Form 10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM

10-Q

☒	QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 2021

☐	TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from

Commission File number: 000-53043

Man-AHL Diversified I L.P.

(Exact name of registrant as specified in its charter)


Delaware		06-1496634
(State or other jurisdiction of incorporation or organization)		(IRS Employer Identification No.)

c/o Man Investments (USA) Corp. 452 5 th Avenue, 27 th Floor New York, NY		10018
(Address of principal executive offices)		(Zip Code)

(212)

649-6600

(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:


Title of each class	Trading Symbol(s)	Name of each exchange on which registered
none	none	none

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (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 ☒ No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted 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 such

files).

Yes

☒ No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a

non-accelerated

filer, a smaller reporting company or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company” and “emerging growth company” in Rule

12b-2

of the Exchange Act.


Large Accelerated Filer	☐	Accelerated Filer	☐

Non-Accelerated Filer	☒	Smaller reporting company	☐

		Emerging growth company	☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule

12b-2

of the Exchange Act). Yes ☐ No ☒

Table of Contents

PART I - FINANCIAL INFORMATION

ITEM 1.

Financial Statements.

Man-AHL Diversified I L.P.


STATEMENTS OF FINANCIAL CONDITION (a)			3
STATEMENTS OF OPERATIONS (b)			4
STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL (c)			5
STATEMENTS OF CASH FLOWS (c)			6
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)			7

(a)	At September 30, 2021 (unaudited) and December 31, 2020

(b)	For the three months ended September 30, 2021 and 2020 (unaudited) and for the nine months ended September 30, 2021 and 2020 (unaudited)

(c)	For the nine months ended September 30, 2021 and 2020 (unaudited)

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MAN-AHL

DIVERSIFIED I L.P.

(A Delaware Limited Partnership)

STATEMENTS OF OPERATIONS (UNAUDITED)


	For the three months ended						For the nine months ended
	September 30,						September 30,
	2021			2020			2021			2020
NET INVESTMENT INCOME (LOSS) ALLOCATED FROM MAN-AHL DIVERSIFIED TRADING COMPANY L.P.:
Interest income	$	15,512		$	27,339		$	47,729		$	488,435
Other income		—			4,845			—			4,845
Brokerage commissions		(33,905	)		(29,603	)		(109,909	)		(104,711	)
Interest expense		(32,245	)		(21,090	)		(110,614	)		(113,940	)
Administration fees		(16,368	)		(16,625	)		(47,296	)		(38,783	)
Professional fees		(39,313	)		(42,897	)		(125,533	)		(139,300	)
Shareholder expenses		(20,246	)		(24,070	)		(64,881	)		(86,663	)
Other expenses		(9,357	)		(9,718	)		(32,063	)		(27,082	)

Net investment income (loss) allocated from Man-AHL Diversified Trading Company L.P.		(135,922	)		(111,819	)		(442,567	)		(17,199	)

PARTNERSHIP EXPENSES:
Management fees		709,176			642,813			2,065,519			1,996,279
Servicing fees		237,499			215,106			691,691			667,948
Professional fees		46,991			9,555			140,973			(1,131	)
Other expenses		59,248			42,910			180,324			219,836

Total partnership expenses		1,052,914			910,384			3,078,507			2,882,932

Net investment los s		(1,188,836	)		(1,022,203	)		(3,521,074	)		(2,900,131	)

REALIZED AND UNREALIZED GAINS (LOSSES) ON TRADING ACTIVITIES ALLOCATED FROM MAN-AHL DIVERSIFIED TRADING COMPANY L.P.:
Net realized trading gains (losses) on closed contracts/agreements and foreign currency transactions		443,202			(1,471,837	)		25,238,615			5,172,542
Net change in unrealized trading gains (losses) on securities		2,047			3,846			(1,438	)		8,003
Net change in unrealized trading gains (losses) on open contracts/agreeements and translation of foreign currency		(1,057,614	)		211,440			(8,626,517	)		(4,988,574	)

Net gains (losses) on trading activities allo c ated from Man-AHL Diversified Trading Company L.P.		(612,365	)		(1,256,551	)		16,610,660			191,971

NET INCOME (LOSS)	$	(1,801,201	)	$	(2,278,754	)	$	13,089,586		$	(2,708,160	)

NET INCOME (LOSS) PER UNIT OF PARTNERSHIP INTEREST (based on weighted average units outstanding during the period):
CLASS A Series 1	$	(89.55	)	$	(98.84	)	$	637.21		$	(116.32	)

CLASS A Series 2	$	(87.20	)	$	(103.97	)	$	780.06		$	(100.85	)

CLASS B Series 1	$	(89.32	)	$	(100.67	)	$	636.22		$	(116.98	)

WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD:
CLASS A Series 1		13,162.36			15,312.56			13,316.83			15,704.04

CLASS A Series 2		960.65			919.81			959.08			915.71

CLASS B Series 1		6,031.45			6,651.20			6,060.57			6,745.44

See accompanying notes and attached financial statements of

Man-AHL

Diversified Trading Company L.P.

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MAN-AHL

DIVERSIFIED I L.P.

(A Delaware Limited Partnership)

NOTES TO FINANCIAL STATEMENTS (UNAUDITED)

The accompanying unaudited financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of

Man-AHL

Diversified I L.P.’s (a Delaware Limited Partnership) (the “Partnership”) financial condition at September 30, 2021, and the results of its operations for the three and month periods ended September 30, 2021 and 2020. These financial statements present the results of interim periods. These financial statements should be read in conjunction with the audited financial statements and notes included in the Partnership’s annual report on Form

10-K

filed with the Securities and Exchange Commission (“SEC”) for the year ended December 31, 2020. The December 31, 2020 information has been derived from the audited financial statements as of December 31, 2020.

1. ORGANIZATION OF THE PARTNERSHIP

Man-AHL

Diversified I L.P. (a Delaware Limited Partnership) (the “Partnership”) was organized in September 1997 under the Delaware Revised Uniform Limited Partnership Act, and commenced operations on April 3, 1998, for the purpose of engaging in the speculative trading of futures and forward contracts and related instruments. The Partnership is a “feeder” fund in a “master-feeder” structure, whereby the Partnership invests substantially all of its assets in

Man-AHL

Diversified Trading Company L.P. (the “Trading Company”). Man Investments (USA) Corp. (the “General Partner”), a Delaware corporation, serves as the Partnership’s General Partner. The General Partner is a subsidiary of Man Group plc, a Jersey public limited company that is listed on the London Stock Exchange. The General Partner oversees the operations and management of the Partnership.

AHL Partners LLP (the “Advisor”), a limited liability partnership established in England and Wales, acts as trading advisor to the Partnership. The Advisor is an affiliate of the General Partner and a subsidiary of Man Group plc. The Advisor is registered with the Commodity Futures Trading Commission (“CFTC”) as a commodity trading adviser and commodity pool operator and is a member of the National Futures Association (“NFA”) in such capacities, in addition to registration with the Financial Conduct Authority in the United Kingdom.

Man Investments Limited, a United Kingdom private limited company that is part of Man Group plc, is the managing member of the Advisor, and Man Investments Holdings Inc., a Delaware corporation that is part of Man Group plc, is the sole shareholder of the General Partner.

The Partnership’s units are distributed through the Partnership or other selling agents, including Man Investments Inc. (“MII”), an affiliate of the Advisor and General Partner. MII is a registered broker-dealer and a member of the Financial Industry Regulatory Authority, Inc. (“FINRA”).

The Partnership filed a registration statement under the Securities Exchange Act of 1934, as amended (the “Exchange Act”), which became effective in March 2008. The Partnership’s units are not, however, registered for sale through a public offering, and the General Partner does not intend to cause them to be so registered.

The Partnership offers two classes of units of limited partnership interests; Class A units are generally offered and Class B units are offered to retirement plan investors. Within Class A and Class B, units are issued in two separate series. They are Class A Series 1, Class A Series 2, Class B Series 1 and Class B Series 2. Except as described in Note 2 below in respect of fees, the classes of units are identical.

The Bank of New York Mellon serves as the administrator to the Partnership.

2. SIGNIFICANT ACCOUNTING POLICIES

The Partnership prepares its financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). The General Partner has evaluated the structure, objectives and activities of the Partnership and the Trading Company and determined that the Partnership and the Trading Company meet the characteristics of an investment company. As such, these financial statements have applied the guidance as set forth in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946,

Financial Services -

Investment Companies

. The following is a summary of the significant accounting and reporting policies used in preparing the financial statements.

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Use of Estimates —

The preparation of financial statements in conformity with U.S. GAAP requires the General Partner to make estimates and assumptions that affect the reported amounts of assets and liabilities (and disclosure of contingent assets and liabilities) at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

Investment in

Man-AHL

Diversified Trading Company L.P. —

The Partnership’s investment in the Trading Company is valued at the fair value of the Partnership’s proportionate interest in the net assets of the Trading Company. The fair value of the Partnership’s investment in the Trading Company approximates the carrying amounts presented in the statements of financial condition. The Partnership records its proportionate share of the Trading Company’s income, expenses, and realized and unrealized gains and losses. Investment transactions are recorded on a trade-date basis. In addition, the Partnership accrues its own expenses. The performance of the Partnership is directly affected by the performance of the Trading Company. Attached are the financial statements of the Trading Company, including the condensed schedules of investments, which are an integral part of these financial statements. Valuation of investments held by the Trading Company is discussed in the Trading Company’s notes to financial statements.

At September 30, 2021 and December 31, 2020, the Partnership owned 4,019.75 and 4,308.6 units, respectively, of the Trading Company. The Partnership’s aggregate ownership percentage of the Trading Company at September 30, 2021 and December 31, 2020 was 59.99% and 69.95%, respectively.

The Partnership is able to redeem its investment from the Trading Company on a monthly basis. As of September 30, 2021 and December 31, 2020, the Partnership could redeem its investment without restriction at the

month-end

net asset value of the Trading Company.

Due from

Man-AHL

Diversified Trading Company L.P. —

The amounts Due from

Man-AHL

Diversified Trading Company L.P. represent redemption requests made by the Partnership relating to its investment in the Trading Company. The requests have been received and recorded by the Trading Company but the proceeds have not been received by the Partnership. These amounts are ultimately due to limited partners of the Partnership as redemptions payable.

Expenses —

The Advisor earns a monthly management fee in an amount equal to 0.1667% (2% annually) of the Partnership’s

month-end

Net Asset Value, as defined in the Limited Partnership Agreement (the “Agreement”). In addition, the General Partner earns a monthly general partner fee in an amount equal to 0.0833% (1% annually) of the

month-end

Net Asset Value of Class A Series 1 and Class B Series 1 units. The general partner fee is included in management fees in the statements of operations.

The Advisor also earns a monthly incentive fee equal to 20% of any Net New Appreciation, as defined in the Agreement, achieved by the Partnership. The incentive fee is retained by the Advisor even if subsequent losses are incurred; however, no subsequent incentive fees will be paid to the Advisor until any such trading losses are recouped by the Partnership. Because the incentive fees are paid on the Net New Appreciation of the Partnership as a whole, it is possible that certain Limited Partners may experience increases in the Net Asset Value of their units while paying no incentive fees on such increases in the Net Asset Value of such units as a result of the timing of the purchase of units. During the three and nine month periods ended September 30, 2021 and 2020, no incentive fees were earned by the Advisor.

The Partnership pays a monthly servicing fee to MII in an amount equal to 0.0833% (1.00% annually) of the

month-end

Net Asset Value of Class A Series 1 and Class B Series 1 units and to 0.0625% (0.75% annually) of the

month-end

Net Asset Value of Class A Series 2 and Class B Series 2 units. For all classes of units, MII serves as the placement agent for the Partnership.

Revenue recognition —

Income and expense are recognized on an accrual basis in the period in which they are incurred.

Derivative Contracts

— The Partnership’s operating activities involve trading, indirectly through its investment in the Trading Company, in derivative contracts that involve varying degrees of market and credit risk. With respect to the Partnership’s investment in the Trading Company, the Partnership has limited liability, and, therefore, its maximum exposure to either market or credit loss is limited to the carrying value of its investment in the Trading Company, as set forth in the statements of financial condition.

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Net Income (Loss) Per Unit —

Net income (loss) per unit of Class A Series 1, Class A Series 2, Class B Series 1, or Class B Series 2 partnership interest is equal to the net income (loss) per class divided by the weighted average number of units outstanding per class. Weighted average number of units outstanding is the average of the units outstanding for each day during the period.

Income Taxes —

The

Partnership is not subject to federal, state, or local income tax. Such taxes are the liabilities of the individual partners and the amounts thereof will vary depending on the individual situation of each partner. Accordingly, there is

provision for income taxes in the accompanying financial statements. ASC 740, Income Taxes, defines how uncertain tax positions should be recognized, measured, presented, and disclosed in the financial statements and is applied to all open tax years. The Partne

ship has evaluated tax positions taken or expected to be taken in the course of preparing the Partnership’s tax returns to determine whether the tax positi

ns are

more-likely-than-not

to be sustained by the applicable tax authority. Based on this analysis of all tax jurisdictions and all open tax years subject to examination, there were no material tax positions not deemed to meet a

more-likely-than-not-threshold.

Therefore,

tax expense, including interest or penalties, was recorded for the three and nine month periods ended September 30, 2021 and 2020. To the extent that the Partnership records interest and penalties, they would be included in interest expense and other expenses, respectively, on the statements of operations. The following is the major tax jurisdiction for the Trading Company and the earliest tax year subject to examination: United States – 2018.

3. LIMITED PARTNERSHIP AGREEMENT

The General Partner and each limited partner share in the profits and losses of the Partnership in proportion to the amount of capital held by each partner. However, no limited partner is liable for obligations of the Partnership in excess of its capital subscription and net profits or losses, if any.

The Partnership’s units are continuously offered as of the first business day of each month at Net Asset Value, as defined in the Agreement. Limited partners may redeem any or all of their units as of the end of any month at Net Asset Value per unit on

days prior written notice to the General

Partner.

The Partnership will be dissolved on

December 31, 2037

, or upon the occurrence of certain events, as specified in the Agreement.

The General Partner is required to make and maintain a general partner investment in the Partnership in an aggregate amount equal to the lesser of

1.01

of the net aggregate capital subscriptions of all partners, or

500,000

Distributions (other than redemptions of units), if any, are made on a

pro-rata

basis at the sole discretion of the General Partner.

distributions were declared or paid during the three and nine month periods ended September 30, 2021 and 2020.

Under the terms of the Agreement, the Partnership is liable for all costs associated with executing its business strategy. These costs include, but are not limited to, expenses associated with operations of the Partnership, such as management and incentive fees and other operating expenses, such as legal, audit, and tax return preparation fees.

4. FINANCIAL GUARANTEES

The Partnership enters into administrative and other professional service contracts that contain a variety of indemnifications. The Partnership’s maximum exposure under these arrangements is not known; however, the Partnership has

t had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

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5. FINANCIAL HIGHLIGHTS

The following represents the ratios to average limited partners’ capital and other information for the three and nine month periods ended September 30, 2021 and 2020:


	For the three months ended September 30, 2021									For the three months ended September 30, 2020
	Class A Series 1			Class A Series 2			Class B Series 1			Class A Series 1			Class A Series 2			Class B Series 1
Per unit operating performance:
Beginning net asset value	$	4,764.38		$	5,555.31		$	4,764.17		$	3,750.09		$	4,318.17		$	3,749.93

Income (loss) from investment operations:
Net investment income (loss)		(59.35	)		(51.76	)		(59.32	)		(45.09	)		(37.94	)		(44.92	)
Net realized and unrealized gains (losses) on trading activities		(30.11	)		(35.44	)		(30.14	)		(56.65	)		(66.03	)		(56.82	)

Total income (loss) from investment operations		(89.46	)		(87.20	)		(89.46	)		(101.74	)		(103.97	)		(101.74	)

Ending net asset value	$	4,674.92		$	5,468.11		$	4,674.71		$	3,648.35		$	4,214.20		$	3,648.19

Ratios to average partners’ capital 1 :
Expenses other than incentive fees		5.08	%		3.81	%		5.08	%		4.94	%		3.64	%		4.93	%

Total expenses		5.08	%		3.81	%		5.08	%		4.94	%		3.64	%		4.93	%

Net investment income (loss)		(5.01	)%		(3.74	)%		(5.01	)%		(4.79	)%		(3.50	)%		(4.78	)%

Total return 2 :
Total return before incentive fees		(1.88	)%		(1.57	)%		(1.88	)%		(2.71	)%		(2.41	)%		(2.71	)%

Total return after incentive fees		(1.88	)%		(1.57	)%		(1.88	)%		(2.71	)%		(2.41	)%		(2.71	)%


	For the nine months ended September 30, 2021									For the nine months ended September 30, 2020
	Class A Series 1			Class A Series 2			Class B Series 1			Class A Series 1			Class A Series 2			Class B Series 1
Per unit operating performance:
Beginning net asset value	$	4,040.79		$	4,682.16		$	4,040.61		$	3,773.02		$	4,317.43		$	3,772.86

Income (loss) from investment operations:
Net investment income (loss)		(174.32	)		(152.58	)		(174.10	)		(125.41	)		(102.26	)		(125.17	)
Net realized and unrealized gains (losses) on trading activities		808.45			938.53			808.20			0.74			(0.97	)		0.50

Total income (loss) from investment operations		634.13			785.95			634.10			(124.67	)		(103.23	)		(124.67	)

Ending net asset value	$	4,674.92		$	5,468.11		$	4,674.71		$	3,648.35		$	4,214.20		$	3,648.19

Ratios to average partners’ capital 1 :
Expenses other than incentive fees		5.24	%		3.95	%		5.23	%		5.12	%		3.82	%		5.10	%

Total expenses		5.24	%		3.95	%		5.23	%		5.12	%		3.82	%		5.10	%

Net investment income (loss)		(5.17	)%		(3.88	)%		(5.16	)%		(4.39	)%		(3.11	)%		(4.37	)%

Total return 2 :
Total return before incentive fees		15.69	%		16.79	%		15.69	%		(3.30	)%		(2.39	)%		(3.30	)%

Total return after incentive fees		15.69	%		16.79	%		15.69	%		(3.30	)%		(2.39	)%		(3.30	)%

1	Includes amounts allocated from the Trading Company. Ratios have been annualized.

2	Total return is for the period indicated and has not been annualized.

Financial highlights are calculated for limited partners taken as a whole for each series. An individual partner’s returns and ratios may vary from these returns and ratios based on the timing of capital transactions.


	September 30, 2021 (Unaudited)						December 31, 2020
				Percent of						Percent of
				Partners’						Partners’
	Fair Value			Capital			Fair Value			Capital
FUTURES CONTRACTS - Long:

Agricultural	$	542,410			0.3		$	2,018,724			1.6
Currencies		37,520			0.0			—			—
Energy		3,676,475			2.3			606,148			0.5
Indices		(1,172,187	)		(0.6	)		1,104,307			0.9
Interest Rates		(308,834	)		(0.2	)		338,024			0.3
Metals		(141,450	)		(0.1	)		827,030			0.7

Total futures contracts - long		2,633,934			1.7			4,894,233			4.0

FUTURES CONTRACTS - Short:
Agricultural	$	180,882			0.1			(74,188	)		(0.1	)
Currencies		—			—			38,179			0.1
Energy		(245,964	)		(0.2	)		(16,895	)		(0.0	)
Indices		(262,768	)		(0.2	)		20,850			0.0
Interest Rates		251,842			0.2			(23,500	)		(0.0	)
Metals		172,975			0.1			—			—

Total futures contracts - short		96,967			0.0			(55,554	)		0.0

NET UNREALIZED TRADING GAINS (LOSSES) ON OPEN FUTURES CONTRACTS	$	2,730,901			1.7		$	4,838,679			4.0

FORWARD CONTRACTS - Long:
Australian dollars	$	2,578			0.0		$	1,042,637			1.0
Brazilian real		(724,418	)		(0.5	)		64,704			0.1
Mexican peso		(1,501,623	)		(0.9	)		402,856			0.3
Turkish lira		—			—			59,332			0.0
New Zealand dollars		(539,951	)		(0.3	)		389,111			0.3
South African rand		(750,880	)		(0.5	)		504,674			0.4
South Korean won		(120,970	)		(0.1	)		507,591			0.4
U.K. pound		(371,428	)		(0.2	)		644,027			0.5
Other		(2,962,030	)		(1.9	)		2,006,722			1.6

Total long forward contracts vs USD		(6,968,722	)		(4.4	)		5,621,654			4.6

FORWARD CONTRACTS - Short:
Australian dollars	$	92,222			0.1		$	(207,750	)		(0.2	)
Brazilian real		388,772			0.2			10,568			0.0
Mexican peso		934,295			0.6			(71,285	)		(0.1	)
Turkish lira		—			0.0			(47,022	)		(0.0	)
Metal		—			0.0			—			0.0
New Zealand dollars		278,498			0.2			(129,739	)		(0.1	)
South African rand		50,964			0.0			(27,164	)		(0.0	)
South Korean won		292,876			0.2			(188,367	)		(0.2	)
U.K. pound		702,638			0.4			(490,252	)		(0.4	)
Other		2,500,359			1.6			(1,244,279	)		(1.0	)

Total short forward contracts vs USD		5,240,624			3.3			(2,395,290	)		(2.0	)

Forward contracts - Cross currencies		(711,507	)		(0.4	)		416,431			0.3
Forward contracts - Metal non USD		303,909			0.2			659,102			0.5

		(407,598	)		(0.2	)		1,075,533			0.8

NET UNREALIZED TRADING GAINS (LOSSES) ON OPEN FORWARD CONTRACTS	$	(2,135,696	)		(1.3	)	$	4,301,897			3.4

See notes to financial statements.

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MAN-AHL

DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

CONDENSED SCHEDULES OF INVESTMENTS (CONTINUED)


			September 30, 2021 (Unaudited)						December 31, 2020
						Percent of						Percent of
						Partners’						Partners’
	Principal		Fair Value*			Capital			Fair Value*			Capital
SWAP AGREEMENTS - Long:

Credit default swaps - Buy protection centrally cleared (upfront premiums received $2,069,377 and $nil, as of September 30, 2021 and December 31, 2020, respectively)			$	19,389			0.0		$	—			—
Interest rate swaps
Brazilian Real (range of expirations: January 4, 2021 - March 19, 2025 , as of December 31, 2020				—			—			23,765,654			19.5

Total swap agreements - long				19,389			0.0			23,765,654			19.5

SWAP AGREEMENTS - Short:
Credit default swaps - Sell protection centrally cleared (upfront premiums paid $15,727,709 and $4,418,752, as of September 30, 2021 and December 31, 2020, respectively)				(357,910	)		(0.2	)		277,791			0.2
Interest rate swaps
Brazilian Real (range of expirations: January 4, 2021 - March 19, 2025, as of December 31, 2020				—			—			(20,438,688	)		(16.7	)

Total swap agreements - short				(357,910	)		(0.2	)		(20,160,897	)		(16.5	)

NET UNREALIZED TRADING GAINS/(LOSSES) ON OPEN SWAP AGREEMENTS			$	(338,521	)		(0.2	)	$	3,604,757			3.0

NET UNREALIZED TRADING GAINS/(LOSSES) ON OPEN CONTRACTS/AGREEMENTS			$	256,684			0.2		$	12,745,333			10.4

U.S. GOVERNMENT SECURITIES - Long:
United States Treasury Bill 0% 03/18/21		35,000,000	$	—			—		$	34,995,421			28.7
United States Treasury Bill 0% 02/25/21		45,000,000		—			—			44,996,029			36.8
United States Treasury Bill 0% 01/06/22		30,000,000		29,997,754			18.9			—			—
United States Treasury Bill 0% 01/20/22		25,000,000		24,997,506			15.7			—			—
United States Treasury Bill 0% 02/10/22		35,000,000		34,995,191			22.1			—			—
United States Treasury Bill 0% 03/03/22		25,000,000		24,996,022			15.7			—			—

Total U.S. government securities - long				114,986,473			72.4			79,991,450			65.5

TOTAL INVESTMENT IN SECURITIES (COST $114,983,426 and $79,986,217 at September 30, 2021 and December 31, 2020, respectively)			$	114,986,473			72.4		$	79,991,450			65.5

MAN-AHL

DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

NOTES TO FINANCIAL STATEMENTS (UNAUDITED)

The accompanying unaudited financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of

Man-AHL

Diversified Trading Company L.P.’s (a Delaware Limited Partnership) (the “Trading Company”) financial condition at September 30, 2021, and the results of its operations for the three and nine month periods ended September 30, 2021 and 2020. These financial statements present the results of interim periods. These financial statements should be read in conjunction with the audited financial statements and notes included in

Man-AHL

Diversified I L.P.’s annual report on Form

10-K

filed with the Securities and Exchange Commission for the year ended December 31, 2020. The December 31, 2020 information has been derived from the audited financial statements as of December 31, 2020.

1. ORGANIZATION OF THE TRADING COMPANY

Man-AHL

Diversified Trading Company L.P. (a Delaware Limited Partnership) (the “Trading Company”) was organized in November 1997 under the Delaware Revised Uniform Limited Partnership Act, and commenced operations on April 3, 1998, for the purpose of engaging in the speculative trading of futures and forward contracts and related instruments. Man Investments (USA) Corp. (the “General Partner”), a Delaware corporation, serves as the Trading Company’s general partner. The General Partner is a subsidiary of Man Group plc, a Jersey public limited company that is listed on the London Stock Exchange. The General Partner oversees the operations and management of the Trading Company.

The Trading Company was formed to serve as a trading vehicle for certain limited partnerships sponsored by the General Partner in a “master-feeder” structure. The limited partners,

Man-AHL

Diversified I L.P. and

Man-AHL

Diversified II L.P., are limited partnerships whose general partner is the General Partner.

AHL Partners LLP (the “Advisor”), a limited liability partnership established in England and Wales, acts as the trading advisor to the Trading Company. The Advisor is an affiliate of the General Partner and a subsidiary of Man Group plc. The Advisor is registered with the Commodity Futures Trading Commission (“CFTC”) as a commodity trading adviser and commodity pool operator and is a member of the National Futures Association (“NFA”) in such capacities, in addition to registration with the Financial Conduct Authority in the United Kingdom.

The Bank of New York Mellon serves as the administrator to the Trading Company.

2. SIGNIFICANT ACCOUNTING POLICIES

The Trading Company prepares its financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). The General Partner has evaluated the structure, objectives and activities of the Trading Company and determined that the Trading Company meets the characteristics of an investment company. As such, these financial statements have applied the guidance as set forth in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946,

Financial Services—Investment Companies.

The following is a summary of the significant accounting and reporting policies used in preparing the financial statements.

Use of Estimates

— The preparation of financial statements in conformity with U.S. GAAP requires the General Partner to make estimates and assumptions that affect the reported amounts of assets and liabilities (and disclosure of contingent assets and liabilities) at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

Due from Broker

— Due from brokers may consist of balances due from Citigroup, N.A. (“Citi”), Credit Suisse Securities (USA) (“CS”), J.P. Morgan Chase Bank, N.A. and J.P. Morgan Securities LLC (“JPM”), Royal Bank of Scotland (“RBS”), Deutsche Bank AG, London Branch (“DB”), Merrill Lynch, Pierce, Fenner & Smith Incorporated (“ML”), HSBC and Goldman Sachs (“GS”) (the “Brokers”). In general, the brokers pay the Trading Company interest monthly, based on agreed upon rates, on the Trading Company’s average daily balance.

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Amounts due from brokers include local and foreign currency balances and balances posted as collateral. The amount of collateral held and included in due from brokers on the statements of financial condition is $22,799,019 and $15,192,032 as of September 30, 2021 and December 31, 2020, respectively.

Due to Broke

— Due to brokers may consist of balances owed to its Brokers, as well as balances due to The Bank of New York Melon relating to securities or contracts, the Trading Company has purchased or entered into, but have not yet settled as of September 30, 2021.

Revenue recognition

— Income and expenses are recognized on an accrual basis in the period in which they are incurred.

Realized gains and losses from periodic payments and settlements and unrealized changes in fair values are included in realized and unrealized gains and losses on contracts/agreements, respectively, in the statements of operations. All trading activities are accounted for on a trade-date basis. The cost of securities sold is accounted for on a first in first out basis.

Premiums and discounts on debt securities are amortized using the effective interest method and included within interest income on the statements of operations.

Derivative Contracts

— In the normal course of business, the Trading Company enters into derivative contracts (“derivatives”) for trading purposes. Derivatives traded by the Trading Company include futures and forward contracts and swap agreements. The Trading Company records derivatives at fair value. Futures contracts, which are traded on a national exchange, are valued at the close price as of the valuation day, or if no sale occurred on such day, at the close price on the most recent date on which a sale occurred. Forward contracts, which are not traded on a national exchange, are valued at fair value using independent pricing services, which mainly use market observable inputs in their valuations. Swaps are contractual agreements between two parties to exchange streams of payments over time based on specified notional amounts. The Trading Company’s swap agreements consist of interest rate swaps and credit default swaps. Swap agreements are valued at fair value using independent pricing services. Upfront premiums paid or received by the Trading Company upon entering a credit default swap agreement are treated as part of the cost/proceeds of the credit default swap agreement and are reflected as part of net premiums paid or received on the statements of financial condition. Upon termination of a credit default swap transaction, the amount included in the cost is reversed and becomes part of realized gain or loss.

Foreign Currency

— All assets and liabilities of the Trading Company denominated in foreign currencies are translated into U.S. dollar amounts at the mean between the bid and ask market rates for such currencies on the date of valuation. Purchases and sales of foreign investments are converted at the prevailing rate of exchange on the respective date of such transactions. The Trading Company does not isolate that portion of realized gains and losses on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such changes are included with the net realized gains or losses on trading activities.

Cash and Cash Equivalents

— Cash and cash equivalents include unrestricted cash, short-term interest-bearing money market accounts and U.S. government securities with original maturities of 90 days or less, held with The Bank of New York Mellon. As of September 30, 2021 and December 31, 2020, the Trading Company maintains cash balances with The Bank of New York Mellon. As of September 30, 2021, the Trading Company held foreign cash balances of $488,446 with a cost of $493,846, which are included in cash and cash equivalents. As of December 31, 2020, the Trading Company did not hold any foreign cash balances. As of September 30, 2021 and December 31, 2020, the Trading Company did not hold any U.S. Treasury Bills in cash and cash equivalents.

Investments in Securities

— Investments in Securities include U.S. government securities with original maturities of more than 90 days, held with The Bank of New York Mellon. As of September 30, 2021, the Trading Company holds $114,986,473 of U.S. Treasury Bills in securities. These U.S. Treasury Bills, with maturity dates ranging from January 6, 2022 to March 3, 2022, have a total face value of $115,000,000. As of December 31, 2020, the Trading Company holds $79,991,450 of U.S. Treasury Bills in securities. These U.S. Treasury Bills, with maturity dates ranging from February 25, 2021 to March 18, 2021, have a total face value of $80,000,000. As of September 30, 2021 and December 31, 2020, all U.S. Treasury Bills are classified as Level 2 investments in the fair value hierarchy.

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Income Taxes

— The Trading Company is treated as a partnership for tax purposes and therefore is not subject to federal, state, or local income tax. Such taxes are the liabilities of the individual partners and the amounts thereof will vary depending on the individual situation of each partner.

Accordingly, there is

provision for income taxes in the accompanying financial statements. ASC 740,

Income Taxes

, defines how uncertain tax positions should be recognized, measured, presented, and disclosed in the financial statements and is applied to all open tax years. The Trading Company has evaluated tax positions taken or expected to be taken in the course of preparing the Trading Company’s tax returns to determine whether the tax positions are more likely than not to be sustained by the applicable tax authority. Based on this analysis of all tax jurisdictions and all open tax years subject to examination, there were no material tax positions not deemed to meet a

more-likely-than-not-threshold.

Therefore,

tax expense, including interest or penalties, was recorded for the three and nine month periods ended September 30, 2021 and 2020. To the extent that the Trading Company records interest and penalties, they would be included in interest expense and other expenses, respectively, on the statements of operations. The following is the major tax jurisdiction for the Trading Company and the earliest tax year subject to examination: United States – 2018.

Net Income (Loss) Per

Unit

— Net income (loss) per unit of partnership interest is equal to the net income (loss) divided by the weighted average number of units outstanding. Weighted average number of units outstanding is the average of the units outstanding for each day during the period.

3. LIMITED PARTNERSHIP AGREEMENT

The General Partner and limited partners share in the profits and losses of the Trading Company in proportion to the amount of capital held by each partner. However, no limited partner is liable for obligations of the Trading Company in excess of its capital contribution and net profits or losses, if any. The General Partner owned no direct interest in the Trading Company during the periods ended September 30, 2021 and December 31, 2020.

Distributions (other than redemption of units), if any, are made on a

pro-rata

basis at the sole discretion of the General Partner. No distributions were declared or paid during the three and nine month periods ended September 30, 2021 and 2020.

Partner contributions occur as of the first day of any month at the opening net asset value. Limited partners may redeem any or all of their units as of the end of any month at the net asset value per unit with 10 days prior written notice to the General Partner. The General Partner may suspend redemptions of units of the Trading Company if the Trading Company’s ability to withdraw capital from any investment is restricted. The Trading Company will be dissolved on December 31, 2037, or upon the occurrence of certain events, as specified in the Trading Company’s limited partnership agreement.

4. FAIR VALUE MEASUREMENTS

The Trading Company defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date under current market conditions. The fair value of the Trading Company’s assets and liabilities which qualify as financial instruments approximates the carrying amounts presented on the statements of financial condition.

The inputs used to determine the fair value of the Trading Company’s investments are summarized in the three broad levels listed below:

•

Level 1 — quoted prices in active markets for identical assets or liabilities

•

Level 2 — investments with significant market observable inputs

•

Level

3 — investments with significant unobservable inputs, which may include the Trading Company’s own assumptions in determining the fair value of investments

Futures contracts are valued based on end of day quoted prices from the exchange and are categorized as Level 1 investments in the fair value hierarchy. Treasury bills, forward contracts and swap agreements are valued at fair value using independent pricing services, which use market observable inputs in their valuations, and are categorized as Level 2 investments in the fair value hierarchy. As of September 30, 2021 and December 31, 2020, the Trading Company did not have any positions categorized as Level 3 investments in the fair value hiera

chy. The following is a summary categorization as of September 30, 2021 and December 31, 2020, of the Trading Company’s investments based on the level of inputs utilized in determining the value of such investments:

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	Fair Value Measurements
Investments	As of September 30, 2021			Level 1			Level 2			Level 3

Assets
Treasury bills	$	114,986,473		$	—		$	114,986,473		$	—
Futures contracts		5,101,381			5,101,381			—			—
Forward contracts		9,113,938			—			9,113,938			—
Swap agreements*		23,897			—			23,897			—

Total Assets		129,225,689			5,101,381			124,124,308			—

Liabilities
Futures contracts		(2,370,480	)		(2,370,480	)		—			—
Forward contracts		(11,249,634	)		—			(11,249,634	)		—
Swap agree m ents*		(362,418	)		—			(362,418	)		—

Total Liabilities		(13,982,532	)		(2,370,480	)		(11,612,052	)		—

Net Fair Value	$	115,243,157		$	2,730,901		$	112,512,256		$	—


	Fair Value Measurements
Investments	As of December 31, 2020			Level 1			Level 2			Level 3
Assets
Treasury bills	$	79,991,450		$	—		$	79,991,450		$	—
Futures contracts		5,360,776			5,360,776			—			—
Forward contracts		10,075,685			—			10,075,685			—
Swap agreements*		24,052,471			—			24,052,471			—

Total Assets		119,480,382			5,360,776			114,119,606			—

Liabilities
Futures contracts		(522,097	)		(522,097	)		—			—
Forward contracts		(5,773,788	)		—			(5,773,788	)		—
Swap agreements*		(20,447,714	)		—			(20,447,714	)		—

Total Liabilities		(26,743,599	)		(522,097	)		(26,221,502	)		—

Net Fair Value	$	92,736,783		$	4,838,679		$	87,898,104		$	—

*	The Fair Value of credit default swaps excludes upfront premiums received/paid which are presented separately in the Statement of Financial Condition. Refer to Note 2 for further details on the accounting treatment of premiums on credit default swaps.

The Trading Company discloses the amounts of transfers and reasons for those transfers between levels of the fair value hierarchy, based on the levels assigned under the hierarchy at the reporting period end. There were no transfers between levels as of September 30, 2021 or 2020 based on the levels assigned at December 31, 2020 or 2019.

5. DERIVATIVE FINAN

IAL INSTRUMENTS AND CONCENTRATIONS OF CREDIT RISK

The Trading Company seeks to achieve its investment objective by participation in the AHL Diversified Program directed on behalf of the Trading Company by the Advisor. The AHL Diversified Program is a price trend-following trading system, entirely quantitative in nature, and implements trading positions on the basis of statistical analyses of past price histories. The objective of the AHL Diversified Program is to deliver substantial capital growth for commensurate levels of volatility over the medium term, independent of the movement of the stock and bond markets, through the speculative trading, directly and indirectly, of physical commodities, futures contracts, spot and forward contracts, swaps and options on the foregoing, exchanges of futures for physical transactions and other investments on domestic and international exchanges and markets (including the interbank and

over-the-counter

markets (“OTC”)). The AHL Diversified Program trades globally in several market sectors, including, without limitation, currencies, bonds, energies, stock indices, interest rates, metals and agriculture.

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All of the strategies and systems of the AHL Diversified Program are designed to target defined volatility levels rather than returns, and the investment process is underpinned by computer-supported analytical instruments and disciplined real-time risk and management information systems. A proprietary risk measurement method similar to the industry standard

“value-at-risk”

helps ensure that the rule-based decisions that drive the investment process remain within

pre-defined

risk parameters.

Margin-to-equity

ratios are monitored daily, and the level of exposure in each market is quantifiable at any time and is adjusted in accordance with market volatility. Market correlation is closely monitored to prevent over-concentration of risk and ensure optimal portfolio weightings. Market liquidity is examined with the objective of ensuring that the Trading Company will be able to initiate and close out trades as indicated by AHL Diversified Program’s systems at market prices, while brokerage selection and trade execution are continually monitored with the objective of ensuring quality market access.

Futures contracts, forward contracts and swap agreements are recorded on the trade date. Upon entering into futures contracts, forward contracts and swap agreements, the Trading Company may be required to deposit cash or collateral with the brokers. Gains or losses are realized when contracts are matured or closed. Unrealized gains or losses on open contracts and agreements (the difference between contract trade price and fair value) are reported in the statements of financial condition.

Interest rate swaps relate to agreements taken out by the Trading Company with major brokers in which the Trading Company either receives or pays a floating rate of interest in return for paying or receiving, respectively, a fixed rate of interest, on the same notional amount for a specified period of time. In the normal course of business, the payment flows are netted against each other, with the difference being paid by one party to the other. Changes in the value of the interest rate swap agreements and amounts received or paid in connection with those changes, are recognized as realized trading gains (losses) on closed contracts/agreements in the statements of operations. The risks related to trading in interest rate swaps include changes in market value and the possible inability of the counterparty to fulfill its obligations under the agreement.

The Trading Company may enter into short sales. In order to facilitate a short sale, the Trading Company borrows the applicable financial instrument from a broker or counterparty and delivers it to a buyer. A short sale by the Trading Company creates an obligation on the part of the Trading Company to thereafter purchase the financial instrument in the market at the prevailing market price and deliver it to the broker or counterparty from which it was borrowed. The Trading Company is exposed to the risk of loss to the extent that the price of a financial instrument sold short by the Trading Company increases from the time the Trading Company borrows the financial instrument to the time the Trading Company purchases it in the market to satisfy the Trading Company’s delivery obligation. Consequently, the ultimate cost to the Trading Company to acquire a financial instrument sold short may exceed the amount recognized in financial statements.

The Trading Company may enter into credit default swap agreements to provide a measure of protection against the default of an issuer (as buyer of protection) and/or gain credit exposure to an issuer to which it is not otherwise exposed (as seller of protection). Credit default swaps are agreements in which one party pays fixed periodic payments to a counterparty in consideration for a guarantee from the counterparty to make a specific payment should a negative credit event take place (e.g. default, bankruptcy, debt restructuring, etc.). The Trading Company may either buy or sell (write) credit default swaps. As a buyer, upon the occurrence of a specified negative credit event, the Trading Company will either receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising an index or receive a net settlement of cash equal to the notional amount of the swap less the agreed upon recovery value of the security or underlying securities comprising an index. As a seller (writer), upon the occurrence of a specified negative credit event, the Trading Company will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising an index or pay a net settlement of cash equal to the notional amount of the swap less the agreed upon recovery value of the security or underlying securities comprising an index. In the event of default by the counterparty, the Trading Company may recover amounts paid under the agreement either partially or in total by offsetting any payables and/or receivables with collateral held or pledged. The counterparty risk for centrally-cleared credit default swap agreements is generally lower than for credit default swap agreements not centrally-cleared. However, there can be no assurance that the clearing organization, or its members, will satisfy its obligations to the Trading Company.

These periodic payments received or made under swap agreements by the Trading Company are included in net realized trading gains (losses) on closed contracts/agreements in the statements of operations. When the swap is terminated, the Trading Company will record a realized gain (loss) equal to the difference between the proceeds from (or cost of) closing the transaction and the Trading Company’s basis in the contract, if any.

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Swap transactions involve, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the statements of financial condition. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty or the clearing organization to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

As of September 30, 2021 and December 31, 2020, the total fair value and notional amounts of credit default swaps on indices where the Trading Company is the seller is presented in the following table by contract terms:


	Fair Value and Notional Amounts by Contract Term
	September 30, 2021					December 31, 2020
	1-5 years					1-5 years
Credit spread (in basis points)	Fair Value			Notional Amount		Fair Value		Notional Amount
0-100	$	(99,400	)	$	295,000,000	$	28,076	$	80,000,000
101-250		—			—		168,860		10,000,000
251-350		(258,510	)		65,000,000		80,855		10,000,000
351-450		—			—		—		—
450+		—			—		—		—

Total	$	(357,910	)	$	360,000,000	$	277,791	$	100,000,000

The notional amount represents the maximum potential pay out that the Trading Company could be required to make if a credit event were to occur under each agreement. The maximum payout amount may be offset by the subsequent sale, if any, of assets obtained via the execution of a payout event, upfront fees received upon entering into the contracts, or net amounts received from the settlement of offsetting purchased protection in credit default swap contracts entered into by the Trading Company for the same reference entity or entities. As of September 30, 2021 and December 31, 2020, all credit default swap contracts entered into by the Trading Company are on indices. The credit spread of the underlying indices, derived from the fair value at September 30, 2021 of each credit default swap where the Trading Company is a seller, ranged between 50 basis points and 302 basis points. The credit spread of the underlying indices, derived from the fair value at December 31, 2020 of each credit default swap where the Trading Company is a seller, ranged between 48 basis points and 293 basis points. The credit spread is generally indicative of the status of the underlying risk of default by the applicable reference entity or index and is likely to be different than the contractual spread on the credit default swap. Higher credit spreads are indicative of a higher likelihood of

non-performance

by the underlying reference entity. As of September 30, 2021 the Trading Company posted cash collateral of $7,651,969, and as of December 31, 2020, the Trading Company posted cash collateral of $668,956, with respective counterparties on these agreements in the normal course of business. As of September 30, 2021, all open credit default swap agreements on selling protection have maturity dates ranging from June 20, 2026 to December 20, 2026. As of December 31, 2020, all open credit default swap agreements on selling protection have a maturity date of December 20, 2024.

During the three months ended September 30, 2021, the Trading Company traded 27,100 exchange-traded futures contracts and settled 25,932 forward contracts and 424 swap agreements. During the nine months ended September 30, 2021, the Trading Company traded 70,852 exchange-traded futures contracts and settled 71,525 forward contracts and 995 swap agreements. During the three months ended September 30, 2020, the Trading Company traded 15,465 exchange-traded futures contracts and settled 37,140 forward contracts and 284 swap agreements. During the nine months ended September 30, 2020, the Trading Company traded 49,677 exchange-traded futures contracts and settled 127,880 forward contracts and 1,111 swap agreements.

As of September 30, 2021, the gross notional value of open futures contracts is $658,435,945, the gross notional value of open forward contracts is $2,490,488,485 and the gross notional value of open swap contracts is $405,000,000. As of December 31, 2020, the gross notional value of open futures contracts is $929,829,600, the gross notional value of open forward contracts is $1,436,289,478 and the gross notional value of open swap contracts is $96,409,493. The trading activity of open future, forward and swap contracts as of September 30, 2021 and 2020 is indicative of the trading activity throughout the period.

The Trading Company trades derivative financial instruments that involve varying degrees of market and credit risk. Market risks may arise from unfavorable changes in interest rates, foreign exchange rates, or the fair values of the instruments underlying the contracts. All contracts are stated at fair value, and changes in those values are reflected in the net change in unrealized trading gains (losses) on open contracts/agreements in the statements of operations. Credit risk arises from the potential inability of counterparties to perform in accordance with the terms of a contract. The credit risk for OTC derivative contracts is limited to the net unrealized gain plus any collateral posted net of unrealized losses or

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upfront fees posted, if any, for each counterparty for which a netting agreement exists and is included in the statements of financial condition. Upfront fees are listed on the statements of financial condition as net premiums paid/received on credit default swap agreements and are shown net by counterparty for which a netting agreement exists. Counterparty relationships are governed by various contracts. These contracts can be based on industry standard agreements, such as International Swap and Derivatives Association agreements for OTC contracts. These agreements set forth each party’s basic rights, responsibilities, and duties. These agreements also contain information regarding financial terms and conditions, as well as termination and events of default provisions. Certain agreements contain provisions that require the Trading Company to post additional collateral upon the occurrence of specific credit risk related events or upon notice from the counterparty. As the Trading Company’s trading strategies are dependent upon the existence of these agreements, the Trading Company’s counterparties usually have multiple specified events under which they can terminate individual transactions or the entire agreement. These are most commonly related to declines in assets under management and performance below certain thresholds during a specified period. It is not guaranteed that counterparties will move to terminate individual transactions or entire agreements if a “trigger event” were to occur; however, it is their right to do so, and such a move could severely impact the Trading Company’s portfolio. At September 30, 2021 and December 31, 2020, the OTC contracts subject to such trigger events in a net liability position were the foreign currency forward contracts, interest rate swap agreements and credit default swap agreements. The details of the net liability positions by counterparty are disclosed later in this note on the additional disclosures regarding the offsetting of derivative liabilities table. The ultimate amounts that may be required as payment to settle the derivative instruments in connection with the triggering of such credit contingency features as of September 30, 2021 and December 31, 2020, may differ from the net liability amounts recorded as of September 30, 2021 and December 31, 2020, and such differences can be material.

For exchange-traded futures contracts, the clearing organization functions as the central counterparty for each transaction and, therefore, bears the risk of settlement to and from counterparties, which mitigates the credit risk of these instruments.

As of September 30, 2021 and December 31, 2020, all credit default swaps held by the Trading Company are centrally cleared swaps.

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The following table presents the fair value of the Trading Company’s deri

ative instruments:


	September 30, 2021
	Asset Derivatives			Liability Derivatives
Primary Risk Exposure	Statements of Financial Condition	Fair Value		Statements of Financial Condition	Fair Value

Open forward contracts	Gross unrealized trading gains			Gross unrealized trading losses
Currencies	on open forward contracts	$	8,104,103	on open forward contracts	$	(10,543,708	)
Metals			1,009,835			(705,926	)

Total open forward contracts			9,113,938			(11,249,634	)

Open futures contracts	Gross unrealized trading gains			Gross unrealized trading losses
Agricultural	on open futures contracts		783,280	on open futures contracts		(59,988	)
Currencies			37,520			—
Energy			3,676,475			(245,964	)
Indices			28,033			(1,462,988	)
Interest rates			274,403			(331,395	)
Metals			301,670			(270,145	)

Total open futures contracts			5,101,381			(2,370,480	)

Open swap agreements	Gross unrealized trading gains			Gross unrealized trading losses
Credit	on open swap agreements		23,897	on open swap agreements		(362,418	)

Total open swap agreements			23,897			(362,418	)

Total Derivatives		$	14,239,216		$	(13,982,532	)


	December 31, 2020
	Asset Derivatives			Liability Derivatives
Primary Risk Exposure	Statements of Financial Condition	Fair Value		Statements of Financial Condition	Fair Value
Open forward contracts	Gross unrealized trading gains			Gross unrealized trading losses
Currencies	on open forward contracts	$	9,376,456	on open forward contracts	$	(5,733,661	)
Metals			699,229			(40,127	)

Total open forward contracts			10,075,685			(5,773,788	)

Open futures contracts	Gross unrealized trading gains			Gross unrealized trading losses
Agricultural	on open futures contracts		2,048,224	on open futures contracts		(103,688	)
Currencies			38,179			—
Energy			747,340			(158,087	)
Indices			1,337,586			(212,429	)
Interest rates			362,417			(47,893	)
Metals			827,030			—

Total open futures contracts			5,360,776			(522,097	)

Open swap agreements	Gross unr e alized trading gains			Gross unrealized trading losses
Credit	on open swap agreements		286,818	on open swap agreements		(9,027	)
Interest rates			23,765,653			(20,438,687	)

Total open swap agreements			24,052,471			(20,447,714	)

Total Derivatives		$	39,488,932		$	(26,743,599	)

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The following table presents the impact of deri

ative instruments on the statements of operations:


	For the three months ended September 30,						For the nine months ended September 30,
	2021			2020			2021			2020

Location of gain or loss recognized in income on derivatives	Gain (Loss) on derivatives			Gain (Loss) on derivatives			Gain (Loss) on derivatives			Gain (Loss) on derivatives
Forward contracts
Currencies	$	(4,957,305	)	$	(1,303,517	)	$	(666,504	)	$	(1,440,270	)
Metals		908,018			(1,082,955	)		3,120,986			860,102

Net realized trading gains (losses) on closed contracts/agreements	$	(4,049,287	)	$	(2,386,472	)	$	2,454,482		$	(580,168	)

Currencies	$	(600,383	)	$	124,718		$	(6,082,400	)	$	138,100
Metals		(254,956	)		387,094			(355,193	)		201,172

Net change in unrealized trading gains (losses) on open contracts/agreements	$	(855,339	)	$	511,812		$	(6,437,593	)	$	339,272

Futures contracts
Agricultural	$	(211,802	)	$	(1,421,666	)	$	4,355,638		$	(2,229,594	)
Currencies		(134,997	)		82,026			(185,721	)		(133,191	)
Energy		8,064,514			(819,916	)		16,497,792			6,208,983
Indices		(734,642	)		554,455			8,893,244			(5,566,708	)
Interest rates		(940,385	)		727,500			(1,845,643	)		6,911,104
Metals		(1,340,358	)		1,951,143			504,135			3,488,573

Net realized trading gains (losses) on closed contracts/agreements	$	4,702,330		$	1,073,542		$	28,219,445		$	8,679,167

Agricultural	$	393,949		$	811,235		$	(1,221,244	)	$	832,819
Currencies		147,146			(53,670	)		(659	)		(38,028	)
Energy		70,759			(295,632	)		2,841,258			(1,445,164	)
Indices		(1,627,512	)		(145,783	)		(2,560,112	)		(1,135,115	)
Interest rates		35,042			(557,996	)		(371,516	)		441,058
Metals		294,558			(271,325	)		(795,505	)		(762,911	)

Net change in unrealized trading gains (losses) on open contracts/agreements	$	(686,058	)	$	(513,171	)	$	(2,107,778	)	$	(2,107,341	)

Swap agreements
Credit default swaps	$	46,181		$	(495,772	)	$	2,962,779		$	(2,337,285	)
Interest rate swaps		—			(276,773	)		3,326,873			1,097,636

Net realized trading gains (losses) on closed contracts/agreements	$	46,181		$	(772,545	)	$	6,289,652		$	(1,239,649	)

Credit default swaps	$	(264,487	)	$	66,479		$	(616,312	)	$	(2,446,807	)
Interest rate swaps		—			196,899			(3,326,966	)		(2,254,844	)

Net change in unrealized trading gains (losses) on open contracts/agreements	$	(264,487	)	$	263,378		$	(3,943,278	)	$	(4,701,651	)

Amounts in the table above exclude foreign exchange spot contracts.

As described above, the Trading Company may enter into netting agreements with its derivative contract counterparties whereby the Trading Company may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. As of September 30, 2021 and December 31, 2020, the Trading Company was subject to netting agreements that allowed for amounts owed between the Trading Company and its counterparty to be netted. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The netting agreements do not apply to amounts owed to or from different counterparties.

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The following table provides additional disclosures regarding the offsetting of derivative assets presented in the statements of financial condition:


	Gross Amounts of Recognized Assets		Gross Amount Offset in the Statements of Financial Condition			Net Amounts of Assets presented in the Statements of Financial Condition		Gross Amounts Not Offset in the Statements of Financial Condition
	Gross Amounts of Recognized Assets							Financial Instruments		Cash Collateral Received		Net Amount
As of September 30, 2021
Open futures contracts
Bank of America Merrill Lynch	$	3,186,106	$	(813,614	)	$	2,372,492	$	—	$	—	$	2,372,492
Credit Suisse		40,698		(40,698	)		—		—		—		—
JPMorgan Chase		1,874,577		(693,475	)		1,181,102		—		—		1,181,102

Total open futures contracts	$	5,101,381	$	(1,547,787	)	$	3,553,594	$	—	$	—	$	3,553,594

Open forward contracts
Citigroup	$	2,560,657	$	(2,560,657	)	$	—	$	—	$	—	$	—
HSBC		3,764,560		(3,764,560	)		—		—		—		—
JPMorgan Chase		1,009,835		(705,926	)		303,909		—		—		303,909
Royal Bank of Scotland		1,778,886		(1,778,886	)		—		—		—		—

Total open forward contracts	$	9,113,938	$	(8,810,029	)	$	303,909	$	—	$	—	$	303,909

Open swap agreements
Credit Suisse	$	4,385	$	(4,385	)	$	—	$	—	$	—	$	—
Goldman Sachs		12,615		(12,615	)		—		—		—		—
JPMorgan Chase		6,897		(6,897	)		—		—		—		—

Total open swap agreements	$	23,897	$	(23,897	)	$	—	$	—	$	—	$	—

As of December 31, 2020
Open futures contracts
Bank of America Merrill Lynch	$	3,515,386	$	(216,100	)	$	3,299,286	$	—	$	—	$	3,299,286
Credit Suisse		771,846		(121,684	)		650,162		—		—		650,162
JPMorgan Chase		1,073,544		(184,313	)		889,231		—		—		889,231

Total open futures contracts	$	5,360,776	$	(522,097	)	$	4,838,679	$	—	$	—	$	4,838,679

Open forward contracts
Deutsche Bank	$	1,662,251	$	(1,122,191	)	$	540,060	$	—	$	—	$	540,060
HSBC		4,143,434		(2,609,820	)		1,533,614		—		—		1,533,614
JPMorgan Chase		699,229		(40,127	)		659,102		—		—		659,102
Royal Bank of Scotland		3,570,771		(2,001,650	)		1,569,121		—		—		1,569,121

Total open forward contracts	$	10,075,685	$	(5,773,788	)	$	4,301,897	$	—	$	—	$	4,301,897

Open swap agreements
Credit Suisse	$	205,389	$	—		$	205,389	$	—	$	—	$	205,389
Goldman Sachs		574		(574	)		—		—		—		—
JPMorgan Chase		23,846,508		(20,438,687	)		3,407,821		—		—		3,407,821

Total open swap agreements	$	24,052,471	$	(20,439,261	)	$	3,613,210	$	—	$	—	$	3,613,210

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The following table provides additional disclosures regarding the off

etting of derivative liabilities presented in the statements of financial condition:


	Gross Amounts of Recognized Liabilities		Gross Amount Offset in the Statements of Financial Condition			Net Amounts of Liabilities Presented in the Statements of Financial Condition		Gross Amounts Not Offset in the Statements of Financial Condition
	Gross Amounts of Recognized Liabilities							Financial Instruments		Cash Collateral Pledged		Net Amount
As of September 30, 2021
Open futures contracts
Bank of America Merrill Lynch	$	813,614	$	(813,614	)	$	—	$	—	$	—	$	—
Credit Suisse		863,391		(40,698	)		822,693		—		822,693		—
JPMorgan Chase		693,475		(693,475	)		—		—		—		—

Total open futures contracts	$	2,370,480	$	(1,547,787	)	$	822,693	$	—	$	822,693	$	—

Open forward contracts
Citigroup	$	3,637,325	$	(2,560,657	)	$	1,076,668	$	—	$	1,076,668	$	—
HSBC		4,104,421		(3,764,560	)		339,861		—		339,861		—
JPMorgan Chase		705,926		(705,926	)		—		—		—		—
Royal Bank of Scotland		2,801,962		(1,778,886	)		1,023,076		—		1,023,076		—

Total open forward contracts	$	11,249,634	$	(8,810,029	)	$	2,439,605	$	—	$	2,439,605	$	—

Open swap agreements
Credit Suisse	$	233,824	$	(4,385	)	$	229,439	$	—	$	229,439	$	—
Goldman Sachs		103,909		(12,615	)		91,294		—		91,294		—
JPMorgan Chase		24,685		(6,897	)		17,788		—		17,788		—

Total open swap agreements	$	362,418	$	(23,897	)	$	338,521	$	—	$	338,521	$	—

As of December 31, 2020
Open futures contracts
Bank of America Merrill Lynch	$	216,100	$	(216,100	)	$	—	$	—	$	—	$	—
Credit Suisse		121,684		(121,684	)		—		—		—		—
JPMorgan Chase		184,313		(184,313	)		—		—		—		—

Total open futures contracts	$	522,097	$	(522,097	)	$	—	$	—	$	—	$	—

Open forward contracts
Deutsche Bank	$	1,122,191	$	(1,122,191	)	$	—	$	—	$	—	$	—
HSBC		2,609,820		(2,609,820	)		—		—		—		—
JPMorgan Chase		40,127		(40,127	)		—		—		—		—
Royal Bank of Scotland		2,001,650		(2,001,650	)		—		—		—		—

Total open forward contracts	$	5,773,788	$	(5,773,788	)	$	—	$	—	$	—	$	—

Open swap agreements
Goldman Sachs	$	9,027	$	(574	)	$	8,453	$	—	$	8,453	$	—
JPMorgan Chase		20,438,687		(20,438,687	)		—		—		—		—

Total open swap agreements	$	20,447,714	$	(20,439,261	)	$	8,453	$	—	$	8,453	$	—

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Only the amount of the collateral up to the net amount of liabilities pres

nted on the statements of financial condition is disclosed above. The table below lists additional amounts of collateral pledged:


	Additional Collateral Pledged
As of September 30, 2021
Open futures contracts and swap agreements
Credit Suisse	$	2,160,145
Open forward contracts
Citigroup	$	2,094,177
HSBC	$	3,131,553
Royal Bank of Scotland	$	2,835,537
Open swap agreements
Goldman Sachs	$	1,209,737
JPMorgan Chase	$	3,227,947
As of December 31, 2020
Open swap agreements
Credit Suisse	$	1,595,151

6. FINANCIAL GUARANTEES

The Trading Company ent

rs into administr

tive and other professional service contracts that contain a variety of indemnifications. The Trading Company’s maximum exposure under these arrangements is not known; however, the Trading Company has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

7. FINANCIAL HIGHLIGHTS

The following represents the ratios to average partners’ capital and other information for the three and nine month periods ended September 30, 2021 and 2020:


	For the three months ended September 30,						For the nine months ended September 30,
	2021			2020			2021			2020

Per unit operating performance:
Beginning net asset value	$	23,887.41		$	18,002.47		$	19,823.33		$	17,723.52
Income (loss) from investment operations:
Net investment gain (loss)		(33.99	)		(23.41	)		(107.42	)		(5.12	)
Net realized and unrealized gains (losses) on trading activities and translation of foreign currency		(151.89	)		(277.08	)		3,985.62			(16.42	)

Total income (loss) from investment operations		(185.88	)		(300.49	)		3,878.20			(21.54	)

Ending net asset value	$	23,701.53		$	17,701.98		$	23,701.53		$	17,701.98

Ratios to average partners’ capital 1 :
Expenses		0.63	%		0.66	%		0.71	%		0.75	%

Net investment gain (loss)		(0.57	)%		(0.52	)%		(0.64	)%		(0.04	)%

Total return 2		(0.78	)%		(1.67	)%		19.56	%		(0.12	)%

1	Ratios have been annualized.

2	Total return is for the period indicated and has not been annualized.

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Financial highlights are calculated for all partners taken as a whole. An individual partner’s returns and ratios may vary from these returns and ratios based on the timing of capital transactions.

8. OTHER CONSIDERATIONS

The General Partner and the Advisor acknowledge the

on-going

outbreak of

COVID-19

which has been causing economic disruption in most countries since the first quarter of 2020 and its potentially adverse economic impact on the issuers of the instr

ments in which the Trading Company invests. This is an additional risk factor which could impact the operations and valuation of the Trading Company’s assets after the

period-end.

The Advisor is actively monitoring developments closely. Given the nature of the outbreak and the

on-going

developments, there is a high degree of uncertainty and it is not possible at this time to predict the extent and nature of the overall future impact on the Trading Company.

9. SUBSEQUENT EVENTS

For the period subsequent to September 30, 2021 through November 12, 2021, the date the financial statements were issued, the Trading Company recorded limited partner subscriptions of $5,171,003.95, and limited partner redemptions of $457,550.58.

The General Partner has evaluated the impact of subsequent events on the Trading Company through November 12, 2021, the date the financial statements were issued, and noted no subsequent events that require adjustment to or disclosure in these financial statements, except as noted above.

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ITEM 2.

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

Introduction

Reference is made to Item 1, “Financial Statements.” The information contained therein is essential to, and should be read in conjunction with, the following analysis.

Operational Overview

Man-AHL

Diversified I L.P. (the “Partnership”) is a fund which engages in speculative trading of futures and forward contracts and related instruments through its investment in

Man-AHL

Diversified Trading Company L.P. (the “Trading Company”) pursuant to the AHL Diversified Program, directed on behalf of the Trading Company by AHL Partners LLP (the “Trading Advisor”). The Trading Advisor also serves as the Partnership’s commodity pool operator. The AHL Diversified Program is a price trend-following trading system, entirely quantitative in nature, and implements trading positions on the basis of statistical analyses of past price histories. The objective of the AHL Diversified Program is to deliver capital growth for commensurate levels of volatility over the medium term, independent of the movement of the stock and bond markets, through the speculative trading, directly and indirectly, of futures, options and forward contracts, swaps and other financial derivatives both on and off exchange. The AHL Diversified Program trades globally in several market sectors, including, without limitation, currencies, bonds, energies, stock indices, interest rates, credit, metals, agriculturals and volatility. In the future, the AHL Diversified Program may, to a limited extent, invest in stocks.

The AHL Diversified Program is proprietary and confidential, so that substantially the only information that can be furnished regarding the Partnership’s results of operations is contained in the performance record of its trading through the Trading Company. Past performance is not necessarily indicative of its future results. Man Investments (USA) Corp., the general partner of the Partnership (the “General Partner”) does believe, however, that there are certain market conditions, for example, markets with pronounced price trends, in which the Partnership has a greater likelihood of being profitable than in other market environments.

Capital Resources and Liquidity

Units of limited partnership interests (“Units”) of the Partnership may be offered for sale as of the beginning, and may be redeemed as of the end, of each month.

The Partnership raises additional capital only through the sale of Units and capital is increased through trading profits (if any) and interest income. The Partnership does not engage in borrowing. The Partnership, not being an operating company, does not incur capital expenditures. It functions solely as a passive trading vehicle, investing the substantial majority of its assets in the Trading Company. Its remaining capital resources are used only as assets available to make further investments in the Trading Company and to pay Partnership level expenses. Accordingly, the amount of capital raised for the Partnership should not have a significant impact on its operations.

Partnership assets not invested in the Trading Company are maintained in cash and cash equivalents in bank accounts or accounts with The Bank of New York Mellon and are readily available to the Partnership. The Partnership may redeem any part or all of its limited partnership interest in the Trading Company at any

month-end

at the net asset value per unit of the Trading Company. The Trading Company’s assets are generally held as cash or cash equivalents which are used to margin futures and provide collateral for forward contracts and other

over-the-counter

(“OTC”) contract positions and are withdrawn, as necessary, to pay redemptions (to the Partnership and other investors in the Trading Company). Other than potential market-imposed limitations on liquidity, due, for example, to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Trading Company’s futures trading, the Trading Company’s assets are highly liquid and are expected to remain so.

There have been no material changes with respect to the Partnership’s critical accounting policies,

off-balance

sheet arrangements or disclosure of contractual obligations as reported in the Partnership’s Form

10-K

filed March 30, 2021.

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Allocations by Market Sector

The following table indicates the percentage of the Partnership’s assets allocated to initial margin for the Partnership’s open trading positions by market sector as of September 30, 2021. The Partnership’s capitalization was $94,663,050 as of September 30, 2021. See also Item 3, “Quantitative and Qualitative Disclosures About Market Risk,” below.


Quarter-End as of September 30 th
Market Sector	Margin Allocation		% of Capitalization
Agriculturals		1,119,940.54		1.18	%
Bonds		1,163,651.58		1.23	%
Credit		3,059,342.72		3.23	%
Currencies		1,895,435.92		2.00	%
Energy		1,970,040.88		2.08	%
Interest rates		238,868.56		0.25	%
Metals		1,848,583.43		1.95	%
Stock indices		3,208,925.20		3.39	%
Total		14,504,788.83		15.31	%

*	Certain total amounts do not foot due to rounding.

Results of Operations

Due to the nature of the Partnership’s trading, the results of operations for the interim period presented should not be considered indicative of the results that may be expected for the entire year.

Periods Ended September

30, 2021

30-September-21

Ending Equity $94,663,050.20

Nine months ended September 30, 2021:

Net assets increased $ 9,845,424 for the nine months ended September 30, 2021. This increase was attributable to subscriptions in the amount of $1,579,330, redemptions in the amount of ($4,823,493) and a net gain from operations of $13,089,586

Management fees of $2,065,519 and servicing fees of $ 691,691 were paid or accrued, and interest of $47,729 was earned or accrued on the Partnership’s share of the Trading Company’s cash and cash equivalents and broker balances, for the nine months ended September 30, 2021.

The Partnership’s other expenses paid or accrued for the nine months ended September 30, 2021 were $811,593.

Three months ended September 30, 2021:

Net assets decreased ($1,871,937) for the three months ended September 30, 2021. This decrease was attributable to subscriptions in the amount of $520,200, redemptions in the amount of ($449,464) and a net loss from operations of ($1,801,201)

Management Fees of $709,176 and servicing fees of $237,499 were paid or accrued, and interest of $15,512 was earned or accrued on the Partnership’s share of the Trading Company’s cash and cash equivalent investments and broker balances, for the three months ended September 30, 2021.

The Partnership’s other expenses paid or accrued for the three months ended September 30, 2021 were $257,673

The Partnership entered the second half of the year with record highs and better-than-expected earnings although there were coronavirus-related bumps along the way. Bond markets did not encounter a

sell-off,

even with the additional news of consumer price inflation in the US hitting its highest levels since 2008. The price of natural gas continued its recent upward trajectory on tight supply and increasing demand. The Partnership posted negative returns with gains in fixed income and commodities offset by losses in FX and equities. Dominantly long fixed income positions were top performers for the Partnership. Italian, German, and French

10-year

bonds topped the list for the asset class while losses were incurred from positions in German and US

2-year

bonds amid spikes in the number of coronavirus cases. The prices of natural gas in the US and in the UK/EU extended their rise, spurred in part by forecasts of above normal temperatures in central USA regions, and generated the greatest returns for the Partnership. Long coffee positions were also beneficial, with prices at seven-year highs amid extreme weather in Brazil, the world’s biggest coffee exporter. Prices of sugar and corn, on the other hand, were rangebound and led to losses. Although many equity indices ended July in positive territory, their route was impeded

mid-month

in part by coronavirus worries. Overall, net long positioning led to negative performance for the asset class, led by the MSCI EM and Russell 2000 indices, although there were pockets of strength in trading the Swedish OM and NASDAQ 100 indices. Credit trading finished the month down. Trading in currencies finished the month in the red, with losses predominantly from a long Brazilian real position against the US dollar driven in part by corruption scandals involving President Jair Bolsonaro. Offsetting this loss, however, were gains made through shorts in the Australian dollar against both the greenback and Great British pound as major cities such as Sydney and Melbourne went into lockdown.

In August, the Partnership’s risk assets benefitted. In the US, comments from Jerome Powell, Chairman of the Federal Reserve, assuaged market fears of near-term tapering, and the latest jobs report showed a continued rebound from weaker job numbers. The Partnership saw gains from energy, equity, and credit positions offset by losses in fixed income and FX. August saw marked dispersion across the commodity spectrum. Natural gas prices continued to rally; in the US, one reason cited was a low inventory forecast for the beginning of the winter heating season by the Energy Information Administration, while in Europe there was news that Russia was pumping less gas to the continent. Whatever the reason, profits resulted for the Partnership’s long positions. The oil complex, on the other hand, deviated from its previously strong 2021 performance, declining on concerns of slowing demand in China and the rise of the

Covid-19

Delta variant, and incurred losses. In commodities, a long sugar position generated a gain on reports of a frost in Brazil, the world’s top producer, while a long copper position generated a loss. In equities, several key benchmarks such as the S&P 500 hit fresh

all-time

highs. This benefitted dominantly long positions in the Partnership, with India’s Nifty Index as the top performer. A long in the Singapore MSCI Index, on the other hand, lost out on

Covid-19

Delta variant concerns and negative pressure on Asian technology stocks. Credit spreads also tightened over the month, benefitting long credit positions, most notably the US investment grade CDS index. Fixed income positions detracted in August amidst overall subdued price moves. European bonds fared worst, with German, French, and Italian bonds all

selling-off

to the detriment of the Fund’s long positions, while a long in Australian

10-year

bonds generated a small profit. Like fixed income, FX trading also finished the month in the red and there were few significant gains or losses. A long position in the Mexican peso against the US dollar lost out

mid-month

despite the Banco de Mexico raising rates. A long position in the Indian rupee against the greenback, on the other hand, gained towards the end of the month.

As the quarter ended, markets appeared worried about the prospect of earlier than anticipated tapering of quantitative easing in the US, the highest German inflation rate in almost three decades, the potential default of Evergrande in China (the world’s most indebted real estate developer) and supply chain disruption characterised by queues for fuel in the UK. Broadly, this market worry did not suit the Partnership’s dominantly long positioning and resulted in a negative return, with losses in equities, fixed income and FX overcoming gains in energies. The macro-economic environment had its greatest impact on the Partnership’s generally

risk-on

positioning in equities, and the effect was compounded by sector rotation. Worst performers were longs in the Australian SPI 200 and S&P 500 indices, while smaller gains were made in long Tokyo stock exchange and Nifty indices. Losses were also seen in the Partnership’s long credit positions, most notably in the US. Government bond yields, which rose for the second month running. The “dot plots” may have given an indication of the timing of future rises in the US, but

elsewhere - Czech Republic for example - actual rises in interest rates came in ahead of market expectations. Long positions in Italian bonds caused the greatest losses, although there were small offsetting gains from a short in the UK

10-year

gilts. Rising US bond yields helped provide a tailwind to the US dollar. The Mexican peso declined against the greenback despite the Banco de Mexico raising rates for the third time this year, generating the asset class’s biggest loss in the Fund. A short in the Swiss franc, on the other hand, was beneficial. Commodities was the only asset class to maintain its recent direction of travel, and once again it was the energies

sub-component

that generated the greatest attention. Trading in US natural gas generated the greatest gains for the Partnership as prices rose to seven-year highs, propelled by surging demand. A long copper position generated a loss as prices fell 6% on the month.

Three months ended June 30, 2021:

Risk assets and commodities surged ahead in April, spurred by good corporate earnings, a Federal Reserve in no hurry to withdraw stimulus, and the IMF lifting global growth forecasts for the second time in three months. This has fueled high demand for technology goods and led to a shortage of semiconductors, prompting frenetic attempts to increase capacity in East Asia as well as halting production for some auto manufacturers. Against this backdrop, the Partnership posted positive returns with gains dominated by commodities and equities, and offsetting losses in fixed income and FX. Long commodity positions continued to make hay as economic optimism lifted and talk of inflation in earnings calls increased, although long positions in coffee and gold made losses. Positive overall performance in equities was topped by longs in Australia’s SPI 200 and Taiwan’s MSCI indices. Longs in the Japan’s TSE index marginally detracted. Credit spreads also tightened, with gains dominated by short CDS positions in US indices. Fixed income yields in April took a respite from their recent rising theme, which resulted in a slight loss from the Partnership’s small aggregate short positions. Losses were dominated by Canadian and US instruments, while small gains were made in their European counterparts. Losses in FX trading were also small in aggregate, and individual gains or losses depended broadly on positioning against the US dollar. Long positions in the greenback against the Swiss franc and New Zealand dollar were worst hit as the US Federal Reserve struck a dovish tone and US Treasury yields declined. Similar reasoning played out well for US dollar shorts against the Euro and Canadian dollar.

In May, inflationary fears were once again stoked on the release of April’s US consumer price inflation which showed an annualized rate of 4.2% - significantly higher than estimates and the biggest rise since 2008. This drove commodity prices higher, but apart from initial volatility, equities finished the month in positive territory and bonds yields were firm. Cryptocurrencies, on the other hand, were highly volatile after Elon Musk expressed concern over their environmental impact and negative comments from several authorities. Against this backdrop, the Partnership posted positive returns with gains in commodities and FX only marginally offset by losses in stocks and bonds. Currencies was a fertile trading ground for the Partnership in May. Rising risk appetite in markets led to rising EM FX rates in general, with the primary beneficiary in the Partnership being the South African rand. Confidence in the British pound continued as Brexit recedes further into the rear-view mirror and vaccination success continues to be newsworthy, leading to gains against the US dollar and the Japanese yen. Losses were incurred from short positions in the Chilean peso and New Zealand dollar against the greenback. Long positions in crude and the oil complex were broadly gainful, as was a long position in carbon emissions whose

year-to-date

gain is now just shy of 60%. In metals the story was similarly positive. In addition to copper, long positions in silver, aluminum and gold were profitable. The main detractor in the commodities complex was a long in wheat, which retraced half of April’s 20% gain. Trading in equities finished slightly down. Top performer was a long in the Canadian TSX index, spurred by rising commodities, while longs in Taiwanese indices generated losses as the rise in prices due to a global semiconductor shortage took a breather. Credit trading resulted in a small gain. A combination of little movement in fixed income yields and low bond risk levels meant that trading in the asset class was subdued. Overall there was a loss, with gains from US 2yr and 5yr treasuries being slightly offset by losses from shorts in UK and longs in Canadian bonds.

Markets were shaken

mid-June

as the US Federal Reserve (‘Fed’) struck a more hawkish tone, with the ‘dot plot’ of policymakers’ projections now pointing to two interest-rate hikes in 2023 (where previously there were none). The US dollar rallied on the news, while commodities fell on the perception of lower inflation risk. Elsewhere, at the G7 summit in Cornwall, global leaders agreed to harmonize corporate tax rates. The

Partnership posted negative returns with losses from currency, metals and fixed income trading slightly outweighing gains from equities, credit and energies. Currency trading was hardest hit by the perceived more hawkish tone from the Fed, with losses experienced in a number of positions as the US dollar spiked. Worst offenders were euro and Canadian dollar longs versus the greenback, although a similar position in the Brazilian real profited as the country hiked rates by 75bp. In US bond markets, long positions in long-dated futures made small gains, while short positions in 2- and

5-year

futures lost out. A long position in the Eurodollar also contributed to losses. Equities’ path through the month was much smoother than currencies and bonds, and the Partnership’s long position in the Australian SPI 200 benefited. Bullishness for risk assets also fed into the Partnership’s credit positions, with gains being made across the board, most notably European 5y Crossover. Commodity performance was mixed. Long positions in agriculturals and metals suffered, particularly soybean, copper and precious metals holdings. Prices in the energy complex, on the other hand, continued their ongoing rally. Nowhere was this more apparent than in gas markets on both sides of the Atlantic. Indeed, the long in US natural gas ended the month as the top performer across the Partnership.

Three months ended March 31, 2021:

The Partnership started the year down, as negative returns driven by currencies and fixed income overcame gains in commodities trading. With respect to the Partnership’s currency trading, a bounce in the US dollar versus a basket of currencies representing the United States’ trading partners hurt the Partnership’s short positions in the US dollar, particularly in such positions against the South African rand and Japanese yen. Longs in the Chinese renminbi and Indian rupee made token gains. In the Partnership’s fixed income trading, yields across developed markets generally rose on the month. US bond yields breached 1%, hurting the Partnership’s broadly long positions in US bonds, which more than offset the gains posted in its short position in long-dated bonds. The Partnership’s equity trading on the month was marginally positive, as gains were accrued from longs in North American capital goods, and Taiwanese indices. A short position in the VIX volatility index, on the other hand, caused losses as the index spiked in the final few days. Credit trading also dipped into the red towards the end of the month as short CDS positions in European high-yield and US investment grade names posted losses. Commodities were the bright spot for the Partnership in January. Long soyabeans and corn were the top contributors to the Partnership’s gains, as well as crude oil, which Crude oil also rose over 7% on the month, benefitting the Partnership’s long positions.

In February, the Partnership posted positive returns with gains in commodities, equities, and fixed income, overcoming minor losses in FX and credit. Long commodity positions were top performers for the Partnership as crude oil rose almost 20% and sugar rose 10% on the month, and the Partnership’s copper position was the top performer in the entire portfolio rising 15%. These gains were more than enough to offset the Partnership’s losses from a short position in natural gas. The Partnership’s equity trading also finished the month in positive territory, with the Partnership’s positions in the S&P TSX 60 and Nikkei futures being top performers. Fixed income generated a positive return as positioning shifted from net long to net

short mid-way through

the month. Top performers were shorts in German bunds and

Australian 10-year bonds,

while losses were led by

Italian 10-year bonds

which switched positions from long to short as the month progressed. The Partnership’s credit trading was slightly lower on the month, as short CDS positions in US high yield names generated a small gain while similar positioning in US investment names generated a marginally larger loss. Finally, the majority of the Partnership’s losses on the month were generated in its FX trading, though such losses were mild. Long Australian dollar positions versus both the US dollar and Japanese yen performed well along with long in the Swiss franc versus the US dollar; none of those gains were enough to offset the losses from long positions in the Indian rupee, EURO Mexican Peso and Japanese yen against the US dollar.

The Partnership finished up the first quarter with in the black, as positive returns in equities, FX, and credit outweighed losses in commodities. The Partnership’s gains in equity trading was led by its dominantly long equity positions, as well as its positions in Sweden’s OM index and Germany’s Dax indices. A short VIX volatility position was also beneficial as, as were long credit positions particularly in Europe. FX was also fruitful for the Partnership, with short positions in the Swiss franc and Japanese yen against the US dollar, as well as a short position in the Euro against the Canadian dollar, the top performers. Some losses were seen in the Partnership’s long positions against the dollar in the Euro and UK Stirling, as well as a flat position in the Turkish Lira. Fixed income trading generated a small positive return, as gains from short positions in 10y and 30y US treasuries offset

losses from short positions in German 5y and 10y bonds. Reversing course from February, the Partnership’s commodities trading ended March down. The Partnership’s long positions, most notably in agricultural commodities such as cocoa and sugar, and metals such as nickel, posted the largest losses, while small offsetting gains were made in individual markets such as lean hogs and palladium.

Periods Ended September

30, 2020

30-September-20

Ending Equity $80,559,257

Nine months ended September 30, 2020:

Net assets decreased $9,569,579 for the nine months ended September 30, 2020. This decrease was attributable to subscriptions in the amount of $3,880,673, redemptions in the amount of $10,742,092 and a net loss from operations of $2,708,160.

Management fees of $1,996,279 and servicing fees of $667,948 were paid or accrued, and interest of $488,435 was earned or accrued on the Partnership’s share of the Trading Company’s cash and cash equivalents and broker balances, for the nine months ended September 30, 2020.

The Partnership’s other expenses paid or accrued for the nine months ended September 30, 2020 were $729,184.

Three months ended September 30, 2020:

Net assets decreased $6,517,632 for the three months ended September 30, 2020. This decrease was attributable to subscriptions in the amount of $29,999, redemptions in the amount of $4,268,877 and a net loss from operations of $2,278,754.

Management Fees of $642,813 and servicing fees of $215,106 were paid or accrued, and interest of $27,339 was earned or accrued on the Partnership’s share of the Trading Company’s cash and cash equivalent investments and broker balances, for the three months ended September 30, 2020.

The Partnership’s other expenses paid or accrued for the three months ended September 30, 2020 were $196,468.

The Partnership posted positive returns in July with gains in equities, fixed income and commodities, offsetting losses in in FX; credit trading for the Partnership was relatively flat. Equities was the best performing asset class for the Partnership in July with rising markets suiting long positioning. As with recent months, technology stocks led the way, as US Software and Services topped the sector performance table, and Taiwanese equities led the country list, where

chip-maker-for-Apple,

TSMC, constitutes around one third of Taiwan’s Taiex index. Minor losses were incurred in a Nikkei futures position which flipped from short to long as the month progressed. In fixed income trading, the Partnership’s long positions in Italian

10-year

bonds experienced the most gains as yields traded below 1% for the first-time since the outset of the pandemic. In the commodities sector, the Partnership’s long positions in gold and silver were top performers across the portfolio, offsetting losses from the Partnership’s short positions in aluminum and coffee. The majority of the Partnership’s July losses came from its FX trading, where a large fall in the US dollar influenced numerous positions. Established short positions in UK sterling, Chilean peso and the Swiss Franc against the dollar experienced notable losses, while a long cross in the Swedish krone posted some gains for the Partnership. In credit trading, the Partnership’s positions posted largely flat performance, ending the month marginally in the black.

In August, the Partnership posted positive returns with gains in equity, credit and FX trading ultimately overcoming losses in fixed income and commodities. The US dollar’s continued slide, since the coronavirus outbreak, benefitted the Partnership’s short positioning in the US dollar, most notably against the Canadian dollar and Indian rupee, which offset a loss in a short position of the US dollar against the South African rand. The continued outperformance of the US technology sector drove positive performance from trading in equities, particularly through long positioning, with the NASDAQ 100 and S&P 500 outperforming developed market peers. An

inconsequential loss was incurred from a short in the French CAC40 index. In credit trading, all of the Partnership’s positions finished in the black, with European indices topping the charts. In the commodities sector, trading was mixed and ended with minor losses for the month. Long positions in copper and silver were top performers, while losses were experienced from short positions in aluminum and wheat. Another loss was incurred in a long position in US natural gas. The largest losses of the month occurred in the Partnership’s predominately long positions in fixed income, driven by long positions in 10 year Gilts and 10 year Australian bonds.

The Partnership finished the quarter down, as losses from trading in FX, commodities, credit and equities were marginally offset by gains in fixed income. In the FX sector, the Partnership’s long positions in the US dollar against the UK sterling and the Swedish krona posted the largest losses, while a long in the Euro versus the Hungarian forint posted a minor offsetting gain. The bullish trend in commodity prices also reversed in September and hurt the Partnership’s predominantly long positions. Gains from long positions in soybeans, corn and gas oil were not enough to offset losses led by long positions in coffee, silver and brent crude oil. Equity trading also finished in the red, as the S&P 500 and NASDAQ 100 lead losses. Trading in credit also finished in the red, with losses from short protection positions in US

5-year

CDX index and European

5-year

Crossover iTraxx posting the largest losses. Fixed income trading managed to keep its head just above water on the month. A long position in

10-year

Italian government bonds was the top performer, offsetting a loss from the Partnership’s short position in German bonds.

Three months ended June 30, 2020:

The Partnership started the second quarter of 2020 with moderate negative returns, as the Partnership saw gains made in bonds and commodities negated by losses in equities, FX and credit. A sharp reversal in the equity markets saw losses on the short positioning built up in the Partnership in March. The Partnership’s credit positions also posted losses after credit spreads tightened, with the Partnership’s short positions in the European

5-year

Crossover iTraxx and the US High Yield CDX Index posting losses. Within equities, net short positioning as well as a long VIX position finished in the red overall, with the long VIX position and shorts in TAIEX futures detracting most. In the currency sector, the Partnership’s short positions in the Brazilian real and the South African rand against the US were profitable, as both fell to new lows against the greenback. However, these gains were outweighed by losses in the Australian dollar. Trading in commodities was also mixed, with metals performance driven in particular by losses in short copper and the Partnership’s energy trading seeing gains in WTI crude oil offset by losses from shorts in U.S. natural gas. In the agricultural sector, shorts in corn also made gains. In the bonds sector, the Partnership’s position in Canadian bonds and Short Sterling were top performers, while a long position in Australian bonds detracted as did a short position in German bonds.

The Partnership continued posting moderate losses in May, as positive returns in fixed income trading were offset by losses in the Partnership’s other trading sectors, most notably FX and commodities. The Partnership’s losses in FX trading were driven by short Euro and Chilean peso positions, though were tempered by gains in long positions in the Mexican peso and short positioning in UK sterling. A strong equity rally saw losses on the short positioning built up in the Partnership, the worst being the VIX and Tokyo Stock Exchange indices, as well as the Australian SPI 200. In commodities trading, the Partnership’s short positions in crude oil and aluminum posted losses. Agricultural trading was mixed, with gains from soyameal and coffee outweighed by losses in sugar and wheat. In credit trading, the Partnership’s index positions ended up in the red, with losses in the European 5yr Crossover iTraxx Index and the US High Yield CDX Index detracting most. The Partnership’s fixed income trading was the sole positive performer of the month, as dominantly long fixed income positions proved profitable. In particular, profits were accrued in UK interest rate futures and shorts in German bonds..

The Partnership ended the quarter with moderate negative returns in June. After a difficult first week, the fund posted negative returns, with losses across several asset classes, outweighing offsetting gains in interest rates trading. The Partnership’s FX net positioning changed from long to short the US dollar and saw losses, most notably in the Mexican peso and Japanese yen, though these were partially offset by gains in the British pound against the Australian dollar. The Partnership’s equities trading also finished the month marginally in the red, despite moving from flat to small net long as the month progressed. Global equity indices rallied early in the month but later were generally rangebound. Trading in credit also finished mildly in the red, as HY spreads steadily

widened. In commodities trading, the Partnership saw losses though these were partially offset form gains in the Partnership’s short position in US natural gas. Short positions in base metals, aluminum in particular, also added to the Partnership’s losses as did trading in agricultural markets, with losses from the Partnership’s short positions in sugar and corn offsetting the minor gains from the Partnership’s short position in wheat. In the fixed income sector, UK interest rates futures and long positions in Italian bonds experienced positive performance. On the debit side, positioning in German bonds struggled as yields first rose and then fell lower.

Three months ended March 31, 2020:

The Partnership once again started off the year with moderate negative returns in January, with losses in currencies, equities and credit overcoming gains from commodities and fixed-income. In the third week of the month stocks faltered and credit spreads widened, accelerating already falling bond yields, as well as crude oil prices which ended the month down 20%. The US Dollar Index, which measures the performance of the greenback against a basket of foreign currencies, rose steadily, hurting the Partnership’s long positions in the New Zealand dollar and the South African rand. On the other hand, the Partnership’s short positions in South American currencies such as the Chilean peso against US dollar proved positive. Long positioning in stocks were profitable early in the month until a clear reversal near the end of the month caused the Partnership’s overall equity trading to finish in the red. Asian indices such as Taiwan’s TAIEX and China’s

H-Shares

fared worst. On the positive side for the Partnership, a long position in the Australian SPI 200 Index prospered. Long credit positions performed similarly to equities with a loss in aggregate, most notably in European 5yr Crossover iTraxx Index which widened around 25bp over the month. Overall, trading in commodities was positive. The biggest contributors on both the upside and downside were in energies. Short natural gas positions in the US and UK were positive as prices slid around 20%. On the other hand, long oil positions lost out despite swiftly switching to short as the month progressed and oil prices steadily declined. In other commodities, a long palladium position was positive, offsetting losses produced by shorts in coffee and copper. In terms of fixed income, gains were accrued over January as the Partnership’s positioning turned long. Italian bonds was one of the top performers in the asset class, while Canadian bonds struggled against a tightening yield backdrop, having started the month with a short position.

In February, the Partnership’s trading activity saw modest gains on the month as losses from equities and credit broadly balanced by gains from fixed income and energies. In the equity sector, early gains were wiped out in the last week of the month, as the S&P 500 index fell 11.5%, its worst since 2008 as markets began feeling the impact of the

COVID-19

pandemic. Unsurprisingly, the Partnership’s long equity positions made up most of the losses, the worst being the Australian SPI 200 Index, S&P TSX 60 Index, as well as the Nikkei Index. The Partnership saw losses in each of the credit markets traded, shared fairly equally between the US (mainly the US 5yr CDX Index) and Europe (notably the European 5yr Crossover iTraxx Index). The Partnership’s FX trading finished the month with a small gain. Against the US dollar, short positions in the Brazilian real and Australian dollar were positive whilst a long position in the Mexican peso dragged on performance. Overall, trading in commodities was beneficial to the Partnership, particularly from energies with shorts in US natural gas and oil realized gains as crude oil prices slid. Shorts in zinc paid off as prices declined but losses were made in precious metals such as silver and platinum as prices became increasingly volatile. The Partnership’s short in coffee also suffered during the month. Finally, yields in fixed income instruments tightened, though the Partnership’s long positions performed positively, most notably in US treasuries, although losses were seen in Italian bonds.

The Partnership finished off the first quarter to post positive returns in March, as trading in nearly all sectors finished in the black, with notable gains in commodities and currencies leading the way. In FX trading, which saw the largest gains, the Partnership entered the month net long the US dollar against most currencies and built further into this position as the month progressed. The top performing positions were shorts in emerging markets such as Brazilian real and commodity currencies such as the Australian dollar. Comparatively, losses were incurred in US dollar crosses against developed market currencies such as the Japanese yen and Euro. In commodity trading, the Partnership’s short positions in crude was profitable, as well as its short copper position. Agricultural commodity positions suffered in aggregate, however, with longs in cocoa and sugar suffering as prices reversed their predominantly upward

year-to-date

direction. The Partnership’s equity positions turned

net-short

early on in the month, and these short positions generally ended up the month’s top performers. Most notable of these were in the Hang Seng index and the Russell 2000 Index while further gains came from a long position in the VIX Volatility

Index. Positioning in credit also migrated from long to short as the month progressed and overall trading finished marginally in the black with gains principally coming from high yield credit indices. Fixed income markets bifurcated as the month progressed, as the Partnership’s dominantly long positioning in fixed income at the start of the month saw gains in the US market and losses in Italian bonds, with the asset class overall finishing in positive territory.

ITEM 3.

Quantitative and Qualitative Disclosures About Market Risk.

Introduction

Past Results Are Not Necessarily Indicative of Future Performance

The Partnership is a speculative commodity pool. 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 can rapidly acquire and/or liquidate 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 inclusion of the quantification included in this section should not be considered to constitute any assurance or representation that the Partnership’s losses in any market sector will be limited to Value at Risk or by the Partnership’s attempts to manage its market risk.

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

Quantifying the Partnership’s Trading Value at Risk

Quantitative Forward-Looking Statements

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

The Partnership’s risk exposure in the various market sectors traded by the General Partner is quantified below in terms of Value at Risk. Due to the Partnership’s

mark-to-market

accounting, any loss in the fair value of the Partnership’s open positions is directly reflected in the Partnership’s earnings (realized or unrealized) and cash flow (at least in the case of exchange-traded contracts in which profits and losses on open positions are settled daily through variation margin).

The Partnership’s Trading Value at Risk in Different Market Sectors

The following table indicates the amount of trading Value at Risk associated with the Partnership’s open positions by market category as of the period ended September 30, 2021. As of September 30, 2021, the Partnership’s average

quarter-end

capitalization was $93,244,842.


Quarter-Ended September 30, 2021
Market Sector	Average Value at Risk		% of Average Capitalization			Highest Value at Risk		Lowest Value at Risk
Agriculturals		1,179,652		1.27	%		1,433,681		985,334
Bonds		1,000,286		1.07	%		1,163,652		857,365
Credit		3,513,988		3.77	%		4,300,432		3,059,343
Currencies		1,125,129		1.21	%		1,895,436		122,020
Energies		1,786,908		1.92	%		1,997,299		1,393,385
Interest rates		259,730		0.28	%		313,724		226,597
Metals		1,511,604		1.62	%		1,848,583		1,276,556
Stock indices		4,153,023		4.45	%		4,691,613		3,208,925
Total*		14,530,320		15.59	%		17,644,420		11,129,525

*	Certain total amounts do not foot due to rounding.

Average, highest and lowest Value at Risk amounts relate to the

quarter-end

amounts for the nine months ended September 30, 2021. Average capitalization is the Partnership’s average

quarter-end

capitalization at the end of the nine months ended September 30, 2021.

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

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

Non-Trading

Risk

The Partnership has

non-trading

market risk on its foreign cash balances not needed for margin. However, these balances (as well as any market risk they represent) are immaterial.

The Partnership also has

non-trading

cash flow risk as a result of holding a substantial portion of its assets in U.S. government securities (Treasury Bills) and interest-bearing bank accounts. These cash and cash equivalents are placed with highly rated counterparties with a priority placed on preservation of capital and reputation (

i.e

., appropriate level of credit risk, market risk and reputation risk) and liquidity (

i.e

., appropriate level of liquidity risk).

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Partnership’s market risk exposures — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the General Partner manages the Partnership’s primary market risk exposures — constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Partnership’s primary market risk exposures as well as the strategies used and to be used by the General Partner for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual

results of the Partnership’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Partnership. There can be no assurance that the Partnership’s current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of their investment in the Partnership.

The following were the primary trading risk exposures of the Partnership as of September 30, 2021, by market sector.

Fixed Income

. Interest rate movements directly affect the price of the sovereign bond futures positions held by the Partnership and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries may materially impact the Partnership’s profitability. The Partnership’s primary interest rate exposure is to interest rate fluctuations in the United States, Italy, United Kingdom, Germany and Canada. However, the Partnership also may take positions in futures contracts on the government debt of smaller nations. The General Partner anticipates that

G-7

interest rates, both long-term and short-term, will remain the primary market exposure of the Partnership for the foreseeable future.

Currencies

. Exchange rate risk is the principal market exposure of the Partnership. The Partnership’s currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions. The Partnership trades in a large number of currencies, including cross-rates — i.e., positions between two currencies other than the U.S. dollar. As of September 30, 2021, the Partnership’s primary currency exposures were in the U.S. Dollar versus the Swiss franc, Korean won, Australian dollar and Mexican peso.

Stock Indices

. The Partnership’s primary equity exposure, through stock index futures, is to equity price risk in the

G-7

countries. As of September 30, 2021, the Partnership’s primary exposures were in the Tokyo Stock Exchange Index, Nikkei Index,

H-Shares

Index and the Singapore MSCI Index. The Partnership is primarily exposed to the risk of adverse price trends or static markets in the major North American, European and Asian indices. (Static markets would not cause major market changes but could make it difficult for the Partnership to avoid numerous small losses.)

Metals

. The AHL Diversified Program used for the Partnership trades precious and base metals. As of September 30, 2021, the Partnership’s primary metals market exposures were in silver, gold, zinc and aluminum.

Agricultural

. The Partnership’s primary commodities exposure is to agricultural price movements, which are often directly affected by severe or unexpected weather conditions. Sugar, coffee, wheat, soymeal and cotton accounted for the substantial bulk of the Partnership’s commodities exposure as of September 30, 2021.

Energy.

The Partnership’s primary energy market exposure is to gas and oil price movements, often resulting from political developments in the Middle East and economic conditions worldwide. Energy prices are volatile and substantial profits and losses have been and are expected to continue to be experienced in this market. As of September 30, 2021, the main exposures were in US natural gas, crude oil, gas oil and carbon emissions.

Qualitative Disclosures Regarding

Non-Trading

Risk Exposure

The following were the only

non-trading

risk exposures of the Partnership as of September 30, 2021.

Foreign Currency Balances

. The Partnership’s primary foreign currency balance is in Euro. The Partnership controls the

non-trading

risk of these balances by regularly converting these balances back into U.S. dollars (no less frequently than twice a month).

Cash Positions

. The Partnership’s only market exposure in instruments held other than for trading is in its cash portfolio. The Partnership holds only cash in U.S. Treasury Bills and interest-bearing bank accounts. This cash is placed with highly rated counterparties with a priority placed on preservation of capital and reputation (i.e., appropriate level of credit risk, market risk and reputation risk) and liquidity (i.e., appropriate level of liquidity risk) with durations no longer than 1 year.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

Risk management is an essential component of AHL’s investment management process. AHL has put in place a risk management framework which is designed to identify, monitor and mitigate the portfolio, operational and outsourcing risks relevant to its operations. AHL’s risk management framework is part of, and is supported by, the overarching risk management framework of its parent company, Man Group plc. Key principles of AHL’s risk management framework include the segregation of functions and duties where material conflicts of interest may arise and having an appropriate degree of independent and senior management oversight of business activities. As part of this independent oversight, AHL’s activities are subject to regular review by an internal audit function.

The AHL Diversified Program employs a systematic, statistically based investment strategy that is designed to identify and capitalize on trends and other inefficiencies in markets around the world. Trading signals are generated and executed via a finely tuned trading and implementation infrastructure. This process is quantitative, meaning that investment decisions are entirely driven by mathematical models based on quantitative analysis of historical relationships. It is underpinned by rigorous risk control, ongoing research, diversification and the constant quest for efficiency. Portfolio risk management consists primarily of monitoring risk measures and ensuring the systems remain within prescribed limits. The major risk monitoring measures and focus areas include

value-at-risk,

stress testing, implied volatility, leverage,

margin-to-equity

ratios and net exposures to sectors and different currencies.

Diversification is also a key feature of AHL’s risk management, as well as its investment, process. As well as emphasizing sector and market diversification, the AHL Diversified Program has been constructed to achieve diversification by combining various investment strategies. The AHL Diversified Program trades approximately 250 markets and these markets may be accessed directly or indirectly and include, without limitation, stock indices, bonds, currencies, short-term interest rates, energies credits, metals, agriculturals and volatility. Another important aspect of diversification is the fact that the models generate signals across different timeframes, ranging from two to three days to several months. In line with the principle of diversification, the approach to portfolio construction and asset allocation is premised on the importance of deploying investment capital across the full range of sectors and markets. Particular attention is paid to correlation of markets and sectors, expected returns, trading costs and market liquidity. Portfolios are regularly reviewed and, when necessary, adjusted to reflect changes in these factors. AHL also has a systematic process for adjusting its market risk exposure in real time to reflect changes in the volatility, a measure of risk, of individual markets.

ITEM 4.

Controls and Procedures.

The General Partner, with the participation of the General Partner’s Principal Executive Officer and Principal Financial Officer, has evaluated the effectiveness of the design and operation of the Partnership’s disclosure controls and procedures as of the end of the fiscal quarter ended September 30, 2021. Based on such evaluation, the General Partner’s Principal Executive Officer and Principal Financial Officer have concluded that the Partnership’s disclosure controls and procedures were effective as of the fiscal quarter ended September 30, 2021.

Changes in Internal Control over Financial Reporting

There were no significant changes in the Partnership’s internal control over financial reporting during the quarter ended September 30, 2021 that have materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

PART II—OTHER INFORMATION

Item 1.

Legal Proceedings.

None.

Item 1A.

Risk Factors.

Risk of Loss. Investing in the Partnership is speculative and involves substantial risks. You should not invest unless you can afford to lose your entire investment.

General.

The transactions in which the Trading Advisor generally will engage on behalf of the Partnership involve significant risks. Growing competition may limit the Trading Advisor’s ability to take advantage of trading opportunities in rapidly changing markets. No assurance can be given that investors will realize a profit on their investment. Moreover, investors may lose all or some of their investment. Because of the nature of the trading activities, the results of the Partnership’s operations may fluctuate from month to month and from period to period. Accordingly, investors should understand that the results of a particular period will not necessarily be indicative of results in future periods.

Markets Are Volatile and Difficult to Predict.

Trading in futures is a speculative activity. Futures prices may be highly volatile. Market prices are difficult to predict and are influenced by many factors, including: changes in interest rates; governmental, agricultural, trade, fiscal, monetary and exchange control programs and policies; weather and climate conditions; changing supply and demand relationships; national and international political and economic events; and the changing philosophies and emotions of market participants. In addition, governments intervene in particular markets from time to time, both directly and by regulation, often with the intent to influence prices. The effects of government intervention may be particularly significant in the financial instrument and currency markets, and may cause such markets to move rapidly.

Trading Is Highly Leveraged.

The low margin deposits normally required in futures trading permit an extremely high degree of leverage. A relatively small movement in the price of a futures contract may result in immediate and substantial loss or gain to a trader holding a position in such contract. For example, if at the time of purchase 10% of the price of a futures contract is deposited as margin, a 10% decrease in the price of the futures contract would, if the contract were then closed out, result in a total loss of the margin deposit before any deduction for brokerage commissions. Consequently, like other leveraged investments, a futures trade may result in losses in excess of the amount invested. Forward contracts involve similar leverage and also may require deposits of margin as collateral. Swaps and OTC derivative instruments are also highly leveraged transactions.

Markets May Be Illiquid.

At times, it may not be possible for the Trading Advisor to obtain execution of a buy or sell order at the desired price or to liquidate an open position, either due to market conditions on exchanges or due to the operation of “daily price fluctuation limits” or “circuit breakers.” For example, most U.S. commodity exchanges limit fluctuations in most futures contract prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” During a single trading day, no trades may be executed at prices beyond the daily limit. Futures contract prices occasionally have moved to the daily limit for several consecutive days with little or no trading.

Even when futures prices have not moved to the daily limit, the Trading Advisor might not be able to obtain execution of trades at favorable prices if little trading in the contracts which the Trading Advisor wishes to trade is taking place. Also, an exchange or governmental authority may suspend or restrict trading on an exchange (or in particular futures traded on an exchange) or order the immediate settlement of a particular instrument.

Options trading may be restricted in the event that trading in the underlying instrument becomes restricted. Options trading also may be illiquid at times regardless of the condition of the market in the underlying instrument. In either event, it will be difficult for the Trading Advisor to realize gains or limit losses on option positions by offsetting them or to change positions in the market.

Trading in OTC derivative instruments is conducted with individual counterparties rather than on organized exchanges. There have been periods during which forward and swap contract dealers have refused to quote prices for forward and swap contracts or have quoted prices with an unusually wide spread between the bid and asked price.

Speculative Position Limits May Restrict Futures Trading.

Speculative position limits prescribe the maximum net long or short futures contract and options positions which any person or group may hold or control in particular futures contracts. All futures contracts and options on futures contracts traded on commodity exchanges located in the United States, with the exception of contracts on certain major

non-U.S.

currencies, are subject to speculative position limits established either by the Commodity Futures Trading Commission (the “CFTC”) or the relevant exchange.

All trading accounts owned or managed by the Trading Advisor and its principals will be combined for the purposes of speculative position limits. Such limits could adversely affect the profitability of the Trading Company and, consequently, of the Partnership. For example, the Trading Advisor could be required to liquidate futures positions at an unfavorable time in order to comply with such limits. However, the Trading Advisor does not believe that existing speculative position limits will materially adversely affect its ability to manage the Trading Company’s account.

Cash Flow.

Futures contract gains and losses are

marked-to-market

daily for purposes of determining margin requirements. Option positions generally are not, although short option positions will require additional margin if the market moves against the position. Due to these differences in margin treatment between futures and options, there may be periods in which positions on both sides must be closed down prematurely due to short term cash flow needs. If this were to occur during an adverse move in a spread or straddle relationship, a substantial loss could occur.

Decisions Based on Trends and Technical Analysis.

The trading decisions of the Trading Advisor will be based in part on trading strategies which utilize mathematical analyses of technical factors relating to past market performance. The buy and sell signals generated by a technical, trend-following trading strategy are based upon a study of actual daily, weekly and monthly price fluctuations, volume variations and changes in open interest in the markets. The profitability of any technical, trend-following trading strategy depends upon the occurrence in the future of significant, sustained price moves in some of the markets traded. The Trading Company and, consequently, the Partnership may incur substantial trading losses:

•

during periods when markets are dominated by fundamental factors that are not reflected in the technical data analyzed by the program;

•

during prolonged periods without sustained moves in one or more of the markets traded; or

•

during

“whip-saw”

markets, in which potential price trends start to develop but reverse before actual trends are realized.

In the past there have been prolonged periods without sustained price moves in various markets. Presumably, such periods will recur. A series of volatile reverses in price trends may generate repeated entry and exit signals in trend-following systems, resulting in unprofitable transactions and increased brokerage commission expenses. Technical, trend-following trading systems are used by many other traders. At times, the use of such systems may:

•

result in traders attempting to initiate or liquidate substantial positions in a market at or about the same time;

•

alter historical trading patterns;

•

obscure developing price trends; or

•

affect the execution of trades.

Model and Data Risk.

The Trading Advisor relies heavily on proprietary mathematical quantitative models (each a “Model” and collectively, “Models”) and data developed both by the Trading Advisor and those supplied by third parties (collectively, “Data”) rather than granting

trade-by-trade

discretion to the Trading Advisor’s investment professionals. In combination, Models and Data are used to construct investment decisions, to value both current

and potential investments (including, without limitation, for trading purposes, and for the purposes of determining the Net Asset Value of the Partnership), to provide risk management insights and to assist in hedging the Partnership’s positions and investments. Models and Data are known to have errors, omissions, imperfections and malfunctions (collectively, “System Events”).

The Trading Advisor seeks to reduce the incidence and impact of System Events, to the extent feasible, through a combination of internal testing, simulation, real-time monitoring and the use of independent safeguards in the overall portfolio management process, often in the software code itself. Despite such testing, monitoring and independent safeguards, System Events will result in, among other things, the execution of unanticipated trades, the failure to execute anticipated trades, delays in the execution of anticipated trades, the failure to properly allocate trades, the failure to properly gather and organize available data, the failure to take certain hedging or risk reducing actions and/or the taking of actions which increase certain risk(s)—all of which may have materially adverse effects on the Partnership. System Events in third-party provided Data is generally entirely outside of the control of the Trading Advisor.

The research and modeling processes engaged in by the Trading Advisor on behalf of its managed funds is extremely complex and involves the use of financial, economic, econometric and statistical theories, research and modeling; the results of this investment approach must then be translated into computer code. Although the Trading Advisor seeks to hire individuals skilled in each of these functions and to provide appropriate levels of oversight and employ other mitigating measures and processes, the complexity of the individual tasks, the difficulty of integrating such tasks, and the limited ability to perform “real world” testing of the end product, even with simulations and similar methodologies, raise the chances that Model code may contain one or more coding errors, thus potentially resulting in a System Event and further, one or more of such coding errors could adversely affect the Partnership’s investment performance.

The investment strategies of the Trading Advisor are highly reliant on the gathering, cleaning, culling and performing of analysis of large amounts of Data. Accordingly, Models rely heavily on appropriate Data inputs. However, it is impossible and impracticable to factor all relevant, available Data into forecasts, investment decisions and other parameters of the Models. The Trading Advisor will use its discretion to determine what Data to gather with respect to each investment strategy and what subset of that Data the Models take into account to produce forecasts which may have an impact on ultimate investment decisions. In addition, due to the automated nature of Data gathering, the volume and depth of Data available, the complexity and often manual nature of Data cleaning, and the fact that the substantial majority of Data comes from third-party sources, it is inevitable that not all desired and/or relevant Data will be available to, or processed by, the Trading Advisor at all times. Irrespective of the merit, value and/or strength of a particular Model, it will not perform as designed if incorrect Data is fed into it which may lead to a System Event potentially subjecting the Partnership to a loss. Further, even if Data is input correctly, “model prices” anticipated by the Data through the Models may differ substantially from market prices, especially for financial instruments with complex characteristics, such as derivatives, in which the Partnership may invest.

Where incorrect or incomplete Data is available, the Trading Advisor may, and often will, continue to generate forecasts and make investment decisions based on the Data available to it. Additionally, the Trading Advisor may determine that certain available Data, while potentially useful in generating forecasts and/or making investment decisions, is not cost effective to gather due to, among other factors, the technology costs or third-party vendor costs and, in such cases, the Trading Advisor will not utilize such Data. The Trading Advisor has full discretion to select the Data it utilizes. The Trading Advisor may elect to use or may refrain from using any specific Data or type of Data in generating forecasts or making trading decisions with respect to the Models. The Data utilized in generating forecasts or making trading decisions underlying the Models may not be (i) the most accurate data available or (ii) free of errors. The Data set used in connection with the Models is limited. The foregoing risks associated with gathering, cleaning, culling and analysis of large amounts of Data are an inherent part of investing with a quantitative, process-driven, systematic adviser such as the Trading Advisor.

When Models and Data prove to be incorrect, misleading or incomplete, any decisions made in reliance thereon expose the Partnership to potential losses and such losses may be compounded over time. For example, by relying on Models and Data, the Trading Advisor may be induced to buy certain investments at prices that are too high, to sell certain other investments at prices that are too low, or to miss favorable opportunities altogether. Similarly, any hedging based on faulty Models and Data may prove to be unsuccessful and when determining the Net Asset Value of the Partnership, any valuations of the Partnership’s investments that are based on valuation Models may prove to be incorrect. In addition, Models may incorrectly forecast future behavior, leading to potential losses on a cash flow and/or a

mark-to-market

basis. Furthermore, in unforeseen or certain

low-probability

scenarios (often involving a market event or disruption of some kind), Models may produce unexpected results which may or may not be System Events.

Errors in Models and Data are often extremely difficult to detect, and, in the case of Models, the difficulty of detecting System Events may be exacerbated by the lack of design documents or specifications. Regardless of how difficult their detection appears in retrospect, some System Events may go undetected for long periods of time and some may never be detected. Finally, the Trading Advisor will detect certain System Events that it chooses, in its sole discretion, not to address or fix, and the third party software will lead to System Events known to the Trading Advisor that it chooses, in its sole discretion, not to address or fix. The degradation or impact caused by these System Events can compound over time. The Trading Advisor generally will not perform a materiality analysis on the potential impact of a System Event. The Trading Advisor believes that the testing and monitoring performed on Models will enable the Trading Advisor to identify and address those System Events that a prudent person managing a quantitative, systematic and computerized investment program would identify and address by correcting the underlying issue(s) giving rise to the System Events, however there is no guarantee of the success of such processes. Investors should assume that System Events and their ensuing risks and impact are an inherent part of investing with a process-driven, systematic investment manager such as the Trading Advisor.

Accordingly, the Trading Advisor does not expect to disclose discovered System Events to its investors.

The Partnership will bear the risks associated with the reliance on Models and Data including bearing all losses related to System Events other than in relation to losses arising from the Trading Advisor’s willful misconduct, negligence or breach of fiduciary obligations.

Trade Systems and Execution of Orders.

The Trading Advisor relies extensively on computer programs, systems, technology, Data and Models to implement its execution strategies and algorithms. The Trading Advisor’s investment strategies, trading strategies and algorithms depend on its ability to establish and maintain an overall market position in a combination of financial instruments selected by the Trading Advisor. There is a risk that the Trading Advisor’s proprietary algorithmic trading systems may not be able to adequately react to a market event without serious disruption. Further, trading strategies and algorithms may malfunction causing severe losses. While the Trading Advisor has employed tools to allow for human intervention to respond to significant system malfunctions, it cannot be guaranteed that losses will not occur in such circumstances as unforeseen market events and disruptions and execution system issues.

Orders may not be executed in a timely and efficient manner due to various circumstances, including, without limitation, trading volume surges or systems failures attributable to the Trading Advisor, the Trading Advisor’s counterparties, brokers, dealers, agents or other service providers. In such event, the Trading Advisor might only be able to acquire or dispose of some, but not all, of the components of such position, or if the overall position were to need adjustment, the Trading Advisor might not be able to make such adjustment. As a result, the Partnership would not be able to achieve the market position selected by the Trading Advisor, which may result in a loss.

Trade Error Risk.

The complex execution modalities operated by the Trading Advisor and the speed and volume of trading invariably result in occasional trades being executed which, with the benefit of hindsight, were not required or intended by the execution strategy or occasional trades not being executed when they should have been. To the extent a trade error is caused by counterparty, such as a broker, the Trading Advisor generally, to the extent reasonable and practical, attempts to recover any loss associated with such trade error from such counterparty. To the extent a trade error is caused by the Trading Advisor, a formalized process is in place for the documentation and resolution of such trade errors. Given the volume, diversity and complexity of transactions executed by the Trading Advisor on behalf of the Partnership, investors should assume that trade errors will occur on occasion. If such trade errors result in gains to the Partnership, such gains will generally be retained by the Partnership. However, if a trade error result in losses, they will be borne by the Trading Advisor in accordance with its internal policies unless otherwise determined by the General Partner.

Trading in OTC Markets Will Expose the Partnership to Risks Not Applicable to Trading on Organized Exchanges.

The Partnership, through the Trading Company, may engage in OTC derivative transactions, such as: currency forward contracts traded in the interbank market; options on currency forward contracts; and swap transactions.

In general, there is much less governmental regulation and supervision of transactions in the OTC markets than of transactions entered into on organized exchanges. Most of the protections afforded to participants on U.S. and certain

non-U.S.

exchanges, such as daily price fluctuation limits and the performance guarantee of an exchange clearinghouse, will not be available in connection with OTC transactions.

Consequently, the Partnership will be exposed to greater risk of loss through default than if it confined its trading to organized exchanges.

A portion of the Partnership’s assets may be traded in forward contracts. Such forward contracts are generally not traded on exchanges and are executed directly through forward contract dealers. However, certain forward currency exchange contracts are regulated as swaps by the CFTC and have begun being voluntarily traded on swap execution facilities. Some of these contracts may be required to be centrally cleared by a regulated U.S. clearinghouse, and may be required to be traded on a regulated exchange in the future. There is no limitation on the daily price moves of forward contracts, and a dealer is not required to continue to make markets in such contracts. There have been periods during which forward contract dealers have refused to quote prices for forward contracts or have quoted prices with an unusually wide spread between the bid and asked price. Arrangements to trade forward contracts may therefore experience liquidity problems. The Partnership therefore will be subject to the risk of credit failure or the inability of or refusal of a forward contract dealer to perform with respect to its forward contracts.

When trading currency forward contracts, the Trading Company may hedge the foreign currencies in order to limit the Trading Company’s exposure to fluctuations in exchange rates. However, there is no guarantee that such hedging will be successful.

Enhanced Regulation of the OTC Derivatives Markets.

The European Market Infrastructure Regulation (“EMIR”) seeks comprehensively to regulate the OTC derivatives market in Europe including, in particular, imposing mandatory central clearing, trade reporting and, for

non-centrally

cleared trades, risk management obligations on counterparties. Similarly, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Reform Act”), enacted in July 2010, includes provisions that substantially increase the regulation of the OTC derivatives markets. The Reform Act requires that a substantial portion of OTC derivatives must be executed in regulated markets and be submitted for clearing to regulated clearinghouses, subject to margin requirements. OTC derivative dealers are also required to post margin to the clearinghouses through which they clear their customers’ trades instead of using such margin in their operations, as they are allowed to do for uncleared OTC trades. This will further increase the dealers’ costs, which costs may be passed through to other market participants in the form of higher fees and less favorable dealer marks. Although the Reform Act includes limited exemptions from the clearing and margin requirements for

so-called

“end-users”,

the Partnership may not be able to rely on such exemptions. In addition, the OTC derivative dealers with which the Partnership executes the majority of its OTC derivatives will not be able to rely on the

end-user

exemptions under the Reform Act and therefore such dealers will be subject to clearing and margin requirements notwithstanding whether the Partnership is subject to such requirements. Taken together, these regulatory developments have increased and will continue to increase the OTC derivative dealers’ costs, and these increased costs are generally passed through to other market participants in the form of higher upfront and

mark-to-market

margin, less favorable trade pricing, and the imposition of new or increased fees, including clearing account maintenance fees.

The CFTC also requires certain derivatives transactions that were previously executed on a bilateral basis in the OTC markets to be executed through a regulated futures or swap exchange or execution facility. Similarly, under EMIR, European regulators may require a substantial proportion of such derivatives transactions to be bought on exchange and/or centrally cleared. The Securities and Exchange Commission (the “SEC”) is also expected to

impose similar requirements on certain security-based derivatives in the near future, though it is not yet clear when these parallel SEC requirements will go into effect. Such requirements may make it more difficult and costly for investment funds, including the Partnership and/or the Trading Company, to enter into highly tailored or customized transactions. The overall impact of EMIR and the Reform Act on the Partnership is highly uncertain and it is unclear how the OTC derivatives markets will adapt to these new regulatory regimes.

Exchanges for Physicals/Swaps/Risk.

While not a regular practice for the Trading Company, it may in rare instances engage in transactions known as exchanges for physicals (“EFP”), exchanges for swaps (“EFS”), or exchanges for risk/OTC derivatives (“EFR”). An EFP/EFS/EFR is a purchase or sale of a spot commodity/swap/derivative, as applicable, in conjunction with an offsetting sale or purchase of a corresponding futures contract involving the same or equivalent underlying commodity or instrument, without making an open and competitive trade for the futures contract on the exchange. EFPs, EFSs and EFRs are a permitted exception to the general requirement of the Commodity Exchange Act, as amended, that all futures contracts must be competitively executed on an exchange. They are permitted pursuant to the rules of the relevant exchanges, which vary from exchange to exchange. If the EFP, EFS or EFR does not comply with specific exchange requirements, particularly regarding possessing documentation evidencing possession of the underlying commodity or instrument, then the CFTC or the exchange may deem the transaction to be an illegal

off-exchange

futures contract. In addition, every EFP, EFS or EFR involves the transfer of an underlying commodity or entry into a swap or derivative on a bilateral basis, as applicable, with a counterparty in exchange for a related cleared futures contract. There is, therefore, counterparty credit risk if the counterparty or its clearing member on the futures leg fails to perform. Unlike other futures contracts that are deemed cleared by the clearinghouse upon trade matching or at the end of the business day, futures contracts arising out of EFPs, EFSs or EFRs may, under various clearinghouse rules, not be deemed accepted by the clearinghouse until the next business day.

Options on Futures Contracts May Be More Volatile Than Futures Contracts.

The Trading Advisor may trade options on futures contracts. Options are speculative in nature and are highly leveraged. The purchaser of an option risks losing the entire purchase price of the option. The seller (writer) of an option risks losing the difference between the premium received for the option and the price of the underlying futures contract that the writer must purchase upon exercise of the option. Additionally, the seller and writer of the options lose any commissions and fees associated with such transactions. This could subject the writer to unlimited risk in the event of an increase in the price of the contract to be purchased or delivered. Successful trading of options on futures contracts requires a trader to accurately determine near-term market volatility because it often has an immediate impact on the price of outstanding options. Accurate determination of near-term volatility is more important to successful options trading than it is to long-term futures contract trading strategies because such volatility generally does not have as significant an effect on the prices of futures contracts.

Trading on

Non-U.S.

Exchanges and Markets Will Expose the Partnership to Risks Not Applicable to Trading on U.S. Exchanges and Markets.

The Partnership, through the Trading Company, may engage in trading on

non-U.S.

exchanges and markets. The Partnership will be subject to the risk of fluctuations in the currency exchange rate between the local currency and the U.S. dollar and to the possibility of exchange controls. Trading on such exchanges and markets generally involves other risks not applicable to trading on U.S. exchanges and markets.

For example, such exchanges and markets:

•

may not provide the same assurances of the integrity (financial and otherwise) of the marketplace and its participants as do U.S. exchanges and markets;

•

may exercise less regulatory oversight and supervision over transactions and participants in transactions;

•

may not afford all participants an equal opportunity to execute trades;

•

may be subject to a variety of political influences and the possibility of direct governmental intervention;

•

may have different clearance and settlement procedures for transactions than U.S. exchanges and markets. There have been times when settlement procedures have been unable to keep pace with the volume of transactions on certain exchanges and markets, making it difficult to conduct trades; and

•

may be “principals’ markets” in which performance is the responsibility only of the member with whom the trader has dealt (the counterparty) rather than the responsibility of an exchange or clearing association. Each transaction on such an exchange or market may subject the Partnership to the risk of the counterparty’s credit failure or inability or refusal to perform its obligations.

Institutional Risks.

Institutions, such as the banks and brokers, will have custody of the assets of the Partnership. These firms may encounter financial difficulties that impair the operating capabilities or the capital position of the Partnership, the Trading Company or the General Partner.

Counterparty Risk.

The Partnership will be subject to the risk of the inability of counterparties to perform with respect to transactions, particularly uncleared swap and currency forward transactions, whether due to insolvency, bankruptcy or other causes, which could subject the Partnership to substantial losses. In an effort to mitigate such risks, the General Partner and Trading Advisor will attempt to limit transactions to counterparties, which are established, well-capitalized and creditworthy.

Affiliated Parties — Conflicts of Interest

. Under the terms of the Partnership’s Limited Partnership Agreement, the General Partner has the authority to engage trading advisors to make trading decisions for the Partnership. Since the Trading Advisor is an affiliate of the General Partner, the General Partner has a conflict of interest with respect to its responsibilities to manage the Partnership for the benefit of the Limited Partners, and to prevent violations of the Partnership’s trading policies and to monitor for excessive trading by the Trading Advisor. In addition, the General Partner has a conflict of interest with respect to its responsibility to review the trading performance of the Partnership and a disincentive to terminate the advisory relationship between the Trading Advisor and the Partnership. There have been no

arm’s-length

negotiations with respect to the management and incentive fees that the Trading Advisor will charge the Trading Company or with respect to the other terms of the advisory agreement entered into with the Trading Advisor.

MiFID II

. Each of the European Union’s

re-cast

Markets in Financial Instruments Directive (2014/65/EU) (the “MiFID II Directive”), the delegated and implementing European Union (“EU”) regulations made thereunder, the laws and regulations introduced by Member States of the EU to implement the MiFID II Directive and the EU’s Markets in Financial Instruments Regulation (600/2014) (“MiFIR” and, together with the MiFID II Directive, “MiFID II”) impose new regulatory obligations on the Trading Advisor. These regulatory obligations may impact on, and constrain the implementation of, the investment strategy of the Partnership and lead to increased compliance obligations upon and accrued expenses for the Trading Advisor and/or the Partnership.

Epidemics and Pandemics May Lead to Severe Market Disruptions and May Impair the Operational Capabilities of the Trading Advisor, the General Partner and the Partnership’s Service Providers

. Since the

mid-1990s,

the world has seen a number of outbreaks of new viral illnesses of varying severity, including avian flus, Severe Acute Respiratory Syndrome (SARS), Middle East Respiratory Syndrome (MERS), the H1N1 Flu (Swine Flu), and

COVID-19

caused by the novel Coronavirus known as

SARS-CoV-2.

The responses to these outbreaks have varied as has their impact on human health, local economies and the global economy, and it is impossible at the outset of any such outbreak to estimate accurately what the ultimate impact of any such outbreak will be. Protective measures taken by governments and the private sector, including the Trading Advisor and the General Partner, to mitigate the spread of any such illness, including travel restrictions and outright bans, mandatory business closures, quarantines, and work-from-home arrangements, may lead to, or may be expected to lead to, wide spread economic damage, resulting in severe disruptions in the markets in which the Partnership trades and, potentially, adversely affecting the Partnership’s profit potential; and the spread of any such illness within the offices of the Trading Advisor, the General Partner, the Partnership’s service providers, and/or the exchanges and other components of market infrastructure could severely impair the operational capabilities of the Trading Advisor, the General Partner, the Partnership’s service providers or various markets themselves resulting in harm to the Partnership’s business and its operating results.

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds.

(a) The Partnership may sell Units of Limited Partnership Interests (“Units”) as of the first business day of any calendar month or at such other times as the General Partner may determine. On the first business day of July 2021, August 2021 and September 2021, the Partnership sold Class A Series 1 Units, exclusive of

non-cash

transfers, to existing and new Limited Partners in the amount of $50,000, 282,800 and $0, respectively. On the first business day of July 2021, August 2021 and September 2021, the Partnership sold Class A Series 2 Units, exclusive of

non-cash

transfers, to existing and new Limited Partners in the amount of $0, $0 and $0, respectively. On the first business day of July 2021, August 2021 and September 2021, the Partnership sold Class B Series 1 Units, exclusive of

non-cash

transfers, to existing and new Limited Partners in the amount of $187,400, $0 and $0, respectively. On the first business day of July 2021, August 2021 and September 2021, the Partnership sold Class B Series 2 Units, exclusive of

non-cash

transfers, to existing and new Limited Partners in the amount of $0, $0 and $0, respectively. There were no underwriting discounts or commissions in connection with the sales of the Units described above.]

(b) Not applicable.

(c) Pursuant to the Partnership’s Limited Partnership Agreement, a Limited Partner may redeem some or all of its Units as of the last business day of each calendar month at the then current

month-end

Net Asset Value. The redemption of Units has no impact on the value of Units that remain outstanding, and Units are not reissued once redeemed. The following table summarizes the amount of Units redeemed, exclusive of

non-cash

transfers, during the three months ended September 30, 2021:


	Class A Units		Class A-2 Units		Class B Units		Class B-2 Units
Date of Redemption: (last business day)	Amount Redeemed:		Amount Redeemed:		Amount Redeemed:		Amount Redeemed:
July 2021		—		—		—		—
August 2021		—		—	$	97,217		—
September 2021	$	179,797		—	$	172,450		—
TOTAL	$	179,797		—		269,667		—

Item 3.

Defaults upon Senior Securities.

None.

Item 4.

Mine Safety Disclosures.

Not Applicable.

Item 5.

Other Information.

None.

Item 6.

Exhibits.

The following exhibits are included herewith:


Designation		Description

31.1		Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer

31.2		Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer

32.1		Section 1350 Certification of Principal Executive Officer

32.2		Section 1350 Certification of Principal Financial Officer


	September 30, 2021 (Unaudited)			December 31, 2020
ASSETS
Investment in Man-AHL Diversified Trading Company L.P.	$	95,274,312		$	85,406,017
Due from Man-AHL Diversified Trading Company L.P.		352,248			1,314,633

Total assets	$	95,626,560		$	86,720,650

LIABILITIES AND PARTNERS’ CAPITAL
LIABILITIES:
Redemptions payable	$	352,248		$	1,314,633
Management fees payable		233,925			212,244
Servicing fees payable		78,343			71,065
Accrued expenses and other liabilities		298,994			305,082

Total liabilities		963,510			1,903,024

PARTNERS’ CAPITAL:
General Partner - Class A Series 1 (186.37 units outstanding at September 30, 2021 and December 31, 2020)		871,284			753,098
Limited Partners - Class A Series 1 (12,957.99 and 13,570.15 units outstanding at September 30, 2021 and December 31, 2020, respectively)		60,577,544			54,834,087
Limited Partners - Class A Series 2 (960.65 and 970.09 units outstanding at September 30, 2021 and December 31, 2020, respectively)		5,252,944			4,542,124
Limited Partners - Class B Series 1 (5,981.39 and 6,110.04 units outstanding at September 30, 2021 and December 31, 2020, respectively)		27,961,278			24,688,317

Total partners’ capital		94,663,050			84,817,626

Total liabilities and partners’ capital	$	95,626,560		$	86,720,650

NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST - CLASS A Series 1	$	4,674.92	*	$	4,040.79	*

NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST - CLASS A Series 2	$	5,468.11	*	$	4,682.16	*

NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST - CLASS B Series 1	$	4,674.71	*	$	4,040.61	*


	CLASS A Series 1											CLASS A Series 2						CLASS B Series 1						TOTAL
	Limited Partners						General Partner					Limited Partners						Limited Partners						TOTAL
	Amount			Units			Amount			Units		Amount			Units			Amount			Units			Amount			Units
PARTNERS’ CAPITAL January 1, 2021	$	54,834,087			13,570		$	753,098			186	$	4,542,124			970		$	24,688,317			6,110		$	84,817,626			20,836
Subscriptions		1,087,930			229			—			—		115,000			20			376,400			84			1,579,330			333
Redemptions		(3,711,891	)		(841	)		—			—		(152,315	)		(29	)		(959,286	)		(213	)		(4,823,492	)		(1,083	)
Net income (loss)		8,367,418			—			118,186			—		748,135			—			3,855,847			—			13,089,586			—

PARTNERS’ CAPITAL September 30, 2021	$	60,577,544			12,958		$	871,284			186	$	5,252,944			961		$	27,961,278			5,981		$	94,663,050			20,086

PARTNERS’ CAPITAL January 1, 2020	$	59,297,638			15,716		$	703,193			186	$	3,814,631			884		$	26,313,374			6,974		$	90,128,836			23,760
Subscr i ptions		2,568,842			678			—			—		154,001			36			1,157,830			296			3,880,673			1,010
Redemptions		(8,116,772	)		(2,156	)		—			—		—			—			(2,625,320	)		(676	)		(10,742,092	)		(2,832	)
Net income (loss)		(1,803,476	)		—			(23,235	)		—		(92,348	)		—			(789,101	)		—			(2,708,160	)		—

PARTNERS’ CAPITAL September 30, 2020	$	51,946,232			14,238		$	679,958			186	$	3,876,284			920		$	24,056,783			6,594		$	80,559,257			21,938


	For the nine months ended September 30,
	2021			2020
CASH FLOWS FROM OPERATING ACTIVITIES:
Net income (loss)	$	13,089,586		$	(2,708,160	)
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Purchases of investments in Man-AHL Diversified Trading Company L.P.		(560,162	)		(738,452	)
Sales of investments in Man-AHL Diversified Trading Company L.P.		7,822,345			9,478,152
Net (gain) loss on trading activities and net investment loss allocated from investment in Man-AHL Diversified Trading Company L.P.		(16,168,093	)		(174,772	)
Changes in assets and liabilities:
Management fees payable		21,681			(21,116	)
Servicing fees payable		7,278			(7,030	)
Accrued expenses and other liabilities		(6,088	)		(106,194	)

Net cash provided by operating activities		4,206,547			5,722,428

CASH FLOWS FROM FINANCING ACTIVITIES:
Proceeds from subscriptions		1,579,330			3,880,673
Payments on redemptions		(5,785,877	)		(9,603,101	)

Net cash used in financing activities		(4,206,547	)		(5,722,428	)

NET INCREASE (DECREASE) IN CASH		—			—
CASH - Beginning of period		—			—

CASH - End of period	$	—		$	—


	September 30, 2021
	(Unaudited)		December 31, 2020
ASSETS
Equity in trading accounts:
Net unrealized trading gains on open futures contracts	$	3,553,594	$	4,838,679
Net unrealized trading gains on open forward contracts		303,909		4,301,897
Net unrealized trading gains on open swap agreements		—		3,613,210
Net premiums paid on credit default swap agreements		15,727,709		4,418,752
Due from brokers		36,794,208		15,192,032

Total equity in trading accounts		56,379,420		32,364,570
Cash and cash equivalents		6,962,348		11,507,859
Investment in securities, at fair value (cost $114,983,426 and $79,986,217 at September 30, 2021 and December 31, 2020, respectively)		114,986,473		79,991,450

Total assets	$	178,328,241	$	123,863,879

LIABILITIES AND PARTNERS’ CAPITAL
LIABILITIES:
Net unrealized trading losses on open futures contracts	$	822,693	$	—
Net unrealized trading losses on open forward contracts		2,439,605		—
Net unrealized trading losses on open swap agreements		338,521		8,453
Net premiums received on credit default swap agreements		2,069,377		—
Due to brokers		12,934,080		120,565
Redemptions payable to Man-AHL Diversified I L.P.		352,248		1,314,633
Redemptions payable to Man-AHL Diversified II L.P.		226,693		—
Accrued expenses and other liabilities		319,847		316,018

Total liabilities		19,503,064		1,759,669

PARTNERS’ CAPITAL:
Limited Partners (6,701.05 and 6,159.62 units outstanding at September 30, 2021 and December 31, 2020, respectively)		158,825,177		122,104,210

Total partners’ capital		158,825,177		122,104,210

Total liabilities and partners’ capital	$	178,328,241	$	123,863,879

NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST	$	23,701.53	$	19,823.33


	For the three months ended						For the nine months ended
	September 30,						September 30,
	2021			2020			2021			2020
NET INVESTMENT INCOME:

Interest income	$	25,321		$	37,496		$	72,936		$	631,217
Other income		—			6,582			—			6,582

Total investment income		25,321			44,078			72,936			637,799

EXPENSES
Brokerage commissions		55,528			40,634			169,112			137,558
Interest expense - brokers		52,525			28,968			168,344			148,383
Administration fees		26,686			22,793			72,511			51,062
Professional fees		64,079			58,813			191,593			184,836
Shareholder expenses		33,000			33,000			99,000			113,554
Other expenses		15,252			13,298			48,914			35,817

Total expenses		247,070			197,506			749,474			671,210


Net investment income (loss)		(221,749	)		(153,428	)		(676,538	)		(33,411	)

NET REALIZED AND UNREALIZED GAINS (LOSSES) ON TRADING ACTIVITIES:
Net realized trading gains (losses) on closed contracts/agreements and foreign currency transactions		854,383			(2,040,608	)		37,096,909			6,651,240
Net change in unrealized gains (losses) on translation of foreign currency		(97,079	)		(9,790	)		(262,203	)		(40,027	)
Net change in unrealized trading gains (losses) on investments in securities		3,337			5,272			(2,186	)		6,878
Net change in unrealized trading gains (losses) on open contracts/agreements		(1,805,884	)		262,019			(12,488,649	)		(6,469,720	)

Net gain (loss) on trading activities		(1,045,243	)		(1,783,107	)		24,343,871			148,371

NET INCOME (LOSS)	$	(1,266,992	)	$	(1,936,535	)	$	23,667,333		$	114,960

NET INCOME (LOSS) PER UNIT OF PARTNERSHIP INTEREST (based on weighted average units outstanding during the period)	$	(191.69	)	$	(292.68	)	$	3,735.31		$	17.49

WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD		6,609.69			6,616.49			6,336.11			6,572.91


STATEMENTS OF FINANCIAL CONDITION (a)			2
CONDENSED SCHEDULES OF INVESTMENTS (a)			3
STATEMENTS OF OPERATIONS (b)			5
STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL (c)			6
STATEMENTS OF CASH FLOWS (c)			7
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)			8


	Limited Partners						General P artner				Total
	Amount			Units			Amount		Units		Amount			Units
PARTNERS’ CAPITAL - January 1, 2021	$	122,104,210			6,160		$	—		—	$	122,104,210			6,160
Subscriptions		20,632,055			885			—		—		20,632,055			885
Redemptions		(7,578,421	)		(344	)		—		—		(7,578,421	)		(344	)
Net income (loss)		23,667,333			—			—		—		23,667,333			—

PARTNERS’ CAPITAL - September 30, 2021	$	158,825,177			6,701		$	—		—	$	158,825,177			6,701


PARTNERS’ CAPITAL - January 1, 2020	$	114,740,147			6,474		$	—		—	$	114,740,147			6,474
Subscriptions		10,539,695			586			—		—		10,539,695			586
Redemptions		(12,351,005	)		(674	)		—		—		(12,351,005	)		(674	)
Net income (loss)		114,960			—			—		—		114,960			—

PARTNERS’ CAPITAL - September 30, 2020	$	113,043,797			6,386		$	—		—	$	113,043,797			6,386



101.INS		XBRL Instance Document

101.SCH		XBRL Taxonomy Extension Schema Document

101.CAL		XBRL Taxonomy Extension Calculation Linkbase Document

101.DEF		XBRL Taxonomy Extension Definition Linkbase Document

101.LAB		XBRL Taxonomy Extension Label Linkbase Document

101.PRE		XBRL Taxonomy Extension Presentation Linkbase Document

Exhibit 104		Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101)

The following exhibits are incorporated by reference herein from the exhibits of the same description and number filed on January 28, 2008 with the Partnership’s Registration Statement on Form 10 (Reg. No. 000-53043).

3.1		Certificate of Limited Partnership of Man-AHL Diversified I L.P.

10.3		Form of Selling Agreement between Man Investments (USA) Corp. and Man Investments Inc.

The following exhibit is incorporated by reference herein from the exhibit of the same description and number filed on August 13, 2014, for the quarterly period ended June 30, 2014, with the Partnership’s Quarterly Report on Form 10-Q.

10.1		Form of Trading Advisor Agreement between Man-AHL Diversified Trading Company L.P., Man Investments (USA) Corp. and AHL Partners LLP

The following exhibit is incorporated by reference herein from the exhibit of the same description and number filed on August 14, 2018, for the quarterly period ended June 30, 2018, with the Partnership’s Quarterly Report on Form 10-Q.

4.1		Seventh Amended Limited Partnership Agreement of Man-AHL Diversified I L.P.

The following exhibit is incorporated by reference herein from the exhibit of the same description and number filed on May 17, 2021, for the quarterly period ended June 30, 2014, with the Partnership’s Quarterly Report on Form 10-Q.

10.4		Form of Omnibus US Selling Agreement between Man Investments (USA) Corp. and Man Investments Inc.