MAN AHL DIVERSIFIED I LP - Quarter Report: 2011 September (Form 10-Q)

MAN AHL DIVERSIFIED I LP - Quarter Report: 2011 September (Form 10-Q)

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Form 10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

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

For the quarterly period ended September 30, 2011

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

For the transition period from to

Commission File number: 000-53043

Man-AHL Diversified I L.P.

(Exact name of registrant as specified in charter)


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

c/o Man Investments (USA) Corp. One Rockefeller Center 16^th Floor New York, NY		10020
(Address of principal executive offices)		(Zip Code)

(646) 452-9700

(Registrant’s telephone number, including area code)

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 x No ¨

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

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.

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

PART I - FINANCIAL INFORMATION

ITEM 1.

Financial Statements.

Man-AHL Diversified I L.P.


STATEMENTS OF FINANCIAL CONDITION (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

(a)	At September 30, 2011 (unaudited) and December 31, 2010

(b)	For the three months ended September 30, 2011 and 2010 (unaudited) and for the nine months ended September 30, 2011 and 2010 (unaudited)

(c)	For the nine months ended September 30, 2011 and 2010 (unaudited)

MAN-AHL DIVERSIFIED I L.P.

(A Delaware Limited Partnership)

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2011 (Unaudited)		December 31, 2010
ASSETS

Cash and cash equivalents	$	10,109,446	$	17,978,871

Investment in Man-AHL Diversified Trading Company L.P.		550,784,357		456,318,413

Due from Man-AHL Diversified Trading Company L.P.		6,435,010		8,322,471

Prepaids and other assets		14,081		—

Total	$	567,342,894	$	482,619,755


LIABILITIES AND PARTNERS’ CAPITAL

LIABILITIES:
Redemptions payable	$	4,212,568	$	6,443,299
Subscriptions received in advance		10,109,151		17,828,921
Management fees payable		1,332,935		1,105,525
Servicing fees payable		681,366		566,652
Accrued expenses		222,222		206,995
Payable to Man-AHL Diversified II L.P.		—		250,000

Total liabilities		16,558,242		26,401,392


PARTNERS’ CAPITAL:
General Partner - Class A (186.37 unit equivalents outstanding at September 30, 2011 and December 31, 2010, respectively)		626,029		646,951
Limited Partners - Class A (111,138.85 and 89,273.39 units outstanding at September 30, 2011 and December 31, 2010, respectively)		373,314,839		309,889,356
Limited Partners - Class A Series 2 (16,149.43 and 14,736.53 units outstanding at September 30, 2011 and December 31, 2010, respectively)		55,974,218		52,289,913
Limited Partners - Class B (31,675.26 and 23,302.68 units outstanding at September 30, 2011 and December 31, 2010, respectively)		106,397,337		80,889,762
Limited Partners - Class B Series 2 (4,175.45 and 3,523.45 units outstanding at September 30, 2011 and December 31, 2010, respectively)		14,472,229		12,502,381

Total partners’ capital		550,784,652		456,218,363

Total liabilities and partners’ capital	$	567,342,894	$	482,619,755

MAN-AHL DIVERSIFIED I L.P.

(A Delaware Limited Partnership)

STATEMENTS OF FINANCIAL CONDITION (CONTINUED)


	September 30, 2011 (Unaudited)		December 31, 2010

NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST - CLASS A	$	3,359.00	$	3,471.25


NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST - CLASS A Series 2	$	3,466.02	$	3,548.32


NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST - CLASS B	$	3,359.00	$	3,471.26


NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST - CLASS B Series 2	$	3,466.03	$	3,548.33

See accompanying notes and attached financial statements of Man-AHL Diversified Trading Company L.P.

MAN-AHL DIVERSIFIED I L.P.

(A Delaware Limited Partnership)

STATEMENTS OF OPERATIONS (UNAUDITED)


	For the three months ended September 30,						For the nine months ended September 30,
	2011			2010			2011			2010

NET INVESTMENT LOSS ALLOCATED FROM MAN-AHL DIVERSIFIED TRADING COMPANY L.P.:
Interest income	$	153,179		$	163,692		$	625,943		$	439,336
Brokerage commissions		(221,557	)		(72,675	)		(931,569	)		(72,675	)
Other expenses		(262,987	)		(430,857	)		(659,355	)		(430,857	)

Net investment loss allocated from Man-AHL Diversified Trading Company L.P.		(331,365	)		(339,840	)		(964,981	)		(64,196	)


PARTNERSHIP EXPENSES:
Brokerage commissions		—			—			—			806,053
Management fees		3,955,337			2,945,280			11,087,354			8,589,537
Servicing fees		2,022,420			1,513,131			5,670,967			4,416,987
Administration fees		164,818			—			468,968			—
Professional fees		26,049			—			134,714			—
Other expenses		60,342			147,541			150,348			408,257

Total expenses		6,228,966			4,605,952			17,512,351			14,220,834


Net investment loss		(6,560,331	)		(4,945,792	)		(18,477,332	)		(14,285,030	)


REALIZED AND UNREALIZED GAINS (LOSSES) ON TRADING ACTIVITIES ALLOCATED FROM MAN-AHL DIVERSIFIED TRADING COMPANY L.P.:
Net realized trading gains on closed contracts		28,880,779			10,300,937			25,975,233			24,215,857
Net change in unrealized trading gains (losses) on open contracts		3,600,516			17,060,123			(21,367,461	)		26,222,475


Net gains on trading activities allocated from Man-AHL Diversified Trading Company L.P.		32,481,295			27,361,060			4,607,772			50,438,332


NET INCOME (LOSS)	$	25,920,964		$	22,415,268		$	(13,869,560	)	$	36,153,302


NET INCOME (LOSS) PER UNIT OF PARTNERSHIP INTEREST - CLASS A	$	160.25		$	174.96		$	(112.25	)	$	277.61


NET INCOME (LOSS) PER UNIT OF PARTNERSHIP INTEREST - CLASS A Series 2	$	175.69		$	188.36		$	(82.30	)	$	312.01


NET INCOME (LOSS) PER UNIT OF PARTNERSHIP INTEREST - CLASS B	$	160.24		$	174.96		$	(112.26	)	$	277.61


NET INCOME (LOSS) PER UNIT OF PARTNERSHIP INTEREST - CLASS B Series 2	$	175.68		$	188.35		$	(82.30	)	$	312.01

See accompanying notes and attached financial statements of Man-AHL Diversified Trading Company L.P.

MAN-AHL DIVERSIFIED I L.P.

(A Delaware Limited Partnership)

STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL (UNAUDITED)

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2011 AND 2010


	CLASS A											CLASS A Series 2						CLASS B						CLASS B Series 2						TOTAL
	Limited Partners						General Partner					Limited Partners						Limited Partners						Limited Partners
	Amount			Units			Amount			Units		Amount			Units			Amount			Units			Amount			Units			Amount			Units
PARTNERS’ CAPITAL
January 1, 2011	$	309,889,356			89,273		$	646,951			186	$	52,289,913			14,737		$	80,889,762			23,303		$	12,502,381			3,523		$	456,218,363			131,022

Subscriptions		103,610,568			30,985			—			—		12,168,337			3,560			35,352,524			10,511			3,515,000			1,034			154,646,429			46,090
Redemptions		(30,372,699	)		(9,119	)		—			—		(7,418,579	)		(2,148	)		(7,104,351	)		(2,139	)		(1,314,951	)		(382	)		(46,210,580	)		(13,788	)
Net loss		(9,812,386	)		—			(20,922	)		—		(1,065,453	)		—			(2,740,598	)		—			(230,201	)		—			(13,869,560	)		—


PARTNERS’ CAPITAL
September 30, 2011	$	373,314,839			111,139		$	626,029			186	$	55,974,218			16,149		$	106,397,337			31,675		$	14,472,229			4,175		$	550,784,652			163,324


PARTNERS’ CAPITAL
January 1, 2010	$	253,353,412			82,985		$	569,005			186	$	14,969,780			4,857		$	61,704,853			20,211		$	3,911,266			1,269		$	334,508,316			109,508

Subscriptions		42,262,497			13,689			—			—		45,996,056			14,895			12,381,105			3,994			8,961,706			2,900			109,601,364			35,478
Redemptions		(37,650,267	)		(12,043	)		—			—		(13,687,152	)		(4,341	)		(6,707,413	)		(2,145	)		(1,894,369	)		(619	)		(59,939,201	)		(19,148	)
Net income		23,908,297			—			51,739			—		5,023,961			—			6,097,793			—			1,071,512			—			36,153,302			—


PARTNERS’ CAPITAL
September 30, 2010	$	281,873,939			84,631		$	620,744			186	$	52,302,645			15,411		$	73,476,338			22,060		$	12,050,115			3,550		$	420,323,781			125,838

See accompanying notes and attached financial statements of Man-AHL Diversified Trading Company L.P.

MAN-AHL DIVERSIFIED I L.P.

(A Delaware Limited Partnership)

STATEMENTS OF CASH FLOWS (UNAUDITED)


	For the nine months ended September 30,
	2011			2010

CASH FLOWS FROM OPERATING ACTIVITIES:
Net (loss) income	$	(13,869,560	)	$	36,153,302
Adjustments to reconcile net (loss) income to net cash used in operating activities:
Purchases of Man-AHL Diversified Trading Company L.P.		(154,403,992	)		(109,601,364	)
Sales of investment in Man-AHL Diversified Trading Company L.P.		65,468,300			77,896,117
Net change in depreciation (appreciation) of investment in Man-AHL Diversified Trading Company L.P.		(3,642,791	)		(50,374,136	)
Changes in assets and liabilities:
Prepaids and other assets		(14,081	)		—
Management fees payable		227,410			166,774
Servicing fees payable		114,714			92,990
Accrued expenses		15,227			6,117
Payable to Man AHL Diversified II L.P.		(250,000	)		—


Net cash used in operating activities		(106,354,773	)		(45,660,200	)


CASH FLOWS FROM FINANCING ACTIVITIES:
Proceeds from subscriptions		146,926,659			110,229,150
Payments on redemptions		(48,441,311	)		(63,880,975	)


Net cash provided by financing activities		98,485,348			46,348,175


NET (DECREASE) INCREASE IN CASH		(7,869,425	)		687,975

CASH AND CASH EQUIVALENTS
Beginning of period		17,978,871			8,321,635


CASH AND CASH EQUIVALENTS
End of period	$	10,109,446		$	9,009,610

See accompanying notes and attached financial statements of Man-AHL Diversified Trading Company L.P.

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, 2011 and the results of its operations for the three and nine months ended September 30, 2011 and 2010. These financial statements present the results of interim periods and do not include all the disclosures normally provided in annual financial statements. It is suggested that these financial statements 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 for the year ended December 31, 2010. The December 31, 2010 information has been derived from the audited financial statements as of December 31, 2010.

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. 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-AHL (USA) Limited (the “Advisor”), a United Kingdom company, is the Partnership’s trading advisor. 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 United Kingdom public limited company that is listed on the London Stock Exchange. The General Partner oversees the operations and management of the Partnership. The General Partner is registered with the Commodity Futures Trading Commission (“CFTC”) as a commodity pool operator and commodity trading adviser and is a member of the National Futures Association (“NFA”) in such capacities. Man Investments Holdings Limited, a United Kingdom holding company that is part of Man Group plc, is the sole shareholder 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 (“FINRA”).

On January 28, 2008, the Partnership filed a registration statement on Form 10 with the Securities and Exchange Commission to register the Partnership’s units of limited partnership interests as required by Section 12(g) of the Securities Exchange Act of 1934, as amended.

Effective July 1, 2008, the Partnership issued a new class of units of limited partnership interests, Class B. Class B was created solely for retirement plan investors. The fee structure is identical to Class A.

On April 1, 2009, the Partnership added two new series of units: Class A Series 2 (“Class A-2”) and Class B Series 2 units (“Class B-2”). Except as described in Footnote 2 below, Class A-2 and Class B-2 units are identical to Class A and B units, respectfully.

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 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.

Investment in Man-AHL Diversified Trading Company L.P. — The Partnership’s investment in the Trading Company is valued at fair value at the Partnership’s proportionate interest in the net assets of the Trading Company. Investment transactions are recorded on a trade date basis. The performance of the Partnership is directly affected by the performance of the Trading Company. Attached are the financial statements of the Trading Company, which are an integral part of these financial statements. Valuation of investments held by the Trading Company is discussed in the notes to the Trading Company’s financial statements.

At September 30, 2011 and December 31, 2010, the Partnership owned 50,405 and 41,849 units, respectively, of the Trading Company. The Partnership’s aggregate ownership percentage of the Trading Company at September 30, 2011 and December 31, 2010 was 77.93% and 74.22%, respectively.

The Partnership is able to redeem its investment from the Trading Company on a monthly basis. As of September 30, 2011, the Partnership could redeem its investment without restriction at the month-end net asset value of the Trading Company that had been determined in accordance with Accounting Standards Codification (“ASC”) 946, “Financial Services — Investment Companies”. As a result, the Partnership categorizes its investment in the Trading Company as a Level 2 fair value measurement at September 30, 2011. The categorization of investments held by the Trading Company has been disclosed in the attached financial statements.

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 and Class B 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.

The Partnership pays a monthly servicing fee to MII in an amount equal to 0.1250% (1.5% annually) of the month-end Net Asset Value of Class A and Class B units. The Partnership also pays a monthly servicing fee to MII in an amount equal to 0.1042% (1.25% annually) of the month-end Net Asset Value of Class A-2 and Class B-2 units. For all classes of units, MII serves as the placement agent for the Partnership.

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.

The Trading Company utilizes MF Global, Inc. (“MFG”), JPMorgan Chase (“JPM”) and Credit Suisse to clear its futures trading activity. The Trading Company utilizes MFG UK, Royal Bank of Scotland (“RBS”) and JPM to clear its forward trading activity. At September 30, 2011, the Trading Company did not have any open forward contracts with MFG UK or JPM.

Cash and Cash Equivalents — Cash and cash equivalents include cash and short-term interest-bearing money market instruments with original maturities of 90 days or less, held with Citibank N.A. and JPMorgan Chase Bank, N.A.

3.	SUBSEQUENT EVENTS

On October 31, 2011, MF Global Holdings Ltd., the parent of MFG and MFG U.K., filed for Chapter 11 bankruptcy protection in the U.S. courts. As of the date of this filing, the General Partner believes the ultimate resolution of the bankruptcy proceedings should not have an adverse impact on the Partnership’s financial position or results of operations.

Man-AHL Diversified Trading Company L.P.

Financial Statements


STATEMENTS OF FINANCIAL CONDITION (a)			12
CONDENSED SCHEDULES OF INVESTMENTS (a)			13
STATEMENTS OF OPERATIONS (b)			14
STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL (c)			15
STATEMENTS OF CASH FLOWS (c)			16
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)			17

(a) At September 30, 2011 (unaudited) and December 31, 2010

(b) For the three months ended September 30, 2011 and 2010 (unaudited) and for the nine months ended September 30, 2011 and 2010 (unaudited)

MAN-AHL DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2011 (Unaudited)		December 31, 2010
ASSETS

Equity in futures and forwards trading accounts:
Net unrealized trading gains on open futures contracts	$	10,598,329	$	9,571,147
Net unrealized trading gains on open forward contracts		—		21,364,480
Due from brokers		56,970,552		58,686,001

Total equity in futures and forwards trading accounts		67,568,881		89,621,628
Cash and cash equivalents		654,836,748		540,475,018
Interest receivable		742		36,230


TOTAL	$	722,406,371	$	630,132,876


LIABILITIES AND PARTNERS’ CAPITAL

LIABILITIES -
Redemptions payable	$	7,583,872	$	14,543,323
Accrued expenses		116,258		177,744
Net unrealized trading losses on open futures contracts		—		689,356
Net unrealized trading losses on open forward contracts		7,977,536		—


Total liabilities	$	15,677,666	$	15,410,423


PARTNERS’ CAPITAL:
Limited Partners (64,675.73 and 56,391.50 units outstanding at September 30, 2011 and December 31, 2010, respectively)		706,728,705		614,722,453


Total partners’ capital		706,728,705		614,722,453


TOTAL	$	722,406,371	$	630,132,876


NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST	$	10,927.26	$	10,900.98

See notes to financial statements.

MAN-AHL DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

CONDENSED SCHEDULES OF INVESTMENTS


	September 30, 2011 (Unaudited)						December 31, 2010
	Fair Value			Percent of Partners’ Capital			Fair Value			Percent of Partners’ Capital
FUTURES CONTRACTS - Long:
Agricultural	$	10,367			—	%	$	5,626,475			0.9	%
Currencies		(514,598	)		(0.1	)		638,070			0.1
Energy		—			—			1,699,258			0.3
Indices		270			—			95,256			—
Interest rates		4,641,180			0.7			1,236,385			0.2
Metals		(1,881,964	)		(0.3	)		5,808,889			0.9

Total futures contracts - long		2,255,255			0.3			15,104,333			2.4


FUTURES CONTRACTS - Short:
Agricultural		3,425,945			0.5			(932,741	)		(0.2	)
Currencies		325,549			0.1			(379,596	)		(0.1	)
Energy		3,538,406			0.5			(2,084,102	)		(0.3	)
Indices		705,194			0.1			11,028			—
Interest rates		142,807			—			(1,523,235	)		(0.2	)
Metals		205,173			—			(1,313,896	)		(0.2	)

Total futures contracts - short		8,343,074			1.2			(6,222,542	)		(1.0	)


NET UNREALIZED TRADING GAINS ON OPEN FUTURES CONTRACTS	$	10,598,329			1.5	%	$	8,881,791			1.4	%


FORWARD CONTRACTS - Long:
Australian dollars	$	(12,925,189	)		(1.8	)%	$	10,399,197			1.7	%
British pounds		(3,641,938	)		(0.5	)		(2,320,050	)		(0.4	)
Euro		(17,850,356	)		(2.5	)		(2,149,012	)		(0.3	)
Gold bullion		(3,210,445	)		(0.5	)		696,099			0.1
Japanese yen		(1,215,218	)		(0.2	)		5,081,396			0.8
New Zealand dollars		(4,100,869	)		(0.6	)		—			—
Other		(49,604,454	)		(7.0	)		19,196,259			3.1

Total forward contracts - long		(92,548,469	)		(13.1	)		30,903,889			5.0


FORWARD CONTRACTS - Short:
Australian dollars		8,224,247			1.2			(6,271,270	)		(1.0	)
British pounds		4,811,778			0.7			4,960,113			0.8
Euro		27,040,216			3.8			7,075,561			1.2
Gold bullion		967,036			0.1			—			—
Japanese yen		552,452			0.1			(4,104,581	)		(0.7	)
New Zealand dollars		3,140,319			0.4			(722,218	)		(0.1	)
Other		39,834,885			5.7			(10,477,014	)		(1.7	)

Total forward contracts - short		84,570,933			12.0			(9,539,409	)		(1.5	)


NET UNREALIZED TRADING (LOSSES) GAINS ON OPEN FORWARD CONTRACTS	$	(7,977,536	)		(1.1	)%	$	21,364,480			3.5	%


NET UNREALIZED TRADING GAINS ON OPEN CONTRACTS	$	2,620,793			0.4	%	$	30,246,271			4.9	%

See notes to financial statements.

MAN-AHL DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

STATEMENTS OF OPERATIONS (UNAUDITED)


	For the three months ended September 30,						For the nine months ended September 30,
	2011			2010			2011			2010

NET INVESTMENT INCOME:
Interest income	$	197,396		$	95,971		$	815,475		$	437,579


EXPENSES
Brokerage commissions		285,550			1,707,667			1,217,148			1,707,667
Interest expense - brokers		287,893			—			701,192			—
Professional fees		46,936			—			140,808			—
Administration fees		2,500			—			7,500			—
Other expenses		2,601			95,925			7,239			95,925

Total expenses		625,480			1,803,592			2,073,887			1,803,592


NET INVESTMENT LOSS		(428,084	)		(1,707,621	)		(1,258,412	)		(1,366,013	)


NET REALIZED AND UNREALIZED GAINS (LOSSES) ON TRADING ACTIVITIES:
Net realized trading gains on closed contracts		37,076,612			14,082,823			33,474,480			33,117,028
Net change in unrealized losses on translation of foreign currency		(2,394,443	)		—			(559,628	)		—
Net change in unrealized trading gains (losses) on open contracts		7,385,578			23,368,845			(27,625,478	)		36,221,662


NET GAIN ON TRADING ACTIVITIES		42,067,747			37,451,668			5,289,374			69,338,690


NET INCOME	$	41,639,663		$	35,744,047		$	4,030,962		$	67,972,677


NET INCOME FOR A UNIT OF PARTNERSHIP INTEREST	$	642.62		$	635.71		$	26.28		$	1,184.44

See notes to financial statements.

MAN-AHL DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL (UNAUDITED)

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2011 AND 2010


	Limited Partners			General Partner		Total

PARTNERS’ CAPITAL - January 1, 2011	$	614,722,453		$	—	$	614,722,453

Issuance of 16,455 units of limited partnership interest		175,368,684			—		175,368,684
Redemption of 8,171 units of limited partnership interest		(87,393,394	)		—		(87,393,394	)
Net Income		4,030,962			—		4,030,962


PARTNERS’ CAPITAL - September 30, 2011	$	706,728,705		$	—	$	706,728,705


PARTNERS’ CAPITAL - January 1, 2010	$	491,274,980		$	—	$	491,274,980

Issuance of 12,360 units of limited partnership interest		114,786,696			—		114,786,696
Redemption of 10,305 units of limited partnership interest		(98,026,034	)		—		(98,026,034	)
Net Income		67,972,677			—		67,972,677


PARTNERS’ CAPITAL - September 30, 2010	$	576,008,319		$	—	$	576,008,319

See notes to financial statements.

MAN-AHL DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

STATEMENTS OF CASH FLOWS (UNAUDITED)


	For the nine months ended September 30,
	2011			2010
CASH FLOWS FROM OPERATING ACTIVITIES:
Net income	$	4,030,962		$	67,972,677
Adjustments to reconcile net income to net cash provided by operating activities:
Net change in unrealized trading losses (gains) on open contracts		27,625,478			(36,221,662	)
Changes in assets and liabilities:
Due from brokers		1,715,449			14,957,001
Interest receivable		35,488			(3,703	)
Accrued expenses		(61,486	)		95,925


Net cash provided by operating activities		33,345,891			46,800,236


CASH FLOWS FROM FINANCING ACTIVITIES:
Proceeds from subscriptions		175,368,684			114,786,696
Payments on redemptions		(94,352,845	)		(177,419,698	)


Net cash provided by (used in) financing activities		81,015,839			(62,633,002	)


NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS		114,361,730			(15,832,766	)

CASH AND CASH EQUIVALENTS
Beginning of period		540,475,018			497,103,543


CASH AND CASH EQUIVALENTS
End of period	$	654,836,748		$	481,270,777

See notes to financial statements.

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, 2011 and the results of its operations for the three and nine months ended September 30, 2011 and 2010. These financial statements present the results of interim periods and do not include all the disclosures normally provided in annual financial statements. It is suggested that these financial statements 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, 2010. The December 31, 2010 information has been derived from the audited financial statements as of December 31, 2010.

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. Man Investments (USA) Corp. (the “General Partner”), a Delaware corporation, serves as the Trading Company’s general partner. The General Partner is a registered investment adviser and is a subsidiary of Man Group plc, a United Kingdom public limited company that is listed on the London Stock Exchange. The General Partner oversees the operations and management of the Trading Company. The General Partner is registered with the Commodity Futures Trading Commission (“CFTC”) as a commodity pool operator and commodity trading adviser and is a member of the National Futures Association (“NFA”) in such capacities.

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., Man-AHL Diversified II L.P., and Man-AHL Diversified L.P., are limited partnerships whose general partner is the General Partner. Man-AHL Diversified L.P. fully redeemed from the Trading Company as of December 31, 2009 and transferred a portion of the assets to Man-AHL Diversified I L.P. on January 1, 2010.

Man-AHL (USA) Limited (the “Advisor”), a limited liability company incorporated in the United Kingdom, acts as 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 CFTC as a commodity pool operator and commodity trading advisor, and is a member of the NFA in such capacities, in addition to registration with the Financial Services Authority in the United Kingdom. On April 21, 2008, the Trading Company engaged Man Investments Limited, a company organized under the Laws of the United Kingdom, to manage the foreign currency forward component of the AHL Diversified Program, at no additional cost to the Trading Company. The personnel of Man Investments Limited responsible for implementing the foreign currency forwards trading component of the AHL Diversified Program on behalf of the Trading Company are the same as those of the Advisor who implement the AHL Diversified Program.

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

Due From Brokers — Due from brokers consists of balances due from MF Global, Inc. (“MFG”), Credit Suisse (“CS”), JPMorgan Chase (“JPM”) and Royal Bank of Scotland (“RBS”). In general, the brokers pay the Trading Company interest monthly, based on agreed upon rates, on the Trading Company’s average daily balance.

Amounts due from brokers include cash held at brokers and cash posted as collateral. Included in due from broker on the statements of financial condition is $51,071,867 and $11,382,084 of cash restricted as collateral held as of September 30, 2011 and December 31, 2010, respectively.

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 contracts and forward contracts. 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 current market quotations provided by brokers.

Realized and unrealized changes in fair values are included in realized and unrealized gains and losses on investments and foreign currency transactions in the statements of operations. All trading activities are accounted for on a trade-date basis.

Cash and Cash Equivalents — Cash and cash equivalents include cash and short-term interest-bearing instruments with original maturities of 90 days or less, held with Citibank N.A., JPMorgan Chase Bank, N.A. and Bank of America.

Recent Accounting Pronouncements

In May 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards (“IFRS”)” (“ASU 2011-04”). ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRS. ASU 2011-04 will require reporting entities to disclose quantitative information about the unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Levels 1 and 2 of the fair value hierarchy. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. Management is currently evaluating the implications of ASU 2011-04 and its impact on the financial statements has not yet been determined.

3.	PARTNERSHIP AGREEMENT

The Advisor is the sole trading advisor to the Trading Company.

The General Partner and limited partners share in the profits and losses of the Trading Company in proportion to the number of units or unit equivalents 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 nine months ended September 30, 2011 and year ended December 31, 2010.

Distributions (other than redemption of units), if any, are made on a pro rata basis at the sole discretion of the General Partner.

Prior to July 1, 2010, expenses incurred by the Trading Company were not reflected in the financial reporting of the Trading Company but were allocated pro-rata among the investors in the Trading Company and reflected directly in the financial reporting of the limited partners. These expenses included, but were not limited to, all costs relating to trading activity, such as brokerage commissions, management and incentive fees, continuing offering expenses and legal, audit, and tax return preparation fees. Effective July 1, 2010, expenses incurred by the Trading Company were reflected in the financial reporting of the Trading Company. As these amounts had previously been recovered through investor redemptions, there was no impact on partners’ capital as of September 30, 2011 as a result of the change.

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 net asset value per unit on 10 days prior written notice to the General Partner. The General Partner may suspend redemptions of units of the Trading Company only 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 segregates its investments into three levels based upon the inputs used to derive the fair value. “Level 1” investments use inputs from unadjusted quoted prices from active markets. “Level 2” investments reflect inputs other than quoted prices, but use observable market data. “Level 3” investments are valued using unobservable inputs. These unobservable inputs for “Level 3” investments reflect the Trading Company’s assumption about the assumptions market participants would use in pricing the investments. Future contracts are valued based on quoted prices from the exchange and are categorized as Level 1 investments in the fair value hierarchy. Forward contracts are valued at fair value using independent pricing services and are categorized as Level 2 investments in the fair value hierarchy. As of September 30, 2011 and December 31, 2010, the Trading Company did not have any positions categorized as “Level 3” investments in the fair value hierarchy.

		$0,000,000,00,			$0,000,000,00,		$0,000,000,00,			$0,000,000,00,
				Fair Value Measurements
Description	Fair Value as of September 30, 2011			Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Other Unobservable Inputs (Level 3)

Net unrealized trading gains on open futures contracts¹	$	10,598,329		$	10,598,329	$	—		$	—
Net unrealized trading losses on open forward contracts ²		(7,977,536	)		—		(7,977,536	)		—


Total	$	2,620,793		$	10,598,329	$	(7,977,536	)	$	—

		$0,000,000			$0,000,000			$0,000,000		$0,000,000
				Fair Value Measurements
Description	Fair Value as of December 31, 2010			Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)

Net unrealized trading gains on open futures contracts ¹	$	9,571,147		$	9,571,147		$	—	$	—
Net unrealized trading losses on open futures contracts ¹		(689,356	)		(689,356	)		—		—
Net unrealized trading gains on open forwards contracts ²		21,364,480			—			21,364,480		—


Total	$	30,246,271		$	8,881,791		$	21,364,480	$	—

¹	Please see Condensed Schedule of Investments for risk classification.

²	Please see Condensed Schedule of Investments for currency classification.

The Trading Company’s policy is to disclose significant transfers between fair value hierarchy levels based on valuations at the end of each reporting period. There were no significant transfers between Levels 1, 2 or 3 as of September 30, 2011 based on levels assigned on December 31, 2010.

5.	DERIVATIVE TRANSACTIONS

The investment objective of the Trading Company is achieved by participation in the AHL Diversified Program directed on behalf of the Trading Company by Man-AHL (USA) Limited. The AHL Diversified Program is a futures and forward 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, options on the foregoing, exchanges of futures for physical transactions and other investments on domestic and international exchanges and markets (including the interbank and OTC markets). The AHL Diversified Program trades globally in several market sectors, including, without limitation, currencies, bonds, energies, stocks indices, interest rates, metals and agriculture.

All 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 predefined 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.

The Trading Company utilizes MFG, JPM and CS to clear its futures trading activity. As of September 30, 2011, the portion of net unrealized gains attributed to MFG, JPM and CS was $101,699, $4,701,497 and $5,795,133, respectively.

The Trading Company utilizes MF Global UK Ltd. (“MFG UK”), RBS and JPM to clear its forward trading activity. At September 30, 2011, the Trading Company did not have any open forward contracts with MFG UK or JPM.

During the quarter ended September 30, 2011, the Trading Company traded 88,754 exchange-traded future contracts and settled 46,923 OTC forward contracts. During the nine month period ended September 30, 2011, the Trading Company traded 453,324 exchange-traded future contracts and settled 181,988 OTC forward contracts. During the quarter ended September 30, 2010, the Trading Company traded 125,885 exchange-traded future contracts and settled 66,859 OTC forward contracts. During the nine month period ended September 30, 2010, the Trading Company traded 310,435 exchange-traded future contracts and settled 165,044 OTC forward contracts.

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 in the statements of operations.

Credit risk arises from the potential inability of counterparties to perform in accordance with the terms of the contract. The credit risk from counterparty non-performance associated with these instruments is the net unrealized trading gain, if any, included in the statements of financial condition. Forward contracts are entered into on an arm’s-length basis with MFG UK, RBS and JPM. As required by the Derivative Instruments and Hedging Topic of the FASB Accounting Standards Codification, the Trading Company’s accounting policy is such that open contracts with the same counterparty are netted at the account level, in accordance with master netting arrangements in place with each party, as applicable. Netting is effective across products and cash collateral when so specified in the applicable netting agreement. At September 30, 2011 and December 31, 2010, estimated credit risk with regard to forward contracts was $0 and $21,364,480, respectively.

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

The following table presents the fair value of the Trading Company’s derivative instruments and statement of financial condition location.


	September 30, 2011 (Unaudited)
Primary Risk Exposure	September 30, 2011 (Unaudited)
	Asset Derivatives			Liability Derivatives
	Statement of Financial Condition	Fair Value *		Statement of Financial Condition	Fair Value *
Open forward contracts	Gross unrealized trading gains on open forward contracts	$	86,324,526	Gross unrealized trading losses on open forward contracts	$	(94,302,062	)
Open futures contracts	Gross unrealized trading gains on open futures contracts			Gross unrealized trading losses on open futures contracts
Agricultural			3,473,457			(37,145	)
Currencies			484,394			(673,443	)
Energy			3,543,646			(5,240	)
Indices			1,993,774			(1,288,310	)
Interest rates			5,556,372			(772,385	)
Metals			205,186			(1,881,977	)

			15,256,829			(4,658,500	)

Total Derivatives		$	101,581,355		$	(98,960,562	)


	December 31, 2010
	Asset Derivatives			Liability Derivatives
	Statement of Financial Condition	Fair Value *		Statement of Financial Condition	Fair Value *

Open forward contracts	Net unrealized trading gains on open forward contracts	$	62,605,106	Net unrealized trading losses on open forward contracts	$	(41,240,626	)
Open futures contracts	Net unrealized trading gains on open futures contracts	$	17,407,051	Net unrealized trading losses on open futures contracts	$	(8,525,260	)

Total Derivatives		$	80,012,157		$	(49,765,886	)

Open forward and future contracts are presented on the gross basis for the purposes of the tables above. Net unrealized trading gains and losses are netted by counterparty and presented in the statements of financial condition in accordance with U.S. generally accepted accounting principles related to the right of offset under FASB ASC 210, Balance Sheet.

The following table presents the impact of derivative instruments on the statements of operations. The Trading Company did not designate any derivatives as hedging instruments for the three and nine months ended September 30, 2011 and 2010.


	Location of loss or gain recognized in income on derivatives	For the three months ended September 30,					For the nine months ended September 30,
		2011 (Unaudited)			2010 (Unaudited)		2011 (Unaudited)			2010 (Unaudited)
		Gain (Loss) on derivatives			Gain (Loss) on derivatives		Gain (Loss) on derivatives			Gain (Loss) on derivatives

Forward contracts	Net realized trading (losses) gains on closed contracts	$	(11,967,634	)	$	1,929,282	$	2,497,260		$	14,038,346
	Net change in unrealized trading (losses) gains on open contracts		(7,419,011	)		14,067,483		(29,342,016	)		20,523,232

Futures contracts	Net realized trading (losses) gains on closed contracts					12,153,541					19,078,682
Agricultural			(8,055,436	)				(4,784,649	)
Currencies			17,174,774					17,538,017
Energy			(8,166,295	)				(19,090,381	)
Indices			2,602,033					(22,075,942	)
Interest rates			46,726,473					57,819,591
Metals			(1,237,303	)				1,570,584
	Net change in unrealized trading gains (losses) on open contracts					9,301,362					15,698,430
Agricultural			2,886,828					(1,257,423	)
Currencies			(415,080	)				(447,523	)
Energy			5,935,956					3,923,250
Indices			1,541,406					599,181
Interest rates			5,482,383					5,070,837
Metals			(626,904	)				(6,171,784	)

Net gain on derivatives		$	44,462,190		$	37,451,668	$	5,849,002		$	69,338,690

6.	SUBSEQUENT EVENTS

On October 31, 2011, MF Global Holdings Ltd., the parent of MFG and MFG U.K., filed for Chapter 11 bankruptcy protection in the U.S. courts. As of the date of this filing, the General Partner believes the ultimate resolution of the bankruptcy proceedings should not have an adverse impact on the Trading Company’s financial position or results of operations.

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 speculative managed futures fund which trades 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 Man-AHL (USA) Limited (the “Advisor”). The AHL Diversified Program is a futures and forward price trend-following trading system, entirely quantitative in nature, and implements trading positions on the basis of statistical analyses of past price histories. 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 futures 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 JPMorgan Chase Bank, N.A. and Citibank, N.A. 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 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 31, 2011.

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, 2011:


		30-Sep-11
Ending Equity		$550,784,652

Nine months ended September 30, 2011:

Net assets increased $94,566,289 for the nine months ended September 30, 2011. This increase was attributable to subscriptions in the amount of $154,646,429, redemptions in the amount of $46,210,580 and a net loss from operations of $13,869,560.

Management Fees of $11,087,354 and servicing fees of $5,670,967 were paid or accrued, and interest of $625,943 was earned or accrued on the Partnership’s cash and cash equivalent investments, for the nine months ended September 30, 2011.

The Partnership’s administration, professional, and other expenses paid or accrued for the nine months ended September 30, 2011 were $754,030.

Three months ended September 30, 2011:

Net assets increased $50,068,193 for the three months ended September 30, 2011. This increase was attributable to subscriptions in the amount of $37,857,581, redemptions in the amount of $13,710,352 and a net gain from operations of $25,920,964.

Management Fees of $3,955,337 and servicing fees of $2,022,420 were paid or accrued, and interest of $153,179 was earned or accrued on the Partnership’s cash and cash equivalent investments, for the three months ended September 30, 2011.

The Partnership’s administration, professional, and other expenses paid or accrued for the three months ended September 30, 2011 were $251,209.

Three months ended September 30, 2011:

Gains in July were largely driven by a general long exposure to bonds and interest rates. In bonds, long positions in US Treasuries were the largest positive contributors as prices rallied on a series of weaker-than-expected economic data releases and worries over the US credit profile, which together drove a surge in safe-haven demand. Previous market trends resulted in the AHL Diversified Program entering August generally positioned long ‘safe havens’ and short ‘risk assets,’ positions that performed strongly over the first four weeks of the period. The AHL Diversified Program incurred a loss for September as profits from long bonds and short stocks were offset by trading in the metal and currency sectors.

In fixed income, both US and European government bonds led performance in August as prices rallied on subdued economic data which heightened expectations of prolonged low interest rates in the US and the prospect of rate cuts in the Eurozone. While a brief surge in risk appetite mid-month led these positions to incur some losses, gains were quickly clawed back as the mood turned sour after investors refocused their attention on the threat of a Greek default. Fixed income trading provided the vast bulk of August’s performance as large inflows into fixed income markets benefited the AHL Diversified Program’s predominately long exposure to bonds and interest rates. Profits in these sectors was largely a function of sector performance and positioning, however, the US credit downgrade did little to discourage the take up of US national debt and holding US Treasuries was the standout trade for the AHL Diversified Program in August.

In currencies, short US dollar positions were the main driver behind returns in July as positions were rewarded as events in the US brought the currency’s status as a safe haven asset into question and risk-wary investors fled to the safety of alternative currencies. Currency trading provided the only notable loss as a sector in August. Position whipsawing had a detrimental effect, with more or less all positions suffering from one extent to the other, while on a theme basis short US dollar pairs were responsible for the lion’s share of the loss as the currency rallied on safe haven buying. Losses came from the currencies sector in September as long positions in the commodity-linked Australian dollar were particularly impacted after underlying raw material prices fell while investors increasingly shunned ‘risk’ assets.

Commodity trading contributed positively in July and August, as long exposure to metals, particularly precious metals, drove gains over the month. Most notably, in terms of performance drivers, gold rallied and soared to new all-time highs. The metals sector detracted from returns in September as long positions in gold and silver, which had previously secured strong gains, weighed on performance. Precious metals pulled back as investors moved to cash to cover losses in other markets while news that the Chicago Mercantile Exchange had increased its collateral requirements further impacted prices. As a result, gold fell 11.1 % over the month whilst silver plummeted around 28% reflecting its more tenuous safe-haven status due to its usage in industrial processes and resulting reliance on industrial metal demand. Additional losses came from the currencies sector as long positions in the commodity-linked Australian dollar were particularly impacted after underlying raw material prices fell while investors increasingly shunned ‘risk’ assets.

Short exposure to stock indices added to positive performance in August and September. Short positions in European and Asian indices supplied some of the larger gains but contributions came from a wide contract base. In September, indications of a slowdown in China impacted the economic outlook for the region. Particular strong returns were accrued from short positions in the Hang Seng as the index fell over 14% for September.

Three months ended June 30, 2011:

Net assets increased $25,484,992 for the three months ended June 30, 2011. This increase was attributable to subscriptions in the amount of $55,881,888, redemptions in the amount of $20,156,227 and a net loss from operations of $10,240,660.

Management Fees of $3,741,534 and servicing fees of $1,912,712 were paid or accrued, and interest of $223,683 was earned or accrued on the Partnership’s cash and cash equivalent investments, for the three months ended June 30, 2011.

The Partnership’s other expenses paid or accrued for the three months ended June 30, 2011 were $260,587.

Currency trading drove performance in April, with short USD trades the main source of profits. Long commodity linked and emerging market currencies against the dollar tended to be the top performers as improved optimism over global growth and elevated commodity prices rallied demand for their higher yielding/ higher risk properties. Currency trading produced losses in May, mainly as a result of short U.S. dollar trades. The dollar rose 2.1% (on a trade weighted basis) over the month as an increase in investor risk aversion boosted demand for its relative safe haven. Short USD positions continued to come under pressure in June.

Exposure to commodities generated gains during April as the weakened U.S. dollar proved supportive to raw material prices. Long positions in precious metals such as gold and silver secured the strongest gains as both rallied 9.2% and 27.2% respectively after investors fretted over rising inflation and continued tensions in the Middle East North Africa region. Commodity trading posted some of the larger losses in

May, largely due to a general long exposure held across the sector. In energies, long crude oil positions posted some of the heavier losses in May after prices suffered one of their largest one-day falls on record as fears over future global growth prompted a massive unwinding of positions. Trading, on both the long and short side, of natural gas also caused losses as positions where whipsawed over the month. In metals, long positions in precious metals struggled as silver slumped -19.6% after exchanges hiked margin requirements and the U.S. dollar rallied. Commodities also detracted returns in June with the majority of losses attributed to the energy sector. Long natural gas contracts proved particularly troublesome as prices pulled back from near-term highs, falling over 6%, after moderating temperatures in the U.S. reduced the outlook for demand. Further negative performance in June came from long crude oil positions after prices moved over 7% lower on news that the IEA had unexpectedly released extra oil supplies from their strategic reserves.

Amid the upbeat market sentiment in April, a general long exposure to equities proved profitable. Stock trading ended May down, however, with long positions in European based indices posting the largest losses. A general long exposure across regions that was the main cause of losses in the sector. The stock sector also ended June down as worries over future growth saw investors shun their riskier assets. The majority of losses were attributed to long positioning, particularly in the U.S., as concerns over future growth in light of weaker-than-expected economic releases weighed on prices.

Losses were incurred in April by the bond sector. Exposure to Australian bonds proved particularly troublesome as volatile prices led to whipsawing positions and weighed on returns. In May, offsetting losses from “pro-risk” positions were strong profits from long positions in bond and interest rate markets. Prices rallied during the month as future growth concerns and sovereign debt contagion fears led to an increase in “safe haven” demand. Similar to May, losses were partially offset in June by a general long exposure to bonds and short-term interest rates sectors. Prices continued to move higher as future growth concerns combined with sovereign debt worries led to a further increase in “safe haven” demand. As a result, positive performance was driven by long European government bonds while Short Sterling contracts also proved beneficial as investors bet on prolonged low interest rates and the possibility of another round of quantitative easing.

Three months ended March 31, 2011:

On the fixed income side, losses came from long positions in European bonds and U.S. Treasuries in January. European bonds fell largely on diminished sovereign debt fears, while U.S. Treasuries fell over the period due to positive economic news. Bonds rallied in March, benefiting long holdings of gold and silver but negatively impacting short bond positions. The main detractors were Japanese and Australian bonds, U.S. Treasuries and UK Gilts.

Returns from trading in the metal sector were mixed in January, but clearly defined between precious and industrial metals. Upbeat sentiment generally led to a fall in precious metals and a rise in industrial metals. As such long positions in gold and silver suffered, while long positions in nickel and copper profited. Long exposure to both base and precious metals were the main drivers of returns in February. The price of silver rose by 20.8% and generated the largest gains. Gold further added to returns as geopolitical tensions resulted in a flight to quality and general inflation worries pushed prices higher. Precious metals rallied in March, benefiting long holdings of gold and silver.

Trading in agricultural markets generated profits in January. Interestingly, long lean hog positions were the leading performers in the sector as prices were pushed higher by supply constraints, rising demand and rising production costs. Further profits came from long cotton and wheat trades over the month as the two commodities continued their upward climb. In February, long positions in a variety of agricultural contracts also proved positive as rising demand and falling supplies continued to boost prices. Agriculturals posted losses in March as prices sold off on generic risk reduction.

Energy trading produced losses in January, and returns were driven almost entirely by short natural gas positions. Although prices only rose moderately overall, largely on cold weather forecasts, prices were highly volatile and as such made it difficult to hold a consistently sized position. In February, energy profits were driven by short positions in natural gas as prices dropped following forecasts of warmer-than-expected U.S. weather, which lowered expectations for demand. Energy trading was mixed in March, as long crude oil positions offset losses from short natural gas, with oil prices advancing on Libyan violence and natural gas prices advancing on nuclear power safety fears.

Strong economic data and corporate earnings lifted global equities in February. Long positions in the Topix generated the largest individual gain as positive corporate earnings allowed the Japanese market to outperform other regions, additionally long exposure to the Hang Seng and broadly long holdings of European indices further contributed to positive performance. However, midmonth, the escalation of political turmoil in Egypt and Libya led to increased demand for “safe haven” assets. The unexpected nature of March’s events disrupted the AHL Diversified Program’s identified trends. The program experienced losses from long stock positions as a result of a sharp post-earthquake sell off in prices.

Currency trading accounted for the bulk of negative returns in January. Losses came primarily from short USD, EUR and GBP positions. In February, returns were generated by currency trading, where an appreciation in the Australian dollar supplied the bulk of performance following hawkish rhetoric from the Reserve Bank of Australia. Gains in the sector were dampened by losses on both long and short JPY/USD trades as positions were whipsawed. Currency trading ended March with fairly flat performance. Short U.S. dollar positions generated small gains, but it was euro based positions that had the most impact on performance.

Periods Ended September 30, 2010:


		30-Sep-10
Ending Equity		$420,323,781

Three months ended September 30, 2010:

Net assets increased $27,809,740 for the three months ended September 30, 2010. This decrease was attributable to subscriptions in the amount of $14,978,971, redemptions in the amount of $9,584,499 and a net gain from operations of $22,415,268.

Management Fees of $2,945,280 and servicing fees of $1,513,131 were paid or accrued, and interest of $163,692 was earned or accrued on the Partnership’s cash and cash equivalent investments, for the three months ended September 30, 2010.

The Partnership’s other expenses paid or accrued for the three months ended September 30, 2010 were $147,541.

Nine months ended September 30, 2010:

Net assets increased $85,815,465 for the nine months ended September 30, 2010. This increase was attributable to subscriptions in the amount of $109,601,364, redemptions in the amount of $59,939,201 and a net gain from operations of $36,153,302.

Management Fees of $8,589,537 and servicing fees of $4,416,987 were paid or accrued, and interest of $439,336 was earned or accrued on the Partnership’s cash and cash equivalent investments, for the nine months ended September 30, 2010.

The Partnership’s other expenses paid or accrued for the nine months ended September 30, 2010 were $408,257.

Three months ended September 30, 2010:

Trading in the agriculturals sector proved rewarding over the third quarter, with the majority of long positions leading to gains. Long exposure to cotton, corn and wheat proved particularly beneficial. Long positions in cotton posted gains as prices rallied over the majority of the quarter, boosted by supply fears in Pakistan and India, the world’s fourth and second largest cotton producers. Long exposure to corn was also proved profitable, mainly in September, after prices jumped higher as early poor results from the US crop harvest combined with news that Russia would extend a grain export ban by nearly a year raised fears over supplies. Meanwhile, a long allocation to wheat proved favourable especially in August as a fall in supplies from major producers, such as Russia’s ban on grain exports due to severe drought and lower out put from Ukraine and Kazakhstan due to adverse weather conditions lifted wheat prices. However, some profits were trimmed by long cocoa positions as prices sold off sharply in July after investors started to question the reasons behind a surge which saw the commodity reach multi-decade highs.

Bond trading posted a strong performance over the period. The sector’s generally long positioning profited from the increased cautiousness among investors concerning the outlook for global economic growth. Long US Treasury positions produced standout gains as disappointing data releases in the US, notably Q2 GDP and US non-farm payroll data, highlighted the fragility of domestic growth. The growing negative outlook led to fears of a double dip, boosting safe-haven demand while rising speculation that the Federal Reserve would initiate another round of ‘quantitative easing’ further lent support to bond prices. Towards the end of the period, returning investor confidence meant long bond exposures suffered, handing back some of the earlier profits. Long positions in Australian bonds proved detrimental as strong domestic jobs data led to increasing speculation over further monetary tightening in Australia.

Trading in currency markets posted one of the stronger sector returns for the quarter as short US dollar positions dominated positive returns. The US dollar fell 6.7% on a trade weighted basis over the quarter as an increase in risk appetite and the prospect of monetary expansion weighed heavily on the currency. Profits were captured from a number of different short US dollar currency pairs, but the most notable return came from short US dollar positions against the Australian dollar. The Australian dollar rose 15.0% against the US dollar over the quarter as strong Australian economic data prompted speculation over near term rate rises in the country, in stark contrast to the situation in the US.

On the negative side, short euro positions suffered. The euro recovered 6.6% on a trade weighted basis following an easing of the sovereign debt worries that had plagued the European single currency over Q2. Short positions against both the US dollar and Japanese yen detracted from performance. Further losses came from both long and short positions in the Canadian dollar against the US dollar as range bound price movements meant that no clear trend emerged and positions were whipsawed.

The energy sector suffered negative performance over the third quarter. Losses were predominately due to short positions in crude oil. Larger-than-expected drawdown in inventories, hurricane fears and the weaker US dollar all combined with a rally in risk appetite to push prices higher. Natural Gas shorts were the only positive contributor across the period. Prices sunk in August following milder weather forecasts and as the threat of hurricanes in the Gulf of Mexico diminished. Natural gas gains were further offset by losses on both the long and short side in oil distillates as prices were volatile throughout the period.

Short-term interest rate trading was positive for the quarter. Early on, investors grew pessimistic over US data releases which highlighted the weakness of the domestic recovery and increased expectations for a continued period of ultra-low interest-rates. US interest-rate expectations were further priced down as concerns over the potential for a double-dip and fears of a deflationary shock, leading to strong gains for long Eurodollar contracts. Eurodollar positions proved the top performing contract for the programme as a whole, boosted further amid expectations of an easy monetary policy after the chairman of the Federal Reserve, Ben Bernanke, indicated that the US central bank was ready to stimulate the economy if necessary. On the negative side, Euribor positions were whipsawed as investors remained uncertain over the strength of the economic recovery, ultimately hurting on the long side towards the end of the period as the outlook improved.

Returns from metal market trading were dominated by gains from long positions, especially from precious metals. Gold prices rose due to concerns over a potential double-dip in the global economy and high levels of investor risk aversion. Gains from long silver positions were also attributed to the same set of influences. Later on, long exposure to precious metals continued to secure solid gains due to demand for their perceived ‘safe-haven’ status amid concerns over further quantitative easing’ activities in the US. Long exposure to industrial metals such as copper and tin added further gains as signs of improved domestic demand in China buoyed the outlook for demand.

Trading in equity markets sustained losses over Q3 as an uncertain outlook on the global economic recovery led to an environment of unstable trends as investor opinions swung from positive to negative at various times over the quarter. Short positions in the S&P500 and Nikkei 225 were among the main detractors to performance. On the positive side, long positions in emerging Asian indices posted good gains as the global economic recovery was viewed to be more on track in emerging markets.

Three months ended June 30, 2010:

The agriculturals sector posted a loss in the second quarter. There was no real underlying trend in the agriculturals sector as a whole, resulting in the majority of contracts being held both long and short at different times over the period. Long cotton positions were the leading detractors. Having risen over 50% in the past 12 months, cotton prices were more volatile in the quarter, largely moving between 5% up and 5% down, therefore causing a whipsawing of positions. Further losses came from cocoa and wheat positions. The AHL Diversified Program was unable to lock in gains related to positions on cocoa contracts as cocoa prices exhibited no stable trend in the quarter. Wheat positions were held short for the entire quarter and consequently suffered as wheat prices rallied on the back of supply concerns.

Bond market trading posted strong and consistent gains in the second quarter. Long positions in US, European and Japanese bonds proved particularly profitable as investors demand for “safe haven” assets surged amid fears that the global economic recovery would be hurt by the eurozone sovereign debt crisis. Data releases in the US, such as May’s private sector figures from the US non-farm payroll showing that only 41,000 jobs were created, also helped to rally bond prices as investors increasingly grew concerned over the fragility of the economic recovery. Japanese bonds also received a boost from increased investor confidence after the Japanese government pledged to balance its books within 10 years, restrict debt sales and overhaul the domestic tax system.

The currency sector produced mixed performances in the second quarter and ultimately posted a loss. The main detractors were long positions in commodity-linked and emerging market currencies against the US dollar, including trades such as long AUD/USD, CAD/USD, ZAR/USD and BRL/USD. With the onset of a higher level of investor risk aversion due to the European sovereign debt crisis and concerns over a global economic slowdown, currencies linked to higher growth rates faltered as investors fled from more risky assets in favor of “safe haven” currencies. For example the Australian dollar fell 8.3% versus the US dollar over the quarter while the US dollar rallied 4.5% on a trade-weighted basis. On the positive side, the dominating trade was short euro positions as the AHL Diversified Program capitalized on the Greek debt crisis and subsequent concerns over the future stability of the euro. Leading trades in this theme included short euro positions against the US dollar and Japanese yen as the euro fell 9.4% against the dollar and 14.3% against the yen. Other notable gains came from short British pound positions due to concerns over UK’s fiscal position and speculation that UK may have its credit rating cut as a result.

The energy sector posted a loss in the second quarter. Losses were predominantly due to short positions in natural gas as prices rose on forecasts of hot weather in the US and government predictions of an extremely active hurricane season later this year. As a result, demand increased while the outlook for supply dampened. Further losses were due to long positions in crude oil and other oil related products.

Prices of crude oil and other oil related products were negatively affected as fears over the future demand outlook on the back of sovereign debt issues in Europe weighed on investors and by signs of a slowdown in China’s economic growth towards the end of the quarter.

Trading in the interest rate sector produced profits in the second quarter. Short-term interest rate trading posted a profit as long positions in various contracts benefitted after sovereign debt issues and reduced future growth expectations raised speculation that interest rates around the globe were unlikely to be raised for a prolonged period of time. Long positions in Eurodollar proved particularly profitable as investors grew concerned over weaker-than-expected jobs data and comments from the Federal Reserve, highlighting their cautious outlook on the US economy. Long Euribor positions also generated strong gains as lingering sovereign debt issues in Europe continued to weigh on investor expectations for growth. Elsewhere, long positions in Short Sterling added gains due to worries that UK’s emergency budget, which proposed savage cuts to public spending, would pose a threat to UK’s economic recovery. As a result, prices rose as investors increasingly expected that the Bank of England would continue to keep UK interest rates at record lows in order to support the fragile recovery.

Metals trading ended the second quarter with a loss, despite a profitable start in April. The majority of long positions profited in April amid expectations that commodity demand from China will remain firm, as evidenced by China’s strong economic growth in the first quarter. However, the outlook for demand deteriorated in May following reports that China had implemented additional measures to cool its rapidly expanding economy. In particular, long positions in nickel and copper dragged on performance. While long positions in gold benefitted from continued demand for “safe haven” assets as investors increasingly took flight from the sovereign debt troubles in Europe, such risk aversion theme continued in June to the detriment of long base metal positions, with losses resulting from such positions outweighing the profits accrued from long gold positions.

Trading in stock indices posted a loss in the second quarter. The majority of long positions proved unprofitable over the quarter, led by Germany’s Dax, Japan’s Nikkei 225 and France’s CAC 40. Losses were more a function of marginal losses widely dispersed across a large number of contracts. Losses across the board indicated a broad global sell-off as investors shunned risky assets, sending stock prices steeply lower. In Europe, fears that the Greek debt debacle could repeat itself in other countries drove investors from local stock markets over the majority of the quarter. Meanwhile in Asia, stock indices largely took their direction from European markets. In particular, stocks in Japanese exporters fell due to concerns over the effect that the crisis will have on exports to the region. In June, the ongoing “risk on/risk off” environment proved troublesome with losses experienced on both the long and short side for the majority of contracts as the AHL Diversified Program failed to work around whipsawing equity prices. On the positive side, long positions in the Russell 2000 and short positions in S&P 500 managed to post modest gains over the quarter.

Three months ended March 31, 2010:

The agriculturals sector ended the first quarter relatively flat after significant gains generated from short wheat positions were offset by losses sustained mainly from long positions in cotton, soy, sugar, cocoa and coffee.

Bond market trading ended the quarter down as profitable positions in European bonds were offset by losses in US Treasuries and Japanese government bonds. In the case of European bonds, long positions were beneficial in January in particular as concerns rose on the back of Greece’s fiscal problems. 10-year European bond yields continued to edge downwards over February and March, ending the quarter 30bps lower. The directional nature of European bonds was in contrast to 10-year US Treasury yields which fluctuated in the range of 3.5% - 3.9%, the choppy nature causing losses on both the long and short positions. It was a similar scenario for trading in Japanese bonds; long positions posted losses at the beginning and end of the quarter as yields advanced.

The currency sector performed well over the period as several strong trends emerged. The general ‘risk on’ trade continued to produce returns as commodity linked currencies, most notably the Australian dollar, rose on the back of the general recovery theme. The Australian dollar was further buoyed as the Reserve Bank of Australia raised interest rates to the benefit of long positions against the US dollar. However, the majority of the sector’s returns were a function of the sovereign debt concerns in the eurozone. Fears over high levels of debt in Greece, but also Ireland, Spain, Italy and Portugal led to a substantial fall in the value of the euro and resulted in large profits from the program’s short euro positioning. Further profits accrued elsewhere in Europe with the British pound coming under pressure following a combination of poor economic data, general election concerns and comments from the Bank of England suggesting a potential expansion of the quantitative easing program. On the negative side, whipsawing of positions led losses in the euro:pound and yen:dollar currency pairs.

The energy sector posted a modest profit in the period. A large profit was made on the back of shorting natural gas as it dropped to below $4 MMBtu by the end of March. This was due to seasonal temperature rises and concerns over growing supply as US gas stocks rose for the first time this year with weekly inventories up 11bn cubic feet, slightly above consensus market forecasts. Trading in crude oil was far more difficult as prices proved volatile and positions whipsawed. Prices were negatively affected by the concerns over sovereign debt in Europe and the possibility of monetary tightening in China. However, they were also bolstered by more positive news from the eurozone at the end of the period as a financial support package for Greece was agreed upon.

Trading in the interest rate sector produced profits as long positions in Euribor, Eurodollar and Short Sterling contracts performed well amid rising prices. Euribor headed the group; interest rate expectations in the eurozone remained low as the region worked towards a solution to Greece’s debt issues. In addition, concerns over the economic performance of other member nations such as Portugal, Ireland and Spain indicated to investors that rates would need to remain low in order to support an economic recovery. In the US, comments by Federal Reserve officials reiterated that rates would remain low for an extended period, driving Eurodollar prices higher. Long trades in Short Sterling were also beneficial as the UK’s budget position, the possibility of further quantitative easing and a timid economic rebound lowered expectations of a near-term rate hike.

Metals trading ended the quarter relatively flat. In January, the majority of long exposures weighed on performance. Fears that potential increases in interest rates in China, US and other major economies and sovereign debt problems in Europe could negatively impact demand for resources capped the performance of metals. Gold prices fell sharply towards the end of January as its appeal as a hedge against a weakened US dollar lessened as the US currency firmed over the month. Despite continued weakness in gold prices in February and March, sentiment towards commodities generally improved as the period progressed, amid bouts of weakness in the US dollar which prompted a broad return to risky assets, leading to gains for some long metals positions, notably nickel.

The majority of stock positions were held long over the quarter. However, long positions proved to be slightly detrimental. Despite positive trading in US stocks, losses made in the European and Asian markets were significant enough to wipe out gains. European stocks suffered due to credit difficulties in Greece which rose to the fore in mid-January. Over the three months, fears over European countries’ ability to repay its sovereign debt spread to Portugal and Spain. As a result, European stocks fell, with the MSCI Europe losing 1.8% over the quarter. As for Asian stocks, Chinese stocks were particularly impacted by concerns over imminent monetary tightening in China and the possibility of a revaluation of the renminbi. The Hang Seng Index led losses in this period.

ITEM 3.

Quantitative and Qualitative Disclosures About Market Risk.

Not required.

ITEM 4.

Controls and Procedures.

The General Partner, with the participation of the General Partner’s Chief Executive Officer and Chief 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, 2011. Based on such evaluation, the Partnership’s Chief Executive Officer and Chief Financial Officer have concluded that the Partnership’s disclosure controls and procedures were effective as of the fiscal quarter ended September 30, 2011.

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, 2011 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 Advisor generally will engage in on behalf of the Partnership involve significant risks. Growing competition may limit the 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 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 Advisor might not be able to obtain execution of trades at favorable prices if little trading in the contracts which the 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 Advisor to realize gain 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 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.

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 CFTC or the relevant exchange.

All trading accounts owned or managed by the 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 Advisor could be required to liquidate futures positions at an unfavorable time in order to comply with such limits. However, the 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. Were this 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 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.

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 not traded on exchanges and are executed directly through forward contract dealers. 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.

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/over-the-counter 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 CEA 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 Are More Volatile Than Futures Contracts. The Advisor may trade options on futures. 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 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. The General Partner and Advisor will attempt to limit its transactions to well-capitalized and established brokers in an effort to mitigate such risks, although there can be no assurance that, in the event of the bankruptcy of any entity holding Trading Company or Partnership assets, that the Trading Company or Partnership, as the case may be, will recover all, or any, of its assets held at such entity.

Counterparty Risk. The Partnership will be subject to the risk of the inability of counterparties to perform with respect to 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 Advisor will attempt to limit transactions to counterparties, which are established, well-capitalized and creditworthy.

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds.

(a) Pursuant to the Partnership’s Limited Partnership Agreement, the Partnership may sell Units of Limited Partnership Interests (“Units”) as of the last business day of any calendar month or at such other times as the General Partner may determine. On July 31, 2011, August 31, 2011 and September 30, 2011, the Partnership sold Class A Units, exclusive of non-cash transfers, to existing and new Limited Partners in the amount of $6,814,079, $10,721,945 and $6,795,820, respectively. On July 31, 2011, August 31, 2011 and September 30, 2011, the Partnership sold Class A-2 Units, exclusive of non-cash transfers, to existing and new Limited Partners in the amount of $2,311,375, $715,000 and $877,000, respectively. On July 31, 2011, August 31, 2011 and September 30, 2011, the Partnership sold Class B Units, exclusive of non-cash transfers, to existing and new Limited Partners in the amount of $2,765,013, $3,251,842 and $2,158,505, respectively. On July 31, 2011, August 31, 2011 and September 30, 2011, the Partnership sold Class B-2 Units, exclusive of non-cash transfers, to existing and new Limited Partners in the amount of $671,000, $702,000 and $74,000, 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 2011:


	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:
July 31, 2011	$	2,063,261	$	976,523	$	1,220,652	$	306,474
August 31, 2011	$	2,539,067	$	1,025,210	$	1,366,594	$	0
September 30, 2011	$	2,754,708	$	505,482	$	584,888	$	367,490
TOTAL	$	7,357,036	$	2,507,215	$	3,172,134	$	673,964

Item 3.

Defaults upon Senior Securities.

None.

Item 4.

(Removed and Reserved).

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

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.

10.2		Form of Trading Advisor Agreement between Man-AHL Diversified I L.P., Man Investments (USA) Corp. and Man-AHL (USA) Limited.

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

The following exhibits are incorporated by reference herein from the exhibits of the same description and number filed on March 31, 2011, for the year ended December 31, 2010, with the Partnership’s Annual Report on Form 10-K.


4.2		Sixth Amended Limited Partnership Agreement of Man-AHL Diversified I L.P.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized on November 14, 2011.


Man-AHL Diversified I L.P. (Registrant)

By:		Man Investments (USA) Corp.
		General Partner

By:		/s/ JOHN BARBO
		President, Chief Executive Officer
		and Chief Operating Officer (Principal Executive Officer)

By:		/s/ JORDAN ALLEN
		Chief Financial Officer
		(Principal Financial and Chief Accounting Officer)

EXHIBIT INDEX


Exhibit Number		Description of Document

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

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

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