QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
(State or other jurisdiction of incorporation or organization) |
(IRS Employer Identification No.) | |
c/o Man Investments (USA) Corp. th Avenueth Floor |
||
(Address of principal executive offices) |
(Zip Code) |
Title of each class |
Trading Symbol(s) |
Name of each exchange on which registered | ||
none |
none |
none |
Large Accelerated Filer | ☐ | Accelerated Filer | ☐ | |||||
☒ | Smaller reporting company | |||||||
Emerging growth company |
ITEM 1. |
Financial Statements. |
3 | ||||
4 | ||||
5 | ||||
6 | ||||
7 |
(a) | At September 30, 2021 (unaudited) and December 31, 2020 |
(b) | For the three months ended September 30, 2021 and 2020 (unaudited) and for the nine months ended September 30, 2021 and 2020 (unaudited) |
(c) | For the nine months ended September 30, 2021 and 2020 (unaudited) |
September 30, 2021 (Unaudited) |
December 31, 2020 |
|||||||
ASSETS |
||||||||
Investment in Man-AHL Diversified Trading Company L.P. |
$ | $ | ||||||
Due from Man-AHL Diversified Trading Company L.P. |
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Total assets |
$ | $ | ||||||
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LIABILITIES AND PARTNERS’ CAPITAL |
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LIABILITIES: |
||||||||
Redemptions payable |
$ | $ | ||||||
Management fees payable |
||||||||
Servicing fees payable |
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Accrued expenses and other liabilities |
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Total liabilities |
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|||||
PARTNERS’ CAPITAL: |
||||||||
General Partner - Class A Series 1 ( |
||||||||
Limited Partners - Class A Series 1 ( |
||||||||
Limited Partners - Class A Series 2 ( |
||||||||
Limited Partners - Class B Series 1 ( |
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Total partners’ capital |
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Total liabilities and partners’ capital |
$ | $ | ||||||
|
|
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|
|||||
NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST - CLASS A Series 1 |
$ | * | $ | * | ||||
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|
|||||
NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST - CLASS A Series 2 |
$ | * | $ | * | ||||
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|||||
NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST - CLASS B Series 1 |
$ | * | $ | * | ||||
|
|
|
|
* | Difference in net asset value recalculation and net asset value stated is caused by rounding differences. |
For the three months ended |
For the nine months ended |
|||||||||||||||
September 30, |
September 30, |
|||||||||||||||
2021 |
2020 |
2021 |
2020 |
|||||||||||||
NET INVESTMENT INCOME (LOSS) ALLOCATED FROM MAN-AHL DIVERSIFIED TRADING COMPANY L.P.: |
||||||||||||||||
Interest income |
$ | $ | $ | $ | ||||||||||||
Other income |
||||||||||||||||
Brokerage commissions |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Interest expense |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Administration fees |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Professional fees |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Shareholder expenses |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Other expenses |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
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|
|
|
|
|
|
|
|||||||||
Net investment income (loss) allocated from Man-AHL Diversified Trading Company L.P. |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
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PARTNERSHIP EXPENSES: |
||||||||||||||||
Management fees |
||||||||||||||||
Servicing fees |
||||||||||||||||
Professional fees |
( |
) | ||||||||||||||
Other expenses |
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Total partnership expenses |
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Net investment los s |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
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|||||||||
REALIZED AND UNREALIZED GAINS (LOSSES) ON TRADING ACTIVITIES ALLOCATED FROM MAN-AHL DIVERSIFIED TRADING COMPANY L.P.: |
||||||||||||||||
Net realized trading gains (losses) on closed contracts/agreements and foreign currency transactions |
( |
) | ||||||||||||||
Net change in unrealized trading gains (losses) on securities |
( |
) | ||||||||||||||
Net change in unrealized trading gains (losses) on open contracts/agreeements and translation of foreign currency |
( |
) | ( |
) | ( |
) | ||||||||||
|
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|||||||||
Net gains (losses) on trading activities allo c ated from Man-AHL Diversified Trading Company L.P. |
( |
) | ( |
) | ||||||||||||
|
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|
|
|
|
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|
|||||||||
NET INCOME (LOSS) |
$ | ( |
) | $ | ( |
) | $ | |
$ | ( |
) | |||||
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|
|
|
|
|||||||||
NET INCOME (LOSS) PER UNIT OF PARTNERSHIP INTEREST (based on weighted average units outstanding during the period): |
||||||||||||||||
CLASS A Series 1 |
$ | ( |
) | $ | ( |
) | $ | $ | ( |
) | ||||||
|
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|
|
|
|
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|
|||||||||
CLASS A Series 2 |
$ | ( |
) | $ | ( |
) | $ | $ | ( |
) | ||||||
|
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|
|
|
|||||||||
CLASS B Series 1 |
$ | ( |
) | $ | ( |
) | $ | $ | ( |
) | ||||||
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|||||||||
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD: |
||||||||||||||||
CLASS A Series 1 |
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CLASS A Series 2 |
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CLASS B Series 1 |
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|
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, 2021 |
$ | |
$ | $ | |
$ | |
$ | ||||||||||||||||||||||||||||||||
Subscriptions |
— | — | ||||||||||||||||||||||||||||||||||||||
Redemptions |
( |
) | ( |
) | — | — | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||
Net income (loss) |
— | — | — | — | — | |||||||||||||||||||||||||||||||||||
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PARTNERS’ CAPITAL September 30, 2021 |
$ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||
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PARTNERS’ CAPITAL January 1, 2020 |
$ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||
Subscr i ptions |
— | — | ||||||||||||||||||||||||||||||||||||||
Redemptions |
( |
) | ( |
) | — | — | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||
Net income (loss) |
( |
) | — | ( |
) | — | ( |
) | — | ( |
) | — | ( |
) | — | |||||||||||||||||||||||||
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|||||||||||||||||||||
PARTNERS’ CAPITAL September 30, 2020 |
$ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||
|
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|
For the nine months ended September 30, |
||||||||
2021 |
2020 |
|||||||
CASH FLOWS FROM OPERATING ACTIVITIES: |
||||||||
Net income (loss) |
$ | $ | ( |
) | ||||
Adjustments to reconcile net income (loss) to net cash provided by operating activities: |
||||||||
Purchases of investments in Man-AHL Diversified Trading Company L.P. |
( |
) | ( |
) | ||||
Sales of investments in Man-AHL Diversified Trading Company L.P. |
||||||||
Net (gain) loss on trading activities and net investment loss allocated from investment in Man-AHL Diversified Trading Company L.P. |
( |
) | ( |
) | ||||
Changes in assets and liabilities: |
||||||||
Management fees payable |
( |
) | ||||||
Servicing fees payable |
( |
) | ||||||
Accrued expenses and other liabilities |
( |
) | ( |
) | ||||
Net cash provided by operating activities |
||||||||
CASH FLOWS FROM FINANCING ACTIVITIES: |
||||||||
Proceeds from subscriptions |
||||||||
Payments on redemptions |
( |
) | ( |
) | ||||
Net cash used in financing activities |
( |
) | ( |
) | ||||
NET INCREASE (DECREASE) IN CASH |
||||||||
CASH - Beginning of period |
||||||||
CASH - End of period |
$ | $ | ||||||
For the three months ended September 30, 2021 |
For the three months ended September 30, 2020 |
|||||||||||||||||||||||
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 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||
Net realized and unrealized gains (losses) on trading activities |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||
Total income (loss) from investment operations |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||
Ending net asset value |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Ratios to average partners’ capital 1 : |
||||||||||||||||||||||||
Expenses other than incentive fees |
% | % | % | % | % | % | ||||||||||||||||||
Total expenses |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income (loss) |
( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ||||||||||||
Total return 2 : |
||||||||||||||||||||||||
Total return before incentive fees |
( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ||||||||||||
Total return after incentive fees |
( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ||||||||||||
For the nine months ended September 30, 2021 |
For the nine months ended September 30, 2020 |
|||||||||||||||||||||||
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 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||
Net realized and unrealized gains (losses) on trading activities |
( |
) | ||||||||||||||||||||||
Total income (loss) from investment operations |
( |
) | ( |
) | ( |
) | ||||||||||||||||||
Ending net asset value |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Ratios to average partners’ capital 1 : |
||||||||||||||||||||||||
Expenses other than incentive fees |
% | % | % | % | % | % | ||||||||||||||||||
Total expenses |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income (loss) |
( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ||||||||||||
Total return 2 : |
||||||||||||||||||||||||
Total return before incentive fees |
% | % | % | ( |
)% | ( |
)% | ( |
)% | |||||||||||||||
Total return after incentive fees |
% | % | % | ( |
)% | ( |
)% | ( |
)% | |||||||||||||||
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. |
2 |
||||
3 |
||||
5 |
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6 |
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7 |
||||
8 |
(a) |
At September 30, 2021 (unaudited) and December 31, 2020 |
(b) |
For the three month periods ended September 30, 2021 and 2020 (unaudited) and for the nine month periods ended September 30, 2021 and 2020 (unaudited) |
(c) |
For the nine month periods ended September 30, 2021 and 2020 (unaudited) |
September 30, 2021 |
||||||||
(Unaudited) |
December 31, 2020 |
|||||||
ASSETS |
||||||||
Equity in trading accounts: |
||||||||
Net unrealized trading gains on open futures contracts |
$ | $ | ||||||
Net unrealized trading gains on open forward contracts |
||||||||
Net unrealized trading gains on open swap agreements |
||||||||
Net premiums paid on credit default swap agreements |
||||||||
Due from brokers |
||||||||
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|
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Total equity in trading accounts |
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Cash and cash equivalents |
||||||||
Investment in securities, at fair value (cost $ |
||||||||
|
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|
|
|||||
Total assets |
$ | $ | ||||||
|
|
|
|
|||||
LIABILITIES AND PARTNERS’ CAPITAL |
||||||||
LIABILITIES: |
||||||||
Net unrealized trading losses on open futures contracts |
$ | $ | ||||||
Net unrealized trading losses on open forward contracts |
||||||||
Net unrealized trading losses on open swap agreements |
||||||||
Net premiums received on credit default swap agreements |
||||||||
Due to brokers |
||||||||
Redemptions payable to Man-AHL Diversified I L.P. |
||||||||
Redemptions payable to Man-AHL Diversified II L.P. |
||||||||
Accrued expenses and other liabilities |
||||||||
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|
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Total liabilities |
||||||||
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PARTNERS’ CAPITAL: |
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Limited Partners ( |
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|
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Total partners’ capital |
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|
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Total liabilities and partners’ capital |
$ | $ | ||||||
|
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|
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NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST |
$ | $ | ||||||
|
|
|
|
September 30, 2021 (Unaudited) |
December 31, 2020 |
|||||||||||||||
Percent of |
Percent of |
|||||||||||||||
Partners’ |
Partners’ |
|||||||||||||||
Fair Value |
Capital |
Fair Value |
Capital |
|||||||||||||
FUTURES CONTRACTS - Long: |
||||||||||||||||
Agricultural |
$ | $ | ||||||||||||||
Currencies |
||||||||||||||||
Energy |
||||||||||||||||
Indices |
( |
) | ( |
) | ||||||||||||
Interest Rates |
( |
) | ( |
) | ||||||||||||
Metals |
( |
) | ( |
) | ||||||||||||
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|||||||||
Total futures contracts - long |
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FUTURES CONTRACTS - Short: |
||||||||||||||||
Agricultural |
$ | ( |
) | ( |
) | |||||||||||
Currencies |
||||||||||||||||
Energy |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Indices |
( |
) | ( |
) | ||||||||||||
Interest Rates |
( |
) | ( |
) | ||||||||||||
Metals |
||||||||||||||||
|
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|
|||||||||
Total futures contracts - short |
( |
) | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
NET UNREALIZED TRADING GAINS (LOSSES) ON OPEN FUTURES CONTRACTS |
$ | $ | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
FORWARD CONTRACTS - Long: |
||||||||||||||||
Australian dollars |
$ | $ | ||||||||||||||
Brazilian real |
( |
) | ( |
) | ||||||||||||
Mexican peso |
( |
) | ( |
) | ||||||||||||
Turkish lira |
||||||||||||||||
New Zealand dollars |
( |
) | ( |
) | ||||||||||||
South African rand |
( |
) | ( |
) | ||||||||||||
South Korean won |
( |
) | ( |
) | ||||||||||||
U.K. pound |
( |
) | ( |
) | ||||||||||||
Other |
( |
) | ( |
) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total long forward contracts vs USD |
( |
) | ( |
) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
FORWARD CONTRACTS - Short: |
||||||||||||||||
Australian dollars |
$ | $ | ( |
) | ( |
) | ||||||||||
Brazilian real |
||||||||||||||||
Mexican peso |
( |
) | ( |
) | ||||||||||||
Turkish lira |
( |
) | ( |
) | ||||||||||||
Metal |
||||||||||||||||
New Zealand dollars |
( |
) | ( |
) | ||||||||||||
South African rand |
( |
) | ( |
) | ||||||||||||
South Korean won |
( |
) | ( |
) | ||||||||||||
U.K. pound |
( |
) | ( |
) | ||||||||||||
Other |
( |
) | ( |
) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total short forward contracts vs USD |
( |
) | ( |
) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Forward contracts - Cross currencies |
( |
) | ( |
) | ||||||||||||
Forward contracts - Metal non USD |
||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
( |
) | ( |
) | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
NET UNREALIZED TRADING GAINS (LOSSES) ON OPEN FORWARD CONTRACTS |
$ | ( |
) | ( |
) | $ | ||||||||||
|
|
|
|
|
|
|
|
September 30, 2021 (Unaudited) |
December 31, 2020 |
|||||||||||||||||||
Percent of |
Percent of |
|||||||||||||||||||
Partners’ |
Partners’ |
|||||||||||||||||||
Principal |
Fair Value* |
Capital |
Fair Value* |
Capital |
||||||||||||||||
SWAP AGREEMENTS - Long: |
||||||||||||||||||||
Credit default swaps - Buy protection centrally cleared (upfront premiums received $ |
$ | $ | ||||||||||||||||||
Interest rate swaps |
||||||||||||||||||||
Brazilian Real (range of expirations: January 4, 2021 - March 19, 2025 , as of December 31, 2020 |
||||||||||||||||||||
|
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|
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|
|
|||||||||||||
Total swap agreements - long |
||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
SWAP AGREEMENTS - Short: |
||||||||||||||||||||
Credit default swaps - Sell protection centrally cleared (upfront premiums paid $ |
( |
) | ( |
) | ||||||||||||||||
Interest rate swaps |
||||||||||||||||||||
Brazilian Real (range of expirations: January 4, 2021 - March 19, 2025, as of December 31, 2020 |
( |
) | ( |
) | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Total swap agreements - short |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
NET UNREALIZED TRADING GAINS/(LOSSES) ON OPEN SWAP AGREEMENTS |
$ | ( |
) | ( |
) | $ | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
NET UNREALIZED TRADING GAINS/(LOSSES) ON OPEN CONTRACTS/AGREEMENTS |
$ | $ | ||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
U.S. GOVERNMENT SECURITIES - Long: |
||||||||||||||||||||
United States Treasury Bill 0% 03/18/21 |
$ | $ | ||||||||||||||||||
United States Treasury Bill 0% 02/25/21 |
||||||||||||||||||||
United States Treasury Bill 0% 01/06/22 |
||||||||||||||||||||
United States Treasury Bill 0% 01/20/22 |
||||||||||||||||||||
United States Treasury Bill 0% 02/10/22 |
||||||||||||||||||||
United States Treasury Bill 0% 03/03/22 |
||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Total U.S. government securities - long |
||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
TOTAL INVESTMENT IN SECURITIES (COST $ |
$ | |
$ | |||||||||||||||||
|
|
|
|
|
|
|
|
* |
The Fair Value of credit default swaps excludes upfront premiums received/paid which are presented separately in the Statement of Financial condition. Refer to Note 2 for further details on the accounting treatment of premiums on credit default swaps. |
For the three months ended |
For the nine months ended |
|||||||||||||||
September 30, |
September 30, |
|||||||||||||||
2021 |
2020 |
2021 |
2020 |
|||||||||||||
NET INVESTMENT INCOME: |
||||||||||||||||
Interest income |
$ | $ | $ | $ | ||||||||||||
Other income |
— | — | ||||||||||||||
Total investment income |
||||||||||||||||
EXPENSES |
||||||||||||||||
Brokerage commissions |
||||||||||||||||
Interest expense - brokers |
||||||||||||||||
Administration fees |
||||||||||||||||
Professional fees |
||||||||||||||||
Shareholder expenses |
||||||||||||||||
Other expenses |
||||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
NET REALIZED AND UNREALIZED GAINS (LOSSES) ON TRADING ACTIVITIES: |
||||||||||||||||
Net realized trading gains (losses) on closed contracts/agreements and foreign currency transactions |
( |
) | ||||||||||||||
Net change in unrealized gains (losses) on translation of foreign currency |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net change in unrealized trading gains (losses) on investments in securities |
( |
) | ||||||||||||||
Net change in unrealized trading gains (losses) on open contracts/agreements |
( |
) | ( |
) | ( |
) | ||||||||||
Net gain (loss) on trading activities |
( |
) | ( |
) | ||||||||||||
NET INCOME (LOSS) |
$ | ( |
) | $ | ( |
) | $ | $ | ||||||||
NET INCOME (LOSS) PER UNIT OF PARTNERSHIP INTEREST (based on weighted average units outstanding during the period) |
$ | ( |
) | $ | ( |
) | $ | $ | ||||||||
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD |
||||||||||||||||
Limited Partners |
General P |
Total |
||||||||||||||||||||||
Amount |
Units |
Amount |
Units |
Amount |
Units |
|||||||||||||||||||
PARTNERS’ CAPITAL - January 1, 2021 |
$ | $ | — | — | $ | |
||||||||||||||||||
Subscriptions |
— | — | ||||||||||||||||||||||
Redemptions |
( |
) | ( |
) | — | — | ( |
) | ( |
) | ||||||||||||||
Net income (loss) |
— | — | — | — | ||||||||||||||||||||
PARTNERS’ CAPITAL - September 30, 2021 |
$ | |
$ | — | — | $ | ||||||||||||||||||
PARTNERS’ CAPITAL - January 1, 2020 |
$ | $ | — | — | $ | |||||||||||||||||||
Subscriptions |
— | — | ||||||||||||||||||||||
Redemptions |
( |
) | ( |
) | — | — | ( |
) | ( |
) | ||||||||||||||
Net income (loss) |
— | — | — | — | ||||||||||||||||||||
PARTNERS’ CAPITAL - September 30, 2020 |
$ | $ | — | — | $ | |||||||||||||||||||
For the nine months ended September 30, |
||||||||
2021 |
2020 |
|||||||
CASH FLOWS FROM OPERATING ACTIVITIES: |
||||||||
Net income (loss) |
$ | $ | ||||||
Adjustments to reconcile net income (loss) to net cash provided by operating activities: |
||||||||
Purchases of investments in securities |
( |
) | ( |
) | ||||
Amortization of premium/discount on securities |
( |
) | ( |
) | ||||
Sales of investments in securities |
||||||||
Net change in unrealized trading (gains) losses on investments in securities |
( |
) | ||||||
Net change in unrealized trading (gains) losses on open contracts/agreements |
||||||||
Changes in assets and liabilities: |
||||||||
Due from brokers |
( |
) | ||||||
Net premiums paid on credit default swap agreements |
( |
) | ||||||
Net premiums received on credit default swap agreements |
||||||||
Due to brokers |
||||||||
Accrued expenses and other liabilities |
||||||||
Net cash provided by (used in) operating activities |
( |
) | ||||||
CASH FLOWS FROM FINANCING ACTIVITIES: |
||||||||
Proceeds from subscriptions |
||||||||
Payments on redemptions |
( |
) | ( |
) | ||||
Net cash provided by ( financing activitiesused in |
( |
) | ||||||
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS |
( |
) | ||||||
CASH AND CASH EQUIVALENTS - Beginning of period |
||||||||
CASH AND CASH EQUIVALENTS - End of period |
$ | $ | ||||||
SUPPLEMENTAL DISCLOSURE OF CASH ACTIVITY: |
||||||||
Cash paid for interest during the period |
$ | $ | ||||||
• | Level 1 — quoted prices in active markets for identical assets or liabilities |
• | Level 2 — investments with significant market observable inputs |
• | Level |
Fair Value Measurements |
||||||||||||||||
Investments |
As of September 30, 2021 |
Level 1 |
Level 2 |
Level 3 |
||||||||||||
Assets |
||||||||||||||||
Treasury bills |
$ |
$ |
— |
$ |
$ |
— |
||||||||||
Futures contracts |
— |
— |
||||||||||||||
Forward contracts |
— |
— |
||||||||||||||
Swap agreements* |
— |
— |
||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets |
— |
|||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Liabilities |
||||||||||||||||
Futures contracts |
( |
) |
( |
) |
— |
— |
||||||||||
Forward contracts |
( |
) |
— |
( |
) |
— |
||||||||||
Swap agree m ents* |
( |
) |
— |
( |
) |
— |
||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities |
( |
) |
( |
) |
( |
) |
— |
|||||||||
|
|
|
|
|
|
|
|
|||||||||
Net Fair Value |
$ |
$ |
$ |
$ |
— |
|||||||||||
|
|
|
|
|
|
|
|
Fair Value Measurements |
||||||||||||||||
Investments |
As of December 31, 2020 |
Level 1 |
Level 2 |
Level 3 |
||||||||||||
Assets |
||||||||||||||||
Treasury bills |
$ | $ | — | $ | $ | — | ||||||||||
Futures contracts |
— | — | ||||||||||||||
Forward contracts |
— | — | ||||||||||||||
Swap agreements* |
— | — | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets |
— | |||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Liabilities |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | — | — | ||||||||||
Forward contracts |
( |
) | — | ( |
) | — | ||||||||||
Swap agreements* |
( |
) | — | ( |
) | — | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities |
( |
) | ( |
) | ( |
) | — | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net Fair Value |
$ | $ | $ | $ | — | |||||||||||
|
|
|
|
|
|
|
|
* | The Fair Value of credit default swaps excludes upfront premiums received/paid which are presented separately in the Statement of Financial Condition. Refer to Note 2 for further details on the accounting treatment of premiums on credit default swaps. |
Fair Value and Notional Amounts by Contract Term |
||||||||||||||||
September 30, 2021 |
December 31, 2020 |
|||||||||||||||
Credit spread (in basis points) |
Fair Value |
Notional Amount |
Fair Value |
Notional Amount |
||||||||||||
|
$ | ( |
) | $ | $ | $ | ||||||||||
|
||||||||||||||||
|
( |
) | ||||||||||||||
|
||||||||||||||||
|
||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | ( |
) | $ | $ | $ | ||||||||||
|
|
|
|
|
|
|
|
September 30, 2021 |
||||||||||||
Asset Derivatives |
Liability Derivatives |
|||||||||||
Primary Risk Exposure |
Statements of Financial Condition |
Fair Value |
Statements of Financial Condition |
Fair Value |
||||||||
Open forward contracts |
Gross unrealized trading gains | Gross unrealized trading losses | ||||||||||
Currencies |
on open forward contracts | $ | on open forward contracts | $ | ( |
) | ||||||
Metals |
( |
) | ||||||||||
|
|
|
|
|||||||||
Total open forward contracts |
( |
) | ||||||||||
|
|
|
|
|||||||||
Open futures contracts |
Gross unrealized trading gains | Gross unrealized trading losses | ||||||||||
Agricultural |
on open futures contracts | on open futures contracts | ( |
) | ||||||||
Currencies |
— | |||||||||||
Energy |
( |
) | ||||||||||
Indices |
( |
) | ||||||||||
Interest rates |
( |
) | ||||||||||
Metals |
( |
) | ||||||||||
|
|
|
|
|||||||||
Total open futures contracts |
( |
) | ||||||||||
|
|
|
|
|||||||||
Open swap agreements |
Gross unrealized trading gains | Gross unrealized trading losses | ||||||||||
Credit |
on open swap agreements | on open swap agreements | ( |
) | ||||||||
|
|
|
|
|||||||||
Total open swap agreements |
( |
) | ||||||||||
|
|
|
|
|||||||||
Total Derivatives |
$ | |
$ | ( |
) | |||||||
|
|
|
|
December 31, 2020 |
||||||||||||
Asset Derivatives |
Liability Derivatives |
|||||||||||
Primary Risk Exposure |
Statements of Financial Condition |
Fair Value |
Statements of Financial Condition |
Fair Value |
||||||||
Open forward contracts |
Gross unrealized trading gains | Gross unrealized trading losses | ||||||||||
Currencies |
on open forward contracts | $ | on open forward contracts | $ | ( |
) | ||||||
Metals |
( |
) | ||||||||||
|
|
|
|
|||||||||
Total open forward contracts |
( |
) | ||||||||||
|
|
|
|
|||||||||
Open futures contracts |
Gross unrealized trading gains | Gross unrealized trading losses | ||||||||||
Agricultural |
on open futures contracts | on open futures contracts | ( |
) | ||||||||
Currencies |
— | |||||||||||
Energy |
( |
) | ||||||||||
Indices |
( |
) | ||||||||||
Interest rates |
( |
) | ||||||||||
Metals |
— | |||||||||||
|
|
|
|
|||||||||
Total open futures contracts |
( |
) | ||||||||||
|
|
|
|
|||||||||
Open swap agreements |
Gross unr e alized trading gains |
Gross unrealized trading losses | ||||||||||
Credit |
on open swap agreements | on open swap agreements | ( |
) | ||||||||
Interest rates |
( |
) | ||||||||||
|
|
|
|
|||||||||
Total open swap agreements |
( |
) | ||||||||||
|
|
|
|
|||||||||
Total Derivatives |
$ | |
$ | ( |
) | |||||||
|
|
|
|
For the three months ended September 30, |
For the nine months ended September 30, |
|||||||||||||||
2021 |
2020 |
2021 |
2020 |
|||||||||||||
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 |
$ | ( |
) | $ | ( |
) | $ | ( |
) | $ | ( |
) | ||||
Metals |
( |
) | ||||||||||||||
Net realized trading gains (losses) on closed contracts/agreements |
$ | ( |
) | $ | ( |
) | $ | $ | ( |
) | ||||||
Currencies |
$ | ( |
) | $ | $ | ( |
) | $ | ||||||||
Metals |
( |
) | ( |
) | ||||||||||||
Net change in unrealized trading gains (losses) on open contracts/agreements |
$ | ( |
) | $ | $ | ( |
) | $ | ||||||||
Futures contracts |
||||||||||||||||
Agricultural |
$ | ( |
) | $ | ( |
) | $ | $ | ( |
) | ||||||
Currencies |
( |
) | ( |
) | ( |
) | ||||||||||
Energy |
( |
) | ||||||||||||||
Indices |
( |
) | ( |
) | ||||||||||||
Interest rates |
( |
) | ( |
) | ||||||||||||
Metals |
( |
) | ||||||||||||||
Net realized trading gains (losses) on closed contracts/agreements |
$ | $ | $ | |
$ | |||||||||||
Agricultural |
$ | $ | $ | ( |
) | $ | ||||||||||
Currencies |
( |
) | ( |
) | ( |
) | ||||||||||
Energy |
( |
) | ( |
) | ||||||||||||
Indices |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Interest rates |
( |
) | ( |
) | ||||||||||||
Metals |
( |
) | ( |
) | ( |
) | ||||||||||
Net change in unrealized trading gains (losses) on open contracts/agreements |
$ | ( |
) | $ | ( |
) | $ | ( |
) | $ | ( |
) | ||||
Swap agreements |
||||||||||||||||
Credit default swaps |
$ | $ | ( |
) | $ | $ | ( |
) | ||||||||
Interest rate swaps |
( |
) | ||||||||||||||
Net realized trading gains (losses) on closed contracts/agreements |
$ | $ | ( |
) | $ | $ | ( |
) | ||||||||
Credit default swaps |
$ | ( |
) | $ | $ | ( |
) | $ | ( |
) | ||||||
Interest rate swaps |
( |
) | ( |
) | ||||||||||||
Net change in unrealized trading gains (losses) on open contracts/agreements |
$ | ( |
) | $ | $ | ( |
) | $ | ( |
) | ||||||
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 |
|||||||||||||||||||||
Financial Instruments |
Cash Collateral Received |
Net Amount |
||||||||||||||||||||||
As of September 30, 2021 |
||||||||||||||||||||||||
Open futures contracts |
||||||||||||||||||||||||
Bank of America Merrill Lynch |
$ | $ | ( |
) | $ | $ | $ | $ | |
|||||||||||||||
Credit Suisse |
( |
) | ||||||||||||||||||||||
JPMorgan Chase |
( |
) | ||||||||||||||||||||||
Total open futures contracts |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
Open forward contracts |
||||||||||||||||||||||||
Citigroup |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
HSBC |
( |
) | ||||||||||||||||||||||
JPMorgan Chase |
( |
) | ||||||||||||||||||||||
Royal Bank of Scotland |
( |
) | ||||||||||||||||||||||
Total open forward contracts |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
Open swap agreements |
||||||||||||||||||||||||
Credit Suisse |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
Goldman Sachs |
( |
) | ||||||||||||||||||||||
JPMorgan Chase |
( |
) | ||||||||||||||||||||||
Total open swap agreements |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
As of December 31, 2020 |
||||||||||||||||||||||||
Open futures contracts |
||||||||||||||||||||||||
Bank of America Merrill Lynch |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
Credit Suisse |
( |
) | ||||||||||||||||||||||
JPMorgan Chase |
( |
) | ||||||||||||||||||||||
Total open futures contracts |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
Open forward contracts |
||||||||||||||||||||||||
Deutsche Bank |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
HSBC |
( |
) | ||||||||||||||||||||||
JPMorgan Chase |
( |
) | ||||||||||||||||||||||
Royal Bank of Scotland |
( |
) | ||||||||||||||||||||||
Total open forward contracts |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
Open swap agreements |
||||||||||||||||||||||||
Credit Suisse |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Goldman Sachs |
( |
) | ||||||||||||||||||||||
JPMorgan Chase |
( |
) | ||||||||||||||||||||||
Total open swap agreements |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
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 |
|||||||||||||||||||||
Financial Instruments |
Cash Collateral Pledged |
Net Amount |
||||||||||||||||||||||
As of September 30, 2021 |
||||||||||||||||||||||||
Open futures contracts |
||||||||||||||||||||||||
Bank of America Merrill Lynch |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
Credit Suisse |
( |
) | ||||||||||||||||||||||
JPMorgan Chase |
( |
) | ||||||||||||||||||||||
Total open futures contracts |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
Open forward contracts |
||||||||||||||||||||||||
Citigroup |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
HSBC |
( |
) | ||||||||||||||||||||||
JPMorgan Chase |
( |
) | ||||||||||||||||||||||
Royal Bank of Scotland |
( |
) | ||||||||||||||||||||||
Total open forward contracts |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
Open swap agreements |
||||||||||||||||||||||||
Credit Suisse |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
Goldman Sachs |
( |
) | ||||||||||||||||||||||
JPMorgan Chase |
( |
) | ||||||||||||||||||||||
Total open swap agreements |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
As of December 31, 2020 |
||||||||||||||||||||||||
Open futures contracts |
||||||||||||||||||||||||
Bank of America Merrill Lynch |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
Credit Suisse |
( |
) | ||||||||||||||||||||||
JPMorgan Chase |
( |
) | ||||||||||||||||||||||
Total open futures contracts |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
Open forward contracts |
||||||||||||||||||||||||
Deutsche Bank |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
HSBC |
( |
) | ||||||||||||||||||||||
JPMorgan Chase |
( |
) | ||||||||||||||||||||||
Royal Bank of Scotland |
( |
) | ||||||||||||||||||||||
Total open forward contracts |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
Open swap agreements |
||||||||||||||||||||||||
Goldman Sachs |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
JPMorgan Chase |
( |
) | ||||||||||||||||||||||
Total open swap agreements |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
Additional Collateral Pledged |
||||
As of September 30, 2021 |
||||
Open futures contracts and swap agreements |
||||
Credit Suisse |
$ | |||
Open forward contracts |
||||
Citigroup |
$ |
|||
HSBC |
$ |
|||
Royal Bank of Scotland |
$ | |||
Open swap agreements |
||||
Goldman Sachs |
$ |
|||
JPMorgan Chase |
$ |
|||
As of December 31, 2020 |
||||
Open swap agreements |
||||
Credit Suisse |
$ |
For the three months ended September 30, |
For the nine months ended September 30, |
|||||||||||||||
2021 |
2020 |
2021 |
2020 |
|||||||||||||
Per unit operating performance: |
||||||||||||||||
Beginning net asset value |
$ | $ | $ | $ | ||||||||||||
Income (loss) from investment operations: |
||||||||||||||||
Net investment gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net realized and unrealized gains (losses) on trading activities and translation of foreign currency |
( |
) | ( |
) | ( |
) | ||||||||||
Total income (loss) from investment operations |
( |
) | ( |
) | ( |
) | ||||||||||
Ending net asset value |
$ | $ | $ | $ | ||||||||||||
Ratios to average partners’ capital 1 : |
||||||||||||||||
Expenses |
% | % | % | % | ||||||||||||
Net investment gain (loss) |
( |
)% | ( |
)% | ( |
)% | ( |
)% | ||||||||
Total return 2 |
( |
)% | ( |
)% | % | ( |
)% | |||||||||
1 |
Ratios have been annualized. |
2 |
Total return is for the period indicated and has not been annualized. |
ITEM 2. |
Management’s Discussion and Analysis of Financial Condition and Results of Operations. |
Quarter-End as of September 30th |
||||||||
Market Sector |
Margin Allocation |
% of Capitalization |
||||||
Agriculturals |
1,119,940.54 | 1.18 | % | |||||
Bonds |
1,163,651.58 | 1.23 | % | |||||
Credit |
3,059,342.72 | 3.23 | % | |||||
Currencies |
1,895,435.92 | 2.00 | % | |||||
Energy |
1,970,040.88 | 2.08 | % | |||||
Interest rates |
238,868.56 | 0.25 | % | |||||
Metals |
1,848,583.43 | 1.95 | % | |||||
Stock indices |
3,208,925.20 | 3.39 | % | |||||
Total |
14,504,788.83 |
15.31 |
% |
* | Certain total amounts do not foot due to rounding. |
ITEM 3. |
Quantitative and Qualitative Disclosures About Market Risk. |
Quarter-Ended September 30, 2021 |
||||||||||||||||
Market Sector |
Average Value at Risk |
% of Average Capitalization |
Highest Value at Risk |
Lowest Value at Risk |
||||||||||||
Agriculturals |
1,179,652 | 1.27 | % | 1,433,681 | 985,334 | |||||||||||
Bonds |
1,000,286 | 1.07 | % | 1,163,652 | 857,365 | |||||||||||
Credit |
3,513,988 | 3.77 | % | 4,300,432 | 3,059,343 | |||||||||||
Currencies |
1,125,129 | 1.21 | % | 1,895,436 | 122,020 | |||||||||||
Energies |
1,786,908 | 1.92 | % | 1,997,299 | 1,393,385 | |||||||||||
Interest rates |
259,730 | 0.28 | % | 313,724 | 226,597 | |||||||||||
Metals |
1,511,604 | 1.62 | % | 1,848,583 | 1,276,556 | |||||||||||
Stock indices |
4,153,023 | 4.45 | % | 4,691,613 | 3,208,925 | |||||||||||
Total* |
14,530,320 |
15.59 |
% |
17,644,420 |
11,129,525 |
* | Certain total amounts do not foot due to rounding. |
ITEM 4. |
Controls and Procedures. |
Item 1. |
Legal Proceedings. |
Item 1A. |
Risk Factors. |
• | 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. |
• | 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. |
• | 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. |
Item 2. |
Unregistered Sales of Equity Securities and Use of Proceeds. |
Class A Units |
Class A-2 Units |
Class B Units |
Class B-2 Units |
|||||||||||||
Date of Redemption: (last business day) |
Amount Redeemed: |
Amount Redeemed: |
Amount Redeemed: |
Amount Redeemed: |
||||||||||||
July 2021 |
— | — | — | — | ||||||||||||
August 2021 |
— | — | $ | 97,217 | — | |||||||||||
September 2021 |
$ | 179,797 | — | $ | 172,450 | — | ||||||||||
TOTAL |
$ | 179,797 | — | 269,667 | — |
Item 3. |
Defaults upon Senior Securities. |
Item 4. |
Mine Safety Disclosures. |
Item 5. |
Other Information. |
Item 6. |
Exhibits. |
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 | |
Exhibit 104 | Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101) | |
The following exhibits are incorporated by reference herein from the exhibits of the same description and number filed on January 28, 2008 with the Partnership’s Registration Statement on Form 10 (Reg. No. 000-53043). | ||
3.1 | Certificate of Limited Partnership of Man-AHL Diversified I L.P. | |
10.3 | Form of Selling Agreement between Man Investments (USA) Corp. and Man Investments Inc. | |
The following exhibit is incorporated by reference herein from the exhibit of the same description and number filed on August 13, 2014, for the quarterly period ended June 30, 2014, with the Partnership’s Quarterly Report on Form 10-Q. | ||
10.1 | Form of Trading Advisor Agreement between Man-AHL Diversified Trading Company L.P., Man Investments (USA) Corp. and AHL Partners LLP | |
The following exhibit is incorporated by reference herein from the exhibit of the same description and number filed on August 14, 2018, for the quarterly period ended June 30, 2018, with the Partnership’s Quarterly Report on Form 10-Q. | ||
4.1 | Seventh Amended Limited Partnership Agreement of Man-AHL Diversified I L.P. | |
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 June 30, 2014, 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. |
Man-AHL Diversified I L.P. |
(Registrant) |
By: Man Investments (USA) Corp. |
General Partner |
By: /s/ Doug Hamilton |
Vice President |
By: /s/ Colin Bettison |
Principal Financial Officer |