ML SELECT FUTURES I LP - 10-K Annual Report

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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-K

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

For the fiscal year ended: December 31, 2003
or
/ / Transition Report Pursuant to Section 13
or 15(d) of the Securities Exchange Act of 1934

Commission file number: 0-50269

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

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

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

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

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

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

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

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

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

Aggregate market value of the voting and non-voting common equity held by
non-affiliates of the registrant: the registrant is a limited partnership; as of
February 1, 2004, limited partnership units with an aggregate value of
$311,258,030 were outstanding and held by non-affiliates.

DOCUMENTS INCORPORATED BY REFERENCE

The registrant's "2003 Annual Report and Independent Auditors' Report," the
annual report to security holders for the fiscal year ended December 31, 2003,
is incorporated by reference into Part II, Item 8, and Part IV hereof and filed
as an Exhibit herewith. The annual report is available free of charge by
contacting Alternative Investments Client Services at 1-800-765-0995.

ML SELECT FUTURES I L. P.

ANNUAL REPORT FOR 2003 ON FORM 10-K

TABLE OF CONTENTS

i

PART I

ITEM 1: BUSINESS

(a) GENERAL DEVELOPMENT OF BUSINESS:

ML Select Futures I L.P. (the "Partnership") was organized under
the Delaware Revised Uniform Limited Partnership Act on August 4, 1995 under the
name ML Chesapeake L.P. The Partnership began trading on April 1, 1996 and
trades in the international futures and forward markets applying proprietary
trading strategies under the direction of Sunrise Capital Partners, LLC
("Sunrise"). The Partnership's objective is to achieve, through speculative
trading, substantial capital appreciation over time.

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

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

As of December 31, 2003, the capitalization of the Partnership
was $270,488,591, and the Net Asset Value per Unit, originally $100 as of April
1, 1996, had risen to $224.63.

The highest month-end Net Asset Value per Unit since Sunrise
began trading the Partnership was $224.63 (December 31, 2003) and the lowest was
$127.01 (July 31, 1998).

(b) FINANCIAL INFORMATION ABOUT SEGMENTS:

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

(c) NARRATIVE DESCRIPTION OF BUSINESS:

GENERAL

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

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

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

SUNRISE AND ITS EXPANDED DIVERSIFIED PROGRAM

1

Sunrise currently offers five trading programs, one of which, the
Expanded Diversified Trading Program is used in managing the Partnership's
assets. In the Expanded Diversified Trading Program, Sunrise applies its
trend-following systems to a broadly-diversified portfolio of futures and
forward markets, including, but not limited to, precious and industrial metals,
grains, petroleum products, soft commodities, domestic and foreign interest rate
futures, domestic and foreign stock indices (including S&P 500, DAX and Nikkei
225), currencies and their cross rates, and minor currency markets
(collectively, "Commodity Interests"). Sunrise may trade these markets on any
U.S. or non-U.S. exchange. Sunrise may also trade options for the Partnership in
the future; in the event that it does, these options will be considered
Commodity Interests. As of December 31, 2003, Sunrise was managing approximately
$1.714 billion (excluding "notional" funds) in the futures and forward markets.

SUNRISE'S PROGRAMS ARE TECHNICAL AND TREND-FOLLOWING SYSTEMS

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

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

THE MARKETS TRADED BY SUNRISE FOR THE PARTNERSHIP

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

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

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

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

USE OF PROCEEDS AND CASH MANAGEMENT INCOME

SUBSCRIPTION PROCEEDS

2

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

MARKET SECTORS

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

MARKET TYPES

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

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

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

CUSTODY OF ASSETS.

All of the Partnership's assets are currently held in
CFTC-regulated customer accounts at MLPF&S.

AVAILABLE ASSETS

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

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

3

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

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

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

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

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

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

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

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

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

4

CHARGES

The following table summarizes the charges incurred by the
Partnership during 2003, 2002, and 2001.

-------------------------

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

Each Unit is subject to the same charges. The Partnership's
average month-end Net Assets during 2003, 2002, and 2001 equaled $180,783,609,
$68,702,933 and $34,771,639, respectively.

During 2003, 2002, and 2001, the Partnership earned $1,831,533,
$1,124,469, and $1,157,629 in interest income, or approximately 1.02%, 1.64%,
and 3.33% of the Partnership's average month-end Net Assets.

DESCRIPTION OF CURRENT CHARGES

5

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 LLC 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 LLC the
actual cost of the State of New Jersey annual filing fee
assessed at $150 per partner with a maximum of
$250,000 per year. The administrative fees cover the
Partnership's routine administrative expenses and MLAI
LLC will absorb any administrative costs incurred during
any calendar year in excess of the foregoing amount.

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

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

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

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

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

MLPF&S; Extraordinary expenses Actual costs incurred; none paid to date.
Others

REGULATION

6

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

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

(xiii) The Partnership has no employees.

(d) FINANCIAL INFORMATION ABOUT GEOGRAPHIC AREAS

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

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

ITEM 2: PROPERTIES

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

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

ITEM 3: LEGAL PROCEEDINGS

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

MLAI LLC nor the Partnership itself has never been the subject of
any material litigation.

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

None.

7

PART II

ITEM 5: MARKET FOR REGISTRANT'S COMMON EQUITY AND RELATED STOCKHOLDER MATTERS

(a) MARKET INFORMATION:

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

(b) HOLDERS:

As of December 31, 2003, there were 2,485 holders of Units,
including MLAI LLC.

(c) DIVIDENDS:

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

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

Not applicable.

Item 5(b)

Not applicable.

8

ITEM 6: SELECTED FINANCIAL DATA

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

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

- --------------------------------------------------------------------------------
MONTH-END NET ASSET VALUE PER INITIAL UNIT
- --------------------------------------------------------------------------------

Pursuant to CFTC policy, monthly performance is presented from January 1, 1999,
even though the Units were outstanding prior to such date.

9

ML SELECT FUTURES I L. P.
December 31, 2003

TYPE OF POOL: Single Advisor/Publicly-Offered/Non-"Principal Protected"(1)
INCEPTION OF TRADING: April 1996
AGGREGATE SUBSCRIPTIONS: $258,622,064
CURRENT CAPITALIZATION: $270,488,591
WORST MONTHLY DRAWDOWN(2): (9.66)% (11/01)
WORST PEAK-TO-VALLEY DRAWDOWN(3): (13.42)% (11/01-2/02)

NET ASSET VALUE PER UNIT, DECEMBER 31, 2003: $224.63

- --------------------------------------------------------------------------------
MONTHLY RATES OF RETURN (4)
- --------------------------------------------------------------------------------

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

(2) Worst Monthly Drawdown represents the largest negative
Monthly Rate of Return experienced since January 1, 1999 by the Partnership; a
drawdown is measured on the basis of month-end Net Asset Value only, and does
not reflect intra-month figures.

(3) Worst Peak-to-Valley Drawdown represents the greatest
percentage decline since January 1, 1999 from a month-end cumulative Monthly
Rate of Return without such cumulative Monthly Rate of Return being equaled or
exceeded as of a subsequent month-end. For example, if the Monthly Rate of
Return was (1)% in each of January and February, 1% in March and (2)% in April,
the Peak-to-Valley Drawdown would still be continuing at the end of April in the
amount of approximately (3)%, whereas if the Monthly Rate of Return had been
approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of
the end of February at approximately the (2)% level.

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

10

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

OPERATIONAL OVERVIEW

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

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

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

RESULTS OF OPERATIONS

GENERAL

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

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

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

PERFORMANCE SUMMARY

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

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

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

11

2003

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

Despite an unprofitable first half for the metal sector, it
proved to be the most profitable sector for the year. Gold's rise to a six-year
high in January had a positive influence on the month. This uptrend was reversed
in February and March as market actions were driven by the course of the war
with Iraq. The risks and potential impact on the global economy produced
increased volatility, as headlines about the war became a main focus. Metal
prices were stable and produced marginal profits in May. Unfortunately, May's
gains could not offset unfavorable market conditions in June. Base metals drove
most of the profits in the third quarter. The markets took direction from
economic data and changing perceptions about the economy. Higher prices during
the quarter triggered buy signals to build on the Partnership's positions. In
October, nickel was the best performer in this sector as the price moved to new
highs, while gold and silver moved in a choppy, sideways pattern. In November,
the metals sector experienced a corrective phase and started to drift lower only
to regain momentum at the end of the month after a series of economic news had
signaled that the economy is improving even faster than expected. The upward
trend in base metals accelerated in December with nickel and copper being the
most profitable.

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

Agricultural commodities trading resulted in gains for the
Partnership. Sugar prices, like commodities in general, continued their upward
trend. During January, this trend accelerated thus producing significant
profits. Soybeans also contributed to profits with prices moving sharply upward
in the first quarter. Soybeans contributed to profits in April with prices
moving sharply upward. The direction of the markets shifted in May in reaction
to weather and supply reports. The worst performers in this sector were corn and
cotton. Agricultural commodities trading

12

generated the most profits for the Partnership for the third quarter. This
sector was profitable due to long positions in soybeans, soybean meal and
cotton. The soybean complex rallied on forecasts of cold weather across the
Midwest. Tight supplies were also seen as supportive factors for the products.
China's growing demand supported a rally that emerged in September and
accelerated into October with soybean prices reaching their highest levels since
1995. November's corrective action in grain prices was large enough for our
trading system to trigger partial liquidation of long positions, causing losses
for the month. In December, grains recorded moderate losses for the month.

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

Losses were realized in interest rate trading. The continued rise
in interest rate futures prices created a favorable trading environment in
January and February. Price reversals as well as choppiness and volatility in
March caused some losses and subsequently the Partnership's exposure was reduced
in the market. The interest rate sector was profitable in April and May as
market prices continued to rally to falling U.S. interest rates. In June, the
interest rate markets reversed direction when the Federal Reserve announced the
decision to lower interest rates by 25 basis points, which was less than
anticipated. The market reflected disappointment with the Federal Reserve's
action by selling debt futures. The U.S. bond market suffered heavy losses in
July after the U.S. government announced its intentions to borrow a record
amount to finance the huge deficit. The U.S. bond market managed a timid
recovery in August after making new lows in July. In September, the global
economic rebound was the primary focus of the market. The U.S. continued to
produce mixed economic data, which led some investors to question the strength
of the recovery. The G-7 summit resulted in a call for more flexible exchange
rates around the world. This announcement signaled to the world marketplace that
a weaker U.S. dollar is important to strengthen the global economy. Interest
rates moved up slightly, as the central banks worldwide continued to reiterate
that low interest rates are necessary to sustain an economic recovery.

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

2002

13

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

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

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

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

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

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

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

14

2001

The Partnership was profitable overall for the year. All sectors
except the metals sector provided gains for the Partnership.

Trading in the interest rates markets was the most profitable
sector for the Partnership. Eurodollar futures contracts rose dramatically early
in the year as the U. S. economy weakened and the Federal Reserve cut interest
rates. The announcement by the U.S. Treasury in October to cease issuing 30-year
debt, coupled with worldwide governments easing of monetary policy, benefited
long positions across the global yield curve. The global fixed income market
rally fizzled in November, returning to pre-September 11 levels.

Stock index trading was also profitable. Short positions in the
S&P 500 and German DAX indices produced gains as corporate earnings were poor
and the global economic slump was expected to worsen as a result of the
September 11 attacks. By year end, positive reports on the U.S. economy and
growing optimism for a brighter 2002 caused stock markets to rally, returning
some of the profits realized on short positions.

Gains were realized in the energy markets. Natural gas prices
pulled back in January on low inventories and stagnant production. The sector as
a whole faced downside pressure from the slowing global economy and OPEC's
decision to leave production levels unchanged. Oil prices sank, as traders
feared the September 11 attacks would cripple the airline industry. The
Partnership was positioned for this and was most profitable in this sector
during October and November. By December, OPEC and non-OPEC countries agreed to
limit production, causing a sharp reversal in the year long downward trend,
resulting in losses in short positions, returning some of the profits.

Currency trading was profitable. The Euro fell from a high near
96 cents in the first quarter back to the 90-cent level, causing losses in long
positions. The weakening of the Euro and Japanese yen displayed how the world
economy was not immune to the economic slowdown of the U.S. The Partnership
short positions in Japanese yen profited substantially from this and outweighed
losses in Euro positions.

Trading in the agricultural commodities sector was slightly
profitable. Gains were realized early in the year on short cotton positions as
the market sank to a 15-year low on poor demand and a possible planting
increase. Grain prices, particularly wheat, rose in July on concerns that hot
and dry weather would cause lower 2001 production. Gains in cotton and wheat
were mostly offset by losses in corn, sugar and soybeans.

Metals trading resulted in losses for the Partnership. Demand
restraints and a lack of momentum were the overall theme for the year. Weakness
in the Euro, a significant decline in the Australian dollar and producer and
central bank selling sent gold prices lower. Losses were incurred in both base
and precious metals with the exception of zinc and copper.

15

VARIABLES AFFECTING PERFORMANCE

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

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

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

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

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

LIQUIDITY; CAPITAL RESOURCES

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

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

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

(The Partnership has no off-balance sheet arrangements or contractual
obligations of the type described in Items 303(a)(4) and 303(a)(5) of
Regulation S-K.)

16

ITEM 7A: QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

INTRODUCTION

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

Market movements result in frequent changes in the fair market
value of the Partnership's open positions and, consequently, in its earnings and
cash flow. The Partnership's market risk is influenced by a wide variety of
factors, including the level and volatility of interest rates, exchange rates,
equity price levels, the market value of financial instruments and contracts,
the diversification effects among the Partnership's open positions and the
liquidity of the markets in which it trades.

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

Value at Risk is a measure of the maximum amount which the
Partnership could reasonably be expected to lose in a given market sector.
However, the inherent uncertainty of the Partnership's speculative trading and
the recurrence in the markets traded by the Partnership of market movements far
exceeding expectations could result in actual trading or non-trading losses far
beyond the indicated Value at Risk or the Partnership's experience to date
(i.e., "risk of ruin"). In light of the foregoing, as well as the risks and
uncertainties intrinsic to all future projections, the quantifications included
in this section should not be considered to constitute any assurance or
representation that the Partnership's losses in any market sector will be
limited to Value at Risk or by the Partnership's attempts to manage its market
risk.

Quantifying The Partnership's Trading Value At Risk

Quantitative Forward-Looking Statements

The following quantitative disclosures regarding the
Partnership's market risk exposures contain "forward-looking statement" within
the meaning of the safe harbor form civil liability provided for such statements
by the Private Securities Litigation Reform Act of 1995 (set forth in Section
27Aof the Securities Act of 1933 and Section 21E of the Securities Exchange Act
of 1934). All quantitative disclosures in this section are deemed to be
forward-looking statements for purposes of the safe harbor, except for
statements of historical fact.

The Partnership's risk exposure in the various market sectors
traded by the Advisor is quantified below in terms of Value at Risk. Due to the
Partnership's mark-to-market accounting, any loss in the fair value of the
Partnership's open positions is directly reflected in the Partnership's earnings
(realized or unrealized) and cash flow (at least in the case of exchange-traded
contracts in which profits and losses on open positions are settled daily
through variation margin).

Exchange maintenance margin requirements have been used by the
Partnership as the measure of its Value at Risk. Maintenance margin requirements
are set by exchanges to equal or exceed the maximum loss in the fair value of
any given contract incurred in 95%-99% of the one-day time periods included in
the historical sample (generally approximately one year) researched for purposes
of establishing margin levels. The maintenance margin levels are established by
dealers and exchanges using historical price studies as well as an assessment of
current market volatility (including the implied volatility of the options on a
given futures contract) and economic fundamentals to provide a probabilistic
estimate of the maximum expected near-term one-day price fluctuation.

In the case of market sensitive instruments which are not
exchange-traded (almost exclusively currencies in the case of the Partnership),
the margin requirements for the equivalent futures positions have been

17

used as Value at Risk. In those rare cases in which a futures-equivalent margin
is not available, dealers' margins have been used.

100% positive correlation in the different positions held in each
market risk category has been assumed. Consequently, the margin requirements
applicable to the open contracts have been aggregated to determine each trading
category's aggregate Value at Risk. The diversification effects resulting from
the fact that the Partnership's positions are rarely, if ever, 100% positively
correlated have not been reflected.

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

The following table indicates the average, highest and lowest
trading Value at Risk associated with the Partnership's open positions by market
category for the fiscal years. During the fiscal year 2003, the Partnership's
average capitalization was approximately $180,783,609. During the fiscal year
2002, the Partnership's average capitalization was approximately $68,702,933.

DECEMBER 31, 2003

DECEMBER 31, 2002

Material Limitations on Value at Risk as an Assessment of Market Risk

The face value of the market sector instruments held by the
Partnership is typically many times the applicable maintenance margin
requirement (maintenance margin requirements generally ranging between
approximately 1% and 10% of contract face value) as well as many times the
capitalization of the Partnership. The magnitude of the Partnership's open
positions creates a "risk of ruin" not typically found in most other investment
vehicles. Because of the size of its positions, certain market conditions --
unusual, but historically recurring from

18

time to time -- could cause the Partnership to incur severe losses over a short
period of time. The foregoing Value at Risk table -- as well as the past
performance of the Partnership -- gives no indication of this "risk of ruin."

Non-Trading Risk

Foreign Currency Balances; Cash on Deposit with MLPF&S

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

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

QUALITATIVE DISCLOSURES REGARDING PRIMARY TRADING RISK EXPOSURES

The following qualitative disclosures regarding the Partnership's market risk
exposures -- except for (i) those disclosures that are statements of historical
fact and (ii) the descriptions of how the Partnership manages its primary market
risk exposures -- constitute forward-looking statements within the meaning of
Section 27A of the Securities Act and Section 21E of the Securities Exchange
Act. The Partnership's primary market risk exposures as well as the strategies
used and to be used by MLAI LLC and Sunrise for managing such exposures are
subject to numerous uncertainties, contingencies and risks, any one of which
could cause the actual results of the Partnership's risk controls to differ
materially from the objectives of such strategies. Government interventions,
defaults and expropriations, illiquid markets, the emergence of dominant
fundamental factors, political upheavals, changes in historical price
relationships, an influx of new market participants, increased regulation and
many other factors could result in material losses as well as in material
changes to the risk exposures and the risk management strategies of the
Partnership. There can be no assurance that the Partnership's current market
exposure and/or risk management strategies will not change materially or that
any such strategies will be effective in either the short- or long-term.
Investors must be prepared to lose all or substantially all of the time value of
their investment in the Partnership.

The following were the primary trading risk exposures of the
Partnership as of December 31, 2003, by market sector.

INTEREST RATES.
Interest rate risk is the principal market exposure of the
Partnership. Interest rate movements directly affect the price of derivative
sovereign bond positions held by the Partnership and indirectly the value of its
stock index and currency positions. Interest rate movements in one country as
well as relative interest rate movements between countries materially impact the
Partnership's profitability. The Partnership's primary interest rate exposure is
to interest rate fluctuations in the United States and the other G-7 countries.
However, the Partnership also takes positions in the government debt of smaller
nations e.g., Australia. MLAI LLC anticipates that G-7 interest rates will
remain the primary market exposure of the Partnership for the foreseeable
future.

CURRENCIES.
The Partnership trades in a number of currencies. However, the
Partnership's major exposures have typically been in the U.S. dollar/Japanese
yen, U.S. dollar/Euro and U.S. dollar/Swiss franc positions. MLAI LLC does not
anticipate that the risk profile of the Partnership's currency sector will
change significantly in the future. The currency trading Value at Risk figure
includes foreign margin amounts converted into U.S. dollars with an incremental
adjustment to reflect the exchange rate risk of maintaining Value at Risk in a
functional currency other than U.S. dollars.

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

19

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

AGRICULTURAL COMMODITIES
The Partnership's primary agricultural commodities exposure is to
agricultural price movements which are often directly affected by severe or
unexpected weather conditions. Soybeans, grains, cotton and sugar accounted for
the substantial bulk of the Partnership's agricultural commodities exposure as
of December 31, 2003. However, it is anticipated that the Advisor will maintain
an emphasis on cotton, grains and sugar, in which the Partnership has
historically taken its largest positions.

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

QUALITATIVE DISCLOSURES REGARDING NON-TRADING RISK EXPOSURE

The following were the only non-trading risk exposures of the
Partnership as of December 31, 2003.

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

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

QUALITATIVE DISCLOSURES REGARDING MEANS OF MANAGING RISK EXPOSURE

TRADING RISK

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

SUNRISE RISK MANAGEMENT

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

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

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

Other risk factors such as foreign currency risk when trading in
non-U.S. markets, custodian risk, and counterparty risk when trading in the
over-the counter markets are taken into account and play an important part

20

of Sunrise's overall risk management process. Sunrise uses only counterparties
and brokers to execute trades that it and the market generally perceive as
creditworthy. The majority of trades are done with institutions with which
Sunrise has long-term relationships.

NON-TRADING RISK

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

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

ITEM 8: FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA

SELECTED QUARTERLY FINANCIAL DATA
SELECT FUTURES LP

Net Income by Quarter
Eight Quarters through December 31, 2003

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

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

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

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

ITEM 9A: CONTROLS AND PROCEDURES

Merrill Lynch Alternative Investments LLC, the General Partner of
ML Select Futures I L.P., with the participation of the General Partner's Chief
Executive Officer and the Chief Financial Officer, has evaluated the
effectiveness of the design and operation of its disclosure controls and
procedures with respect to the Partnership within 90 days of the filing date of
this annual report, and, based on their evaluation, have concluded that these
disclosure controls and procedures are effective. Additionally, there were no
significant changes in the Partnership's internal controls or in other factors
that could significantly affect these controls subsequent to the date of their
evaluation, including any corrective actions with regard to significant
deficiencies and material weaknesses.

PART III

21

ITEM 10: DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT

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

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

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

ROBERT M. ALDERMAN Chief Executive Officer, President and Manager

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

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

JEFFREY F. CHANDOR Manager

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

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

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

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

As of December 31, 2003, the principals of MLAI LLC had no
investment in the Partnership, and MLAI LLC's general partner interest in the
Partnership was valued at $2,538,287.

MLAI LLC acts as general partner to three public futures funds
whose units of limited partnership interest are registered under the Securities
Exchange Act of 1934: John W. Henry & Co./Millburn L.P., ML JWH

22

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

(c) IDENTIFICATION OF CERTAIN SIGNIFICANT EMPLOYEES:

None.

(d) FAMILY RELATIONSHIPS:

None.

(e) BUSINESS EXPERIENCE:

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

(f) INVOLVEMENT IN CERTAIN LEGAL PROCEEDINGS:

None.

(g) PROMOTERS AND CONTROL PERSONS:

Not applicable.

CODE OF ETHICS:

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

ITEM 11: EXECUTIVE COMPENSATION

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

23

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

(a) SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS:

(b) SECURITY OWNERSHIP OF MANAGEMENT:

As of December 31, 2003, MLAI LLC owned 11,300 Unit-equivalent
general partnership interests, which constituted 0.93% of the total Units
outstanding, the principals of MLAI LLC did not own any Units, and the Advisor
did not own any Units.

(c) CHANGES IN CONTROL:
None.

ITEM 13: CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS

(a) TRANSACTIONS BETWEEN MERRILL LYNCH AND THE PARTNERSHIP

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

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

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

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

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

(b) CERTAIN BUSINESS RELATIONSHIPS:

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

In 2003, the Partnership expensed: (i) Brokerage Commissions of
$10,533,803 to MLPF&S, which included $1,907,656 in consulting fees earned by
Sunrise; and (ii) Administrative Fees of $622,464 to MLAI LLC. In addition, MLAI
LLC and its affiliates may have derived certain economic benefits from
possession of a portion of the Partnership's assets, as well as from foreign
exchange and EFP trading.

24

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

(c) INDEBTEDNESS OF MANAGEMENT:

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

(d) TRANSACTIONS WITH PROMOTERS:

Not applicable.

ITEM 14: PRINCIPAL ACCOUNTANT FEE AND SERVICES

(a) AUDIT FEES

Aggregate fees billed for professional services rendered by
Deloitte & Touche LLP in connection with the audit of the Partnership's
financial statements as of and for the year ended December 31, 2003 were
$32,000.

Aggregate fees billed for these services for the year ended
December 31, 2002 were $21,527.

(b) AUDIT-RELATED FEES

There were no other audit-related fees billed for the years ended
December 31, 2003 or 2002 related to the Partnership.

(c) TAX FEES

Aggregate fees billed for professional services rendered by
Deloitte & Touche LLP in connection with the tax compliance, advice and
preparation of the Partnerships tax returns for the year ended December 31, 2003
were $28,000.

Aggregate fees billed for these services for the year ended
December 31, 2002 were $28,000.

(d) ALL OTHER FEES

No fees were billed by Deloitte & Touche LLP during the years
ended December 31, 2003 or 2002 for any other professional services in relation
to the Partnership.

Neither the Partnership nor MLAI LLC has an audit committee to
preapprove principal accountant fees and services. In lieu of an audit
committee, the managers and the principal financial officer preapprove all
billings prior to the commencement of the performance of such services.

25

PART IV

ITEM 15: EXHIBITS, FINANCIAL STATEMENT SCHEDULES AND REPORTS ON FORM 8-K

(a) 1. FINANCIAL STATEMENTS (FOUND IN EXHIBIT 13.01):

(a) 2.8(d) 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.

(a) 3. EXHIBITS:

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

26

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 2003 Annual Report and Independent Auditors' Report.

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.

(b) REPORT ON FORM 8-K:

No reports on Form 8-K were filed during the fourth quarter of
2003.

27

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities
Exchange Act of 1934, the Registrant has duly caused this report to be signed on
its behalf by the undersigned, thereunto duly authorized.

ML SELECT FUTURES I L.P.

By: MERRILL LYNCH ALTERNATIVE INVESTMENTS LLC
General Partner

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

Pursuant to the requirements of Section 13 or 15(d) of the Securities
Exchange Act of 1934, this report has been signed on March 30, 2004 by the
following persons on behalf of the Registrant and in the capacities indicated.

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

MERRILL LYNCH ALTERNATIVE INVESTMENTS LLC
General Partner of Registrant March 30, 2004

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

28

ML SELECT FUTURES LIMITED PARTNERSHIP

2003 FORM 10-K

INDEX TO EXHIBITS

29

EXHIBIT 31.01

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

I, Robert M. Alderman, certify that:

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

2. Based on my knowledge, this report does not contain any untrue statement of a
material fact or omit to state a material fact necessary to make the statements
made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial
information included in this report, fairly present in all material
respects the financial condition, results of operations and cash flows of the
registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have:

a) Designed such disclosure controls and procedures, or caused such
disclosure controls and procedures to be designed under our supervision, to
ensure that material information relating to the registrant, including its
consolidated subsidiaries, is made known to us by others within those
entities, particularly during the period in which this report is being
prepared;

b) Evaluated the effectiveness of the registrant's disclosure controls and
procedures and presented in this report our conclusions about the
effectiveness of the disclosure controls and procedures, as of the end of
the period covered by this report based on such evaluation;

c) Disclosed in this report any change in the registrant's internal control
over financial reporting that occurred during the registrant's most recent
fiscal quarter (the registrant's fourth fiscal quarter in the case of an
annual report) that has materially affected, or is reasonably likely to
materially affect, the registrant's internal control over financial
reporting; and

5. The registrant's other certifying officer and I have disclosed, based on our
most recent evaluation of internal control over financial reporting, to the
registrant's auditors and the audit committee of registrant's board of directors
(or persons performing the equivalent functions):

a) All significant deficiencies and material weaknesses in the design or
operation of internal control over financial reporting which are reasonably
likely to adversely affect the registrant's ability to record, process,
summarize and report financial information; and

b) Any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant's internal control
over financial reporting.

Date: March 30, 2004

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

30

EXHIBIT 31.02

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

I, Michael L. Pungello, certify that:

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

2. Based on my knowledge, this report does not contain any untrue statement of a
material fact or omit to state a material fact necessary to make the statements
made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial
information included in this report, fairly present in all material respects the
financial condition, results of operations and cash flows of the registrant as
of, and for, the periods presented in this report;

4. The registrant's other certifying officer and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have:

a) Designed such disclosure controls and procedures, or caused such
disclosure controls and procedures to be designed under our supervision, to
ensure that material information relating to the registrant, including its
consolidated subsidiaries, is made known to us by others within those
entities, particularly during the period in which this report is being
prepared;

b) Evaluated the effectiveness of the registrant's disclosure controls and
procedures and presented in this report our conclusions about the
effectiveness of the disclosure controls and procedures, as of the end of
the period covered by this report based on such evaluation;

c) Disclosed in this report any change in the registrant's internal control
over financial reporting that occurred during the registrant's most recent
fiscal quarter (the registrant's fourth fiscal quarter in the case of an
annual report) that has materially affected, or is reasonably likely to
materially affect, the registrant's internal control over financial
reporting; and

5. The registrant's other certifying officer and I have disclosed, based on our
most recent evaluation, of internal control over financial reporting to the
registrant's auditors and the audit committee of registrant's board of directors
(or persons performing the equivalent functions):

a) All significant deficiencies and material weaknesses in the design or
operation of internal control over financial reporting which are reasonably
likely to adversely affect the registrant's ability to record, process,
summarize and report financial information; and

b) Any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant's internal control
over financial reporting.

Date: March 30, 2004

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

31

EXHIBIT 32.01

SECTION 1350 CERTIFICATION

In connection with this annual report of ML Select Futures I L. P. on Form 10-K
for the period ended December 31, 2003 as filed with the Securities Exchange
Commission on the date hereof, I, Robert M. Alderman, certify, pursuant to 18
U.S.C. Section 1350, as adopted pursuant of the Sarbanes-Oxley Act of 2002,
that:

1. This annual report containing the financial statements fully complies with
the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of
1934; and

2. The information contained in this annual report fairly presents, in all
material respects, the financial condition and results of operations of ML
Select Futures I L.P.

Date: March 30, 2004

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

32

EXHIBIT 32.02

SECTION 1350 CERTIFICATION

In connection with this annual report of ML Select Futures I L.P. on Form 10-K
for the period ended December 31, 2003 as filed with the Securities Exchange
Commission on the date hereof, I, Michael L. Pungello, certify, pursuant to 18
U.S.C. Section 1350, as adopted pursuant of the Sarbanes-Oxley Act of 2002,
that:

1. This annual report containing the financial statements fully complies with
the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of
1934; and

2. The information contained in this annual report fairly presents, in all
material respects, the financial condition and results of operations of ML
Select Futures I L.P.

Date: March 30, 2004

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

33