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, 2012

o 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

Four World Financial Center, 11th Floor

250 Vesey Street

New York, New York 10080

(Address of principal executive offices)

(Zip Code)

212-449-3517

(Registrant’s telephone number, including area code)

c/o Merrill Lynch Alternative Investments LLC
4 World Financial Center, 10th Floor
250 Vesey Street
New York, New York 10080
(Former name or former address, if changed since last report.)

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

Securities registered pursuant to Section 12(g) of the Act: Limited Partnership Units

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act. Yes o No x

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or 15(d) of the Act. Yes o No x

Indicate by check mark if 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 Noo

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes o No o

Indicate by check mark if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K (§ 229.405 of this chapter) 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 a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer o		Accelerated filer o

Non-accelerated filer x		Smaller reporting company o
(Do not check if a smaller reporting company)

Indicate by check mark whether the registrant is a shell company (as defined by Rule 12b-2 of the Act). Yes o No x

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

As of February 28, 2013, limited partnership units with a Net Asset Value of $63,329,347 were outstanding and held by non-affiliates.

Documents Incorporated by Reference

The registrant’s 2012 Annual Report and Report of Independent Registered Public Accounting Firm, the annual report to security holders for the fiscal year ended December 31, 2012, is incorporated by reference into Part II, Item 8, and Part IV hereof and filed as an Exhibit herewith. Copies of the annual report are available free of charge by contacting Alternative Investments Client Services at 1-866-MER-ALTS.

ML SELECT FUTURES I L. P.

ANNUAL REPORT FOR 2012 ON FORM 10-K

Table of Contents

		PAGE

PART I

Item 1.	Business	3

Item 1A.	Risk Factors	11

Item 1B.	Unresolved Staff Comments	24

Item 2.	Properties	24

Item 3.	Legal Proceedings	24

Item 4.	Mine Safety Disclosures	24

PART II

Item 5.	Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities	24

Item 6.	Selected Financial Data	25

Item 7.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	29

Item 7A.	Quantitative and Qualitative Disclosures About Market Risks	40

Item 8.	Financial Statements and Supplementary Data	44

Item 9.	Changes in and Disagreements With Accountants on Accounting and Financial Disclosure	44

Item 9A.	Controls and Procedures	44

Item 9B.	Other Information	45

PART III

Item 10.	Directors, Executive Officers and Corporate Governance	45

Item 11.	Executive Compensation	47

Item 12.	Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters	47

Item 13.	Certain Relationships and Related Transactions and Director Independence	47

Item 14.	Principal Accounting Fees and Services	48

PART IV

Item 15.	Exhibits, Financial Statement Schedules	49

Advisory Agreement Term

The advisory agreement will be automatically renewed for successive one-year periods, on the same terms, unless terminated by either the Trading Advisor or the Partnership upon notice to the other party. The advisory agreement may, however, be terminated at any time pursuant to any of the following: (i) MLAI may terminate the advisory agreement upon 24 hours’ notice; (ii) the Trading Advisor may terminate the advisory agreement upon 20 days’ notice as of any month-end if (a) the Trading Advisor notifies MLAI of a proposed material change to the strategies to be used in the Trading Advisor’s managing the Partnership’s account and MLAI instructs the Trading Advisor not to implement such change, (b) the Trading Advisor has determined to cease managing any customer accounts, (c) the Trading Advisor’s instructions are overridden, or (d) the Partnership has a Net Asset Value as of the close of business on any day less than $1 million; and (iii) MLAI may terminate the advisory agreement as a result of a material breach by the Trading Advisor, or the Trading Advisor may terminate the advisory agreement as a result of a material breach by MLAI or the Partnership.

Trading Advisor’s Trading Program

The Trading Advisor’s Trading Program attempts to detect a trend, or lack of a trend, with respect to a particular Commodity Interest by analyzing price movement and volatility over time. This program consists of multiple, independent and parallel systems, each designed and tested to seek out and extract different market inefficiencies on different time horizons. These systems will generate a signal to sell a “short” contract or purchase a “long” contract based upon their identification of a price trend in the particular Commodity Interest. If the systems do not detect a price trend, a “neutral” trading signal will be generated. While this neutral signal is designed to filter out high-risk “whipsaw” markets, it is successful on only a limited basis. Successful speculative commodity trading employing trend-following techniques, such as the Trading Advisor’s system, depends to a large degree upon not trading in non-directional markets. Accordingly, to the extent that this “neutral” trading signal is not generated during a non-trending market, trading would likely be unprofitable.

Long-term, trend-following trading systems, such as those employed by the Trading Advisor, will seldom effect market entry or exit at the most favorable price in the particular market trend. Rather, this type of trading system seeks to close out losing positions quickly and to hold portions of profitable positions for as long as the trading system determines that the particular market trend continues to offer reasonable profit potential. The number of losing transactions may exceed substantially the number of profitable transactions. However, if the Trading Advisor’s approach is successful, these losses should be more than offset by gains. In using this trading methodology, it is anticipated that The Trading Advisor will commit to margin between 5% and 30% of assets managed. Margin requirements may from time to time exceed this range.

While the Trading Advisor relies on mechanical technical trading systems in making investment decisions using the methodology described, the overall strategy does include the latitude to depart from this approach if market conditions are such that, in the opinion of the Trading Advisor, execution of trades recommended by the mechanical systems would be difficult or unusually risky to an account.

There may, occur the rare instance in which the Trading Advisor will override the trading system to decrease market exposure. Any modification of trading instructions could adversely affect the profitability of an account. Among the possible consequences of such a modification would be (1) the entrance of a trade at a price significantly worse than a system’s signal price, (2) the complete negation of a signal which subsequently would have produced a profitable trade or (3) the premature termination of an existing trade.

A technical trading system consists of a series of fixed rules applied systematically. However, the system still requires that the Trading Advisor make certain subjective judgments. For example, the Trading Advisor must select the markets it will follow and Commodity Interests it will actively trade, along with the contract months in which it will maintain positions. The Trading Advisor must also subjectively determine when to liquidate positions in a contract

CONDENSED SCHEDULES OF INVESTMENTS

The Partnership’s investments, defined as net unrealized profit (loss) on open contracts in the Statements of Financial Condition, as of December 31, 2012 and 2011 are as follows:

December 31, 2012

	Long Positions						Short Positions							Net Unrealized
Commodity Industry	Number of	Unrealized			Percent of		Number of		Unrealized			Percent of		Profit (Loss)			Percent of
Sector	Contracts/Notional*	Profit (Loss)			Partners’ Capital		Contracts/Notional*		Profit (Loss)			Partners’ Capital		on Open Positions			Partners’ Capital		Maturity Dates

Agriculture	—	$	—		0.00	%	(268	)	$	160,609		0.24	%	$	160,609		0.24	%	February 2013 - March 2013
Currencies*	80,585,876	(313,499		)	-0.46	%	(91,171,403	)	334,816			0.50	%	21,317			0.04	%	January 2013 - March 2013
Interest rates	569	(186,285		)	-0.28	%	—		—			0.00	%	(186,285		)	-0.28	%	March 2013
Metals	—	—			0.00	%	(88	)	(90,822		)	-0.13	%	(90,822		)	-0.13	%	February 2013 - March 2013
Stock indices	781	(40,358		)	-0.06	%	—		—			0.00	%	(40,358		)	-0.06	%	January 2013 - March 2013

Total		$	(540,142	)	-0.80	%			$	404,603		0.61	%	$	(135,539	)	-0.19	%

December 31, 2011

	Long Positions						Short Positions							Net Unrealized
Commodity Industry	Number of	Unrealized			Percent of		Number of		Unrealized			Percent of		Profit (Loss)			Percent of
Sector	Contracts/Notional*	Profit (Loss)			Partners’ Capital		Contracts/Notional*		Profit (Loss)			Partners’ Capital		on Open Positions			Partners’ Capital		Maturity Dates

Agriculture	—	$	—		0.00	%	(641	)	$	(962,910	)	-0.81	%	$	(962,910	)	-0.81	%	March 2012 - June 2012
Currencies*	36,805,645	467,077			0.39	%	(163,173,387	)	(178,630		)	-0.15	%	288,447			0.24	%	March 2012
Interest rates	378	223,111			0.19	%	(285	)	3,149			0.00	%	226,260			0.19	%	March 2012 - June 2012
Energy	—	—			0.00	%	(34	)	54,740			0.05	%	54,740			0.05	%	January 2012
Metals	7	(3,993		)	0.00	%	(269	)	113,371			0.10	%	109,378			0.10	%	February 2012 - March 2012
Stock indices	—	—			0.00	%	(340	)	136,943			0.11	%	136,943			0.11	%	January 2012 - March 2012

Total		$	686,195		0.58	%			$	(833,337	)	-0.70	%	$	(147,142	)	-0.12	%

* 2009 Currencies sector had a units change from a revised SOI calc of 32 units in the long and short positions

No individual contract’s unrealized profit or loss comprised greater than 5% the Fund’s Members’ Capital as of December 31, 2012 and 2011.

Margin

When a futures or options on futures position is established, “initial margin” is calculated by the exchange on which the position is listed and deposited with a Futures Commission Merchant (“FCM”) that is a member of the clearinghouse through which transactions on the relevant exchange are cleared. An FCM must, in turn, deposit initial margin with the clearinghouse to secure its obligations to the clearinghouse with respect to the positions of its customers. The amount of both the initial margin payment to the FCM and the FCM’s initial margin payment to the clearinghouse are determined on the basis of risk, taking into account the price and volatility of the commodity underlying the position and, in certain cases, the offsetting risks that exist within a portfolio of positions. On most exchanges, at the close of each trading day “variation margin,” representing the unrealized gain or loss on the open positions, is either credited to or debited from an account. A trader must maintain a minimum margin level for each outstanding futures position known as “maintenance margin,” which is set by the relevant exchange and based on the risk of the futures position, often a set percentage of the “initial margin.” If “variation margin” payments cause an “initial margin” to fall below “maintenance margin” levels, a “margin call” is made, requiring the trader to deposit additional margin or have its position closed out. A clearinghouse may have “maintenance margin” requirements for member FCMs. An FCM may require a higher level of “initial margin” and “maintenance margin” from the trader than the clearinghouse requires from the FCM, but generally will not allow lower margin levels. Margin is also required to be posted with counterparties when making investments through forward, swaps or other OTC instruments. The counterparties calculate margin based on the risk of the underlying commodity and will deposit margin with each other based on a previously agreed upon schedule. In general, approximately 5% to 30% of the Partnership’s assets are expected to be committed as margin for futures or options on futures positions at any one time, although these amounts could occasionally be substantially higher. The Partnership’s exposure and liability are not limited to the amount placed on margin, but are based on the total value of the futures contracts being traded. Partnership assets not committed to margin will be held in cash or cash equivalents and will earn interest as described below.

Custody of Assets

The Partnership’s financial assets presently consist predominantly of cash, futures and OTC FX forward and spot positions. In addition, the Partnership has the authority to trade options on futures and forwards, but these contracts typically represent a small percentage of the Partnership’s financial assets, if any are traded at all. Futures and OTC forwards and other instruments typically constitute the majority of the Partnership’s investment risk, but the notional value of these instruments is not included on the Partnership’s balance sheet.

The vast majority of the net assets of the Partnership, is and has historically been, held in the form of cash. The Partnership’s cash is used in various ways. It can be:

· posted as margin with MLPF&S in segregated or secured accounts in connection with commodities trading on regulated exchanges;

· pledged as collateral to MLIB for OTC forwards or options on forwards or to other OTC prime brokers for other OTC investments;

· deposited in savings or demand deposit accounts with the Partnership’s custodian or other banking institutions, both in the United States and internationally;

· held in securities brokerage accounts maintained with MLPF&S; and

· invested in securities or other instruments generally viewed as cash equivalents, which are in turn held in segregated or secured accounts with MLPF&S.

Typically the vast majority of the Partnership’s assets are held in segregated or secured accounts with MLPF&S. In general, approximately 5% to 30% of the Partnership’s assets are expected to be required as margin or collateral at any one time. Approximately 90% of the Partnership’s assets are expected to be held in customer segregated accounts at MLPF&S pursuant to applicable CFTC regulations to margin U.S. exchange-traded futures contracts and options thereon, or in customer secured accounts at MLPF&S and used to margin futures trading on non-U.S. exchanges pursuant to CFTC regulations. The remaining approximately 10% is expected to be deposited with MLIB, other OTC prime brokers, or one or more third-party collateral custodians as margin for OTC forwards, OTC options on forwards, or other OTC investments. These amounts could be substantially higher or lower and there is no obligation to maintain margin or hold assets within these or any other specific ranges. Assets held in segregated or secured accounts at MLPF&S may be invested only in CFTC-permitted investments, which include U.S. government and government agency securities, commercial paper and corporate notes and bonds guaranteed by the U.S. government, and money market mutual Partnerships. Under the applicable regulations, such permitted investments are subject to instrument and issuer-based concentration and time to maturity limits and must be managed with the objectives of preserving principal and maintaining liquidity.

The bank accounts in which MLPF&S deposits Partnership cash may be offset accounts, which are non-interest bearing demand deposit accounts maintained with banks unaffiliated with BAC. MLPF&S may in the future elect to maintain accounts of this nature with one or more of its affiliates. Offset account deposits reduce MLPF&S’s borrowing costs with these banks. An integral feature of the offset arrangements is that the participating banks specifically acknowledge that the offset accounts are for the benefit of MLPF&S’s customers, not subject to any MLPF&S liability.

The General Partner, as sponsor of the Partnership, has a general policy of maintaining clearing and prime brokerage arrangements with its BAC affiliates, such as MLPF&S and MLIB, although the General Partner may, nevertheless, engage unaffiliated service providers as clearing brokers or prime brokers for the Partnership. Other affiliates may from time to time be involved in the clearing, custody or investment of the Partnership’s assets, including as prime brokers. However, the vast majority of the Partnership’s assets are held with, and therefore subject to the credit risk of, MLPF&S. The General Partner believes that its policy is in the best interest of investors due to the enhanced dependability and quality of service provided by MLPF&S and MLIB to the Partnership as a result of the General Partner’s relationship and shared corporate infrastructure with these affiliates. In addition, the General Partner believes that MLPF&S is well capitalized and that the Partnership benefits from the transparency provided to the General Partner, as an affiliate of MLPF&S, into the controls MLPF&S has implemented to comply with the various regulatory requirements designed to protect customer funds. However, there nonetheless exists a substantial risk of loss with respect to each of the above custody arrangements in the event of the bankruptcy or insolvency of MLIB or MLPF&S if it does not properly segregate customer funds. See “Risks Factors — Risk of Loss Due to the Bankruptcy or Failure of Counterparties, Custodians, Brokers and Exchanges” below for a more detailed discussion of these risks.

Subject to the interest income arrangements discussed below, each BAC entity holding Partnership assets, including MLPF&S, retains the additional economic benefit derived from possession and investment of those assets for the entity’s own account.

Cash Management and Interest

The General Partner is primarily responsible for the management of the Partnership’s “cash assets.” In exercising this responsibility, the General Partner’s primary considerations are safety of assets, seeking interest income, and the services provided by custodians. A vast majority of the Partnership’s cash has historically been held in futures brokerage accounts with affiliates. To a smaller degree, the Partnership’s cash assets may be held with the Partnership’s bank custodian, which is at present the administrator.

The General Partner retains the ability to change its cash management practices at any time, including by transferring a majority of the Partnership’s cash assets to the Partnership’s custodial bank accounts or other bank accounts or by retaining an asset management firm to invest the Partnership’s cash assets in U.S. government and money market securities. Bank deposits may be in either savings accounts that pay interest, or demand deposit accounts, which may or may not pay interest and which may or may not be subject to FDIC insurance. Any of these banks or asset management firms may be affiliated with the General Partner if the General Partner believes that to be in the best interests of the Investors in the Partnership.

BAC’s “Interest Earning Program,” which offers interest on cash balances subject to a negotiated schedule, will apply to Partnership cash assets during any time they are maintained by the General Partner with its affiliates. The present interest rate under the Interest Earning Program on U.S. dollar cash balances is the daily effective federal funds rate less 20 basis points, recalculated and accrued daily, and subject to a floor of 0%. The daily effective federal funds rate is a volume-weighted average of rates on trades arranged by major brokers and is calculated by the Federal Reserve Bank of New York using data provided by the brokers. Interest is computed based upon the daily net equity balance of the Partnership’s account and is posted to the Partnership’s account on a monthly basis.

At present, due to the low interest rate environment that has prevailed in the U.S. since 2008, the Interest Earning Program’s U.S. dollar floor rate of 0% applies. In interest rate environments like the current one in which the Partnership does not earn interest under the Interest Earning Program, the General Partner may seek to transfer cash from affiliates if it believes that any interest earned on this cash was consistent with its goal of safely maintaining these assets and otherwise would offset the advantages of maintaining cash with its affiliates.

MLPF&S, in the course of acting as commodity broker for the Partnership, will have use of Partnership cash and earn interest and receive other economic benefits as a result. MLPF&S follows the same procedures for these transactions as it does with respect to the Interest Earning Program as discussed above.

Charges

The following table summarizes the charges incurred by the Partnership for the years ended 2012, 2011 and 2010.

	2012				2011				2010
Charges	Dollar Amount		% of Average Month-End Net Assets		Dollar Amount		% of Average Month-End Net Assets		Dollar Amount		% of Average Month-End Net Assets
Wrap Fee	$	5,491,333	5.79	%	$	7,959,412	5.83	%	$	9,258,996	5.74	%
Profit Shares	—		0.00	%	—		0.00	%	—		0.00	%
Total Expenses	$	5,491,333	5.79	%	$	7,959,412	5.83	%	$	9,258,996	5.74	%

The foregoing table does not reflect: (i) the bid-ask spreads paid by the Partnership on forward trading or (ii) the benefits which may be derived by BAC from the deposit of certain of the Partnership’s U.S. dollar assets maintained at MLPF&S. id-ask spreads and brokerages commissions are components of the trading profit or loss of the Partnership rather than a distinct expense item separable from the Partnership’s trading; they are netted against realized and unrealized trading gains or losses in determining trading profit or loss. Benefits derived by BAC from the deposit of the Partnership’s assets at MLPF&S are neither a direct expense of the Fund nor readily quantifiable.

The Partnership’s average month-end Net Assets during 2012, 2011 and 2010 equaled $94,773,855 $136,420,002, and $161,221,838, respectively.

During 2012, 2011 and 2010 the Partnership earned $84,330, $85,533 and $220,830 in interest income, or approximately .09 %, 0.06%, and 0.14% of the Partnership’s average month-end Net Assets.

Description of Current Charges

Recipient		Nature of Payment		Amount of Payment
MLPF&S		Brokerage commissions		A flat-rate monthly brokerage commission of 0.458 of 1% (a 5.5% annual rate) of the Partnership’s month-end assets (including the monthly interest credit and before reduction for accrued month-end redemptions, distributions, Administrative Fees (defined below) or Profit Shares (defined below), in each case as of the end of the month of determination). Such Brokerage Commission covers Sunrise’s monthly consulting fee as well as ongoing operating costs such as floor brokerage and exchange, clearing and National Futures Association (“NFA”) fees incurred in the Partnership’s trading (which include the clearing fees and sales commissions charged by MLPF&S and the prime brokerage fees charged by MLIB).

MLPF&S	Use of Partnership assets	BAC may derive an economic benefit from the deposit of certain of the Partnership’s U.S. dollar assets in accounts maintained at MLPF&S.

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

MLIB (or a BAC affiliate); Other counterparties	Bid—ask spreads	Bid—ask spreads are not accounted for separately as an accounting item because bid-ask spreads are an integral part of the price paid or received on all contracts for the purpose of generally accepted accounting principles.

MLIB (or a BAC affiliate); Other counterparties	EFP differentials	Certain of the Partnership’s currency trades may be executed in the form of “exchange of futures for physical” transactions, in which a counterparty (which may be MLIB or a BAC 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 of the end of each calendar year (or upon redemption of Units). “New Trading Profits” means the increase, if any, in cumulative net trading profits as of the end of any calendar year over the previous all-time high in cumulative net trading profits as of the end of any previous calendar year. New Trading Profits include all net trading profits but not interest income and after reduction for 3.75% of the brokerage commission.

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), provided that for such calculation the month-end assets will be reduced by the Brokerage Commission rate plus the Administrative Fee rate less the consulting fee rate.

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

MLPF&S;

Others

Extraordinary expenses

Actual costs incurred; none paid to date.

Regulation

The CFTC has delegated to the NFA responsibility for the registration of “commodity trading advisors,” “commodity pool operators,” “futures commission merchants,” “introducing brokers” and their respective associated persons, and “floor brokers” and “floor traders.” The Commodity Exchange Act (“CEA”) requires commodity pool operators such as MLAI, commodity trading advisors such as the Trading Advisor and commodity brokers or FCMs such as MLPF&S to be registered and to comply with various reporting and record keeping requirements. CFTC regulations also require FCMs to maintain a minimum level of net capital. In addition, the CFTC and certain commodities exchanges have established limits referred to as “speculative position limits” on the maximum net long or net short speculative positions that any person may hold or control in any particular futures or options contracts traded on U.S. commodities exchanges. All accounts owned or managed by the Trading Advisor will be combined for position limit purposes. The Trading Advisor could be required to liquidate positions in order to comply with such limits. Any such liquidation could result in substantial costs to the Partnership. In addition, many futures exchanges impose limits beyond which the price of a futures contract may not trade during the course of a trading day, and there is a potential for a futures contract to reach its daily price limit for several days in a row, making it impossible for the Trading Advisor to liquidate a position and thereby experiencing dramatic losses. Currency forward contracts are not regulated as “swaps” under the CEA, but are subject to governmental regulation such as mandatory reporting and business conduct standards for swap dealers and major swap participants to the extent otherwise applicable to swaps under the CEA and applicable rules of the CFTC, see Item 1A “Risk Factors-”Regulatory Changes Could Restrict the Partnership’s Operations.”

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 “Securities Exchange Act”), the Partnership is generally not subject to regulation by the Securities and Exchange Commission (the “SEC”). However, MLAI itself is registered as an “investment adviser” under the Investment Advisers Act of 1940. MLPF&S is also regulated by the SEC and the Financial Industry Regulatory Authority (the “FINRA”).

(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 1A: Risk Factors

Past Performance Not Necessarily Indicative of Future Results

There can be no assurance that Sunrise’s trading strategy will produce profitable results. The performance of the Partnership is entirely unpredictable, and the past performance of the Partnership as well as of Sunrise is not necessarily indicative of their future results. There can be no assurance that the performance of the Partnership will achieve its investment objectives or avoid substantial or total loss.

The price data which Sunrise has researched in developing its programs may not reflect the changing dynamics of future markets, and if it does not, the Expanded Diversified Program would have little chance of being profitable. An influx of new market participants, changes in market regulation, international political developments, demographic changes and numerous other factors can contribute to once-successful strategies becoming outdated. Not all of these factors can be identified, much less quantified. There can be no assurance that Sunrise will trade profitably for the Partnership.

The Large Size of the Partnership’s Trading Positions Increases the Risk of Sudden, Major Losses

The low margin requirements normally required in futures and OTC trading permit traders to use an extraordinarily high degree of economic leverage. The Partnership may take positions with a face value of up to approximately 15 times the total equity of the Partnership. Consequently, even small price movements can cause major losses.

Futures and forward trading is highly leveraged, and market price levels are volatile and materially affected by unpredictable factors such as weather and governmental intervention. This combination of leverage and volatility creates a high degree of risk. Additionally, although Sunrise may initiate stop-loss orders on certain positions to limit this risk, there can be no assurance that any stop-loss order will be executed at the desired price or time. In any event, Sunrise anticipates that stop-loss orders will not be employed with respect to the majority of positions established for the Partnership.

Sunrise Analyzes Only Technical Market Data, Not Any Economic Factors External to Market Prices

The Sunrise programs focus exclusively on statistical analysis of market prices. Technical strategies rely on information intrinsic to the market itself to determine trades, such as prices, price patterns, volume and volatility. Consequently, technical strategies can incur major losses when factors exogenous to the markets themselves, including political events, natural catastrophes, acts of war or terrorism dominate the markets. During such periods, Sunrise’s historical price analysis could establish positions on the wrong side of the price movements caused by such events. The widespread use of technical trading systems frequently results in numerous managers’ attempting to execute similar trades at or about the same time, altering trading patterns and affecting market liquidity.

The likelihood of the Units’ being profitable could be materially diminished during periods when events external to the markets themselves have an important impact on prices.

Notwithstanding the foregoing, market judgment and discretion generally play some part in all managed futures strategies. To the extent Sunrise exercises subjective trading judgment, less consistent results may be produced than would be obtained in the absence of such judgment.

Possible Effects of Speculative Position Limits

The CFTC and U.S. commodities exchanges have established limits referred to as “speculative position limits” on the maximum net long or net short speculative positions that any person may hold or control in any particular futures or options on futures contracts traded on U.S. commodities exchanges. All proprietary or client accounts owned or managed by Sunrise are combined for purposes of calculating position limits. Sunrise could be required to liquidate positions held for the Partnership, or may not be able to fully implement its trading program, in order to comply with such limits, even though the positions attributable to the Partnership do not themselves trigger the position limits or are a small portion of the aggregate positions directed by Sunrise. Position limits could force the Partnership to liquidate profitable positions, result in a tracking error between the Partnership’s portfolio and Sunrise’s standard trading program and cause the Partnership to incur substantial transaction costs.

In October 2011, the CFTC adopted rules that, among other things, established a separate position limits regime for 28 so-called “exempt,” i.e., metals and energy, and agricultural futures and options contracts and their economically equivalent swap contracts. Position limits in spot months are generally set at 25% of the official estimated deliverable supply of the underlying commodity while position limits related to non-spot months are generally set at 10% of open interest in the first 25,000 contracts and 2.5% of the open interest thereafter. In addition, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Reform Act”) significantly expands the CFTC’s authority to impose position limits with respect to futures contracts, options on futures contracts, swaps that are economically equivalent to futures or options on futures, swaps that are traded on a regulated exchange and certain swaps that perform a significant price discovery function.

The General Partner is subject to CFTC-imposed position limits through its control of the Partnership, and may have to aggregate positions of the Partnership in determining whether the position limits are reached. The rules adopted by the CFTC in October 2011, in addition to expanding the contracts subject to CFTC-imposed position limits, narrow certain exemptions from the aggregation requirements, making it more likely that a party such as the General Partner hiring multiple trading advisors may be required to aggregate the positions controlled by the various trading advisors. In the Partnership’s case, if this aggregation is required, Sunrise may not be able to implement its trading program for the Partnership in the same

manner as for its other clients, causing the Partnership to underperform other accounts utilizing its trading program, or the Partnership may have to liquidate trading positions when Sunrise would otherwise not advise doing so, resulting in losses to the Partnership.

Derivatives Risks Generally

Sunrise may use derivative instruments in implementing its trading program. The market for many types of these derivative instruments is comparatively illiquid and inefficient, creating the potential for substantial mispricings, as well as sustained deviations between theoretical and market value. In addition, the derivatives market is, in comparison to other markets, a relatively new market, and the events of 2008 and 2009, including the bailout of American International Group, Inc., demonstrated that even the most sophisticated market participants may misunderstand how the market in derivatives will perform during periods of unusual price volatility or instability, market illiquidity, or credit distress. The primary risks associated with the use of derivatives are model risk, market risk and counterparty risk.

The Partnership’s investments in OTC derivatives are subject to greater risk of counterparty default and less liquidity than exchange-traded derivatives, although exchange-traded derivatives are subject to risk of failure of the exchange on which they are traded and the clearinghouse through which they are guaranteed. Counterparty risk includes not only the risk of default and failure to pay mark-to-market amounts and return risk premium, if any, but also the risk that the market value of OTC derivatives will fall if the creditworthiness of the counterparties to those derivatives weakens.

The prices of derivative instruments can be highly volatile. Price movements of derivative instruments are influenced by, among other things, interest rates, changing supply and demand relationships, trade, fiscal, monetary and exchange control programs and policies of governments, and national and international political and economic events and policies. In addition, governments from time to time intervene, directly and by regulation, in certain markets. This intervention often is intended directly to influence prices and may, together with other factors, cause all of such markets to move rapidly in the same direction because of, among other things, interest rate fluctuations.

There was substantial disruption in the derivatives markets related to the bankruptcy of Lehman Brothers Holdings, Inc. and uncertainty relating to the government bailout of American International Group, Inc. This disruption and uncertainty can cause substantial losses if transactions are prematurely terminated, especially due to default when payment may be delayed or completely lost. Uncertainties in the derivatives markets continue due to proposed regulatory initiatives, new regulations requiring OTC derivatives clearing, and allegations of inappropriate behavior by market participants to cause or avoid payments under credit default swaps.

F/X Forward Trading

The Partnership may trade currencies in the F/X markets (“F/X Markets”), in addition to its trading in the futures markets. Prospective investors must recognize that the Fund’s OTC currency trading takes place in largely unregulated markets, rather than on futures exchanges, and may, but does not now, take place through “retail” F/X Markets subject to the jurisdiction of the CFTC or other regulatory bodies. The responsibility for performing under a particular transaction currently rests solely with the counterparties to that transaction, not with any exchange or clearinghouse. As a result, the Partnership is exposed to the credit risk of the OTC counterparties with which it trades and deposits collateral, including that of MLIB as the F/X prime broker. See “Risk of Loss Due to the Bankruptcy or Failure of Counterparties, Custodians, Brokers and Exchanges,” below.

The Partnership is also subject to the risk that a forward counterparty may not settle a transaction in accordance with its terms, because the counterparty is unwilling or unable to do so, potentially resulting in significant losses. A counterparty’s failure to perform could occur in respect of an offsetting forward contract on which the Partnership remains obligated to perform. The Partnership will not, however, be excused from performance under any forward contracts into which it has entered due to defaults under other forward contracts. In addition, counterparties generally have the right to terminate trades under a number of circumstances including, for example, declines in the Partnership’s net assets and certain “key person” events. Any premature termination of the Partnership’s currency forward trades could result in significant losses for the Partnership, because the Partnership may be unable to quickly re-establish those trades and may only be able to do so at disadvantageous prices. Forward market counterparties are under no obligation to enter into forward transactions with the Partnership, including transactions through which the Partnership is attempting to liquidate open positions. In addition, the prices offered for the same forward contract may vary significantly among different forward market participants.

The Reform Act amended the definition of “eligible contract participant,” and the Fund expects to meet the amended definition so long as its total assets exceed $10 million. If the Partnership does not meet the definition of “eligible contract participant,” it could lead to the Partnership’s bearing higher upfront and mark-to-market margin, less favorable trade pricing, and the possible imposition of new or increased fees. “Retail forex” markets could also be significantly less liquid than the interbank market. Moreover, the creditworthiness of the counterparties with whom the Partnership may be required to trade could be significantly weaker than the creditworthiness of MLIB and the currency forward counterparties with which the Fund would otherwise engage for its currency forward transactions.

The imposition of credit controls by governmental authorities or the implementation of regulations pursuant to the Reform Act might limit forward trading to less than that which MLAI would otherwise recommend, to the possible detriment of the Partnership. \

The Partnership May Trade Options

The Partnership may trade options on futures contracts. Although successful options trading requires many of the same skills as successful futures and forward trading, the risks involved are different. For example, the assessment of near-term market volatility — which is directly reflected in the price of outstanding options — can be of much greater significance in trading options than it is in many long-term futures strategies. The use of options can be extremely expensive if market volatility is incorrectly predicted. A purchaser of options is exposed to the risk of loss of the entire premium paid; a seller, or writer, of call options is exposed to the risk of theoretically unlimited loss, and the seller of put options is exposed to the risk of substantial loss far in excess of the premium received.

The Partnership May Engage in Exchange of Futures for Physicals Transactions

Sunrise may engage in EFP transactions on behalf of the Partnership. As is the case with executing a transaction purely on an exchange or purely in the OTC market, EFP transactions, which are done partially on a futures exchange and partially in the OTC market, involve transaction costs.

“Whipsaw” Markets; Lack of the Types of Price Trends Which the Expanded Diversified Program Can Identify Will Cause Major Losses

Many technical trading systems are trend-following. Trend-following systems generally anticipate that a majority of their trades will be unprofitable and seek to achieve overall profitability by substantial gains made on a limited number of positions. These strategies are generally only successful in markets in which strong price trends occur. In stagnant markets in which these trends do not occur, or in “whipsaw markets” in which apparent trends develop but then quickly reverse, trend-following trading systems are likely to incur substantial losses.

Increased Competition from Other Trend-Following Traders Could Reduce Sunrise’s Profitability

The aggregate capital committed to the managed futures sector in general is at an all-time high. The more capital that is traded in these markets, or that is committed to any one particular strategy, the greater the competition for a finite number of positions and the less the profit potential for all strategies or for any particular strategy.

The widespread use of technical trading systems frequently results in numerous managers attempting to execute similar trades at or about the same time, altering trading patterns and affecting market liquidity. Furthermore, the profit potential of trend-following systems may be diminished by the changing character of the markets, which may make historical price data (on which technical trading systems are based) only marginally relevant to future market patterns.

Sunrise’s High Level of Equity Under Management Could Lead to Diminished Returns

There appears to be a tendency for the rates of return achieved by managed futures advisors to decline as assets under management increase. Sunrise has not agreed to limit the amount of additional equity which it may manage, and although Sunrise’s equity under management is not at or near its all-time high, it may reach such level in the future.

The more money Sunrise manages, the more difficult it may be for Sunrise to trade profitably because of the difficulty of trading larger positions without adversely affecting prices and performance. Large trades may result in more price slippage than smaller orders.

Illiquid Markets Could Make It Impossible for Sunrise to Realize Profits or Limit Losses

In illiquid markets, certain positions held by the Partnership may become illiquid, preventing Sunrise from acquiring positions otherwise indicated by its strategy or making it impossible for Sunrise to close out positions against which the market is moving. There are numerous factors which can contribute to market illiquidity, far too many for Sunrise to be able to predict. There can be no assurance that a market which has been highly liquid in the past will not experience periods of unexpected illiquidity.

Most U.S. futures exchanges, for example, limit fluctuations in some futures contract prices during a single day by regulations referred to as “daily price limits.” During a single trading day no trades may be executed in these contracts at prices beyond the daily price limit. Once the price of a futures contract has increased or decreased to the limit point, positions can be neither taken nor liquidated. Futures prices have occasionally moved to 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. Also, the CFTC or exchanges may suspend or limit trading. Trading on non-U.S. exchanges may also be subject to price fluctuation limits and are otherwise subject to periods of significant illiquidity. Trading in the forward currency and other OTC markets is currently not subject to daily limits, although such trading is also subject to periods of significant illiquidity.

The Large Size of the Partnership’s Trading Positions Increases the Risk of Sudden, Major Losses

Sunrise Analyzes Only Technical Market Data, Not Any Economic Factors External to Market Prices

The likelihood of the Units’ being profitable could be materially diminished during periods when events external to the markets themselves have an important impact on prices.

Possible Effects of Speculative Position Limits

Derivatives Risks Generally

F/X Forward Trading

Custodians, Brokers and Exchanges,” below.

The Partnership May Trade Options

The Partnership May Engage in Exchange of Futures for Physicals Transactions

“Whipsaw” Markets; Lack of the Types of Price Trends Which the Expanded Diversified Program Can Identify Will Cause Major Losses

Increased Competition from Other Trend-Following Traders Could Reduce Sunrise’s Profitability

profit potential of trend-following systems may be diminished by the changing character of the markets, which may make historical price data (on which technical trading systems are based) only marginally relevant to future market patterns.

Sunrise’s High Level of Equity Under Management Could Lead to Diminished Returns

Illiquid Markets Could Make It Impossible for Sunrise to Realize Profits or Limit Losses

The Partnership Trades Extensively in Non-U.S. Markets; These Markets Are Less Regulated Than U.S. Markets and Are Subject to Exchange Rate, Market Practice and Political Risks

The Expanded Diversified Program trades a great deal outside the United States. From time to time, as much as 40% of the Partnership’s overall market exposure could involve positions taken on non-U.S. markets (excluding non-U.S. exchange transactions in U.S. markets). Non-U.S. trading involves risks — including exchange-rate exposure, possible governmental intervention and lack of regulation — which U.S. trading may not. In addition, the Partnership may not have the same access to certain positions on non-U.S. exchanges as do local traders, and the historical market data on which Sunrise bases its strategies may not be as reliable or accessible as it is in the United States. Certain non-U.S. exchanges may also be in a more or less developmental stage so that prior price histories may not be indicative of current price dynamics. The rights of clients in the event of the insolvency or bankruptcy of a non-U.S. market or broker are also likely to be more limited than in the case of U.S. markets or brokers.

Trading on non-U.S. exchanges is not regulated by any U.S. government agency and may involve certain risks not applicable to trading on U.S. exchanges. For example, some non-U.S. exchanges, in contrast to U.S. exchanges, are “principals’ markets” similar to the forward markets in which performance is the responsibility only of the individual member with whom the Partnership has entered into a futures contract and not of any exchange or clearing corporation. In such cases, the Partnership will be subject to the risk of the inability or refusal to perform with respect the individual member with whom the Partnership has entered into a futures contract. Trading on non-U.S. exchanges may involve the additional risks of expropriation, burdensome or confiscatory taxation (including taxes on specific trading activities), moratoriums, exchange or investment controls and political or diplomatic disruptions, each of which might materially adversely affect the Partnership’s trading activities. The Partnership could incur substantial losses trading on non-U.S. exchanges to which it would not have been subject had Sunrise limited its trading to U.S. markets.

The U.S. tax treatment of non-U.S. futures trading may be adverse compared to the tax treatment of U.S. futures trading. The profits and losses derived from trading non-U.S. futures and options will generally be denominated in non-U.S. currencies. Consequently, the Partnership will be subject to exchange-rate risk in trading those contracts.

Governments in non-U.S. markets may impose F/X controls at will, making it impossible to convert local currency into other currencies. Should the Partnership trade on futures exchanges outside the United States or otherwise invest in non-U.S. markets, these controls may effectively prevent Partnership capital from being removed from a country where its futures contracts and other investments are traded. In addition, some countries do not have fully convertible currencies as a matter of policy, adding cost or delay to the trading of currency investments by the Partnership. The imposition of currency controls by a non-U.S. government may negatively affect performance and liquidity in the Partnership as capital becomes trapped in that country.

Further, U.S. regulatory authorities may be unable to compel the enforcement of the rules of regulatory authorities or markets in non-U.S. jurisdictions where transactions for the Partnership may be effected.

Risk of Loss Due to the Bankruptcy or Failure of Counterparties, Brokers and Exchanges

The Partnership is exposed to the risk that the bankruptcy or insolvency of its trading counterparties and other entities holding Partnership assets — such as broker-dealers, FCMs, futures exchanges, clearinghouses, banks or other financial institutions, particularly MLPF&S, MLIB and their affiliates — could result in all or a substantial portion of the Partnership’s assets being lost permanently or impounded for a matter of years pending the final disposition of legal proceedings. A bankruptcy or insolvency of this kind, or the threat of one, may cause the General Partner to decide to liquidate the Partnership or suspend, limit or otherwise alter trading, perhaps causing the Partnership to miss significant profit opportunities.

The following paragraphs discuss the various uses of the Partnership’s assets and the risks of loss — in addition to losses from trading — associated with each use.

Margin for Commodities Trading. Although the General Partner believes that MLPF&S is appropriately capitalized to function as the Partnership’s FCM, cash posted as margin for commodities trading with MLPF&S is nevertheless subject to the risk of insolvency of MLPF&S. MLPF&S is required by CFTC regulations to segregate “customer funds” from its proprietary assets for futures and options trading on U.S. exchanges in order to protect customer funds in the event of MLPF&S’s bankruptcy. If MLPF&S did not comply with the segregation requirement to the full extent required by law, the assets of the Partnership might not be fully protected. Even given proper segregation, the Partnership may be subject to a risk of loss of its funds. For example, although CFTC regulations require that FCMs invest customer funds only in certain types of interest-bearing financial instruments, subject to instrument and issuer-based concentration and time to maturity limits which are intended to preserve principal and maintain liquidity, there is no assurance that the permitted instruments will perform as intended, so that there is a possibility of a shortfall in customer segregated funds held by MLPF&S in the event of MLPF&S’s insolvency. In addition, there may be a shortfall in customer segregated funds held by MLPF&S in the event of a substantial default by one or more of MLPF&S’s other customers. In the case of a MLPF&S insolvency or inability to satisfy a substantial deficiency in other customer accounts, the Partnership might recover, even in respect of “customer funds” specifically traceable to the Partnership, only a pro rata share of all property available for distribution to all of MLPF&S’s customers. In addition, if BAC directly or indirectly owns 10% or more of the Partnership, which would typically result from BAC’s providing seed capital to the Partnership to help ensure that the Partnership has enough capital for trading activities, the Partnership’s account at MLPF&S would be considered a “proprietary account” under CFTC regulations and the Partnership’s assets, including assets used to margin U.S. exchange-traded futures and options, would not be protected as “customer funds.” If MLPF&S became insolvent at a time when the Partnership’s assets on deposit with MLPF&S were not considered customer funds, the Partnership would likely lose significantly more as a result of the bankruptcy than would otherwise be the case. Where BAC provides seed capital it also establishes a regular redemption schedule providing for withdrawal of the capital when the Partnership capitalization reaches a certain level. Once BAC’s ownership of the Partnership falls below 10% the account of the Partnership will be considered a customer account rather than a proprietary account.

MLPF&S is required by CFTC regulations to maintain in a secured account the amount required to margin futures and options positions established on non-U.S. futures exchanges in order to protect customer funds in the event of MLPF&S’s bankruptcy. While the secured account requirement relating to trading non-U.S. futures exchanges is similar in some respects to the segregation requirement relating to trading on U.S. futures exchanges, they are not identical and there are special risks associated with funds maintained in a secured account. Funds held in a secured account may be commingled with funds of non-U.S. persons and, because they are by necessity held in a non-U.S. jurisdiction, are subject to different insolvency laws and customer protection regulations, which may be less favorable than U.S. laws and regulations. Moreover, funds traded from a secured account to a non-U.S. FCM, exchange or clearing agency to margin trading on non-U.S. futures exchanges are not subject to the same limitations on permissible investments as funds held by U.S. FCMs. In addition to these special risks, funds held in a secured account are subject to risks comparable to those applicable to funds in a segregated

account, namely that MLPF&S will not comply with the relevant regulations, that investments in the account will decline in value, of a shortfall in the event of the default by another customer, and that, if, BAC owns 10% or more of the Partnership, the Partnership’s assets will not be protected as “customer funds.”

Collateral for OTC Transactions. Cash pledged as collateral with MLIB for F/X forwards or options on forwards or with any other OTC prime broker for trading other OTC investments is subject to the risk of the insolvency of MLIB or other OTC prime broker and unlike cash posted as margin for commodities trading on regulated exchanges is not required to be segregated or held in a secured account.

Bank Deposits. The vast majority of the cash deposited with banks would be in excess of the limits on federal insurance for deposits, and thus not insured by the Federal Deposit Insurance Corporation (“FDIC”), and would be subject to the risk of bank failure. However, amounts held in non-interest bearing demand deposit accounts are fully insured through the end of 2012. Beginning in January 2013, only up to $250,000 held in non-interest bearing demand deposit accounts will be insured under the FDIC’s general deposit insurance rules.

Cash in Securities Brokerage Accounts. Cash in securities brokerage accounts with MLPF&S is subject to the risk of insolvency of MLPF&S. While brokers are required to keep customer cash in a special reserve account for the benefit of customers, it is possible that a shortfall could exist in this account, in which case the Partnership, along with other customers, would suffer losses. The Securities Investor Protection Corporation provides protection against these losses, up to a limit, but the cash deposited by the Partnership in a securities brokerage account would far exceed the limit.

Direct Investments. Partnership investments in U.S. government securities are backed by the full faith and credit of the U.S. government. To the extent the Partnership makes investments in non-government securities it would be subject to a risk of loss that depended on the type of security.

MLAI has historically preferred BAC affiliates in clearing and prime brokerage relationships, and as a result has maintained the vast majority of its cash in futures brokerage accounts with its affiliates. This policy exposes the Partnership to the specific credit risk of these BAC affiliates because balances in these accounts are not subject to FDIC or other form of deposit insurance against loss from failure of the BAC affiliate. Balances maintained with clearing brokers are, however, subject to the protections for customer segregated and secured accounts discussed above.

There are increased risks associated with offshore OTC trading, including the risk that assets held by offshore brokers and unregulated trading counterparties may not benefit from the protection afforded to customer funds deposited with regulated FCMs or broker-dealers. Additionally, the participants in OTC markets typically are not subject to the type of strict credit evaluation and regulatory oversight applicable to members of “exchange-based” markets, and transactions in these markets typically are not settled through exchanges or clearinghouses that guarantee the trades of their participants. To the extent Sunrise trades in offshore OTC markets, the Partnership is subject to the credit risk of the counterparties with which it trades and deposits collateral, including that of MLIB.

If the Partnership deposits assets with a particular entity and those assets are not held in segregation or in a secured account as “customer funds” for any of the reasons discussed above, in the event of the entity’s insolvency the Partnership would be a general creditor of the entity even with regard to property specifically traceable to the Partnership’s account. As a result, the Partnership’s claim would be paid along with the claims of other general creditors and the Partnership would be subject to the loss of its entire deposit with the party.

The General Partner’s policy that Sunrise use MLPF&S and MLIB may increase the risks of insolvency described above by preventing the diversification of brokers and counterparties used by the Partnership.

Although MLPF&S and MLIB remain the ultimate clearing broker and F/X prime broker for the Partnership, in certain circumstances, Sunrise may require that the Partnership trade or clear on a “give up” basis through certain non-BAC brokers or counterparties with which Sunrise has ongoing business dealings.

Recent events underscore the risks described above. Significant losses incurred by many investment funds in relation to the bankruptcy and/or administration of Lehman Brothers Holdings Inc. and its affiliates illustrate the risks incurred in both derivatives trading and custody/brokerage arrangements. The ongoing bankruptcy liquidation of MF Global Inc. also demonstrates that even customer funds subject to segregation requirements may be difficult for an FCM to locate, and customer funds held by an FCM in bankruptcy may not be distributed promptly and may be subject to a lengthy claims process.

Market Disruptions; Government Intervention

The global financial markets have recently experienced pervasive and fundamental disruptions that have led to extensive and unprecedented governmental intervention. Government intervention has in certain cases been implemented on an “emergency” basis, suddenly and substantially eliminating market participants’ ability, at least on a temporary basis, to continue to implement certain strategies or manage the risk of their outstanding positions. In addition — as one would expect given the complexities of the financial markets and the limited time frame within which governments have taken action — these interventions typically have been difficult to interpret and unclear in scope and application, resulting in confusion and uncertainty. This confusion and uncertainty in itself has been materially detrimental to the efficient functioning of the markets as well as previously successful investment strategies.

The Partnership may incur substantial losses in the event of disrupted markets and other extraordinary events in which historical pricing relationships become materially distorted, the availability of credit is restricted or the ability to trade or invest capital, including exiting existing positions, is otherwise impaired. The risk of loss from pricing distortions is compounded by the fact that in disrupted markets many positions become illiquid, making it difficult or impossible to close out positions against which the markets are moving. The financing available to private investment funds such as the Partnership from banks, dealers and other counterparties is typically reduced in disrupted markets. Any reduction may result in substantial losses to the Partnership. Market disruptions may from time to time cause dramatic losses for the Partnership and these events can result in otherwise historically low-risk strategies performing with unprecedented volatility and risk.

Regulatory Changes Could Restrict the Partnership’s Operations

The Partnership implements speculative, highly leveraged strategies. From time to time there is governmental scrutiny of these types of strategies and political pressure to regulate their activities. The CFTC and the exchanges are authorized to take extraordinary actions in the event of a market emergency, including, for example, the retroactive implementation of speculative position limits or higher margin requirements, the establishment of daily price limits and the suspension of trading. The regulation of futures, forward and options transactions in the United States is a rapidly changing area of law and is subject to modification by government and judicial action. In addition, as described in further detail above under “Possible Effects of Speculative Position Limits,” the U.S. Congress and the CFTC have expressed the concern that speculative traders, and commodity funds in particular, may be responsible for unwarranted and dramatic swings in the prices of commodities and the CFTC enacted position limits designed to address such speculative trading. Non-U.S. governments have from time to time blamed the declines of their currencies on speculative currency trading and imposed restrictions on speculative trading in certain markets.

Regulatory changes could adversely affect the Partnership by restricting the markets in which it trades, otherwise limiting its trading and/or increasing the taxes to which investors are subject. Adverse regulatory initiatives could develop suddenly and without notice.

The Reform Act includes provisions that substantially increase the regulation of the OTC derivatives markets. Regulations implementing the Reform Act may require that a substantial portion of derivatives currently traded over the counter be executed in regulated markets and submitted for clearing to regulated clearinghouses. Those OTC derivatives may include OTC F/X forwards and swaps which may be traded by the Partnership.

The U.S. Treasury has determined that F/X forwards and swaps will not be regulated as ‘swaps” under the CEA, although these will remain subject to mandatory reporting and business conduct standards for swap dealers and major swap participants to the extent otherwise applicable to swaps under the CEA and applicable rules of the CFTC. However, the Reform Act may require other OTC derivatives traded by the Partnership, if any, to be cleared or traded on a regulated exchange. This may subject the Partnership, Sunrise, MLAI and/or the Partnership’s counterparties to additional regulatory requirements including minimum initial and variation margin requirements, minimum capital requirements, registration with the SEC and/or the CFTC, new business conduct standards, disclosure requirements, reporting and recordkeeping requirements, transparency requirements, position limits, limitations on conflicts of interest and other regulatory burdens. Certain of these regulatory requirements could impact the Partnership, Sunrise or MLAI directly, while others could impact the Partnership, Sunrise or MLAI indirectly due to the impact of the requirements on the Partnership’s counterparties. These new regulatory burdens would further increase the counterparties’ costs, which are expected to be passed through to other market participants such as the Partnership in the form of higher fees and less favorable dealer marks. They may also render certain strategies in which Sunrise might otherwise engage impossible, or so costly that they will no longer be economical, to implement.

Banking Regulation

BAC is subject to certain U.S. banking laws, including the Bank Holding Company Act of 1956 (“BHCA”), and to regulation by the Board of Governors of the Federal Reserve System (the “Federal Reserve”). If BAC directly, or indirectly through its subsidiaries, makes capital contributions to the Partnership in an aggregate amount such that BAC may be deemed to control the Partnership for purposes of the BHCA, or if BAC is otherwise deemed to control the Partnership for purposes of the BHCA, the Partnership may be subject to certain investment and other limitations.

In addition, recent legislative changes in the United States are relevant to BAC, the Partnership and its investors. On July 21, 2010, President Obama signed into law the Reform Act. The Reform Act includes certain provisions (known as the “Volcker Rule”) that restrict a banking entity, such as BAC, from acquiring or retaining any equity, partnership or other ownership interest in, or sponsoring, a Covered Fund, such as the Partnership, and prohibit certain transactions between Covered Funds, on the one hand, and BAC, on the other. The Reform Act includes certain provisions known as the “Volcker Rule” that restricts a banking entity, such as BAC, from acquiring or retaining any equity, partnership or other ownership interest in, or sponsoring a private equity fund or hedge fund or similar fund as the regulatory agencies may determine (each a “Covered Fund”), such as the Partnership, unless permitted under a special exemption. The Volcker Rule prohibits certain transactions between Covered Funds, on the one hand, and BAC, on the other.

However, the Volcker Rule permits a banking entity, such as BAC, to organize and offer Covered Funds, including serving as a general partner, managing member or trustee of such fund and in any manner selecting or controlling (or having employees, officers, directors or agents who constitute) a majority of the directors, trustees or management of such fund, if certain conditions are cumulatively satisfied. Those conditions include, among other things, the requirements that: (a) the banking entity provides bona fide trust, fiduciary or investment advisory services; (b) the Covered Fund is organized and offered only in connection with the provision of bona fide trust, fiduciary or investment advisory services and is offered only to persons that are customers of such services of the banking entity; (c) the banking entity does not acquire or retain an equity interest, partnership interest or other ownership interest in the Covered Fund except for a de minimis investment (generally an investment by a banking entity in a Covered Fund will be considered de minimis if the investment is not more than 3% of the total ownership interest of the fund and is immaterial to the banking entity (as defined by rule), but in no case may the aggregate of all of the interests of the banking entity in all such funds exceed 3% of the Tier 1 capital of the banking entity); (d) (i) neither the banking entity that serves, directly or indirectly, as the investment manager, investment adviser or sponsor to a Covered Fund or that organizes and offers a Covered Fund, nor any affiliate of the banking entity, may enter into a transaction with the Covered Fund or with any other Covered Fund that is controlled by such Covered Fund, that would be a “covered transaction”, as defined in section 23A of the Federal Reserve Act (including, among other things, a loan or extension of credit to an affiliate, a purchase of or an investment in securities issued by an affiliate, a purchase of assets from an affiliate, and the issuance of a guarantee or letter of credit on behalf of an affiliate), with the Covered Fund, as if the banking entity and the affiliate thereof were a member bank and the Covered Fund were an affiliate thereof and (ii) the banking entity that serves, directly or indirectly, as the investment manager, investment adviser or sponsor to a Covered Fund or that organizes and offers a Covered Fund complies with section 23B of the Federal Reserve Act (which generally requires that the terms of transactions be substantially the same, or at least as favorable to the banking entity, as those prevailing at the time for comparable transactions with non-affiliated companies) as if the banking entity were a member bank and such Covered Fund were an affiliate thereof; (e) the banking entity does not, directly or indirectly, guarantee, assume or otherwise insure the obligations or performance of the Covered Fund or of any fund in which the Covered Fund invests; (f) the banking entity does not share with the Covered Fund, for corporate, marketing, promotional or other purposes, the same name or a variation of the same name; (g) no director or employee of the banking entity takes or retains an equity interest, partnership interest or other ownership interest in the Covered Fund, except for any director or employee of the banking entity who is directly engaged in providing investment advisory or other services to the Covered Fund; and (h) the banking entity discloses to prospective and actual investors in the Covered Fund, in writing, that any losses in such fund are borne solely by investors in the Covered Fund and not by the banking entity, and otherwise complies with any additional rules designed to ensure that losses in the Covered Fund are borne solely by investors in such fund and not by the banking entity.

In addition, no transaction, class of transactions or activity that is otherwise allowed under the Volcker Rule will be permitted by a banking entity if it would (i) involve or result in a material conflict of interest (as such term will be defined by rule) between the banking entity and its clients, customers or counterparties; (ii) result, directly or indirectly, in a material exposure by the banking entity to high-risk assets or high-risk trading strategies (both such terms, as will be defined by rule); (iii) pose a threat to the safety and soundness of such banking entity; or (iv) pose a threat to the financial stability of the United States.

On October 11, 2011, the Federal Reserve, the Office of the Comptroller of the Currency, the FDIC and the SEC issued for public comment a joint notice containing the proposed rule. Though the final Volcker Rule has not yet been issued, the effective date was July 21, 2012. Within two years after the effective date, a banking entity is required to bring its activities and investments into compliance with the Volcker Rule. The Federal Reserve may grant up to three one-year extensions of the compliance transition period if the extension would be consistent with the purposes of the Volcker Rule and would not be detrimental to the public interest. For certain “illiquid funds”, an additional extension of up to five-years may be available to the extent necessary to fulfill a contractual obligation that was in effect on May 1, 2010.

Although it is not certain what form the final rules will take or the impact such final rules will have on the Partnership or BAC’s relationship to the Partnership, certain impacts are likely. At the termination of the applicable compliance transition period, all activities and investments of BAC will have to comply with the Volcker Rule. That means, for example, that some or all of the following changes may have to be implemented: (1) BAC’s investment in the Partnership will have to be reduced to no more than 3% of the ownership interests in the Fund, if applicable; (2) BAC will have to reduce its aggregate investments in all Covered Funds to the maximum amount permitted by the final rules, which amount cannot be more than 3% of BAC’s Tier 1 capital; (3) to the extent that any directors or employees of BAC not directly engaged in providing investment advisory or other services to the Partnership hold any Units in the Partnership, those Units will have to be redeemed or transferred; and/or (4) any “covered transactions” between the Partnership, on the one hand, and BAC, on the other, will have to be terminated. In addition, the trading and other investment opportunities of the Partnership may be limited in order to comply with the restriction on material conflicts of interest, or to prevent a material exposure by BAC to high-risk assets or high-risk strategies.

Redemptions by BAC or certain of its employees as a result of, or in connection with, the Volcker Rule could require the Partnership to liquidate positions sooner than would otherwise be desirable, which could adversely affect the performance of the Partnership. In addition, regardless of the period of time in which such redemptions occur, the resulting reduction in the Partnership’s net assets, and thus in its equity bases, could make it more difficult for the Partnership to diversify its holdings and achieve its investment objective. Substantial redemptions by BAC or certain of its employees could cause the Partnership to distribute a considerable percentage of its liquid assets, leaving the Partnership’s remaining assets, and its remaining Units, comparatively less liquid, and could significantly increase the remaining investors’ pro rata shares of the Partnership’s expenses. Similarly, BAC or certain of its employees may be required to transfer their Units to a third party as a result of, or in connection with, the Volcker Rule and such transfers may have an adverse effect on the Partnership.

In addition to the changes in the regulation of U.S. markets described above, it is impossible to predict what additional interim or permanent governmental regulations, restrictions or limitations may be imposed, whether in the U.S. or non-U.S. markets, on, for example: (x) the markets in which the Partnership invests and the strategies of the Partnership; and (y) BAC. Such measures could have a material and adverse effect on the Partnership, including expenses that result from increased compliance requirements.

Concerns Regarding the Downgrade of the U.S. Credit Rating and the Sovereign Debt Crisis in Europe

On August 5, 2011, Standard & Poor’s lowered its long term sovereign credit rating on the United States of America from AAA to AA+. This downgrade could have material adverse impacts on financial markets and economic conditions in the United States and throughout the world and, in turn, the market’s anticipation of these impacts could have a material adverse effect on the investments made by the Partnership and thereby the Partnership’s financial condition and liquidity. The ultimate impact on global markets and the Partnership’s business is unpredictable.

Global markets and economic conditions have been negatively affected by the ability of E.U. member states to service their sovereign debt obligations. The continued uncertainty over the outcome of the E.U.’s financial support programs and financial troubles could have an adverse effect on the Partnership.

Risks Associated with Sunrise

The Partnership is subject to the risk of the bad judgment, negligence or misconduct of Sunrise. There have been a number of instances in recent years in which private investment funds have incurred substantial losses due to manager misconduct.

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

(d) Securities Authorized for Issuance Under Equity Compensation Plans:

Not applicable.

(e) Recent Sales of Unregistered Securities:

Units are privately offered and sold to “accredited investors” (as defined in Rule 501(a) under the Securities Act) in reliance on the exemption from registration provided by Section 4(2) of the Securities Act and Rule 506 thereunder. The selling agent of the Units was MLPF&S.

During 2012, the Partnership issued Units as set forth in the following chart.

	Subscription
	Amount		Units	NAV
Jan-12	$	—	—	$	284.1791
Feb-12	124,865		456	273.8266
Mar-12	—		—	272.7583
Apr-12	50,000		180	277.3155
May-12	—		—	273.4723
Jun-12	—		—	261.5746
Jul-12	—		—	240.2625
Aug-12	—		—	256.1229
Sep-12	—		—	245.2881
Oct-12	—		—	234.7385
Nov-12	—		—	223.6726
Dec-12	—		—	221.6742
Jan-13	—		—	219.6744
Feb-13	—		—	227.3940

Item 5(b)

Not applicable.

Item 5(c)

Not applicable.

Item 6: Selected Financial Data

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

Statements of Operations	For the Year Ended December 31, 2012			For the Year Ended December 31, 2011			For the Year Ended December 31, 2010			For the Year Ended December 31, 2009			For the Year Ended December 31, 2008

TRADING PROFIT (LOSS):
Realized	$	(18,809,252	)	$	12,292,987		$	(13,126,930	)	$	16,697,398		$	81,364,923
Change in unrealized	11,603			(5,988,458		)	1,981,160			(636,006		)	(3,074,698		)
Total trading profit (loss)	$	(18,797,649	)	6,304,529			(11,145,770		)	16,061,392			78,290,225

INVESTMENT INCOME:
Interest	84,330			85,533			220,830			326,337			3,585,936

EXPENSES:
Wrap Fee	5,491,333			7,959,412			9,258,996			11,199,661			13,785,330
Profit Shares	—			—			—			2,137,349			15,939,202
Total expenses	5,491,333			7,959,412			9,258,996			13,337,010			29,724,532

NET INVESTMENT LOSS	(5,407,003		)	(7,873,879		)	(9,038,166		)	(13,010,673		)	(26,138,596		)

NET INCOME (LOSS)	$	(24,204,652	)	$	(1,569,350	)	$	(20,183,936	)	$	3,050,719		$	52,151,629

Balance Sheet Data	December 31, 2012			December 31, 2011			December 31, 2010			December 31, 2009			December 31, 2008

Partners’ Capital	$	67,504,251		$	119,304,071		$	150,455,350		$	192,965,299		$	215,554,694
Net Asset Value per Unit	$	219.6744		$	284.1791		$	287.9143		$	320.4839		$	314.1450

MLAI believes that the Net Asset Value used to calculate subscription and redemption value and report performance to investors throughout the year is useful information for the limited partners of the Partnership.

MONTH-END NET ASSET VALUE PER INITIAL UNIT

	Jan.	Feb.	Mar.	Apr.	May	June	July	Aug.	Sept.	Oct.	Nov.	Dec.
2007	250.2713	243.2364	233.1099	248.3032	257.0884	261.3951	246.2709	209.4865	223.0168	243.5428	245.3955	250.5450
2008	263.6769	286.4008	281.8904	275.7524	283.5640	289.4566	277.2528	269.6383	273.5805	305.7947	312.9660	314.1450
2009	309.5409	307.2376	298.0409	294.3268	302.0391	300.7773	307.6142	314.8120	315.6093	313.5396	326.4906	320.4839
2010	304.3271	301.2208	307.9271	306.4419	266.4390	262.7351	253.2554	256.1866	264.3506	279.5136	274.0284	287.9143
2011	288.6250	297.7954	293.7558	306.9529	288.3932	281.6155	281.2604	282.6780	299.4734	277.7507	283.8444	284.1791
2012	273.8266	272.7583	277.3155	273.4723	261.5746	240.2625	256.1229	245.2881	234.7385	223.6726	221.6742	219.6744

ML SELECT FUTURES I L.P.

December 31, 2012

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

Inception of Trading: April 1996

Aggregate Subscriptions: $560,341,219

Current Capitalization: $67,504,251

Worst Monthly Drawdown(2): (14.94)% (August 2007)

Worst Peak-to-Valley Drawdown(3): (32.72)% (December 2009 — December 2012)

Net Asset Value per Unit, December 31, 2012: $219.6744

Monthly Rates of Return (4)

Month	2012		2011		2010		2009		2008
January	(3.64	)%	0.25	%	(5.04	)%	(1.47	)%	5.24	%
February	(0.39	)	3.18		(1.02	)	(0.74	)	8.62
March	1.67		(1.36	)	2.23		(2.99	)	(1.57	)
April	(1.39	)	4.49		(0.48	)	(1.24	)	(2.18	)
May	(4.35	)	(6.05	)	(13.05	)	2.62		2.83
June	(8.15	)	(2.35	)	(1.39	)	(0.42	)	2.08
July	6.60		(0.13	)	(3.61	)	2.27		(4.22	)
August	(4.23	)	0.50		1.16		2.34		(2.74	)
September	(4.30	)	5.94		3.19		0.25		1.46
October	(4.71	)	(7.25	)	5.74		(0.66	)	11.77
November	(0.89	)	2.19		(1.96	)	4.13		2.35
December	(0.90	)	0.12		5.07		(1.84	)	0.38
Compound Annual Rate of Return	(22.70	)%	(1.30	)%	(10.16	)%	2.01	%	25.38	%

(1) Certain funds 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, 2003 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, 2003 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.

Item 7: Management’s Discussion and Analysis of Financial Condition and Results of Operations

Results of Operations

General

In the Trading Program, Sunrise applies its trend-following systems to a broadly-diversified portfolio of futures and forwards on underlying interests, including, but not limited to, precious and industrial metals, grains, petroleum products, soft commodities, U.S. and non-U.S. stock indices, currencies and their cross rates. Sunrise may trade these investments on any U.S. or non-U.S. exchange.

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 have caused such movements, but simply occurred at or about the same time.

	Total Trading
Year ended December 31, 2012	Profit (Loss)
Energy	$	(7,245,645	)
Currencies	(5,617,315		)
Agricultural Commodities	1,495,278
Interest Rates	(1,118,065		)
Stock Indices	(1,109,736		)
Metals	(5,202,166		)
	$	(18,797,649	)

The Partnership experienced a net trading loss of $18,797,649 for the year ended December 2012. Profits were primarily attributable to the Fund trading in the agriculture sector posting profits. The stock indices, interest rates, metals, currency and energy sectors posted losses.

The agriculture sector posted profits to the Partnership. Profits were posted to the Partnership at the beginning of the first quarter as the winter’s unusually warm climate across much of the country disrupted the seasonal trading patterns, ultimately causing prices to drop further. Trading in coffee was profitable as the coffee prices continued to decline on expectations of a record crop in Brazil, the world’s largest producer. Profits were posted to the Partnership in the middle of the first quarter as coffee prices ended the month of February lower, in favor of short positions which were driven by its own, weather related fundamentals. Profits were posted to the Partnership at the end of the first quarter. The coffee market remained in a downward trend, which contributed to profits. Since hitting a near record high price in 2011, coffee prices fell on expectations of a large Brazilian crop, the world’s largest coffee producer. Profits were posted to the Partnership at the beginning of the second quarter. The Soybean complex markets exhibited the strongest trends and were the most profitable agricultural markets as prices moved steadily higher. This trend appeared to be partly in reaction to the shortage of soybeans available for export from South America. Losses were posted to the Partnership in the middle of the second quarter. Losses were incurred in the soybean market as prices turned lower after rallying for months. Improved weather forecasts for U.S. crops and prospects of slowing Chinese demand seemed to be the contributing factors behind the price correction. The corn market also experienced significant price swings causing the Trading Program to be whipsawed in and out of short trades. On the positive side, trading in cotton and sugar was profitable due to strong downtrends in both markets. Losses were posted to the Partnership at the end of the second quarter. Grains and softs produced mixed results, with short positions in corn and sugar reversing in trend quickly resulting in modest losses. The ability to go long and short proved its worth again with profitable positions in short rubber and long soybean meal. Profits were posted to the Partnership at the beginning of the third quarter. Soybeans and soymeal accounted for the bulk of the profits as prices advanced. Corn and wheat also contributed to gains through newly established long positions. Profits were posted to the Partnership in the middle of the third quarter. As drought continued across the U.S., upward price trends in soybeans and soymeal generated profits. Also contributing was the Trading Program’s short position in the Tokyo rubber market which continued its downward trend, while cotton and wheat positions generated small losses. Losses were posted to the Partnership at the end of the third quarter. Struggles in the agricultural sector was a fairly sharp price uptick in the rubber market that eroded some of the gains made in previous months;

however, short cotton position was profitable for the month but was not enough to offset losses. Losses were posted to the Partnership at the beginning of the fourth quarter as the price effects of the summer drought continued to wane in October. The several-month rally in the soybean complex appeared to end as the Trading Program was knocked out of its remaining long positions by mid-October and the wheat market followed a similar path. Profits were posted to the Partnership in the middle of the fourth quarter only to be reversed at the end of the fourth quarter. Most damaging were sharp reversals in corn and wheat, both of which caused the Trading Program to be entirely knocked out of long positions.

The stock indices sector posted losses to the Partnership. Losses were posted to the Partnership at the beginning of the first quarter. After 2011’s wild swings, equity markets had a strong start to the new year and moved steadily higher. Positive data from the U.S., China and even Europe helped drive stock prices higher. The Trading Program exited all of its remaining short trades and initiated new long positions in both domestic and foreign equity markets. Profits were posted to the Partnership in the middle of the first quarter. A two month rally, driven in large part by an improving U.S. economic outlook and a stabilizing European debt situation, ultimately challenged the technically (and psychologically) important 13,000 level. Among the equity positions, the NASDAQ was the best performing market for the Trading Program’s strategy. Profits were posted to the Partnership at the end of the first quarter. The U.S. equity markets continued to trend in March, moving up without a meaningful retracement. An improving U.S. economy combined with an increase in investor confidence and signs of stabilization in Europe appeared to influence this rally. Losses were posted to the Partnership at the beginning of the second quarter. Domestic equities initially retreated from their 2012 highs, but began to bounce back during the second half of April. European equities, on the other hand, continued to weaken, diverging from the path of U.S. equity markets. Losses were posted to the Partnership in the middle of the second quarter. Performance was affected by a shift away from risky assets, including equities into safe haven assets, such as government bonds and the U.S. dollar. Worries about Europe emerged again, including a potential Greek exit from the Euro. Attention returned to soft U.S. economic data and slowing growth in China. In this context, global equity markets were down across the board. The uncertainty surrounding Greece’s future in the Euro zone and worries of an expanding crisis turned the global equity market into a downfall. The Trading Program was stopped out of its remaining long positions and generated negative performance. Losses were posted to the Partnership at the end of the second quarter. Towards the end of June the decision in Brussels to allow European bailout funds to directly help crisis-stricken banks was seen by many as a key measure to supporting beleaguered Spanish banks. The backing of the German parliament, by passing the euro zone permanent bailout scheme and budget by a wide margin, appeared to give markets additional confidence in the plan. This news was a shot in the arm to the global economy, causing equity markets to rally sharply on the last trading day of June in contrast to the pattern they had shown in the preceding several weeks. Long U.S. equities positions held at the beginning of June were flattened out for modest losses. Losses were posted to the Partnership at the beginning of the third quarter. Positions in equity indices were limited, due to lack of defined trends as well as short-selling bans imposed by European regulators. Losses were posted to the Partnership in the middle of the third quarter as trading in equities was unprofitable as markets reversed. Profits were posted to the Partnership at the end of the third quarter. Profits were generated in equities as stock markets across the globe generally approached new highs on news of the U.S. Federal Reserve’s ongoing commitment to simulative fiscal policies. Losses were posted to the Partnership at the beginning of the fourth quarter due to choppy U.S. stock index futures. Profits were posted to the Partnership in the middle of the fourth quarter due to the Trading Program’s positions in the Asian and European stock markets, on both longer term upward trends and some shorter term price pullbacks. Profits were posted to the Partnership at the end of the fourth quarter due to the Trading Program’s geographic diversification in Japan, the Netherlands, Korea, Spain and Italy.

The interest rate sector posted losses to the Partnership. Profits were posted to the Partnership at the beginning of the first quarter. Following the U.S. Federal Reserve’s announcement, interest rate futures rallied, pushing yields lower. Losses were posted to the Partnership in the middle through the end of the first quarter. During the first half of March, U.S. interest rates moved higher. This rate rise triggered a liquidation of the Trading Program’s remaining exposure in domestic interest rate futures, which caused negative performance. Profits were posted to the Partnership at the beginning of the second quarter. Yields declined after the first quarter optimism changed to anxiety about future economic growth. Profits were posted to the Partnership in the middle of the second quarter. The concerns about Europe drove investors into perceived safe havens of U.S. and German bonds, with yields declining. Losses were posted to the Partnership at the end of the second quarter. Long interest rate positions in the U.S., Europe and Asia maintained their established trends while also posting small losses. Profits were posted to the Partnership at the beginning of the third quarter. Yields declined after the first quarter optimism changed to anxiety about future economic growth. Losses were posted to the Partnership at the end of the third quarter. Long interest rate positions in the U.S., Europe and Asia maintained their established trends while also posting small losses. Losses were posted to the Partnership at the beginning through the middle of the fourth quarter. The Trading Program’s profits from their long Japanese bond positions were offset by losses in the long European bond market. Losses were posted to the Partnership at the end of the fourth quarter. Small losses by the Trading Program across the U.S. yield curve and in Japanese and Canadian bond markets combined to cause a monthly loss in the sector overall.

The metals sector posted losses to the Partnership. Losses were posted to the Partnership at the beginning of the first quarter. The Partnership liquidated a substantial portion of short positions in metals as prices bounced back from their December lows. Losses were posted to the Partnership in the middle through the end of the first quarter due to volatility in the market. Losses were posted to the Partnership at the beginning of the second quarter. Profits were posted to the Partnership in the middle of the second quarter. The metals sector was profitable due to gains from short positions in base metals. Small losses were incurred in gold. Losses were posted to the Partnership at the end of the second quarter. In the metals sector, aluminum was a bright spot, where the Trading Program was able to capitalize on a newly established short position however was not enough to offset the losses posted to the Partnership. Profits were posted to the Partnership at the beginning of the third quarter. Short positions in base metals were profitable with the biggest decliners being aluminum and nickel. Fear of a global slowdown, spurred by debt fears in Europe and the specter of a hard landing in China, appeared to cause demand to drop off. Losses were posted to the Partnership in the middle of the third quarter. Profitable trends in the global metals markets retraced in August causing the Trading Program to give back some of the profits it had made shorting these markets over the past several months. In particular, silver and aluminum both rallied, while positions in copper, nickel and zinc finished essentially flat. Losses were posted to the Partnership at the end of the third quarter as downward price trends that had been building throughout the summer sharply reversed in early September, with aluminum and nickel markets generating the largest losses. Industrial metals appeared to rally on news of ongoing stimulus measures made by the U.S. and China. Losses were posted to the Partnership at the beginning of the fourth quarter due to sharp reversals in zinc and aluminum. Profits were posted to the Fund in the middle of the fourth quarter only to be reversed at the end of the fourth quarter. A sharp price drop in gold in the middle of December triggered a short position that was profitable until the end of the month when prices reversed sharply and forced the Trading Program to liquidate.

The currency sector posted losses to the Partnership. Losses were posted to the Partnership at the beginning of the first quarter as the U.S. dollar reversed course over the second half of January and weakened across the board. The Euro initially touched a 16-month low against the U.S. dollar and then climbed back above $1.30. Losses were posted to the Partnership in the middle of the first quarter. The currency sector suffered from price reversals against established market trends, particularly in the Euro and the Japanese yen. The Euro staged a rally as optimism about Greece sent the currency to a three month high against the U.S. dollar and the Euro trades were partially liquidated as a result. The Japanese yen fell against the U.S. dollar after the Bank of Japan injected more money into the economy, applying downward pressure on the Japanese yen. Consequently, the Partnership was stopped out of all of its long Japanese yen positions. The Partnership also liquidated most of the short positions in minor currencies as they moved higher against the U.S. dollar. Losses were posted to the Partnership at the end of the first quarter. The U.S. dollar initially benefited from higher yields and gained against other currencies; however, the U.S. dollar came under pressure during the second half of March. The Partnership maintained a very low exposure in the currency sector during March due to a lack of any sustained trends. Losses were posted to the Partnership at the beginning of the second quarter. The U.S. dollar moved sideways, trading in a relatively narrow range. Profits were posted to the Partnership in the middle of the second quarter. In the face of the recent European crisis, selling the Euro was the theme of May. The Euro fell to a 2-year low against the U.S. dollar. Minor currencies also weakened, contributing to profits. Losses were posted to the Partnership at the end of the second quarter. The U.S. dollar and treasuries, recipients of significant inflows in light of the crisis in Europe, saw sharp drops at month end as investors showed more confidence that Europe could avoid fiscal collapse. Profits were posted to the Partnership at the beginning of the third quarter. Currencies were profitable with short positions in the Euro and Swiss Franc against the U.S. dollar performing the best. Questions about the health of the Eurozone and whether or not Greece will exit continued to play a likely role in pushing the common currency down. The Trading Program’s short positions in minor currencies against the U.S. dollar were slightly profitable. Several profitable cross rate trades also added to the currency sector’s overall strong performance. Losses were posted to the Partnership in the middle of the third quarter. The Euro and Swiss franc strengthened against the U.S. dollar after their July weakness and a variety of European minor currencies also followed suit, further harming performance. The Trading Program’s short Euro/Sterling and long Sterling/Swiss franc positions also posted small losses. Losses were posted to the Partnership at the end of the third quarter. The upward move of the Euro currency that began in August continued in September causing further losses for the Partnership, resulting in the Trading Program taking out its position entirely. The Swiss franc followed the euro, generating losses and causing the Trading Program to reduce its position over the course of September. Currencies continued their perplexing 2012 trajectory as October saw weakness in markets that were strong the month before (British pound) and strength in markets that were weak in previous months (Swiss franc) and both currencies caused small losses posted to the Partnership at the beginning of the fourth quarter. Profits were posted to the Partnership in the middle of the fourth quarter due to profits from the South African rand, the Brazilian real, and the Japanese yen. Losses were posted to the Fund at the end of the fourth quarter due to the Trading Program’s positions in the South African rand, New Zealand dollar, Australian dollar and Brazilian real.

The energy sector posted losses to the Partnership. Profits were posted to the Partnership at the beginning of the first quarter. Short natural gas positions posted profits in January. Overall, the boom in low-cost natural gas from shale suppressed prices. In addition, the market appeared to be anticipating storage cost increases on the horizon as stored inventories continued to build. Losses were posted to the Partnership in the middle of the first quarter. Energy prices rallied as tensions with Iran raised fears about a possible supply disruption and/or military conflict. The Iran situation had a more pronounced impact on Brent crude as compared to West Texas Intermediate, because the Eurozone is one of Iran’s biggest markets for its oil. The price of U.S. oil lagged behind that of Brent crude, which rose above $125 per barrel in February while West Texas Intermediate stayed below the $110 level. Towards the end of February energy prices retreated by more than which caused the sector to finish the month with a minor loss. Nevertheless, rising oil prices seem to be a key fundamental risk factor for the global economy. Profits were posted to the Partnership at the end of the first quarter. Gasoil and Unleaded Gas (RBOB) finished March higher and generated profits, while Brent crude traded sideways and posted only marginal gains. Trading in natural gas was also profitable. The market had been oversupplied and prices continued to weaken. Losses were posted to the Partnership at the beginning of the second quarter. Gasoline and oil prices declined as tensions appeared to ease over Iran’s nuclear program, generating losses in long positions. Natural gas resumed its downtrend at first, then suddenly moved higher on apparent weather related demand and finished flat for April. Losses were posted to the Partnership in the middle of the second quarter. With the worsening situation in Europe and the slowdown in Chinese manufacturing sector oil prices came under pressure. Short natural gas, the Trading Program’s only remaining energy position, ended May flat. Losses were posted to the Partnership at the end of the second quarter. Short positions established in Brent crude, West Texas Intermediate crude and heating oil in the early part of June gradually gained until giving back all gains and more at the end of June. Losses were posted to the Partnership at the beginning of the third quarter. The energy sector was mixed with the Trading Program’s short positions being exited in West Texas Intermediate crude, Brent crude and heating oil at modest losses. After exiting a short position built on a multi-year decline in the price of natural gas, the Trading Program’s long position proved to be profitable as prices jumped over 60 percent from the lows touched in April. Losses were posted to the Partnership in the middle of the third quarter. The natural gas market reversed direction after a sharp rally over the past several months, and undercut the Trading Program’s long position. The drivers behind this price reversal were not clear, as the demand for natural gas was strong across the U.S. and production subsided as a result of hurricane Isaac. Regardless, the market forces that had driven natural gas to near 12-month highs clearly lost influence in August. The Trading Program’s small gains in Reformulated Gasoline Blendstock for Oxygen Blending gasoline were insufficient to offset losses in natural gas. Profits were posted to the Partnership at the end of the third quarter. The Trading Program’s positions remained light with the exception of long positions in natural gas and Rbob unleaded gasoline. Losses were posted to the Partnership at the beginning of the fourth quarter. After a strong rally toward the end of the third quarter, unleaded gas reversed sharply in late October causing losses and knocking the Trading Program entirely out of what had been a fairly sizeable position coming into the month. Driving this change in price direction appeared to be a sudden spike of investor pessimism in the wake of various unfavorable global economic projections. Losses were posted to the Partnership in the middle of the fourth quarter as natural gas, heating oil, gas oil and Brent crude oil all contributed to a net loss for November. Natural gas’ upward price trend reversed by the middle of November. Losses were posted to the Partnership at the end of the fourth quarter due to the natural gas market which sharply reversed, and also losses in heating oil and gasoil.

December 31, 2011

	Total Trading
Year ended December 31, 2011	Profit (Loss)
Energy	$	5,625,300
Currencies	(514,747		)
Agricultural Commodities	(2,135,384		)
Interest Rates	930,413
Stock Indices	(3,104,805		)
Metals	5,503,752
	$	6,304,529

The Partnership experienced a net profit of $6,304,529 for the year ended December 31, 2011. The Partnership’s profits were primarily attributable to the energy, metals and interest rate sectors posting profits. The currencies, agriculture and stock indices sectors posted losses.

The energy sector posted profits to the Partnership. Profits were posted to the Partnership at the beginning of the first quarter. Worries about possible supply disruptions triggered considerable price movements in the energy market

and helped Brent Crude oil prices break through the $100/barrel resistance level. Profits were posted to the Partnership in the middle of the first quarter. Political chaos in oil producing countries of the Middle East and North Africa injected new volatility into the market and raised new risks for the global economy. Oil prices shot higher as disruptions in crude oil production took a large amount of oil off the world market. The Brent crude contract for nearby delivery surpassed $110 per barrel. The first quarter ended with profits posted to the Partnership. Developments in Libya followed by a devastating earthquake and nuclear crisis in Japan provided unexpected shocks to the markets in March and triggered high levels of price volatility and economic uncertainty. Markets somewhat stabilized during the second half of the month of March and energies resumed their upward trend. Profits were posted to the Partnership at the beginning of the second quarter as positive performance resulted from long positions in energies. The rise in oil prices seemed to be driven by lingering concerns about supply disruptions in the Middle East and North Africa along with the weakening U.S. dollar. Losses were posted to the Partnership in the middle of the second quarter. The Trading Program liquidated a large amount of their remaining energy exposure during the first half of May. Losses were posted to the Partnership at the end of the second quarter as energies extended their decline further into June and the Trading Program liquidated a few remaining energy trades. Losses were posted to the Partnership at the beginning through the middle of the third quarter due to a quick decline in oil prices. Profits were posted to the Partnership at the end of the third quarter as steep declines in commodity markets translated into profitable performance for the Partnership’s energy positions. Losses were posted to the Partnership at the beginning of the fourth quarter. In the energy sectors prices rose during the month of October and led either to liquidation or reduction of the Trading Program’s short positions. Profits were posted to the Fund in the middle through the end of the fourth quarter as the Fund’s position sizes were reduced during this period so as to lessen the impact of volatile price movements.

The metals sector posted profits to the Partnership. Losses were posted to the Partnership at the beginning of the first quarter. Precious metals experienced significant price retracements in January. Gold fell $100 off the high it posted at the beginning of the month which led to the liquidation of most of the Partnership’s gold positions. The Trading Program’s silver trade was also closed out in January, posting realized profits overall which was not enough to offset losses. Profits were posted to the Partnership in the middle of the first quarter. Precious metals seemed to be benefiting from higher levels of geopolitical risk. Gold resumed its upward momentum and pushed through $1400 an ounce. The silver price touched an all time high in February above $33 and ounce. Losses were posted to the Partnership at the end of the first quarter. Developments in Libya followed by a devastating earthquake and nuclear crisis in Japan provided unexpected shocks to the markets in March and triggered high levels of price volatility and economic uncertainty. Most equity markets initially moved lower, reversing the trends of previous months. Metals suffered pullbacks as they focused on potentially major economic consequences of these events. Profits were posted to the Partnership at the beginning of the second quarter as record levels were recorded in the precious metals sector. Gold futures broke through $1500 an ounce, silver prices soared to new 31 year highs and approached $50 a troy ounce. Both metals seemed to be well supported by a weaker U.S. dollar and rising inflationary fears. The Trading Program’s exposure to precious metals was reduced on profit taking. Losses were posted to the Partnership in the middle of the second quarter as silver suffered a substantial decline as its price fell from April highs of nearly $50 a troy ounce down to as low as $32. Fortunately, the Trading Program’s silver positions had been scaled back considerably prior to the May downturn and as a result, the Trading Program was able to liquidate the overall profitable trade with only a marginal loss for the month. Gold also retreated from record highs, but held up better than silver as prices bounced back later in the month. The Trading Program remained long gold positions throughout the month of May. Losses were posted to the Partnership at the end of the second quarter due to the uncertain economic environment in developed economies which seemed to be a driving force behind the June volatility. Profits were posted to the Partnership at the beginning of the third quarter as the price of gold reached new record highs. Profits were posted to the Partnership in the middle of the third quarter as gold was the biggest beneficiary of the financial system turmoil. Prices reached new record highs and despite a significant mid-month pullback the market eventually turned upward and resumed its trend. Profits continued to be posted to the Partnership at the end of the third quarter. Steep declines in commodity markets translated into profitable performance for the Trading Program’s base metals. Many of these trades were initiated in September when prices fell through important technical levels. Copper was the best performing market. The drop in copper prices was also significant from the fundamental perspective because the metal is considered a good indicator of global economic growth. Meanwhile, gold futures posted losses for the month. Despite the fact that gold enjoyed a special status as a safe haven from financial crisis and trended higher for much of 2011, the market suddenly switched direction and fell along with other assets. A large portion of the Trading Program’s long gold positions had already been liquidated on profit taking prior to September, with the balance stopped out while still profitable. Losses were posted to the Partnership at the beginning of the fourth quarter as prices rose during the month of October and led either to liquidation or reduction of the Trading Program’s short positions. Profits were posted to the Partnership in the middle of the fourth quarter. The Trading Program entered the month of November well positioned to benefit from a decline in industrial metals. Profits were posted to the Partnership at the end of the fourth quarter as the Trading Program initiated a small short position in gold and increased its short silver exposure in December.

The interest rate sector posted profits to the Partnership. Profits were posted to the Partnership at the beginning of the first quarter. The interest rate sector was trading in a relatively tight range. Small profits were recorded in European short-term instruments on rising expectations for an interest rate increase in the Eurozone. Profits were posted to the Partnership in the middle of the first quarter only to be reversed at the end of the quarter. Developments in Libya followed by a devastating earthquake and nuclear crisis in Japan provided unexpected shocks to the markets in March and triggered high levels of price volatility and economic uncertainty. Losses were posted to the Partnership at the beginning of the second quarter. Trading in interest rate futures generated negative results after prices turned against the Trading Program’s short positions. Losses were posted to the Partnership in the middle of the second quarter. The interest rate futures staged a rally in May, driving yields to the lowest point of the year and causing most of the Trading Program’s modest short trades to be stopped out with a loss. Losses were posted to the Partnership at the end of the second quarter. In June, the price behavior alternated between positive and negative risk sentiment based on encouraging or disappointing signals on Greece, the outlook for economic growth and the debt ceiling debate in the U.S. Losses were posted to the Partnership at the beginning of the third quarter as the interest rate sector was basically flat as profits from the U.S. market were offset by losses in European markets. Profits were posted to the Partnership in the middle of the third quarter as yields fell to historic lows and prices rallied as the U.S. Federal Reserve’s decision to keep interest rates near zero through 2013. Profits were posted to the Partnership at the end of the third quarter. The U.S. Federal Reserve announced its economic stimulus plan to sell short dated instruments and buy an equal amount of longer dated U.S. Treasury bonds, which sent the yield on longer term bonds to record lows. Losses were posted to the Partnership at the beginning of the fourth quarter. Solid profits generated by the Trading Program in September were completely relinquished during the highly volatile October. Losses were posted to the Partnership in the middle of the fourth quarter as trading in interest rates was slightly unprofitable. European bond yields moved higher, against the trading progam’s positions. Domestically, short-term rates initially went up, and then dropped at the end of the month as a result of coordinated action by six central banks to help troubled European banks secure short-term funding. The move erased earlier gains in the Trading Program’s short Eurodollar positions. Profits were posted to the Partnership at the end of the fourth quarter. European events also dominated the bond market. U.S. government bonds became more attractive as the outlook for Europe worsened. Buying interest drove prices higher and yields lower. Yields on the ten year note fell below 2%. Despite the dramatic expansion of our national debt and the loss of triple A credit rating, U.S. government instruments seem to be maintaining their status as a safe harbor investment.

The currency sector posted losses to the Partnership. Losses were posted to the Partnership at the beginning of the first quarter. The year started with a substantial price correction in high yielding currencies, in particular, the South African rand. The South African rand currency fell against the U.S. dollar which caused losses for the Trading Program. The British pound moved higher against the Trading Program’s positions and also contributed to the losses. Losses were posted to the Partnership in the middle of the first quarter. The U.S. dollar initially strengthened, but came under pressure against most major and minor currencies during the second half of February. Small profits from the Trading Program’s short positions in the U.S. dollar trades against minor currencies were offset by losses from major currency cross rates. Losses were posted to the Partnership at the end of the quarter. The Japanese yen experienced some wild swings in value, but eventually moved lower against the U.S. dollar and other currencies, possibly a result of coordinated intervention by the central banks. Profits were posted to the Partnership at the beginning of the second quarter as the U.S. dollar declined versus most major and minor currencies. The U.S. dollar hit new record lows against the Swiss franc and the Australian dollar. Several factors seemed to be conspiring against the U.S. currency. They included the widening of interest rate differentials in favor of other currencies as well as concerns over fiscal policy in the U.S. During the month of April, the Trading Program increased its exposure to the downtrend in the U.S. dollar versus the South African rand, New Zealand dollar and Polish zloty, while taking profits on existing short U.S. dollar positions versus the Australian dollar, Swedish krona and Singapore dollar. Losses were posted to the Partnership in the middle of the second quarter as worries that Greece may soon default on its debts helped push the U.S. dollar higher against the Euro. Most major and minor currencies also seemed to be trading down against the U.S. dollar, generating losses for the Trading Program. The Swiss franc was the best performer. Solid performance of Switzerland’s economy most likely contributed to the currency’s strength. The quarter ended with profits posted to the Partnership due to profits from the Swiss franc and the Euro as they both gained against other major currencies. Profits were posted to the Partnership at the beginning of the third quarter as the U.S. dollar declined versus most major and minor currencies. The U.S. dollar hit new record lows against the Swiss franc and the Australian dollar. Several factors seemed to be conspiring against the U.S. currency. They included the widening of interest rate differentials in favor of other currencies as well as concerns over fiscal policy in the U.S. During the month of April, the Trading Program increased its exposure to the downtrend in the U.S. dollar versus the South African rand, New Zealand dollar and Polish zloty, while taking profits on existing short U.S. dollar positions versus the Australian dollar, Swedish krona and Singapore dollar. Losses were posted to the Partnership in the middle of the third quarter as worries that Greece may soon default on its debts helped push the U.S. dollar higher against the Euro. Most major and minor currencies also seemed to be trading down against the U.S. dollar, generating losses for the Trading Program. The Swiss franc was the best performer. Solid performance of Switzerland’s economy most likely

contributed to the currency’s strength. The third quarter ended with profits posted to the Partnership due to profits from the Swiss franc and the Euro as they both gained against other major currencies. Losses were posted to the Partnership at the beginning of the fourth quarter. The U.S. dollar weakened across the board. The Japanese yen rose to a new record high against the U.S. dollar, which prompted the Bank of Japan’s intervention to weaken their currency. The Euro currency surged on hopes that Europe is heading toward a solution to its debt crisis. These price movements negatively impacted the Trading Program and triggered partial liquidation of long U.S. dollar and long Japanese yen positions. Profits were posted to the Partnership in the middle of the fourth quarter. The U.S. dollar rose relative to the euro and some other major and minor currencies. Given Europe’s persistent problems, the U.S. currency seemed to have a comparative advantage and apparently attracted buyers as a safer choice.

The agriculture sector posted losses to the Partnership. Profits were posted to the Fund at the beginning of the first quarter. Price action in the agricultural sector was relatively subdued and produced marginal profits. Profits were posted to the Partnership in the middle of the first quarter only to be reversed at the end of the quarter. Developments in Libya followed by a devastating earthquake and nuclear crisis in Japan provided unexpected shocks to the markets in March and triggered high levels of price volatility and economic uncertainty. Agricultural commodities suffered pullbacks as they focused on potentially major economic consequences of these events. Profits were posted to the Partnership at the beginning of the second quarter only to be reversed in the middle of the quarter. In May markets endured a choppy month after prices turned against the established trends, negatively impacting the Trading Program’s performance. Losses were posted to the Partnership at the end of the second quarter as wheat was the best performer for the month but not enough to offset losses. Markets seemed to reflect the loss of momentum in the U.S. economy and renewed concerns about the European debt crisis. Losses were posted to the Partnership at the beginning of the third quarter. Cotton prices dropped dramatically in July, which benefited the Trading Program’s short positions. Perceptions of higher crops were among the factors behind the falling prices. Trading in agricultural commodities was negative except for the corn market. Corn futures soared on weather concerns and produced profits which were not enough to offset losses posted to the Partnership in the middle of the third quarter. Profits were posted to the Partnership at the end of the third quarter. Steep declines in commodity markets translated into profitable performance for the Trading Program’s grains positions. Losses were posted to the Partnership at the beginning of the fourth quarter as solid profits generated by the Trading Program in September were completely relinquished during the highly volatile October. Profits were posted to the Partnership in the middle of the fourth quarter as the Trading Program entered the month well positioned to benefit from a decline in agricultural. Losses were posted to the Partnership at the end of the fourth quarter as the agricultural commodities experienced an upward price correction during the second half of the month of December which caused some losses in the Trading Program’s short positions.

The stock indices posted losses to the Partnership. Profits were posted to the Partnership at the beginning of the first quarter. Profits in equity markets appeared to be driven by a more optimistic view on economic growth. Profits were posted to the Partnership in the middle of the first quarter. The situation in the Middle East and North Africa prompted a large correction in the global equity market after the rally of the past few months. Despite the price correction, profits were posted to the Partnership due to the Trading Program’s long U.S. and European stock index futures. Losses were posted to the Partnership at the end of the first quarter. Developments in Libya followed by a devastating earthquake and nuclear crisis in Japan provided unexpected shocks to the markets in March and triggered high levels of price volatility and economic uncertainty. Most equity markets initially moved lower, reversing the trends of previous months. Profits were posted to the Partnership at the beginning of the third quarter as trading in the equity sector generated profits. Domestic stocks advanced to multiyear highs in response to encouraging corporate earnings and prospects of low interest rates. As global equities moved higher, the Trading Program increased its exposure to the sector. Losses were posted to the Partnership in the middle of the third quarter as the Trading Program began unwinding long trades in equities. Losses continued to be posted to the Partnership at the end of the third quarter as equities extended their decline further into June. As a result the Trading Program reduced its equity exposure to 1% of the total portfolio risk. Losses were posted to the Partnership at the beginning of the fourth quarter. Equities broke out of their volatile trading range and rapidly moved higher. This price action was largely a function of European events and encouraging news about the U.S. economy, which grew in the 3rd quarter, might have also supported the rally. The Trading Program was stopped out of all their short equity trades in both domestic and foreign markets. Losses were posted to the Partnership in the middle of the fourth quarter. During the month of November global equities appeared to be driven down by persistent bad news out of Europe. Policy failures in the U.S. to reduce the country’s budget deficit also seemed to contribute to negative sentiment. The Trading Program maintained light exposure in Asian equities, but stayed neutral in European and U.S. stock index futures. Losses were posted to the Partnership at the end of the fourth quarter as the Partnership stayed largely neutral in domestic and European equities.

	Total Trading
Year ended December 31, 2010	Profit (Loss)
Energy	$	(13,777,007	)
Currencies	1,131,043
Agricultural Commodities	10,848,627
Interest Rates	2,036,296
Stock Indices	(9,546,863		)
Metals	(1,837,866		)
	$	(11,145,770	)

The Partnership experienced a net trading loss before related fees for the year ended December 31, 2010 of $11,145,770. Profits were primarily attributable to the Partnership trading in the agriculture, currency and interest rate sectors posted profits while the metals, stock indices and energy sectors posted losses.

The agriculture sector posted profits to the Partnership. Profits were posted to the Partnership at the beginning of the first quarter due to sugar prices rallying to a 29 year high. The market’s upward momentum was supported by favorable fundamental factors as key producing countries produced smaller than expected yields. Losses were posted to the Partnership in the middle of the first quarter. Cotton generated positive returns while sugar generated the largest loss. Sugar prices reversed direction in early February and by the end of the month the Trading Program had liquidated all of its long sugar positions. Profits were posted to the Partnership at the end of the first quarter due to short wheat positions as prices weakened on what appeared to be favorable weather and supply conditions. Losses were posted to the Partnership at the beginning of the second quarter. Cotton futures were up at their highest level in more than 2 years which was offset by sugar prices dropping to their lowest level in nearly a year on supply worries. Profits were posted to the Partnership in the middle of the second quarter due to the Trading Program’s short positions in wheat and sugar. Losses were posted to the Partnership at the end of the second quarter with the exception of coffee. Coffee futures reached important technical levels and soared to a 12-year high, then retreated somewhat towards the end of the June. Reports of tight supplies from key producing countries appeared to be the main factor behind the spike in prices. Losses were posted to the Partnership at the beginning of the third quarter. During the month of July, the Partnership’s Trading Program identified several new trend signals that led to profits, such as long positions in coffee and soymeal. However, gains from these trades were not enough to offset losses. Profits were posted to the Partnership in the middle of the third quarter due to the Partnership’s Trading Program benefiting from rising prices in wheat, soymeal and cotton. Despite weakening economic conditions, agricultural commodities remained relatively strong. Unfavorable weather conditions and export disruptions appeared to be the main drivers behind this trend. Coffee futures also moved higher in August, reaching a 13-year high in mid-month. However, this move was followed by a one day drop of nearly 10% before the market slowly resumed its upward trend with coffee positions finishing the month with small losses. In September, cotton was the best performing market for the month as prices moved above the $1 per pound level for the first time in 15 years. Among the key factors that supported commodity prices in September seemed to be weather-related supply shortages and improving demand resulting in profits being posted to the Partnership at the end of the third quarter. Profits were posted to the Partnership at the beginning of the fourth quarter. Weather related shortages in supply appeared to be the main factor for rising prices in combination with growing demand that led to explosive market behavior of which cotton was the most notable example. After multiple sessions of limit up price moves cotton futures set an all-time record in October. Prices initially shot to new highs in November, only to reverse just as quickly resulting in losses posted to the Partnership in the middle of the fourth quarter. Profits were posted to the Partnership at the end of the fourth quarter. Markets rallied on strong demand and weather related crop problems. Coffee was the largest contributor to performance in this sector as prices surged to 13 year highs.

The interest rate sector posted profits to the Partnership. Profits were posted to the Partnership at the beginning through the middle of the first quarter. Changing perceptions about the global interest rate adjustments seemed to keep the prices within a range during the February. However, the markets representing the shorter end of the yield curve finished the month higher, outside their recent trading range as yields decreased. Losses were posted to the Partnership at the end of the first quarter due to volatility in global markets. Interest rate markets, both domestic and foreign, produced profits for the Partnership at the beginning through the middle of the second quarter. In the environment of anxiety about global fiscal issues the interest rate market strengthened, sending yields lower. A consistent theme of strong demand for U.S. government debt continued in June. Signs of a slowdown in the global economic recovery and more worrisome financial news out of Europe were among the macro factors that supported the interest rate market. Some important yield levels were broken domestically: the 2-year U.S. Treasury Note fell to a record low, the 10-year U.S. Treasury Note yield dropped below 3%. These yields benefited the Trading Program’s long positions. The second quarter ended with profits being posted to the

Partnership. Profits were posted to the Partnership at the beginning of the third quarter due to the exposure in the interest rate sector was very low. Profits continued to be posted to the Partnership in the middle of the third quarter as the general trend in interest rates seemed to be driven by expectations of more monetary easing by the Federal Reserve. Economic data provided further evidence of a slowing economic expansion resulting in yields to decline and prices to move in favor of the Partnership’s Trading Program’s long positions. Long positions in U.S. bonds outperformed the positions in foreign interest rates. In September, the Partnership’s Trading Program’s risk exposure was spread across different market sectors, with relatively higher allocations to currencies and commodities. The Partnership’s Trading Program profited from directional price movements in both of these sectors while limiting the negative impact of the losses posted to the Partnership at the end of the third quarter from the interest rate sector on the overall Partnership performance. Losses were posted to the Partnership at the beginning of the fourth quarter. Trading in interest rates was uneventful. Performance was either flat (domestic rates) or slightly negative (foreign rates). Overall, there appeared to be some nervousness in the financial markets in anticipation of another round of monetary stimulus by the U.S. Federal Reserve. Losses were posted to the Partnership in the middle of the fourth quarter. Positions in interest rate futures were unprofitable as yields rose and the Trading Program’s remaining long trades were liquidated. Trading in interest rates generated losses for the Partnership at the end of the fourth quarter. Treasury prices initially fell and then recovered during the second half of the month.

The currency sector posted profits to the Partnership. Losses were posted to the Partnership at the beginning of the first quarter as the currency sector experienced price reversals. The U.S. dollar declined against the euro and other currencies, dropping most sharply against commodity linked currencies, such as the Australian dollar and the New Zealand dollar. Later in January the U.S. dollar reversed direction and turned higher against short positions. Profits were posted to the Partnership in the middle of the first quarter due to newly established short positions in major currency cross rates, such as the euro and the British pound against the Japanese yen. Losses were posted to the Partnership at the end of the first quarter as the Japanese yen moved lower across the board versus most of the major currencies. Losses were posted to the Partnership at the beginning of the second quarter as currencies produced mixed results. The U.S. dollar versus the Singapore dollar was the best performing market in the currency sector. The euro came under pressure and moved in favor of the Trading Program’s short positions and suffered losses from the reversal in the British pound and the Swiss franc. As a result, all cross rate positions involving the two currencies were liquidated. The euro weakened against every major currency dropping to a 4 year low against the U.S. dollar and to its lowest level against the Japanese yen since 2001. The euro and the Swiss franc were the best performing markets in the currency sector. These gains offset losses from minor currency trading resulting in profits being posted to the Partnership in the middle of the second quarter. The U.S. dollar weakened against other major currencies. The euro versus the British pound cross rate was the best performing market in sector. The Swiss franc generated the biggest loss, moving up against the U.S. dollar. Other currency markets were confined to tighter ranges, leading to marginal results. The second quarter ended with losses posted to the Partnership. Losses were posted to the Partnership at the beginning of the third quarter as the euro rebounded significantly from its early June lows which negatively impacted the Trading Program’s short euro positions against the U.S. dollar and the British pound. Profits continued to be posted to the Partnership in the middle of the third quarter as the Japanese yen and the euro were the best performing markets. The Japanese yen strengthened against other major currencies, except the Swiss franc. The Japanese yen reached its highest level since 1995 versus the U.S. dollar, which benefited the Partnership’s Trading Program’s long positions. Other profitable trades included long positions in the Japanese yen against the British pound and the euro. Profits were posted to the Partnership at the end of the third quarter due to the short U.S. dollar positions against minor currencies, such as the Australian dollar, South African rand and Singapore dollar. Trading in the Swiss franc and the Japanese yen were also profitable. The prospects of another round of monetary stimulus from the Federal Reserve appeared to be negative for the U.S. dollar as it weakened versus most major and minor currencies. Trading in the euro currency generated losses, especially in the euro versus the British pound. The euro currency moved higher against the remaining short positions, which led to their gradual liquidation. Profits were posted to the Partnership at the beginning of the fourth quarter. The U.S. dollar continued to fall against a broad range of currencies. The Japanese yen was the best performer against the U.S. dollar while other major currencies, such as the British pound and the euro currency became range bound during the second half of the month. The higher yielding minor currencies gained ground against the U.S. dollar and made a positive contribution to performance. Losses were posted to the Partnership in the middle of the fourth quarter. The U.S. dollar reversed direction and rose against most major and minor currencies, generating losses for the Partnership. The unfolding debt crisis in the euro zone combined with the events in Korea is perceived to have adversely impacted the currency sector. Profits were posted to the Partnership at the end of the fourth quarter. The Swiss franc was the strongest performer as it appreciated significantly against other European currencies and the U.S. dollar. It appeared to benefit from the euro zone fiscal problems as well as Switzerland’s strong economy. The Swiss franc versus the British pound was the most profitable trade in the currency sector.

The metals sector posted losses to the Partnership. Losses were posted to the Partnership at the beginning of the first quarter. The markets had a strong start to the year and the price dynamic then changed dramatically toward the middle of the month. The price correction was large enough to trigger partial liquidation of long positions. Losses continued

to be posted in the middle of the first quarter as the commodity markets initially extended their downturn into February causing the Trading Program to close out more of its long positions. Profits were posted to the Partnership at the end of the first quarter. Nickel was the best performer of the base metal sector, maintaining strong price momentum throughout the month of March. Losses were posted to the Partnership at the beginning of the second quarter as negative returns were generated in base metals due to adverse price movements in aluminum and copper. Losses continued to be posted in the middle of the second quarter due to elevated volatility levels. The second quarter ended with profits posted to the Partnership due to the Trading Program’s long gold positions. Gold futures reached a new all-time high in June as global economic anxiety continued to support a rally in precious metals. Losses were posted to the Partnership at the beginning of the third quarter through the middle of the quarter. In July after reaching a record high in June, gold futures also experienced a large price correction which triggered liquidation of the Partnership’s Trading Program’s long positions. Profits were posted to the Partnership at the end of the third quarter as gold continued its record run. Trading in silver was also profitable as prices rose to 30-year highs. Overall, the still-pessimistic assessment of the economy along with rising inflation expectations seemed to push investors into the relative safety of precious metals at the end of the third quarter. Profits were posted to the Partnership at the beginning of the fourth quarter due to long positions in gold and silver. Both metals finished the month higher despite a sizeable price correction in mid-October when the markets encountered an interim resistance level. Profits were posted to the Partnership in the middle of the fourth quarter. Prices initially shot to new highs in November, only to reverse just as quickly. Despite the large price correction, gold and silver remained the best performing markets for the month. Profits were posted to the Partnership at the end of the fourth quarter.

Stock indices posted losses to the Partnership. Losses were posted to the Partnership at the beginning of the first quarter as the markets found it difficult to follow a clear direction in January. The stock markets initially extended their downturn into February posting losses to the Partnership in the middle of the first quarter. Profits were posted to the Partnership at the end of the first quarter. Stock markets recovered from a steep February price correction and resumed their upward trends. As a result, the Trading Program increased its long exposure in both domestic and foreign stock index futures. Profits were posted to the Partnership at the beginning of the second quarter. Trading in domestic stock indices was profitable as equities reached 18-month highs in April. New long trades were initiated in March and early April when the trading model signaled a resumption of upward trends. Unfortunately, during the violent price action of May 6th trends reversed simultaneously across multiple markets and triggered stop loss signals resulting in losses posted to the Partnership in the middle of the second quarter. The second quarter ended with losses posted to the Partnership. Equities continued their downward slide in June as concerns regarding European financial stability and global growth plagued markets. Profits were posted to the Partnership at the beginning of the third quarter as the market environment was characterized by non-directional price volatility, which was consistent with fluctuations in global economic sentiment. Losses were posted to the Partnership in the middle of the third quarter. Profits posted to the Partnership from short positions in Nikkei and Topix which was not enough to offset losses from long positions in DAX. Overall, markets appeared to be cautious about the long-term economic recovery. It was evident in daily price swings and lack of sustained trends in many market sectors. Losses were posted to the Partnership at the end of the third quarter due to global market volatility. Profits were posted to the Partnership at the beginning of the fourth quarter. Profits from long positions in domestic and European stock index futures were partially offset by losses from short trades in Japanese stock indices. Losses were posted to the Partnership in the middle of the fourth quarter. Negative influence of global volatility brought back a sense of “risk aversion” and led to quick correction of existing market trends across different market sectors, including commodities and global equity markets. The fourth quarter ended with profits posted to the Partnership as equity markets gained momentum in December. The equity markets seemed to benefit from good corporate news and rising confidence in a U.S. economic recovery.

The energy sector posted losses to the Partnership. Losses were posted to the Partnership at the beginning of the first quarter as oil prices rose to a 15 month high in early January and then retreated sharply. Losses were posted to the Partnership in the middle of the first quarter due to the commodity markets continuing their downturn resulting in the Trading Program closing out of their long exposure in energies. Profits were posted to the Partnership at the end of the first quarter as the Trading Program capitalized on declining prices in natural gas and newly initiated short positions. Profits were posted to the Partnership at the beginning of the second quarter. The Trading Program increased its long exposure in the energy sector early in April as prices moved to new highs for the year. The market subsequently came back under downward pressure only to recover in the second half of the month. Since the oil-futures curve sloped significantly upward, the Trading Program benefited from its long positions in the more distant contract month. Losses were posted to the Partnership in the middle through the end of the second quarter. Prices turned higher against the Trading Program’s short position in early June. The intramonth price action was very choppy. It triggered a position reversal in natural gas, only to turn again and trade lower at the end of June. Profits were posted to the Partnership in the middle of the third quarter with losses posted to the Partnership at the beginning and the end of the third quarter due to the global market volatility. Profits were posted to the Partnership as the Trading Program’s strategy performed well in October by maintaining higher commodity exposure only to reverse in the middle of the fourth quarter due to volatility in global markets. Energy prices were up in December driven partly by unusually

cold weather as well as more positive macroeconomic news. The Trading Program increased the long exposure in energies at the beginning of the month which led to profits at the end of the fourth quarter.

Variables Affecting Performance

The principal variables that determine the net performance of the Partnership are gross profitability from the Partnership’s trading activities and interest income.

The Partnership receives an interest based on the daily effective federal funds rate less 20 basis points on their U.S. dollar deposits. Other rates exist for the non U.S. dollar deposits, however, most of the Partnership’s cash is held in U.S. dollars. The current short term interest rates have remained extremely low when compared with historical rates and thus has contributed negligible amounts to overall Partnership performance.

During all periods set forth above in “Selected Financial Data”, the interest rates in many countries were at unusually low levels. 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. The Profit Shares payable to the Trading Advisor are 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 no material 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. The Partnership should be able to close out its open trading positions and liquidate its holdings relatively quickly and at market prices, except in unusual circumstances. This typically permits the Partnership to limit losses as well as reduce market exposure on short notice should its strategies indicate doing so.

Investors in the Partnership generally may redeem any or all of their Units at Net Asset Value, effective as of last day of any calendar month, upon providing notice at least 10 calendar days prior to month-end. Units redeemed at or prior to the twelfth full month following the purchase date will be assessed a redemption charge of 4% as of the date of redemption, paid to the General Partner. Investors will remain exposed to fluctuations in Net Asset Value during the period between submission of their redemption requests and the applicable redemption date.

As a commodity pool, the Partnership maintains an extremely large percentage of its assets in cash, which it must have available to post initial and variation margin on futures contracts. This cash is also used to fund redemptions. While the Partnership has the ability to fund redemption proceeds from liquidating positions, as a practical matter positions are not liquidated to fund redemptions. In the event that positions were liquidated to fund redemptions, MLAI, as the General Partner of the Partnership, has the ability to override decisions of the Trading Advisor to fund redemptions if necessary, but in practice the Trading Advisor would determine in its discretion which investments should be liquidated.

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

Recent Accounting Developments

Recent Accounting developments are discussed in Exhibit 13.01

Item 7A: Quantitative and Qualitative Disclosures About Market Risk

Introduction

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

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

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

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

Quantifying The Partnership’s Trading Value At Risk

Quantitative Forward-Looking Statements

The following quantitative disclosures regarding the Partnership’s market risk exposures contain “forward-looking statement” within the meaning of the safe harbor 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 and Section 21E of the Securities Exchange Act). 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 Sunrise is quantified below in terms of Value at Risk. Due to the Partnership’s fair value 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 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 2012, 2011 and 2010. During the fiscal year 2012, the Partnership’s average capitalization was $94,773,855. During the fiscal year 2011 the Partnership’s average capitalization was $136,420,002. During the fiscal year 2010 the Partnership’s average capitalization was $161,221,838.

December 31, 2012

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Currencies	$	1,008,781	1.06	%	$	2,364,944	$	90,564
Metals	657,510		0.69	%	1,122,328		244,104
Stock Indices	2,659,692		2.81	%	4,691,664		1,362,157
Interest Rates	151,931		0.16	%	320,634		17,225
Energy	2,052,061		2.17	%	4,195,504		492,784
Agricultural Commodities	1,110,294		1.17	%	2,277,960		138,050

TOTAL	$	7,640,269	8.06	%	$	14,973,034	$	2,344,884

December 31, 2011

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Currencies	$	722,611	0.53	%	$	2,136,569	$	101,010
Metals	1,626,213		1.19	%	4,305,946		415,617
Stock Indices	280,197		0.21	%	433,048		122,933
Interest Rates	179,017		0.13	%	552,824		3,431
Energy	1,985,011		1.46	%	5,309,438		192,556
Agricultural Commodities	1,037,323		0.76	%	2,066,543		381,375

TOTAL	$	5,830,372	4.28	%	$	14,804,368	$	1,216,922

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

The face value of the market sector instruments held by the Partnership is typically many times the applicable maintenance margin requirement (maintenance margin requirements generally ranging between approximately 1% and 10% of contract face value) as well as many times the capitalization of the Partnership. The magnitude of the Partnership’s open positions creates a “risk of ruin” not typically found in most other investment vehicles. Because of the size of its positions, certain market conditions — unusual, but historically recurring from time to time — could cause the Partnership to incur severe losses over a short period of time. The foregoing Value at Risk table — as well as the past performance of the Partnership — gives no indication of this “risk of ruin.”

Non-Trading Risk

Foreign Currency Balances; Cash on Deposit with MLPF&S

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

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

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Partnership’s market risk exposures — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Partnership manages its primary market risk exposures — constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Partnership’s primary market risk exposures as well as the strategies used and to be used by MLAI and 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, and 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, 2012, by market sector.

Interest Rates

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. The Partnership 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/Australian dollar and U.S. dollar/Swiss franc positions. The Partnership 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, Nikkei and German DAX equity index price movements. The Partnership is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Asian indices.

Metals

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

Item 8: Financial Statements and Supplementary Data

Net Income (Loss) per quarter

Eight quarters through December 31, 2012

	Fourth			Third			Second			First			Fourth			Third		Second			First
	Quarter			Quarter			Quarter			Quarter			Quarter			Quarter		Quarter			Quarter
	2012			2012			2012			2012			2011			2011		2011			2011
Total Income (Loss)	$	(4,025,962	)	$	(519,331	)	$	(12,924,325	)	$	(1,243,701	)	$	(4,981,476	)	$	9,852,553	$	(3,727,892	)	$	5,246,877
Total Expenses	1,064,473			1,296,513			1,472,882			1,657,465			1,775,438			1,927,322		2,067,680			2,188,972
Net Income (Loss)	$	(5,090,435	)	$	(1,815,844	)	$	(14,397,207	)	$	(2,901,166	)	$	(6,756,914	)	$	7,925,231	$	(5,795,572	)	$	3,057,905

Net Income (Loss) per weighted average Unit	$	(15.31	)	$	(4.97	)	$	(36.54	)	$	(6.94	)	$	(15.50	)	$	17.08	$	(11.84	)	$	5.92

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(b) of Regulation S-K is not applicable.

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

None.

Item 9A: Controls and Procedures

Disclosure Controls and Procedures

MLAI’s Chief Executive Officer and the Chief Financial Officer, on behalf of the Partnership, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rule 13a-15(e) or Rule 15d-15(e) under the Securities Exchange Act) with respect to the Partnership as of and for the year which ended December 31, 2012, and, based on its evaluation, has concluded that these disclosure controls and procedures are effective.

Management’s Annual Report on Internal Control over Financial Reporting:

The Partnership’s management is responsible for establishing and maintaining adequate internal control over financial reporting. The Partnership’s internal control over financial reporting is a process designed under the supervision of MLAI’s Chief Executive Officer and the Chief Financial Officer, on behalf of the Partnership and is effected by management, other personnel and service providers to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles and included those policy and procedures that:

· Pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of the assets of the Partnership.

· Provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the Partnership are being made only in accordance with authorizations of management and directors of the Partnership; and

· Provide reasonable assurance regarding prevention or timely detection of unauthorized acquisitions, use or disposition of the Partnership’s assets that could have a material effect on the financial statements.

Because of its inherent limitations, internal control over financial reporting can provide only reasonable assurance with respect to financial statement preparation and presentation. Projections of any evaluation of effectiveness to future periods are subject to the risks that controls may become inadequate because of changes in condition, or that the degree of compliance with the policies or procedures may deteriorate.

The Partnership’s management assessed the effectiveness of the Partnership’s internal control over financial reporting as of December 31, 2012. In making this assessment, management used the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in “Internal Control-Integrated Framework”.

Based on its assessment the Partnership’s management concluded that at December 31, 2012, the Partnership’s internal control over financial reporting was effective.

Changes in Internal Control over Financial Reporting

No change in internal control over financial reporting (in connection with Rule 13a-15 or Rule 15d-15 under the Securities Exchange Act) occurred during the quarter ended December 31, 2012 that has materially affected, or is reasonable likely to materially affect, the Partnership’s internal control, over financial reporting.

Item 9B: Other Information

Not Applicable

PART III

Item 10: Directors, Executive Officers and Corporate Governance

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

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

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

Deann Morgan	Chief Executive Officer, President and Manager

Barbra E. Kocsis	Chief Financial Officer and Vice President

James L. Costabile	Vice President and Manager

Colleen R. Rusch	Vice President and Manager

Steven L. Suss	Vice President and Manager

Deann Morgan, age 43, has been the Chief Executive Officer and President of MLAI since June 2012 and is a Managing Director within the Global Wealth and Retirement Solutions group (“GWRS”) which is a business unit within the BAC Global Wealth & Investment Management group (“GWIM”), a division of BAC. As a Vice President of MLAI from March 2008 through June 2012, Ms. Morgan was responsible for overseeing GWRS Alternative Investments Origination. From April 2006 until December 2008, Ms. Morgan was a Director for BAC’s Investments, Wealth Management & Insurance group, where she was responsible for origination of private equity and listed alternative investments. She received her M.B.A. from the University of Chicago and her B.B.A. from University of Michigan and is a Chartered Financial Analyst (CFA) charterholder. Ms. Morgan has been registered with the CFTC as an associated person and listed as a principal of MLAI since August 21, 2009. Ms. Morgan has also been registered with the CFTC as an associated person of MLPF&S since April 13, 2009.

Barbra E. Kocsis, age 46, is the Chief Financial Officer for MLAI, has been listed with the CFTC as a principal of MLAI since May 21, 2007 and is a Director within BAC’s Global Wealth Investment Management Technology and Operations group, a position she has held since October 2006. Ms. Kocsis’ responsibilities include providing a full range of specialized financial and tax accounting services for the Alternative Investment products offered through MLPF&S and US Trust. She graduated cum laude from Monmouth College with a Bachelor of Science in Business Administration/Accounting.

James L. Costabile, age 37, has been a Vice President of MLAI and a Managing Director within GWRS responsible for alternative investment distribution for BAC since July 2007 and U.S. Trust since January 2009. U.S. Trust is a division of BAC. Mr. Costabile has been listed as a principal of MLAI since July 14, 2010. He has also been registered

with the CFTC as an associated person of the MLPF&S since August 20, 2007. Mr. Costabile received a B.S. from Fordham University and holds the Chartered Alternative Investment Analyst designation.

Colleen R. Rusch, age 45, is a Managing Director and Head of Alternative Investments Platform Management within the Global Wealth and Retirement Solutions Group (“GWRS”) and has been a Vice President of MLAI and a Director within GWRS since January 2008. She is responsible for overseeing GWRS Alternative Investments operations, service and trading platform since January 2008. From December 2007 to February 2012, she was a Director of MLAI. Ms. Rusch has been listed as a principal of MLAI since September 14, 2010. Ms. Rusch holds a B.S. degree in Business Administration from Saint Peter’s College.

Steven L. Suss, age 53, has been a Vice President of MLAI since June 2012. He has been a Managing Director within GWIM’s Alternative Investments Group, a division within BAC that provides advisory and other services to high net worth clients, since January 2008, responsible for managing finance, operational and other business aspects of BAC’s alternative investment platform. Mr. Suss has been listed as a principal of MLAI since June 12, 2012. Mr. Suss is also a director and the President of BACAP Alternative Advisors Inc. (“BACAP”), an alternative investment advisor affiliated with BAC. He has held these positions at BACAP since July 1, 2007, and is responsible for the management and supervision of the overall business of BACAP. Mr. Suss has also served as Senior Vice President of Bank of America Capital Advisors LLC (“BACA”) since July 2007. BACA is an investment advisor focusing on alternative investment products and Mr. Suss is responsible within that entity for the management of financial reporting and the operational affairs of the investment vehicles managed by BACA. Prior to these existing roles, Mr. Suss has performed various other roles within BAC: he has served as Senior Vice President at Banc of America Investment Advisors Inc. (“BAIA”), another alternative investment advisor affiliated with BAC, from July 2007 to March 2010; he was Senior Vice President of U.S. Trust Hedge Fund Management, Inc., a hedge fund manager associated with BAC, from June 2007 to March 2010, and served as its Chief Financial Officer and Treasurer from October 2007 to March 2010; and he was Senior Vice President of UST Advisers, Inc., an investment adviser associated with BAC, from July 2007 to May 2008. In the above roles with BAIA, U.S. Trust Hedge Fund Management, Inc. and UST Advisers, Inc., Mr. Suss was responsible for the management of financial reporting and operational matters of alternative investment funds managed by those entities. Mr. Suss received a B.B.A. from the University of Texas at Austin.

As of December 31, 2012, the principals of MLAI had no investment in the Partnership, and MLAI’s general partner interest in the Partnership was valued at $1,318,046.

MLAI acts as the sponsor, general partner or manager to ten public futures funds whose units of limited partnership or limited liability company interests are registered under the Securities Exchange Act: Aspect FuturesAccess LLC, ML BlueTrend FuturesAccess LLC, Highbridge Commodities FuturesAccess LLC, Man AHL FuturesAccess LLC, Ortus Currency FuturesAccess LLC ML Select Futures I L.P., Systematic Momentum FuturesAccess LLC, ML Transtrend DTP Enhanced FuturesAccess LLC, ML Trend-Following Futures Fund L.P, and ML Winton FuturesAccess LLC. Because MLAI serves as the sole sponsor, general partner or manager of each of these funds, the officers and managers of MLAI effectively manage them as officers and directors of such funds.

None.

(d) Family Relationships:

None.

(e) Business Experience:

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

(f) Involvement in Certain Legal Proceedings:

None.

PART IV

Item 15: Exhibits and Financial Statement Schedules

1. Financial Statements (found in Exhibit 13.01):

	Page:

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	1

FINANCIAL STATEMENTS:

Statements of Financial Condition as of December 31, 2012 and 2011	2

Statements of Operations for the years ended December 31, 2012, 2011 and 2010	3

Statements of Changes in Partners’ Capital for the years ended December 31, 2012, 2011 and 2010	4

Financial Data Highlights for the years ended December 31, 2012, 2011 and 2010	5

Notes to Financial Statements	6

2. Financial Statement Schedules:

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

3. Exhibits:

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

Designation		Description

Amended and Restated Certificate of Limited Partnership of ML Select Futures I L.P.

Exhibit 3.01:		Is incorporated herein by reference from Exhibit 3.01 contained in the registrant’s Registration Statement on Form 10 filed on April 30, 2003 (the “Registration Statement”).

3.02		ML Select Futures I L.P. Twelfth Amended and Restated Limited Partnership Agreement.

Exhibit 3.02		Is incorporated by reference from Exhibit 3.01 contained in the registrant’s Report on Form 8-K, filed on March 16, 2011.

10.01		Advisory Agreement among ML Select Futures I L.P., Merrill Lynch Investment Partners Inc. and Sunrise Capital Partners LLC.

Exhibit 10.01:		Is incorporated by reference from Exhibit 10.03 contained in the Registration Statement.

10.02		Customer Agreement between ML Select Futures I L.P. and Merrill Lynch Futures Inc.

Exhibit 10.03:		Is incorporated by reference from Exhibit 10.02 contained in the Registration Statement.

13.01		2012 Annual Report and Report of Independent Registered Public Accounting Firm.

Exhibit 13.01:		Is filed herewith.

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

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 GENERAL PARTNER

By:	/s/ Deann Morgan
Deann Morgan
Chief Executive Officer, President and Manager
(Principal Executive Officer)

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

Signature	Title	Date

/s/Deann Morgan	Chief Executive Officer, President and Manager	March 27, 2013
Deann Morgan

/s/ Barbra E. Kocsis	Chief Financial Officer and Vice President	March 27, 2013
Barbra E. Kocsis	(Principal Financial and Accounting Officer)

/s/Steven L. Suss	Vice President and Manager	March 27, 2013
Steven L. Suss

/s/James L. Costabile	Vice President and Manager	March 27, 2013
James L. Costabile

/s/Colleen R. Rusch	Vice President and Manager	March 27, 2013
Colleen R. Rusch

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

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.

Exhibit 101		The following materials from the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2012 formatted in XBRL (Extensible Business Reporting Language): (i) Statements of Financial Condition (ii) Statements of Operations (iii) Statements of Changes in Members’ Capital (iv) Financial Data Highlights and (v) Notes to Financial Statements, tagged as blocks of text.

Exhibit 101		Is filed herewith.

		Exhibit

Exhibit 13.01		2012 Annual Report and Report of Independent Registered Public Accounting Firm

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

Exhibit 32.01 and 32.02		Sections 1350 Certifications

Exhibit 101		The following materials from the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2012 formatted in XBRL (Extensible Business Reporting Language): (i) Statements of Financial Condition (ii) Statements of Operations (iii) Statements of Changes in Members’ Capital (iv) Financial Data Highlights and (v) Notes to Financial Statements, tagged as blocks of text.