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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-K

For the fiscal year ended December 31, 2004

or

For the transition period from              to             

Commission File number: 333-74176

THE PRICE FUND I, L.P.

(Exact name of registrant as specified in its charter)

(312) 264-4300

(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act: None

Securities registered pursuant to Section 12(g) of the Act: None

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, 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 the registrant is an accelerated filer (as defined in Rule 12b-2 of the Act.)    ¨  Yes    x  No

The aggregate market value of Limited Partnership Units held by non-affiliates of the registrant, as of June 30, 2004, was $1,137,021. For purposes of this disclosure, units held by officers or principals of the General Partner have been excluded because such persons may be deemed to be affiliates. This determination is not necessarily conclusive.

Total number of Pages: 23 plus exhibits

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PART I

ITEM 1. BUSINESS

The Price Fund I, L.P. (“Partnership”) was organized as a limited partnership on October 5, 2000 in the State of Delaware. The offices of the partnership are located c/o Price Asset Management, Inc., 141 West Jackson Boulevard, Suite 1340A, Chicago, Illinois 60604, and the Partnership’s telephone number is (312) 264-4300.

The Partnership’s objective is to achieve capital appreciation through speculative trading of futures contracts, options on futures contracts and forward contracts by independent trading advisors. Investment in the Partnership may provide investors an opportunity to diversify a portfolio of traditional investments consisting of stocks and bonds.

The general partner (“General Partner”) of the Partnership is Price Asset Management, Inc., an Illinois corporation that is wholly owned by Walter Thomas Price III. The General Partner administers the business and affairs of the Partnership. The General Partner is registered with the Commodity Futures Trading Commission (“CFTC”) as a commodity pool operator and a commodity trading advisor and is a member of the National Futures Association (“NFA”). The General Partner’s main business office is located at 141 West Jackson Boulevard, Suite 1340A, Chicago, Illinois 60604, and its telephone number is (312) 264-4300.

The General Partner has chosen one or more trading advisors that will be responsible for making trading decisions on behalf of the Partnership and has allocated funds to the initial advisors. Consistent with its fiduciary duties to the limited partners, the General Partner may modify its allocation among the trading advisors or select new advisors at any time. The trading advisors to whom the Partnership anticipates making allocations over time are Clarke Capital Management, Inc., SmithPoint Investments, Ltd., Spirit Trading Incorporated, Campbell and Company, Inc., Fall River Capital, LLC, Abraham Trading and Marathon Capital Growth Partners LLC. The General Partner made initial allocations of 35% of its trading assets to Clarke Capital Management, 30% to SmithPoint Investments and 35% to Spirit Trading. There is no minimum period of time during which these advisors will necessarily trade for the Partnership.

The General Partner selects commodity programs for the Partnership considering both qualitative factors and quantitative measures. These factors and measures are used to evaluate a commodity trading advisor’s ability to generate returns after considering such variables as risk management approach, market diversification and leverage.

The initial trading advisors selected by the General Partner, and any trading advisors that the General Partner may select in the future, are expected to rely principally on technical analysis. However, the General Partner may select advisors in the future that do not use technical analysis or use it only minimally.

ITEM 2. PROPERTIES

The Partnership owns no properties.

ITEM 3. LEGAL PROCEEDINGS

None.

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

No matters were submitted to a vote of limited partners during fiscal year 2004.

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PART II

ITEM 5. MARKET FOR REGISTRANT’S LIMITED PARTNERSHIP UNITS AND RELATED PARTNER MATTERS

There is no established market for the Partnership units. The units are offered on a best efforts basis by both representatives of the General Partner and certain broker-dealers, including Uhlmann Price Securities, LLC. An offering on a best efforts basis is one in which the securities dealers participating in the offering are under no obligation to purchase any of the securities being offered and, therefore, no specified number of securities are guaranteed to be sold and no specified amount of money is guaranteed to be raised.

The net proceeds of the offering, after deducting the subscription fee, will be managed by the General Partner including allocating a portion to the trading advisors which the General Partner has chosen. Trading account assets are used to satisfy minimum margin requirements for the Partnership’s unrealized futures positions. Consistent with the Commodity Exchange Act, all of the assets of the Partnership are maintained in cash and segregated customer funds, except assets, if any, committed as margin on some non-United States futures and option transactions. The Partnership’s trading account assets which are not committed as margin may be invested in U.S. Treasury securities.

The Partnership has not paid any dividends nor does it intend doing so. There are no securities authorized for issuance under equity compensation plans. The following table shows for the periods indicated the high and low sales prices for units.

ITEM 6. SELECTED FINANCIAL DATA

Cash flows used in operating activities were used primarily to purchase U.S. Treasury securities. The remaining cash was provided by realized trading gains and interest and was used for operating expenses net of any payables and receivables.

Cash flows provided by financing activities were from the sale of Partnership units, net of any subscription fees paid and any subscriptions receivable, and reduced by redemptions of Partnership units.

OFF-BALANCE SHEET RISK

The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. The Partnership trades in futures and forward contracts and may therefore become a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Partnership at the same time, the Partnership could experience substantial losses.

In addition to market risk, in entering into futures and forward contracts there is a credit risk that a counterparty will not be able to meet its obligations to the Partnership. The counterparty for futures contracts traded in the United States and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.

CRITICAL ACCOUNTING POLICIES – VALUATION OF THE PARTNERSHIP’S POSITIONS

The General Partner believes that the accounting policies that will be most critical to the Partnership’s financial condition and results of operations relate to the valuation of the Partnership’s positions. The majority of the Partnership’s positions will be exchange-traded futures contracts, which will be valued daily at settlement prices published by the exchanges. Any spot or forward foreign currency contracts held by the Partnership will also be valued at published daily settlement prices or at dealers’ quotes. Thus, the General Partner expects that under normal circumstances substantially all of the Partnership’s assets will be valued on a daily basis using objective measures.

ITEM 7. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

INTRODUCTION

The Partnership commenced the offering of units on August 1, 2003. The initial offering period ended on December 31, 2003 and the Partnership commenced operations in January 2004. The continuing offering period commenced at the termination of the initial offering period and is ongoing. For the period from commencement of the offering through December 31, 2004, subscriptions totaling $1,595,172 had been accepted and redemptions over the same period totaled $24,708.

CAPITAL RESOURCES

The Partnership will raise additional capital only through the sale of units offered pursuant to the continuing offering and does not intend to raise any capital through borrowings. Due to the nature of the Partnership’s business, it will make no capital expenditures and will have no capital assets which are not operating capital or assets.

LIQUIDITY

Most United States commodity exchanges limit fluctuations in futures contracts prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” During a single trading day, no trades may be executed at prices beyond the daily limit. This may affect the Partnership’s ability to initiate new positions or close existing ones or may prevent it from having orders executed. Futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. Similar occurrences could prevent the Partnership from promptly liquidating unfavorable positions and subject the Partnership to substantial losses, which could exceed the margin initially committed to such trades. In addition, even if futures prices have not moved the daily limit, the Partnership may not be able to execute future trades at favorable prices if little trading in such contracts is taking place.

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Trading in forward contracts introduces a possible further impact on liquidity. Because such contracts are executed “off exchange” between private parties, the amount of time required to offset or “unwind” these positions may be greater than that for regulated instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person.

Other than these limitations on liquidity, which are inherent in the Partnership’s futures trading operations, the Partnership’s assets are expected to be highly liquid.

RESULTS OF OPERATIONS

Partnership Results for January 2004:

The Partnership commenced trading in mid-January as trading advisors for the partnership initiated positions in foreign currencies and interest rate contracts. Initially profitable long positions in these markets turned unprofitable as U.S. interest rates rose in response to published comments from the Federal Reserve Bank.

Later in the month the trading advisors initiated positions in non-financial markets including tropical, agricultural and energy sectors, which decreased volatility and smoothed Partnership returns.

For the month, the Partnership lost 6.02%.

Partnership Results for February 2004:

Partnership performance for the month was positive and recaptured almost all of the net trading loss from January. The Partnership benefited from positions in soybean oil, corn, Japanese Yen, crude oil and interest rate instruments.

For the month, the Partnership gained 4.46%.

Partnership Results for March 2004:

The Partnership was slightly profitable as gains in interest rate contracts, foreign currencies and metals were offset by losses in soybean oil and crude oil. Profits early in the month in the interest rate complex were reduced near the end of the month as better than expected consumer confidence, improvement in initial jobless claims and profit taking in anticipation of the April unemployment figures contributed to downward price pressure.

The Partnership also benefited from profitable movement in the U.S. Dollar versus the Euro, Swiss Franc, Australian Dollar and Japanese Yen. Alleged terrorist activities in Spain fueled demand for gold as a perceived safe haven.

Profit taking in the soybean complex ended the rally after supply shortages and a production strike in Brazil sent soy prices to 16-year highs. The rally in crude oil also abated as traders took profits in existing positions.

For March, the Partnership gained 0.93% and for the first quarter of 2004, the Partnership’s compounded rate of return was a loss of 0.91%.

Partnership Results for April 2004:

In April, the Partnership profited from short positions in the United States Treasury markets which were offset in part from losses due to volatility in currencies and a weakness in metals. For April, the Partnership gained 0.86%.

Partnership Results for May 2004:

Financial and commodity markets this month generally traded in a narrower but no less volatile range than last month. The Partnership was profitable based on strength in carry-over positions in the United States Treasury markets and in the extended rally of crude oil. These gains were tempered somewhat by losses in currency contracts resulting from a lower United States dollar. For the month, the Partnership produced a profit of 2.17%.

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Partnership Results for June 2004:

The Partnership was unprofitable in June due to a series of short-term price spikes and corresponding market reversals in several futures markets. Interest rate, currency and metal markets each generated losses due to high volatility, directionless price behavior that appears affected by United States Federal Reserve policy. Such choppy, side-to-side activity among non-correlated markets tends to negate the diversification benefits of an asset class. For the month, the Partnership produced a net loss of 4.84%.

For the second quarter of 2004, the Partnership’s compounded rate of return was a loss of 1.94%.

Partnership Results for July 2004:

July continued a prior string of choppy, unsustained and volatile price trends, resulting in a very small decline for the Partnership. Interest rates and energies once again were the driving forces behind profitable trades for the month, while metal and currency trading offset gains.

The Partnership benefited from long treasury positions after mixed economic reports created the perception that interest rates may be raised at a slower rate. Short covering followed, pushing yields lower.

Crude oil continued its ascent, closing at new yearly highs on strong demand, tight supplies, refinery limitations, and the fear of supply disruptions. Also contributing was Russia’s case against Yukos, the regions’ large oil producer, which kept upward pressure on prices. Currency markets again proved to be unprofitable. Early in the month, the dollar exhibited weakness and was gaining momentum, only to be reversed by an upbeat assessment from Federal Reserve Board Chairman Greenspan about the U.S. economy and a stronger than expected consumer confidence report. Conversely, the metals markets showed early strength and then prices retreated in the last two weeks of the month, transforming profits into small losses.

For the month, the Partnership lost 0.30%.

Partnership Results for August 2004:

August was a favorable month for the Partnership, despite the lack of sustained trends and the difficult trading environment in the majority of futures markets.

Currencies once again whipsawed in a wide range on lack of any new U.S. economic developments, creating a drain on Partnership returns. Gold and sugar trades also contributed small losses.

Conversely, positions in the treasury complex and crude oil more than offset these deficits. The Partnership’s long positions in U.S. notes and bonds and European interest rate markets profited after weaker than expected reports on retail sales and personal consumption. Prices then skyrocketed on a surprisingly weak payroll report from the U.S. Labor Department.

The roller coaster ride in crude oil provided the balance of gains for the month. Early in August, oil set out to new highs again, nearly touching $50 per barrel. In the last week of the month, crude fell over $8 per barrel, finally settling $1 higher than in July.

Overall, the constant threat of terrorist activities and uncertainty surrounding global economies has kept most markets erratic and range bound.

For August, the Partnership gained 1.63%.

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Partnership Results for September 2004:

The Partnership posted a deficit for September after another month where global economic and political uncertainty continued to dominate the markets.

Currencies contributed to losses as general dollar weakness was unfavorable for the Partnership. The International Monetary Fund once again called on China to float its currency and also declared the U.S. dollar will fall in response to budget and current account deficits. Subsequently, trading in Japanese Yen and Swiss Francs produced losses for the Partnership which offset gains in Canadian and Australian dollar positions.

Positions in Treasuries fluctuated widely on a daily basis, finishing the month basically where they started. Early in the month interest rates moved higher in anticipation of the U.S. employment report which was larger than expected. However, rates subsequently fell after the Federal Reserve Board commented on inflation and boosted the Federal Funds rate 25 basis points.

Grain markets were generally favorable for the Partnership with corn, soybean meal and wheat adding profits which were reduced by unsuccessful trades in soybeans.

For the month, the Partnership lost 2.17%. For the third quarter of 2004, the Partnership’s compounded rate of return was a loss of 0.87%.

Partnership Results for October 2004:

Interest rates and currency fluctuations drove returns for the Partnership which profited from gains in U.S. and German fixed income markets and a continuation of dollar selling.

The monthly employment report from the U.S. Department of Labor shifted sentiment again in the U.S. Treasury market, propelling prices sharply higher. In the following weeks Treasury note prices continued higher along with German 5-yr euros as fears mounted surrounding the rising U.S. trade deficit, a slowing economy, and political uncertainty.

Complementing the trend, record high oil prices and a downgrade by the European Union of its euro-zone growth projections helped push the dollar lower, which benefited positions in Australian dollars, British Pounds, Japanese Yen and the Euro currency.

The grain market, wheat and corn in particular where a small drag on partnership profits; conversely, minor gains were realized in gold after rallying in sympathy of the declining dollar.

For the month, the Partnership gained 4.06%.

Partnership Results for November 2004:

The U.S. dollar was the focus for the majority of the month, continuing its downward slide against the major foreign currencies. The large U.S. budget deficit and Washington’s seemingly indifferent attitude regarding dollar policy contributed to upward price trends in the British Pound, Euro currency and Swiss Franc, which provided positive returns for the fund.

Offsetting those gains, however, was the much higher than forecast October payroll report released early in the month by the Bureau of Labor Statistics. The employment figure proved to be the catalyst for profit reversals in long-held treasury positions. The fund had an established long position in five and ten-year treasuries for many months which were offset in the days following the labor figures.

Other unproductive positions for the Partnership for the month included closed trades in wheat, soybeans, corn and gold.

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For the month, the Partnership lost 0.36%.

Partnership Results for December 2004:

Performance was mixed in December. The Partnership lost ground in the interest rate complex during a volatile month as bond yields whipsawed. The Federal Reserve’s continued credit tightening program and gains in the Labor Department’s monthly employment report drove rates higher, but the insatiable foreign investor demand for U.S. notes and bonds quickly reversed that trend.

The Partnership made up some lost ground in the currency market. Profits in the British Pound, Canadian Dollar, Euro currency and Japanese Yen offset smaller setbacks in Australian Dollars and Swiss Francs.

During the majority of 2004, traders were non-committal. It was a see-saw year that created fewer sustainable trends which are the life blood of systematic trend followers. With the exception of some extreme price movements in energy markets, many sectors were held captive by Mid-East violence, the war in Iraq and the unknown outcome of U.S. presidential elections. Overall for the year, the Partnership profited from positions in energies, U.S. Treasuries and grains, with modest losses in metals and currencies.

For December, the Partnership lost 1.68% and for the fourth quarter of 2004, the Partnership’s compounded rate of return was 1.95%. For the year, the Partnership produced a compounded loss of 1.80%.

ITEM 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

INTRODUCTION

Past Results Not Necessarily Indicative of Future Performance

The Partnership is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes, and all or a substantial amount 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 can produce 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 exchange rates, interest 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 may rapidly acquire and liquidate both long and short positions in a wide range of different markets through the allocations it makes to trading advisors. 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 this, as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification 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.

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Standard of Materiality

Materiality as used in this section, “Quantitative and Qualitative Disclosures About Market Risk,” is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage, and multiplier features of the Partnership’s market sensitive instruments.

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 statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact (such as the dollar amount of maintenance margin required for market risk sensitive instruments held at the end of the reporting period).

The Partnership’s risk exposure in the various market sectors traded by the Partnership 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).

Exchange maintenance margin requirements are expected to be used by the Partnership as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95%-99% of any one-day intervals. The maintenance margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility 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 (which includes currencies and some energy products and metals in the case of the Partnership), the margin requirements for the equivalent futures positions have been used as Value at Risk. In those cases in which a futures-equivalent margin is not available, dealers’ margins have been used.

In the case of contracts denominated in foreign currencies, the Value at Risk figures include foreign margin amounts converted into U.S. Dollars with an incremental adjustment to reflect the exchange rate risk inherent to the Dollar-based Partnership in expressing Value at Risk in a functional currency other than Dollars.

In quantifying the Partnership’s Value at Risk, 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 simply 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 taken into account.

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

The following table indicates the trading Value at Risk associated with the Partnership’s open positions by market category as of December 31, 2004.

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MATERIAL LIMITATIONS ON VALUE AT RISK AS AN ASSESSMENT OF MARKET RISK

The face value of the market sector instruments held by the Partnership may typically be 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 could create a “risk of ruin” not typically found in most other investment vehicles. Because of the size of its positions, certain market conditions — unusual, but historically recurring from time to time — could cause the Partnership to incur severe losses over a short period of time. The Value at Risk tables — as well as the past performance of the Partnership — give no indication of this “risk of ruin.”

NON-TRADING RISK

The Partnership may experience non-trading market risk on any foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are expected to be immaterial. The Partnership also may have non-trading market risk as a result of investing in U.S. Treasury Bills. The market risk represented by these investments is expected to be 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 Price Asset Management 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 their investment in the Partnership.

QUALITATIVE DISCLOSURES REGARDING NON-TRADING RISK EXPOSURE

General

The Partnership is unaware of any (i) anticipated known demands, commitments or capital expenditures; (ii) material trends, favorable or unfavorable, in its capital resources; or (iii) trends or uncertainties that will have a material effect on operations. From time to time, certain regulatory agencies have proposed increased margin requirements on futures contracts. Because the Partnership generally will use a small percentage of assets as margin, the Partnership does not believe that any increase in margin requirements, as proposed, will have a material effect on the Partnership’s operations.

QUALITATIVE DISCLOSURES REGARDING MEANS OF MANAGING RISK EXPOSURE

The means by which the Partnership attempts to manage the risk of the Partnership’s open positions is essentially the same in all market categories traded. Price Asset Management applies risk management policies to trading which generally are designed to limit the total exposure that may be taken per “risk unit” of assets under management. In addition, Price Asset Management follows diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as imposing “stop-loss” points for each of the Partnership’s trading advisors.

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ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA

The following financial statements of The Price Fund I, L.P. are included in Item 8:

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

Partners of

The Price Fund I, L.P.

We have audited the accompanying statement of financial condition of The Price Fund I, L.P. (the “Partnership”) as of December 31, 2004 and 2003, including the schedule of investments as of December 31, 2004, and the related statements of operations and changes in partners’ capital for each of the three years in the period ended December 31, 2004. These financial statements are the responsibility of the Partnership’s management. Our responsibility is to express an opinion on these financial statements based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of The Price Fund I, L.P. as of December 31, 2004 and 2003, and the results of its operations and its changes in partners’ capital for each of the three years in the period ended December 31, 2004 in conformity with accounting principles generally accepted in the United States.

Altschuler, Melvoin and Glasser LLP

Chicago, Illinois

March 28, 2005

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The Price Fund I, L.P.

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

See accompanying notes to financial statements.

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The Price Fund I, L.P.

Schedule of Investments as of December 31, 2004

See accompanying notes to financial statements.

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The Price Fund I, L.P.

Statements of Operations for the Years Ended December 31, 2004, 2003 and 2002

See accompanying notes to financial statements.

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The Price Fund I, L.P.

Statements of Changes in Partners’ Capital for the Years Ended December 31, 2004, 2003 and 2002

Unit data cannot be provided for any periods prior to 2004 as the Partnership had not yet commenced operations.

The information presented for the years ended December 31, 2003 and 2002 are for the General Partner’s capital only as no limited partners were admitted to the Partnership prior to the first quarter of 2004.

See accompanying notes to financial statements.

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The Price Fund I, L.P.

Financial Highlights for the Year Ended December 31, 2004

The above ratios have been calculated for the partners taken as a whole. The computation of such ratios was not based on the amount of expenses assessed and income allocated to an individual partner’s capital account, which may vary from these ratios based on the timing of capital transactions. Ratios for the years ended December 31, 2003 and 2002 cannot be presented as the Partnership did not commence trading until the first quarter of 2004.

See accompanying notes to financial statements.

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The Price Fund I, L.P.

Notes to the Financial Statements

Note 1 Nature of Operations and Significant Accounting Policies

Nature of Operations—The Price Fund I, L.P. (a Delaware limited partnership) (the “Partnership”) was organized on October 5, 2000 to engage in speculative trading of a diversified portfolio of commodity interests, including futures, options on futures and forward contracts. The Partnership commenced trading activities on January 12, 2004.

Price Asset Management, Inc., the general partner of the Partnership (the “General Partner”), is registered as a commodity pool operator and commodity trading advisor. The Price Futures Group, Inc., an entity affiliated through common ownership, acts as the introducing broker for the Partnership, whereby certain of the Partnership’s accounts are introduced to the Partnership’s clearing broker. Man Financial Inc. serves as the clearing broker.

The General Partner and each limited partner share in the profits and losses of the Partnership in proportion to their respective ownership interests.

Use of Estimates—The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.

Net Assets—The valuation of net assets includes unrealized gains and losses on open commodity futures and forward contracts owned by the Partnership, if any, at the end of the period. The unrealized gains and losses on these contracts have been calculated based on closing prices on the last business day of each month. Foreign currency is translated into US dollars at the exchange rate prevailing on the last business day of each month. Gains and losses from translation to U.S. dollars are included in trading income on the Statement of Operations. Net asset value is determined by subtracting liabilities from assets, which also equals Partners’ capital.

Revenue Recognition—Commodity futures contracts are recorded on the trade date, and open positions are reflected in the accompanying statements of financial condition as the difference between the original contract value and the market value on the last business day of the reporting period. The market value of the commodity futures is based upon the most recent available settlement prices on the appropriate commodity exchanges. Changes in unrealized gains or (losses) represent the total increases or (decreases) in unrealized gains or (increases) or decreases in unrealized losses on open positions during the period.

Interest Income Recognition—The Partnership records interest income in the period it is earned.

Income Taxes—The Partnership is not subject to federal income taxes because its income and losses are includable in the tax returns of its partners.

Note 2 The Limited Partnership Agreement and Related-Party Activities

The General Partner is responsible for management of the Partnership.

New limited partners may purchase units of the Partnership upon approval by the General Partner at the net asset value, as defined, as of the last day of each month or on any other date as determined by the General Partner.

After holding the units for nine months, limited partners may require the Partnership to redeem some or all of their units at the net asset value, as defined, as of the last day of each month without a redemption charge. Any units redeemed before the holder has been a limited partner for six months will be assessed a redemption charge equal to 3 percent of the net asset value per unit on the date of such redemption and units redeemed after

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The Price Fund I, L.P.

Notes to the Financial Statements

six but within nine months will be assessed a 2 percent redemption charge.

The Partnership will terminate and its remaining net assets will be distributed pro rata to the holders of the then outstanding units on December 31, 2035, or earlier if certain events occur.

The Partnership pays management and other fees as specified in the Form S-1 Registration Statement and offering documents. A summary of such fees payable to related entities is as follows:

Price Asset Management, Inc., as General Partner

The Partnership pays a monthly management fee based on the Partnership’s total assets, based on a 1 percent annual rate. Management fees paid to the General Partner for the year ended December 31, 2004, determined at the 1 percent rate, amounted to $14,388. The General Partner may choose one or more trading advisors that are responsible for making all trading decisions on behalf of the Partnership. The trading advisors, as selected by the General Partner and described in the Registration Statement, charge the Partnership management fees up to 2 percent per annum (based on assets managed) and quarterly incentive fees of up to 20 percent of new trading profits, as defined.

The General Partner receives a portion of the incentive fee assessed by certain advisors. However, this fee is payable by the advisor to the General Partner and is not an obligation of or payable by the Partnership. Incentive fees paid by the advisors to the General Partner for the year ended December 31, 2004 amounted to $3,801.

The Price Futures Group, Inc., as Introducing Broker

The clearing broker pays Price Futures Group a portion of the brokerage fee paid by the Partnership for clearing transactions.

In addition, the Partnership pays Price Futures Group 1% of the purchase price of each limited partnership unit sold for syndication costs incurred by Price Futures Group. Amounts payable for such costs to Price Futures Group for the year ended December 31, 2004 totaled $9,016. These syndication costs, which are related to the issuance of limited partnership units, are charged to partners’ capital upon the issuance of such units.

Uhlmann Price Securities, LLC, as Selling Group Manager

Uhlmann Price Securities, LLC, a related party to the General Partner by reason of common management, acts as the selling group manager for the Partnership. The Partnership pays Uhlmann Price Securities a commission of 3.5% (which includes a re-allowance of up to 3% to other broker dealers) of the purchase price of each unit sold. These commissions are charged to partners’ capital upon the issuance of such units. Commissions paid by the Partnership to Uhlmann Price Securities for the year ended December 31, 2004 amounted to $43,757. In addition, the Partnership pays a trailing commission to salespersons identified by Uhlmann Price Securities or selling agents beginning thirteen months after that unit has been outstanding. The trailing commission is equal to 3% of the net asset value of a unit. No trailing commission will accrue or be paid for any unit that has been outstanding for less than one full year. As of December 31, 2004, no units qualified for the trailing commission, thus the amount paid by the Partnership for the year ended December 31, 2004 was $0.

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The Price Fund I, L.P.

Notes to the Financial Statements

The Partnership pays all of its direct legal, accounting, filing, reporting and data processing expenses, incentive fees, management fees, brokerage fees and extraordinary expenses, subject to overall limitations on fees described in the Partnership’s limited partnership agreement. The General Partner will bear any fees in excess of these limitations.

Note 3 Financial Instruments with Off-Balance-Sheet Risk

The Partnership’s trading activities involve derivative financial instruments, primarily futures, options on futures, and forward contracts, which have market and/or credit risk.

Market Risk—Market risk arises primarily from changes in the market value of financial instruments. Theoretically, the Partnership’s exposure is equal to the notional value of futures contracts purchased and unlimited on such contracts sold short. As both a buyer and seller of options on futures, the Partnership pays or receives a premium at the outset and then bears the risk of unfavorable market variations underlying the option. The risk of loss for purchased options on futures is limited to the premiums paid; written or sold options on futures expose the Partnership to potentially unlimited liability.

Exposure to market risk is influenced by a number of factors, including the relationships between financial instruments, and the volatility and liquidity in the markets in which the financial instruments are traded. In many cases, the use of financial instruments may serve to modify or offset market risk associated with other transactions and, accordingly, may serve to decrease the Partnership’s overall exposure to market risk. The Partnership attempts to control its exposure to market risk through various analytical monitoring techniques.

Credit Risk—Credit risk arises primarily from the potential inability of counterparties to perform in accordance with the terms of a contract. The Partnership’s exposure to credit risk associated with counterparty nonperformance is limited to the current cost to replace all contracts in which the Partnership has a gain. Exchange-traded financial instruments generally do not give rise to significant counterparty exposure due to the cash settlement procedures for daily market movements and the margin requirements of individual exchanges.

Concentration of Credit Risk—Some of the Partnership’s trades are cleared through Price Futures Group’s clearing broker. In the event this counterparty does not fulfill its obligations, the Partnership may be exposed to risk. This risk of default depends in part on the creditworthiness of this counterparty. The Partnership attempts to minimize this credit risk by monitoring the creditworthiness of the clearing broker.

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

None.

ITEM 9A. CONTROLS AND PROCEDURES

The principal executive officer and principal financial officer of Price Asset Management have concluded that the Partnership has effective disclosure controls and procedures to ensure that material information relating to the Partnership is made known to them by others within the Partnership, particularly during the period in which this annual report is being prepared. The principal executive officer and financial and principal accounting officer of Price Asset Management have evaluated the effectiveness of the Partnership’s disclosure controls and procedures as of a date within ninety (90) days prior to the filing date of this report (the “Evaluation Date”) and have based the foregoing conclusion about the effectiveness of the Partnership’s disclosure controls and procedures based on their evaluation as of the Evaluation Date.

During the period covered by this report, there have been 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.

PART III

ITEM 10. DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT

The directors and executive officers of Price Asset Management, Inc., general partner and commodity pool operator of the Partnership, are as follows:

Walter Thomas Price III, is the chairman, president, director and sole shareholder of the General Partner and an Investor in Uhlmann Price Securities and has been the President and CEO of The Price Futures Group since June 1995. Mr. Price has been involved in the securities, cash commodities and commodity futures markets for more than 40 years as both a trader for his own account and as a broker. He is President, a registered principal, and associated person of Price Capital Markets Inc., with which he has been affiliated since February 1997. At Price Capital Markets, Mr. Price is ultimately responsible for overseeing all trading decisions. He is a graduate of the University of Texas and is also a licensed NASD principal and NFA principal.

Allen D. Goodman is the chief financial officer of the General Partner, which he joined in March 2001. From January 2000 to March 2001, he served as founder and president of Financial Products, Ltd., a management consulting firm specializing in financial process reengineering. From February 1999 to January 2000, he worked as a management consultant for Via International, preceded by service as a business valuation consultant for BDO Seidman LLP from May 1997 to February 1999. Prior to that, from February 1995 to May 1997, he founded and managed Exclusively Gourmet, Inc., a specialty food and confections brokerage company. Mr. Goodman holds a B.A. degree from the University of Wisconsin and a M.S.A. in Accounting from DePaul University.

Scott R. Baldwin is executive vice president and director of the General Partner, which he joined in November 2000. Scott Baldwin has been associated with the securities and futures industry for over two decades. His expertise has been in trading and investing in managed funds, client relations and risk management. Mr. Baldwin graduated with a B.A. from the Northern Illinois University School of Journalism in 1979. In 1984, Mr. Baldwin became an independent member of the CBOT and founded a brokerage execution and consulting business, Scott Baldwin Futures Group. In 1997, he founded SRB Capital Management, a registered commodity trading advisor and commodity pool operator. Mr. Baldwin is a licensed NASD securities representative and registered NFA principal. Mr. Baldwin is involved in the research and development of the managed investment sector for the General Partner, and his responsibilities also entail consultation, marketing, and syndication.

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ITEM 11. EXECUTIVE COMPENSATION

See the notes to the financial statements incorporated above for a description of management fees paid to the General Partner.

ITEM 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT

ITEM 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS

The information required by this item is incorporated by reference from the information contained in Item 8, Financial Statements and Supplementary Data, Notes to Financial Statements, Note 2.

ITEM 14. PRINCIPAL ACCOUNTANT FEES AND SERVICES

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PART IV

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

None.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized on March 31, 2005.

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EXHIBIT INDEX