10-Q

Large accelerated filer

Accelerated filer

Non-accelerated
filer

Smaller reporting company

Emerging growth company

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

June

30, 2023

☐	TRANSITION REPORT PURSUANT TO SECTIO N 13 O R 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from

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. 1345 Avenue of the Americas, Floor 21 New York, NY		10105
(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	none	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.

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

MAN-AHL

DIVERSIFIED I L.P.

(A Delaware Limited Partnership)

STATEMENTS OF OPERATIONS (UNAUDITED)


	For the three months ended June 30,						For the six months ended June 30,
	2023			2022			2023			2022
NET INVESTMENT INCOME/(LOSS) ALLOCATED FROM MAN-AHL DIVERSIFIED TRADING COMPANY L.P.:
Interest income	$	1,093,677		$	138,664		$	2,125,947		$	181,624
Other income		—			—			—			1,221
Brokerage commissions		(29,275	)		(22,202	)		(56,268	)		(50,555	)
Interest expense—brokers		(25,612	)		(20,951	)		(51,662	)		(50,234	)
Administration fees		(15,650	)		(19,005	)		(31,936	)		(36,144	)
Professional fees		(33,934	)		(34,276	)		(65,301	)		(69,896	)
Shareholder expenses		(1,350	)		(17,922	)		(7,848	)		(36,547	)
Other expenses		(6,079	)		(7,082	)		(12,328	)		(14,433	)

Net investment income/(loss) allocated from Man-AHL Diversified Trading Company L.P.		981,777			17,226			1,900,604			(74,964	)

PARTNERSHIP EXPENSES:
Management fees		711,327			760,938			1,419,556			1,443,553
Servicing fees		238,016			254,817			474,985			483,445
Professional fees		70,570			46,991			129,118			93,982
Other expenses		96,128			55,631			150,606			111,263

Total partnership expenses		1,116,041			1,118,377			2,174,265			2,132,243

Net investment income/(loss)		(134,264	)		(1,101,151	)		(273,661	)		(2,207,207	)

REALIZED GAINS/(LOSSES) AND CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) 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		3,052,607			12,153,479			(2,686,670	)		18,464,397
Net change in unrealized trading appreciation/(depreciation) on securities		(10,373	)		(22,083	)		(14,333	)		(69,746	)
Net change in unrealized trading appreciation/(depreciation) on open contracts/agreements and translation of foreign currency		5,432,085			(5,357,211	)		5,940,936			342,711

Net realized gains/(losses) and change in unrealized appreciation/ (depreciation) on trading activities allocated from Man-AHL Diversified Trading Company L.P.		8,474,319			6,774,185			3,239,933			18,737,362

NET INCOME/(LOSS)	$	8,340,055		$	5,673,034		$	2,966,272		$	16,530,155

NET INCOME/(LOSS) PER UNIT OF PARTNERSHIP INTEREST (based on weighted average units outstanding during the period):
CLASS A Series 1	$	439.36		$	285.60		$	155.87		$	828.50

CLASS A Series 2	$	542.86		$	357.16		$	225.13		$	1,019.21

CLASS B Series 1	$	439.30		$	286.72		$	151.15		$	829.53

WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD:
CLASS A Series 1		12,666.88			12,869.44			12,674.53			12,916.46

CLASS A Series 2		717.49			911.44			717.49			935.91

CLASS B Series 1		5,429.60			5,831.31			5,485.73			5,876.72

See accompanying notes and attached financial statements of

Man-AHL

Diversified Trading Company L.P.

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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 June 30, 2023, and the results of its operations for the three and six month periods ended June 30, 2023 and 2022. 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, 2022. The December 31, 2022 information has been derived from the audited financial statements as of December 31, 2022.

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 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. 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.

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 -

Inv

stment

Compan

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

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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 partners’ capital 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.

As at June 30, 2023 and December 31, 2022, the Partnership owned

3,430.95

and

3,571.81

units, respectively, of the Trading Company. The Partnership’s aggregate ownership percentage of the Trading Company at June 30, 2023 and December 31, 2022 was 48.77% and 51.38%, respectively.

The Partnership is able to redeem its investment from the Trading Company on a monthly basis. As of June 30, 2023 and December 31, 2022, 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, with new appreciation generally tracked on a class-by-class basis. 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. Because the incentive fees are paid on the Net New Appreciation of the Partnership as a whole, it is possible that certain Limited Partners may experience increases in the Net Asset Value of their units while paying no incentive fees on such increases in the Net Asset Value of such units as a result of the timing of the purchase of units. During the three and six month periods ended June 30, 2023 and 2022, 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. MII serves as the placement agent for all classes of units of the Partnership. As of June 30, 2023, there are no Class B series 2 units outstanding.

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.

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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 ended June 30, 2023 and

2022

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 six month periods ended June 30, 2023 and 2022. 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 – 2019.

Other income

— Other income included in the Statements of Operations includes the proceeds received by the Trading Company relating to a class action award.

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 six month periods ended June 30, 2023 and 2022.

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.

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5. FINANCIAL HIGHLIGHTS

The following represents the ratios to average limited partners’ capital and other information for the three and six month periods ended June 30, 2023 and 2022:


	For the three months ended June 30, 2023									For the three months ended June 30, 2022
	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	$	4,764.57		$	5,678.75		$	4,764.37		$	4,944.78		$	5,820.12		$	4,944.56

Income/(loss) from investment operations:
Net investment income/(loss)		(7.93	)		9.34			(7.50	)		(56.71	)		(48.78	)		(56.68	)
Net realized gains/(losses) and change in unrealized appreciation/(depreciation) on trading activities		447.07			533.52			446.61			341.43			403.23			341.40

Total income/(loss) from investment operations		439.14			542.86			439.11			284.72			354.45			284.72

Ending net asset value	$	5,203.71		$	6,221.61		$	5,203.48		$	5,229.50		$	6,174.57		$	5,229.28

Ratios to average partners’ capital 1 :
Expenses other than incentive fees		5.25	%		3.97	%		5.27	%		4.96	%		3.79	%		4.96	%

Total expenses		5.25	%		3.97	%		5.27	%		4.96	%		3.79	%		4.96	%

Net investment income/(loss)		(0.64	)%		0.63	%		(0.60	)%		(4.41	)%		(3.22	)%		(4.41	)%

Total return 2 :
Total return before incentive fees		9.22	%		9.56	%		9.22	%		5.76	%		6.09	%		5.76	%

Total return after incentive fees		9.22	%		9.56	%		9.22	%		5.76	%		6.09	%		5.76	%


	For the six months ended June 30, 2023									For the six months ended June 30, 2022
	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	$	5,046.95		$	5,996.48		$	5,046.72		$	4,402.83		$	5,166.02		$	4,402.64

Income/(loss) from investment operations:
Net investment income/(loss)		(15.95	)		18.46			(15.54	)		(112.86	)		(98.19	)		(112.88	)
Net realized gains/(losses) and change in unrealized appreciation/(depreciation) on trading activities		172.71			206.67			172.30			939.53			1106.74			939.52

Total income/(loss) from investment operations		156.76			225.13			156.76			826.67			1008.55			826.64

Ending net asset value	$	5,203.71		$	6,221.61		$	5,203.48		$	5,229.50		$	6,174.57		$	5,229.28

Ratios to average partners’ capital 1 :
Expenses other than incentive fees		5.07	%		3.81	%		5.08	%		5.05	%		3.85	%		5.05	%

Total expenses		5.07	%		3.81	%		5.08	%		5.05	%		3.85	%		5.05	%

Net investment income/(loss)		(0.63	)%		0.62	%		(0.62	)%		(4.67	)%		(3.46	)%		(4.67	)%

Total return 2 :
Total return before incentive fees		3.11	%		3.75	%		3.11	%		18.78	%		19.52	%		18.78	%

Total return after incentive fees		3.11	%		3.75	%		3.11	%		18.78	%		19.52	%		18.78	%

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 limited partner’s returns and ratios may vary from these returns and ratios based on the timing of capital transactions.

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MAN-AHL

DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

CONDENSED SCHEDULES OF INVESTMENTS


	June 30, 2023 (Unaudited)						December 31, 2022
	Fair Value			Percent of Partners’ Capital			Fair Value			Percent of Partners’ Capital
FUTURES CONTRACTS—Long:
Agricultural	$	1,463,512			0.7		$	791,699			0.4
Currencies		—			—			(2,395	)		(0.0	)*
Energy		289			0.0	*		(135,013	)		(0.1	)
Indices		706,627			0.4			(639,802	)		(0.3	)
Interest Rates		6,000			0.0	*		1,736			0.0	*
Metals		—			—			1,049,240			0.6

Total futures contracts—long		2,176,428			1.1			1,065,465			0.6

FUTURES CONTRACTS—Short:
Agricultural		34,667			0.0	*		(47,452	)		(0.0	)*
Currencies		(949	)		0.0	*		—			—
Energy		(221,640	)		(0.1	)		492,469			0.3
Indices		855,284			0.4			415,935			0.2
Interest Rates		4,415,584			2.2			2,651,866			1.4
Metals		185,343			0.1			3,650			0.0	*

Total futures contracts—short		5,268,289			2.6			3,516,468			1.9

NET UNREALIZED TRADING APPRECIATION/(DEPRECIATION) ON OPEN FUTURES CONTRACTS	$	7,444,717			3.7		$	4,581,933			2.5

FORWARD CONTRACTS—Long:
Australian dollars	$	(746,448	)		(0.4	)	$	353,020			0.2
Brazilian real		1,039,951			0.5			(203,217	)		(0.1	)
Mexican peso		1,257,105			0.7			1,078,891			0.6
New Zealand dollars		(256,663	)		(0.1	)		(18,417	)		(0.0	)*
South African rand		(216,802	)		(0.1	)		141,562			0.1
South Korean won		(566,222	)		(0.3	)		503,483			0.3
U.K. pound		886,168			0.4			(161,510	)		(0.1	)
Other		712,860			0.4			4,725,008			2.4

Total long forward contracts vs USD		2,109,949			1.1			6,418,820			3.4

FORWARD CONTRACTS—Short:
Australian dollars		31,238			0.0	*		(1,062,676	)		(0.6	)
Brazilian real		(508,674	)		(0.3	)		(118,003	)		(0.1	)
Mexican peso		(168,760	)		(0.1	)		(154,635	)		(0.1	)
New Zealand dollars		(170,931	)		(0.1	)		(6,654	)		(0.0	)*
South African rand		(86,505	)		0.0	*		(193,270	)		(0.1	)
South Korean won		78,921			0.0	*		(1,664,169	)		(0.9	)
U.K. pound		(531,703	)		(0.3	)		(2,907	)		(0.0	)*
Other		960,515			0.6			(6,137,521	)		(3.2	)

Total short forward contracts vs USD		(395,899	)		(0.2	)		(9,339,835	)		(5.0	)

Forward contracts—Cross currencies		1,836,667			0.9			(1,702,831	)		(0.9	)
Forward contracts—Metal non USD		399,048			0.2			(223,668	)		(0.1	)

		2,235,715			1.1			(1,926,499	)		(1.0	)

NET UNREALIZED TRADING APPRECIATION/(DEPRECIATION) ON OPEN FORWARD CONTRACTS	$	3,949,765			2.0		$	(4,847,514	)		(2.6	)

*	A zero balance may reflect amounts rounding to less than 0.05%

See notes to financial statements.

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MAN-AHL

DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

CONDENSED SCHEDULES OF INVESTMENTS (CONTINUED)


			June 30, 2023 (Unaudited)				December 31, 2022
	Principal		Fair Value**		Percent of Partners’ Capital		Fair Value**			Percent of Partners’ Capital
SWAP AGREEMENTS—Short:
Credit default swaps—Sell protection centrally cleared (upfront premiums paid $5,187,720 and $933,040, and upfront premiums received $nil and $nil, as of June 30, 2023 and December 31, 2022, respectively)				572,058		0.3		64,212			0.0	*

Total swap agreements—short				572,058		0.3		64,212			0.0	*

NET UNREALIZED TRADING APPRECIATION/(DEPRECIATION) ON OPEN SWAP AGREEMENTS			$	572,058		0.3	$	64,212			0.0	*

NET UNREALIZED TRADING APPRECIATION/(DEPRECIATION) ON OPEN CONTRACTS/AGREEMENTS			$	11,966,540		6.0	$	(201,369	)		(0.1	)

U.S. GOVERNMENT SECURITIES—Long:
United States Treasury Bill 0% 01/26/23		40,000,000	$	—		—	$	39,905,086			21.2
United States Treasury Bill 0% 05/18/23		35,000,000		—		—		34,412,237			18.4
United States Treasury Bill 0% 01/19/23		40,000,000		—		—		39,935,666			21.2
United States Treasury Bill 0% 05/25/23		40,000,000		—		—		39,292,605			20.9
United States Treasury Bill 0% 10/26/23		40,000,000		39,336,484		19.8		—			—
United States Treasury Bill 0% 11/09/23		35,000,000		34,351,097		17.3		—			—
United States Treasury Bill 0% 11/16/23		68,000,000		66,672,554		33.4		—			—

Total U.S. government securities—long				140,360,135		70.5		153,545,594			81.7

TOTAL INVESTMENT IN SECURITIES (COST $140,360,462 and $153,517,088 at June 30, 2023 and December 31, 2022, respectively)			$	140,360,135		70.5	$	153,545,594			81.7

*	A zero balance may reflect amounts rounding to less than 0.05%

**	The Fair Value of credit default swaps excludes upfront premiums received/paid which are presented separately in the Statements 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.

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MAN-AHL

DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

STATEMENTS OF OPERATIONS (UNAUDITED)


	For the three months ended June 30,						For the six months ended June 30,
	2023			2022			2023			2022
INVESTMENT INCOME:
Interest income	$	2,210,432		$	257,660		$	4,263,838		$	334,191
Other income		—			—			—			2,155

Total investment income		2,210,432			257,660			4,263,838			336,346

EXPENSES
Brokerage commissions		59,186			40,944			112,968			91,167
Interest expense—brokers		51,852			38,437			103,669			90,367
Administration fees		31,624			35,061			64,013			65,432
Professional fees		68,559			63,114			130,930			126,228
Shareholder expenses		2,727			33,000			15,545			66,000
Other expenses		12,283			13,041			24,707			26,065

Total expenses		226,231			223,597			451,832			465,259

Net investment income/(loss)		1,984,201			34,063			3,812,006			(128,913	)

NET REALIZED GAINS/LOSSES AND CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) ON TRADING ACTIVITIES:
Net realized trading gains/(losses) on closed contracts/agreements and foreign currency transactions		6,171,709			22,397,480			(5,367,897	)		33,757,132
Net change in unrealized appreciation/(depreciation) on translation of foreign currency		(90,967	)		(86,695	)		(183,371	)		(94,855	)
Net change in unrealized trading appreciation/(depreciation) on investments in securities		(20,960	)		(40,669	)		(28,833	)		(125,165	)
Net change in unrealized trading appreciation/(depreciation) on open contracts/agreements		11,058,262			(9,865,553	)		12,167,909			235,861

Net realized gains/(losses) and change in unrealized appreciation/(depreciation) on trading activities		17,118,044			12,404,563			6,587,808			33,772,973

NET INCOME/(LOSS)	$	19,102,245		$	12,438,626		$	10,399,814		$	33,644,060

NET INCOME/(LOSS) PER UNIT OF PARTNERSHIP INTEREST
(based on weighted average units outstanding during the period)	$	2,697.61		$	1,758.49		$	1,468.00		$	4,803.49

WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD		7,081.16			7,073.46			7,084.36			7,004.09

See notes to financial statements.

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MAN-AHL

DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

STATEMENTS OF CASH FLOWS (UNAUDITED)


	For the six months ended June 30,
	2023			2022
CASH FLOWS FROM OPERATING ACTIVITIES:
Net income/(loss)	$	10,399,814		$	33,644,060
Adjustments to reconcile net income/(loss) to net cash provided by/(used in) operating activities:
Purchases of investments in securities		(213,035,110	)		(233,917,575	)
Amortization of premium/accretion of discount on securities		(3,321,944	)		(298,763	)
Sales of investments in securities		229,513,680			190,000,000
Net change in unrealized trading (appreciation)/depreciation on investments in securities		28,833			125,165
Net change in unrealized trading (appreciation)/depreciation on open contracts/agreements		(12,167,909	)		(235,861	)
Changes in operating assets and liabilities:
(Increase)/decrease in due from brokers		(1,341,843	)		(1,240,899	)
(Increase)/decrease in net premiums paid on credit default swap agreements		(4,254,680	)		17,943,026
Increase/(decrease) in net premiums received on credit default swap agreements		—			(9,735,522	)
Increase/(decrease) in due to brokers		1,516,713			633,281
Increase/(decrease) in accrued expenses and other liabilities		(41,576	)		54,036

Net cash provided by/(used in) operating activities		7,295,978			(3,029,052	)

CASH FLOWS FROM FINANCING ACTIVITIES:
Proceeds from subscriptions		6,295,464			10,150,180
Payments on redemptions (net of change in redemptions payable)		(3,784,157	)		(5,605,495	)

Net cash provided by/(used in) financing activities		2,511,307			4,544,685

NET INCREASE/(DECREASE) IN CASH, CASH EQUIVALENTS AND RESTRICTED CASH		9,807,285			1,515,633
CASH, CASH EQUIVALENTS AND RESTRICTED CASH—Beginning of period		34,192,818			25,743,967

CASH, CASH EQUIVALENTS AND RESTRICTED CASH—End of period	$	44,000,103		$	27,259,600

SUPPLEMENTAL DISCLOSURE OF CASH ACTIVITY:
Cash paid for interest during the period	$	103,669		$	90,367

See notes to financial statements.

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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 June 30, 2023, and the results of its operations for the three and six month periods ended June 30, 2023 and 2022. 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, 2022. The December 31, 2022 information has been derived from the audited financial statements as of December 31, 2022.

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 Citigroup, N.A. (“Citi”), Credit Suisse Securities (USA) (“CS”), J.P. Morgan Chase Bank, N.A. and J.P. Morgan Securities LLC (“JPM”), Natwest, 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.

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Restricted cash is subject to a legal or contractual restriction by third parties as well as a restriction as to withdrawal or use, including restrictions that require the funds to be used for a specified purpose and restrictions that limit the purpose for which the funds can be used. The Trading Company considers cash held at counterparties for derivative contracts to be restricted cash.

Amounts due from brokers include local and foreign currency balances and balances posted as collateral. The amount of collateral held and included in due from brokers on the statements of financial condition is described in the table below.


	June 30, 2023		December 31, 2022		June 30, 2022
As at June 30, 2023, December 31, 2022 and June 30, 2022, the amounts included in cash, cash equivalents and restricted cash include the following:
Cash and cash equivalents	$	9,581,311	$	1,644,483	$	4,900,921
Due from brokers		34,418,792		32,548,335		22,358,679

Total cash, cash equivalents and restricted cash	$	44,000,103	$	34,192,818	$	27,259,600

Due to Brokers —

Due to brokers may consist of balances owed to its Brokers, as well as balances due to The Bank of New York Mellon relating to securities or contracts, the Trading Company has purchased or entered into, but have not yet settled as of June 30, 2023. The amount included in due from brokers on the Statements of Financial Condition is $1,516,713 and $0 as of June 30, 2023 and December 31, 2022, respectively.

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 may 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 Statements 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 June 30, 2023 and December 31, 2022, the Trading Company maintains cash balances with The Bank of New York Mellon. As of June 30, 2023, the Trading Company held foreign cash balances of $217,140 with a cost of $213,581, which are included in cash and cash equivalents. As of December 31, 2022, the Trading Company held foreign cash balances totaling $364,848 with a cost of $352,306, which are included in cash and cash equivalents. As of June 30, 2023 and December 31, 2022, the Trading Company did not hold any U.S. Treasury Bills in cash and cash equivalents.

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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.

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 and six month periods ended June 30, 2023 and 2022. 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 – 2019.

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 periods ended June 30, 2023 and 2022.

Other income

— Other income included in the Statements 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 June 30, 2023 and December 31, 2022.

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 and six month periods ended June 30, 2023 and 2022.

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

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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 June 30, 2023 and December 31, 2022, 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 June 30, 2023 and December 31, 2022, 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 June 30, 2023			Level 1			Level 2			Level 3
Assets
Treasury bills	$	140,360,135		$	—		$	140,360,135		$	—
Futures contracts		9,495,488			9,495,488			—			—
Forward contracts		15,917,504			—			15,917,504			—
Swap agreements*		575,822			—			575,822			—

Total Assets		166,348,949			9,495,488			156,853,461			—

Liabilities
Futures contracts		(2,050,771	)		(2,050,771	)		—			—
Forward contracts		(11,967,739	)		—			(11,967,739	)		—
Swap agreements*		(3,764	)		—			(3,764	)		—

Total Liabilities		(14,022,274	)		(2,050,771	)		(11,971,503	)		—

Net Fair Value	$	152,326,675		$	7,444,717		$	144,881,958		$	—


	Fair Value Measurements
Investments	As of December 31, 2022			Level 1			Level 2			Level 3
Assets
Treasury bills	$	153,545,594		$	—		$	153,545,594		$	—
Futures contracts		5,759,519			5,759,519			—			—
Forward contracts		17,186,700			—			17,186,700			—
Swap agreements*		96,691			—			96,691			—

Total Assets		176,588,504			5,759,519			170,828,985			—

Liabilities
Futures contracts		(1,177,586	)		(1,177,586	)		—			—
Forward contracts		(22,034,214	)		—			(22,034,214	)		—
Swap agreements*		(32,479	)		—			(32,479	)		—

Total Liabilities		(23,244,279	)		(1,177,586	)		(22,066,693	)		—

Net Fair Value	$	153,344,225		$	4,581,933		$	148,762,292		$	—

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

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 June 30, 2023 or 2022 based on the levels assigned at December 31, 2022 or 2021.

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

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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.

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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 June 30, 2023 and December 31, 2022, 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
	June 30, 2023				December 31, 2022
	1-5 years				1-5 years
Credit spread (in basis points)	Fair Value		Notional Amount		Fair Value		Notional Amount
0-100	$	435,290	$	250,000,000	$	42,871	$	115,000,000
101-250		—		—		—		—
251-350		—		—		—		—
351-450		136,768		60,000,000		—		—
450+		—		—		21,341		20,000,000

Total	$	572,058	$	310,000,000	$	64,212	$	135,000,000

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 June 30, 2023 and December 31, 2022, all credit default swap contracts entered into by the Trading Company are on indices. 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 underlying reference entity.

During the three and six months ended June 30, 2023 and 2022, the Trading Company traded the following derivative contracts:


	For the three months ended June 30,				For the six months ended June 30,
Number of contracts traded/settled	2023		2022		2023		2022
Exchange-traded futures contracts		28,393		19,272		51,649		44,349
Forward contracts		31,785		20,247		60,348		47,237
Swap agreements		225		384		629		812

As of June 30, 2023 and December 31, 2022, the gross notional value of open derivatives contracts is as follows:


Gross notional value of open contracts	June 30, 2023		December 31, 2022
Exchange-traded futures contracts	$	949,316,005	$	620,511,782
Forward contracts	$	3,372,586,462	$	1,861,553,131
Swap agreements	$	310,000,000	$	135,000,000

The trading activity of open future, forward and swap contracts as of June 30, 2023 and 2022 is indicative of the trading activity throughout the three and six month periods.

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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 appreciation/(depreciation) 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 June 30, 2023 and December 31, 2022, the OTC contracts subject to such trigger events in a net liability position were the foreign currency forward contracts. 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 June 30, 2023 and December 31, 2022, may differ from the net liability amounts recorded as of June 30, 2023 and December 31, 2022, 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 June 30, 2023 and December 31, 2022, all credit default swaps held by the Trading Company are centrally cleared swaps.

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The following table presents the fair value of the Trading Company’s derivative instruments:


	June 30, 2023
	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 appreciation			Gross unrealized trading depreciation
Currencies	on open forward contracts	$	15,258,412	on open forward contracts	$	(11,707,695	)
Metals			659,092			(260,044	)

Total open forward contracts			15,917,504			(11,967,739	)

Open futures contracts	Gross unrealized trading appreciation			Gross unrealized trading depreciation
Agricultural	on open futures contracts		2,553,884	on open futures contracts		(1,055,705	)
Currencies			—			(949	)
Energy			86,158			(307,509	)
Indices			2,089,121			(527,210	)
Interest rates			4,508,650			(87,066	)
Metals			257,675			(72,332	)

Total open futures contracts			9,495,488			(2,050,771	)

Open swap agreements	Gross unrealized trading appreciation			Gross unrealized trading depreciation
Credit	on open swap agreements		575,822	on open swap agreements		(3,764	)

Total open swap agreements			575,822			(3,764	)

Total Derivatives		$	25,988,814		$	(14,022,274	)


	December 31, 2022
	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 appreciation			Gross unrealized trading depreciation
Currencies	on open forward contracts	$	17,050,115	on open forward contracts	$	(21,673,961	)
Metals			136,585			(360,253	)

Total open forward contracts			17,186,700			(22,034,214	)

Open futures contracts	Gross unrealized trading appreciation			Gross unrealized trading depreciation
Agricultural	on open futures contracts		859,862	on open futures contracts		(115,615	)
Currencies			—			(2,395	)
Energy			615,290			(257,834	)
Indices			536,912			(760,779	)
Interest rates			2,694,565			(40,963	)
Metals			1,052,890			—

Total open futures contracts			5,759,519			(1,177,586	)

Open swap agreements	Gross unrealized trading appreciation			Gross unrealized trading depreciation
Credit	on open swap agreements		96,691	on open swap agreements		(32,479	)

Total open swap agreements			96,691			(32,479	)

Total Derivatives		$	23,042,910		$	(23,244,279	)

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The following table presents the impact of derivative instruments on the Statements of Operations:


	For the three months ended June 30,						For the six months ended June 30,
	2023			2022			2023			2022
Location of gain or loss recognized in income on derivatives	Gain (Loss) on derivatives			Gain (Loss) on derivatives			Gain (Loss) on derivatives			Gain (Loss) on derivatives
Forward contracts
Currencies	$	7,450,769		$	6,352,785		$	5,391,636		$	5,714,847
Metals		249,411			1,685,169			77,636			2,745,444

Net realized trading gains/(losses) on closed contracts/agreements	$	7,700,180		$	8,037,954		$	5,469,272		$	8,460,291

Currencies	$	2,787,186		$	(3,089,434	)	$	8,174,563		$	(501,740	)
Metals		782,411			(3,028,049	)		622,716			(1,022,142	)

Net change in unrealized trading appreciation/(depreciation) on open contracts/agreements	$	3,569,597		$	(6,117,483	)	$	8,797,279		$	(1,523,882	)

Futures contracts
Agricultural	$	520,825		$	(401,244	)	$	1,145,729		$	3,266,309
Currencies		(104,595	)		278,249			(169,833	)		340,074
Energy		(3,710,347	)		6,191,387			(4,237,190	)		15,788,583
Indices		2,225,290			(3,709,078	)		(339,992	)		(7,594,475	)
Interest rates		(821,758	)		11,344,086			(6,194,992	)		13,978,674
Metals		(1,616,357	)		(1,355,558	)		(2,245,177	)		(1,853,010	)

Net realized trading gains/(losses) on closed contracts/agreements	$	(3,506,942	)	$	12,347,842		$	(12,041,455	)	$	23,926,155

Agricultural	$	474,996		$	(927,109	)	$	753,932		$	(286,947	)
Currencies		(827	)		174,073			1,446			205,790
Energy		(337,576	)		(2,118,403	)		(578,807	)		(1,782,897	)
Indices		1,742,240			869,724			1,785,778			34,285
Interest rates		4,884,000			(3,394,574	)		1,767,982			2,112,604
Metals		273,760			1,291,637			(867,547	)		1,809,815

Net change in unrealized trading appreciation/(depreciation) on open contracts/agreements	$	7,036,593		$	(4,104,652	)	$	2,862,784		$	2,092,650

Swap agreements
Credit default swaps	$	1,913,984		$	2,027,791		$	1,079,475		$	1,371,606

Net realized trading gains/(losses) on closed contracts/agreements	$	1,913,984		$	2,027,791		$	1,079,475		$	1,371,606

Credit default swaps	$	452,072		$	356,582		$	507,846		$	(332,907	)

Net change in unrealized trading appreciation/(depreciation) on open contracts/agreements	$	452,072		$	356,582		$	507,846		$	(332,907	)

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 June 30, 2023 and December 31, 2022, 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.

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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
	Gross Amounts of Recognized Assets							Financial Instruments		Cash Collateral Received		Net Amount
As of June 30, 2023
Open futures contracts
Bank of America Merrill Lynch	$	2,465,961	$	(1,233,609	)	$	1,232,352	$	—	$	—	$	1,232,352
Goldman Sachs		1,964,486		(84,190	)		1,880,296		—		—		1,880,296
JPMorgan Chase		5,065,041		(732,972	)		4,332,069		—		—		4,332,069

Total open futures contracts	$	9,495,488	$	(2,050,771	)	$	7,444,717	$	—	$	—	$	7,444,717

Open forward contracts
Citigroup	$	3,906,675	$	(1,900,426	)	$	2,006,249	$	—	$	—	$	2,006,249
HSBC		7,670,839		(6,841,344	)		829,495		—		—		829,495
JPMorgan Chase		659,092		(260,044	)		399,048		—		—		399,048
Natwest		3,680,898		(2,965,925	)		714,973		—		—		714,973

Total open forward contracts	$	15,917,504	$	(11,967,739	)	$	3,949,765	$	—	$	—	$	3,949,765

Open swap agreements
Barclays	$	273,325	$	—		$	273,325	$	—	$	—	$	273,325
Goldman Sachs		161,965		(3,764	)		158,201		—		—		158,201
JPMorgan Chase		140,532		—			140,532		—		—		140,532

Total open swap agreements	$	575,822	$	(3,764	)	$	572,058	$	—	$	—	$	572,058

As of December 31, 2022
Open futures contracts
Bank of America Merrill Lynch	$	2,281,547	$	(320,820	)	$	1,960,727	$	—	$	—	$	1,960,727
Goldman Sachs		1,354,065		(417,312	)		936,753		—		—		936,753
JPMorgan Chase		2,123,907		(439,454	)		1,684,453		—		—		1,684,453

Total open futures contracts	$	5,759,519	$	(1,177,586	)	$	4,581,933	$	—	$	—	$	4,581,933

Open forward contracts
Citigroup	$	3,410,867	$	(3,410,867	)	$	—	$	—	$	—	$	—
HSBC		5,456,419		(5,456,419	)		—		—		—		—
JPMorgan Chase		136,585		(136,585	)		—		—		—		—
Natwest		8,182,829		(8,182,829	)		—		—		—		—

Total open forward contracts	$	17,186,700	$	(17,186,700	)	$	—	$	—	$	—	$	—

Open swap agreements
Goldman Sachs	$	96,691	$	—		$	96,691	$	—	$	—	$	96,691

Total open swap agreements	$	96,691	$	—		$	96,691	$	—	$	—	$	96,691

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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 June 30, 2023
Open futures contracts
Bank of America Merrill Lynch	$	1,233,609	$	(1,233,609	)	$	—	$	—	$	—		$	—
Goldman Sachs		84,190		(84,190	)		—		—		—			—
JPMorgan Chase		732,972		(732,972	)		—		—		—			—

Total open futures contracts	$	2,050,771	$	(2,050,771	)	$	—	$	—	$	—		$	—

Open forward contracts
Citigroup	$	1,900,426	$	(1,900,426	)	$	—	$	—	$	—		$	—
HSBC		6,841,344		(6,841,344	)		—		—		—			—
JPMorgan Chase		260,044		(260,044	)		—		—		—			—
Natwest		2,965,925		(2,965,925	)		—		—		—			—

Total open forward contracts	$	11,967,739	$	(11,967,739	)	$	—	$	—	$	—		$	—

Open swap agreements
Goldman Sachs	$	3,764	$	(3,764	)	$	—	$	—	$	—		$	—

Total open swap agreements	$	3,764	$	(3,764	)	$	—	$	—	$	—		$	—

As of December 31, 2022
Open futures contracts
Bank of America Merrill Lynch	$	320,820	$	(320,820	)	$	—	$	—	$	—		$	—
Goldman Sachs		417,312		(417,312	)		—		—		—			—
JPMorgan Chase		439,454		(439,454	)		—		—		—			—

Total open futures contracts	$	1,177,586	$	(1,177,586	)	$	—	$	—	$	—		$	—

Open forward contracts
Citigroup	$	4,326,434	$	(3,410,867	)	$	915,567	$	—	$	(915,567	)	$	—
HSBC		7,470,117		(5,456,419	)		2,013,698		—		(2,013,698	)		—
JPMorgan Chase		360,253		(136,585	)		223,668		—		(223,668	)		—
Natwest		9,877,410		(8,182,829	)		1,694,581		—		(1,694,581	)		—

Total open forward contracts	$	22,034,214	$	(17,186,700	)	$	4,847,514	$	—	$	(4,847,514	)	$	—

Open swap agreements
Barclays	$	19,449	$	—		$	19,449	$	—	$	(19,449	)	$	—
JPMorgan Chase		13,030		—			13,030		—		(13,030	)		—

Total open swap agreements	$	32,479	$	—		$	32,479	$	—	$	(32,479	)	$	—

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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 June 30, 2023
Open futures contracts
Bank of America Merrill Lynch	$	4,939,871

Open futures contracts and swap agreements
Goldman Sachs	$	8,613,977

Open forward contracts
Citigroup	$	529,403
HSBC	$	6,272,146
Natwest	$	3,423,477

Open futures, forward and swap agreements
JPMorgan Chase	$	7,999,786

Open swap agreements
Barclays	$	2,640,132

As of December 31, 2022
Open futures contracts
Bank of America Merrill Lynch	$	3,217,051

Open futures contracts and swap agreements
Goldman Sachs	$	8,559,755

Open forward contracts
Citigroup	$	1,255,091
HSBC	$	3,141,084
Natwest	$	3,056,874

Open futures, forward and swap agreements
JPMorgan Chase	$	5,753,382

Open swap agreements
Barclays	$	2,685,105

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.

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7. FINANCIAL HIGHLIGHTS

The following represents the ratios to average partners’ capital and other information for the three and six month periods ended June 30, 2023 and 2022:


	For the three months ended June 30,						For the six months ended June 30,
	2023			2022			2023			2022
Per unit operating performance:
Beginning net asset value	$	25,815.58		$	25,628.06		$	27,036.43		$	22,576.55

Income/(loss) from investment operations:
Net investment income/(loss)		280.61			4.86			540.45			(18.53	)
Net realized gains/(losses) and change in unrealized appreciation/(depreciation) on trading activities and translation of foreign currency		2,424.25			1,764.36			943.56			4,839.26

Total income/(loss) from investment operations		2,704.86			1,769.22			1,484.01			4,820.73

Ending net asset value	$	28,520.44		$	27,397.28		$	28,520.44		$	27,397.28

Ratios to average partners' capital 1 :
Expenses		0.47	%		0.48	%		0.47	%		0.53	%

Net investment income/(loss)		4.13	%		0.07	%		3.96	%		(0.15	)%

Total return 2		10.48	%		6.90	%		5.49	%		21.35	%

1	Ratios have been annualized.

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

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

8. REVISION OF PRE

OUSLY ISSUED FINANCIAL STATEMENTS

During the first quarter of 2023, the Trading Company identified and corrected an immaterial presentation error related to restricted cash that was not disclosed previously in the Statements of Cash Flows.

The Trading Company reconsidered the guidance included in ASU 2016-18 “Statement of Cash Flows” and determined that certain amounts included in Due from brokers on the Statements of Financial Condition met the definition of restricted cash for purposes of presentation and reconciliation on the Statements of Cash Flows. Based on an analysis of quantitative and qualitative factors in accordance with SEC Staff Accounting Bulletins 99 “Materiality” and 108 “Considering the Effects of Prior Year Misstatements when Quantifying Misstatements in Current Year Financial Statements”, the Trading Company concluded that these errors were immaterial, individually and in the aggregate, to the Statements of Cash Flows as presented in the Trading Company’s quarterly and annual financial statements previously filed in the Trading Company’s 2022 Quarterly Reports on Form 10-Q and Annual Reports on Form

10-K.

There was no impact to the Statements of Financial Condition, Condensed Schedule of Investments, Statements of Operations or Statements of Changes in Partners’ Capital for any period presented.

In preparing the Trading Company’s Statement of Cash Flows for the quarter ended June 30, 2023, the Trading Company made appropriate revisions to its Statements of Cash Flows for comparable prior periods presented. Such changes are reflected for the year ended December 31, 2022 and quarter ended June 30, 2022, included in these financial statements, and will also be reflected in the historical periods included in the Trading Company’s subsequent quarterly and annual financial statements during 2023.

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The impact to the Statements of Cash Flows previously filed in Quarterly Report on Form

10-Q

and Annual Report on Form

10-K

is as follows:


	For the year ended December 31, 2022
Financial statement location	Prior to revision			Post revision			Impact
Statement of Cash Flows — Changes in operating assets and liabilities:
Due from brokers	$	(12,920,373	)	$	—		$	12,920,373
Statement of Cash Flows — Cash and cash equivalents (including restricted cash) consists of:
Cash and cash equivalents — unrestricted		1,644,483			1,644,483			—
Cash and cash equivalents — restricted		—			32,548,335			32,548,335

Statement of Cash Flows — Cash and cash equivalents (including restricted cash) at the end of the year		1,644,483			34,192,818			32,548,335

Statement of Cash Flows — Cash and cash equivalents (including restricted cash) at the beginning of the year	$	6,116,005		$	25,743,967		$	19,627,962


	For the six months ended June 30, 2022
Financial statement location	Prior to revision			Post revision			Impact
Statement of Cash Flows — Changes in operating assets and liabilities:
Due from brokers	$	(3,971,616	)	$	(1,240,899	)	$	2,730,717
Statement of Cash Flows — Cash and cash equivalents (including restricted cash) consists of:
Cash and cash equivalents — unrestricted		4,900,921			4,900,921			—
Cash and cash equivalents — restricted		—			22,358,679			22,358,679

Statement of Cash Flows — Cash and cash equivalents (including restricted cash) at the end of the period		4,900,921			27,259,600			22,358,679

Statement of Cash Flows — Cash and cash equivalents (including restricted cash) at the beginning of the period	$	6,116,005		$	25,743,967		$	19,627,962

9. SUBSEQUENT EVENTS

For the period subsequent to June 30, 2023 through August 11, 2023, the date the financial statements were issued, the Trading Company recorded limited partner subscriptions of $

575,000

, and limited partner redemptions of $586,102.

The General Partner has evaluated the impact of subsequent events on the Trading Company through August 11, 2023, 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.

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, agricultural 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 Partnership’s critical accounting policies, off- balance sheet arrangements or disclosure of contractual obligations as reported in Partnership’s Form 10-Q filed June 30, 2023 except an immaterial presentation change as noted within Footnote 8 of the Trading Company’s Financial Statements

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 ,through the Trading Company, by market sector as of June 30, 2023. The Partnership’s capitalization was $ 96,431,586 as of June 30, 2023. See also Item 3, “Quantitative and Qualitative Disclosures About Market Risk,” below.


Quarter-End as of June 30, 2023
Market Sector	Margin Allocation		% of Capitalization
Agricultural	$	1,464,825.56		1.52	%
Bonds	$	2,368,646.06		2.46	%
Credit	$	6,013,854.07		6.24	%
Currencies	$	6,690,934.16		6.94	%
Energy	$	561,751.38		0.58	%
Interest rates	$	1,095,323.61		1.14	%
Metals	$	848,112.84		0.88	%
Stock indices	$	4,064,685.25		4.22	%
Total*	$	23,108,132.93		23.96	%

*	Total amount does 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 June 30, 2023:


	30-June-23
Ending Equity	$	96,431,586

Six months ended June 30, 2023:

Net assets increased $456,839 for the six months ended June 30, 2023. This increase was attributable to subscriptions in the amount of $1,210,000, redemptions in the amount of $3,719,433 and a net gain from operations of $2,966,272.

Management Fees of $1,419,556 and servicing fees of $474,985 were paid or accrued, and interest of $2,125,947 was earned or accrued on the Partnership’s share of the Trading Company’s cash and cash equivalents, broker balances and Treasuries for the six months ended June 30, 2023.

The Partnership’s other expenses paid or accrued for the six months ended June 30, 2023 were $505,067.

Three months ended June 30, 2023:

Net assets increased $5,989,106 for the three months ended June 30, 2023. This increase was attributable to subscriptions in the amount of $510,000, redemptions in the amount of $2,860,950 and a net gain from operations of $8,340,055

Management Fees of $711,327 and servicing fees of $ 238,016 were paid or accrued, and interest of $1,093,677 was earned or accrued on the Partnership’s share of the Trading Company’s cash and cash equivalents, broker balances and Treasuries for the three months ended June 30, 2023.

The Partnership’s other expenses paid or accrued for the three months ended June 30, 2023 were $278,598.

In April, the Partnership’s FX trading saw profitable short positions in the Japanese yen against the Euro and British pound and losses from its mixed positions in the Swiss franc and Canadian dollar against the US dollar. In equities trading, the Partnership’s long positions were generally profitable, along with its short positioning in the VIX volatility index. Long positions in MSCI Taiwan and India’s Nifty index generated offsetting losses. Credit trading was slightly positive for the Partnership. Trading in commodities was mixed. Agricultural, in particular a long position in sugar, were the standout, while volatile oil prices were detrimental to the Partnership’s positions in oil. Trading in metals was positive, with profits generated from a short zinc position, while a long in copper detracted. The Partnership’s small and varied positions in bonds detracted over the month as well.

In May, the Partnership generated a positive return net of fees with gains generated across all asset classes. The Partnership’s FX trading turned in the strongest performance over the month, most notably long USD crosses as markets perceived possibly more rate rises from the Fed. The Chinese renminbi and Norwegian krone were standouts, while a trade in the Euro against the US dollar lost out as the position flipped from long to short. Within the Partnership’s commodities trading, all three sub-components were beneficial. Prices across the soy complex fell, benefitting the Partnership’s short positioning, while a long sugar position lost out as prices fell. Energies notched up a small gain in aggregate, benefitting from a US natural gas short. Within metals, long precious positions detracted from the Partnership’s returns. Trading in fixed income was also profitable for the Partnership, most notably from shorts in 3m Sonia and UK Gilts. European bonds, on the other hand, rallied sharply, leading to losses from a short Italian government bond position. Equities trading also added to the Partnership’s positive returns. Long positions in the Nikkei were the most profitable, and the Partnership’s position in the Taiwan MSCI outperformed expectations. The Partnership’s credit trading was flat for May.

In the month of June, the Partnership generated a positive return, with gains led by fixed income, currency, equity and credit trading, offset by losses in commodities. Fixed income trading turned in the best performance over the month, with shorts continuing to bring in positive returns. Front-end positions had the best returns, notably SONIA and SOFR rates. Further out in the curve, US Treasuries out to the 10-year point performed best, and there were offsetting losses trading French and German bonds. Currency trading maintained its recent strong run, as the Partnership’s long position in the Mexican Peso against the US dollar proved profitable. Longs in the British pound against the Japanese yen also generated gains. Losses were incurred in trades on the Australian dollar. Trading in risk assets was also beneficial, most clearly in a short VIX position. Credit spreads tightened, resulting in small gains for the Partnership’s long credit positions. Gains also originated from longs in Taiwan’s MSCI index and through longs in Japanese stock indices. Losses were incurred in trading the Hang Seng and H-Shares Index. Commodities trading dipped into the red, with energies the principal culprit. Metals and agricultural trading also experienced difficulties, with copper and soybean prices in particular suffering significant reversals. Gains were accrued from a cocoa long, on the other hand.

Three months ended March 31, 2023:

In January, the Partnership generated a positive return with gains from equity, credit, commodity and FX positions marginally offset by losses in fixed income. The rally in risk assets helped to provide a tailwind to the Partnership’s net long equities position. The top performer was a long in the Australian SPI 200 index. A rallying Nasdaq, on the other hand, rising 11% on the month after a -33% return in 2022, did not benefit the Partnership’s short position. Losses were also incurred via short in the Korean Kospi. Credit spreads also narrowed over the month, benefitting short protection CDS positions in US investment-grade and European higher-yielding indices. The US-dollar continued to fall from its peak in November 2022, and this trend was best picked up through long positions in commodity currencies, most notably the Mexican and Chilean pesos.

Short positions in the Colombian peso and Israeli shekel against the US dollar, on the other hand, generated losses. Profits in commodity trading originated mostly from energy and metals, but with quite different narratives. China’s re-awakening was seemingly beneficial for long copper and gold positions while gold’s price was supported by a weaker US dollar and expectations that central banks might continue to buy gold to support their ‘de-dollarization’. Warm January weather likely contributed to falls in the price of natural gas on both sides of the Atlantic, and profits for the Partnership. Short positions in coffee and platinum generated small losses. Fixed income prices rallied in January on expectations that central banks may ease their rate-hiking plans. Several of the Partnership’s short positions, such as Italian and Australian government bond futures, flipped to long, incurring losses in the process. There were no offsetting profitable fixed income positions in January.

In February, the Partnership generated a positive return, net of fees, with positive attributions from fixed income and FX, and losses from commodities, stocks and credit. Expectations that the U.S. Federal Reserve (the “Fed”) might have more scope to raise rates contributed to a broad sell-off in fixed income instruments, particularly at the short end of the curve. This benefitted the aggregate short positioning in the Partnership, but the greatest beneficiaries were US instruments at the 3m, 2y, and 5-year points. A long position in the UK 10yr gilts, on the other hand, generated a loss. Trading in currencies generated a positive return on the month. The Partnership produced a gain from long USD currency crosses as the US dollar rose on greater expectations of further rate rises from the Fed. Top performers were the Swiss franc and Israeli shekel. Short dollar positions against the Euro and Singapore dollar, on the other hand, lost out. Returns from equities dipped into the red, led by long positions in the Australian SPI 200 and MSCI Emerging Markets indices. Trading in credit fared similarly, with losses in US CDS indices overcoming smaller gains in European indices. Losses in commodities were driven by metals, most notably longs in precious metals, and particularly gold which turned tail, losing 5% in February after three successive winning months. Losses from generally short positions in the oil complex led to an overall negative return in energies. Gains were generated in agricultural trading, however, led by a short in wheat whose price fell for the fifth straight month amid news of changes in Russian and Ukrainian supply, as well as improved forecasts for the US crop.

In March, losses were driven by fixed income, equities, and credit positions. A decline of 61bp on 13th of March for US 2-year Treasury yields was the largest decline in over 40 years, was against the prevailing price trend, and was detrimental to a short in the instrument and indeed all other tenors of US treasuries traded by the Partnership. Canadian bonds and the US 5yr treasury generated losses in fixed income trading as all markets were contributed negatively on the month. A long position in the FTSE 100 as well as a short in the Australian SPI 200 detracted the most from an equity standpoint. Risk-on positions in CDS indices also were hurt among a the seeming flight-to-safety, with European and US investment grade companies most clearly in the crosshairs. Commodities trading was relatively unscathed by the crisis in financial markets. A silver position generated a loss as it flipped from short to long as precious metals seemingly benefitted from a flight-to-quality effect. Prices of EUA carbon emissions, on the other hand, fell along with risk assets, generating losses for the Partnership’s long position. Sugar trading was beneficial, however, as prices hit a 10-year high, possibly driven in part by declining crop yields resulting from poor weather and a ban on pesticides. Currency trading was mixed, dipping into the red overall. Short positions in safe-haven currencies such as the Swiss franc and Japanese yen generated losses in the flight-to-quality episode. Winning trades exhibited less of a clear pattern; long Euro against the Norwegian krone as well as a long Chilean peso against the US dollar generated a modest gain.

Periods Ended June 30, 2022:


	30-June-22
Ending Equity	$	101,157,643

Six months ended June 30, 2022:

Net assets increased $ 12,983,064 for the six months ended June 30, 2022. This increase was attributable to subscriptions in the amount of $ 49,000, redemptions in the amount of $ (3,596,091) and a net gain from operations of $ 16,530,155.

Management Fees of $1,443,553 and servicing fees of $483,445 were paid or accrued, and interest of $181,624 was earned or accrued on the Partnership’s share of the Trading Company’s cash and cash equivalents and broker balances, for the six months ended June 30, 2022.

The Partnership’s other expenses paid or accrued for the six months ended June 30, 2022 were $ 463,054.

Three months ended June 30, 2022:

Net assets Increased $2,375,326.00 for the three months ended June 30, 2022. This Increase was attributable to subscriptions in the amount of $49,000, redemptions in the amount of (3,346,708) and a net gain from operations of $5,673,034.

Management Fees of $760,938 and servicing fees of $254,817 were paid or accrued, and interest of $138,664 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 June 30, 2022.

The Partnership’s other expenses paid or accrued for the three months ended June 30, 2022 were $224,060.

In April, the Partnership experienced positive returns, dominated by fixed income, energies, and FX with metals and equities detracting. The increasingly hawkish stance of the Fed and ECB and the continuing pressure on bonds played to the hand of the Partnership’s dominant short positions. Some of the top performers were in Italian 10-year government bonds, although short positions across the US curve were also positive. The Partnership’s long position in the Japanese 10yr bond finished flat and was one of the worst performers in the asset class. Trading in commodities was also positive in aggregate, with gains from long US natural gas positions benefitting from Europe’s desire to wean itself off Russian energy. This offset the losses from the Partnership’s long positions in copper and gold, two of the Partnership’s worst performers for the month. On the debit side, long metals positions, notably in copper and gold, detracted as prices reversed mid-month. The Partnership’s currency trading finished in the black, as the US dollar continued to rise against a basket of currencies. In developed markets, short positions in the Euro and Japanese yen against the US dollar continued to be positive as well. Long positions in commodity currencies such as the South African rand and the Canadian dollar, on the other hand, lost out. On the negative side, trading in equities finished down. A short position in the MSCI emerging market index generated positive performance, while a short position in the VIX volatility index detracted. There was a small gain in credit trading as positions oscillated around zero.

In May, the Partnership finished the month down net of fees with losses in FX, equities, metals, and agricultural offsetting small gains from energies and fixed income. Long energies positions continued to perform positively, notably in US natural gas and the crude oil complex. On the other hand, the Partnership’s position in base metals such as aluminium and zinc did not fare as well, although trading was more mixed for precious positions, with gains from a short in silver. The steady yield increases seen in fixed income markets year-to-date took a hiatus in May, and returns from the asset class were muted as a result. One of the top performers was a short position in Italian 10-year bonds. A short position in US 5yr treasuries, on the other hand, lost out. The Partnership built into a net short equity position as the month progressed, which was beneficial until the last week of the month. Trading finished the month in the red, with top performers being shorts in the Singapore MSCI and Nasdaq 100 indices, while longs in the Australian SPI 200 and Indian Nifty indices lost out. Short credit positions were also detrimental in the last week of the month, most notably from a CDS index position in US investment-grade names. Concerns over growth in the US weighed on the US dollar, which reversed direction mid-month versus a basket of other currencies. This had a detrimental effect on Asian currency pairs such as the South Korean won and Singapore dollar, which were the Partnership’s two worst performers, although the Partnership’s long positions in commodity currencies, such as the Mexican peso and Brazilian real offset some of these losses.

The Partnership’s performance in June was bifurcated, giving up mid-month gains to finish with a positive return. Gains in fixed income, credit, and currencies were partially offset by losses in commodities. Despite the reversal mid-month, trading in fixed income finished in the black. Short-term rates contracts generated a positive return, as did Canadian and Italian 10yr bonds, while a long position in 10-year Japanese government bonds detracted. Shorts in credit performed positively as risk assets sold off throughout the month, notably in European investment-grade and high-yielding names. Trading in equities managed to eke out a gain as short positions in Asian indices, notably the Taiwan and Singapore MSCI, did best. A FTSE 100 long detracted from performance. US dollar strength was very much the theme in currency trading. Losses from longs in commodity currencies such as the Mexican peso and Brazilian real were offset by gains from US dollar longs against currencies such as the Korean won and Australian dollar. For the first month this year, commodities trading generated a loss. Agricultural detracted, notably longs in soybeans and wheat, and longs in energies also caused pain. The Partnership’s short metals positions were positive, however, with silver and copper being some of the top performers.

Three months ended March 31, 2022:

The Partnership started the year down, as gains from long energies, long agricultural and short bonds were broadly offset by losses from long credit and equity positions. The Partnership entered the new year with net long positions in equities and credit, which struggled against a bearish market. On the equity side, the rotation from growth to value compounded losses for long positions in S&P 500 and NASDAQ indices, and the Partnership posted losses in the Australian SPI 200 as well. Gains were seen in short FTSE China A50 index positions. Losses were also incurred from long credit positions, most notably in US 5-year investment-grade and European high-yield indices. Currency trading was mixed, just dipping into the red in aggregate. The US dollar rose in a broadly risk-off environment, which hurt the Partnership’s long positions against the US dollar such as the Colombian peso and UK sterling, while a long in the Brazilian real and a short in the Korean won fared best. In the fixed income markets, benchmark US 10-year Treasuries rose around 30bp, and yields generally rose at all maturities, benefiting the Partnership’s short positioning across the curve, with top performers being in the US, from overnight-rates out to 10y. Long positions in German 2-year and Japanese 10-year bonds struggled, however, and generated losses. In the commodities market, the price of oil went up, and Brent futures reached seven-year highs of $90 a barrel. This increase had a positive result for the Partnership’s long positions in the oil complex, most notably heating and gas oil. Longs in agricultural commodities were also beneficial, particularly soybeans and soyoil. Precious metals generated losses, however, with gold failing to find a clear direction in the New Year.

In February, the Partnership ultimately finished up with gains from commodities and fixed income being slightly offset by losses in FX. Against the backdrop of warfare between Russia and Ukraine, commodity prices almost uniformly drove higher. The oil complex saw gains for the Partnership, alongside soybean and corn positions. Metals performance was more nuanced with longs in gold and aluminium beneficial but a similar position in silver detracted. The Partnership entered February short most fixed income instruments across maturities. This proved beneficial overall; the top performer was in 10-year Italian government bonds, while a long position in 2-year German bonds lost out. The Partnership’s losses in equities were driven by shorts in the Singapore MSCI and longs in the S&P TSX 60 indices, which were not offset by gains made in short positions in China’s H-shares index. The Partnership’s credit positions were positive; a position in European 5-year iTraxx CDS index was the top performer, flipping from short to long protection mid-month, and benefiting from risk-off sentiment. FX trading saw losses overall on volatile FX rates. Several pairs saw losses, with shorts in the New Zealand dollar and Euro against the US dollar faring worst, although longs in commodity currencies such as the Brazilian real, also against the greenback, performed well.

To finish out the first quarter, March saw the Partnership finish with positive returns as commodity, FX, and fixed income trading gains offset the losses in credit. Commodities once more were top contributors for the Partnership, led by energies where long positions in the oil complex were accretive, although for the second month in a row, long positions in carbon emissions detracted on perception of lower energy demand. Long metals positions also generated positive returns, most notably gold but also nickel which gained on a well-publicized short squeeze at the London Metal Exchange. Trading in agricultural commodities was also positive, with corn and wheat top performers. Losses were seen in coffee and cocoa trading. The Partnership also saw positive returns from pairs involving long commodity currencies such as the Brazilian real and Australian dollar.

Crosses against the Japanese yen were particularly beneficial as well, while long positions in the British pound against both the Euro and US dollar incurred losses. Short fixed income positions were also beneficial, particularly SOFR and 2-year bond futures. A short in German Schatz futures, on the other hand, generated a loss. The Partnership transitioned from short to small long in both equites and credit as the month progressed. Equities trading was marginally positive overall, with the top performers being Chinese indices. Credit trading dipped into the red, however, with losses driven by long CDS positions in the European high yield index.

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 dealers, exchanges and OTC clearing counterparties 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, 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 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 average, highest and lowest amount of trading Value at Risk associated with the Partnership’s open positions by market category as of June 30, 2023. As of June 30, 2023, the Partnership’s average quarter-end capitalization was $93,437,350.


Quarter-Ended June 30, 2023
Market Sector	Average Value at Risk		% of Average Capitalization			Highest Value at Risk		Lowest Value at Risk
Agricultural	$	1,361,322.44		1.46	%	$	1,464,825.56	$	1,257,819.31
Bonds	$	1,467,596.10		1.57	%	$	2,368,646.06	$	566,546.13
Credit	$	3,701,030.64		3.96	%	$	6,013,854.07	$	1,388,207.20
Currencies	$	5,401,476.97		5.78	%	$	6,690,934.16	$	4,112,019.77
Energies	$	737,979.76		0.79	%	$	914,208.13	$	561,751.38
Interest rates	$	645,107.55		0.69	%	$	1,095,323.61	$	194,891.49
Metals	$	1,068,986.17		1.14	%	$	1,289,859.50	$	848,112.84
Stock indices	$	3,456,184.08		3.70	%	$	4,064,685.25	$	2,847,682.91
Total*	$	17,839,683.69		19.09	%	$	23,902,336.34	$	11,777,031.03

*	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 six months ended June 30, 2023. Average capitalization is the Partnership’s average quarter-end capitalization for the six months ended June 30, 2023.

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 (U.S. Treasury Bills) and interest-bearing bank accounts. These investments 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 June 30, 2023, 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 the United States, Italy, Germany, Australia, and the 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 June 30, 2023, the Partnership’s primary currency exposures were in the U.S. Dollar versus the British Pound, Chinese Renminbi, Brazilian Real, Swiss Franc and Mexican Peso.

Stock Indices. The Partnership’s primary equity exposure, through stock index futures, is to equity price risk in the G-7 countries. As of June 30, 2023, the Partnership’s primary exposures were in the Taiwan MSCI, Tokyo Stock Exchange, Korean Kospi, Nikkei and Russell 2000 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.)

Metals. The AHL Diversified Program used for the Partnership trades precious and base metals. As of June 30, 2023, the Partnership’s primary metals market exposures were in Nickel, Aluminum, Zinc and Palladium.

Agricultural. The Partnership’s has exposure to agricultural price movements, which are often directly affected by severe or unexpected weather conditions. Sugar, Cocoa, Soybeans and Coffee accounted for the substantial bulk of the Partnership’s commodities exposure as of June 30, 2023.

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 June 30, 2023, the main exposures were in Crude Oil, US Natural Gas, Gas Oil and Heating Oil.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the only non-trading risk exposures of the Partnership as of June 30, 2023.

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 and Investments in Treasury Bills. The Partnership’s only market exposure in instruments held other than for trading is in its cash portfolio and investments in Treasury Bills. The Partnership holds only investments in interest-bearing bank accounts and US Treasury Bills. These cash positions and investments in treasury bills 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) 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, agricultural 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 June 30, 2023. 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 June 30, 2023.

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 June 30, 2023 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. When a System Event is detected, a review and analysis of the circumstances that may have caused a reported System Event will be completed and is overseen by an escalation committee made up of appropriate senior personnel. Following this review, the Trading Advisor, in its sole discretion, may choose not to address or fix such System Event, 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. When a System Event is detected, the Trading Advisor generally will not, as part of the review of circumstances leading to the System Event, perform a materiality analysis on the potential impact of a System Event. The Trading Advisor believes that the testing and monitoring performed on Models and the controls adopted to ensure processes are undertaken with care, 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, but 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”) is also expected to impose similar requirements on certain security-based derivatives in the near future, though it is not yet clear when these parallel SEC requirements will go into effect. 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. The overall impact of EMIR and the Reform Act on the Partnership is highly uncertain and it is unclear how the OTC derivatives markets will adapt to these new regulatory regimes.

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.

Effects of Health Crises and Other Catastrophic Events. Health crises, such as pandemic and epidemic diseases, as well as other catastrophes such as natural disasters, war or civil disturbance, acts of terrorism, power outages and other unforeseeable and external events, that result in disrupted markets and/or interrupt the expected course of events, and public response to or fear of such crises or events, may have an adverse effect on the operations of and, where applicable, investments made by the Partnership and the Trading Company. For example, any preventative or protective actions taken by governments in response to such crises or events may result in periods of regional, national or international business disruption. Such actions may significantly disrupt the operations of the Partnership, the Trading Company, the General Partner and the other service providers to the Partnership. Further, the occurrence and duration of such crises or events could adversely affect economies and financial markets either in specific countries or worldwide. The impact of such crises or events could lead to negative consequences for the Partnership, including, without limitation, significant reduction in the Net Asset Value of the Partnership, reduced liquidity of the Partnership’s investments, restrictions on the ability of the Partnership to value its investments and the potential suspension of the calculation of Net Asset Value and the suspension of issues and/or redemptions of Interests.

Table of Contents

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 April 2023, May 2023 and June 2023, the Partnership sold Class A Series 1 Units, exclusive of

non-cash

transfers, to existing and new Limited Partners in the amount of $250,000, $100,000 and $120,000, respectively. On the first business day of April 2023, May 2023 and June 2023, 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 April 2023, May 2023 and June 2023, the Partnership sold Class B Series 1 Units, exclusive of

non-cash

transfers, to existing and new Limited Partners in the amount of $0, $40,000 and $0, respectively. On the first business day of January 2023, February 2023 and March 2023, 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 June 2023:


	Class A-1 Units		Class A-2 Units		Class B-1 Units		Class B-2 Units
Date of Redemption: (last business day)	Amount Redeemed:		Amount Redeemed:		Amount Redeemed:		Amount Redeemed:
April 2023	$	250,909		—	$	236,201		—
May 2023	$	441,555		—	$	138,189		—
June 2023	$	1,746,521		—	$	47,575		—
TOTAL	$	2,438,985		—	$	421,965		—

Item 3. Defaults upon Senior Securities.

None.

Item 4. Mine Safety Disclosures.

Not Applicable.

Item 5. Other Information.

During the three months ended June 30, 2023, the neither the General Partner nor its directors or officers adopted or terminated any Rule

10b5-1

trading arrangement or

non-Rule

10b5-1

trading arrangement (as such terms are defined in Item 408 of Regulation

S-K

of the Securities Act of 1933, as amended).

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.

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.

The following exhibit is incorporated by reference herein from the exhibit of the same description and number filed on May 17, 2021, for the quarterly period ended March 31, 2021, with the Partnership’s Quarterly Report on Form 10-Q.


10.4		Form of Omnibus US Selling Agreement between Man Investments (USA) Corp. and Man Investments Inc.


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 Financial Statements (unaudited)			6


	June 30, 2023 (Unaudited)			December 31, 2022
ASSETS
Investment in Man-AHL Diversified Trading Company L.P.	$	97,082,141		$	96,568,945
Due from Man-AHL Diversified Trading Company L.P.		1,794,096			152,440

Total assets	$	98,876,237		$	96,721,385

LIABILITIES AND PARTNERS’ CAPITAL
LIABILITIES:
Redemptions payable	$	1,794,096		$	152,440
Management fees payable		242,637			237,511
Servicing fees payable		81,192			79,472
Accrued expenses and other liabilities		326,726			277,215

Total liabilities		2,444,651			746,638

PARTNERS’ CAPITAL:
General Partner—Class A Series 1 (186.37 units outstanding as at June 30, 2023 and December 31, 2022)		969,836			940,620
Limited Partners—Class A Series 1 (12,097.40 and 12,422.56 units outstanding as at June 30, 2023 and December 31, 2022, respectively)		62,951,305			62,695,988
Limited Partners—Class A Series 2 (717.49 units outstanding as at June 30, 2023 and December 31, 2022)		4,463,968			4,302,440
Limited Partners—Class B Series 1 (5,389.95 and 5,555.22 units outstanding as at June 30, 2023 and December 31, 2022, respectively)		28,046,477			28,035,699

Total partners’ capital		96,431,586			95,974,747

Total liabilities and partners’ capital	$	98,876,237		$	96,721,385

NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST—CLASS A Series 1	$	5,203.71	*	$	5,046.95	*

NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST—CLASS A Series 2	$	6,221.61	*	$	5,996.48	*

NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST—CLASS B Series 1	$	5,203.48	*	$	5,046.72	*


	CLASS A Series 1										CLASS A Series 2						CLASS B Series 1						TOTAL
	Limited Partners						General Partner				Limited Partners						Limited Partners
	Amount*			Units			Amount*		Units		Amount*			Units			Amount*			Units			Amount*			Units
PARTNERS’ CAPITAL
January 1, 2023	$	62,695,988			12,422.56		$	940,620		186.37	$	4,302,440			717.49		$	28,035,699			5,555.22		$	95,974,747			18,881.64
Subscriptions		1,170,000			233.69			—		—		—			—			40,000			8.13			1,210,000			241.82
Redemptions		(2,861,035	)		(558.85	)		—		—		—			—			(858,398	)		(173.40	)		(3,719,433	)		(732.25	)
Net income/(loss)		1,946,352			—			29,216		—		161,528			—			829,176			—			2,966,272			—

PARTNERS’ CAPITAL
June 30, 2023	$	62,951,305			12,097.40		$	969,836		186.37	$	4,463,968			717.49		$	28,046,477			5,389.95		$	96,431,586			18,391.21

PARTNERS’ CAPITAL
January 1, 2022	$	56,257,765			12,777.64		$	820,573		186.37	$	4,962,742			960.65		$	26,133,499			5,935.87		$	88,174,579			19,860.53
Subscriptions		—			—			—		—		—			—			49,000			9.35			49,000			9.35
Redemptions		(1,796,097	)		(346.45	)		—		—		(877,059	)		(144.47	)		(922,935	)		(182.57	)		(3,596,091	)		(673.49	)
Net income/(loss)		10,547,273			—			154,071		—		953,887			—			4,874,924			—			16,530,155			—

PARTNERS’ CAPITAL
June 30, 2022	$	65,008,941			12,431.19		$	974,644		186.37	$	5,039,570			816.18		$	30,134,488			5,762.65		$	101,157,643			19,196.39


	June 30, 2023 (Unaudited)			December 31, 2022
ASSETS
Equity in trading accounts:
Net unrealized trading appreciation on open futures contracts	$	7,444,717		$	4,581,933
Net unrealized trading appreciation on open forward contracts		3,949,765			—
Net unrealized trading appreciation on open swap agreements		572,058			96,691
Net premiums paid on credit default swap agreements		5,187,720			933,040
Due from brokers		35,760,635			32,548,335

Total equity in trading accounts		52,914,895			38,159,999
Cash and cash equivalents		9,581,311			1,644,483
Investment in securities, at fair value (cost $140,360,462 and $153,517,088 at June 30, 2023 and December 31, 2022, respectively)		140,360,135			153,545,594

Total assets	$	202,856,341		$	193,350,076

LIABILITIES AND PARTNERS’ CAPITAL
LIABILITIES:
Net unrealized trading depreciation on open forward contracts	$	—		$	4,847,514
Net unrealized trading depreciation on open swap agreements		—			32,479
Due to brokers		1,516,713			—
Redemptions payable to Man-AHL Diversified I L.P.		1,794,096			152,440
Redemptions payable to Man-AHL Diversified II L.P.		177,902			—
Accrued expenses and other liabilities		316,743			358,319

Total liabilities		3,805,454			5,390,752

PARTNERS’ CAPITAL:
Limited Partners (6,979.24 and 6,952.08 units outstanding as at June 30, 2023 and December 31, 2022, respectively)		199,050,887			187,959,324

Total partners’ capital		199,050,887			187,959,324

Total liabilities and partners’ capital	$	202,856,341		$	193,350,076

NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST	$	28,520.44	*	$	27,036.43	*


Statements of Financial Condition (a)			12
Condensed Schedules of Investments (a)			13
Statements of Operations (b)			15
Statements of Changes in Partners’ Capital (c)			16
Statements of Cash Flows (c)			17
Notes to the Financial Statements (unaudited)			18