ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934 |
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934 |
(State or other jurisdiction of incorporation or organization) |
(I.R.S. Employer Identification No.) | |
c/o Man Investments (USA) Corp. th Avenueth Floor |
||
(Address of principal executive offices) |
(Zip Code) |
Title of each class |
Trading Symbol(s) |
Name of each exchange on which registered | ||
Large accelerated filer | ☐ |
Accelerated Filer | ☐ | |||
☒ |
Smaller reporting company | |||||
Emerging growth company |
• | 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. |
• | 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. |
• | 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. |
Class A Units |
Class A-2 Units |
Class B Units |
Class B-2 Units |
|||||||||||||
Date of Redemption: |
Amount Redeemed: |
Amount Redeemed: |
Amount Redeemed: |
Amount Redeemed: |
||||||||||||
(last business day) |
||||||||||||||||
October 2021 |
$ | 400,000 | — | $ | 12,550 | — | ||||||||||
November 2021 |
$ | 684,272 | — | $ | 78,362 | — | ||||||||||
December 2021 |
$ | 120,787 | — | $ | 110,000 | — | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
TOTAL |
$ | 1,205,059 | — | $ | 200,912 | — | ||||||||||
|
|
|
|
|
|
|
|
For the Year Ended December 31, 2021 |
For the Year Ended December 31, 2020 |
For the Year Ended December 31, 2019 |
For the Year Ended December 31, 2018 |
For the Year Ended December 31, 2017 |
||||||||||||||||
Revenue:* |
| |||||||||||||||||||
Total net realized and unrealized gains (losses) |
12,312,822 | $ | 9,655,632 | $ | 13,208,515 | $ | 1,245,752 | $ | 18,205,710 | |||||||||||
Interest income |
$ | 59,757 | 510,991 | 1,856,022 | 1,764,072 | 854,933 | ||||||||||||||
Other Income |
— | 4,845 | 102,311 | — | — | |||||||||||||||
Expenses:** |
| |||||||||||||||||||
Incentive fees |
— | — | — | — | — | |||||||||||||||
Management fees |
2,741,440 | 2,603,364 | 2,811,368 | 3,276,649 | 3,796,264 | |||||||||||||||
Servicing fees |
918,065 | 871,180 | 941,605 | 1,098,660 | 1,272,301 | |||||||||||||||
Brokerage commissions |
143,451 | 138,727 | 190,659 | 284,613 | 486,447 | |||||||||||||||
Administrative expenses |
939,538 | 869,967 | 915,399 | 1,182,114 | 909,312 | |||||||||||||||
Net income (loss) |
$ | 7,630,085 | $ | 5,688,230 | $ | 10,307,877 | $ | (2,832,242 | ) | $ | 12,596,319 | |||||||||
Total assets |
$ | 88,987,086 | $ | 86,720,650 | $ | 92,358,800 | $ | 105,907,806 | $ | 122,096,273 | ||||||||||
Total Partnership capital |
$ | 88,174,579 | $ | 84,817,626 | $ | 90,128,836 | $ | 99,736,784 | $ | 119,598,097 | ||||||||||
Net Asset Value per outstanding unit — Class A — Series 1 |
$ | 4,402.83 | $ | 4,040.79 | $ | 3,773.02 | $ | 3,379.30 | $ | 3,449.91 | ||||||||||
Net Asset Value per outstanding unit — Class A — Series 2 |
$ | 5,166.02 | $ | 4,682.16 | $ | 4,317.43 | $ | 3,818.72 | $ | 3,849.96 | ||||||||||
Net Asset Value per outstanding unit — Class B — Series 1 |
$ | 4,402.64 | $ | 4,040.61 | $ | 3,772.86 | $ | 3,379.15 | $ | 3,449.76 | ||||||||||
Net Asset Value per outstanding unit — Class B — Series 2 |
— | $ | — | $ | — | $ | 3,604.14 | *** | $ | 3,850.01 | ||||||||||
Increase (decrease) in Net Asset Value per Class A — Series 1 unit^ |
$ | 372.99 | $ | 237.00 | $ | 387.36 | $ | (70.61 | ) | $ | 315.48 | |||||||||
Increase (decrease) in Net Asset Value per Class A — Series 2 unit^ |
$ | 477.27 | $ | 395.07 | $ | 511.82 | $ | (31.24 | ) | $ | 396.34 | |||||||||
Increase (decrease) in Net Asset Value per Class B — Series 1 unit^ |
$ | 369.12 | $ | 253.32 | $ | 394.51 | $ | (70.61 | ) | $ | 305.71 | |||||||||
Increase (decrease) in Net Asset Value per Class B — Series 2 unit*** |
— | $ | — | $ | — | $ | (245.87 | ) | $ | 410.60 |
* | Allocated to the Partnership from its investment in the Trading Company. The Trading Company generates revenue from the trading of futures, foreign exchange, forward currency contracts and treasury bills. |
** | Expenses include the Partnership’s allocation of expenses from its investment in the Trading Company in addition to direct expenses of the Partnership. |
*** | Ending Net Asset Value per unit calculated immediately prior to final redemption. |
^ | Based on weighted average units outstanding during the year. |
Fiscal Year 2021 | ||||||||
Market Sector | Margin Allocation as of December 31st |
% of Capitalization as of December 31st |
||||||
Agriculturals |
$ | 1,712,906.13 | 1.94 | % | ||||
Bonds |
$ | 709,469.28 | 0.80 | % | ||||
Credit |
$ | 1,886,923.52 | 2.14 | % | ||||
Currencies |
$ | 2,774,213.99 | 3.15 | % | ||||
Energy |
$ | 908,861.28 | 1.03 | % | ||||
Interest rates |
$ | 450,660.78 | 0.51 | % | ||||
Metals |
$ | 1,525,788.13 | 1.73 | % | ||||
Stock indices |
$ | 3,839,600.42 | 4.35 | % | ||||
Total* |
$ | 13,808,423.51 | 15.66 | % |
* | Total amount does not foot due to rounding. |
2021 31-Dec -21 |
2020 31-Dec -20 |
|||||||
Ending Equity |
$ | 88,174,579 | $ | 84,817,626 |
Fiscal Year 2021 |
||||||||||||||||
Market Sector |
Average Value at Risk |
% of Average Capitalization |
Highest Value at Risk |
Lowest Value at Risk |
||||||||||||
Agriculturals |
$ |
1,312,965.42 |
1.43% |
$ |
1,721,618 |
$ |
985,334 |
|||||||||
Bonds |
$ |
927,581.72 |
1.01% |
$ |
1,163,652 |
$ |
713,078 |
|||||||||
Credit |
$ |
3,107,221.56 |
3.38% |
$ |
4,300,432 |
$ |
1,896,520 |
|||||||||
Currencies |
$ |
1,537,400.48 |
1.67% |
$ |
2,788,323 |
$ |
122,020 |
|||||||||
Energies |
$ |
1,567,396.54 |
1.70% |
$ |
1,997,299 |
$ |
913,484 |
|||||||||
Interest rates |
$ |
307,462.58 |
0.33% |
$ |
452,953 |
$ |
226,597 |
|||||||||
Metals |
$ |
1,515,149.89 |
1.65% |
$ |
1,848,583 |
$ |
1,276,556 |
|||||||||
Stock indices |
$ |
4,074,667.40 |
4.43% |
$ |
4,691,613 |
$ |
3,208,925 |
|||||||||
Total* |
$ |
14,349,845.59 |
15.60% |
18,964,473 |
$ |
9,342,513 |
Fiscal Year 2020 |
||||||||||||||||
Market Sector |
Average Value at Risk |
% of Average Capitalization |
Highest Value at Risk |
Lowest Value at Risk |
||||||||||||
Agriculturals |
$ |
1,059,892 |
1.22% |
$ |
1,280,651 |
$ |
909,456 |
|||||||||
Bonds |
$ |
1,433,257 |
1.64% |
$ |
2,070,593 |
$ |
672,596 |
|||||||||
Credit |
$ |
538,939 |
0.62% |
$ |
723,836 |
$ |
227,288 |
|||||||||
Currencies |
$ |
1,822,763 |
2.09% |
$ |
2,777,315 |
$ |
880,521 |
|||||||||
Energies |
$ |
855,823 |
0.98% |
$ |
1,042,110 |
$ |
659,035 |
|||||||||
Interest rates |
$ |
1,109,238 |
1.27% |
$ |
2,403,527 |
$ |
509,723 |
|||||||||
Metals |
$ |
1,399,026 |
1.61% |
$ |
1,982,019 |
$ |
1,123,559 |
|||||||||
Stock indices |
$ |
2,448,212 |
2.81% |
$ |
4,676,287 |
$ |
965,589 |
|||||||||
Total* |
$ |
10,667,150 |
12.24% |
$ |
16,956,338 |
$ |
5,947,767 |
Fourth Quarter 2021 |
Third Quarter 2021 |
Second Quarter 2021 |
First Quarter 2021 |
|||||||||||||
Interest income* | 12,028 | 15,512 | 15,232 | 16,985 | ||||||||||||
Net Realized and Unrealized Gains (Losses)* | (4,297,838 | ) | (612,365 | ) | 8,987,069 | 8,235,956 | ||||||||||
Expenses** | (1,161,663 | ) | (1,188,836 | ) | (16,752,807 | ) | (1,110,907 | ) | ||||||||
Net Income (Loss) | (5,459,501 | ) | (1,801,201 | ) | (7,765,738 | ) | 7,125,049 | |||||||||
Net Income (Loss) Per Unit of Partnership Interest - Class A - Series 1 | (271.18 | ) | (89.55 | ) | 381.90 | 340.36 | ||||||||||
Net Income (Loss) Per Unit of Partnership Interest - Class A - Series 2 | (302.09 | ) | (87.20 | ) | 457.50 | 422.12 | ||||||||||
Net Income (Loss) Per Unit of Partnership Interest - Class B - Series 1 | (272.36 | ) | (89.32 | ) | 383.82 | 339.74 | ||||||||||
Net Income (Loss) Per Unit of Partnership Interest - Class B - Series 2 | -- | -- | -- | -- |
Fourth Quarter 2020 |
Third Quarter 2020 |
Second Quarter 2020 |
First Quarter 2020 |
|||||||||||||
Interest income* | 22,556 | 27,339 | 129,456 | 331,640 | ||||||||||||
Other Income* | - | 4,845 | - | - | ||||||||||||
Net Realized and Unrealized Gains (Losses)* | 9,463,661 | (1,256,551 | ) | (7,444,804 | ) | 8,893,326 | ||||||||||
Expenses** | (1,089,827 | ) | (1,054,387 | ) | (1,103,293 | ) | (1,235,731 | ) | ||||||||
Net Income (Loss) | 8,396,390 | (2,278,754 | ) | (8,418,641 | ) | 7,989,235 | ||||||||||
Net Income (Loss) Per Unit of Partnership Interest - Class A - Series 1 | 384.61 | (98.84 | ) | (361.66 | ) | 327.51 | ||||||||||
Net Income (Loss) Per Unit of Partnership Interest - Class A - Series 2 | 480.34 | (103.97 | ) | (400.97 | ) | 410.05 | ||||||||||
Net Income (Loss) Per Unit of Partnership Interest - Class B - Series 1 | 383.56 | (100.67 | ) | (360.61 | ) | 334.42 | ||||||||||
Net Income (Loss) Per Unit of Partnership Interest - Class B - Series 2 | - | - | - | - |
* | Allocated to the Partnership from its investment in the Trading Company. The Trading Company generates revenue from trading of futures, foreign exchange and forward currency contracts. |
** | Expenses include the Partnership’s allocation of expenses from its investment in the Trading Company in addition to direct expenses of the Partnership. |
• | pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Partnership; |
• | provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements of the Partnership in accordance with the accounting principles generally accepted in the United States of America, and that receipts and expenditures of the Partnership are being made only in accordance with authorizations of management and directors of the General Partner; and |
• | provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Partnership’s assets that could have a material effect on its financial statements. |
Designation | Description | |
13.1 | Report of Independent Registered Public Accounting Firm | |
31.1 | Rule 13a-14(a)/15d-14(a) Certification of President, Principal Executive Officer | |
31.2 | Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer | |
32.1 | Section 1350 Certification of President, Principal Executive Officer | |
32.2 | Section 1350 Certification of Principal Financial Officer | |
101.INS | Inline XBRL Instance Document | |
101.SCH | Inline XBRL Taxonomy Extension Schema Document | |
101.CAL | Inline XBRL Taxonomy Extension Calculation Linkbase Document | |
101.DEF | Inline XBRL Taxonomy Extension Definition Linkbase Document | |
101.LAB | Inline XBRL Taxonomy Extension Label Linkbase Document | |
101.PRE | Inline XBRL Taxonomy Extension Presentation Linkbase Document | |
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. |
Signature | Title with General Partner | Date | ||
/s/ Shanta Puchtler Shanta Puchtler |
President, Principal Executive Officer | March 30, 2022 | ||
/s/ Christopher Guarnotta Christopher Guarnotta |
Principal Financial Officer | March 30, 2022 |
By | /s/ Shanta Puchtler | |
Shanta Puchtler | ||
President, Principal Executive Officer |
|
INDEX TO FINANCIAL STATEMENTS |
Man-AHL Diversified I L.P. |
Page | |||
2 | ||||
3 | ||||
4 | ||||
5 | ||||
6 | ||||
7 | ||||
Man-AHL Diversified Trading Company L.P. |
||||
Financial Statements |
||||
12 | ||||
13 | ||||
14 | ||||
16 | ||||
17 | ||||
18 | ||||
19 |
(a) |
At December 31, 2021 and December 31, 2020 |
(b) |
For the years ended December 31, 2021, 2020 and 2019 |
|
|
MAN-AHL DIVERSIFIED I L.P. (A Delaware Limited Partnership) STATEMENTS OF FINANCIAL CONDITION |
December 31, 2021 |
December 31, 2020 |
|||||||
ASSETS |
||||||||
Investment in Man-AHL Diversified Trading Company L.P. |
$ | |
$ | |
||||
Due from Man-AHL Diversified Trading Company L.P. |
||||||||
|
|
|
|
|||||
Total assets |
$ | $ | ||||||
|
|
|
|
|||||
LIABILITIES AND PARTNERS’ CAPITAL |
||||||||
LIABILITIES: | ||||||||
Redemptions payable |
$ | $ | ||||||
Management fees payable |
||||||||
Servicing fees payable |
||||||||
Accrued expenses and other liabilities |
||||||||
|
|
|
|
|||||
Total liabilities |
||||||||
|
|
|
|
|||||
PARTNERS’ CAPITAL: | ||||||||
General Partner - Class A Series 1 ( |
||||||||
Limited Partners - Class A Series 1 ( |
||||||||
Limited Partners - Class A Series 2 ( |
||||||||
Limited Partners - Class B Series 1 ( |
||||||||
|
|
|
|
|||||
Total partners’ capital |
||||||||
|
|
|
|
|||||
Total liabilities and partners’ capital |
$ | $ | ||||||
|
|
|
|
|||||
NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST - CLASS A Series 1 | $ | * | $ | * | ||||
|
|
|
|
|||||
NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST - CLASS A Series 2 | $ | * | $ | * | ||||
|
|
|
|
|||||
NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST - CLASS B Series 1 | $ | * | $ | * | ||||
|
|
|
|
* | Difference in net asset value recalculation and net asset value stated is caused by rounding differences. |
MAN-AHL DIVERSIFIED I L.P. (A Delaware Limited Partnership) STATEMENTS OF OPERATIONS FOR THE YEARS ENDED DECEMBER 31, 2021, 2020 and 2019 |
2021 |
2020 |
2019 |
||||||||||
NET INVESTMENT INCOME (LOSS) ALLOCATED FROM MAN-AHL DIVERSIFIED TRADING COMPANY L.P.: |
||||||||||||
Interest income |
$ | $ | $ | |||||||||
Other income |
||||||||||||
Brokerage commissions |
( |
) | ( |
) | ( |
) | ||||||
Interest expense |
( |
) | ( |
) | ( |
) | ||||||
Administration fees |
( |
) | ( |
) | ( |
) | ||||||
Professional fees |
( |
) | ( |
) | ( |
) | ||||||
Shareholder expenses |
( |
) | ( |
) | ( |
) | ||||||
Other expenses |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) allocated from Man-AHL Diversified Trading Company L.P. |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
PARTNERSHIP EXPENSES: | ||||||||||||
Management fees |
||||||||||||
Servicing fees |
||||||||||||
Professional fees |
||||||||||||
Other expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Total partnership expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net investment loss |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
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 |
||||||||||||
Net change in unrealized trading gains (losses) on securities |
( |
) | ||||||||||
Net change in unrealized trading gains (losses) on open contracts/agreements and translation of foreign currency |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net gains (losses) on trading activities allocated from Man-AHL Diversified Trading Company L.P. |
||||||||||||
|
|
|
|
|
|
|||||||
NET INCOME (LOSS) | $ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
NET INCOME (LOSS) PER UNIT OF PARTNERSHIP INTEREST (based on weighted average units outstanding during the period) |
||||||||||||
CLASS A Series 1 |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
CLASS A Series 2 |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
CLASS B Series 1 |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE YEAR | ||||||||||||
CLASS A Series 1 |
||||||||||||
|
|
|
|
|
|
|||||||
CLASS A Series 2 |
||||||||||||
|
|
|
|
|
|
|||||||
CLASS B Series 1 |
||||||||||||
|
|
|
|
|
|
MAN-AHL DIVERSIFIED I L.P. (A Delaware Limited Partnership) STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL FOR THE YEARS ENDED DECEMBER 31, 2021, 2020 and 2019 |
CLASS A Series 1 |
CLASS A Series 2 |
CLASS B Series 1 |
TOTAL |
|||||||||||||||||||||||||||||||||||||
Limited Partners |
General Partner |
Limited Partners |
Limited Partners |
|||||||||||||||||||||||||||||||||||||
Amount |
Units |
Amount |
Units |
Amount |
Units |
Amount |
Units |
Amount |
Units |
|||||||||||||||||||||||||||||||
PARTNERS’ CAPITAL | ||||||||||||||||||||||||||||||||||||||||
January 1, 2021 | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||
Subscriptions |
- | - | ||||||||||||||||||||||||||||||||||||||
Transfers |
- | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||
Redemptions |
( |
) | ( |
) | - | - | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||
Net income (loss) |
- | - | - | - | - | |||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
PARTNERS’ CAPITAL | ||||||||||||||||||||||||||||||||||||||||
December 31, 2021 | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
PARTNERS’ CAPITAL | ||||||||||||||||||||||||||||||||||||||||
January 1, 2020 | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||
Subscriptions |
- | - | ||||||||||||||||||||||||||||||||||||||
Transfers |
- | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||
Redemptions |
( |
) | ( |
) | - | - | - | - | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||
Net income (loss) |
- | - | - | - | - | |||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
PARTNERS’ CAPITAL | ||||||||||||||||||||||||||||||||||||||||
December 31, 2020 | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
PARTNERS’ CAPITAL | ||||||||||||||||||||||||||||||||||||||||
January 1, 2019 | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||
Subscriptions |
- | - | - | - | ||||||||||||||||||||||||||||||||||||
Transfers |
- | - | - | - | ( |
) | ( |
) | - | - | ||||||||||||||||||||||||||||||
Redemptions |
( |
) | ( |
) | - | - | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||
Net income (loss) |
- | - | - | - | - | |||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
PARTNERS’ CAPITAL | ||||||||||||||||||||||||||||||||||||||||
December 31, 2019 | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MAN-AHL DIVERSIFIED I L.P. (A Delaware Limited Partnership) STATEMENTS OF CASH FLOWS FOR THE YEARS ENDED DECEMBER 31, 2021, 2020 and 2019 |
2021 |
2020 |
2019 |
||||||||||
CASH FLOWS FROM OPERATING ACTIVITIES: |
||||||||||||
Net income (loss) |
$ |
$ | $ | |||||||||
Adjustments to reconcile net income (loss) to net cash provided by operating activities: |
||||||||||||
Purchases of investments in Man-AHL Diversified Trading Company L.P. |
( |
) | ( |
) | ( |
) | ||||||
Sales of investments in Man-AHL Diversified Trading Company L.P. |
||||||||||||
Net gain (loss) on trading activities and net investment loss allocated from investment in Man-AHL Diversified Trading Company L.P. |
( |
) | ( |
) | ( |
) | ||||||
Changes in assets and liabilities: |
||||||||||||
Management fees payable |
( |
) | ( |
) | ||||||||
Servicing fees payable |
( |
) | ( |
) | ||||||||
Accrued expenses and other liabilities |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net cash provided by operating activities |
||||||||||||
|
|
|
|
|
|
|||||||
CASH FLOWS FROM FINANCING ACTIVITIES: | ||||||||||||
Proceeds from subscriptions |
* | * | * | |||||||||
Payments on redemptions |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net cash used in financing activities |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
NET INCREASE (DECREASE) IN CASH |
||||||||||||
CASH - Beginning of year |
||||||||||||
|
|
|
|
|
|
|||||||
CASH - End of year |
$ | $ | $ | |||||||||
|
|
|
|
|
|
* | Net of placement agent fees paid to Man Investments Inc. for the years ended December 31, 2021, 2020 and 2019 of $7,370, $44,000 and $20,250, respectively. |
MAN-AHL DIVERSIFIED I L.P. (A Delaware Limited Partnership) NOTES TO FINANCIAL STATEMENTS |
MAN-AHL DIVERSIFIED I L.P. (A Delaware Limited Partnership) NOTES TO FINANCIAL STATEMENTS |
MAN-AHL DIVERSIFIED I L.P. (A Delaware Limited Partnership) NOTES TO FINANCIAL STATEMENTS |
MAN-AHL DIVERSIFIED I L.P. (A Delaware Limited Partnership) NOTES TO FINANCIAL STATEMENTS |
2021 |
2020 |
2019 |
||||||||||||||||||||||||||||||||||
Class A Series 1 |
Class A Series 2 |
Class B Series 1 |
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 |
$ | $ | $ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment loss |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||||
Net realized and change in unrealized gains (losses) on trading activities |
||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total income (loss) from investment operations |
||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Ending net asset value |
$ | $ | $ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Ratios to average partners’ capital 1 : |
||||||||||||||||||||||||||||||||||||
Expenses other than incentive fees |
% | % | % | % | % | % | % | % | % | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total expenses |
% | % | % | % | % | % | % | % | % | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net investment loss |
( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total return: |
||||||||||||||||||||||||||||||||||||
Total return before incentive fees |
% | % | % | % | % | % | % | % | % | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total return after incentive fees |
% | % | % | % | % | % | % | % | % | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 |
Includes amounts allocated from the Trading Company. |
2 |
Ending NAV per share is calculated immediately prior to the final redemption. |
MAN-AHL DIVERSIFIED I L.P. (A Delaware Limited Partnership) NOTES TO FINANCIAL STATEMENTS |
|
MAN-AHL DIVERSIFIED TRADING COMPANY L.P. (A Delaware Limited Partnership) STATEMENTS OF FINANCIAL CONDITION |
December 31, 2021 |
December 31, 2020 |
|||||||
ASSETS |
||||||||
Equity in trading accounts: | ||||||||
Net unrealized trading gains on open futures contracts |
$ | $ | ||||||
Net unrealized trading gains on open forward contracts |
||||||||
Net unrealized trading gains on open swap agreements |
||||||||
Net premiums paid on credit default swap agreements |
||||||||
Due from brokers |
||||||||
|
|
|
|
|||||
Total equity in trading accounts |
||||||||
Cash and cash equivalents |
|
|||||||
Investment in securities, at fair value (cost $ |
||||||||
|
|
|
|
|||||
Total assets |
$ | $ | ||||||
|
|
|
|
|||||
LIABILITIES AND PARTNERS’ CAPITAL |
||||||||
LIABILITIES: | ||||||||
Net unrealized trading losses on open forward contracts |
$ | $ | ||||||
Net unrealized trading losses on open swap agreements |
||||||||
Net premiums received on credit default swap agreements |
||||||||
Due to brokers |
||||||||
Redemptions payable to Man-AHL Diversified I L.P. |
||||||||
Redemptions payable to Man-AHL Diversified II L.P. |
||||||||
Accrued expenses and other liabilities |
||||||||
|
|
|
|
|||||
Total liabilities |
|
|||||||
|
|
|
|
|||||
PARTNERS’ CAPITAL: | ||||||||
Limited Partners ( |
||||||||
|
|
|
|
|||||
Total partners’ capital |
||||||||
|
|
|
|
|||||
Total liabilities and partners’ capital | $ | $ | ||||||
|
|
|
|
|||||
NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST | $ | $ | ||||||
|
|
|
|
MAN-AHL DIVERSIFIED TRADING COMPANY L.P. (A Delaware Limited Partnership) CONDENSED SCHEDULES OF INVESTMENTS |
December 31, 2021 |
December 31, 2020 |
|||||||||||||||
Fair Value |
Percent of Partners’ Capital |
Fair Value |
Percent of Partners’ Capital |
|||||||||||||
FUTURES CONTRACTS - Long: | ||||||||||||||||
Agricultural |
$ | $ | ||||||||||||||
Currencies |
( |
) | ( |
) | ||||||||||||
Energy |
||||||||||||||||
Indices |
||||||||||||||||
Interest Rates |
( |
) | ( |
) | ||||||||||||
Metals |
||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total futures contracts - long |
||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
FUTURES CONTRACTS - Short: | ||||||||||||||||
Agricultural |
$ | ( |
) | ( |
) | ( |
) | ( |
) | |||||||
Currencies |
||||||||||||||||
Energy |
( |
) | ( |
) | ||||||||||||
Indices |
||||||||||||||||
Interest Rates |
( |
) | ( |
) | ||||||||||||
Metals |
( |
) | ( |
) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total futures contracts - short |
( |
) | ( |
) | ( |
) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
NET UNREALIZED TRADING GAINS (LOSSES) ON OPEN FUTURES CONTRACTS | $ | $ | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
FORWARD CONTRACTS - Long: | ||||||||||||||||
Australian dollars |
$ | $ | ||||||||||||||
Brazilian real |
||||||||||||||||
Mexican peso |
||||||||||||||||
Turkish lira |
||||||||||||||||
New Zealand dollars |
||||||||||||||||
South African rand |
( |
) | ( |
) | ||||||||||||
South Korean won |
( |
) | ( |
) | ||||||||||||
U.K. pound |
||||||||||||||||
Other |
( |
) | ( |
) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total long forward contracts vs USD |
||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
FORWARD CONTRACTS - Short: | ||||||||||||||||
Australian dollars |
$ | ( |
) | ( |
) | $ | ( |
) | ( |
) | ||||||
Brazilian real |
( |
) | ( |
) | ||||||||||||
Mexican peso |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Turkish lira |
( |
) | ( |
) | ||||||||||||
New Zealand dollars |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
South African rand |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
South Korean won |
( |
) | ( |
) | ||||||||||||
U.K. pound |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Other |
( |
) | ( |
) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total short forward contracts vs USD |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Forward contracts - Cross currencies |
( |
) | ( |
) | ||||||||||||
Forward contracts - Metal non USD |
||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
|
|
|
|
|
|
|
|
|||||||||
NET UNREALIZED TRADING GAINS (LOSSES) ON OPEN FORWARD CONTRACTS | $ | $ | ||||||||||||||
|
|
|
|
|
|
|
|
MAN-AHL DIVERSIFIED TRADING COMPANY L.P. (A Delaware Limited Partnership) CONDENSED SCHEDULES OF INVESTMENTS (CONTINUED) |
December 31, 2021 |
December 31, 2020 |
|||||||||||||||||||
Principal |
Fair Value* |
Percent of Partners’ Capital |
Fair Value* |
Percent of Partners’ Capital |
||||||||||||||||
SWAP AGREEMENTS - Long: | ||||||||||||||||||||
Interest rate swaps |
||||||||||||||||||||
Brazilian Real (range of expirations: January 4, 2021 - March 19, 2025 , as of December 31, 2020 |
$ | $ | ||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Total swap agreements - long |
||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
SWAP AGREEMENTS - Short: | ||||||||||||||||||||
Credit default swaps - Sell protection centrally cleared (upfront premiums paid $ |
||||||||||||||||||||
Interest rate swaps |
||||||||||||||||||||
Brazilian Real (range of expirations: January 4, 2021 - March 19, 2025, as of December 31, 2020 |
( |
) | ( |
) | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Total swap agreements - short |
( |
) | ( |
) | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
NET UNREALIZED TRADING GAINS/(LOSSES) ON OPEN SWAP AGREEMENTS | $ | $ | ||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
NET UNREALIZED TRADING GAINS/(LOSSES) ON OPEN CONTRACTS/AGREEMENTS | $ | $ | ||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
U.S. GOVERNMENT SECURITIES - Long: | ||||||||||||||||||||
United States Treasury Bill 0% 03/18/21 |
$ | $ | ||||||||||||||||||
United States Treasury Bill 0% 02/25/21 |
||||||||||||||||||||
United States Treasury Bill 0% 01/06/22 |
||||||||||||||||||||
United States Treasury Bill 0% 01/20/22 |
||||||||||||||||||||
United States Treasury Bill 0% 02/10/22 |
||||||||||||||||||||
United States Treasury Bill 0% 03/03/22 |
||||||||||||||||||||
United States Treasury Bill 0% 06/09/22 |
||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Total U.S. government securities - long |
||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
TOTAL INVESTMENT IN SECURITIES (COST $ |
$ | $ | ||||||||||||||||||
|
|
|
|
|
|
|
|
* | 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. |
MAN-AHL DIVERSIFIED TRADING COMPANY L.P. (A Delaware Limited Partnership) STATEMENTS OF OPERATIONS FOR THE YEARS ENDED DECEMBER 31, 2021, 2020 and 2019 |
2021 |
2020 |
2019 |
||||||||||
NET INVESTMENT INCOME: | ||||||||||||
Interest income |
$ | $ | $ | |||||||||
Other income |
- | |||||||||||
|
|
|
|
|
|
|||||||
Total investment income |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
EXPENSES | ||||||||||||
Brokerage commissions |
||||||||||||
Interest expense - brokers |
||||||||||||
Administration fees |
||||||||||||
Professional fees |
||||||||||||
Shareholder expenses |
||||||||||||
Other expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Total expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) | ( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
NET REALIZED AND UNREALIZED GAINS (LOSSES) ON TRADING ACTIVITIES: | ||||||||||||
Net realized trading gains (losses) on closing contracts/agreements and foreign currency transactions |
||||||||||||
Net change in unrealized gains (losses) on translation of foreign currency |
( |
) | ( |
) | ||||||||
Net change in unrealized trading gains (losses) on investments in securities |
( |
) | ( |
) | ||||||||
Net change in unrealized trading gains (losses) on open contracts/agreements |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net gain (loss) on trading activities | ||||||||||||
|
|
|
|
|
|
|||||||
NET INCOME (LOSS) | $ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
NET INCOME (LOSS) PER UNIT OF PARTNERSHIP INTEREST (based on weighted average units outstanding during the period) | $ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD | ||||||||||||
|
|
|
|
|
|
MAN-AHL DIVERSIFIED TRADING COMPANY L.P. (A Delaware Limited Partnership) STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL FOR THE YEARS ENDED DECEMBER 31, 2021, 2020 and 2019 |
Limited Partners |
General Partner |
Total |
||||||||||||||||||||||
Amount |
Units |
Amount |
Units |
Amount |
Units |
|||||||||||||||||||
PARTNERS’ CAPITAL - January 1, 2021 | $ | $ | - | - | $ | |||||||||||||||||||
Subscriptions |
- | - | ||||||||||||||||||||||
Redemptions |
( |
) | ( |
) | - | - | ( |
) | ( |
) | ||||||||||||||
Net income |
- | - | - | - | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
PARTNERS’ CAPITAL - December 31, 2021 |
$ |
$ |
- |
- |
$ |
|||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
PARTNERS’ CAPITAL - January 1, 2020 | $ | $ | - | - | $ | |||||||||||||||||||
Subscriptions |
- | - | ||||||||||||||||||||||
Redemptions |
( |
) | ( |
) | - | - | ( |
) | ( |
) | ||||||||||||||
Net income |
- | - | - | - | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
PARTNERS’ CAPITAL - December 31, 2020 | $ | $ | - | - | $ | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
PARTNERS’ CAPITAL - January 1, 2019 | $ | $ | - | - | $ | |||||||||||||||||||
Subscriptions |
- | - | ||||||||||||||||||||||
Redemptions |
( |
) | ( |
) | - | - | ( |
) | ( |
) | ||||||||||||||
Net income |
- | - | - | - | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
PARTNERS’ CAPITAL - December 31, 2019 | $ | $ | - | - | $ | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
MAN-AHL DIVERSIFIED TRADING COMPANY L.P. (A Delaware Limited Partnership) STATEMENTS OF CASH FLOWS FOR THE YEARS ENDED DECEMBER 31, 2021, 2020 and 2019 |
2021 |
2020 |
2019 |
||||||||||
CASH FLOWS FROM OPERATING ACTIVITIES: | ||||||||||||
Net income (loss) |
$ | $ | $ | |||||||||
Adjustments to reconcile net income (loss) to net cash provided by operating activities: |
||||||||||||
Purchases of investments in securities |
( |
) | ( |
) | ( |
) | ||||||
Amortization of premium/discount on securities |
( |
) | ( |
) | ( |
) | ||||||
Sales of investments in securities |
||||||||||||
Net change in unrealized trading (gains) losses on investments in securities |
( |
) | ||||||||||
Net change in unrealized trading (gains) losses on open contracts/agreements |
( |
) | ||||||||||
Changes in assets and liabilities: |
||||||||||||
Due from brokers |
( |
) | ( |
) | ||||||||
Net premiums paid on credit default swap agreements |
( |
) | ( |
) | ||||||||
Net premiums received on credit default swap agreements |
( |
) | ( |
) | ||||||||
Due to brokers |
||||||||||||
Accrued expenses and other liabilities |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net cash provided by operating activities |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
CASH FLOWS FROM FINANCING ACTIVITIES: | ||||||||||||
Proceeds from subscriptions |
||||||||||||
Payments on redemptions |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net cash used in financing activities |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS | ( |
) | ( |
) | ||||||||
CASH AND CASH EQUIVALENTS - Beginning of year | ||||||||||||
|
|
|
|
|
|
|||||||
CASH AND CASH EQUIVALENTS - End of year | $ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
SUPPLEMENTAL DISCLOSURE OF CASH ACTIVITY: | ||||||||||||
Cash paid for interest during the period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
MAN-AHL DIVERSIFIED TRADING COMPANY L.P. (A Delaware Limited Partnership) NOTES TO FINANCIAL STATEMENTS |
MAN-AHL DIVERSIFIED TRADING COMPANY L.P. (A Delaware Limited Partnership) NOTES TO FINANCIAL STATEMENTS |
MAN-AHL DIVERSIFIED TRADING COMPANY L.P. (A Delaware Limited Partnership) NOTES TO FINANCIAL STATEMENTS |
• | 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 |
MAN-AHL DIVERSIFIED TRADING COMPANY L.P. (A Delaware Limited Partnership) NOTES TO FINANCIAL STATEMENTS |
Fair Value Measurements |
||||||||||||||||
Investments |
As of December 31, 2021 |
Level 1 |
Level 2 |
Level 3 |
||||||||||||
Assets |
||||||||||||||||
Treasury bills |
$ | $ | - | $ | $ | - | ||||||||||
Futures contracts |
- | - | ||||||||||||||
Forward contracts |
- | - | ||||||||||||||
Swap agreements* |
- | - | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets |
- | |||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Liabilities |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | - | - | ||||||||||
Forward contracts |
( |
) | - | ( |
) | - | ||||||||||
Swap agreements* |
- | - | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities |
( |
) | ( |
) | ( |
) | - | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net Fair Value |
$ | $ | $ | $ | - | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Fair Value Measurements |
||||||||||||||||
Investments |
As of December 31, 2020 |
Level 1 |
Level 2 |
Level 3 |
||||||||||||
Assets |
||||||||||||||||
Treasury bills |
$ | $ | - | $ | $ | - | ||||||||||
Futures contracts |
- | - | ||||||||||||||
Forward contracts |
- | - | ||||||||||||||
Swap agreements* |
- | - | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets |
- | |||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Liabilities |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | - | - | ||||||||||
Forward contracts |
( |
) | - | ( |
) | - | ||||||||||
Swap agreements* |
( |
) | - | ( |
) | - | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities |
( |
) | ( |
) | ( |
) | - | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net Fair Value |
$ | $ | $ | $ | - | |||||||||||
|
|
|
|
|
|
|
|
* | 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. |
MAN-AHL DIVERSIFIED TRADING COMPANY L.P. (A Delaware Limited Partnership) NOTES TO FINANCIAL STATEMENTS |
MAN-AHL DIVERSIFIED TRADING COMPANY L.P. (A Delaware Limited Partnership) NOTES TO FINANCIAL STATEMENTS |
Fair Value and Notional Amounts by Contract Term |
||||||||||||||||
December 31, 2021 |
December 31, 2020 |
|||||||||||||||
Credit spread (in basis points) |
Fair Value |
Notional Amount |
Fair Value |
Notional Amount |
||||||||||||
|
$ | $ | $ | $ | ||||||||||||
|
||||||||||||||||
|
||||||||||||||||
|
||||||||||||||||
|
||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | $ | $ | $ | ||||||||||||
|
|
|
|
|
|
|
|
MAN-AHL DIVERSIFIED TRADING COMPANY L.P. (A Delaware Limited Partnership) NOTES TO FINANCIAL STATEMENTS |
MAN-AHL DIVERSIFIED TRADING COMPANY L.P. (A Delaware Limited Partnership) NOTES TO FINANCIAL STATEMENTS |
December 31, 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 on open forward contracts | Gross unrealized trading losses on open forward contracts | ||||||||||
Currencies |
$ |
$ |
( |
) | ||||||||
Metals |
( |
) | ||||||||||
|
|
|
|
|||||||||
Total open forward contracts |
( |
) | ||||||||||
|
|
|
|
|||||||||
Open futures contracts |
Gross unrealized trading gains on open futures contracts | Gross unrealized trading losses on open futures contracts | ||||||||||
Agricultural |
( |
) | ||||||||||
Currencies |
- | ( |
) | |||||||||
Energy |
( |
) | ||||||||||
Indices |
( |
) | ||||||||||
Interest rates |
( |
) | ||||||||||
Metals |
( |
) | ||||||||||
|
|
|
|
|||||||||
Total open futures contracts |
( |
) | ||||||||||
|
|
|
|
|||||||||
Open swap agreements |
Gross unrealized trading gains on open swap agreements | Gross unrealized trading losses on open swap agreements | ||||||||||
Credit |
- |
|||||||||||
|
|
|
|
|||||||||
Total open swap agreements |
- | |||||||||||
|
|
|
|
|||||||||
Total Derivatives |
$ | $ | ( |
) | ||||||||
|
|
|
|
MAN-AHL DIVERSIFIED TRADING COMPANY L.P. (A Delaware Limited Partnership) NOTES TO FINANCIAL STATEMENTS |
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 on open forward contracts |
Gross unrealized trading losses on open forward contracts |
||||||||||
Currencies |
$ | $ | ( |
) | ||||||||
Metals |
( |
) | ||||||||||
|
|
|
|
|||||||||
Total open forward contracts |
( |
) | ||||||||||
|
|
|
|
|||||||||
Open futures contracts | Gross unrealized trading gains on open futures contracts |
Gross unrealized trading losses on open futures contracts |
||||||||||
Agricultural |
( |
) | ||||||||||
Currencies |
- | |||||||||||
Energy |
( |
) | ||||||||||
Indices |
( |
) | ||||||||||
Interest rates |
( |
) | ||||||||||
Metals |
- | |||||||||||
|
|
|
|
|||||||||
Total open futures contracts |
( |
) | ||||||||||
|
|
|
|
|||||||||
Open swap agreements |
Gross unrealized trading gains on open swap agreements |
Gross unrealized trading losses on open swap agreements |
||||||||||
Credit |
( |
) | ||||||||||
Interest rates |
( |
) | ||||||||||
|
|
|
|
|||||||||
Total open swap agreements |
( |
) | ||||||||||
|
|
|
|
|||||||||
Total Derivatives |
$ | $ | ( |
) | ||||||||
|
|
|
|
MAN-AHL DIVERSIFIED TRADING COMPANY L.P. (A Delaware Limited Partnership) NOTES TO FINANCIAL STATEMENTS |
For the years ended December 31, |
||||||||||||
2021 |
2020 |
2019 |
||||||||||
Location of gain or loss recognized in income on derivatives |
Gain (Loss) on derivatives |
Gain (Loss) on derivatives |
Gain (Loss) on derivatives |
|||||||||
Forward contracts |
||||||||||||
Currencies |
$ | ( |
) | $ | ( |
) | $ | |||||
Metals |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net realized trading gains (losses) on closed contracts/agreements |
$ | $ | ( |
) | $ | |||||||
|
|
|
|
|
|
|||||||
Currencies |
$ | ( |
) | $ | $ | ( |
) | |||||
Metals |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net change in unrealized trading gains (losses) on open contracts/agreements |
$ | ( |
) | $ | $ | ( |
) | |||||
|
|
|
|
|
|
|||||||
Futures contracts |
||||||||||||
Agricultural |
$ | $ | ( |
) | $ | ( |
) | |||||
Currencies |
( |
) | ( |
) | ||||||||
Energy |
( |
) | ||||||||||
Indices |
( |
) | ( |
) | ||||||||
Interest rates |
( |
) | ||||||||||
Metals |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net realized trading gains (losses) on closed contracts/agreements |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Agricultural |
$ | ( |
) | $ | $ | ( |
) | |||||
Currencies |
( |
) | ||||||||||
Energy |
( |
) | ( |
) | ||||||||
Indices |
( |
) | ( |
) | ||||||||
Interest rates |
( |
) | ( |
) | ||||||||
Metals |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net change in unrealized trading gains (losses) on open contracts/agreements |
$ | ( |
) | $ | $ | ( |
) | |||||
|
|
|
|
|
|
|||||||
Swap agreements |
||||||||||||
Credit default swaps |
$ | $ | ( |
) | $ | |||||||
Interest rate swaps |
||||||||||||
|
|
|
|
|
|
|||||||
Net realized trading gains (losses) on closed contracts/agreements |
$ | $ | ( |
) | $ | |||||||
|
|
|
|
|
|
|||||||
Credit default swaps |
$ | $ | ( |
) | $ | |||||||
Interest rate swaps |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net change in unrealized trading gains (losses) on open contracts/agreements |
$ | ( |
) | $ | ( |
) | $ | |||||
|
|
|
|
|
|
MAN-AHL DIVERSIFIED TRADING COMPANY L.P. (A Delaware Limited Partnership) NOTES TO FINANCIAL STATEMENTS |
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 |
|
||||||||||||||||||||
Financial Instruments |
Cash Collateral Received |
Net Amount |
||||||||||||||||||||||
As of December 31, 2021 |
||||||||||||||||||||||||
Open futures contracts |
||||||||||||||||||||||||
Bank of America Merrill Lynch |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
Goldman Sachs |
( |
) | ||||||||||||||||||||||
JPMorgan Chase |
( |
) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total open futures contracts |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Open forward contracts |
||||||||||||||||||||||||
Citigroup |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
HSBC |
( |
) | ||||||||||||||||||||||
JPMorgan Chase |
( |
) | ||||||||||||||||||||||
Royal Bank of Scotland |
( |
) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total open forward contracts |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Open swap agreements |
||||||||||||||||||||||||
Credit Suisse |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Goldman Sachs |
||||||||||||||||||||||||
JPMorgan Chase |
||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total open swap agreements |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
MAN-AHL DIVERSIFIED TRADING COMPANY L.P. (A Delaware Limited Partnership) NOTES TO FINANCIAL STATEMENTS |
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 |
|
||||||||||||||||||||
Financial Instruments |
Cash Collateral Received |
Net Amount |
||||||||||||||||||||||
As of December 31, 2020 |
||||||||||||||||||||||||
Open futures contracts |
||||||||||||||||||||||||
Bank of America Merrill Lynch |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
Credit Suisse |
( |
) | ||||||||||||||||||||||
JPMorgan Chase |
( |
) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total open futures contracts |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Open forward contracts |
||||||||||||||||||||||||
Deutsche Bank |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
HSBC |
( |
) | ||||||||||||||||||||||
JPMorgan Chase |
( |
) | ||||||||||||||||||||||
Royal Bank of Scotland |
( |
) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total open forward contracts |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Open swap agreements |
||||||||||||||||||||||||
Credit Suisse |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Goldman Sachs |
( |
) | ||||||||||||||||||||||
JPMorgan Chase |
( |
) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total open swap agreements |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
MAN-AHL DIVERSIFIED TRADING COMPANY L.P. (A Delaware Limited Partnership) NOTES TO FINANCIAL STATEMENTS |
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 |
|
||||||||||||||||||||
Financial Instruments |
Cash Collateral Pledged |
Net Amount |
||||||||||||||||||||||
As of December 31, 2021 |
||||||||||||||||||||||||
Open futures contracts |
||||||||||||||||||||||||
Bank of America Merrill Lynch |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
Goldman Sachs |
( |
) | ||||||||||||||||||||||
JPMorgan Chase |
( |
) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total open futures contracts |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Open forward contracts |
||||||||||||||||||||||||
Citigroup |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
HSBC |
( |
) | ||||||||||||||||||||||
JPMorgan Chase |
( |
) | ||||||||||||||||||||||
Royal Bank of Scotland |
( |
) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total open forward contracts |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
MAN-AHL DIVERSIFIED TRADING COMPANY L.P. (A Delaware Limited Partnership) NOTES TO FINANCIAL STATEMENTS |
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 |
|
||||||||||||||||||||
Financial Instruments |
Cash Collateral Pledged |
Net Amount |
||||||||||||||||||||||
As of December 31, 2020 |
||||||||||||||||||||||||
Open futures contracts |
||||||||||||||||||||||||
Bank of America Merrill Lynch |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
Credit Suisse |
( |
) | ||||||||||||||||||||||
JPMorgan Chase |
( |
) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total open futures contracts |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Open forward contracts |
||||||||||||||||||||||||
Deutsche Bank |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
HSBC |
( |
) | ||||||||||||||||||||||
JPMorgan Chase |
( |
) | ||||||||||||||||||||||
Royal Bank of Scotland |
( |
) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total open forward contracts |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Open swap agreements |
||||||||||||||||||||||||
Goldman Sachs |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
JPMorgan Chase |
( |
) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total open swap agreements |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
MAN-AHL DIVERSIFIED TRADING COMPANY L.P. (A Delaware Limited Partnership) NOTES TO FINANCIAL STATEMENTS |
Additional Collateral Pledged |
||||
As of December 31, 2021 |
||||
Open futures contracts |
||||
Bank of America Merrill Lynch |
$ | |||
Open futures contracts and swap agreements |
||||
Goldman Sachs |
$ | |||
Open forward contracts |
||||
Citigroup |
$ | |||
HSBC |
$ | |||
Royal Bank of Scotland |
$ | |||
Open futures, forward and swap agreements |
||||
JPMorgan Chase |
$ | |||
As of December 31, 2020 |
||||
Open swap agreements |
||||
Goldman Sachs |
$ |
2021 |
2020 |
2019 |
||||||||||
Per unit operating performance: |
||||||||||||
Beginning net asset value |
$ | $ | $ | |||||||||
Income (loss) from investment operations: |
||||||||||||
Net investment gain (loss) |
( |
) | ( |
) | ||||||||
Net realized and change in unrealized gains (losses) on trading activities and translation of foreign currency |
||||||||||||
|
|
|
|
|
|
|||||||
Total income (loss) from investment operations |
||||||||||||
|
|
|
|
|
|
|||||||
Ending net asset value |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Ratios to average partners’ capital: |
||||||||||||
Expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net investment gain (loss) |
( |
( |
||||||||||
|
|
|
|
|
|
|||||||
Total return |
||||||||||||
|
|
|
|
|
|
MAN-AHL DIVERSIFIED TRADING COMPANY L.P. (A Delaware Limited Partnership) NOTES TO FINANCIAL STATEMENTS |