors
having a combined trading gain of $99,515. In 1997, the partnership had a net
loss of $114,690, with the Advisors having a combined trading loss of $25,762.
In 1996, the partnership had a net loss of $56,511, with the Advisors having a
combined trading gain of $14,041 for the same period. In 1995, the partnership
had a net gain of $209,921, with the Advisors having a combined trading gain of
$371,711 for the same period. The partnership had a net gain for the year ended
December 31, 1994 of $30,498. For the same period, the Advisors had a combined
trading gain of $142,627.


Item 8.  Financial Statements and Supplementary Data.

         The information required by this item is attached hereto.



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

         None


                                    PART III
<PAGE>   7
Item 10. Directors and Executive Officers of the Registrant.

         The Fund has no directors or executive officers, as it is managed by
the General Partner. There are no "significant employees" of the fund.

         The Funds General Partner is Advanced Futures Strategies, Inc., a
Delaware corporation incorporated on August 1, 1991. The General Partner has
been registered with the CFTC as a Commodity Pool Operator and Commodity Trading
Advisor since October 29, 1991, and is also an NFA member.

         In July 1994, Mr George D.F. Lamborn acquired all the shares
of the General Partner that he did not previously own.  Mr.
Lamborn has been a majority shareholder of the General Partner
since inception.  There were no material changes in the General
Partner's management or activities.

         The only principals of the General Partner are as follows:

         George D.F. Lamborn is the President and sole principal shareholder of
the General Partner. Since December 1990, Mr. Lamborn has also served as the
President, Director and sole shareholder of Lamborn Asset Management Inc.,
("LAMI") and introducing broker guaranteed by the Broker and the parent company
of Lamborn Securities Inc. ("LSI"), the Selling Agent and an introducing broker
guaranteed by the Broker, and of Lamborn Commodity Pool Management, Inc., a
Commodity Pool Operator. Mr. Lamborn has also served in various industry
positions, including serving as President of the Futures Industry Association,
as a co-founder and Director of NFA, on several CFTC and Exchange Advisory
Committees, as well as serving as Chairman for the Coffee, Sugar & Cocoa
Exchange and the CSC Clearing Corporation. From August 1989 through December
1990, He was Chairman for Balfour Maclaine Futures, Inc., a futures commission
merchant. From 1985 through August, 1989, he served as a Senior Vice President
and Manager of the Futures Division at Thompson McKinnon Securities, Inc. From
1983 to 1985, he was the Chairman of Donaldson, Lufkin & Jenrette Futures, Inc.
From 1981 to 1983, he was Co-Chairman of Refco International. He previously held
the positions of Senior Managing Director at Shearson American Express and
President of Donaldson, Lufkin & Jenrette Futures. Mr. Lamborn attended Brown
University.

         Phillip L. Fondren, is the Vice-President and Secretary of the General
Partner. In 1975 he joined Shearson Hayden Stone and managed its Metals
Department until 1983. It was under his guidance that it developed its bullion
trading business and became an international bullion dealer. In 1983 he became
Executive Vice President of Commodity Services of Shearson Lehman Brothers. In
1987 Mr. Fondren joined Thompson McKinnon Securities, Inc. and developed its
foreign exchange, metals, and energy business. In 1989 he joined the Balfour
Maclaine Corporation to establish its foreign exchange and bullion business. He
was also responsible for managing its Portfolio 
<PAGE>   8
Management business. From December 1990 to December 1991, he was the President
of Balfours' futures brokerage company. In February, 1992, Mr. Fondren started
his own firm, Altra Management Services, Inc., a consulting business which
provides services in the foreign exchange and managed futures industries.


Item 11. Executive Compensation.

         The Fund has no officers or directors.  the General Partner
or the Broker performs the services for the Fund as described in
the Prospectus.

         The General Partner may receive an incentive fee from the Fund in the
amount of the difference between 20% of the Net Increase in Net Asset Value and
the actual incentive fees accrued and paid to the Advisors for trading gains
which are calculated on their allocated portion of the Fund assets.


Item 12. Security Ownership of Certain Beneficial Owners and Management.

         The Partnership has no directors or officers: the Limited Partnership
Agreement delegates all management of the Partnership's affairs to the General
Partner. The registrant does not know of any arrangement the operation of which
may at a subsequent date result in a change in control of the registrant. As of
December 31, 1998, the General Partner owned 26 units of General Partner
Interest valued at $24,039. As of December 31, 1998, the following persons were
known to the registrant to be beneficial owners of more than 5% of the Units

<TABLE>
<CAPTION>
Title of   Name and Address      Amount and Nature        Percent of
Class      Of Beneficial Owner   of Beneficial Ownership  Class
--------   -------------------   -----------------------  ----------
<S>        <C>                   <C>                      <C>
Limited    Dr. Arthur S. Carson  $ 187,690                28.50%
Partner-   3225 169th Street
ship       Flushing, NY 11358
Unit
</TABLE>


Item 13. Certain Relationships and Related Transactions.

Except as described in the Prospectus and Items 11 and 12 above, there are no
relationships or related transaction which are required to be described herein
other than as described below.

         The public offering of the Units began on October 27, 1992 and
concluded as of May 4, 1993. Lamborn Securities Inc. acted as the selling agent
of the Units and received commission payments from the Broker totaling $ 77,572
as of December 1993. There were no new partnership units sold during 1998,
1997,1996, 1995 or 1994. In addition, Advanced Computer Strategies, Inc. paid
for the organizational and offering expenses of the Partnership, totaling
$615,000. ACS was partially reimbursed for 
<PAGE>   9
its payment of such expenses by the Partnership from a payment of 5% of
subscription proceeds and will receive non-trading income earned on the
Partnership's assets, and redemption penalties charged for early redemption of
Units up to a maximum of a total of 15% of the Fund's subscription proceeds.



                                     PART IV


Item 14. Exhibits, Financial Statements Schedules, and Reports
         on Form 8-K.

         (a) (1) and (2) Financial Statements and Financial Statements
         Schedules.

         The Financial Statements and Report of Independent Auditors listed in
the accompanying index are file as part of this annual report.

 (3)           Exhibits.

<TABLE>
<S>            <C>

*3.01          Limited Partnership Agreement of the Partnership

*3.02          Certificate of Limited Partnership of the Registrant

*3.03          Request for Redemption

*4.01          Specimen of Unit Certificate

*10.01         Form of Customer Agreement and Supplement to Customer Agreement between
               Registrant and Brody, White & Company, Inc.

*10.02         Form of Subscription Agreement

*10.03         Form of Escrow Agreement between Registrant and United Missouri
               Bank, n.a.

*10.04         Form of Management Agreement among Registrant, Advanced Computer 
               Strategies, Inc. and Chang-Crowell Management Corporation.

*10.05         Form of Management Agreement among Registrant, Advanced
               Computer Strategies, Inc. and G.K. Capital Management, Inc.

*10.06         Form of Management Agreement among Registrant, Advanced Computer 
               Strategies, Inc. and Oppenheimer Futures Trading Advisory 
               Services, Inc.

*10.07         Form of Management Agreement among Registrant, Advanced Computer 
               Strategies, Inc. and Intertrade, Inc.
</TABLE>
<PAGE>   10
<TABLE>
<S>            <C>
*10.08         Form of Management Agreement among Registrant, Advanced Computer
               Strategies, Inc. and Willowbridge Associates, Inc.

*10.08(a)      Form of Amendment No. 1 to the Management Agreement among Registrant,
               Advanced Computer Strategies, Inc. and Willowbridge Associates, Inc.

**10.09        Form of Management Agreement among Registrant, Advanced Computer 
               Strategies, Inc. and Witter & Lester, Inc.

***10.10       Form of Management Agreement among Registrant, Advanced Computer
               Strategies, Inc. and Silver Knight Investment Management, Ltd.

****10.11      Form of Management Agreement among Registrant, Advanced Computer
               Strategies, Inc. and Crow Trading, Inc.


****10.12      Form of Management Agreement among Registrant, Advanced Computer
               Strategies, Inc. and FX 500 Ltd.


****10.13      Form of Management Agreement among Registrant, Advanced Computer
               Strategies, Inc. and TrendLogic Associates, Inc.


**13.01        1993 Annual Report to Limited Partners.

***13.02       1994 Annual Report to Limited Partners.

****13.03      1995 Annual Report to Limited Partners

*****13.04     1996 Annual Report to Limited Partners

******13.05    1997 Annual Report to Limited Partners

13.06          1998 Annual Report to Limited Partners
</TABLE>

* Incorporated by reference from the Partnership's Registration Statement on
Form S-1 (File No. 33-49716).

** Incorporated by reference from the Partnership's 1993 Form 10K

*** Incorporated by reference from the Partnership's 1994 Form 10K

**** Incorporated by reference from the Partnership's 1995 Form 10K

***** Incorporated by reference from the Partnership's 1996 Form 10K

****** Incorporated by reference from the Partnership's 1997 Form
<PAGE>   11
10K.

The registrant has no subsidiaries.

         (b)  Reports on Form 8-K

              None
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                                   SIGNATURES



         Pursuant to the requirement of Section 13 or 15(d) of the Securities
Exchange Act of 1934, the registrant has duly caused this report to be signed on
its behalf by the undersigned, thereunto duly authorized on the 29th day of
March 1999.



                        JEFFERSON FUTURES RESERVE I, L.P.
                                  (Registrant)





                            George Lamborn, President
                       Advance Computer Strategists, Inc.
                                 General Partner





Pursuant to the requirements of the Securities Exchange Act of 1934, this report
has been signed below by the following persons on behalf of the Registrant and
in the capacities indicated on the 29th day of March 1999.






------------------------------------------
George Lamborn, President and Director
Advance Computer Strategists, Inc.
General Partner