MAN AHL DIVERSIFIED I LP - Annual Report: 2021 (Form 10-K)

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act.    Yes      No  

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act.    Yes      No  

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 and posted pursuant to Rule 405 of Regulation (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).    Yes      No  

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a 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 of the Exchange Act. (Check one):    

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 has filed a report on and attestation to its management’s assessment of the effectiveness of its internal control over financial reporting under Section 404(b) of the Sarbanes-Oxley Act (15 U.S.C. 7262(b)) by the registered public accounting firm that prepared or issued its audit report.  

Indicate by check mark whether the registrant is a shell company (as defined in Rule of the Act).    Yes      No  

State the aggregate market value of the voting and common equity held by computed by reference to the price at which the common equity was last sold, or the average bid and asked price of such common equity, as of the last business day of the registrant’s most recently completed second fiscal quarter.

The report of the independent registered public accounting firm and the financial statements of the Registrant for the year ended December 31, 2021 are included herewith as Exhibit 13.1 and are incorporated by reference into Item 8 of this Annual Report on Form

(a)    

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 trading operations on April 3, 1998, for the purpose of engaging in the speculative trading of physical commodities, futures and forward contracts and related instruments. The Partnership was formerly named AHL Diversified (USA) L.P., but was renamed in February 2002. 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”). AHL Partners LLP (the “Trading Advisor”), a United Kingdom limited liability partnership, is the Partnership’s and the Trading Company’s trading advisor. The Trading Advisor also serves as the Partnership’s commodity pool operator. Man Investments (USA) Corp. (the “General Partner”), a Delaware corporation, is the Partnership’s general partner. The Trading Advisor is an affiliate of the General Partner. Man Investments Limited, a United Kingdom private limited company, that is part of Man Group plc (“Man Group”), is the managing member of the Trading Advisor, and Man Investments Holdings Inc., a Delaware corporation that is part of Man Group, is the sole shareholder of the General Partner.

On January 28, 2008, the Partnership filed a registration statement under the Securities Exchange Act of 1934, as amended, (the “Exchange Act”). The registration statement, which was subsequently amended, became effective on or about March 28, 2008. The Partnership offers two classes of units of limited partnership interest in the Partnership (“Units”): Class A Units are generally offered; Class B Units are offered to employee benefit plans, IRAs and other retirement plans and accounts. The two Classes of Units are identical to each other except that Class B Units may be purchased, transferred, held and redeemed in a minimum amount of $10,000. On April 1, 2009, the Partnership added two new series of Units: Class A Series 2 Units and Class B Series 2 Units Except as described in section (c) below, and units are identical to Class A and B units, respectfully.

The General Partner became the general partner of the Partnership as of April 1, 2005 when (USA) Corp., the Partnership’s original general partner and trading advisor appointed it as such. In addition to the appointment of the General Partner, appointed (USA) Limited to serve as the trading advisor to the Partnership commencing as of April 1, 2005. Following the appointments of the General Partner as a general partner and (USA) Limited as the trading advisor, resigned as a general partner and trading advisor of the Partnership. The General Partner agreed to continue the Partnership without interruption or change. On June 1, 2014, the General Partner appointed the Trading Advisor as trading advisor of the Partnership, and (USA) Limited resigned as trading advisor. The Trading Advisor implements the same trading program and employs substantively the same personnel as did (USA) Limited. The General Partner controls and manages the business of the Partnership, but has otherwise delegated its investment management authority and commodity pool operator responsibilities with respect to the Partnership to the Trading Advisor. Purchasers of Units, as the Partnership’s “Limited Partners,” have no right to participate in management or control of the Partnership. The offices of the Partnership, where its books and records are kept, are located at the office of the General Partner: 452 5 Ave., 27 Floor, New York, NY, 10018; telephone (212)

(c)    

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. Trading takes place and real-time price information is used to respond to price moves across a diverse range of global markets.

Another important aspect of diversification is the fact that the models generate signals across different timeframes, ranging from 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. The Trading Advisor also has a systematic process for adjusting market risk exposure in real time to reflect changes in the volatility of individual markets.

As the success of the AHL Diversified Program is largely dependent on its systems, the Trading Advisor is committed to investing in leading computer technology. The Trading Advisor (inclusive of affiliates) also maintains a disaster recovery site where a trading system runs permanently and in parallel with the main system.

The Trading Advisor is paid a monthly management fee, payable in arrears, in an amount equal to 0.1667% of the Net Asset Value of the Partnership (as defined in the Limited Partnership Agreement) whether or not the Partnership is profitable (approximately 2% annually). The General Partner is paid a monthly general partner administrative fee in an amount equal to 0.0833% of the Net Asset Value of the Partnership whether or not the Partnership is profitable (approximately 1% annually) in respect to and units. The Trading Advisor may pay a portion of its management fee to the General Partner, and the General Partner may share a portion of its administrative fee with the Placement Agent (as defined below).

Man Investments Inc., an affiliate of the General Partner and Trading Advisor, is the lead placement agent for the Partnership (the “Placement Agent”). In connection with various services provided by the Placement Agent to the Partnership related to the offer and sale of interests in the Partnership and the ongoing servicing of its investors, the Partnership will pay the Placement Agent a servicing fee equal to, in respect to Class A Units and Class B Units, 0.0833% of the Net Asset Value of such Units (approximately 1% annually), and in respect of Units and Units, 0.0625% of the Net Asset Value of such Units (approximately 0.75% annually), whether or not the Partnership is profitable as of the end of each

The Trading Company utilizes a number of brokers in the performance of its trading activities. Credit Suisse Securities (USA) LLC, J.P. Morgan Securities LLC and Merrill Lynch, Pierce, Fenner & Smith Incorporated serve as the Trading Company’s futures brokers; the Royal Bank of Scotland, HSBC Bank PLC and Deutsche Bank AG, London Branch serve as the Trading Company’s foreign exchange prime brokers; J.P. Morgan Securities LLC, Goldman Sachs & Co. LLC and Credit Suisse Securities (USA) LLC act as the clearing members for centrally cleared credit default swap index transactions engaged in by the Trading Company; and the Trading Company conducts certain (“OTC”) interest rate swap trading through J.P. Morgan Chase Bank N.A. and Deutsche Bank AG, London Branch (collectively, the “Brokers”). The Partnership is charged brokerage commissions at institutional rates, inclusive of all applicable National Futures Association (the “NFA”), exchange, clearing and other transaction fees. In connection with trading spot and forward contracts in the interbank foreign currency markets, the Partnership pays clearing fees of between $3.25 and $4.00 per transaction as well as dealer profits, which cannot be quantified, embedded in dealer quotes.

The Trading Company engages in trading on exchanges and markets. In connection with trading on exchanges and markets, the brokers may either maintain Trading Company assets in accordance with the requirements of the Commodity Futures Trading Commission (the “CFTC”) Rule 30.7 or may redeposit Trading Company assets with banks and brokers which may not be subject to regulatory schemes comparable to those applicable to the Brokers.

Under the Commodity Exchange Act, as amended (the “CEA”), commodity exchanges and trading in futures and swaps (as defined in the CEA) are subject to regulation by the CFTC. The NFA, a “registered futures association” under the CEA, is the only self-regulatory organization for futures industry professionals. The CFTC has delegated to the NFA responsibility for the registration of “commodity trading advisors,” “commodity pool operators,” “futures commission merchants,” “swap dealers,” “introducing brokers” and their respective associated persons and “floor brokers” and “floor traders.” The CEA requires commodity pool operators and commodity trading advisors, such as the General Partner and Trading Advisor, respectively, and commodity brokers, swap dealers, or futures commission merchants to be registered and to comply with various reporting and record keeping requirements. The CFTC may suspend a commodity pool operator’s or trading advisor’s registration if it finds that its trading practices tend to disrupt orderly market conditions or in certain other situations. In the event that the registration of the Trading Advisor as a commodity pool operator or commodity trading advisor were terminated or suspended, the Trading Advisor would be unable to fulfill its obligations as the Partnership’s commodity pool operator or implement the AHL Diversified Program on behalf of the Partnership. Should the Trading Advisor’s registrations be suspended, termination of the Partnership might result.

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

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 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.

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 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.

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 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.

(a)    .

There is no trading market for the Units, and none is likely to develop. Units may be redeemed upon 10 days’ written notice to the General Partner at their Net Asset Value as of the last business day of each calendar month; provided, however, that each Limited Partner must maintain a minimum investment of $25,000 and $10,000, respectively of Class A Units (or Units) and Class B Units (or Units), in the Partnership following any redemption initiated by such Limited Partner in order to remain invested in the Partnership.

(b)    .

As of December 31, 2021, there were 269 holders of Class A Units, 30 holders of Units, 298 holders of Class B Units and 0 holders of Units.

(c)    .

(d)    .

(e)    .

The Partnership may admit additional Limited Partners to the Partnership and permit additional capital contributions to be made to the Partnership 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 October 2021, November 2021 and December 2021, the Partnership sold Class A Units to existing and new Limited Partners in the amount of $0, $0 and $377,000,

(f)    .

Pursuant to the 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 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 during the three months ended December 31, 2021:

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 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 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.

The Net Asset Value of a Class A Unit increased by $362.04 to $4,402.83. The Net Asset Value of a Class B Unit increased by $362.03 to $4,402.64. The Net Asset Value of a Unit increased by $483.86 to $5,166.02.

The Partnership’s equity trading opened the year marginally positive, as gains accrued from longs in North American capital goods and Taiwanese indices, offsetting losses from a short position in the VIX volatility index. Continuing the trend the partnership experienced strong equity performance in February and March, with positions in the S&P TSX 60 and Nikkei futures being top performers February and long equity positions as well as positions in Sweden’s OM index and Germany’s Dax indices leading the way in March. A short VIX volatility position was also beneficial in March. To start the second quarter, April saw positive overall performance in equities, topped by longs in Australia’s SPI 200 and Taiwan’s MSCI indices, while longs in the Japan’s TSE index marginally detracted. In May, trading in equities finished slightly down, as longs in Taiwanese indices generated losses to offset gains from a long in the Canadian TSX index. In June, the Partnership’s long position in the Australian SPI 200 was a top performer. Although many equity indices ended July in positive territory, overall, net long positioning led to negative performance for the asset class, led by the MSCI EM and Russell 2000 indices, although there were pockets of strength in trading the Swedish OM and NASDAQ 100 indices. In August, the Partnership’s dominantly long positions were profitable, lead by a position in India’s Nifty Index, while a long in the Singapore MSCI Index was down. In September, the Partnership’s equity positions were down, with the worst performers being longs in the Australian SPI 200 and S&P 500 indices, while smaller gains were made in long Tokyo stock exchange and Nifty indices. To start the third quarter, long positions in the S&P 500 and Toronto Stock Exchange 60 indices did best for the Partnership, while Japanese indices such as the Nikkei 225 underperformed. In November, a in equities towards the end of the month hurt the Partnership’s dominantly long positioning. Worst affected were longs in the MSCI EAFE and the Singapore MSCI Index which lost almost 7% on the month. December saw equities shrug off their November Omicron coronavirus variant woes with the S&P 500, for example, hitting an high. Top performers were longs in Taiwan’s MSCI index alongside Canada’s S&P TSX 60 index. FTSE China A50 index futures attributed negatively on the month.

The Partnership’s fixed income trading opened 2021 by posting a loss, driven by the Partnership’s broadly long positions in US bonds, which more than offset the gains posted in its short position in long-dated bonds. In February, fixed income positions generated a positive return as positioning shifted from net long to net short through the month, with top performers being shorts in German bunds and Australian bonds, while losses were led by Italian bonds which switched positions from long to short as the month progressed. A small positive return was seen in March, as gains from short positions in 10y and 30y US treasuries offset losses from short positions in German 5y and 10y bonds. The start to the second quarter small aggregate losses were dominated by Canadian and US instruments, while small gains were made in their European counterparts. Similarly, in May and June, the Partnership experienced losses, with gains from US 2yr and 5yr treasuries being slightly offset by losses from shorts in UK and longs in Canadian bonds, and long positions in long-dated futures making small gains, while short positions in and futures losing out, respectively. The trend changed course in July, as dominantly long fixed income positions were top performers for the Partnership, led by positions in Italian, German, and French bonds. Fixed income positions detracted in August; European bonds fared the worst, with German, French, and Italian bonds all to the detriment of the Partnership’s long positions, while a long in Australian bonds generated a small profit. The losing trend continued to finish out the third quarter, as losses were seen in the Partnership’s long US. Government positions, though long positions in Italian bonds caused the greatest losses. In October, gains in fixed income were predominantly driven by shorts: Australian bond short positions benefitted, as did short positions in Euribor and Short Sterling, though trading ended in the red with losses from short positions in long-dated bonds in the US. November saw plenty of volatility in fixed income markets, as shorts in Italian and Australian bonds posted losses, while a long position in longer-dated German bond futures provided a small offsetting gain. To end the year, December saw long positions in German bonds and a short position in Italian bonds generate losses that offset marginal gains in a position in Canadian 10y bonds.

the Canadian dollar, the top performers. April’s losses in FX trading were small in aggregate, as long positions in the greenback against the Swiss franc and New Zealand dollar outweighed profitable US dollar shorts against the Euro and Canadian dollar. In May, FX took a profitable turn, and the Partnership’s position in the South African rand lead gains, which were bolstered by gains in the British pound against the US dollar and the Japanese yen. June saw currency trading take a hard hit, with losses experienced in a number of positions as the US dollar spiked. Worst offenders were euro and Canadian dollar longs versus the greenback, although a similar position in the Brazilian real profited as the country hiked rates by 75bp. Over the third quarter, FX trading posted losses each month. In July, losses came predominantly from a long Brazilian real position against the US dollar, which were not offset from gains made through shorts in the Australian dollar against both the greenback and Great British pound. In August, a long position in the Mexican peso against the US dollar lost out and a long position in the Indian rupee against the greenback, on the other hand, gained towards the end of the month. To finish out the quarter, in September, gains from the Partnership’s short position in the Swiss franc could not offset large losses as the Mexican peso declined against the US dollar. For the last quarter of the year, the Partnership’s FX positions were profitable in October, with a short in the Japanese yen versus the US dollar leading the way, though shorts in the Swiss franc and Norwegian krone against the US dollar generated losses. In November, the Partnership saw the FX trading post losses, with the worst performing currency pair being a long Canadian dollar versus US dollar, while a short Norwegian krone position, also against the greenback, generated a gain. Finally, to finish the year, the Partnership’s short emerging-market and commodity currency positions against the US dollar did not fair too well, with the worst performers being the Australian dollar and Mexican peso (both against the US dollar), while a short Japanese yen, also against the greenback, generated a small offsetting gain.

Commodities were the bright spot for the Partnership in January. Long soyabeans and corn were the top contributors to the Partnership’s gains, as well as crude oil, which rose over 7% on the month, benefitting the Partnership’s long positions. Similarly in February, commodity positions were top performers for the Partnership as crude oil rose almost 20% and sugar rose 10% on the month, and the Partnership’s copper position was the top performer in the entire portfolio rising 15%, offsetting losses from a short position in natural gas. Reversing course from February, the Partnership’s commodities trading ended March down as the Partnership’s long positions, most notably in agricultural commodities such as cocoa and sugar, and metals such as nickel, posted the largest losses, while small offsetting gains were made in individual markets such as lean hogs and palladium. In April, long commodity positions continued their gains, although long positions in coffee and gold made losses. May similarly saw gains in long positions in crude and oil, carbon emissions, metals such as copper, silver, aluminum and gold. The main detractor in the commodities complex was a long in wheat, which retraced half of April’s 20% gain. In June, commodity performance was mixed, as long positions in agriculturals and metals suffered, particularly soybean, copper and precious metals holdings. Prices in the energy complex, on the other hand, continued their ongoing rally, and a long in US natural gas ended the month as the top performer across the Partnership. July’s top performer overall was the Partnership’s positions in natural gas, and long coffee positions also provide gains to offset losses in sugar and corn. August again saw profits in the Partnership’s long positions in natural gas, though the positions in the oil complex incurred losses. That same month, the Partnership’s sugar position generated a gain, while a long copper position generated a loss. In September, commodities was the only asset class to maintain its recent direction of travel, and once again it was the energies that generated the greatest attention. Trading in US natural gas generated the greatest gains for the Partnership as prices rose to seven-year highs, propelled by surging demand. A long copper position generated a loss as prices fell 6% on the month. October continued to see gains in commodities trading, where energies generated a positive return, mainly through shorts in German power and longs in the oil complex with WTI crude, for example, rising 11%. Long positions in US natural gas lost out as prices fell by 7% after September’s 34% rise. Trading in agricultural commodities scraped into the black while metals trading was detrimental in aggregate, particularly from gold and silver. In November, the Partnership’s long positions across the crude complex saw losses, as well as its long gold position, while a gain was made from a long coffee position. Long commodity positions also generated gains in aggregate in December, led by positions in energy and corn. A short silver position was loss-generating as the price of the precious metal remained rangebound.

The Net Asset Value of a Class A Unit increased by $267.77 to $4,040.79. The Net Asset Value of a Class B Unit increased by $267.75 to $4,040.61. The Net Asset Value of a Unit increased by $364.73 to $4,682.16.

Equity trading for the Partnership was largely negative throughout January and February, driven largely by long positioning. In January, Asian indices such as Taiwan’s TAIEX and China’s fared worst, offsetting gains from a long position in the Australian SPI 200 Index, while in February, the previously-profitable long position in Australian SPI 200 Index, as well as long positions in S&P TSX 60 Index and the Nikkei Index were among the worst performers. In March, the Partnership’s equity positions turned 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. In April, a sharp reversal in the equity markets saw losses on the short positioning built up in the Partnership in March, as 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. This trend continued into May as a strong equity rally drove further losses on the Partnership’s built up short positioning, the worst being the VIX and Tokyo Stock Exchange indices, as well as the Australian SPI 200. The losses continued in June as the Partnership’s equities trading finished the month marginally in the red, despite moving from flat to small net long as the month progressed. In July, the Partnership’s long positioning in equities led the overall portfolio, as the NASDAQ 100 and S&P 500 outperforming developed market peers, more than outweighing an inconsequential loss from a short in the French CAC40 index. The gains in these positions did not continue into August, however, as equity trading finished the month in red, led by losses in the S&P 500 and NASDAQ 100. In October, global equities had their worst week since March, and the Partnership’s overall long positions, particularly in Australian and Swedish indices, posted losses. In November, the overall long positioning proved more profitable, as positions in indices were largely positive, particularly Asian indices such as the Nikkei and Taiwan MSCI. Losses in indices such as the FTSE gave the sector its biggest loss. To end the year, the Partnership saw positive gains in its equity positions, with the Taiwan MSCI index being the top performer on the month.

The Partnership’s fixed income trading started out 2020 as a constant performer, bringing in positive returns throughout the first quarter. The Partnership’s position in Italian bonds brought in positive returns in January, and while such positions experienced losses in February and March, profitable positions in US Treasuries more than made up for any such losses. The profitable positions continued into April and May as positions in Canadian bonds and Short Sterling were top performers in April and UK interest rate futures and shorts in German bonds in May being among the Partnership’s top performers. In June, while the Partnership overall saw very minor losses in fixed income, UK interest rates futures and long positions in Italian bonds experienced positive performance. In the third quarter, the Partnership’s fixed income started strong, as July saw the Partnership’s long positions in Italian bonds experience the most gains as yields traded below 1% for the first-time since the outset of the pandemic. However, this tread was reversed in August, as 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. September saw the returns level out and end the quarter with minor gains, as a long position in Italian government bonds was the top performer, offsetting a loss from the Partnership’s short position in German bonds. In the fourth quarter, the Partnership had a downward trend, posting losses in fixed income trading in each of the three months. In October, Losses were experienced trading US and UK markets as benchmark yields nudged higher. These losses continued into November, as prices of bonds broadly fell, and the Partnership saw losses in the Partnership’s German and UK bonds. December saw positive returns from long positions in UK and Italian bonds offset by longs in Australian bonds and shorts in German bonds.

Credit trading for the Partnership started the year down, as losses from a long credit position in European 5yr Crossover iTraxx Index in January continued into February, where they were joined by additional losses from positions in the the US 5yr CDX Index. In March the Partnership’s 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. To start the second quarter, April saw the Partnership’s credit positions post losses after credit spreads tightened, with the Partnership’s short positions in the European Crossover iTraxx and the US High Yield CDX Index amongst the bottom performers. This continued into May as 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. Credit trading finished the first half of the year with minor losses in June, as HY spreads steadily widened. The third quarter started out better for the Partnership, as positions posted largely flat performance in July, ending the month marginally in the black. Gains continued into August as all of the Partnership’s credit positions finished in the black, with European indices topping the charts, though this course reversed in September, as the Partnership’s credit trading finished in the red, led by losses from short protection positions in US CDX index and European Crossover iTraxx. In October, performance in credit was mixed, though ultimately ended at a loss, as overall positioning flipped from long to short, and performance in European investment-grade names was affected most while similar quality names in the US eked out a small positive return. To finish up the year, credit trading was largely flat in November, which continued into December, when the European 5y Crossover Index was the instrument in the asset class, while a widening of the US investment grade index generated a loss.

The Net Asset Value of a Class A Unit increased by $393.72 to $3,773.02. The Net Asset Value of a Class B Unit increased by $498.71 to $4,317.43. The Net Asset Value of a Unit increased by $393.71 to $3,772.86.

In the first quarter of 2019, equity trading proved to be a poor performer for the Partnership, as large losses in January driven by the sharp trend reversal in the equity markets’ 2018 performance battered the Partnership’s short positioning. In February and March, the slightly positive returns in the Partnership’s equity positions were mainly driven by the Partnership’s long positions in indices. During the second quarter, the Partnership’s net long equities position made equities the top performing asset class in April, however, a sharp reversal occurred in May as the Partnership’s previously profitable long positions suffered losses that were further exacerbated by losses in the Partnership’s short positions in VIX futures. In June, long stock index positions recovered from their downturn in May and finished slightly positive. Third quarter trading saw further losses in the Partnership’s equity positions as long positions in the Australian SPI 200 futures and the FTSE 100 generated notable losses in August, followed by 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 in September. The Partnership’s fourth quarter equity trading reversed course and saw gains in all three months. In October, minor gains came from index longs in Swedish, Taiwanese and Japanese equity futures. November and December both saw notable gains in equity trading as equity indices continued to reach highs. The Partnership’s dominantly long equity positions in the Australian SPI 200, S&P500 and NASDAQ 100 drove much of the gains in November, and the Partnership’s long stock index positions, as well as positions in emerging market equities, generated strong gains for the Partnership in December.

The Partnership’s fixed-income trading saw strong performances in the first and second quarter before reversing course towards the end of the third quarter. Gains from the Partnership’s exposure to Israeli swaps and French and German bonds in January and long positions in European and U.S. government bonds in March were enough to outweigh February’s losses in fixed-income trading, which were driven by long exposure to U.S. Treasuries and Italian bonds. The Partnership started the second quarter with losses in its dominantly long fixed income positions, most notably in Short Sterling and Israeli swaps. In May, gains in the Partnership’s positions in U.S. Treasuries and Short Sterling outweighed the smaller number of negative positions, such as Italian bonds. June saw continued strong performance in fixed income, as the Partnership recognized gains from long positions in U.S. and European government bonds. To start the third quarter, gains in Italian 10yr BTPs outweighed losses in U.S. Treasuries in July.    In August, gains from the Partnership’s long positions in U.S. Treasuries and other long-bond positions outweighed the smaller number of modest losing positions in U.S. notes and Brazilian swaps. In September, the Partnership’s general success in fixed-income trading came to an end, as large losses in multiple positions, particularly U.S. Treasuries, outweighed the small gains from Italian bonds. Fourth quarter fixed-income trading was similarly unprofitable for the Partnership. In October, the Partnership’s positions in Japanese 10Yr bonds, shorter-dated U.S. Treasuries and German bunds drove a majority of the Partnership’s losses in the fixed-income sector. In November, small gains in short-term instruments in U.S. and Australia were not enough to outweigh the Partnership’s losses, led by Italian 10Yr debt. Finally, the Partnership ended the year with minor losses in fixed-income trading as profitable short positions in German and Canadian 10yr bonds were outweighed by losses in long positions in Italian and Australian bonds.

The Partnership’s commodity trading saw both notable gains and losses over the course of the year. In January, short positions in wheat, copper and aluminum outweighed gains on long positions in palladium. The Partnership’s short exposure to oil further contributed to the sector’s monthly losses as oil prices reversed a trend that had seen crude fall by more than 40%. In February, a long palladium positions and short wheat exposure contributed to the Partnership’s gains in its commodity trading, though the Partnership’s long palladium position led to large losses for the Partnership’s commodities trading in March when a collapse in palladium prices during the last week of March pummeled the Partnership’s long exposure to the metal. April saw the Partnership’s short positions in the wheat market outweigh the losses experienced by Partnership’s short position in U.K. natural gas. Commodity trading had mixed returns in May, 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. In June, commodities trading was once again mixed, with short positions in sugar driving losses and offsetting profits from long positions in palladium and short positions in U.K. and U.S. natural gas markets. The third quarter was again mixed for commodities trading, as July saw the Partnership’s short positions in U.K. natural gas and positions in nickel and coal outweighed gains from short positions in iron ore and longs in gold and carbon emissions, while agricultural trading finished down on the back of losses from sugar.

Throughout 2019, the Partnership’s credit trading was a steady performer, with positions either remaining largely flat or sustaining slight gains or losses each month. To start the year, credit trading in January was mixed and concluded the month with slightly negative results as losses stemming from long protection positions early in January edged out gains. In February, the Partnership’s credit trading with long exposure to the European 5yr iTraxx Index provided steady gains, and in March, the Partnership continued its positive credit trading performance, finishing the month in positive territory. The Partnership experienced gains in April from investment-grade indices in both the U.S. and Europe that more than offset the losses generated from a long in the Korean KOSPI, The Partnership’s short protection positions generated losses in May due to the widening spread on the E.U. Crossover iTraxx, though reversed course in June and July, generating gains when credit spreads tightened across all credit indices. Widening spreads in August led to minor losses, while September and October trading was essentially flat, with minor gains for each month being driven from a performance in the U.S., while European credit trading detracted. Credit trading ended the year on a positive note, as investment grade indices tightened in November, benefitting every one of the Partnership’s positions, most notably US 5y CDX. Similarly, in December, every one of the indices traded by the Partnership ended the month in the black, with the most notable performers being investment-grade and high-yield corporate credit in the U.S.

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 losses far beyond the indicated Value at Risk or the Partnership’s experience to date ( “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.

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 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, 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 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 dealers, exchanges and OTC clearing counterparties to equal or exceed of the maximum 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, exchanges and OTC clearing counterparties 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 price fluctuation.

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

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

. 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 December 31, 2021, the Partnership’s primary currency exposures were in the U.S. Dollar versus the Japanese Yen, Euro, Australian Dollar and Korean Won.

. The Partnership’s primary equity exposure, through stock index futures, is to equity price risk in the countries. As of December 31, 2021, the Partnership’s primary exposures were in the Australian SPI 200, Taiwan MSCI, Chinese and FTSE 100 indices. 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.)

. The AHL Diversified Program used for the Partnership trades precious and base metals. As of December 31, 2021, the Partnership’s primary metals market exposures were in silver, copper, aluminum and gold.

. The Partnership’s has exposure to agricultural price movements, which are often directly affected by severe or unexpected weather conditions. Corn, coffee, cocoa and sugar accounted for the substantial bulk of the Partnership’s commodities exposure as of December 31, 2021.

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 December 31, 2021, the main exposures were in crude oil, gas oil, carbon emissions and gasoline.

The following were the only risk exposures of the Partnership as of December 31, 2021.

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

. 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.

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 stress testing, implied volatility, leverage, ratios and net exposures to sectors and different currencies.

Financial statements meeting the requirements of Regulation are listed following this report as Exhibit 13.1 and are incorporated by reference into this Item 8.

end of the fiscal year for which this Annual Report on Form is being filed. 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 year ended December 31, 2021.

The General Partner is responsible for establishing and maintaining adequate internal control over the financial reporting of the Partnership. Internal control over financial reporting is defined in Rules and under the Exchange Act, as a process designed by, or under the supervision of, a company’s principal executive and principal financial officers and effected by a company’s board of directors, management and other personnel, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with the accounting principles generally accepted in the United States of America. The General Partner’s internal control over financial reporting includes those policies and procedures that:

(a, b)    

, born October 1965, is President of Man Group and a member of the Man Group Senior Executive Committee. He also leads Man Group’s Data Science group as well as the firm’s Quantitative Alpha Research Lab in Sofia, Bulgaria. Previously, Shanta was CEO of Man Numeric and prior to that, and Head of Research, directing research efforts focused on new alpha sources, product design and risk modelling. Prior to joining Man Numeric in 1999 as a research analyst, Shanta was an electronic commerce technology analyst at Forrester Research, a Cambridge, Massachusetts-based market research firm. He also an electronic commerce company, which focused on the analysis of buying behavior. Shanta received a Bachelor of Arts degree in computer science from Dartmouth College, graduating summa cum laude, and is a CFA charterholder.

, born July 1982, is Head of Middle Office Accounting at Man Numeric based in Boston, responsible for overseeing the shadow accounting, NAV and reconciliations of the operations team. Chris joined Man Numeric in 2014. Before that, he was at Battery march Financial Management and State Street. Chris holds a Bachelor of Science degree from Providence College.

(c)    

(d)    

(e)    

(f)    

(g)    

(h)    

The Partnership has no employees, officers or directors and is controlled by the General Partner. The General Partner has adopted a Global Code of Ethics that applies to its principal executive officer and principal financial officer. A copy of this Global Code of Ethics may be obtained at no charge by written request to Man Investments (USA) Corp., 452 5 Ave., 27 Floor, New York, NY 10018 or by calling: (212) (ask for the Chief Legal Officer).

(i)    

The Partnership itself has no officers, directors or employees. None of the principals, officers or employees of the General Partner receive compensation from the Partnership. The General Partner invests all or substantially all of the Partnership’s assets in the Trading Company. The Trading Advisor makes all trading decisions for the Trading Company. The General Partner receives a monthly general partner administrative fee from the Partnership in an amount equal to 0.0833% of the Net Asset Value of the Partnership (approximately a 1% annually). The Partnership pays the Trading Advisor, an affiliate of the General Partner, a monthly management fee in an amount equal to 0.1667% of the Partnership’s Net Asset Value (approximately 2% annually) and 20% of any Net New Appreciation, described above under Item 1, achieved by the Partnership as of the end of each calendar month. The Trading Advisor may pay a portion of its management fees to the General Partner.

(a)    

(b)    

(c)    

(d)    

(1)    

(2)    

(3)    

(4)    

(5)    

Neither the Partnership nor the General Partner has an audit committee to accountant and auditor fees and services. In lieu of an audit committee, the principals of the General Partner all billings prior to the commencement of services.

(a)(1)    

(a)(2)    

(a)(3)