MAN AHL DIVERSIFIED I LP - Quarter Report: 2012 March (Form 10-Q)

MAN AHL DIVERSIFIED I LP - Quarter Report: 2012 March (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 March 31, 2012

¨	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. 452 5th Avenue New York, NY		10018
(Address of principal executive offices)		(Zip Code)

212-649-6600

(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 (b)			6
STATEMENTS OF CASH FLOWS (b)			7
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)			8

(a)	At March 31, 2012 (unaudited) and December 31, 2011

(b)	For the three months ended March 31, 2012 and 2011 (unaudited)

MAN-AHL DIVERSIFIED I L.P.

(A Delaware Limited Partnership)

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (Unaudited)		December 31, 2011
ASSETS

Investment in Man-AHL Diversified Trading Company L.P.	$	503,545,746	$	527,665,568

Due from Man-AHL Diversified Trading Company L.P.		17,186,079		9,299,201

Cash and cash equivalents		7,593,707		7,500,730

Total	$	528,325,532	$	544,465,499


LIABILITIES AND PARTNERS’ CAPITAL

LIABILITIES:
Redemptions payable	$	14,987,170	$	7,103,752
Subscriptions received in advance		7,593,707		7,500,435
Management fees payable		1,249,351		1,285,785
Servicing fees payable		637,600		656,891
Accrued expenses and other liabilities		311,958		252,773

Total liabilities		24,779,786		16,799,636


PARTNERS’ CAPITAL:
General Partner - Class A (186.37 unit equivalents outstanding at March 31, 2012 and December 31, 2011, respectively)		568,912		589,665
Limited Partners - Class A (112,396.09 and 112,536.96 units outstanding at March 31, 2012 and December 31, 2011, respectively)		343,092,658		356,053,748
Limited Partners - Class A Series 2 (14,709.30 and 15,832.05 units outstanding at March 31, 2012 and December 31, 2011, respectively)		46,622,614		51,848,998
Limited Partners - Class B (33,052.99 and 33,416.99 units outstanding at March 31, 2012 and December 31, 2011, respectively)		100,895,557		105,727,713
Limited Partners - Class B Series 2 (3,901.42 and 4,105.63 units outstanding at March 31, 2012 and December 31, 2011, respectively)		12,366,005		13,445,739

Total partners’ capital		503,545,746		527,665,863

Total liabilities and partners’ capital	$	528,325,532	$	544,465,499

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 FINANCIAL CONDITION (continued)


	March 31, 2012 (Unaudited)		December 31, 2011

NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST - CLASS A	$	3,052.53	$	3,163.88


NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST - CLASS A Series 2	$	3,169.60	$	3,274.94


NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST - CLASS B	$	3,052.54	$	3,163.89


NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST - CLASS B Series 2	$	3,169.62	$	3,274.95

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 March 31,
	2012			2011

NET INVESTMENT LOSS ALLOCATED FROM MAN-AHL DIVERSIFIED TRADING COMPANY L.P.:
Interest income	$	49,540		$	249,081
Brokerage commissions		(165,590	)		(416,280	)
Other expenses		(98,817	)		(136,373	)

Net investment loss allocated from Man-AHL Diversified Trading Company L.P.		(214,867	)		(303,572	)


PARTNERSHIP EXPENSES:
Management fees		3,817,444			3,390,483
Servicing fees		1,948,846			1,735,835
Administration fees		164,645			150,010
Professional fees		56,263			54,333
Other expenses		18,421			37,891

Total expenses		6,005,619			5,368,552


Net investment loss		(6,220,486	)		(5,672,124	)


REALIZED AND UNREALIZED GAINS (LOSSES) ON TRADING ACTIVITIES ALLOCATED FROM MAN-AHL DIVERSIFIED TRADING COMPANY L.P.:
Net realized trading gains (losses) on closed contracts		5,846,398			(8,007,087	)
Net change in unrealized trading losses on open contracts		(18,335,255	)		(15,870,644	)


Net losses on trading activities allocated from Man-AHL Diversified Trading Company L.P.		(12,488,857	)		(23,877,731	)


NET LOSS	$	(18,709,343	)	$	(29,549,855	)


NET LOSS PER UNIT OF PARTNERSHIP INTEREST - CLASS A	$	(111.35	)	$	(210.26	)


NET LOSS PER UNIT OF PARTNERSHIP INTEREST - CLASS A Series 2	$	(105.34	)	$	(204.46	)


NET LOSS PER UNIT OF PARTNERSHIP INTEREST - CLASS B	$	(111.35	)	$	(210.26	)


NET LOSS PER UNIT OF PARTNERSHIP INTEREST - CLASS B Series 2	$	(105.33	)	$	(204.46	)

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

FOR THE THREE MONTHS ENDED MARCH 31, 2012 and 2011 (UNAUDITED)


	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, 2012	$	356,053,748			112,537		$	589,665			186	$	51,848,998			15,832		$	105,727,713			33,417		$	13,445,739			4,106		$	527,665,863			166,078

Subscriptions		16,447,025			5,206			—			—		265,000			81			7,665,549			2,426			300,000			91			24,677,574			7,804
Redemptions		(16,624,083	)		(5,347	)		—			—		(3,849,899	)		(1,204	)		(8,650,378	)		(2,790	)		(963,988	)		(296	)		(30,088,348	)		(9,637	)
Net loss		(12,784,032	)		—			(20,753	)		—		(1,641,485	)		—			(3,847,327	)		—			(415,746	)		—			(18,709,343	)		—


PARTNERS’ CAPITAL
March 31, 2012	$	343,092,658			112,396		$	568,912			186	$	46,622,614			14,709		$	100,895,557			33,053		$	12,366,005			3,901		$	503,545,746			164,245


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		39,842,938			11,789			—			—		4,706,745			1,363			15,726,277			4,598			631,000			183			60,906,960			17,933
Redemptions		(8,755,608	)		(2,647	)		—			—		(2,335,465	)		(683	)		(1,082,049	)		(326	)		(170,879	)		(50	)		(12,344,001	)		(3,706	)
Net loss		(20,047,451	)		—			(40,406	)		—		(3,110,305	)		—			(5,613,098	)		—			(738,595	)		—			(29,549,855	)		—


PARTNERS’ CAPITAL
March 31, 2011	$	320,929,235			98,415		$	606,545			186	$	51,550,888			15,417		$	89,920,892			27,575		$	12,223,907			3,656		$	475,231,467			145,249

Units have been rounded.

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 three months ended March 31,
	2012			2011
CASH FLOWS FROM OPERATING ACTIVITIES:
Net loss	$	(18,709,343	)	$	(29,549,855	)
Adjustments to reconcile net loss to net cash used in operating activities:
Purchases of investments in Man-AHL Diversified Trading Company L.P.		(24,677,873	)		(60,906,960	)
Sale of investments in Man-AHL Diversified Trading Company L.P.		28,207,093			18,263,143
Net change in depreciation/(appreciation) of investments in Man-AHL Diversified Trading Company L.P.		12,703,724			24,181,303
Changes in assets and liabilities:
Prepaids and other assets		—			(42,242	)
Management fees payable		(36,434	)		47,605
Servicing fees payable		(19,291	)		23,410
Accrued expenses and other liabilities		59,185			90,978
Payable to Man AHL Diversified II L.P.		—			(250,000	)


Net cash used in operating activities		(2,472,939	)		(48,142,618	)


CASH FLOWS FROM FINANCING ACTIVITIES:
Proceeds from subscriptions		24,770,846			69,606,233
Payments on redemptions		(22,204,930	)		(12,913,997	)


Net cash provided by financing activities		2,565,916			56,692,236


NET INCREASE IN CASH AND CASH EQUIVALENTS		92,977			8,549,618

CASH AND CASH EQUIVALENTS - Beginning of period		7,500,730			17,978,871


CASH AND CASH EQUIVALENTS - End of period	$	7,593,707		$	26,528,489

SUPPLEMENTAL DISCLOSURE OF NON-CASH TRANSACTIONS:
Non-cash subscriptions of partners’ capital	$	—		$	148,406

Non-cash redemptions of partners’ capital	$	—		$	48,061

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 March 31, 2012, and the results of its operations for the three months ended March 31, 2012 and 2011. These financial statements present the results of interim periods and do not include all the disclosures normally provided in annual financial statements. These financial statements should be read in conjunction with the audited financial statements and notes included in the Partnership’s annual report on Form 10-K filed with the Securities and Exchange Commission (“SEC”) for the year ended December 31, 2011. The December 31, 2011 information has been derived from the audited financial statements as of December 31, 2011.

1.	ORGANIZATION OF THE 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 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-AHL (USA) Limited (the “Advisor”), a limited liability company incorporated in the United Kingdom, acts as trading advisor to the Partnership. The Advisor is an affiliate of the General Partner and a subsidiary of Man Group plc. The Advisor is registered with the CFTC as a commodity pool operator and commodity trading adviser and is a member of the NFA in such capacities, in addition to registration with the Financial Services Authority in the United Kingdom.

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, Inc. (“FINRA”).

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

The Partnership offers two classes of units of limited partnership interests; Class A units are generally offered and Class B units are offered to retirement plan investors. Within each Class, a second series of units has been issued to investors and identified as Class A-Series 2 and Class B-Series 2. Except as described in Note 2 below in respect of fees, Class A-Series 2 and Class B-Series 2 units are identical to Class A and Class B units, respectively.

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 Trading Company’s notes to financial statements.

At March 31, 2012 and December 31, 2011, the Partnership owned 49,522.19 and 50,658.29 units, respectively, of the Trading Company. The Partnership’s aggregate ownership percentage of the Trading Company at March 31, 2012 and December 31, 2011 was 79.37% and 78.12%, respectively.

The Partnership is able to redeem its investment from the Trading Company on a monthly basis. As of March 31, 2012 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 investment in the fair value hierarchy at March 31, 2012. The categorization of investments held by the Trading Company is 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. During the three months ended March 31, 2012 and 2011, no incentive fees were paid to the Advisor.

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-Series 2 and Class B-Series 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.

As of March 31, 2012, the Trading Company utilized JPMorgan Chase (“JPM”) and Credit Suisse (“CS”) to clear its futures trading activity. As of March 31, 2012, the Trading Company utilized Royal Bank of Scotland (“RBS”) and Deutsche Bank to clear its forward trading activity.

During 2011, the Trading Company used MF Global Inc. (“MFG”), in addition to JPM and CS, to clear a portion of its futures trading and used MF Global U.K. (“MFG UK”), in addition to RBS and Deutsche Bank, for its forward trading activity. At March 31, 2012, the Trading Company had no open futures or forward contracts with either MFG or MFG UK. On October 31, 2011, MF Global Holdings Ltd., the parent of MFG and MFG UK, filed for Chapter 11 bankruptcy protection in the U.S. courts. The U.S. courts subsequently approved the appointment of James W. Giddens as U.S. Trustee to oversee the liquidation of MFG. The Financial Services Authority, the U.K. financial services regulator, has appointed Special Administrators to oversee the liquidation of MFG UK. At March 31, 2012, the Trading Company’s due from brokers balance on the Statement of Financial Condition includes a net balance at MFG UK of $296,818 and a net balance at MFG of ($296,751). As of the date of the issuance of the financial statements, the General Partner is unable to determine the ultimate outcome, if any, of the above-mentioned bankruptcy and liquidation proceedings on the Trading Company’s financial condition or results of operations.

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.

Subscriptions Received in Advance — Subscriptions received in advance are comprised of cash received prior to the statements of financial condition date for which units were issued on the first day of the following month. Subscriptions received in advance do not participate in the earnings of the Partnership until the related units are issued.

3.	SUBSEQUENT EVENTS

The General Partner has evaluated the impact of subsequent events on the Partnership through the date of financial statement issuance, and noted no subsequent events that require adjustment to or disclosure in these financial statements.

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 (b)			15
STATEMENTS OF CASH FLOWS (b)			16
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)			17

(a) At March 31, 2012 (unaudited) and December 31, 2011

(b) For the three months ended March 31, 2012 and 2011 (unaudited)

MAN-AHL DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (Unaudited)		December 31, 2011
ASSETS

Equity in futures and forward trading accounts:
Net unrealized trading gains on open futures contracts	$	2,301,729	$	8,856,106
Net unrealized trading gains on open forward contracts		—		7,070,964
Due from brokers		77,035,707		43,383,249

Total equity in futures and forward trading accounts		79,337,436		59,310,319
Cash and cash equivalents		592,668,699		626,598,519
Interest receivable		2,547		6,972


Total	$	672,008,682	$	685,915,810


LIABILITIES AND PARTNERS’ CAPITAL

LIABILITIES:
Redemptions payable	$	27,033,460	$	10,255,239
Accrued expenses and other liabilities		198,267		150,099
Net unrealized trading losses on open futures contracts		1,928,453		—
Net unrealized trading losses on open forward contracts		8,430,095		15,056


Total liabilities		37,590,275		10,420,394


PARTNERS’ CAPITAL:
Limited Partners (62,393.12 and 64,850.63 units outstanding at March 31, 2012 and December 31, 2011, respectively)		634,418,407		675,495,416


Total partners’ capital		634,418,407		675,495,416


Total liabilities and partners’ capital	$	672,008,682	$	685,915,810


NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST	$	10,168.08	$	10,416.17

See notes to financial statements.

MAN-AHL DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

CONDENSED SCHEDULES OF INVESTMENTS


	March 31, 2012 (Unaudited)						December 31, 2011
	Fair Value			Percent of Partners’ Capital			Fair Value			Percent of Partners’ Capital
FUTURES CONTRACTS - Long:
Agricultural	$	978,527			0.2	%	$	(9,238	)		—	%
Currencies		197,127			—			1,883,714			0.3
Energy		(3,459,000	)		(0.5	)		(145,821	)		—
Indices		2,415,385			0.3			276,957			—
Interest rates		(550,179	)		(0.1	)		5,067,185			0.8
Metals		(770,515	)		(0.1	)		—			—

Total futures contracts - long		(1,188,655	)		(0.2	)		7,072,797			1.1


FUTURES CONTRACTS - Short:
Agricultural		(32,679	)		—			(17,797	)		—
Currencies		(23,206	)		—			4,693			—
Energy		1,966,510			0.3			800,349			0.1
Indices		3,683			—			77,734			—
Interest rates		(1,168,846	)		(0.2	)		(429,209	)		(0.1	)
Metals		816,469			0.1			1,347,539			0.2

Total futures contracts - short		1,561,931			0.2			1,783,309			0.2


NET UNREALIZED TRADING GAINS ON OPEN FUTURES CONTRACTS	$	373,276			—	%	$	8,856,106			1.3	%


FORWARD CONTRACTS - Long:
Australian dollars	$	(4,625,599	)		(0.7	)%	$	4,333,252			0.6	%
British pounds		1,021,615			0.2			38,528			—
Euro		552,478			0.1			(2,378,089	)		(0.4	)
Gold bullion		(2,863,169	)		(0.5	)		(1,534,878	)		(0.2	)
Japanese yen		(433,606	)		(0.1	)		609,000			0.1
New Zealand dollars		(152,976	)		—			114,298			—
Other		(1,316,506	)		(0.2	)		(2,874,634	)		(0.4	)

Total forward contracts - long		(7,817,763	)		(1.2	)		(1,692,523	)		(0.3	)


FORWARD CONTRACTS - Short:
Australian dollars		752,891			0.1			(635,111	)		(0.1	)
British pounds		(789,177	)		(0.1	)		68,189			—
Euro		(3,091,305	)		(0.5	)		7,415,182			1.1
Gold bullion		799,569			0.1			772,866			0.1
Japanese yen		1,883,960			0.3			(472,895	)		—
New Zealand dollars		197,123			—			(1,421,821	)		(0.2	)
Other		(365,393	)		—			3,022,021			0.5

Total forward contracts - short		(612,332	)		(0.1	)		8,748,431			1.4


NET UNREALIZED TRADING (LOSSES) GAINS ON OPEN FORWARD CONTRACTS	$	(8,430,095	)		(1.3	)%	$	7,055,908			1.1	%


NET UNREALIZED TRADING (LOSSES) GAINS ON OPEN CONTRACTS	$	(8,056,819	)		(1.3	)%	$	15,912,014			2.4	%

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 March 31,
	2012			2011
NET INVESTMENT INCOME:
Interest income	$	63,095		$	328,632


EXPENSES
Brokerage commissions		211,135			551,284
Interest expense - brokers		68,209			130,364
Administration fees		2,500			2,500
Professional fees		50,125			46,936
Other expenses		5,186			445

Total expenses		337,155			731,529


Net investment loss		(274,060	)		(402,897	)


NET REALIZED AND UNREALIZED GAINS (LOSSES) ON TRADING ACTIVITIES:
Net realized trading gains (losses) on closed contracts		7,516,163			(10,192,130	)
Net change in unrealized gains on translation of foreign currency		662,618			1,368,011
Net change in unrealized trading losses on open contracts		(23,968,833	)		(22,765,255	)


Net loss on trading activities		(15,790,052	)		(31,589,374	)


NET LOSS	$	(16,064,112	)	$	(31,992,271	)


NET LOSS PER UNIT OF PARTNERSHIP INTEREST	$	(248.09	)	$	(538.93	)

See notes to financial statements.

MAN-AHL DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL

FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011 (UNAUDITED)


	Limited Partners			General Partner		Total
PARTNERS’ CAPITAL - January 1, 2012	$	675,495,416		$	—	$	675,495,416

Issuance of 2,551.79 units of limited partnership interest		26,644,467			—		26,644,467
Redemption of 5,009.29 units of limited partnership interest		(51,657,364	)		—		(51,657,364	)
Net loss		(16,064,112	)		—		(16,064,112	)


PARTNERS’ CAPITAL - March 31, 2012	$	634,418,407		$	—	$	634,418,407


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

Issuance of 6,312.02 units of limited partnership interest		67,556,817			—		67,556,817
Redemption of 2,857.33 units of limited partnership interest		(30,157,741	)		—		(30,157,741	)
Net loss		(31,992,271	)		—		(31,992,271	)


PARTNERS’ CAPITAL - March 31, 2011	$	620,129,258		$	—	$	620,129,258

See notes to financial statements.

MAN-AHL DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

STATEMENTS OF CASH FLOWS (UNAUDITED)


	For the three months ended March 31,
	2012			2011
CASH FLOWS FROM OPERATING ACTIVITIES:
Net loss	$	(16,064,112	)	$	(31,992,271	)
Adjustments to reconcile net loss to net cash used in operating activities:
Net change in unrealized trading losses on open contracts		23,968,833			22,765,255
Changes in assets and liabilities:
Due from brokers		(33,652,458	)		(28,173,302	)
Interest receivable		4,425			34,879
Accrued expenses and other liabilities		48,168			(122,683	)


Net cash used in operating activities		(25,695,144	)		(37,488,122	)


CASH FLOWS FROM FINANCING ACTIVITIES:
Proceeds from subscriptions		26,644,467			67,556,817
Payments on redemptions		(34,879,143	)		(34,557,894	)


Net cash (used in) provided by financing activities		(8,234,676	)		32,998,923


NET DECREASE IN CASH AND CASH EQUIVALENTS		(33,929,820	)		(4,489,199	)

CASH AND CASH EQUIVALENTS - Beginning of period		626,598,519			540,475,018


CASH AND CASH EQUIVALENTS - End of period	$	592,668,699		$	535,985,819

SUPPLEMENTAL DISCLOSURE TO CASH FLOWS:
CASH INTEREST PAID DURING THE PERIOD	$	68,209		$	130,364

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 March 31, 2012, and the results of its operations for the three months ended March 31, 2012 and 2011. These financial statements present the results of interim periods and do not include all the disclosures normally provided in annual financial statements. These financial statements should be read in conjunction with the audited financial statements and notes included in Man-AHL Diversified I L.P.’s annual report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2011. The December 31, 2011 information has been derived from the audited financial statements as of December 31, 2011.

1.	ORGANIZATION OF THE TRADING COMPANY

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 adviser 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 trading 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 forward 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 Credit Suisse (“CS”), JPMorgan Chase (“JPM”), Royal Bank of Scotland (“RBS”) and Deutsche Bank. 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 $52,708,674 and $33,092,972 of cash restricted as collateral held as of March 31, 2012 and December 31, 2011, respectively.

Expenses – Expenses are recognized on an accrual basis in the period in which they are incurred.

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.

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 trading activities in the statements of operations. All trading activities are accounted for on a trade-date basis.

Foreign Currency — All assets and liabilities of the Trading Company denominated in foreign currencies are translated into U.S. dollar amounts at the mean between the bid and ask market rates for such currencies on the date of valuation. Purchases and sales of foreign investments are converted at the prevailing rate of exchange on the respective date of such transactions. The Trading Company does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in the fair value of investments held. Such fluctuations are included with the net realized and unrealized gains or losses on trading activities.

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

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 quarter ended March 31, 2012 and year ended December 31, 2011.

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

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. Futures 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, which are using market observable inputs in their valuations, and are categorized as Level 2 investments in the fair value hierarchy. As of March 31, 2012 and December 31, 2011, and for the periods then ended, the Trading Company did not have any positions categorized as “Level 3” investments in the fair value hierarchy.


				Fair Value Measurements
Description	Fair Value as of March 31, 2012 (Unaudited)			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	$	2,301,729		$	2,301,729		$	—		$	—
Net unrealized trading losses on open futures contracts		(1,928,453	)		(1,928,453	)		—			—
Net unrealized trading losses on open forward contracts		(8,430,095	)		—			(8,430,095	)		—


Total	$	(8,056,819	)	$	373,276		$	(8,430,095	)	$	—


				Fair Value Measurements
Description	Fair Value as of December 31, 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 contracts	$	8,856,106		$	8,856,106	$	—		$	—
Net unrealized trading gains on open forward contracts		7,070,964			—		7,070,964			—
Net unrealized trading losses on open forward contracts		(15,056	)		—		(15,056	)		—


Total	$	15,912,014		$	8,856,106	$	7,055,908		$	—

The Trading Company discloses the amounts of transfers and reasons for those transfers between Levels 1 and 2 of the fair value hierarchy in accordance with 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”)”, which is effective for interim and annual periods beginning after December 15, 2011. There were no transfers between Levels 1 and 2 as of March 31, 2012 based on the levels assigned at December 31, 2011.

5.	DERIVATIVE FINANCIAL INSTRUMENTS AND CONCENTRATIONS OF CREDIT RISK

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

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.

As of March 31, 2012, the Trading Company utilized JPM and CS to clear its futures trading activity. As of March 31, 2012, the portion of net unrealized gains (losses) attributed to JPM and CS was $2,301,729 and $(1,928,453), respectively.

As of March 31, 2012, the Trading Company utilized RBS and Deutsche Bank to clear its forward trading activity. As of March 31, 2012, the portion of net unrealized gains (losses) attributed to RBS and Deutsche Bank was $(5,536,289) and $(2,893,806), respectively.

During 2011, the Trading Company used MF Global Inc. (“MFG”), in addition to JPM and CS, to clear a portion of its futures trading and used MF Global U.K. (“MFG UK”), in addition to RBS and Deutsche Bank, for its forward trading activity. At December 31, 2011, the Trading Company had no open futures or forward contracts with either MFG or MFG UK. On October 31, 2011, MF Global Holdings Ltd., the parent of MFG and MFG UK, filed for Chapter 11 bankruptcy protection in the U.S. courts. The U.S. courts subsequently approved the appointment of James W. Giddens as U.S. Trustee to oversee the liquidation of MFG. The Financial Services Authority, the U.K. financial services regulator, has appointed Special Administrators to oversee the liquidation of MFG UK. At March 31, 2012, the Trading Company’s due from brokers balance on the Statement of Financial Condition includes a net balance at MFG UK of $296,818 and a net balance at MFG of ($296,751). As of the date of the issuance of the financial statements, the General Partner is unable to determine the ultimate outcome, if any, of the above-mentioned bankruptcy and liquidation proceedings on the Trading Company’s financial condition or results of operations.

During the quarter ended March 31, 2012, the Trading Company traded 49,699 exchange-traded futures contracts and settled 10,745 OTC forward contracts. During the quarter ended March 31, 2011, the Trading Company traded 289,897 exchange-traded futures contracts and settled 111,766 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 RBS and Deutsche Bank. As required by the Derivative Instruments and Hedging Topic of the Financial Accounting Standards Board 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 March 31, 2012 and December 31, 2011, estimated credit risk with regard to forward contracts was $0 and $7,070,964, 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.


Primary Risk Exposure	March 31, 2012 (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			Gross unrealized trading losses on open forward contracts
Currencies		$	7,166,713		$	(12,918,180	)
Metals			1,063,667			(3,742,295	)

Total open forward contracts			8,230,380			(16,660,475	)


Open futures contracts	Gross unrealized trading gains on open futures contracts			Gross unrealized trading losses on open futures contracts
Agricultural			1,488,283			(542,435	)
Currencies			320,988			(147,067	)
Energy			2,133,833			(3,626,323	)
Indices			4,590,694			(2,171,626	)
Interest rates			825,934			(2,544,959	)
Metals			916,860			(870,906	)

Total open futures contracts			10,276,592			(9,903,316	)

Total Derivatives		$	18,506,972		$	(26,563,791	)


	December 31, 2011
	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			Gross unrealized trading losses on open forward contracts
Currencies		$	17,575,317		$	(10,543,212	)
Metals			1,605,217			(1,581,414	)

Total open forward contracts			19,180,534			(12,124,626	)


Open futures contracts	Gross unrealized trading gains on open futures contracts			Gross unrealized trading losses on open futures contracts
Agricultural			1,731,514			(1,758,549	)
Currencies			1,970,061			(81,654	)
Energy			1,046,327			(391,799	)
Indices			1,240,548			(885,857	)
Interest rates			5,621,974			(983,998	)
Metals			2,673,428			(1,325,889	)

Total open futures contracts			14,283,852			(5,427,746	)

Total Derivatives		$	33,464,386		$	(17,552,372	)

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 months ended March 31, 2012 and 2011.


	Location of loss or gain recognized in income on derivatives	For the three months ended March 31,
		2012 (Unaudited)			2011 (Unaudited)
		Gain (Loss) on derivatives			Gain (Loss) on derivatives

Forward contracts
Currencies		$	7,544,639		$	—
Metals			252,045			—

	Net realized trading gains on closed contracts		7,796,684			2,839,774

Currencies			(12,783,572	)		—
Metals			(2,702,431	)		—

	Net change in unrealized trading losses on open contracts		(15,486,003	)		(15,701,796	)


Futures contracts
Agricultural			(467,203	)		7,164,588
Currencies			(1,939,394	)		(4,142,882	)
Energy			9,583,908			(885,090	)
Indices			10,852,814			(12,334,596	)
Interest rates			(8,772,123	)		(6,107,704	)
Metals			(9,350,589	)		3,273,780

	Net realized trading losses on closed contracts		(92,587	)		(13,031,904	)

Agricultural			972,883			(4,097,874	)
Currencies			(1,714,486	)		(344,290	)
Energy			(2,147,018	)		2,285,369
Indices			2,064,377			414,474
Interest rates			(6,357,001	)		(1,641,684	)
Metals			(1,301,585	)		(3,679,454	)

	Net change in unrealized trading losses on open contracts		(8,482,830	)		(7,063,459	)

Amounts in the table above exclude foreign exchange spot contracts.

6.	SUBSEQUENT EVENTS

The General Partner has evaluated the impact of subsequent events on the Trading Company through the date of financial statement issuance, and noted no subsequent events that require adjustment to or disclosure in these financial statements.

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 30, 2012.

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.

Three Months Ended March 31, 2012:


		31-Mar-12
Ending Equity		$503,545,746

Three months ended March 31,2012:

Net assets decreased $24,120,117 for the three months ended March 31, 2012. This decrease was attributable to subscriptions in the amount of $24,677,574, redemptions in the amount of $30,088,348 and a net loss from operations of $18,709,343.

Management Fees of $3,817,444 and servicing fees of $1,948,846 were paid or accrued, and interest of $49,540 was earned or accrued on the Partnership’s cash and cash equivalent investments, for the three months ended March 31, 2012.

The Partnership’s other expenses paid or accrued for the three months ended March 31, 2012 were $18,421.

The metals sector dragged on performance in January with both precious and industrials detracting similar amounts. Some of the most notable losses in January included short positions in aluminum and platinum as both rose over 10%. Exposure to metals also weighed on performance in February and March with long exposure to gold the largest detractor.

Short positions in agricultural trading posted losses in January with exposure to cocoa and corn seeing some of the larger negative performances. The agricultural sector produced positive returns in March led by short coffee and long soya exposure.

In equities trading, performance was negative for the month of January. As a general theme, profits from long positions in US indices were outweighed by shorts in Asian bourses. The stock sector led returns in February, however, as the increased market confidence benefited a broad long positioning. The largest gains in February came from US indices such as the S&P 500 and NASDAQ 100 as prices were buoyed by an improvement in US jobless claims, housing starts, consumer prices and business outlook data. Long exposure to stock indices added gains in March via US and Japanese indices. The strongest returns came from long positions in the NASDAQ 100 and S&P 500 as each rose 4.2% and 3.1% respectively on the back of a flurry of positive new from the US.

In currencies, long US dollar exposure in January offset profits elsewhere in the sector as the greenback fell 1.3% on a trade-weighted basis after signs of an economic recovery in the US boosted investor risk appetite and saw the ‘safe-haven’ currency sell-off for much of the month. Long AUD/JPY proved the leading trade in February as the Australian dollar rallied after interest rates were left unchanged and hawkish Reserve Bank of Australia minutes led markets to revise their flat interest rate expectations. Whilst the US dollar ended the month of February flat on a trade-weighted basis, some short US dollar pairs still added gains as increased risk appetite meant the greenback generally lost ground to emerging market and commodity-linked currencies. Trading in currencies added to losses overall in March. Short exposure to the US dollar suffered after the greenback rallied on better-than-expected US jobs and housing data.

Trading in bonds and short-term interest rates produced positive returns in January. Long positions in US Treasuries made up the majority of bond sector gains in January as prices jumped following the unexpected announcement by the Federal Reserve that interest rates would be held at near zero until at least 2014. In February, long exposure to fixed income assets dragged on performance as investors increasingly sought riskier assets during the month. In bonds, long exposure to US Treasuries proved the single largest loss in February as prices fell following uplifting economic data releases in the US. Exposure to fixed income assets weighed on performance in March as safe haven assets fell out of favor. In bonds, long holdings of US Treasuries detracted the most from returns in March as prices fell following positive economic comments by the Federal Reserve which led to reduced expectations for further quantitative easing.

Three Months Ended March 31, 2011:


		31-Mar-11
Ending Equity		$475,231,467

Three months ended March 31, 2011:

Net assets increased $19,013,104 for the three months ended March 31, 2011. This increase was attributable to subscriptions in the amount of $60,906,960, redemptions in the amount of $12,344,001 and a net loss from operations of $29,549,855.

Management Fees of $3,390,483 and servicing fees of $1,735,835 were paid or accrued, and interest of $249,081 was earned or accrued on the Partnership’s cash and cash equivalent investments, for the three months ended March 31, 2011.

The Partnership’s other expenses paid or accrued for the three months ended March 31, 2011 were $37,891.

On the fixed income side, losses came from long positions in European bonds and US Treasuries in January. European bonds fell largely on diminished sovereign debt fears, while US 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, US Treasuries and UK Gilts.

Returns from trading in the metals 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 US 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 AHL’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 US dollar positions generated small gains, but it was euro based positions that had the most impact on performance.

ITEM 3.

Quantitative and Qualitative Disclosures About Market Risk.

Introduction

Past Results Are Not Necessarily Indicative of Future Performance

The Partnership is a speculative commodity pool. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Partnership’s main line of business.

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

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

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

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

Quantifying the Partnership’s Trading Value at Risk

Quantitative Forward-Looking Statements

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

The Partnership’s risk exposure in the various market sectors traded by the General Partner is quantified below in terms of Value at Risk. Due to the Partnership’s mark-to-market accounting, any loss in the fair value of the Partnership’s open positions is directly reflected in the Partnership’s earnings (realized or unrealized) and cash flow (at least in the case of exchange-traded contracts in which profits and losses on open positions are settled daily through variation margin).

For regulatory purposes, exchange initial margin requirements have been used by the Partnership as the measure of its Value at Risk. For trading and internal risk monitoring purposes, a different approach based on simulated market movements is used. Initial margin requirements include a credit risk factor and a maintenance margin factor and thus overstate the maximum one-day loss reflected by the maintenance margin requirement by the amount of the credit risk factor used in setting initial margin requirements. Maintenance margin requirements are set by exchanges to equal or exceed 95-99% of the maximum one-day losses in the fair value of any given contract incurred during the time period over which historical price fluctuations are researched for purposes of establishing margin levels. The maintenance margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.

In the case of market sensitive instruments that are not exchange traded (almost exclusively currencies in the case of the Partnership), dealers’ margins have been used as Value at Risk.

The fair value of the Partnership’s futures and forward positions does not have any optionality component. However, the General Partner may also trade commodity options on behalf of the Partnership. The Value at Risk associated with options would be reflected in the margin requirement attributable to the instrument underlying each option.

In quantifying the Partnership’s Value at Risk, 100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have simply been aggregated to determine each trading category’s aggregate Value at Risk. The diversification effects resulting from the fact that the Partnership’s positions are rarely, if ever, 100% positively correlated have not been reflected.

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

The following table indicates the amount of trading Value at Risk associated with the Partnership’s open positions by market category as of the period ended March 31, 2012. As of March 31, 2012, the Partnership’s total capitalization was $503,545,746.


Sector	Sum of Initial Margin (USD)		Initial Margin (% of NAV)
AGRICULTURALS	$	3,955,048		0.79	%
BONDS	$	8,387,042		1.67	%
CURRENCIES	$	8,795,770		1.75	%
ENERGIES	$	13,671,511		2.72	%
INTEREST_RATES	$	7,570,281		1.50	%
METALS	$	1,606,759		0.32	%
STOCK_INDICES	$	21,334,282		4.24	%
TOTAL	$	65,320,693		12.97	%

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

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

Non-Trading Risk

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

The Partnership also has non-trading cash flow risk as a result of holding a substantial portion (over 80%) of its assets in deposits, an AAA rated Money Market Fund and interest-bearing bank accounts. This cash is placed with highly rated counterparties with a priority placed on preservation of capital and reputation (i.e., appropriate level of credit risk, market risk and reputation risk) and liquidity (i.e., appropriate level of liquidity risk).

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Partnership’s market risk exposures — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the General Partner manages the Partnership’s primary market risk exposures — constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Partnership’s primary market risk exposures as well as the strategies used and to be used by the General Partner for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Partnership’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Partnership. There can be no assurance that the Partnership’s current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of their investment in the Partnership.

The following were the primary trading risk exposures of the Partnership as of March 31, 2012, by market sector.

Financial Instruments. Interest rate movements directly affect the price of the sovereign bond futures positions held by the Partnership and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries may materially impact the Partnership’s profitability. The Partnership’s primary interest rate exposure is to

interest rate fluctuations in the United States, Germany, the UK, Australia and Japan. However, the Partnership also may take positions in futures contracts on the government debt of smaller nations. The Advisor anticipates that G-7 interest rates, both long-term and short-term, will remain the primary market exposure of the Partnership for the foreseeable future.

Currencies. Exchange rate risk is the principal market exposure of the Partnership. The Partnership’s currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions. The Partnership trades in a large number of currencies, including cross-rates — i.e., positions between two currencies other than the U.S. dollar. As of March 31, 2012, the Partnership’s primary currency exposures were in the U.S. dollar versus the Euro, UK Sterling, Brazilian Real, Mexican Peso and Singapore Dollar. The primary exposures in the currency crosses were in the Euro versus Australian Dollar, Euro versus UK Sterling, UK Sterling versus Australian Dollar, Euro versus Swedish Krona and Australian Dollar versus Yen.

Stock Indices. The Partnership’s primary equity exposure, through stock index futures, is to equity price risk in the G-7 countries. As of March 31, 2012, the Partnership’s primary exposures were in the Dax, Nikkei, Korean Kospi, S&P 500 and Hang Seng. The Partnership is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Asian indices. (Static markets would not cause major market changes but could make it difficult for the Partnership to avoid numerous small losses.)

Metals. The Diversified Portfolio used for the Partnership trades precious and base metals. As of March 31, 2012, the Partnership’s primary metals market exposures were in aluminum, silver, copper, nickel and zinc.

Agricultural. The Partnership’s primary commodities exposure is to agricultural price movements, which are often directly affected by severe or unexpected weather conditions. Wheat, coffee, soybeans, cotton and corn accounted for the substantial bulk of the Partnership’s commodities exposure as of March 31, 2012.

Energy. The Partnership’s primary energy market exposure is to gas and oil price movements, often resulting from political developments in the Middle East and economic conditions worldwide. Energy prices are volatile and substantial profits and losses have been and are expected to continue to be experienced in this market. As of March 31, 2012, the main exposures were in crude oil, heating oil, gasoline, natural gas and gas oil.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the only non-trading risk exposures of the Partnership as of March 31, 2012.

Foreign Currency Balances. The Partnership’s primary foreign currency balances are in Euro, Australian dollar, British pounds, Swedish krona and Japanese yen. The Partnership controls the non-trading risk of these balances by regularly converting these balances back into U.S. dollars (no less frequently than twice a month).

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

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

The AHL Diversified Program employs a systematic, statistically based investment strategy that is designed to identify and capitalize on inefficiencies in markets around the world. The trading systems are quantitative and primarily directional in nature, meaning that investment decisions are entirely driven by mathematical models based on market trends and other historic relationships. Portfolio risk management consists primarily of monitoring risk measures and ensuring the systems remain within prescribed limits. The major risk monitoring measures and focus areas include value-at-risk, stress testing, implied volatility, leverage, margin-to-equity ratios and net exposures to sectors and different currencies.

Diversification is also a key feature of AHL’s risk management, as well as its investment, process. The AHL Diversified Program is diversified across over 100 markets covering a wide range of sectors including, without limitation, currencies, bonds, energies, stock indices, interest rates, metals and agriculturals. As well as emphasizing sector and market diversification, the AHL Diversified Program has been constructed to achieve diversification by combining various systems driven by powerful computerized trading algorithms, most of which work by sampling prices in real time and measuring price momentum and breakouts. Another important aspect of diversification is the fact that the various systems generate signals across different timeframes, ranging from two to three days to several months, which helps to reduce the risk of the AHL Diversified Program. In line with the principle of diversification, the approach to portfolio construction and asset allocation is premised on the importance of deploying investment capital across the full range of sectors and markets. Particular attention is paid to correlation of markets and sectors, expected returns, trading costs and market liquidity. Portfolios are regularly reviewed and, when necessary, adjusted to reflect changes in these factors. AHL also has a process for adjusting its market risk exposure in real time to reflect changes in the volatility, a measure of risk, of individual markets.

ITEM 4.

Controls and Procedures.

The General Partner, with the participation of the General Partner’s 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 March 31, 2012. 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 March 31, 2012.

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 March 31, 2012 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. If this were to occur during an adverse move in a spread or straddle relationship, a substantial loss could occur.

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

Trading on Non-U.S. Exchanges and Markets Will Expose the Partnership to Risks Not Applicable to Trading on U.S. Exchanges and Markets. The Partnership, through the Trading Company, may engage in trading on non-U.S. exchanges and markets. The Partnership will be subject to the risk of fluctuations in the currency exchange rate between the local currency and the U.S. dollar and to the possibility of exchange controls. Trading on such exchanges and markets generally involves other risks not applicable to trading on U.S. exchanges and markets.

For example, such exchanges and markets:

•

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

•

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

•

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

•

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

•

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

•

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

Institutional Risks. Institutions, such as the 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.

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 January 31, 2012, February 29, 2012 and March 31, 2012, the Partnership sold Class A Units, exclusive of non-cash transfers, to existing and new Limited Partners in the amount of $4,137,775, $4,525,750 and $7,783,500, respectively. On January 31, 2012, February 29, 2012 and March 31, 2012, the Partnership sold Class A-2 Units, exclusive of non-cash transfers, to existing and new Limited Partners in the amount of $0, $75,000 and $190,000, respectively. On January 31, 2012, February 29, 2012 and March 31, 2012, the Partnership sold Class B Units, exclusive of non-cash transfers, to existing and new Limited Partners in the amount of $3,044,510, $1,758,366 and $2,862,673, respectively. On January 31, 2012, February 29, 2012 and March 31, 2012, the Partnership sold Class B-2 Units, exclusive of non-cash transfers, to existing and new Limited Partners in the amount of $300,000, $0 and $0, respectively. There were no underwriting discounts or commissions in connection with the sales of the Units described above.

(b) Not applicable.

(c) Pursuant to the Partnership’s Limited Partnership Agreement, a Limited Partner may redeem some or all of its Units as of the last business day of each calendar month at the then current month-end Net Asset Value. The redemption of Units has no impact on the value of Units that remain outstanding, and Units are not reissued once redeemed. The following table summarizes the amount of Units redeemed, exclusive of non-cash transfers, during the three months ended March 2012:


	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:
January 31, 2012	$	3,822,717	$	563,717	$	1,146,058	$	163,444
February 29, 2012	$	5,461,938	$	604,977	$	2,738,056	$	600,271
March 31, 2012	$	7,339,428	$	2,681,205	$	4,766,264	$	200,273
TOTAL	$	16,624,083	$	3,849,899	$	8,650,378	$	963,988

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 May 15, 2012.


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

By:		Man Investments (USA) Corp.
		General Partner

By:		/s/ Lance Donenberg
		President, Chief Executive 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

Large Accelerated Filer

Accelerated Filer

Non-Accelerated Filer

Smaller reporting company