MAN AHL DIVERSIFIED I LP - Quarter Report: 2020 September (Form 10-Q)

10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

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

For the quarterly period ended September 30, 2020

☐	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 its charter)


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

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

(212) 649-6600

(Registrant’s telephone number, including area code)

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

Title of each class

Trading

Symbol(s)

Name of each exchange

on which registered

none

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☒ No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☒ No ☐

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


Large Accelerated Filer	☐	Accelerated Filer	☐

Non-Accelerated Filer	☒	Smaller reporting company	☐

		Emerging growth company	☐

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

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

PART I - FINANCIAL INFORMATION

ITEM 1.

Financial Statements.

Man-AHL Diversified I L.P.


STATEMENTS OF FINANCIAL CONDITION (a)			2
STATEMENTS OF OPERATIONS (b)			3
STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL (c)			4
STATEMENTS OF CASH FLOWS (c)			5
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)			6

(a)	At September 30, 2020 (unaudited) and December 31, 2019

(b)	For the three months ended September 30, 2020 and 2019 (unaudited) and for the nine months ended September 30, 2020 and 2019 (unaudited)

(c)	For the nine months ended September 30, 2020 and 2019 (unaudited)

MAN-AHL DIVERSIFIED I L.P.

(A Delaware Limited Partnership)

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2020 (Unaudited)			December 31, 2019
ASSETS
Investment in Man-AHL Diversified Trading Company L.P.	$	81,075,939		$	90,779,858
Due from Man-AHL Diversified Trading Company L.P.		2,717,933			1,578,942

Total assets	$	83,793,872		$	92,358,800

LIABILITIES AND PARTNERS’ CAPITAL
LIABILITIES:
Redemptions payable	$	2,717,933		$	1,578,942
Management fees payable		205,640			226,756
Servicing fees payable		68,817			75,847
Accrued expenses and other liabilities		242,225			348,419

Total liabilities		3,234,615			2,229,964

PARTNERS’ CAPITAL:
General Partner - Class A Series 1 (186.37 units outstanding at September 30, 2020 and December 31, 2019)		679,958			703,193
Limited Partners - Class A Series 1 (14,238.28 and 15,716.22 units outstanding at September 30, 2020 and December 31, 2019, respectively		51,946,232			59,297,638
Limited Partners - Class A Series 2 (919.81 and 883.54 units outstanding at September 30, 2020 and December 31, 2019, respectively		3,876,284			3,814,631
Limited Partners - Class B Series 1 (6,594.16 and 6,974.39 units outstanding at September 30, 2020 and December 31, 2019, respectively		24,056,783			26,313,374

Total partners’ capital		80,559,257			90,128,836

Total liabilities and partners’ capital	$	83,793,872		$	92,358,800

NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST - CLASS A Series 1	$	3,648.35	*	$	3,773.02	*

NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST - CLASS A Series 2	$	4,214.20	*	$	4,317.43	*

NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST - CLASS B Series 1	$	3,648.19	*	$	3,772.86	*

*	Difference in net asset value recalculation and net asset value stated is caused by rounding differences.

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						For the nine months ended
	September 30,						September 30,
	2020			2019			2020			2019
NET INVESTMENT INCOME (LOSS) ALLOCATED FROM MAN-AHL DIVERSIFIED TRADING COMPANY L.P.:
Interest income	$	27,339		$	505,995		$	488,435		$	1,466,987
Other income		4,845			102,311			4,845			102,311
Brokerage commissions		(29,603	)		(50,288	)		(104,711	)		(146,106	)
Interest expense		(21,090	)		(59,418	)		(113,940	)		(134,719	)
Administration fees		(16,625	)		(17,469	)		(38,783	)		(51,198	)
Professional fees		(42,897	)		(28,858	)		(139,300	)		(133,896	)
Shareholder expenses		(24,070	)		(23,134	)		(86,663	)		(95,145	)
Other expenses		(9,718	)		(10,271	)		(27,082	)		(37,136	)

Net investment income (loss) allocated from Man-AHL Diversified Trading Company L.P.		(111,819	)		418,868			(17,199	)		971,098

PARTNERSHIP EXPENSES:
Management fees		642,813			730,799			1,996,279			2,139,144
Servicing fees		215,106			244,533			667,948			716,748
Professional fees		9,555			58,170			(1,131	)		186,830
Other expenses		42,910			45,351			219,836			136,739

Total partnership expenses		910,384			1,078,853			2,882,932			3,179,461

Net investment loss		(1,022,203	)		(659,985	)		(2,900,131	)		(2,208,363	)

REALIZED AND UNREALIZED GAINS (LOSSES) ON TRADING ACTIVITIES ALLOCATED FROM MAN-AHL DIVERSIFIED TRADING COMPANY L.P.:
Net realized trading gains (losses) on closed contracts/agreements and foreign currency transactions		(1,471,837	)		8,450,371			5,172,542			18,021,739
Net change in unrealized trading gains (losses) on securities		3,846			(37,050	)		8,003			12,364
Net change in unrealized trading gains (losses) on open contracts/agreeements and translation of foreign currency		211,440			(2,257,783	)		(4,988,574	)		(3,173,358	)

Net gains (losses) on trading activities allocated from Man-AHL Diversified Trading Company L.P.		(1,256,551	)		6,155,538			191,971			14,860,745

NET INCOME (LOSS)	$	(2,278,754	)	$	5,495,553		$	(2,708,160	)	$	12,652,382

NET INCOME (LOSS) PER UNIT OF PARTNERSHIP INTEREST (based on weighted average units outstanding during the period):
CLASS A Series 1	$	(98.84	)	$	218.92		$	(116.32	)	$	471.37

CLASS A Series 2	$	(103.97	)	$	269.02		$	(100.85	)	$	519.33

CLASS B Series 1	$	(100.67	)	$	224.04		$	(116.98	)	$	474.77

WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD:
CLASS A Series 1		15,312.56			16,253.19			15,704.04			17,262.57

CLASS A Series 2		919.81			955.34			915.71			1,449.95

CLASS B Series 1		6,651.20			7,500.09			6,745.44			7,924.37

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 NINE MONTHS ENDED SEPTEMBER 30, 2020 AND 2019 (UNAUDITED)


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

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

PARTNERS’ CAPITAL January 1, 2019	$	62,850,528			18,599		$	629,813			186	$	7,092,725			1,857		$	29,163,718			8,630		$	99,736,784			29,272
Subscriptions		1,074,998			264			—			—		—			—			99,900			28			1,174,898			292
Transfers		32,658			10			—			—		—			—			(32,658	)		(10	)		—			—
Redemptions		(9,894,384	)		(2,816	)		—			—		(3,947,134	)		(973	)		(4,854,267	)		(1,373	)		(18,695,785	)		(5,162	)
Net income (loss)		8,045,979			—			91,114			—		753,007			—			3,762,282			—			12,652,382			—

PARTNERS’ CAPITAL September 30, 2019	$	62,109,779			16,057		$	720,927			186	$	3,898,598			884		$	28,138,975			7,275		$	94,868,279			24,402

Units and dollars have been rounded to the nearest whole number.

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

MAN-AHL DIVERSIFIED I L.P.

(A Delaware Limited Partnership)

STATEMENTS OF CASH FLOWS (UNAUDITED)


	For the nine months ended September 30,
	2020			2019
CASH FLOWS FROM OPERATING ACTIVITIES:
Net income (loss)	$	(2,708,160	)	$	12,652,382
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Purchases of investments in Man-AHL Diversified Trading Company L.P.		(738,452	)		(57,742	)
Sales of investments in Man-AHL Diversified Trading Company L.P.		9,478,152			25,312,961
Net (gain) loss on trading activities and net investment loss allocated from investment in Man-AHL Diversified Trading Company L.P.		(174,772	)		(15,831,843	)
Changes in assets and liabilities:
Management fees payable		(21,116	)		(21,281	)
Servicing fees payable		(7,030	)		(7,297	)
Accrued expenses and other liabilities		(106,194	)		27,928

Net cash provided by operating activities		5,722,428			22,075,108

CASH FLOWS FROM FINANCING ACTIVITIES:
Proceeds from subscriptions		3,880,673			1,174,898
Payments on redemptions		(9,603,101	)		(23,250,006	)

Net cash used in financing activities		(5,722,428	)		(22,075,108	)

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

CASH - End of period	$	—		$	—

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)

NOTES TO FINANCIAL STATEMENTS (UNAUDITED)

The accompanying unaudited financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Man-AHL Diversified I L.P.’s (a Delaware Limited Partnership) (the “Partnership”) financial condition at September 30, 2020, and the results of its operations for the three and nine month periods ended September 30, 2020 and 2019. These financial statements present the results of interim periods. These financial statements should be read in conjunction with the audited financial statements and notes included in the Partnership’s annual report on Form 10-K filed with the Securities and Exchange Commission (“SEC”) for the year ended December 31, 2019. The December 31, 2019 information has been derived from the audited financial statements as of December 31, 2019.

1. ORGANIZATION OF THE PARTNERSHIP

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

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

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

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

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

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

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

2. SIGNIFICANT ACCOUNTING POLICIES

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

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

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

At September 30, 2020 and December 31, 2019, the Partnership owned 4,580.05 and 5,122.00 units, respectively, of the Trading Company. The Partnership’s aggregate ownership percentage of the Trading Company at September 30, 2020 and December 31, 2019 was 71.72% and 79.12%, respectively.

The Partnership is able to redeem its investment from the Trading Company on a monthly basis. As of September 30, 2020 and December 31, 2019, the Partnership could redeem its investment without restriction at the month-end net asset value of the Trading Company.

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

Expenses — The Advisor earns a monthly management fee in an amount equal to 0.1667% (2% annually) of the Partnership’s month-end Net Asset Value, as defined in the Limited Partnership Agreement (the “Agreement”). In addition, the General Partner earns a monthly general partner fee in an amount equal to 0.0833% (1% annually) of the month-end Net Asset Value of Class A Series 1 and Class B Series 1 units. The general partner fee is included in management fees in the statements of operations.

The Advisor also earns a monthly incentive fee equal to 20% of any Net New Appreciation, as defined in the Agreement, achieved by the Partnership. The incentive fee is retained by the Advisor even if subsequent losses are incurred; however, no subsequent incentive fees will be paid to the Advisor until any such trading losses are recouped by the Partnership. During the three and nine month periods ended September 30, 2020 and 2019, no incentive fees were earned by the Advisor.

The Partnership pays a monthly servicing fee to MII in an amount equal to 0.0833% (1.00% annually) of the month-end Net Asset Value of Class A Series 1 and Class B Series 1 units and to 0.0625% (0.75% annually) of the month-end Net Asset Value of Class A Series 2 and Class B Series 2 units. For all classes of units, MII serves as the placement agent for the Partnership.

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

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

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

Income Taxes — The Partnership is not subject to federal, state, or local income tax. Such taxes are the liabilities of the individual partners and the amounts thereof will vary depending on the individual situation of each partner. Accordingly, there is no provision for income taxes in the accompanying financial statements. ASC 740, Income Taxes, defines how

uncertain tax positions should be recognized, measured, presented, and disclosed in the financial statements and is applied to all open tax years. The Partnership has evaluated tax positions taken or expected to be taken in the course of preparing the Partnership’s tax returns to determine whether the tax positions are more-likely-than-not to be sustained by the applicable tax authority. Based on this analysis of all tax jurisdictions and all open tax years subject to examination, there were no material tax positions not deemed to meet a more-likely-than-not-threshold. Therefore, no tax expense, including interest or penalties, was recorded for the three and nine month periods ended September 30, 2020 and 2019. To the extent that the Partnership records interest and penalties, they would be included in interest expense and other expenses, respectively, on the statements of operations. The following is the major tax jurisdiction for the Trading Company and the earliest tax year subject to examination: United States – 2017.

3. LIMITED PARTNERSHIP AGREEMENT

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

The Partnership’s units are continuously offered as of the first business day of each month at Net Asset Value, as defined in the Agreement. Limited partners may redeem any or all of their units as of the end of any month at Net Asset Value per unit on 10 days prior written notice to the General Partner. The Partnership will be dissolved on December 31, 2037, or upon the occurrence of certain events, as specified in the Agreement.

The General Partner is required to make and maintain a general partner investment in the Partnership in an aggregate amount equal to the lesser of 1.01% of the net aggregate capital subscriptions of all partners, or $500,000.

Distributions (other than redemptions of units), if any, are made on a pro-rata basis at the sole discretion of the General Partner. No distributions were declared or paid during the three and nine month periods ended September 30, 2020 and 2019.

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

4. FINANCIAL GUARANTEES

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

5. FINANCIAL HIGHLIGHTS

The following represents the ratios to average limited partners’ capital and other information for the three and nine month periods ended September 30, 2020 and 2019:


	For the three months ended September 30, 2020									For the three months ended September 30, 2019
	Class A Series 1			Class A Series 2			Class B Series 1			Class A Series 1			Class A Series 2			Class B Series 1
Per unit operating performance:
Beginning net asset value	$	3,750.09		$	4,318.17		$	3,749.93		$	3,649.37		$	4,149.84		$	3,649.21

Income (loss) from investment operations:
Net investment income (loss)		(45.09	)		(37.94	)		(44.92	)		(27.32	)		(11.38	)		(27.58	)
Net realized and unrealized gains (losses) on trading activities		(56.65	)		(66.03	)		(56.82	)		246.13			274.00			246.38

Total income (loss) from investment operations		(101.74	)		(103.97	)		(101.74	)		218.81			262.62			218.80

Ending net asset value	$	3,648.35		$	4,214.20		$	3,648.19		$	3,868.18		$	4,412.46		$	3,868.01

Ratios to average partners’ capital¹:
Expenses other than incentive fees		4.94	%		3.64	%		4.93	%		5.29	%		4.58	%		5.33	%

Total expenses		4.94	%		3.64	%		4.93	%		5.29	%		4.58	%		5.33	%

Net investment income (loss)		(4.79	)%		(3.50	)%		(4.78	)%		(2.81	)%		(1.03	)%		(2.84	)%

Total return²:
Total return before incentive fees		(2.71	)%		(2.41	)%		(2.71	)%		6.00	%		6.33	%		6.00	%

Total return after incentive fees		(2.71	)%		(2.41	)%		(2.71	)%		6.00	%		6.33	%		6.00	%


	For the nine months ended September 30, 2020									For the nine months ended September 30, 2019
	Class A Series 1			Class A Series 2			Class B Series 1			Class A Series 1			Class A Series 2			Class B Series 1
Per unit operating performance:
Beginning net asset value	$	3,773.02		$	4,317.43		$	3,772.86		$	3,379.30		$	3,818.72		$	3,379.15

Income (loss) from investment operations:
Net investment income (loss)		(125.41	)		(102.26	)		(125.17	)		(84.94	)		(56.20	)		(85.25	)
Net realized and unrealized gains (losses) on trading activities		0.74			(0.97	)		0.50			573.82			649.94			574.11

Total income (loss) from investment operations		(124.67	)		(103.23	)		(124.67	)		488.88			593.74			488.86

Ending net asset value	$	3,648.35		$	4,214.20		$	3,648.19		$	3,868.18		$	4,412.46		$	3,868.01

Ratios to average partners’ capital¹:
Expenses other than incentive fees		5.12	%		3.82	%		5.10	%		5.34	%		4.37	%		5.35	%

Total expenses		5.12	%		3.82	%		5.10	%		5.34	%		4.37	%		5.35	%

Net investment income (loss)		(4.39	)%		(3.11	)%		(4.37	)%		(3.16	)%		(1.88	)%		(3.17	)%

Total return²:
Total return before incentive fees		(3.30	)%		(2.39	)%		(3.30	)%		14.47	%		15.55	%		14.47	%

Total return after incentive fees		(3.30	)%		(2.39	)%		(3.30	)%		14.47	%		15.55	%		14.47	%

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

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

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

6. SUBSEQUENT EVENTS

For the period subsequent to September 30, 2020, through November 13, 2020, the date the financial statements were issued, the Partnership recorded limited partner subscriptions of $318,000 and limited partner redemptions of $3,597,400.

The General Partner has evaluated the impact of subsequent events on the Partnership through November 13, 2020, the date financial statements were issued, and noted no subsequent events that require adjustment to or disclosure in these financial statements, except as noted above.

The General Partner and the Advisor acknowledge the current outbreak of COVID-19 which is causing economic disruption in most countries and its potentially adverse economic impact on the issuers of the instruments in which the Partnership invests. This is an additional risk factor which could impact the operations and valuation of the Partnership’s assets after the period end.

The Advisor is actively monitoring developments closely. Given the nature of the outbreak and the on-going developments, there is a high degree of uncertainty and it is not possible at this time to predict the extent and nature of the overall future impact on the Partnership.

The General Partner and the Advisor have concluded that the developments in the global financial markets after the period end did not provide evidence of conditions that existed at the end of the reporting period and have therefore assessed any impact they had as non-adjusting.

Man-AHL Diversified Trading Company L.P.

Financial Statements


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

(a)	At September 30, 2020 (unaudited) and December 31, 2019

(b)	For the three months ended September 30, 2020 and 2019 (unaudited) and for the nine months ended September 30, 2020 and 2019 (unaudited)

(c)	For the nine months ended September 30, 2020 and 2019 (unaudited)

MAN-AHL DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2020
	(Unaudited)		December 31, 2019
ASSETS
Equity in trading accounts:
Net unrealized trading gains on open futures contracts	$	1,060,133	$	3,167,474
Net unrealized trading gains on open forward contracts		—		456,428
Net unrealized trading gains on open swap agreements		3,118,863		7,820,514
Net premiums paid on credit default swap agreements		1,225,973		7,177,944
Due from brokers		18,745,103		19,679,210

Total equity in trading accounts		24,150,072		38,301,570
Cash and cash equivalents		3,369,051		1,460,824
Investment in securities, at fair value (cost $91,961,150 and $79,538,940 at September 30, 2020 and December 31, 2019, respectively)		91,972,583		79,543,495

Total assets	$	119,491,706	$	119,305,889

LIABILITIES AND PARTNERS’ CAPITAL
LIABILITIES:
Net unrealized trading losses on open forward contracts	$	1,773,884	$	2,569,584
Net premiums received on credit default swap agreements		1,694,275		170,833
Redemptions payable to Man-AHL Diversified I L.P.		2,717,933		1,578,942
Accrued expenses and other liabilities		261,817		246,383

Total liabilities		6,447,909		4,565,742

PARTNERS’ CAPITAL:
Limited Partners (6,385.94 and 6,473.89 units outstanding at September 30, 2020 and December 31, 2019, respectively)		113,043,797		114,740,147

Total partners’ capital		113,043,797		114,740,147

Total liabilities and partners’ capital	$	119,491,706	$	119,305,889

NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST	$	17,701.98	$	17,723.52

See notes to financial statements.

MAN-AHL DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

CONDENSED SCHEDULES OF INVESTMENTS


	September 30, 2020 (Unaudited)						December 31, 2019
				Percent of						Percent of
				Partners’						Partners’
	Fair Value			Capital			Fair Value			Capital
FUTURES CONTRACTS - Long:
Agricultural	$	875,810			0.8		$	545,201			0.5
Currencies		—			—			(16,585	)		(0.0	)
Energy		(84,979	)		(0.1	)		253,411			0.2
Indices		(15,853	)		(0.0	)		798,257			0.7
Interest Rates		547,059			0.5			(357,456	)		(0.3	)
Metals		23,820			0.0			766,741			0.6

Total futures contracts - long		1,345,857			1.2			1,989,569			1.7

FUTURES CONTRACTS - Short:
Agricultural	$	(148,108	)		(0.2	)		(650,318	)		(0.6	)
Currencies		(54,613	)		(0.1	)		—			—
Energy		(30,798	)		(0.0	)		1,075,976			0.9
Indices		4,817			0.0			325,822			0.3
Interest Rates		(37,032	)		(0.0	)		426,425			0.4
Metals		(19,990	)		0.0			—			—

Total futures contracts - short		(285,724	)		(0.3	)		1,177,905			1.0

NET UNREALIZED TRADING GAINS (LOSSES) ON OPEN FUTURES CONTRACTS	$	1,060,133			0.9		$	3,167,474			2.7

FORWARD CONTRACTS - Long:
Australian dollars	$	(49,620	)		0.0		$	130,453			0.1
Brazilian real		(128,453	)		(0.1	)		414,564			0.4
Mexican peso		(70,506	)		(0.1	)		1,803,368			1.6
Turkish lira		—			—			(421,340	)		(0.4	)
Metal		—			—			407			0.0
New Zealand dollars		(141,191	)		(0.1	)		613,957			0.5
South African rand		12,438			0.0			793,233			0.7
South Korean won		39,433			0.0			95,412			0.1
U.K. pound		(166,108	)		(0.1	)		716,083			0.6
Other		(1,148,542	)		(1.1	)		3,194,413			2.8

Total long forward contracts vs USD		(1,652,549	)		(1.5	)		7,340,550			6.4

FORWARD CONTRACTS - Short:
Australian dollars	$	89,040			0.1		$	(495,566	)		(0.4	)
Brazilian real		246,097			0.2			(563,815	)		(0.5	)
Mexican peso		(39,105	)		(0.0	)		(888,543	)		(0.8	)
Turkish lira		11,631			0.0			24,503			0.0
New Zealand dollars		(6,045	)		(0.0	)		(131,618	)		(0.1	)
South African rand		(79,780	)		(0.1	)		(69,451	)		(0.1	)
South Korean won		(162,507	)		(0.2	)		(278,157	)		(0.2	)
U.K. pound		(9,541	)		(0.0	)		(1,460,324	)		(1.3	)
Other		664,885			0.6			(4,871,032	)		(4.2	)

Total short forward contracts vs USD		714,675			0.6			(8,734,003	)		(7.6	)

Forward contracts - Cross currencies		(815,829	)		(0.7	)		(497,943	)		(0.4	)
Forward contracts - Metal non USD		(20,181	)		(0.0	)		(221,760	)		(0.2	)

		(836,010	)		(0.7	)		(719,703	)		(0.6	)

NET UNREALIZED TRADING GAINS (LOSSES) ON OPEN FORWARD CONTRACTS	$	(1,773,884	)		(1.6	)	$	(2,113,156	)		(1.8	)

See notes to financial statements.

MAN-AHL DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

CONDENSED SCHEDULES OF INVESTMENTS (CONTINUED)


			September 30, 2020 (Unaudited)						December 31, 2019
						Percent of						Percent of
						Partners’						Partners’
	Principal		Fair Value*			Capital			Fair Value*			Capital
SWAP AGREEMENTS - Long:
Credit default swaps - Buy protection centrally cleared (upfront premiums received $1,694,275 and $170,833, as of September 30, 2020 and December 31, 2019, respectively)			$	(97,447	)		(0.1	)	$	—			—
Interest rate swaps
Brazilian Real (range of expirations: January 4, 2021 - January 4, 2021 and January 4, 2021 - March 19, 2025, as of September 30, 2020 and December 31, 2019, respectively)				21,866,831			19.4			26,764,802			23.4
Other interest rate swaps				—			—			5,444,619			4.7

Total swap agreements - long				21,769,384			19.3			32,209,421			28.1

SWAP AGREEMENTS - Short:
Credit default swaps - Sell protection centrally cleared (upfront premiums paid $1,225,973 and $7,177,944, as of September 30, 2020 and December 31, 2019, respectively)				151,569			0.1			2,500,929			2.2
Interest rate swaps
Brazilian Real (range of expirations: January 4, 2021 - January 4, 2021 and January 4, 2021 - March 19, 2025, as of September 30, 2020 and December 31, 2019, respectively)				(18,802,090	)		(16.6	)		(22,743,954	)		(19.9	)
Other interest rate swaps				—			—			(4,145,882	)		(3.6	)

Total swap agreements - short				(18,650,521	)		(16.5	)		(24,388,907	)		(21.3	)

NET UNREALIZED TRADING GAINS/(LOSSES) ON OPEN SWAP AGREEMENTS			$	3,118,863			2.8		$	7,820,514			6.8

NET UNREALIZED TRADING GAINS/(LOSSES) ON OPEN CONTRACTS/AGREEMENTS			$	2,405,112			2.1		$	8,874,832			7.7

U.S. GOVERNMENT SECURITIES - Long:
United States Treasury Bill 0% 06/18/20		45,000,000	$	—			—		$	44,677,731			38.9
United States Treasury Bill 0% 04/02/20		35,000,000		—			—			34,865,764			30.4
United States Treasury Bill 0% 12/10/20		42,000,000		41,992,638			37.1
United States Treasury Bill 0% 03/18/21		5,000,000		4,997,863			4.4
United States Treasury Bill 0% 02/25/21		45,000,000		44,982,082			39.9

Total U.S. government securities - long				91,972,583			81.4			79,543,495			69.3

TOTAL INVESTMENT IN SECURITIES (COST $91,961,150 and $79,538,940 at September 30, 2020 and December 31, 2019, respectively)			$	91,972,583			81.4		$	79,543,495			69.3

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

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						For the nine months ended
	September 30,						September 30,
	2020			2019			2020			2019
NET INVESTMENT INCOME:
Interest income	$	37,496		$	644,834		$	631,217		$	1,856,588
Other income		6,582			127,923			6,582			127,923

Total investment income		44,078			772,757			637,799			1,984,511

EXPENSES
Brokerage commissions		40,634			64,038			137,558			185,046
Interest expense - brokers		28,968			75,426			148,383			170,558
Administration fees		22,793			22,241			51,062			64,773
Professional fees		58,813			36,990			184,836			169,177
Shareholder expenses		33,000			29,738			113,554			120,525
Other expenses		13,298			13,133			35,817			47,001

Total expenses		197,506			241,566			671,210			757,080


Net investment income (loss)		(153,428	)		531,191			(33,411	)		1,227,431

NET REALIZED AND UNREALIZED GAINS (LOSSES) ON TRADING ACTIVITIES:
Net realized trading gains (losses) on closed contracts/agreements and foreign currency transactions		(2,040,608	)		11,004,034			6,651,240			23,193,177
Net change in unrealized gains (losses) on translation of foreign currency		(9,790	)		(99,459	)		(40,027	)		(141,348	)
Net change in unrealized trading gains (losses) on investments in securities		5,272			(47,206	)		6,878			14,909
Net change in unrealized trading gains (losses) on open contracts/agreements		262,019			(2,731,136	)		(6,469,720	)		(3,864,399	)

Net gain (loss) on trading activities		(1,783,107	)		8,126,233			148,371			19,202,339

NET INCOME (LOSS)	$	(1,936,535	)	$	8,657,424		$	114,960		$	20,429,770

NET INCOME (LOSS) PER UNIT OF PARTNERSHIP INTEREST
(based on weighted average units outstanding during the period)	$	(292.68	)	$	1,232.65		$	17.49		$	2,672.78

WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD		6,616.49			7,023.41			6,572.91			7,643.65

See notes to financial statements.

MAN-AHL DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL (UNAUDITED)

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2020 AND 2019


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

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


PARTNERS’ CAPITAL - January 1, 2019	$	125,638,900			8,264		$	—		—	$	125,638,900			8,264
Subscriptions		336,834			21			—		—		336,834			21
Redemptions		(26,684,646	)		(1,626	)		—		—		(26,684,646	)		(1,626	)
Net income (loss)		20,429,770			—			—		—		20,429,770			—

PARTNERS’ CAPITAL - September 30, 2019	$	119,720,858			6,659		$	—		—	$	119,720,858			6,659

Units and dollars have been rounded to the nearest whole number.

See notes to financial statements.

MAN-AHL DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

STATEMENTS OF CASH FLOWS (UNAUDITED)


	For the nine months ended September 30,
	2020			2019
CASH FLOWS FROM OPERATING ACTIVITIES:
Net income (loss)	$	114,960		$	20,429,770
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Purchases of investments in securities		(144,909,298	)		(120,711,352	)
Amortization of premium/discount on securities		(512,395	)		(1,552,740	)
Sales of investments in securities		132,999,483			134,964,376
Net change in unrealized trading (gains) losses on investments in securities		(6,878	)		(14,909	)
Net change in unrealized trading (gains) losses on open contracts/agreements		6,469,720			3,864,399
Changes in assets and liabilities:
Due from brokers		934,107			(2,783,604	)
Net premiums paid on credit default swap agreements		5,951,971			(8,057,982	)
Net premiums received on credit default swap agreements		1,523,442			597,935
Accrued expenses and other liabilities		15,434			5,780

Net cash provided by (used in) operating activities		2,580,546			26,741,673

CASH FLOWS FROM FINANCING ACTIVITIES:
Proceeds from subscriptions		10,539,695			336,834
Payments on redemptions		(11,212,014	)		(32,129,851	)

Net cash used in financing activities		(672,319	)		(31,793,017	)

NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS		1,908,227			(5,051,344	)
CASH AND CASH EQUIVALENTS - Beginning of period		1,460,824			7,258,493

CASH AND CASH EQUIVALENTS - End of period	$	3,369,051		$	2,207,149

SUPPLEMENTAL DISCLOSURE OF CASH ACTIVITY:
Cash paid for interest during the period	$	148,383		$	170,558

See notes to financial statements.

MAN-AHL DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

NOTES TO FINANCIAL STATEMENTS (UNAUDITED)

The accompanying unaudited financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Man-AHL Diversified Trading Company L.P.’s (a Delaware Limited Partnership) (the “Trading Company”) financial condition at September 30, 2020, and the results of its operations for the three and nine month periods ended September 30, 2020 and 2019. These financial statements present the results of interim periods. These financial statements should be read in conjunction with the audited financial statements and notes included in Man-AHL Diversified I L.P.’s annual report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2019. The December 31, 2019 information has been derived from the audited financial statements as of December 31, 2019.

1. ORGANIZATION OF THE TRADING COMPANY

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

The Trading Company was formed to serve as a trading vehicle for certain limited partnerships sponsored by the General Partner in a “master-feeder” structure. The limited partners, Man-AHL Diversified I L.P. and Man-AHL Diversified II L.P., are limited partnerships whose general partner is the General Partner.

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

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

2. SIGNIFICANT ACCOUNTING POLICIES

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

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

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

Amounts due from brokers include cash held at brokers and cash posted as collateral. The amount of cash held as collateral and included in due from brokers on the statements of financial condition is $7,394,119 and $19,679,208 as of September 30, 2020 and December 31, 2019, respectively.

Due to Brokers — Due to brokers consists of balances owed to its Brokers, as well as balances due to The Bank of New York Melon relating to securities or contracts, the Trading Company has purchased or entered into, but have not yet settled as of September 30, 2020.

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

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

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

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

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

Cash and Cash Equivalents — Cash and cash equivalents include unrestricted cash, short-term interest-bearing money market accounts and U.S. government securities with original maturities of 90 days or less, held with The Bank of New York Mellon. As of September 30, 2020 and December 31, 2019, the Trading Company maintains cash balances with The Bank of New York Mellon. As of September 30, 2020, the Trading Company held foreign cash balances of $823,067 with a cost of $820,280, which are included in cash and cash equivalents. As of December 31, 2019, the Trading Company held foreign cash balances of $223,755 with a cost of $218,636. As of September 30, 2020 and December 31, 2019, the Trading Company did not hold any U.S. Treasury Bills in cash and cash equivalents.

Investments in Securities — Investments in Securities include U.S. government securities with original maturities of more than 90 days, held with The Bank of New York Mellon. As of September 30, 2020, the Trading Company holds $91,972,583 of U.S. Treasury Bills in securities. These U.S. Treasury Bills, with maturity dates ranging from December 10, 2020 to March 18, 2021, have a total face value of $92,000,000. As of December 31, 2019, the Trading Company holds $79,543,495 of U.S. Treasury Bills in securities. These U.S. Treasury Bills, with a maturity date ranging from April 2, 2020 to September 18, 2020, have a total face value of $80,000,000. As of September 30, 2020 and December 31, 2019, all U.S. Treasury Bills are classified as Level 2 investments in the fair value hierarchy.

Income Taxes — The Trading Company is treated as a partnership for tax purposes and therefore is not subject to federal, state, or local income tax. Such taxes are the liabilities of the individual partners and the amounts thereof will vary depending on the individual situation of each partner. Accordingly, there is no provision for income taxes in the accompanying financial statements. ASC 740, Income Taxes, defines how uncertain tax positions should be recognized, measured, presented, and disclosed in the financial statements and is applied to all open tax years. The Trading

Company has evaluated tax positions taken or expected to be taken in the course of preparing the Trading Company’s tax returns to determine whether the tax positions are more likely than not to be sustained by the applicable tax authority. Based on this analysis of all tax jurisdictions and all open tax years subject to examination, there were no material tax positions not deemed to meet a more-likely-than-not-threshold. Therefore, no tax expense, including interest or penalties, was recorded for the three or nine month periods ended September 30, 2020 and 2019. To the extent that the Trading Company records interest and penalties, they would be included in interest expense and other expenses, respectively, on the statements of operations. The following is the major tax jurisdiction for the Trading Company and the earliest tax year subject to examination: United States – 2017.

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

Other Income — Other income included in the Statement of Operations includes the proceeds received by the trading company relating to a class action award.

3. LIMITED PARTNERSHIP AGREEMENT

The General Partner and limited partners share in the profits and losses of the Trading Company in proportion to the amount of capital held by each partner. However, no limited partner is liable for obligations of the Trading Company in excess of its capital contribution and net profits or losses, if any. The General Partner owned no direct interest in the Trading Company during the periods ended September 30, 2020 and December 31, 2019.

Distributions (other than redemption of units), if any, are made on a pro-rata basis at the sole discretion of the General Partner. No distributions were declared or paid during the three or nine month periods ended September 30, 2020 and 2019.

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

4. FAIR VALUE MEASUREMENTS

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

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

•

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

•

Level 2 — investments with significant market observable inputs

•

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

Futures contracts are valued based on end of day quoted prices from the exchange and are categorized as Level 1 investments in the fair value hierarchy. Treasury bills, forward contracts and swap agreements are valued at fair value using independent pricing services, which use market observable inputs in their valuations, and are categorized as Level 2 investments in the fair value hierarchy. As of September 30, 2020 and December 31, 2019, the Trading Company did not have any positions categorized as Level 3 investments in the fair value hierarchy. The following is a summary categorization as of September 30, 2020 and December 31, 2019, of the Trading Company’s investments based on the level of inputs utilized in determining the value of such investments:


	Fair Value Measurements
Investments	As of September 30, 2020			Level 1			Level 2			Level 3
Assets
Treasury bills	$	91,972,583		$	—		$	91,972,583		$	—
Futures contracts		2,247,288			2,247,288			—			—
Forward contracts		3,749,891			—			3,749,891			—
Swap agreements		22,022,116			—			22,022,116			—

Total Assets		119,991,878			2,247,288			117,744,590			—

Liabilities
Futures contracts		(1,187,155	)		(1,187,155	)		—			—
Forward contracts		(5,523,775	)		—			(5,523,775	)		—
Swap agreements		(18,903,253	)		—			(18,903,253	)		—

Total Liabilities		(25,614,183	)		(1,187,155	)		(24,427,028	)		—

Net Fair Value	$	94,377,695		$	1,060,133		$	93,317,562		$	—


	Fair Value Measurements
Investments	As of December 31, 2019			Level 1			Level 2			Level 3
Assets
Treasury bills	$	79,543,495		$	—		$	79,543,495		$	—
Futures contracts		4,995,338			4,995,338			—			—
Forward contracts		13,200,938			—			13,200,938			—
Swap agreements		34,757,966			—			34,757,966			—

Total Assets		132,497,737			4,995,338			127,502,399			—

Liabilities
Futures contracts		(1,827,864	)		(1,827,864	)		—			—
Forward contracts		(15,314,094	)		—			(15,314,094	)		—
Swap agreements		(26,937,452	)		—			(26,937,452	)		—

Total Liabilities		(44,079,410	)		(1,827,864	)		(42,251,546	)		—

Net Fair Value	$	88,418,327		$	3,167,474		$	85,250,853		$	—

The Trading Company discloses the amounts of transfers and reasons for those transfers between levels of the fair value hierarchy, based on the levels assigned under the hierarchy at the reporting period end. There were no transfers between levels as of September 30, 2020 or 2019 based on the levels assigned at December 31, 2019 or 2018.

5. DERIVATIVE FINANCIAL INSTRUMENTS AND CONCENTRATIONS OF CREDIT RISK

The Trading Company seeks to achieve its investment objective by participation in the AHL Diversified Program directed on behalf of the Trading Company by the Advisor. The AHL Diversified Program is a price trend-following trading system, entirely quantitative in nature, and implements trading positions on the basis of statistical analyses of past price histories. The objective of the AHL Diversified Program is to deliver substantial capital growth for commensurate levels of volatility over the medium term, independent of the movement of the stock and bond markets, through the speculative trading, directly and indirectly, of physical commodities, futures contracts, spot and forward contracts, swaps and options on the foregoing, exchanges of futures for physical transactions and other investments on domestic and international exchanges and markets (including the interbank and over-the-counter markets (“OTC”)). The AHL Diversified Program trades globally in several market sectors, including, without limitation, currencies, bonds, energies, stock indices, interest rates, metals and agriculture.

All of the strategies and systems of the AHL Diversified Program are designed to target defined volatility levels rather than returns, and the investment process is underpinned by computer-supported analytical instruments and disciplined real-time risk and management information systems. A proprietary risk measurement method similar to the industry standard “value-at-risk” helps ensure that the rule-based decisions that drive the investment process remain within pre-defined risk

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

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

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

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

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

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

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

As of September 30, 2020 and December 31, 2019, the total fair value and notional amounts of credit default swaps on indices where the Trading Company is the seller is presented in the following table by contract terms:


	Fair Value and Notional Amounts by Contract Term
	September 30, 2020				December 31, 2019
	1-5 years				1-5 years
Credit spread (in basis points)	Fair Value		Notional Amount		Fair Value		Notional Amount
0-100	$	49,525	$	30,000,000	$	641,489	$	175,000,000
101-250		—		—		237,204		20,000,000
251-350		60,103		5,000,000		1,622,236		15,000,000
351-450		41,941		5,000,000		—		—
450+		—		—		—		—

Total	$	151,569	$	40,000,000	$	2,500,929	$	210,000,000

The notional amount represents the maximum potential pay out that the Trading Company could be required to make if a credit event were to occur under each agreement. The maximum payout amount may be offset by the subsequent sale, if any, of assets obtained via the execution of a payout event, upfront fees received upon entering into the contracts, or net amounts received from the settlement of offsetting purchased protection in credit default swap contracts entered into by the Trading Company for the same reference entity or entities. As of September 30, 2020 and December 31, 2019, all credit default swap contracts entered into by the Trading Company are on indices. The credit spread of the underlying indices, derived from the fair value at September 30, 2020 of each credit default swap where the Trading Company is a seller, ranged between 59 basis points and 382 basis points. The credit spread of the underlying indices, derived from the fair value at December 31, 2019 of each credit default swap where the Trading Company is a seller, ranged between 44 basis points and 281 basis points. The credit spread is generally indicative of the status of the underlying risk of default by the applicable reference entity or index and is likely to be different than the contractual spread on the credit default swap. Higher credit spreads are indicative of a higher likelihood of non-performance by the Trading Company. As of September 30, 2020 the Trading Company posted cash collateral of $1,539,459, and as of December 31, 2019, the Trading Company posted cash collateral of $3,044,358, with respective counterparties on these agreements in the normal course of business. As of September 30, 2020, all open credit default swap agreements on selling protection have maturity dates ranging from December 20, 2025 to June 20, 2025. As of December 31, 2019, all open credit default swap agreements on selling protection have a maturity date of December 20, 2024.

During the three months ended September 30, 2020, the Trading Company traded 15,465 exchange-traded futures contracts and settled 37,140 forward contracts and 284 swap agreements. During the nine months ended September 30, 2020, the Trading Company traded 49,677 exchange-traded futures contracts and settled 127,880 forward contracts and 1,111 swap agreements. During the three months ended September 30, 2019, the Trading Company traded 23,203 exchange-traded futures contracts and settled 60,327 forward contracts and 177 swap agreements. During the nine months ended September 30, 2019, the Trading Company traded 73,191 exchange-traded futures contracts and settled 169,381 forward contracts and 818 swap agreements.

As of September 30, 2020, the gross notional value of open forward contracts is $1,379,915,642 and the gross notional value of open swap contracts is $96,409,493. As of December 31, 2019, the gross notional value of open forward contracts was $2,674,274,863 and the gross notional value of open swap contracts was $243,523,554. The trading activity of open forward and swap contracts as of September 30, 2020 and 2019 is indicative of the trading activity throughout the period.

The Trading Company trades derivative financial instruments that involve varying degrees of market and credit risk. Market risks may arise from unfavorable changes in interest rates, foreign exchange rates, or the fair values of the instruments underlying the contracts. All contracts are stated at fair value, and changes in those values are reflected in the net change in unrealized trading gains (losses) on open contracts/agreements in the statements of operations. Credit risk arises from the potential inability of counterparties to perform in accordance with the terms of a contract. The credit risk for OTC derivative contracts is limited to the net unrealized gain plus any collateral posted net of unrealized losses or upfront fees posted, if any, for each counterparty for which a netting agreement exists and is included in the statements of financial condition. Upfront fees are listed on the statements of financial condition as net premiums paid/received on credit default swap agreements and are shown net by counterparty for which a netting agreement exists. Counterparty relationships are governed by various contracts. These contracts can be based on industry standard agreements, such as International Swap and Derivatives Association agreements for OTC contracts. These agreements set forth each party’s basic rights, responsibilities, and duties. These agreements also contain information regarding financial terms and conditions, as well as termination and events of default provisions. Certain agreements contain provisions that require the Trading Company to post additional collateral upon the occurrence of specific credit risk related events or upon notice

from the counterparty. As the Trading Company’s trading strategies are dependent upon the existence of these agreements, the Trading Company’s counterparties usually have multiple specified events under which they can terminate individual transactions or the entire agreement. These are most commonly related to declines in assets under management and performance below certain thresholds during a specified period. It is not guaranteed that counterparties will move to terminate individual transactions or entire agreements if a “trigger event” were to occur; however, it is their right to do so, and such a move could severely impact the Trading Company’s portfolio. At September 30, 2020 and December 31, 2019, the OTC contracts subject to such trigger events in a net liability position were the foreign currency forward contracts, interest rate swap agreements and credit default swap agreements. The details of the net liability positions by counterparty are disclosed later in this note on the additional disclosures regarding the offsetting of derivative liabilities table. The ultimate amounts that may be required as payment to settle the derivative instruments in connection with the triggering of such credit contingency features as of September 30, 2020 and December 31, 2019, may differ from the net liability amounts recorded as of September 30, 2020 and December 31, 2019, and such differences can be material.

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

As of September 30, 2020 and December 31, 2019, all credit default swaps held by the Trading Company are centrally cleared swaps.

The following table presents the fair value of the Trading Company’s derivative instruments and net presentation on statements of financial condition:


	September 30, 2020
	Asset Derivatives			Liability Derivatives
Primary Risk Exposure	Statements of Financial Condition	Fair Value		Statements of Financial Condition	Fair Value
Open forward contracts	Gross unrealized trading gains			Gross unrealized trading losses
Currencies	on open forward contracts	$	3,683,148	on open forward contracts	$	(5,436,851	)
Metals			66,743			(86,924	)

Total open forward contracts			3,749,891			(5,523,775	)

Open futures contracts	Gross unrealized trading gains			Gross unrealized trading losses
Agricultural	on open futures contracts		1,046,262	on open futures contracts		(318,560	)
Currencies			—			(54,613	)
Energy			166,058			(281,835	)
Indices			234,299			(245,335	)
Interest rates			636,564			(126,537	)
Metals			164,105			(160,275	)

Total open futures contracts			2,247,288			(1,187,155	)

Open swap agreements	Gross unrealized trading gains			Gross unrealized trading losses
Credit	on open swap agreements		155,285	on open swap agreements		(101,163	)
Interest rates			21,866,831			(18,802,090	)

Total open swap agreements			22,022,116			(18,903,253	)

Total Derivatives		$	28,019,295		$	(25,614,183	)


	December 31, 2019
	Asset Derivatives			Liability Derivatives
Primary Risk Exposure	Statements of Financial Condition	Fair Value		Statements of Financial Condition	Fair Value
Open forward contracts	Gross unrealized trading gains			Gross unrealized trading losses
Currencies	on open forward contracts	$	13,192,268	on open forward contracts	$	(15,084,071	)
Metals			8,670			(230,023	)

Total open forward contracts			13,200,938			(15,314,094	)

Open futures contracts	Gross unrealized trading gains			Gross unrealized trading losses
Agricultural	on open futures contracts		625,956	on open futures contracts		(731,073	)
Currencies			—			(16,585	)
Energy			1,478,135			(148,748	)
Indices			1,681,749			(557,670	)
Interest rates			441,482			(372,513	)
Metals			768,016			(1,275	)

Total open futures contracts			4,995,338			(1,827,864	)

Open swap agreements	Gross unrealized trading gains			Gross unrealized trading losses
Credit	on open swap agreements		2,500,929	on open swap agreements		—
Interest rates			32,257,037			(26,937,452	)

Total open swap agreements			34,757,966			(26,937,452	)

Total Derivatives		$	52,954,242		$	(44,079,410	)

The following table presents the impact of derivative instruments on the statements of operations:


	For the three months ended September 30,						For the nine months ended September 30,
	2020			2019			2020			2019
	Gain (Loss) on			Gain (Loss) on			Gain (Loss) on			Gain (Loss) on
Location of gain or loss recognized in income on derivatives	derivatives			derivatives			derivatives			derivatives
Forward contracts
Currencies	$	(1,303,517	)	$	3,652,569		$	(1,440,270	)	$	2,840,287
Metals		(1,082,955	)		820,704			860,102			493,868

Net realized trading gains (losses) on closed contracts/agreements	$	(2,386,472	)	$	4,473,273		$	(580,168	)	$	3,334,155

Currencies	$	124,718		$	5,027,986		$	138,100		$	1,212,535
Metals		387,094			(381,012	)		201,172			(698,514	)

Net change in unrealized trading gains (losses) on open contracts/agreements	$	511,812		$	4,646,974		$	339,272		$	514,021

Futures contracts
Agricultural	$	(1,421,666	)	$	419,958		$	(2,229,594	)	$	117,436
Currencies		82,026			301,112			(133,191	)		315,554
Energy		(819,916	)		(2,649,383	)		6,208,983			(1,999,156	)
Indices		554,455			(3,298,422	)		(5,566,708	)		(6,074,631	)
Interest rates		727,500			10,597,084			6,911,104			24,511,513
Metals		1,951,143			838,128			3,488,573			513,105

Net realized trading gains (losses) on closed contracts/agreements	$	1,073,542		$	6,208,477		$	8,679,167		$	17,383,821

Agricultural	$	811,235		$	(717,484	)	$	832,819		$	(1,155,990	)
Currencies		(53,670	)		286,711			(38,028	)		248,118
Energy		(295,632	)		294,955			(1,445,164	)		(155,776	)
Indices		(145,783	)		(1,327,016	)		(1,135,115	)		(1,416,081	)
Interest rates		(557,996	)		(5,177,167	)		441,058			(3,870,489	)
Metals		(271,325	)		(229,523	)		(762,911	)		(57,126	)

Net change in unrealized trading gains (losses) on open contracts/agreements	$	(513,171	)	$	(6,869,524	)	$	(2,107,341	)	$	(6,407,344	)

Swap agreements
Credit default swaps	$	(495,772	)	$	242,780		$	(2,337,285	)	$	1,483,395
Interest rate swaps		(276,773	)		91,564			1,097,636			1,147,819

Net realized trading gains (losses) on closed contracts/agreements	$	(772,545	)	$	334,344		$	(1,239,649	)	$	2,631,214

Credit default swaps	$	66,479		$	(758,243	)	$	(2,446,807	)	$	(27,585	)
Interest rate swaps		196,899			249,657			(2,254,844	)		2,056,509

Net change in unrealized trading gains (losses) on open contracts/agreements	$	263,378		$	(508,586	)	$	(4,701,651	)	$	2,028,924

Amounts in the table above exclude foreign exchange spot contracts.

As described above, the Trading Company may enter into netting agreements with its derivative contract counterparties whereby the Trading Company may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. As of September 30, 2020 and December 31, 2019, the Trading Company was subject to netting agreements that allowed for amounts owed between the Trading Company and its counterparty to be netted. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The netting agreements do not apply to amounts owed to or from different counterparties.

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


	Gross Amounts of Recognized Assets		Gross Amount Offset in the Statements of Financial Condition			Net Amounts of Assets presented in the Statements of Financial Condition		Gross Amounts Not Offset in the Statements of Financial Condition				Net Amount
	Gross Amounts of Recognized Assets							Financial Instruments		Cash Collateral Received		Net Amount
As of September 30, 2020
Open futures contracts
Bank of America Merrill Lynch	$	1,355,624	$	(719,515	)	$	636,109	$	—	$	—	$	636,109
Credit Suisse		571,550		(199,393	)		372,157		—		—		372,157
JPMorgan Chase		320,114		(268,247	)		51,867		—		—		51,867

Total open futures contracts	$	2,247,288	$	(1,187,155	)	$	1,060,133	$	—	$	—	$	1,060,133

Open forward contracts
Deutsche Bank	$	885,462	$	(885,462	)	$	—	$	—	$	—	$	—
HSBC		1,715,308		(1,715,308	)		—		—		—		—
JPMorgan Chase		66,743		(66,743	)		—		—		—		—
Royal Bank of Scotland		1,082,378		(1,082,378	)		—		—		—		—

Total open forward contracts	$	3,749,891	$	(3,749,891	)	$	—	$	—	$	—	$	—

Open swap agreements
Credit Suisse	$	67,253	$	(49,788	)	$	17,465	$	—	$	—	$	17,465
Goldman Sachs		46,091		(37,280	)		8,811		—		—		8,811
JPMorgan Chase		21,908,772		(18,816,185	)		3,092,587		—		—		3,092,587

Total open swap agreements	$	22,022,116	$	(18,903,253	)	$	3,118,863	$	—	$	—	$	3,118,863

As of December 31, 2019
Open futures contracts
Bank of America Merrill Lynch	$	2,274,795	$	(629,543	)	$	1,645,252	$	—	$	—	$	1,645,252
Credit Suisse		718,032		(697,088	)		20,944		—		—		20,944
JPMorgan Chase		2,002,511		(501,233	)		1,501,278		—		—		1,501,278

Total open futures contracts	$	4,995,338	$	(1,827,864	)	$	3,167,474	$	—	$	—	$	3,167,474

Open forward contracts
Deutsche Bank	$	1,704,868	$	(1,704,868	)	$	—	$	—	$	—	$	—
HSBC		6,089,855		(6,089,855	)		—		—		—		—
JPMorgan Chase		8,263		(8,263	)		—		—		—		—
Royal Bank of Scotland		5,397,952		(4,941,524	)		456,428		—		—		456,428

Total open forward contracts	$	13,200,938	$	(12,744,510	)	$	456,428	$	—	$	—	$	456,428

Open swap agreements
Credit Suisse	$	640,035	$	—		$	640,035	$	—	$	—	$	640,035
Deutsche Bank		3,464,513		(2,877,261	)		587,252		—		—		587,252
Goldman Sachs		238,658		—			238,658		—		—		238,658
JPMorgan Chase		30,414,760		(24,060,191	)		6,354,569		—		—		6,354,569

Total open swap agreements	$	34,757,966	$	(26,937,452	)	$	7,820,514	$	—	$	—	$	7,820,514

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


	Gross Amounts of Recognized Liabilities		Gross Amount Offset in the Statements of Financial Condition			Net Amounts of Liabilities Presented in the Statements of Financial Condition		Gross Amounts Not Offset in the Statements of Financial Condition				Net Amount
	Gross Amounts of Recognized Liabilities							Financial Instruments		Cash Collateral Pledged		Net Amount
As of September 30, 2020
Open futures contracts
Bank of America Merrill Lynch	$	719,515	$	(719,515	)	$	—	$	—	$	—	$	—
Credit Suisse		199,393		(199,393	)		—		—		—		—
JPMorgan Chase		268,247		(268,247	)		—		—		—		—

Total open futures contracts	$	1,187,155	$	(1,187,155	)	$	—	$	—	$	—	$	—

Open forward contracts
Deutsche Bank	$	1,258,702	$	(885,462	)	$	373,240	$	—	$	373,240	$	—
HSBC		2,378,516		(1,715,308	)		663,208		—		663,208		—
JPMorgan Chase		86,924		(66,743	)		20,181		—		20,181		—
Royal Bank of Scotland		1,799,633		(1,082,378	)		717,255		—		717,255		—

Total open forward contracts	$	5,523,775	$	(3,749,891	)	$	1,773,884	$	—	$	1,773,884	$	—

Open swap agreements
Credit Suisse	$	49,788	$	(49,788	)	$	—	$	—	$	—	$	—
Goldman Sachs		37,280		(37,280	)		—		—		—		—
JPMorgan Chase		18,816,185		(18,816,185	)		—		—		—		—

Total open swap agreements	$	18,903,253	$	(18,903,253	)	$	—	$	—	$	—	$	—

As of December 31, 2019
Open futures contracts
Bank of America Merrill Lynch	$	629,543	$	(629,543	)	$	—	$	—	$	—	$	—
Credit Suisse		697,088		(697,088	)		—		—		—		—
JPMorgan Chase		501,233		(501,233	)		—		—		—		—

Total open futures contracts	$	1,827,864	$	(1,827,864	)	$	—	$	—	$	—	$	—

Open forward contracts
Deutsche Bank	$	2,046,477	$	(1,704,868	)	$	341,609	$	—	$	341,609	$	—
HSBC		8,096,070		(6,089,855	)		2,006,215		—		2,006,215		—
JPMorgan Chase		230,023		(8,263	)		221,760		—		221,760		—
Royal Bank of Scotland		4,941,524		(4,941,524	)		—		—		—		—

Total open forward contracts	$	15,314,094	$	(12,744,510	)	$	2,569,584	$	—	$	2,569,584	$	—

Open swap agreements
Credit Suisse	$	—	$	—		$	—	$	—	$	—	$	—
Deutsche Bank		2,877,261		(2,877,261	)		—		—		—		—
Goldman Sachs		—		—			—		—		—		—
JPMorgan Chase		24,060,191		(24,060,191	)		—		—		—		—

Total open swap agreements	$	26,937,452	$	(26,937,452	)	$	—	$	—	$	—	$	—

Only the amount of the collateral up to the net amount of liabilities presented on the statements of financial condition is disclosed above. The table below lists additional amounts of collateral pledged:


	Additional Collateral Pledged
As of September 30, 2020
Open forward contracts
Deutsche Bank	$	1,110,726
HSBC	$	1,378,797
JPMorgan Chase	$	2,354,972
Royal Bank of Scotland	$	775,740

As of December 31, 2019
Open forward contracts
Deutsche Bank	$	2,055,802
HSBC	$	2,976,528

6. FINANCIAL GUARANTEES

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

7. FINANCIAL HIGHLIGHTS

The following represents the ratios to average partners’ capital and other information for the three and nine month periods ended September 30, 2020 and 2019:


	For the three months ended September 30,						For the nine months ended September 30,
	2020			2019			2020			2019
Per unit operating performance:
Beginning net asset value	$	18,002.47		$	16,778.91		$	17,723.52		$	15,203.61
Income (loss) from investment operations:
Net investment gain (loss)		(23.41	)		76.46			(5.12	)		162.41
Net realized and unrealized gains (losses) on trading activities and translation of foreign currency		(277.08	)		1,123.81			(16.42	)		2,613.16

Total income (loss) from investment operations		(300.49	)		1,200.27			(21.54	)		2,775.57

Ending net asset value	$	17,701.98		$	17,979.18		$	17,701.98		$	17,979.18

Ratios to average partners’ capital¹:
Expenses		0.66	%		0.77	%		0.75	%		0.82	%

Net investment gain (loss)		(0.52	)%		1.70	%		(0.04	)%		1.32	%

Total return²		(1.67	)%		7.15	%		(0.12	)%		18.26	%

¹	Ratios have been annualized.

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

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

8. SUBSEQUENT EVENTS

For the period subsequent to September 30, 2020 through November 13, 2020, the date the financial statements were issued, the Trading Company recorded limited partner subscriptions of $668,000, and limited partner redemptions of $3,597,400.

The General Partner has evaluated the impact of subsequent events on the Trading Company through November 13, 2020, the date the financial statements were issued, and noted no subsequent events that require adjustment to or disclosure in these financial statements, except as noted above.

The General Partner and the Advisor acknowledge the current outbreak of COVID-19 which is causing economic disruption in most countries and its potentially adverse economic impact on the issuers of the instruments in which the Trading Company invests. This is an additional risk factor which could impact the operations and valuation of the Trading Company’s assets after the period end.

ITEM 2.

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

Introduction

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

Operational Overview

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

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

Capital Resources and Liquidity

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

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

Partnership assets not invested in the Trading Company are maintained in cash and cash equivalents in bank accounts or accounts with The Bank of New York Mellon and are readily available to the Partnership. The Partnership may redeem any part or all of its limited partnership interest in the Trading Company at any month-end at the net asset value per unit of the Trading Company. The Trading Company’s assets are generally held as cash or cash equivalents which are used to margin futures and provide collateral for forward contracts and other over-the-counter (“OTC”) contract positions and are withdrawn, as necessary, to pay redemptions (to the Partnership and other investors in the Trading Company). Other than potential market-imposed limitations on liquidity, due, for example, to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Trading Company’s futures trading, the Trading Company’s assets are highly liquid and are expected to remain so.

There have been no material changes with respect to the Partnership’s critical accounting policies, off-balance sheet arrangements or disclosure of contractual obligations as reported in the Partnership’s Form 10-K filed March 27, 2020.

Allocations by Market Sector

The following table indicates the percentage of the Partnership’s assets allocated to initial margin for the Partnership’s open trading positions by market sector as of September 30, 2020. The Partnership’s capitalization was $80,559,257 as of September 30, 2020. See also Item 3, “Quantitative and Qualitative Disclosures About Market Risk,” below.


Quarter-End as of September 30^th
Market Sector	Margin Allocation		% of Capitalization
Agriculturals		1,031,102		1.28	%
Bonds		2,070,593		2.57	%
Credit		227,288		0.28	%
Currencies		880,521		1.09	%
Energy		946,299		1.17	%
Interest rates		2,403,527		2.98	%
Metals		1,123,559		1.39	%
Stock indices		2,735,458		3.40	%
Total		11,418,347		14.17	%

*	Certain total amounts do not foot due to rounding.

Results of Operations

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

Periods Ended September 30, 2020:

30-September-20

Ending Equity $80,559,257

Nine months ended September 30, 2020:

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

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

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

Three months ended September 30, 2020:

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

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

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

The Partnership posted positive returns in July with gains in equities, fixed income and commodities, offsetting losses in in FX; credit trading for the Partnership was relatively flat. Equities was the best performing asset class for the Partnership in July with rising markets suiting long positioning. As with recent months, technology stocks led the way, as US Software and Services topped the sector performance table, and Taiwanese equities led the country list, where chip-maker-for-Apple, TSMC, constitutes around one third of Taiwan’s Taiex index. Minor losses were incurred in a Nikkei futures position which flipped from short to long as the month progressed. In fixed income trading, the Partnership’s long positions in Italian 10-year bonds experienced the most gains as yields traded below 1% for the first-time since the outset of the pandemic. In the commodities sector, the Partnership’s long positions in gold and silver were top performers across the portfolio, offsetting losses from the Partnership’s short positions in aluminum and coffee. The majority of the Partnership’s July losses came from its FX trading, where a large fall in the US dollar influenced numerous positions. Established short positions in UK sterling, Chilean peso and the Swiss Franc against the dollar experienced notable losses, while a long cross in the Swedish krone posted some gains for the Partnership. In credit trading, the Partnership’s positions posted largely flat performance, ending the month marginally in the black.

In August, the Partnership posted positive returns with gains in equity, credit and FX trading ultimately overcoming losses in fixed income and commodities. The US dollar’s continued slide, since the coronavirus outbreak, benefitted the Partnership’s short positioning in the US dollar, most notably against the Canadian dollar and Indian rupee, which offset a loss in a short position of the US dollar against the South African rand. The continued outperformance of the US technology sector drove positive performance from trading in equities, particularly through long positioning, with the NASDAQ 100 and S&P 500 outperforming developed market peers. An inconsequential loss was incurred from a short in the French CAC40 index. In credit trading, all of the Partnership’s positions finished in the black, with European indices topping the charts. In the commodities sector, trading was mixed and ended with minor losses for the month. Long positions in copper and silver were top performers, while losses were experienced from short positions in aluminum and wheat. Another loss was incurred in a long position in US natural gas. The largest losses of the month occurred in the Partnership’s predominately long positions in fixed income, driven by long positions in 10 year Gilts and 10 year Australian bonds.

The Partnership finished the quarter down, as losses from trading in FX, commodities, credit and equities were marginally offset by gains in fixed income. In the FX sector, the Partnership’s long positions in the US dollar against the UK sterling and the Swedish krona posted the largest losses, while a long in the Euro versus the Hungarian forint posted a minor offsetting gain. The bullish trend in commodity prices also reversed in September and hurt the Partnership’s predominantly long positions. Gains from long positions in soybeans, corn and gas oil were not enough to offset losses led by long positions in coffee, silver and brent crude oil. Equity trading also finished in the red, as the S&P 500 and NASDAQ 100 lead losses. Trading in credit also finished in the red, with losses from short protection positions in US 5-year CDX index and European 5-year Crossover iTraxx posting the largest losses. Fixed income trading managed to keep its head just above water on the month. A long position in 10-year Italian government bonds was the top performer, offsetting a loss from the Partnership’s short position in German bonds.

Three months ended June 30, 2020:

The Partnership started the second quarter of 2020 with moderate negative returns, as the Partnership saw gains made in bonds and commodities negated by losses in equities, FX and credit. A sharp reversal in the equity markets saw losses on the short positioning built up in the Partnership in March. The Partnership’s credit positions also posted losses after credit spreads tightened, with the Partnership’s short positions in the European 5-year Crossover iTraxx and the US High Yield CDX Index posting losses. Within equities, net short positioning as well as a long VIX position finished in the red overall, with the long VIX position and shorts in TAIEX futures detracting most. In the currency sector, the Partnership’s short positions in the Brazilian real and the South African rand against the US were profitable, as both fell to new lows against the greenback. However, these gains were outweighed by losses in the Australian dollar. Trading in commodities was also mixed, with metals performance driven in particular by losses in short copper and the Partnership’s energy trading seeing gains in WTI crude oil offset by losses from shorts in U.S. natural gas. In the agricultural sector, shorts in corn also made gains. In the bonds sector, the Partnership’s position in Canadian bonds and Short Sterling were top performers, while a long position in Australian bonds detracted as did a short position in German bonds.

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

The Partnership ended the quarter with moderate negative returns in June. After a difficult first week, the fund posted negative returns, with losses across several asset classes, outweighing offsetting gains in interest rates trading. The Partnership’s FX net positioning changed from long to short the US dollar and saw losses, most notably in the Mexican peso and Japanese yen, though these were partially offset by gains in the British pound against the Australian dollar. The Partnership’s equities trading also finished the month marginally in the red, despite moving from flat to small net long as the month progressed. Global equity indices rallied early in the month but later were generally rangebound. Trading in credit also finished mildly in the red, as HY spreads steadily widened. In commodities trading, the Partnership saw losses though these were partially offset form gains in the Partnership’s short position in US natural gas. Short positions in base metals, aluminum in particular, also added to the Partnership’s losses as did trading in agricultural markets, with losses from the Partnership’s short positions in sugar and corn offsetting the minor gains from the Partnership’s short position in wheat. In the fixed income sector, UK interest rates futures and long positions in Italian bonds experienced positive performance. On the debit side, positioning in German bonds struggled as yields first rose and then fell lower.

Three months ended March 31, 2020:

The Partnership once again started off the year with moderate negative returns in January, with losses in currencies, equities and credit overcoming gains from commodities and fixed-income. In the third week of the month stocks faltered and credit spreads widened, accelerating already falling bond yields, as well as crude oil prices which ended the month down 20%. The US Dollar Index, which measures the performance of the greenback against a basket of foreign currencies, rose steadily, hurting the Partnership’s long positions in the New Zealand dollar and the South African rand. On the other hand, the Partnership’s short positions in South American currencies such as the Chilean peso against US dollar proved positive. Long positioning in stocks were profitable early in the month until a clear reversal near the end of the month caused the Partnership’s overall equity trading to finish in the red. Asian indices such as Taiwan’s TAIEX and China’s H-Shares fared worst. On the positive side for the Partnership, a long position in the Australian SPI 200 Index prospered. Long credit positions performed similarly to equities with a loss in aggregate, most notably in European 5yr Crossover iTraxx Index which widened around 25bp over the month. Overall, trading in commodities was positive. The biggest contributors on both the upside and downside were in energies. Short natural gas positions in the US and UK were positive as prices slid around 20%. On the other hand, long oil positions lost out despite swiftly switching to short as the month progressed and oil prices steadily declined. In other commodities, a long palladium position was positive, offsetting losses produced by shorts in coffee and copper. In terms of fixed income, gains were accrued over January as the Partnership’s positioning turned long. Italian bonds was one of the top performers in the asset class, while Canadian bonds struggled against a tightening yield backdrop, having started the month with a short position.

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

of the COVID-19 pandemic. Unsurprisingly, the Partnership’s long equity positions made up most of the losses, the worst being the Australian SPI 200 Index, S&P TSX 60 Index, as well as the Nikkei Index. The Partnership saw losses in each of the credit markets traded, shared fairly equally between the US (mainly the US 5yr CDX Index) and Europe (notably the European 5yr Crossover iTraxx Index). The Partnership’s FX trading finished the month with a small gain. Against the US dollar, short positions in the Brazilian real and Australian dollar were positive whilst a long position in the Mexican peso dragged on performance. Overall, trading in commodities was beneficial to the Partnership, particularly from energies with shorts in US natural gas and oil realized gains as crude oil prices slid. Shorts in zinc paid off as prices declined but losses were made in precious metals such as silver and platinum as prices became increasingly volatile. The Partnership’s short in coffee also suffered during the month. Finally, yields in fixed income instruments tightened, though the Partnership’s long positions performed positively, most notably in US treasuries, although losses were seen in Italian bonds.

The Partnership finished off the first quarter to post positive returns in March, as trading in nearly all sectors finished in the black, with notable gains in commodities and currencies leading the way. In FX trading, which saw the largest gains, the Partnership entered the month net long the US dollar against most currencies and built further into this position as the month progressed. The top performing positions were shorts in emerging markets such as Brazilian real and commodity currencies such as the Australian dollar. Comparatively, losses were incurred in US dollar crosses against developed market currencies such as the Japanese yen and Euro. In commodity trading, the Partnership’s short positions in crude was profitable, as well as its short copper position. Agricultural commodity positions suffered in aggregate, however, with longs in cocoa and sugar suffering as prices reversed their predominantly upward year-to-date direction. The Partnership’s equity positions turned net-short early on in the month, and these short positions generally ended up the month’s top performers. Most notable of these were in the Hang Seng index and the Russell 2000 Index while further gains came from a long position in the VIX Volatility Index. Positioning in credit also migrated from long to short as the month progressed and overall trading finished marginally in the black with gains principally coming from high yield credit indices. Fixed income markets bifurcated as the month progressed, as the Partnership’s dominantly long positioning in fixed income at the start of the month saw gains in the US market and losses in Italian bonds, with the asset class overall finishing in positive territory.

Periods Ended September 30, 2019:

30-September-19

Ending Equity $94,868,279

Nine months ended September 30, 2019:

Net assets decreased $4,868,505 for the nine months ended September 30, 2019. This decrease was attributable to subscriptions in the amount of $1,174,898, redemptions in the amount of $18,695,785 and a net gain from operations of $12,652,382.

Management fees of $2,139,144 and servicing fees of $716,748 were paid or accrued, and interest of $1,466,987 was earned or accrued on the Partnership’s share of the Trading Company’s cash and cash equivalents and broker balances, for the nine months ended September 30, 2019.

The Partnership’s other expenses paid or accrued were $921,769 and other income was $102,311 for the nine months ended September 30, 2019.

Three months ended September 30, 2019:

Net assets increased $3,790,177 for the three months ended September 30, 2019. This increase was attributable to subscriptions in the amount of $1,058,199, redemptions in the amount of $2,763,575 and a net gain from operations of $5,495,553.

Management fees of $730,799 and servicing fees of $244,533 were paid or accrued, and interest of $505,995 was earned or accrued on the Partnership’s share of the Trading Company’s cash and cash equivalents and broker balances, for the three months ended September 30, 2019.

The Partnership’s other expenses paid or accrued were $292,959 and other income earned was $102,311 for the three months ended September 30, 2019.

In July, the Partnership saw notable gains, led by a strong performance in currencies. Smaller gains in fixed income, equity and credit sectors also contributed to the Partnership’s gains. The Partnership’s commodities positions were the only detractors from an otherwise strong performance as losses from short positions in UK natural gas and losses from positions in nickel and coal outweighed gains from short positions in iron ore and longs in gold and carbon emissions. Further, agricultural trading finished down on the back of losses from sugar as it continued trading in a range bound market. The majority of the Partnership’s gains came from its currency trading, where the UK sterling came under significant pressure in the market, selling off by more than 4% against the U.S. dollar. Short positioning in pounds saw notable gains, as did the dominant long dollar positions against the euro and Korean won, while losses came from trading in South African rand and Polish zloty. In the fixed income sector, the Euro-zone bonds continued to rally, generating gains for the Partnership, particularly from Italian 10yr BTPs, which were the top performer and outweighed losses in U.S. Treasuries. The Partnership experienced minor gains in the credit sector as credit spreads tightened across most credit indices and the short protection generated gains across all markets except in the U.S. High Yield CDX index. In the equities sector, the Partnership’s minor gains came from rising indices, in particular the Australian SPI 200 Index and the FTSE 100, the latter supported by a weaker sterling. Cash equity trading was positive, with shorts in U.S. energy companies positive and outweighing losses on shorts in European retail stocks.

In August, the Partnership continued to experience gains, as losses in stocks and credit were outweighed by gains in fixed income, commodities and currency positions. The Partnership continued its success in the fixed income sector, as gains from its long positions in the 10-year U.S. treasury notes and other long bond positions outweighed the smaller number of modest losing positions in U.S. 2-year notes and Brazilian swaps. In currencies, the Partnership had its largest gain as a stronger U.S. dollar broadly benefitted the Partnership’s long U.S. dollar position as the South Korean won and the Chilean peso, alongside other emerging and developed currencies, struggled. These large gains were enough to more than offset smaller losses on positions in Turkish lira, South African rand and Japanese yen. The Partnership’s commodities trading had the strongest gains in August, led by the Partnership’s long position in metals, particularly gold and silver. Shorts in sugar and wheat also made gains, helping to offset trading in energies, which sustained losses, particularly in the Partnership’s short position in RBOB gasoline. The Partnership’s equity trading generated its largest losses of the month, with long positions in the Australian SPI 200 futures and the FTSE 100 generating notable losses. The Partnership’s credit trading also finished in the red, with losses across all markets.

In a reversal of its performance over the previous two months, the Partnership ended the quarter with notable losses. The Partnership’s minor gains in credit were not enough to offset the Partnership’s losses in stocks, currencies and, notably, commodities and fixed income. In commodities trading, where the Partnership sustained the largest losses, volatile oil prices hampered the Partnership’s short position, while larger losses were made on other commodity markets, particularly longs in gold and shorts in agricultural commodities such as sugar and wheat. A small offset came from a long position on palladium whose price continued to hit record highs. U.S. 10-year treasury yields, which started the month at near record lows, backed up more than 40bp over the first two weeks, affecting fixed income markets globally. U.S. treasuries was the Partnership’s worst performer in fixed income, outweighing the small gains from Italian government bonds. In the currency sector, losses from the Partnership’s shorts in the Mexican peso and South Korean won overcame the Partnership’s gains from shorts in the Euro and Swiss Franc and longs in the Turkish lira. Trading in equities finished the month slightly in the red, with a mixed performance consisting of losses from longs in the Russell 2000 and Korean KOSPI indices and gains in longs in Euro-STOXX and Australian SPI 200. The Partnership’s credit trading was essentially flat, with minor gains for the month being driven from performance in the U.S., while European credit trading detracted.

Three months ended June 30, 2019:

The Partnership ended April with notable gains overall, with positive returns from its stocks, commodities, currency and credit trading outweighing losses experienced in fixed income trading. The Partnership’s net long equities position saw large gains as several U.S. indices hit new highs and made equities the top performing asset class in April. In the commodity sector, the Partnership’s short positions in many of the markets experienced gains, notably in the wheat market, which outweighed the losses experienced by Partnership’s short position in UK natural gas. The Partnership’s credit trading positions were also profitable, with gains from investment grade indices in both the U.S. and Europe more than offsetting the losses generated from a long in the Korean KOSPI. While the strength of the U.S. dollar against many currencies suited the Partnership’s net long position in the U.S. dollar, particularly against the South Korean Won, the Partnership’s top sector performer was surprisingly a long in the Mexican peso against the U.S. dollar. A loss was incurred trading the Japanese yen against the euro. In the fixed income sector, the Partnership experienced losses in its dominantly long fixed income positions, as nearly all of its positions finished at a loss, most notably Short Sterling and Israeli swaps. The Partnership’s position in Italian government bonds saw small gains.

In May, the Partnership experienced an overall loss, as the significant gains in fixed income and minor gains in currency trading were negated by losses in stocks, commodities and credit. The Partnership’s losses were largely attributable to its stock trading, as a sharp reversal in the equity markets saw losses on the Partnership’s previously profitable long positions, which were further exacerbated by losses in the Partnership’s short positions in VIX futures. The Partnership’s commodity trading had mixed returns, and ultimately ended up down, as losses from short positions in grains outweighed gains from short positions in copper and both U.K. and U.S. natural gas markets. With respect to the credit markets, the Partnership reduced the number of its short protection positions, as they all were generating losses, due to the widening spread on the E.U. 5-year Crossover iTraxx. Currency trading experienced minor gains in May, as gains from long U.S. dollar positions against the South Korean Won and the Chilean Peso were mostly offset by losses generated from short positions in the Japanese Yen, which reached a four-month high against the U.S. dollar. The Partnership’s April losses in its fixed income were driven largely by its positions in Interest Rate Future Contracts.

The Partnership generated notable gains in June, as fixed income once again generated a substantial portion of the Partnership’s profits. With additional gains in stocks and credit, losses generated in currency trading were more than made up for. The Partnership’s fixed income trading continued its strong performance from May to end the quarter as the Partnership’s strongest trading sector, as the Partnership experienced a strong performance from long positions in U.S. and European government bonds, particularly Italian and French bonds. In the commodity sector, trading was once again mixed, with short positions in sugar driving losses and offsetting profits from long positions in palladium and short positions in UK and U.S. natural gas markets. In the credit market, credit spreads tightened across all credit indices and the Partnership’s short protection positions generated gains across all markets. In the equity markets, long stock index positions recovered from their downturn in May and finished the month slightly positive. The Partnership’s currency trading was the main source of losses in June, as modest gains on long Russian Ruble positions were outweighed by losses from the Partnership’s long positions in U.S. dollar against the South Korean Won, Chilean Peso, Euro and New Zealand Dollar, which were four of the Partnership’s five worst-performing markets in June.

Three months ended March 31, 2019:

The Partnership realized moderate negative returns in January with losses sustained in the equity, commodities, currencies and credit sectors outweighing gains achieved in the fixed-income market. Equity trading served as the Partnership’s loss leader for the month as a sharp trend reversal in the equity markets battered the Partnership’s short positioning built up at the conclusion of 2018. With respect to commodities, short wheat positions contributed to the sector’s overall negative performance, and gains on long positions in palladium were outweighed by losses from short positions in copper and aluminum. The Partnership’s short exposure to oil further contributed to the sector’s monthly losses as oil prices reversed a 3-month trend that had seen crude fall by more than 40%. Currency trading similarly ended in negative performance territory for the month. Although the Partnership’s long positions in certain emerging market currencies, including those of South Africa, Brazil and Turkey, produced positive performance, the Partnership’s positions in developed markets, including Canada, Australia and the United Kingdom, provided offsetting losses. Credit trading was mixed and concluded the month with slightly negative results as losses stemming from long protection positions early in January edged out gains. On the positive side, fixed income trading produced some offsetting gains as the Partnership’s exposure to Israeli swaps and French and German bonds proved profitable.

In February, the Partnership generated modest gains as trading in the commodities, credit and equities markets outdistanced losses sustained from the Partnership’s fixed income and currency positions. With respect to commodities, long palladium positions and short wheat exposure were among the Partnership’s top performers. These gains were supplemented by the Partnership’s credit trading with long exposure to the European 5yr iTraxx Index providing notable gains. Currency trading was mixed in February but ended the month with negative performance as losses from long exposure to the South African rand and Brazilian Real outdistanced gains from short exposure to the Swedish Krona and Japanese Yen. In the fixed income markets, the Partnership also sustained losses with long exposure to U.S. treasuries and Italian bonds serving as the biggest detractors from performance.

The Partnership ended the quarter with notable gains in March as trading in the fixed income markets provided strong returns despite losses sustained from commodities and currency trading. Long positions in European and U.S. government bonds, particularly French OAT bonds, were among the Partnership’s top performers for the month and substantially outweighed a smaller number of losing fixed-income positions such as U.K. gilts and Brazilian swaps. Regarding commodities, the Partnership’s short positions in both the U.K. and U.S. gas markets were well positioned to take advantage of falling natural gas prices, but a collapse in palladium prices during the last week of March pummeled the Partnership’s long exposure to the metal and contributed to currency trading ending the month with negative overall returns. Currency trading in March also proved challenging as gains made in a short Euro position were outweighed by losses on a range of markets including the Mexican Peso and Turkish Lira. The Partnership’s equity and credit trading both finished the month in slightly positive territory. Long exposure to stock index positions and U.S. credit indices were the most positive for these sectors.

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 September 30, 2020. As of September 30, 2020, the Partnership’s average quarter-end capitalization was $87,931,156.


Quarter-Ended September 30, 2020
Market Sector	Average Value at Risk		% of Average Capitalization			Highest Value at Risk		Lowest Value at Risk
Agriculturals		986,306		1.12	%		1,031,102		909,456
Bonds		1,475,092		1.68	%		2,070,593		672,596
Credit		477,307		0.54	%		614,503		227,288
Currencies		1,504,579		1.71	%		2,283,844		880,521
Energies		793,727		0.90	%		946,299		659,035
Interest rates		1,282,594		1.46	%		2,403,527		509,723
Metals		1,204,695		1.37	%		1,260,512		1,123,559
Stock indices		1,705,520		1.94	%		2,735,458		965,589
Total*		9,429,820		10.72	%		13,345,838		5,947,767

*	Certain total amounts do not foot due to rounding.

Average, highest and lowest Value at Risk amounts relate to the quarter-end amounts for the nine months ended September 30, 2020. Average capitalization is the Partnership’s average quarter-end capitalization at the end of the nine months ended September 30, 2020.

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

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

Non-Trading Risk

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

The Partnership also has non-trading cash flow risk as a result of holding a substantial portion of its assets in U.S. government securities (Treasury Bills) and interest-bearing bank accounts. These cash and cash equivalents are placed with highly rated counterparties with a priority placed on preservation of capital and reputation (i.e., appropriate level of credit risk, market risk and reputation risk) and liquidity (i.e., appropriate level of liquidity risk).

Qualitative Disclosures Regarding Primary Trading Risk Exposures

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

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

The following were the primary trading risk exposures of the Partnership as of September 30, 2020, by market sector.

Fixed Income. Interest rate movements directly affect the price of the sovereign bond futures positions held by the Partnership and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries may materially impact the Partnership’s profitability. The Partnership’s primary interest rate exposure is to interest rate fluctuations in United States, Italy, Australia, United Kingdom and Canada. However, the Partnership also may take positions in futures contracts on the government debt of smaller nations. The General Partner anticipates that G-7 interest rates, both long-term and short-term, will remain the primary market exposure of the Partnership for the foreseeable future.

Currencies. Exchange rate risk is the principal market exposure of the Partnership. The Partnership’s currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions. The Partnership trades in a large number of currencies, including cross-rates — i.e., positions between two currencies other than the U.S. dollar. As of September 30, 2020, the Partnership’s primary currency exposures were in the U.S. dollar versus the Japanese Yen, Indian Rupee, Russian Ruble and Brazilian Real.

Stock Indices. The Partnership’s primary equity exposure, through stock index futures, is to equity price risk in the G-7 countries. As of September 30, 2020, the Partnership’s primary exposures were in the Australian SPI 200 Index, FTSE 100, Swedish OMX Index, Nikkei Index and the Hang Seng. The Partnership is primarily exposed to the risk of adverse price trends or static markets in the major North American, European and Asian indices. (Static markets would not cause major market changes but could make it difficult for the Partnership to avoid numerous small losses.)

Metals. The AHL Diversified Program used for the Partnership trades precious and base metals. As of September 30, 2020, the Partnership’s primary metals market exposures were in copper, zinc, palladium and gold.

Agricultural. The Partnership’s primary commodities exposure is to agricultural price movements, which are often directly affected by severe or unexpected weather conditions. Soybeans, cocoa, corn, wheat and coffee accounted for the substantial bulk of the Partnership’s commodities exposure as of September 30, 2020.

Energy. The Partnership’s primary energy market exposure is to gas and oil price movements, often resulting from political developments in the Middle East and economic conditions worldwide. Energy prices are volatile and substantial profits and losses have been and are expected to continue to be experienced in this market. As of September 30, 2020, the main exposures were in crude oil and natural gas.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the only non-trading risk exposures of the Partnership as of September 30, 2020.

Foreign Currency Balances. The Partnership’s primary foreign currency balance is in Euro. The Partnership controls the non-trading risk of these balances by regularly converting these balances back into U.S. dollars (no less frequently than twice a month).

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

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

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

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

ITEM 4.

Controls and Procedures.

The General Partner, with the participation of the General Partner’s Principal Executive Officer and Principal Financial Officer, has evaluated the effectiveness of the design and operation of the Partnership’s disclosure controls and procedures as of the end of the fiscal quarter ended September 30, 2020. Based on such evaluation, the General Partner’s Principal Executive Officer and Principal Financial Officer have concluded that the Partnership’s disclosure controls and procedures were effective as of the fiscal quarter ended September 30, 2020.

Changes in Internal Control over Financial Reporting

There were no significant changes in the Partnership’s internal control over financial reporting during the quarter ended September 30, 2020 that have materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

PART II—OTHER INFORMATION

Item 1.

Legal Proceedings.

None.

Item 1A.

Risk Factors.

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

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

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

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

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

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

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

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

Speculative Position Limits May Restrict Futures Trading. Speculative position limits prescribe the maximum net long or short futures contract and options positions which any person or group may hold or control in particular futures contracts. All futures contracts and options on futures contracts traded on commodity exchanges located in the United States, with the exception of contracts on certain major non-U.S. currencies, are subject to speculative position limits established either by the Commodity Futures Trading Commission (the “CFTC”) or the relevant exchange.

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

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

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

•

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

•

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

•

during “whip-saw” markets, in which potential price trends start to develop but reverse before actual trends are realized.

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

•

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

•

alter historical trading patterns;

•

obscure developing price trends; or

•

affect the execution of trades.

Model and Data Risk. The Trading Advisor relies heavily on proprietary mathematical quantitative models (each a “Model” and collectively, “Models”) and data developed both by the Trading Advisor and those supplied by third parties (collectively, “Data”) rather than granting trade-by-trade discretion to the Trading Advisor’s investment professionals. In combination, Models and Data are used to construct investment decisions, to value both current

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

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

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

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

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

When Models and Data prove to be incorrect, misleading or incomplete, any decisions made in reliance thereon expose the Partnership to potential losses and such losses may be compounded over time. For example, by relying on Models and Data, the Trading Advisor may be induced to buy certain investments at prices that are too high, to sell certain other investments at prices that are too low, or to miss favorable opportunities altogether. Similarly, any hedging based on faulty Models and Data may prove to be unsuccessful and when determining the Net Asset Value of the Partnership, any valuations of the Partnership’s investments that are based on valuation Models may prove to be incorrect. In addition, Models may incorrectly forecast future behavior, leading to potential losses on a cash flow and/or a mark-to-market basis. Furthermore, in unforeseen or certain low-probability scenarios (often involving a market event or disruption of some kind), Models may produce unexpected results which may or may not be System Events.

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

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

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

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

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

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

Trading in OTC Markets Will Expose the Partnership to Risks Not Applicable to Trading on Organized Exchanges. The Partnership, through the Trading Company, may engage in OTC derivative transactions, such as: currency forward contracts traded in the interbank market; options on currency forward contracts; and swap transactions.

In general, there is much less governmental regulation and supervision of transactions in the OTC markets than of transactions entered into on organized exchanges. Most of the protections afforded to participants on U.S. and certain non-U.S. exchanges, such as daily price fluctuation limits and the performance guarantee of an exchange clearinghouse, will not be available in connection with OTC transactions.

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

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

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

Enhanced Regulation of the OTC Derivatives Markets. The European Market Infrastructure Regulation (“EMIR”) seeks comprehensively to regulate the OTC derivatives market in Europe including, in particular, imposing mandatory central clearing, trade reporting and, for non-centrally cleared trades, risk management obligations on counterparties. Similarly, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Reform Act”), enacted in July 2010, includes provisions that substantially increase the regulation of the OTC derivatives markets. The Reform Act requires that a substantial portion of OTC derivatives must be executed in regulated markets and be submitted for clearing to regulated clearinghouses, subject to margin requirements. OTC derivative dealers are also required to post margin to the clearinghouses through which they clear their customers’ trades instead of using such margin in their operations, as they are allowed to do for uncleared OTC trades. This will further increase the dealers’ costs, which costs may be passed through to other market participants in the form of higher fees and less favorable dealer marks. Although the Reform Act includes limited exemptions from the clearing and margin requirements for so-called “end-users”, the Partnership may not be able to rely on such exemptions. In addition, the OTC derivative dealers with which the Partnership executes the majority of its OTC derivatives will not be able to rely on the end-user exemptions under the Reform Act and therefore such dealers will be subject to clearing and margin requirements notwithstanding whether the Partnership is subject to such requirements. Taken together, these regulatory developments have increased and will continue to increase the OTC derivative dealers’ costs, and these increased costs are generally passed through to other market participants in the form of higher upfront and mark-to-market margin, less favorable trade pricing, and the imposition of new or increased fees, including clearing account maintenance fees.

The CFTC also requires certain derivatives transactions that were previously executed on a bilateral basis in the OTC markets to be executed through a regulated futures or swap exchange or execution facility. Similarly, under EMIR, European regulators may require a substantial proportion of such derivatives transactions to be bought on exchange and/or centrally cleared. The Securities and Exchange Commission (the “SEC”) may also impose similar requirements on certain security-based derivatives in the future. Such requirements may make it more difficult and costly for investment funds, including the Partnership and/or the Trading Company, to enter into highly tailored or customized transactions.

Exchanges for Physicals/Swaps/Risk. While not a regular practice for the Trading Company, it may in rare instances engage in transactions known as exchanges for physicals (“EFP”), exchanges for swaps (“EFS”), or exchanges for risk/OTC derivatives (“EFR”). An EFP/EFS/EFR is a purchase or sale of a spot commodity/swap/derivative, as applicable, in conjunction with an offsetting sale or purchase of a corresponding futures contract involving the same or equivalent underlying commodity or instrument, without making an open and competitive trade for the futures contract on the exchange. EFPs, EFSs and EFRs are a permitted exception to the general requirement of the Commodity Exchange Act, as amended, that all futures contracts must be competitively executed on an exchange. They are permitted pursuant to the rules of the relevant exchanges, which vary from exchange to exchange. If the EFP, EFS or EFR does not comply with specific exchange requirements, particularly regarding possessing documentation evidencing possession of the underlying commodity or instrument, then the CFTC or the exchange may deem the transaction to be an illegal off-exchange futures contract. In addition, every EFP, EFS or EFR involves the transfer of an underlying commodity or entry into a swap or derivative on a bilateral basis, as applicable, with a counterparty in exchange for a related cleared futures contract. There is, therefore, counterparty credit risk if the counterparty or its clearing member on the futures leg fails to perform. Unlike other futures contracts that are deemed cleared by the clearinghouse upon trade matching or at the end of the business day, futures contracts arising out of EFPs, EFSs or EFRs may, under various clearinghouse rules, not be deemed accepted by the clearinghouse until the next business day.

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

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

For example, such exchanges and markets:

•

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

•

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

•

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

•

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

•

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

•

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

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

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

Affiliated Parties — Conflicts of Interest. Under the terms of the Partnership’s Limited Partnership Agreement, the General Partner has the authority to engage trading advisors to make trading decisions for the Partnership. Since the Trading Advisor is an affiliate of the General Partner, the General Partner has a conflict of interest with respect to its responsibilities to manage the Partnership for the benefit of the Limited Partners, and to prevent violations of the Partnership’s trading policies and to monitor for excessive trading by the Trading Advisor. In addition, the General Partner has a conflict of interest with respect to its responsibility to review the trading performance of the Partnership and a disincentive to terminate the advisory relationship between the Trading Advisor and the Partnership. There have been no arm’s-length negotiations with respect to the management and incentive fees that the Trading Advisor will charge the Trading Company or with respect to the other terms of the advisory agreement entered into with the Trading Advisor.

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

Epidemics and Pandemics May Lead to Severe Market Disruptions and May Impair the Operational Capabilities of the Trading Advisor, the General Partner and the Partnership’s Service Providers. Since the mid-1990s, the world has seen a number of outbreaks of new viral illnesses of varying severity, including avian flus, Severe Acute Respiratory Syndrome (SARS), Middle East Respiratory Syndrome (MERS), the H1N1 Flu (Swine Flu), and COVID-19 caused by the novel Coronavirus known as SARS-CoV-2. The responses to these outbreaks have varied as has their impact on human health, local economies and the global economy, and it is impossible at the outset of any such outbreak to estimate accurately what the ultimate impact of any such outbreak will be. Protective measures taken by governments and the private sector, including the Trading Advisor and the General Partner, to mitigate the spread of any such illness, including travel restrictions and outright bans, mandatory business closures, quarantines, and work-from-home arrangements, may lead to, or may be expected to lead to, wide spread economic damage, resulting in severe disruptions in the markets in which the Partnership trades and, potentially, adversely affecting the Partnership’s profit potential; and the spread of any such illness within the offices of the Trading Advisor, the General Partner, the Partnership’s service providers, and/or the exchanges and other components of market infrastructure could severely impair the operational capabilities of the Trading Advisor, the General Partner, the Partnership’s service providers or various markets themselves resulting in harm to the Partnership’s business and its operating results.

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds.

(a) The Partnership may sell Units of Limited Partnership Interests (“Units”) as of the first business day of any calendar month or at such other times as the General Partner may determine. On the first business day of July 2020, August 2020 and September 2020, the Partnership sold Class A Series 1 Units, exclusive of non-cash transfers, to existing and new Limited Partners in the amount of $0, $0 and $0, respectively. On the first business day of July 2020, August 2020 and September 2020, the Partnership sold Class A Series 2 Units, exclusive of non-cash transfers, to existing and new Limited Partners in the amount of $0, $0 and $0, respectively. On the first

business day of July 2020, August 2020 and September 2020, the Partnership sold Class B Series 1 Units, exclusive of non-cash transfers, to existing and new Limited Partners in the amount of $0, $29,999 and $0, respectively. On the first business day of July 2020, August 2020 and September 2020, the Partnership sold Class B Series 2 Units, exclusive of non-cash transfers, to existing and new Limited Partners in the amount of $0, $0 and $0, respectively. There were no underwriting discounts or commissions in connection with the sales of the Units described above.

(b) Not applicable.

(c) Pursuant to the Partnership’s Limited Partnership Agreement, a Limited Partner may redeem some or all of its Units as of the last business day of each calendar month at the then current month-end Net Asset Value. The redemption of Units has no impact on the value of Units that remain outstanding, and Units are not reissued once redeemed. The following table summarizes the amount of Units redeemed, exclusive of non-cash transfers, during the three months ended September 30, 2020:


	Class A Units		Class A-2 Units		Class B Units		Class B-2 Units
Date of Redemption: (last business day)	Amount Redeemed:		Amount Redeemed:		Amount Redeemed:		Amount Redeemed:
July 2020	$	418,703	$	0	$	234,734	$	0
August 2020	$	838,641	$	0	$	58,867	$	0
September 2020	$	2,609,449	$	0	$	108,482	$	0
TOTAL	$	3,866,793	$	0	$	402,083	$	0

Item 3.

Defaults upon Senior Securities.

None.

Item 4.

Mine Safety Disclosures.

Not Applicable.

Item 5.

Other Information.

None.

Item 6.

Exhibits.

The following exhibits are included herewith:


Designation		Description

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

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

32.1		Section 1350 Certification of Principal Executive Officer

32.2		Section 1350 Certification of Principal Financial Officer

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

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


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

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

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


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

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


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

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized on November 13, 2020.

Man-AHL Diversified I L.P.

(Registrant)

By: Man Investments (USA) Corp.

General Partner

By: /s/ Eric Burl

President and Principal Executive Officer

By: /s/ Colin Bettison

Principal Financial Officer