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, 2011

or

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)

c/o Merrill Lynch Alternative Investments LLC

Four World Financial Center, 10th 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)

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  No o

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 x  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.

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 29, 2012, limited partnership units with a Net Asset Value of $113,246,254 were outstanding and held by non-affiliates.

Documents Incorporated by Reference

The registrant’s 2011 Annual Report and Reports of Independent Registered Public Accounting Firms, the annual report to security holders for the fiscal year ended December 31, 2011, 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 2011 ON FORM 10-K

Table of Contents

PART I

Item 1:   Business

(a)                                 General Development of Business:

ML Select Futures I L.P. (the “Partnership) was organized under the Delaware Revised Uniform Limited Partnership Act on August 4, 1995. The Partnership commenced trading activities in April 1996. The Partnership was formerly known as ML Chesapeake L.P.  The Partnership engages in the speculative trading of commodities.

Merrill Lynch Alternative Investments LLC (“MLAI”) is the sponsor (“Sponsor”) and general partner (“General Partner”) of the Partnership.  MLAI is an indirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. (“ML & Co.”).  ML & Co. is a wholly-owned subsidiary of Bank of America Corporation (“Bank of America”).  Bank of America and its affiliates are sometimes referred to herein as (“BAC”).

Sunrise Capital Partners, LLC (“Sunrise” or the “Trading Advisor”) is the trading advisor of the Partnership.  The Trading Advisor is not registered under the Investment Advisers Act of 1940.  Sunrise replaced Chesapeake Capital Corporation as the trading advisor of the Partnership in July 1998.  The Trading Advisor trades its Expanded Diversified Program (the “Trading Program”) for the Partnership.  The Trading Program applies trend-following systems to a broadly-diversified portfolio of futures and forwards, including, but not limited to, precious and industrial metals, grains, petroleum products, soft commodities, U.S. and non-U.S interest rates, U.S. and non-U.S. stock indices, currencies and their cross rates (collectively, “Commodity Interests”), see “Trading Advisors’ Trading Program,” below.

The Partnership issues limited partnership units (“Units”) which are privately offered pursuant to Regulation D of the Securities Act of 1933, as amended (the “Securities Act”).

The Partnership calculates the Net Asset Value per Unit as of the close of business on the last business day of each calendar month and such other dates as MLAI may determine in its discretion. The Partnership’s “Net Asset Value” will generally equal the value of the Partnership’s account under the management of its Trading Advisor as of such date, plus any other assets held by the Partnership, minus accrued brokerage commissions, administrative fees, profit shares, and other liabilities of the Partnership.  MLAI is authorized to make all net asset value determinations.

As of December 31, 2011, the capitalization of the Partnership was $119,304,071 and the Net Asset Value per Unit, originally $100 as of April 1, 1996, had risen to $284.1791

The highest month-end Net Asset Value per Unit since Sunrise began trading the Partnership was $326.4906 (November 30, 2009) and the lowest was $127.0118 (July 31, 1998).

(b)                                 Financial Information about Segments:

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

(c)                                  Narrative Description of Business:

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

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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 instances 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 month which is about to expire and initiate a position in a more distant contract month.

The Trading Program may follow approximately 60 different markets.  These markets may include, but are not limited to, precious and industrial metals, grains, energy products, soft commodities, domestic and foreign interest rate futures, domestic and foreign stock indices, minor currencies, major currencies and their cross rates.

Commodity Interests currently included in the Trading Program are:

·                  Major Currencies:  British Pound, Swiss Franc, Japanese Yen, Euro Currency

·                  Minor Currencies: Australian Dollar, New Zealand Dollar, Swedish Krona, South African Rand, Singapore Dollar

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·                  Currency Cross Rates (IMM/Interbank): Euro/Yen, Swiss Franc/Yen, British Pound/Yen, British Pound/Swiss Franc, Euro/British Pound

·                  Metals:  Gold, Silver, Copper, Aluminum, Nickel, Zinc

·                  Indices:  E-Mini S&P 500, DAX Stock Index, Nikkei 225 Stock Index, Amsterdam EOE, EuroStoxx, E-Mini Nasdaq, Topix

·                  Interest Rates:  Treasury Bonds, Treasury Notes, Eurodollars, Euro Bund, Euro BOBL, Euroyen, Japanese Government Bonds, 3 Month Euribor, 3 Month Euroswiss, 90-Day Australian Bank Accepted Bill, 3 Month Canadian Bankers’ Acceptance, EuroSchatz

·                  Energy:  Crude Oil, Brent Crude Oil, Gas Oil, Heating Oil, Unleaded Gas, Natural Gas

·                  Grains: Soybeans, Soymeal, Corn, Wheat

·                  Softs:  Coffee, Sugar

·                  Fiber:  Cotton

Although the Trading Advisor’s Trading Program is continually evolving, there was no fundamental or material change to the Trading Program during the 2011 fiscal year.

Forward Contracts and Counterparties

Currently, the only forward contracts entered into by the Partnership are currency forwards.  Merrill Lynch International Bank Ltd. (“MLIB”) is the only counterparty to these forward contracts.  MLIB is an affiliate of Bank of America.  In the future the Fund may enter into other types of forwards and/or use other counterparties.  The standard terms of forward contracts entered into by the Fund are the term, the currency, the exchange rate, the principal amount and, in some cases the definition of a “disruption event,” i.e., a contingency pricing and settlement mechanism if an event occurs that causes the unavailability of the relevant exchange rate.  Forwards are governed by International Swaps and Derivatives Association documentation, and, in some cases, also by EMTA, Inc. documentation.

Employees

The Partnership has no employees.

Use of Proceeds and Cash Management Income

Subscription Proceeds

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

Market Sectors

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

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

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

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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, 2011 and 2010 are as follows:

December 31, 2011

December 31, 2010

No individual contract’s unrealized profit or loss comprised greater than 5% Members’ Capital as of December 31, 2011 and 2010.

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Market Types

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

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

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

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, as calculated by the clearinghouse, to secure its obligations to the clearinghouse with respect to the positions of its customers.  The amount of both the trader’s 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 a trader’s 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 a trader’s “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 likewise has “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 over-the-counter (“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

Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) is the Partnership’s futures clearing broker. MLPF&S is an affiliate of Bank of America. Certain of the Partnership’s assets will be held in customer-segregated accounts at MLPF&S or its affiliates in cash or invested in Commodity Futures Trading Commission (“CFTC”) authorized investments for customer funds, including, without limitation, commercial paper, U.S. government and government agency securities, prime non-U.S. government securities, corporate notes and money market funds.  However certain of such assets are not required to be, and generally are not, held in customer segregated accounts.  For example, assets used as collateral for margin trading in the OTC forward markets, including assets held by MLIB as F/X prime broker and counterparty, are typically not segregated.

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’ 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’ customers, not subject to any MLPF&S liability.

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MLAI, as sponsor of the Partnership, has a general policy of maintaining exclusive clearing and prime

brokerage arrangements with its BAC affiliates, such as MLPF&S and MLIB.  Other affiliates may from time to time be involved in the clearing, custody or investment of the Partnership’s assets, including as prime brokers.

Cash Management and Interest

The Partnership generally will earn interest, as described below, on its cash, which is deemed to include, in addition to actual cash held by the Partnership, its “open trade equity” i.e., equity attributable to unrealized gain and loss marked to market daily on open positions.  Cash is held primarily in U.S. dollars, and to a lesser extent in foreign currencies.  Cash does not include, and the Partnership does not earn interest income on, the Partnership’s gains or losses on its open forward, commodity option and certain non-U.S. futures positions since these gains and losses are not collected or paid until such positions are closed out.

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

MLPF&S intends to pay interest on the Partnership’s cash, irrespective of how such cash is held or invested, at the most favorable rate payable by MLPF&S to accounts of BAC affiliates, which will consist of the current federal funds rate of interest minus a spread based on the currency held.  MLPF&S will receive the amount of the spread, in addition to any amounts it receives over the federal funds rate due to its investing activities, as well as any amounts it, or its affiliates, receive in brokerage commissions as described herein.  The Partnership receives interest on its cash held in excess of margin.  MLPF&S retains the additional economic benefit derived from possession of the Partnership’s cash, which includes the ability to invest such cash throughout cash management programs, which may include investments in vehicles managed or sponsored by MLPF&S or BAC affiliates.

MLPF&S, in the course of acting as commodity broker for the Partnership, may lend certain currencies to, and borrow certain currencies from the Partnership.  In the course of doing so, MLPF&S both retains certain amounts of interest and receives other economic benefits.  In doing so, MLPF&S follows its standard procedures for paying interest on the assets of the commodity pools sponsored by MLAI and other BAC affiliates and traded through MLPF&S.

Charges

The following table summarizes the charges incurred by the Partnership during 2011, 2010 and 2009.

The foregoing table does not reflect:  (i) the bid-ask spreads paid by the Partnership on it forward trading, (ii) brokerage commissions, or (iii) 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 2011, 2010 and 2009 equaled $136,420,002, $161,221,838 and $196,776,157, respectively.

During 2011, 2010 and 2009 the Partnership earned $85,533, $220,830 and $326,337 in interest income, or approximately 0.06%, 0.14% and 0.17% of the Partnership’s average month-end Net Assets.

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Description of Current Charges

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Regulation

The CFTC has delegated to the National Futures Association 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 requires commodity pool operators such as MLAI, commodity trading advisors such as the Trading Advisor and commodity brokers or futures commission merchants (“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 may become subject to governmental regulation, 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”).

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(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 applicable to futures trading permit traders to use an extraordinarily high degree of 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.  The combination of leverage and volatility creates a high degree of risk.  Additionally, Sunrise may initiate stop-loss orders on certain positions to limit downside exposure, there can be no assurance that any such 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 on information intrinsic to the market itself — prices, price patterns, volume, volatility, etc. — are used to determine trades.  Consequently, technical strategies can incur major losses when factors exogenous to the markets themselves — political events, natural catastrophes, acts of war or terrorism, etc. — 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 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.

Effects of Speculative Position Limits

The CFTC and the U.S. commodities exchanges impose 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.  For example, the CFTC currently imposes speculative position limits on a number of agricultural commodities, including corn, oats, wheat, soybeans and cotton, and the U.S. commodities exchanges currently impose speculative position limits on many other commodities.

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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.

In October 2011, the CFTC adopted rules that, among other things, imposed 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 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.

MLAI is subject to CFTC-imposed position limits through its control of the Partnership, and may have to aggregate positions of certain FuturesAccess Funds 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 Partnership 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 the Trading Program for the Partnership in the same manner as for its other clients, causing the Partnership to underperform other accounts utilizing the 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.

Any of the regulations discussed above could adversely affect the Partnership in certain circumstances.

The Partnership Trades in Unregulated Markets

The Partnership will trade currencies in the over-the-counter forward markets, in addition to in the futures markets.  None of the CFTC, the NFA, futures exchanges or banking authorities currently regulates the inter-bank currency markets or trading in these markets.  As a principal portion of the Partnership’s currency forward trading may take place in these markets, prospective Investors must recognize that much of the Partnership’s activity takes place in unregulated markets rather than on futures exchanges or through “retail” foreign exchange markets subject to the jurisdiction of the CFTC or other regulatory bodies.  In addition, the Partnership is subject to counterparty risk in trading in these markets.

The funds of the Partnership on deposit with MLIB as F/X prime broker and with the currency forward counterparties with which the Partnership will trade will not be protected by the same segregation requirements imposed on CFTC-regulated commodity brokers in respect of customer funds deposited with them.  In the event of MLIB’s or another F/X prime broker’s or counterparty’s insolvency or bankruptcy, the Partnership would be a general creditor without a priority claim.  As a result, its claim would be paid with the claims of other general creditors and the Partnership would be subject to the loss of its entire deposit with such prime broker or counterparty.  The forward markets are well established.  However, it is impossible to predict how, given certain unusual market scenarios, the unregulated nature of these markets might affect the Partnership, and the events underlying the 2004 bankruptcy of Refco, Inc. and its related entities have underscored the risks of maintaining capital at unregulated entities.  For a more detailed description of counterparty risk, see “The Partnership Could Lose Assets and Have Its Trading Disrupted Due to the Bankruptcy or Failure of Counterparties, Brokers and Exchanges,” below.

In addition, the prices offered for the same forward contract may vary significantly among different forward market participants.  Although Sunrise anticipates that the Partnership’s forward trading will have a high degree of liquidity in normal circumstances, 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.  The Partnership will not be excused from performance under any forward contracts into which it has entered due to defaults under other forward contracts which in Sunrise’s strategy were to have substantially “covered” the former.

The Reform Act amended the definition of “eligible contract participant,” and the CFTC has announced intentions to interpret that definition in a manner that would require the Partnership to limit its currency forward counterparties to futures commission merchants and “retail foreign exchange dealers,” which would be a limited set of

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registered, regulated entities such as FCMs and banks.  Limiting the Partnership’s potential currency forward counterparties 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 futures commission merchants and retail foreign exchange dealers 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 Partnership may 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 such 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 require 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 exchange of futures for physical (“EFP”) transactions.  An EFP permits positions to be established in the forward or cash markets during off-hours when futures exchanges are closed or at prices different from those prevailing on the exchange, which positions are then exchanged for futures contracts.  The pricing of EFPs may, accordingly, vary from the pricing of exchange-traded futures, and additional transaction costs are included in exchanging the forward or cash position for the equivalent futures position.

Lack of the Types of Price Trends Which the Expanded Diversified Program Can Identify Will Cause Major Losses

The Partnership cannot trade profitably unless major price trends occur in at least certain markets that it trades.  Many markets are trendless most of the time.  In stagnant markets, in which such trends do not occur, Sunrise’s programs are likely to incur substantial losses.

The Danger to the Partnership of “Whipsaw Markets”

Often, the most unprofitable market conditions for the Partnership are in “whipsaw markets,” in which apparent trends develop but then quickly reverse.  In such conditions, the programs may establish a series of losing positions based on incorrectly identifying both the brief upward or downward price movements as trends.

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.

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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.  Sunrise may use certain executing brokers unaffiliated with MLPF&S.  In the event of a trading error, the Partnership may have no effective remedy against such executing brokers.

Changes in Trading Strategy

Sunrise may make material changes in its trading strategies without the knowledge of MLAI.  Particularly given the proprietary and/or systematic of many managed futures strategies, it is virtually impossible for MLAI to detect strategy changes.

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 such 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 markets is currently not subject to daily limits, although such trading is also subject to periods of significant illiquidity.

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

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.

Transactions on markets located outside the United States, including markets formally linked to a U.S. market, are 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; moratoriums, non-U.S. currency, convertibility exchange or investment controls; and political or diplomatic disruptions.  Each of these actions might materially adversely affect the Partnership’s trading activities.  In trading

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on non-U.S. exchanges, the Partnership is also subject to the risk of changes in the exchange rates between the U.S. dollar and the currencies in which the non-U.S. contracts are settled.  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.  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.

The Partnership Could Lose Assets and Have Its Trading Disrupted Due to the Bankruptcy or Failure of Counterparties, Brokers and Exchanges

The Partnership is subject to the risk of the insolvency of its counterparties, such as FX prime brokers, broker-dealers, FCMs, futures exchanges, clearinghouses, banks or other financial institutions, including BAC, MLPF&S, MLIB and their affiliates.  Consequently, losses to the Partnership could develop and substantially affect performance if insolvency of any of these counterparties occurs.  Losses could be total or near total.  MLPF&S is registered as both an FCM with the CFTC and as a broker-dealer with the SEC.  In the event of an insolvency of such a dual registered entity, the distribution of FCM customer funds would be governed by the CFTC’s bankruptcy rules and Chapter 7 of the U.S. Bankruptcy Code, while the distribution of broker-dealer customer funds would be governed by the U.S. Securities Investor Protection Act of 1970, as amended, and applicable provisions of the U.S. Bankruptcy Code.  Uncertainty exists regarding the application of the two separate insolvency regimes to the insolvency of a single entity.

The Partnership’s assets could be lost or impounded during a counterparty’s bankruptcy or insolvency proceedings and a substantial portion or all of the Partnership’s assets may become unavailable to it either permanently or for a matter of years.  Were any such bankruptcy or insolvency to occur or were the threat of such bankruptcy or insolvency to occur, MLAI might decide to liquidate the Partnership or suspend, limit or otherwise alter trading, perhaps causing the Partnership to miss significant profit opportunities.

In connection with offshore futures and over-the-counter forward trading, there are increased risks in dealing with offshore brokers and unregulated trading counterparties, including the risk that assets may not benefit from the protection afforded to “customer funds” deposited with regulated brokers and dealers.  Sunrise may be required to post collateral on margin for its foreign exchange transactions with foreign exchange dealers who are not required to segregate customer funds.  In the case of a counterparty’s bankruptcy or inability to satisfy substantial deficiencies in other customer accounts, Sunrise may recover, even in respect of property specifically traceable to Sunrise’s account, only a pro rata share of all property available for distribution to all of such counterparty’s customers.

Pursuant to CFTC regulations, MLPF&S, as the Partnership’s futures commission merchant, is required to segregate assets for on-exchange futures and options trading.  If the assets of the Partnership were not so segregated by MLPF&S, the Partnership would be subject to the risk of the failure of MLPF&S.  Even given proper segregation, in the event of the insolvency of MLPF&S, the Partnership may be subject to a risk of loss of its funds and would be able to recover only a pro rata share (together with all other commodity customers of MLPF&S) of assets, such as U.S. Treasury bills, specifically traceable to the account of the Partnership and its Investors.  In certain past commodity broker insolvencies, customers have, in fact, been unable to recover from the broker’s estate the full amount of their customer funds.  In addition, under certain circumstances, such as the inability of another client of MLPF&S or MLPF&S itself to satisfy substantial deficiencies in such other client’s account, the Partnership may be subject to a risk of loss of the assets on deposit with MLPF&S, even if such assets are properly segregated.  In the case of any such bankruptcy or client loss, the Partnership might recover, even in respect of property specifically traceable to the Partnership, only a pro rata share of all property available for distribution to all of MLPF&S’ clients.

Many of the markets in which Sunrise effects transactions are “over-the-counter” or “inter-dealer” markets.  The participants in these 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.  Rather, the responsibility for performing under a particular transaction rests solely with the counterparty to such transactions.  To the extent Sunrise invests in swaps, derivatives or synthetic instruments or other over-the-counter transactions in these markets, Sunrise’s account is subject to the credit risk of the parties with which it trades and deposits collateral, including that of MLIB as F/X prime broker and counterparty.  In the event of MLIB’s or another F/X prime broker’s or counterparty’s insolvency or bankruptcy, the Partnership would be a general creditor without a priority claim.  As a result, its 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 such counterparty.  Sunrise’s account is also subject to the risk that a counterparty may not settle a transaction because such counterparty is unwilling or unable to do so (for example, because of a credit or liquidity problem affecting the counterparty), potentially resulting in

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significant losses — perhaps in respect of an offsetting position on which Sunrise’s account remains obligated to perform.

MLAI has limited control over selection of counterparties by Sunrise, and Sunrise is generally not restricted from dealing with any particular counterparty (regulated or unregulated) or from concentrating any or all of their transactions with a single counterparty or limited number of counterparties.  In addition, MLAI has no ability to assess the extent to which Sunrise maintains the Partnership’s assets in unregulated accounts subject to the bankruptcy of the counterparties holding such assets.

Significant losses incurred by many investment funds in relation to the 2008 insolvency of Lehman Brothers Holdings and its affiliates illustrate the risks incurred in both derivatives trading and custody/brokerage arrangements.

Market Disruptions; Government Intervention

The global financial markets — especially F/X markets — have recently experienced pervasive and fundamental disruptions that have led to extensive and unprecedented governmental intervention.  Such 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 such actions — these interventions typically have been difficult to interpret and unclear in scope and application, resulting in confusion and uncertainty, which 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 are typically reduced in disrupted markets.  Such a reduction may result in substantial losses to the Partnership.  Market disruptions may from time to time cause dramatic losses for the Partnership and such 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 a speculative, highly leveraged strategy.  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, several U.S. legislators and the CFTC have expressed the concern that speculative futures traders and commodity funds in particular, may be responsible for unwarranted and dramatic swings in the prices of commodities.

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 its markets, 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 comprehensively regulate the OTC derivatives markets for the first time.  The Reform Act requires that a substantial portion of derivatives currently traded over the counter be executed in regulated markets and submitted for clearing to regulate clearinghouses.  Those OTC derivatives may include OTC F/X forwards and swaps which may be traded by the Partnership.  Although the U.S. Treasury has the discretion to exclude F/X forwards and swaps from certain of the new regulatory requirements, it has proposed to do so only in limited circumstances.  If these forwards and swaps are not so excluded, the Reform Act may require them, and other OTC contracts that the Partnership may trade, to be cleared.  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

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and recordkeeping requirements, transparency requirements, position limits, limitations on conflicts of interest and other regulatory burdens.  Some or all of these requirements may apply to currency forwards and swaps even if they are excluded by the U.S. Treasury.  These new regulatory burdens would further increase the dealers’ 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.

Additionally, the Reform Act includes a provision that has come to be known as the “Volcker Rule” that places significant limitations on the ability of a “banking entity” to sponsor or invest in hedge funds, private equity funds or similar funds (collectively, “private funds”). “Banking entity” generally includes a company that controls an FDIC-insured depository institution, such as BAC, or a non-U.S. bank that is treated as a bank holding company and any affiliate or subsidiary of any bank holding company, such as MLAI, and other systemically significant organizations regulated by the Federal Reserve.  Under certain circumstances the Volcker Rule will permit a banking entity to organize and make or retain a de minimis investment in a private fund, in connection with the banking entity’s fiduciary or investment advisory business.  The Volcker Rule is effective in July 2012 and provides for a conformance period of up to two years following the effective date.  However, the implementation of the Volcker rule requires additional rulemaking from multiple federal government agencies, including the SEC, CFTC, the Federal Reserve and various other banking regulators.

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 U.S. from AAA to AA+.  While U.S. lawmakers reached agreement to raise the federal debt ceiling on August 2, 2011, the downgrade reflected Standard & Poor’s view that the fiscal consolidation plan within that agreement fell short of what would be necessary to stabilize the U.S. government’s medium term debt dynamics. This downgrade could have material adverse impact of the downgrade 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 Partnership’s financial condition and liquidity. Because of the unprecedented nature of negative credit rating actions with respect to U.S. government obligations, the ultimate impacts on global markets and the Partnership’s business, financial condition and liquidity are unpredictable and may not be immediately apparent.

In addition, global markets and economic conditions have been negatively impacted by the ability of certain European Union (“E.U.”) member states to service their sovereign debt obligations. The continued uncertainty over the outcome of the E.U. governments’ financial support programs and the possibility that other E.U. member states may experience similar financial troubles could further disrupt global markets.  In particular, it has and could in the future disrupt equity markets and result in volatile bond yields on the sovereign debt of E.U. members. These factors could have an adverse effect on the Partnership.

Item 1B: Unresolved Staff Comments

None.

Item 2:   Properties

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

The Partnership’s offices are the administrative offices of MLAI (Merrill Lynch Alternative Investments LLC, Four World Financial Center, 10th Floor, 250 Vesey Street, New York, New York 10080). MLAI performs administrative services for the Partnership from MLAI’s offices.

Item 3:        Legal Proceedings

None.

Item 4:        Mine Safety Disclosures

Not applicable

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PART II

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

Item 5(a)

(a)                                 Market Information:

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

(b)                                 Holders:

As of December 31, 2011, there were 1,197 holders of Units, including MLAI, with one Unit holder who owned 7.98% of the Partnership’s Units.

(c)                                  Dividends:

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 following Units was MLPF&S.

During 2011, the Partnership issued Units as set forth in the following chart.

Item 5(b)

Not applicable.

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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.

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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

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ML SELECT FUTURES I L.P.

December 31, 2011

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

Inception of Trading: April 1996

Aggregate Subscriptions:    $560,166,354

Current Capitalization:   $119,304,071

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

Worst Peak-to-Valley Drawdown(3):  (22.43)%  (December 2009 — December 2011)

Net Asset Value per Unit, December 31, 2011:   $284.1791

(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.

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

Results of Operations

General

Sunrise has been the Partnership’s sole Trading Advisor since July 1, 1998.  Sunrise is a trend-following trader, whose program does not attempt to predict price movements.  Sunrise’s Trading Program attempts to detect a trend, or lack of a trend, with respect to a particular Commodity Interest by analyzing price movements and volatility over time.  However, there are frequent periods during which fundamental factors external to the market dominate prices.

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

Performance Summary

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

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

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

December 31, 2011

The Partnership experienced a net profit of $6,304,529 before brokerage commissions and related fees 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

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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

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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

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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.

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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

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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

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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

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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.

The Partnership experienced a net trading profit before brokerage commissions and related fees for the year ended December 31, 2009 of $16,061,392.  Profits were primarily attributable to the Partnership’s trading in metals, stock indices, energy, agriculture and losses to currencies and interest rates.

The metals sector posted profits for the Partnership. Losses were posted to the Partnership at the beginning of the first quarter as most markets in the metals sectors had negative returns. The Program initiated a long position in gold in the middle of the first quarter as demand was rising and the price reached $1,000 per ounce. The market was not able to sustain that level and ended the month lower which caused losses for the Partnership. Losses continued to be posted to the Partnership at the end of the first quarter as markets in general lacked clear direction in an environment of uncertainty over the global economic outlook. The Program took advantage of new developing trends in metals and initiated new long positions in the metals sector resulting in profits being posted to the Partnership throughout the second quarter. Profits continued to be posted to the Partnership at the beginning through the middle of the third quarter due to base metals of aluminum and in copper which more than doubled in price for the year in August. However, the metals sector moved lower at the end of September resulting in losses being posted to the Partnership. Profits were posted to the Partnership at the beginning through the middle of the fourth quarter as gold was the best performing market as prices rose to record levels. In reaction to the sharp increase in the U.S. dollar, commodity prices initially fell across the board at the beginning of December. Losses were recorded in precious metals while base metals posted profits which were not enough to offset the losses to the Partnership as the year ended.

The stock indices posted profits for the Partnership. Losses were posted to the Partnership at the beginning of the first quarter as markets remained volatile and generally failed to show any meaningful price direction. Profits were posted to the Partnership and trading in equity futures was profitable, as the bear market began to accelerate and stock fell to their lowest level since 1997 in February. The governments plan to rescue the banking system sent stock markets to their highest levels not seen in more than a month. As a result, the majority of the Partnership’s short positions were liquidated with losses being posted for the Partnership as the first quarter ended. Losses were posted to the Partnership at the beginning of the second quarter in reaction to the United States Federal Reserve’s assessment that the United States economy began to show a slower rate of decline, while the equity markets grew stronger and triggered a liquidation of the program’s remaining short positions. Equity prices were somewhat volatile in the middle of the quarter due to continued uncertainty over the global economy. Long positions resulted in profits being posted to the Partnership with foreign equities more profitable than domestic equities. Profits continued to be posted to the Partnership at the end of the second quarter as equity prices moved higher as the market focuses on positive economic reports, improved consumer confidence and other signs of stabilization. The stock indices posted profits for the Partnership throughout the third quarter.  Equity markets reached new highs in July as all positions in equity were profitable with the largest gains coming from Eurostox and NASDAQ. Profits continued to be posted to the Partnership in August and September due to the United States and European equity markets as they moved to new highs for the year. Most global equity markets initially extended their gains from previous months and reached their highest point of the year in mid October and finished the month lower, thus producing losses for the Partnership. While most major United States and European equity markets ended the month of November higher resulting in profits for the Partnership, Japanese stock index futures incurred small losses. The Program’s long positions in equities resulted in profits being posted to the Partnership as the year ended.

The energy sector posted profits for the Partnership. Losses were posted to the Partnership at the beginning of the first quarter as markets remain volatile and fail to show price direction. Short positions in crude oil futures generated losses in the middle of the first quarter due to oil prices rising after the U.S. data showed declining inventories. The first quarter ended with losses being posted to the Partnership as trading was difficult in a volatile market. Profits were posted to the

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Partnership at the beginning through the middle of the second quarter as crude oil rose to a six month high on expectations of higher demand in a recovering economy. The quarter ended with profits being posted to the Partnership due to long positions in the energy sector as oil prices made new highs for the year as the outlook for global demand continued to show signs of strengthening. The energy sector posted losses for the Partnership throughout the third quarter.  Oil prices were volatile with oil finishing the month of August below the $70 level. Speculations about the extent and speed of a global economic recovery dominated the markets in September, resulting in a difficult trading environment.  Profits were posted to the Partnership at the beginning through the middle of the fourth quarter. Crude oil finished higher despite a major pullback in prices at the end of October. Performance from the energy sector was slightly profitable as the markets failed to make new highs in November and moved in a wide price range. Losses were posted to the Partnership in energies as the year ended in reaction to the sharp increase in the U.S. dollar.

The agriculture sector posted profits for the Partnership. Losses were posted for the Partnership throughout the first quarter due to the volatility in global markets. Profits were posted to the Partnership at the beginning through the middle of the second quarter as the Program initiated new long positions due the developing trends in the agriculture commodities. Losses were posted to the Partnership at the end of the second quarter due to reversals in the Program’s long agricultural positions (wheat, corn and soy meal) which contributed negatively to returns. Long positions were systematically reduced during the month of June. Profits were posted to the Partnership at the beginning through the middle of the third quarter as sugar prices rose in July on expectations for a smaller harvest and prices rallied to new highs in August. The wheat market continued its downturn in August, which led to solid profits for the Program’s short positions. The third quarter ended with losses posted to the Partnership as speculations about the extent and speed of a global economic recovery dominated the markets in September, resulting in a difficult trading environment for a technical model. Losses were posted to the Partnership at the beginning of the fourth quarter. The potential for a smaller harvest in grains appeared to push prices higher against the Program’s short positions. Sugar was the worst performing market in October. The Program’s long trades were liquidated after a sharp reversal in price. Trading systems generated solid profits across all programs in November. The Program was able to capitalize on several recurring trends, including rising commodity prices. In reaction to the sharp increase in the U.S. dollar, commodity prices initially fell almost across the board. Some of them stabilized during the second half of December and resumed the direction of their original trend. The year ended with profits posted to the Partnership.

The currency sector posted losses for the Partnership. The markets were thinner than in normal economic conditions at the beginning of the first quarter and there were no strong technical signals for a new price trend. The U.S. dollar benefited from its status as the world’s reserve currency and managed to strengthen against other European currencies. The Partnership’s exposure in the currency sector was light resulting in slightly negative returns. Losses continued to be posted to the Partnership in the middle of the first quarter as the currency sector was hurt by a major reversal in Japanese yen. The Japanese yen rose about 30% between August 2008 and the start of February 2009, then switched direction against the U.S. dollar and other major currencies. Trading in currencies at the end of the first quarter generated losses being posted for the Partnership. The U.S. dollar weakened against a wide range of currencies as worries about inflation intensified and the U.S. dollar’s status as the world’s reserve currency gained increased coverage. Currencies posted losses to the Partnership at the beginning of the second quarter as the U.S. dollar initially strengthened then moved lower against other currencies. Profits were posted to the Partnership in the middle of the second quarter due to an uptrend in the Australian dollar, New Zealand dollar and the South African rand and the U.S. dollar weakened against other major and minor currencies due to rising concerns about the country’s credit ratings. Profits in the currency markets were led by the strength of the British pound against other currencies especially the U.S. dollar plus minor currency positions resulting in profits being posted to the Partnership at the end of the second quarter. Profits were posted to the Partnership at the beginning of the third quarter as the U.S. dollar remained weak and the Program’s short U.S. dollar trades generated profits for the Partnership. All major currency markets traded in a range bound fashion in August resulting in losses being posted to the Partnership. Gains in minor currencies such as the Australian dollar and the New Zealand dollar were not large enough to offset losses in major currencies. The U.S. dollar declined to a twelve month low versus the Euro and an eight month low versus the Japanese yen, which prompted readjustments in the Program’s major currency positions. Commodity-linked currencies such as the New Zealand dollar and the Australian dollar benefited from expectations of revived economic growth and rose to their strongest level in more than a year resulting in profits being posted to the Partnership at the end of the third quarter. The U.S. dollar fell to a fourteen month low against the Euro and then bounced back strongly. The currency sector produced profits for the Partnership in October resulting from the short U.S. dollar positions against minor currencies, such as the Australian dollar and the Singapore dollar. The U.S. dollar resumed its fall against most major and minor currencies and hit new lows for the year in November as profits were posted to the Partnership resulting from the Program’s short U.S. dollar positions. The U.S. dollar experienced a relatively large correction, compared to moves in other markets. It rallied against other major and minor currencies, reaching the highest level against the Japanese yen the Euro since September. The year ended with losses being posted to the Partnership.

The interest rate sector posted losses for the Partnership. Interest rate futures were subjected to price reversals at the beginning of the first quarter as yields on government securities moved higher causing this sector to produce

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small losses. Profits were posted to the Partnership in the middle of the first quarter as the Program was able to identify trading opportunities in the long-term price trends. The first quarter ended with losses being posted to the Partnership as global markets lacked any clear direction in an environment of uncertainty over the global economic outlook. Losses were posted to the Partnership at the beginning of the second quarter due to the swine flu outbreak generating concerns which resulted in higher volatility levels across all market levels. It created a new challenge for the markets with its negative implications on the global economy. Treasury prices fell and yields rose on concerns about increasing supplies of government debt resulting in profits being posted to the Partnership in the middle of the second quarter. A significant drop in the U.S. treasury prices early in June triggered a decrease in overall exposure to interest rate products. An improved U.S. employment report sent the yield on two year U.S. Treasury notes surging to the highest level since November 2008 before retreating towards the end of the June resulting in losses being posted to the Partnership. Losses were posted to the Partnership at the beginning of the third quarter as the price action was missing significant directional movement and was not beneficial to the Program’s positions. Profits were posted to the Partnership in the middle to the end of the third quarter as the Program maintained a very low exposure in this sector. At the beginning of the fourth quarter losses were posted to the Partnership as performance was flat as the program’s exposure was very low. Profits were posted to the Partnership in November due the Program’s long positions profiting from an increase in prices. Apparent growing demand for the safety of United States Government bonds led to a further decline in the U.S. yields.

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 90 day t-bill rate 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.

Because substantially all of the Partnership’s assets are held in cash, the Partnership should be able to close out any or all of its open trading positions and liquidate any or all of its securities holdings quickly and at market prices, except in very unusual circumstances. This permits the Partnership to limit losses as well as reduce market exposure on short

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notice should its strategies indicate doing so. In addition, because there is a readily available market value for the Partnership’s positions and assets, the Partnership’s monthly Net Asset Value calculations are precise, and investors need only wait ten business days to receive the full redemption proceeds of their Units.

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.

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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 2011, 2010 and 2009. 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. During the fiscal year 2009, the Partnership’s average capitalization was $196,776,157.

December 31, 2011

December 31, 2010