MAN AHL DIVERSIFIED I LP - FORM 10-K

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EX-32.2 - CERTIFICATION PURSUANT TO SECTION 1350 (CFO) - MAN AHL DIVERSIFIED I LP	d272127dex322.htm
EX-31.1 - CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER - MAN AHL DIVERSIFIED I LP	d272127dex311.htm
EX-32.1 - CERTIFICATION PURSUANT TO SECTION 1350 (CEO) - MAN AHL DIVERSIFIED I LP	d272127dex321.htm
EXCEL - IDEA: XBRL DOCUMENT - MAN AHL DIVERSIFIED I LP	Financial_Report.xls
EX-31.2 - CERTIFICATION OF PRINCIPAL FINANCIAL OFFICER - MAN AHL DIVERSIFIED I LP	d272127dex312.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-K

x	ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934

For the Fiscal Year Ended: December 31, 2011

¨	TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934

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)		(I.R.S. Employer Identification No.)

c/o Man Investments (USA) Corp.
One Rockefeller Plaza
New York, New York		10020
(Address of principal executive offices)		(Zip Code)

Registrant’s telephone number, including area code: (646) 452-9700

Securities registered pursuant to Section 12(b) of the Act: None

Securities registered pursuant to Section 12(g) of the Act: Units of Limited Partnership Interest

(Title of Class)

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

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

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

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes x No ¨

Indicate by check mark if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K (§229.405 of this chapter) is not contained herein, and will not be contained, to the best of registrant’s knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K. ¨

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


Large accelerated filer ¨				Accelerated Filer ¨
Non-accelerated filer x				Smaller reporting company ¨

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

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

Not applicable.

Documents Incorporated by Reference

The report of the independent registered public accounting firm and the financial statements of the Registrant for the year ended December 31, 2011 are included herewith as exhibit 13.1 and are incorporated by reference into Item 8 of this Annual Report on Form 10-K.

PART I

Item 1. Business

(a) General development of business

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 trading operations on April 3, 1998, for the purpose of engaging in the speculative trading of physical commodities, futures and forward contracts and related instruments. The Partnership was formerly named AHL Diversified (USA) L.P., but was renamed in February 2002. The Partnership is a “feeder” fund in a “master-feeder” structure, whereby the Partnership invests substantially all of its assets in Man AHL Diversified Trading Company L.P. (the “Trading Company”). Man-AHL (USA) Limited (the “ Trading Advisor”), a United Kingdom company, is the Partnership’s and the Trading Company’s trading advisor. Man Investments (USA) Corp. (the “General Partner”), a Delaware corporation and a registered commodity pool operator under the Commodity Exchange Act, as amended, is the Partnership’s general partner and commodity pool operator. The Trading Advisor is an affiliate of the General Partner. Man Investments Holdings Limited, a United Kingdom holding company that is part of Man Group plc, a United Kingdom public limited company, is the sole shareholder of the Trading Advisor, and Man Investments Holdings Inc., a Delaware corporation that is part of Man Group plc, is the sole shareholder of the General Partner.

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

Although the Partnership uses the term “class” to distinguish between certain interests in the Partnership, the Partnership does not believe that the differences between such interests are sufficient to make them separate “classes” under Section 12(g) of the Securities Exchange Act of 1934, as all the interests in the Partnership, regardless of “class,” are of substantially similar character and the holders of which enjoy substantially similar rights and privileges. The holders of interests in the Partnership (regardless of “class”) share pro rata in the Partnership’s profits and losses, enjoying no preferences over one another during the life of the Partnership or upon dissolution and otherwise have identical rights under the Limited Partnership Agreement, the only differences among the “classes” relating to fees and minimum investment.

The General Partner became the general partner of the Partnership as of April 1, 2005 when Man-AHL (USA) Corp., the Partnership’s original general partner and trading advisor (“Man-AHL”), appointed it as such. In addition to the appointment of the General Partner, Man-AHL appointed the Trading Advisor to serve as the trading advisor to the Partnership commencing as of April 1, 2005. Following the appointments of the General Partner as a general partner and the Trading Advisor as the trading advisor, Man-AHL resigned as a general partner and trading advisor of the Partnership. The General Partner agreed to continue the Partnership without interruption or change. The General Partner controls and manages the business of the Partnership. Purchasers of Units, as the Partnership’s “Limited Partners,” have no right to participate in management or control of the Partnership. The offices of the Partnership, where its books and records are kept, are located at the office of the General Partner: One Rockefeller Plaza, New York, New York, 10020; telephone (646) 452-9700.

(b) Financial information about segments

The Partnership’s business constitutes only one segment, i.e., a speculative commodity pool. The Partnership does not engage in sales of goods and services. Financial information regarding the Partnership’s business is set forth in the Partnership’s Financial Statements incorporated into Item 8 hereof and attached as Exhibit 13.1 hereto.

The Partnership engages in speculative trading of physical commodities, futures and forward contracts and related instruments, directly and indirectly through an investment in the Trading Company, pursuant to the trading strategies employed by the Trading Advisor. The Partnership invests substantially all of its assets in the Trading Company.

The investment objective of the Trading Advisor’s futures trading program (referred to herein as the “AHL Diversified Program”) is to deliver substantial capital growth over time, independent of the movement of the stock and bond markets, through the speculative trading, directly and indirectly, of physical commodities, futures contracts, spot and forward contracts, options on the foregoing, exchanges of futures for physical transactions and other investments (sometimes hereinafter referred to as ‘futures’) on domestic and international exchanges and markets (including the interbank and over-the-counter markets).

The AHL Diversified Program employs a systematic, statistically based investment strategy that is designed to identify and capitalize on inefficiencies in markets around the world. A stable and robust trading and implementation infrastructure is then employed to capitalize on these trading opportunities. The trading systems are quantitative and primarily directional in nature, meaning that investment decisions are entirely driven by mathematical models based on market trends and other historic relationships. Trading signals are always generated systematically; thus the Trading Advisor does not engage in discretionary trading during drawdowns or at other times. Trading takes place around-the-clock and real-time price information is used to respond to price moves across a diverse range of global markets. The trade execution team operates alongside the investment management team in London. It operates 24 hours a day on a rotational eight-hour shift structure.

The trading process is the product of continuing research and development performed by the Trading Advisor (inclusive of its affiliates) since 1987. Although the underlying investment methodology is proprietary and the precise details confidential, the guiding principles have remained unchanged through the years: diversification, discipline, efficiency, rigorous risk management and ongoing research.

The AHL Diversified Program invests in a diversified portfolio of instruments which may include futures, options and forward contracts, swaps and other financial derivative instruments 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, metals and agriculture.

In addition to sector and market diversification, the AHL Diversified Program seeks to achieve diversification by combining various systems driven by computerized processes or trading algorithms, which sample prices in real time and measure price momentum and breakouts. In aggregate, the systems run more than 3,000 price samples each day spread across the 100 or so markets traded. The trading algorithms aim mainly to capture price trends and close out positions when there is a high probability of a different trend developing, although the AHL Diversified Program may also include algorithmic systems based on quantitative fundamental data that can be captured efficiently, such as interest rate data. Another aspect of diversification is the fact that the various systems generate signals across different time frames, ranging from two to three days to several months, which helps to reduce the risk of the AHL Diversified Program.

In line with the principle of diversification, the approach to portfolio construction and asset allocation is premised on the importance of deploying investment capital across the full range of sectors and markets.

Particular attention is paid to correlation of markets and sectors, expected returns, trading costs and market liquidity. Portfolios are regularly reviewed and, when necessary, adjusted to reflect changes in these factors. The Trading Advisor also has a process for adjusting market risk exposure in real time to reflect changes in the volatility of individual markets.

The integrity of the AHL Diversified Program’s defined investment style is ensured by adherence to a rigorous control process. All the strategies and systems applied by the Trading Advisor are designed to target defined volatility levels rather than returns, and the investment process is underpinned by computer-supported analytical instruments, disciplined real-time risk control and management information systems. As risk control is integral to each part of the investment process, risk management consists primarily of monitoring risk measures and ensuring the systems remain within prescribed limits. A proprietary risk measurement method similar to the industry standard “value-at-risk” helps ensure that the rule-based decisions that drive the investment process remain within predefined risk parameters. Margin-to-equity ratios are monitored daily, and the level of exposure in each market is quantifiable at any time and is adjusted in accordance with market volatility. Market correlation is closely monitored to prevent over-concentration of risk and ensure optimal portfolio weightings. Market liquidity is examined with the objective of ensuring that the Trading Company will be able to initiate and close out trades as indicated by AHL Diversified Program’s systems at market prices, while brokerage selection and trade execution are continually monitored with the objective of ensuring quality market access.

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

The AHL Diversified Program uses margin and considerable leverage to reach model allocations.

The AHL Diversified Program is supported by a dedicated team of investment specialists that continually seek to extend the range and versatility of the original investment techniques. As such, The Trading Advisor may increase the number and diversity of markets, strategies and instruments traded directly or indirectly by the AHL Diversified Program.

The Trading Advisor is paid a monthly management fee, payable in arrears, in an amount equal to 0.1667% of the month-end Net Asset Value of the Partnership (as defined in the Partnership’s Sixth Amended and Restated Limited Partnership Agreement, as the same may be amended or supplemented from time to time (the “Agreement”)) whether or not the Partnership is profitable (approximately 2% annually). The General Partner is paid a monthly general partner administrative fee in an amount equal to 0.0833% of the month-end Net Asset Value of the Partnership whether or not the Partnership is profitable (approximately 1% annually). The Trading Advisor may pay a portion of its management fee to the General Partner, and the General Partner may share a portion of its administrative fee with the Placement Agent (as defined below).

The Partnership will pay the Trading Advisor an incentive fee equal to 20% of the Net New Appreciation (as defined in the Agreement), if any, achieved by the Partnership as of the end of such calendar month. Net New Appreciation achieved during a calendar month means the excess, if any, of (a) the Net Asset Value of the Partnership as of the end of a calendar month (without reduction for any incentive fees accrued or paid to the Trading Advisor for the calendar month or for any redemptions or distributions effected during or as of the end of such calendar month and without increase for any additional capital contributions effected during or as of the end of such calendar month) over (b) the Net Asset Value of the Partnership as of the end of the most recent prior calendar month for which an incentive fee was accrued or paid to the Trading Advisor, with clause (b) reduced by the amount of the incentive fee accrued or paid for such prior calendar month and also reduced by any redemptions or distributions, and increased by any contributions, effected as of or subsequent to the end of such prior calendar month through the first day of the calendar month referred to in clause (a), above.

Man Investments Inc., an affiliate of the General Partner and Trading Advisor, is the lead placement agent for the Partnership (the “Placement Agent”). In connection with various services provided by the Placement Agent to the Partnership related to the offer and sale of interests in the Partnership and the ongoing servicing of its investors, the Partnership will pay the Placement Agent a servicing fee equal to, in respect to Class A Units and Class B Units, 0.1250% of the month-end Net Asset Value of such Units (approximately 1.5% annually), and in respect of Class A-2 Units and Class B-2 Units, 0.1042% of the month-end Net Asset Value of such Units (approximately 1.25% annually), whether or not the Partnership is profitable as of the end of each month. The Placement Agent may pass all or a portion of the servicing fee on to certain other selling and services agents. In addition, Units purchased through such selling and services agents may be subject to the payment of an additional upfront selling commission of up to 3% of the purchase price of the Units.

The Partnership’s organizational and initial offering fees and expenses were approximately $50,000 (including its pro-rata share of the Trading Company’s organizational fees and expenses) and have been paid by the Partnership. Such organizational fees and expenses (excluding promotional and offering fees and expenses) have been completely amortized. The Partnership pays all of its expenses incurred in the ordinary course of its business. The Partnership also pays its extraordinary expenses, if any.

The Trading Company utilizes JPMorgan Chase and Credit Suisse, Sydney Branch, to clear its futures trading activity and Royal Bank of Scotland and Deutsche Bank to clear its forward trading activity (collectively, the “Brokers”). The Partnership is charged brokerage commissions at institutional rates, inclusive of all applicable National Futures Association (the “NFA”), exchange, clearing and other transaction fees. In connection with trading spot and forward contracts in the interbank foreign currency markets, the Partnership pays clearing fees of between $3.25 and $4.00 per transaction as well as dealer profits, which cannot be quantified, embedded in dealer quotes.

The Partnership invests substantially all of its assets in the Trading Company. Most of the Trading Company’s assets will be held in cash or United States government securities in accounts in the name of the Trading Company at the brokers or a bank, which currently is JP Morgan Chase Bank, N.A. and Citibank, N.A., and in order to conduct futures trading activities, will be transferred, as necessary, into segregated accounts at the brokers. Approximately 20% to 40% of the Trading Company’s assets will be committed as margin for futures positions. The brokers may receive compensating balance treatment and excess interest income on the Partnership’s assets, through the Trading Company, held at the brokers in the form of cash.

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

Regulation

Under the Commodity Exchange Act, as amended (the “CEA”), commodity exchanges and futures trading are subject to regulation by the CFTC. The NFA, a “registered futures association” under the CEA, is the only non-exchange self-regulatory organization for futures industry professionals. The CFTC has delegated to NFA responsibility for the registration of “commodity trading advisors,” “commodity pool operators,” “futures commission merchants,” “introducing brokers” and their respective associated persons and “floor brokers” and “floor traders.” The CEA requires commodity pool operators and commodity trading advisors, such as the General Partner and Trading Advisor, respectively, and commodity brokers or futures commission merchants, such as MF Global Inc., to be registered and to comply with various reporting and record keeping requirements. The CFTC may suspend a commodity pool operator’s or trading advisor’s registration if it finds that its trading practices tend to disrupt orderly market conditions or in certain other situations. In the event that the registration of the General Partner as a commodity pool operator or the Trading Advisor as a commodity trading advisor were terminated or suspended, the General Partner would be unable to continue to manage the business of the

Partnership or Trading Advisor would be unable to implement the AHL Diversified Program on behalf of the Partnership. Should the General Partner’s or Trading Advisor’s registration be suspended, termination of the Partnership might result.

In addition to such registration requirements, the CFTC and certain commodity exchanges have established limits on the maximum net long or net short position which any person may hold or control in particular commodities. Most exchanges also limit the changes in futures contract prices that may occur during a single trading day.

In January 2011, the CFTC proposed a separate position limits regime for 28 so-called “exempt” (i.e. metals and energy) and agricultural futures and options contracts and their economically equivalent swap contracts. Position limits in spot months are proposed to be 25% of the official estimated deliverable supply of the underlying commodity and in a non-spot month a percentage of the average aggregate 12-month rolling open interest in all months (swaps and futures) for each contract. It is possible that, if these position limits are adopted as proposed, the Trading Advisor will be required to modify its trading on behalf of its clients, including the Trading Company, with respect to certain futures contracts which may have an adverse affect the Partnership.

Currency forward contracts are not currently subject to regulation by any United States (“U.S.”) Government agency. The Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Reform Act”) was enacted in July 2010. The Reform Act includes provisions that comprehensively regulate the over-the-counter derivatives markets for the first time. The Reform Act will mandate that a substantial portion of over-the-counter derivatives must be executed in regulated markets and submitted for clearing to regulated clearinghouses. The mandates imposed by the Reform Act may result in the Trading Company bearing higher upfront and mark-to-market margin, less favorable trade pricing, and the possible imposition of new or increased fees with respect to any swaps entered into by the Trading Company.

The Reform Act also amended the definition of “eligible contract participant,” and the CFTC is interpreting that definition in a such manner that the Trading Company may no longer be permitted to engage in forward currency transactions by directly accessing the interbank market. Rather, when the Reform Act goes into effect in July 2011, the Trading Company may be limited to engaging in “retail forex transactions” which could limit the Trading Company’s potential forward currency counterparties to futures commission merchants and retail foreign exchange dealers. Limiting on the Trading Company’s potential forward currency counterparties in this manner could lead to the Trading Company bearing higher upfront and mark-to-market margin, less favorable trade pricing, and the possible imposition of new or increased fees. The “retail forex” markets could also be significantly less liquid than the interbank market. Moreover, the creditworthiness of the futures commission merchants and retail foreign exchange dealers with which the Trading Company may be required to trade could be significantly weaker than the creditworthiness of the financial institutions with which the Trading Company currently engages for its forward currency transactions. Although the impact of requiring the Trading Company to conduct forward currency transactions in the “retail” market could be substantial, the full scope is currently unknown and the ultimate effect could also be negligible.

Item 1A. Risk Factors.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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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:

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

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alter historical trading patterns;

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obscure developing price trends; or

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affect the execution of trades.

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

In general, there is much less governmental regulation and supervision of transactions in the OTC markets than of transactions entered into on organized exchanges. Most of the protections afforded to participants on U.S. and certain non-U.S. exchanges, such as daily price fluctuation limits and the performance guarantee of an exchange clearinghouse, will not be available in connection with OTC transactions. Consequently, the Partnership will be exposed to greater risk of loss through default than if it confined its trading to organized exchanges.

A portion of the Partnership’s assets may be traded in forward contracts. Such forward contracts are not traded on exchanges and are executed directly through forward contract dealers. There is no limitation on the daily price moves of forward contracts, and a dealer is not required to continue to make markets in such contracts. There have been periods during which forward contract dealers have refused to quote prices for forward contracts or have quoted prices with an unusually wide spread between the bid and asked price. Arrangements to trade forward contracts may therefore experience liquidity problems. The Partnership therefore will be subject to the risk of credit failure or the inability of or refusal of a forward contract dealer to perform with respect to its forward contracts.

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

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

Options on Futures Contracts Are More Volatile Than Futures Contracts. The Advisor may trade options on futures. 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:

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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;

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

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

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

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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

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

Institutional Risks. Institutions, such as the brokers, will have custody of the assets of the Partnership. These firms may encounter financial difficulties that impair the operating capabilities or the capital position of the Partnership, the Trading Company or the General Partner. The General Partner and Advisor will attempt to limit its transactions to well-capitalized and established brokers in an effort to mitigate such risks.

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

Item 1B. Unresolved Staff Comments.

Not applicable.

Item 2. Properties.

The Partnership does not own or use any physical properties in the conduct of its business. The General Partner and various service providers perform services for the Partnership from their offices.

Item 3. Legal Proceedings.

The General Partner is not aware of any pending legal proceedings to which either the Partnership is a party or to which any of its assets are subject. In addition there are no pending material legal proceedings involving either the General Partner or Trading Advisor.

Item 4. Mine Safety Disclosures.

Not applicable.

PART II

Item 5. Market for the Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities.

(a) Market Information.

There is no trading market for the Units, and none is likely to develop. Units may be redeemed upon 10 days’ written notice to the General Partner at their Net Asset Value as of the last business day of each calendar month; provided, however, that each Limited Partner must maintain a minimum investment of $25,000 and $10,000, respectively of Class A Units (or Class A-2 Units) and Class B Units (or Class B-2 Units), in the Partnership following any redemption initiated by such Limited Partner in order to remain invested in the Partnership.

(b) Holders.

As of December 31, 2011, there were 2,359 holders of Class A Units, 373 holders of Class A-2 Units, 1,715 holders of Class B Units and 139 holders of Class B-2 Units.

No distributions or dividends have been made on the Units, and the General Partner has no present intention to make any.

(d) Securities Authorized for Issuance Under Equity Compensation Plans.

None.

(e) Recent Sales of Unregistered Securities; Use of Proceeds from Registered Securities.

Pursuant to the Partnership’s Limited Partnership Agreement, the Partnership may admit additional Limited Partners to the Partnership and permit additional capital contributions to be made to the Partnership as of the last business day of any calendar month or at such other times as the General Partner may determine. On October 31, 2011, November 30, 2011 and December 31, 2011, the Partnership sold Class A Units to existing and new Limited Partners in the amount of $5,296,160, $10,307,100 and $3,215,525, respectively; Class A-2 Units to existing and new Limited Partners in the amount of $924,000, $333,000 and $385,000, respectively; Class B Units to existing and new Limited Partners in the amount of $3,797,701, $2,552,449 and $2,286,800, respectively; and Class B-2 Units to existing and new Limited Partners in the amount of $50,000, $283,000 and $0, respectively. There were no underwriting discounts or commissions in connection with the sales of the Units described above.

(f) Issuer Purchases of Equity Securities.

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 during the three months ended December 31, 2011:


	Class A Units		Class A-2 Units		Class B Units		Class B-2 Units
Date of Redemption:	Amount Redeemed:		Amount Redeemed:		Amount Redeemed:		Amount Redeemed:
October 31, 2011	$	4,465,581	$	513,604	$	742,947	$	313,560
November 30, 2011	$	5,066,498	$	531,375	$	1,328,477	$	110,708
December 31, 2011	$	4,546,416	$	1,584,216	$	839,250	$	133,881

TOTAL	$	14,078,495	$	2,629,195	$	2,910,674	$	558,149

Item 6. Selected Financial Data

The following is a summary of operations for the fiscal years 2011, 2010, 2009, 2008 and 2007 and total assets of the Partnership at December 31, 2011, 2010, 2009, 2008 and 2007.


	For the Year Ended December 31, 2011			For the Year Ended December 31, 2010		For the Year Ended December 31, 2009			For the Year Ended December 31, 2008		For the Year Ended December 31, 2007
Revenue:*
Total net realized and unrealized gains (losses)	$	(21,507,936	)	$	74,894,325	$	(36,464,516	)	$	46,047,282	$	8,796,608
Interest income		765,963			423,755		524,175			2,492,000		1,765,730

Expenses:**
Incentive fees		—			—		—			8,391,295		1,521,277
Management fees		14,924,300			11,764,805		8,632,961			4,126,825		1,383,412
Servicing fees		7,631,473			6,045,761		4,338,823			1,184,322		—
Brokerage commissions		1,094,952			1,680,903		905,474			948,403		1,360,742
Administrative expenses		1,849,873			532,150		467,483			297,763		88,026

Net income (loss)	$	(46,242,571	)	$	55,294,461	$	(50,285,082	)	$	33,590,674	$	6,208,881

Total assets	$	544,465,499		$	482,619,755	$	352,141,985		$	235,546,876	$	64,670,761

Total Partnership capital	$	527,665,863		$	456,218,363	$	334,508,316		$	219,241,760	$	59,555,390

Net Asset Value per outstanding unit — Class A	$	3,163.88		$	3,471.25	$	3,053.03		$	3,665.21	$	2,893.93

Net Asset Value per outstanding unit — Class A — Series 2	$	3,274.94		$	3,548.32	$	3,081.92		$	—	$	—

Net Asset Value per outstanding unit — Class B	$	3,163.89		$	3,471.26	$	3,053.04		$	3,665.22	$	—

Net Asset Value per outstanding unit — Class B — Series 2	$	3,274.95		$	3,548.33	$	3,081.93		$	—	$	—

Increase (decrease) in Net Asset Value per Class A unit	$	(307.37	)	$	418.22	$	(612.18	)	$	771.28	$	338.26

Increase (decrease) in Net Asset Value per Class A — Series 2	$	(273.38	)	$	466.40	$	(310.71	)	$	—	$	—

Increase (decrease) in Net Asset Value per Class B unit	$	(307.37	)	$	418.22	$	(612.18	)	$	274.31	$	—

Increase (decrease) in Net Asset Value per Class B — Series 2	$	(273.38	)	$	466.40	$	(310.71	)	$	—	$	—

*	Allocated to the Partnership from its investment in the Trading Company. The Trading Company generates revenue from the trading of futures, foreign exchange and forward currency contracts.

**	Expenses include the Partnership’s allocation of expenses from its investment in the Trading Company in addition to direct expenses of the Partnership.

Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Reference is made to “Item 8. Financial Statements and Supplementary Data.” The information contained therein is essential to, and should be read in conjunction with, the following analysis.

Capital Resources and Liquidity

Units may be offered for sale as of the first business day, and may be redeemed as of the last business day, 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 expenses. Accordingly, the amount of capital raised for the Partnership should not have a significant impact on its operations.

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

During its operations through December 31, 2011, the Partnership experienced no meaningful periods of illiquidity in any of the numerous markets in which it trades.

Critical Accounting Principles

The Partnership records its transactions in futures and forward contracts, including related income and expenses, on a trade-date basis. Open futures contracts traded on an exchange are valued at fair value, which is based on the closing settlement price on the exchange where the futures contract is traded by the Partnership on the day with respect to which the Partnership’s Net Asset Value is being determined. Open forward contracts and other derivatives traded on the interbank market are valued at fair value at their settlement price on the day with respect to which the Partnership’s Net Asset Value is being determined. If the General Partner determines the fair value of an investment cannot be accurately determined pursuant to the foregoing methods, such investment shall be assigned such fair value as the General Partner may determine in its sole discretion.

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions, such as accrual of expenses, that affect the amounts and disclosures reported in the financial statements. Based on the nature of the business and operations engaged in by the Partnership, the General Partner believes that the estimates utilized in preparing the Partnership’s financial statements are appropriate and reasonable; however, actual results could differ from the estimates. The estimates do not provide a range of possible results that would require the exercise of subjective judgment. The General Partner further believes that, based on the nature of the business and operations of the Partnership, no other reasonable assumptions relating to the application of the Partnership’s critical accounting estimates other than those to be used would likely result in materially different amounts from those reported. The Partnership’s significant accounting policies are described in detail in Note 2 to the Financial Statements.

Off-Balance Sheet Arrangements

Neither the Partnership nor the Trading Company engages in off-balance sheet arrangements with other entities.

Contractual Obligations

The Partnership does not enter into contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources. The Partnership’s sole business is trading futures contracts, forward currency and other OTC contracts, both long (contracts to buy) and short (contracts to sell), and investing in cash and cash equivalents. All of the Partnership’s futures, forward and OTC contracts, other than certain currency forward contracts, are settled by offset, not delivery. The substantial majority of such contracts are for settlement within four to six months of the trade date and the substantial majority of such contracts are held by the Partnership for less than four to six months before being offset or rolled over into new contracts with similar maturities. The Partnership’s annual audited financial statements with the attached Trading Company’s annual audited financial statements, included as Exhibit 13.1 of this report, present a Condensed Schedule of Investments setting forth net unrealized appreciation (depreciation) of the Partnership’s open positions, both long and short, at December 31, 2011 fiscal year-end.

Results of Operations

Due to the nature of the Partnership’s trading, the Partnership’s income or loss from operations may vary widely from period to period. Management cannot predict whether the Partnership’s future Net Asset Value per Unit will increase or experience a decline. The Partnership was organized in September 1997 under the Delaware Revised Uniform Limited Partnership Act and commenced operations on April 3, 1998.

Performance Summary

The Partnership is a speculative managed futures fund which trades pursuant to the AHL Diversified Program, indirectly through its investment in the Trading Company. The AHL Diversified Program is a futures and forward price trend-following, trading system. The AHL Diversified Program is entirely quantitative in nature and implements trading positions on the basis of statistical analyses of past price histories. The AHL Diversified Program, like most trend-following systems, is designed in the anticipation that most of its trades will be unprofitable; the objective of overall profitability depending on the system identifying certain major trends which occur and recognizing significant profits from participating in such trends.

The past performance of the AHL Diversified Program is not necessarily indicative of its future results. This is the case with all speculative trading strategies. Moreover, the markets in which the AHL Diversified Program is active have seen major changes in recent years, including the influx of entirely different classes of market participants. These changed circumstances may mean that the markets in which the Trading Advisor has previously traded on behalf of the Trading Company are not necessarily representative of those in which it trades on behalf of the Trading Company currently.

As a speculative futures fund, the Partnership (through the Trading Company) effectively maintains all of its capital in reserve. The Trading Company does not “buy” or “sell” futures or forward contracts in the traditional sense; rather, through taking positions in these markets, the Trading Company, and thus the Partnership indirectly, acquires loss/profit exposure and uses its capital to cover losses and provide margin (which constitutes a good faith deposit towards the Trading Company’s (but not the Partnership’s) obligation to pay such losses) to support its open positions. Each of the Partnership and the Trading Company maintains most of its capital in cash and cash equivalents.

Futures trading programs are proprietary and confidential. As is the case with any speculative futures fund, it is impossible to predict how the Partnership will perform. It is not possible, as it is in the case of an operating business, to predict performance trends, analyze future market conditions or evaluate the likely success or failure of the Partnership.

There are certain general market conditions in which the Partnership is more likely to be profitable than in others. For example, in trendless or stagnant markets, the AHL Diversified Program is unlikely to be profitable. On the other hand, trending markets with substantial price change momentum can be favorable to the AHL Diversified Trading Program. However, because of the continually changing population of market participants as well as supply and demand characteristics, it cannot be predicted how the AHL Diversified Program, and thus the Partnership, will perform in any given market conditions.


	2011		2010
	31-Dec -11		31-Dec -10
Ending Equity	$	527,665,863	$	456,218,363

Net assets increased $71,477,500 for the year ended December 31, 2011. This increase was attributable to subscriptions in the amount of $184,077,163, redemptions in the amount of $66,387,092 and net loss from operations of $46,242,571.

For the year ended December 31, 2011, the Partnership accrued or paid total expenses of $23,668,015, including $7,631,473 in servicing fees, $15,559,687 in General Partner administrative fees and Trading Advisor management fees, and $476,855 in professional fees and other expenses. Interest of $765,963 was earned or accrued on the Partnership’s cash and cash equivalent investments.

The Net Asset Value of a Class A Unit decreased by $307.37 to $3,163.88. The Net Asset Value of a Class B Unit decreased by $307.37 to $3,163.89. The Net Asset Value of a Class A-2 Unit decreased by $273.38 to $3,274.94. The Net Asset Value of a Class B-2 Unit decreased by $273.38 to $3,274.95.

The almost weekly risk on/risk off nature of markets during the year hindered a large swathe of trend followers — particularly those deploying a fairly reactive trading approach, like the AHL Diversified Program —as positions were whipsawed on the back of sudden and sharp market reversals. Effective portfolio diversification (a key feature of the managed futures space) was also challenging as correlations amongst different asset classes remained particularly high. Many of the swings in sentiment were difficult to profit from as they were driven by short-term reactions to specific events (some of which were wholly unpredictable — such as March’s devastating earthquake in Japan, the Arab Spring uprisings and increased political uncertainty surrounding the Eurozone sovereign debt crisis), rather than market fundamentals.

Exposure to the stock sector in 2011 detracted the most from returns as global stock markets gyrated on uncertainty over the economic outlook combined with deep seated fears surrounding the outcome of the European sovereign debt crisis. Trading returns were negative for most of the year, apart from August when equity markets exhibited a more concerted sell-off.

Wild swings in Japanese indices and the effect of the Eurozone crisis on European indices caused the AHL Diversified Program the most challenges. March’s devastating earthquake in Japan significantly impacted our previously established long positions as Japanese equities outperformed in January and February on strong corporate earnings data. Unsurprisingly, long exposure to the Nikkei 225 and TOPIX suffered the most as both indices plunged over 8% during March and accounted for around 1% of losses for the AHL Diversified Program that month alone. Our systems subsequently reduced their long equity exposure and built up short positions in Asian stock indices. However, further losses were attributed to the Nikkei in May and June as shorts were hurt by prices moving higher on signs that the Japanese economy was recovering more quickly than expected. Nevertheless, short exposure to Asian indices clawed back some gains during the third quarter as economic indicators pointed to a slow-down in Chinese growth and the rising yen proved detrimental for Japan’s export led economy.

Europe’s sovereign debt problems remained in the spotlight for much of the year with sentiment see-sawing as investors weighed up fears of a debt default by Greece and rising yields in Spain and Italy against repeated assurances by Eurozone leaders that the crisis could be contained. From October, markets took on an air of optimism as Eurozone leaders appeared to be finally decisively tackling the crisis. This short term uncertainty made equities trading very difficult. Thus despite markets like Germany’s DAX index and France’s CAC 40 index ending the year down by 14.7% and 17.0% respectively, sharp reversals during the year meant that our trading returns for these 2 contracts combined was around -1.0%.

Oscillating risk sentiment caused similar problems in currency trading, particularly in terms of US dollar positions. The traditional safe-haven asset fell in and out of favor several times over the year, eventually ending down 1.0% (on a trade weighted basis) for the 12 month trading period. Particularly notable was the effect of a debate around the raising of the US debt ceiling and the subsequent downgrade of the nation’s credit rating at the start of August. In July, short positions were rewarded as uncertainty in the US briefly brought the currency’s status as a safe haven asset into question as risk-wary investors fled to the safety of alternative currencies, causing a monthly decline of 1.3% (on a trade-weighted basis). However, by August, despite the downgrade, the US dollars’ safe haven status appeared to have been reaffirmed and short positions significantly detracted as the currency rallied on safe haven buying.

Elsewhere in currency trading, the AHL Diversified Program was alert to the risks associated with government interventions throughout the year. For the yen, the Bank of Japan intervened several times during 2011, causing several steep short-term declines in the value of the Yen while the Swiss National Bank went a step further and announced a ceiling in CHF/EUR exchange rate of 1.20. Nevertheless, both the yen and franc ended the year up 6.9% and 1.7% respectively on a trade weighted basis despite these interventions. An important facet of the AHL Diversified Program’s response to these interventions has been active risk management and continuing to develop proactive risk management tools to strive to protect our funds from incurring large losses.

Returning to performance drivers, the whipsaw theme continued in energies as positions in both natural gas and crude oil detracted on the long and short side due a series of conflicting supply and demand issues. Pessimism over the global economic outlook raised demand fears for WTI crude oil at certain points during the year. At other times prices rallied strongly in line with global stock markets, resulting in WTI crude oil ending the year up 8.2% overall. However, the lack of persistent directional price movement proved challenging, meaning that the AHL Diversified Program lost almost 1.0% to crude oil trades over the year. Meanwhile, natural gas prices recorded a 32.1% fall for 2011. However this move masked huge price swings over the first half of the year in particular, which disadvantaged our tendency to favor faster systems for this market. As a result, this market detracted over 1.0% from the AHL Diversified Program’s trading performance for the 12 month period.

On the positive side, market volatility, while disturbing established trends in many markets, proved to be supportive for safe haven assets. This played out well for the AHL Diversified Program’s trading in both bonds and short-term interest rates. In particular, a general long exposure to bonds and interest rates proved significantly beneficial with the resulting gains going some way towards offsetting losses elsewhere. In bonds, long exposure to US Treasuries and German Bunds accrued some of the largest profits as safe havens rallied for much of the year. During the second and third quarters in particular, a weakening global economic outlook and the escalating European sovereign debt crisis weighed on sentiment and investors flocked to the relative safety of fixed income. In the short-term interest rate space, long Eurodollar and Euribor contracts benefitted from the Federal Reserve’s pledge to keep interest rates at close to zero for the next two years in response to subdued economic growth, along with expectations that rates would also remain low in the troubled Eurozone.

A key facet of the fixed income space this year has been the incredibly low yields in developed bonds. In particular, in Q3 10 year US Treasuries yielded as little as 1.7% while some interest rate contracts implied negative yields. While these low yields signal a challenge for trend followers going forward, the AHL Diversified Program’s

approach has been two-fold: first, continue to diversify the fixed income portfolio, including bonds of developing countries and a variety of interest rate swaps; and second, implement relative value strategies that can potentially profit from an evolving yield curve. At the same time, the AHL Diversified Program has added risk management tools to balance the expected risk/return trade-off as interest rates approach zero.

In the metals sector precious metals performed well, particularly longs in gold and silver which benefitted from safe-haven inflows. Gold rallied particularly strongly in the middle of the year, reaching an all-time closing high of $1900.23 per troy ounce at the beginning of September as the US debt rating downgrade and growing concerns over European sovereign debt drove increasingly nervous sentiment. Some gains were given back when the rally came to an abrupt end shortly after this record high was reached. Investors moved to cash to cover losses following correlated declines across markets, causing gold prices to fall 11.1% for the month of September. However, following further volatile moves, prices still ended the year up 10.1% overall and the AHL Diversified Program’s long gold exposure added value for the year. However, elsewhere in metals trading, long copper positions detracted overall. Copper prices remained fairly range-bound for much of the year, save for a sharp over 20% fall in September as a drop in Chinese imports weighed on prices.

2010

Net assets increased $121,710,047 for the year ended December 31, 2010. This increase was attributable to subscriptions in the amount of $143,217,881, redemptions in the amount of $76,802,295 and net income from operations of $55,294,461.

For the year ended December 31, 2010, the Partnership accrued or paid total expenses of $18,217,094, including $6,045,761 in servicing fees, $11,764,805 in General Partner administrative fees and Trading Advisor management fees, and $406,528 in other expenses. Interest of $423,755 was earned or accrued on the Partnership’s cash and cash equivalent investments.

The Net Asset Value of a Class A Unit increased by $418.22 to $3,471.25. The Net Asset Value of a Class B Unit increased by $418.22 to $3,471.26. The Net Asset Value of a Class A-2 Unit increased by $466.40 to $3,548.32. The Net Asset Value of a Class B-2 Unit increased by $466.40 to 3,548.33.

One of the key themes of 2010 was a whipsawing in investor ‘risk off’ trading environment. Another was the escalating European sovereign debt crisis, which dominated headlines for the majority of the year. Countries such as Greece, Ireland, Spain and Portugal took centre stage as investors grew increasingly concerned that they would struggle to service their vast amounts of public debt over the coming years. Bailouts of Greece in May and then Ireland in November went some way to calming fears of a sovereign default. However, subsequent tough austerity measures led to worries over the future outlook for European economic growth and question marks remained as to whether more eurozone nations would need bailouts in 2011.

However, towards the second half of 2010, risk appetite rebounded sharply as the US Federal Reserve embarked on a further round of quantitative easing, coined ‘QE2’, in order to stimulate domestic growth and fend off deflation. Investors also shrugged off worries over eurozone sovereign debt and focused on a flurry of positive Q3 corporate earnings and some surprisingly positive economic data which raised optimism over the outlook for 2011.

A general long exposure to fixed income markets, particularly those based in Europe, the US and Japan, dominated the the AHL Diversified Program Diversified Program’s gains. Prices surged on a broad ‘flight-to-safety’ theme, triggered by the onset of the eurozone sovereign debt crisis, and a prolonged low interest rate environment theme.

Long positions in US Treasuries accrued standout returns over the year as the Federal Reserve issued a cautious outlook on the US economy and economic releases early in 2010 proved disappointing. Additional support was given towards the second half of the year as rising speculation and then confirmation of an

additional round of quantitative easing pushed prices higher. European bonds also secured notable gains as prices rose on news that the European Central Bank had started to buy eurozone government bonds in an attempt to stabilise nervous markets. Signs of economic weakness across the eurozone pushed prices higher as investors grew concerned over the future outlook for economic growth in the region. Elsewhere, UK Gilts received a boost from rumours that the Bank of England would also implement a further round of monetary easing to support economic growth and fend off the prospect of a double-dip recession. Equally important to bond sector returns was the systematic decrease in bond position sizes towards the end of the year as trends started to reverse.

In the short-term interest rate sector, it was predominantly long Eurodollar positions that drove performance. Prices surged after investors increasingly speculated that interest rates in the US would be held at record low rates for a prolonged period of time, in light of stubbornly high unemployment and news of another round of monetary easing.

Further positive performance was accrued from long positions in Short Sterling as prices pushed higher on worries that Britain’s emergency budget, which proposed deep cuts to public spending, would pose a threat to the UK’s economic recovery.

Lingering concerns over sovereign debt also benefited the currency sector. Short EUR positions generated strong gains as investors grew concerned over the stability of the region and the prospect of contagion across the eurozone. Traders increasingly shied away from the European single currency as concerns intensified that tough austerity measures to reign in eurozone debt would hinder longer-term economic growth prospects. As a result, the euro fell -9.0% on a trade- weighted basis over the year.

During the second half of the year, a number of short USD positions contributed to performance as the US dollar weakened 7.4% on a trade-weighed basis. Notable gains included long positions in commodity-linked currencies such as AUD and ZAR against USD. Both rallied 14.0% and 11.6% respectively as a rise in underlying raw materials and an increase in risk appetite provided support. Long AUD versus USD positions secured particularly strong gains as the Australian dollar was given a further boost by a number of solid domestic economic data releases combined and a succession of interest rate rises by the Reserve Bank of Australia.

Exposure to metals and agriculturals added to performance over the course of the year. Long positions in precious metals such as gold and silver accrued the largest gains in the metal sector. Both rallied strongly, 29.5% and 83.2% respectively, as demand for their perceived ‘safe-haven’ status surged in light of the increased market uncertainty. On the agricultural front, profits were particularly strong given the programme’s relatively low allocation to the sector. A generally long exposure to the sector proved beneficial as the S&P GSCI Agricultural Index rose 44.5% in 2010 after supply issues and strong demand caused prices to surge. Notable performers included long cotton trades as prices jumped 91.5% over the period.

On the negative side, both energies and stocks detracted from performance. In energies, both long and short positions in crude oil & other related products weighed on returns. Despite the WTI crude oil index rising 15.1%, conflicting supply and demand issues whipsawed prices throughout the year. Elsewhere, stock markets suffered significant sell offs in January and April hurting established long positions. Fluctuating economic data then led to ‘risk on’/’risk off’ conditions which caused a whipsawing of positions. While markets pushed higher at year end, leading to good gains from long positions, this was not enough to wipe out previous losses.

2009

Net assets increased $115,266,556 for the year ended December 31, 2009. This increase was attributable to subscriptions in the amount of $225,207,688, redemptions in the amount of $59,656,050 and net loss from operations of $50,285,082.

For the year ended December 31, 2009, the Partnership accrued or paid total expenses of $14,344,741, including $905,474 in brokerage commissions, $4,338,823 in servicing fees, $8,632,961 in General Partner

administrative fees and Trading Advisor management fees, $0 in Trading Advisor incentive fees, and $467,483 in other expenses. Interest of $524,175 was earned or accrued on the Partnership’s cash and cash equivalent investments.

The Net Asset Value of a Class A Unit decreased by $612.18 to $3,053.03. The Net Asset Value of a Class B Unit decreased by $612.18 to $3,053.04. Class A-2 Units and Class B-2 Units were not issued prior to 2009 and ended the year with a Net Asset Value per Unit of $3,081.92 and $3,081.93, respectively.

At the beginning of 2009, financial markets found themselves crest-fallen in the wake of the Lehman Brothers collapse over three months previously. The subprime crisis had struck the financial system with its heaviest blow and, in turn, sent the global economy on a downward spiral. However, late in the first quarter markets reversed course as banks were off to a profitable start to the year, China boasted strong economic figures and government officials were united in pushing for a coordinated response to the global crisis. Indeed, 2009 would end strewn with examples of government intervention across a range of sectors and markets.

As the year unraveled, governments took stakes in listed banks while central banks all purchased from bond markets in order to maintain yields at low levels. Despite record breaking bond issuances and high budget deficit projections, yields on US, UK and European government bonds stayed within a tight range. Rising equity markets, benign government borrowing costs and a steady flow of positive economic news helped to stabilize markets. However, the fall in volatility, as measured by the CBOE VIX Index, succeeded in masking some strong reversals in asset classes. From mid-March until the end of the year, the primary trade had become a general risk on/risk off option, exemplified by the movements in equities and the safe-haven US dollar, which itself had become the borrowing currency of choice for risky carry trades. As a result, correlations between asset classes strengthened.

In this extraordinary market environment, the AHL Diversified Program experienced a difficult period as sudden trend reversals, whipsawing price movements and strongly correlated market movements heavily impacted the trend following trading system.

Trades in the bond sector weighed particularly heavily on the AHL Diversified Program’s performance as a number of positions suffered from somewhat directionless movements during 2009. Trading in US Treasuries, Euro-Bunds and Japanese bonds detracted the most from returns as positions whipsawed. The relatively large price swings were caused by a number of factors including central bank intervention, yo-yoing concerns between deflation and inflation, record government bond issuance and surprisingly strong US economic data.

Positions in the currency market also impacted the AHL Diversified Program’s performance in 2009 as the US dollar reversed sharply in March on the back of renewed risk appetite. The US dollar had appreciated strongly in the final quarter of 2008 as investors fled to its perceived safe haven status. As a result, long US dollar positions that had been profitable in late 2008 incurred losses as trends began to reverse. For many of the major currency markets, this initial trend reversal was then followed by a period of range-bound price activity as the economic outlook for their respective economies remained uncertain, for example GBP/USD and EUR/JPY.

Idiosyncratic events also affected returns over the period. In particular, long positions in the Swiss franc against the euro incurred losses as the Swiss government’s intervention during March saw a steady trend quickly reverse. News that the Swiss National Bank (SNB) would look to depreciate its own currency and cut interest rates by 25bps led the franc to shed -3.1% on 12 March, the largest one-day fall since the euro’s inception. After the event, the currency reverted to its previous upward trend and appreciated gradually until mid-June, at which time traders saw that the Bank of International Settlements was active in selling the Swiss franc on behalf of the SNB as the franc looked set to breach the 0.67 euro level. Consequently, the currency duly lost -1.9% on 24 June. In a final twist at the end of the year, optimism rose that the SNB would not look to intervene in the currency’s upward progress, sparking a jolt in the exchange rate.

Commodities also proved difficult to trade during 2009, particularly crude oil and other oil related products, as trend reversals and whipsawing movements impacted performance. Prices bottomed out at the end of 2008 and began to rise at the beginning of 2009 as investors became more confident over the economic outlook, particularly in China. As a result, short crude oil positions incurred losses as trends began to reverse before further losses were experienced as prices proved highly volatile for the remainder of the year.

While the AHL Diversified Program suffered over 2009, there were a number of key profits of note that helped to offset losses. As mentioned earlier, the beginning of March saw news flow improve dramatically, prompting the establishment of a number of key directional trends, with the most prominent linked to commodities and emerging markets. Expectations of increased global demand and renewed signs of decoupling saw an increase in appetite for these risky themes. Long positions in commodity-linked currencies such as the Australian dollar, South African rand and Brazilian real all secured gains as they appreciated strongly against the US dollar. Long positions in AUD/USD proved particularly profitable as Australia’s economy showed its resilience. Contractions in GDP levels were less than feared before economic growth returned strongly before the end of 2009, forcing the country’s central bank to raise interest rates; the first such G20 country to do so since the financial crisis began. Elsewhere, long positions in gold also accrued notable returns. The precious metal rallied strongly over the second half of the year as fears rose that inflation was set to surge in 2010. Further strong gains were realized in the stocks sector. Long positions in US, European and Asian equity indices benefitted from early March onwards as improving economic data, positive earnings surprises and low bond yields drew investors into stocks.

Item 7A. Quantitative and Qualitative Disclosures About Market Risk.

Introduction

Past Results Are Not Necessarily Indicative of Future Performance

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

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

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

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

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

Quantifying the Partnership’s Trading Value at Risk

Quantitative Forward-Looking Statements

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

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

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

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

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

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

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

The following table indicates the amount of trading Value at Risk associated with the Partnership’s open positions by market category as of the year ended December 31, 2011. As of December 31, 2011, the Partnership’s total capitalization was $ 527,665,862.93.


Fiscal Year 2011
Market Sector	Value at Risk		% of Capitalization
Interest Rates	$	8,042,135.00	1.52%
Currencies	$	13,618,189.00	2.58%
Stock Indices	$	11,107,267.00	2.10%
Metals	$	8,218,786.00	1.56%
Agriculturals	$	4,156,349.00	0.79%
Energy	$	3,908,956.00	0.74%
Bonds	$	12,886,776.00	2.44%
Total	$	61,938,458.00	11.74%

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

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

Non-Trading Risk

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

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

Qualitative Disclosures Regarding Primary Trading Risk Exposures

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

The following were the primary trading risk exposures of the Partnership as of December 31, 2011, by market sector.

Financial Instruments. Interest rate movements directly affect the price of the sovereign bond futures positions held by the Partnership and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries may materially impact the Partnership’s profitability. The Partnership’s primary interest rate exposure is to interest rate fluctuations in the United States, Germany, the UK, Australia and Japan. However, the Partnership also may take positions in futures contracts on the government debt of smaller nations. The 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 December 31, 2011 the Partnership’s primary currency exposures were in the U.S. dollar versus the Euro, UK Sterling, Brazilian Real, Mexican Peso and Singapore Dollar. The primary exposures in the currency crosses were in the Euro versus Australian Dollar, Euro versus UK Sterling, UK Sterling versus Australian Dollar, Euro versus Swedish Krona and Australian Dollar versus Yen.

Stock Indices. The Partnership’s primary equity exposure, through stock index futures, is to equity price risk in the G-7 countries. As of December 31, 2011, the Partnership’s primary exposures were in the Dax, Nikkei, Korean Kospi, S&P 500 and Hang Seng. The Partnership is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Asian indices. (Static markets would not cause major market changes but could make it difficult for the Partnership to avoid numerous small losses.)

Metals. The Diversified Portfolio used for the Partnership trades precious and base metals. As of December 31, 2011, the Partnership’s primary metals market exposures were in aluminum, silver, copper, nickel and zinc.

Agricultural. The Partnership’s primary commodities exposure is to agricultural price movements, which are often directly affected by severe or unexpected weather conditions. Wheat, coffee, soybeans, cotton and corn accounted for the substantial bulk of the Partnership’s commodities exposure as of December 31, 2011.

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 December 31, 2011, the main exposures were in crude oil, heating oil, gasoline, natural gas and gas oil.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the only non-trading risk exposures of the Partnership as of December 31, 2011.

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

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

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

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

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

Item 8. Financial Statements and Supplementary Data.

Financial statements required by this item, including the report of Deloitte & Touche LLP for the fiscal years ended December 31, 2011, 2010, and 2009, are included as Exhibit 13.1 to this report.

The following summarized quarterly financial information presents the results of operations of the three month period ended March 31, June 30, September 30 and December 31, 2011 and 2010. This information has not been audited.


	Fourth Quarter			Third Quarter		Second Quarter			First Quarter
	2011			2011		2011			2011
Interest income (expense)*		140,020			153,179		223,683			249,081
Net Realized and Unrealized Gains (Losses)*		(26,115,708	)		32,481,295		(3,995,792	)		(23,877,731	)
Expenses**		6,397,323			6,713,510		6,468,560			5,921,205
Net Income (Loss)		(32,373,011	)		25,920,964		(10,240,669	)		(29,549,855	)
Net Income (Loss) Per Unit of Partnership Interest — Class A		(195.02	)		160.25		(62.34	)		(210.26	)
Net Income (Loss) Per Unit of Partnership Interest — Class A — Series 2		(155.08	)		175.69		(53.53	)		(204.46	)
Net Income (Loss) Per Unit of Partnership Interest — Class B		(195.11	)		160.24		(62.24	)		(210.26	)
Net Income (Loss) Per Unit of Partnership Interest — Class B — Series 2		(191.08	)		175.68		(53.52	)		(204.46	)


	Fourth Quarter			Third Quarter		Second Quarter		First Quarter
	2010			2010		2010		2010
Interest income (expense)*		(15,581	)		163,692		146,813		128,831
Net Realized and Unrealized Gains (Losses)*		24,455,993			27,361,060		6,149,105		16,928,167
Expenses**		5,299,253			5,109,484		4,902,953		4,711,929
Net Income (Loss)		19,141,159			22,415,268		1,392,965		12,345,069
Net Income (Loss) Per Unit of Partnership Interest — Class A		140.61			174.96		9.49		93.16
Net Income (Loss) Per Unit of Partnership Interest — Class A — Series 2		154.39			188.36		19.63		104.02
Net Income (Loss) Per Unit of Partnership Interest — Class B		140.61			174.96		9.49		93.16
Net Income (Loss) Per Unit of Partnership Interest — Class B — Series 2		154.39			188.35		19.64		104.02

*	Income is allocated from the Partnership’s investment in Man-AHL Diversified Trading Company L.P.

**	Expenses include allocations from the Partnership’s investment in Man-AHL Diversified Trading Company L.P. and direct Partnership expenses.

There were no extraordinary, unusual or infrequently occurring items recognized in any quarter within the two most recent fiscal years, and the Partnership has not disposed of any segments of its business. There have been no year-end adjustments that are material to the results of any fiscal quarter reported above.

Item 9. Changes in and Disagreements with Accountants on Accounting and Financial Disclosure.

None.

Item 9A. 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 its disclosure controls and

procedures with respect to the Partnership as of the end of the fiscal year for which this Annual Report on Form 10-K is being filed and, based on its evaluation, has concluded that these disclosure controls and procedures are effective.

Changes in Internal Control over Financial Reporting

Section 404 of the Sarbanes-Oxley Act of 2002 requires the General Partner to evaluate annually the effectiveness of its internal controls over financial reporting as of the end of each fiscal year, and to include a management report assessing the effectiveness of its internal control over financial reporting in all annual reports. There were no significant changes in the General Partner’s internal control over financial reporting during the three-month period ended December 31, 2011 that have materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

Management’s Annual Report on Internal Control over Financial Reporting

The General Partner is responsible for establishing and maintaining adequate internal control over the financial reporting of the Partnership. Internal control over financial reporting is defined in Rules 13a-15(f) and 15d-15(f) under the Securities Exchange Act of 1934, as amended, as a process designed by, or under the supervision of, a company’s principal executive and principal financial officers and effected by a company’s board of directors, management and other personnel, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with the accounting principles generally accepted in the United States of America. The General Partner’s internal control over financial reporting includes those policies and procedures that:

•

pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Partnership;

•

provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements of the Partnership in accordance with the accounting principles generally accepted in the United States of America, and that receipts and expenditures of the Partnership are being made only in accordance with authorizations of management and directors of the General Partner; and

•

provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Partnership’s assets that could have a material effect on its financial statements.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.

The management of the General Partner assessed the effectiveness of its internal control over financial reporting with respect to the Partnership as of December 31, 2011. In making this assessment, management used the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in Internal Control — Integrated Framework. Based on its assessment, management has concluded that, as of December 31, 2011, the General Partner’s internal control over financial reporting with respect to the Partnership is effective based on those criteria.

There were no significant changes in the General Partner’s internal controls with respect to the Partnership or in other factors applicable to the Partnership that could significantly affect these controls subsequent to the date of their evaluation.

Item 9B. Other Information.

None.

PART III

Item 10. Directors, Executive Officers and Corporate Governance.

(a, b) Identification of Directors and Executive Officers

(i) As a limited partnership, the Partnership itself has no directors or executive officers. The Partnership’s affairs are managed by the General Partner. Man Investments (USA) Corp., a Delaware corporation, is the general partner of the Partnership.

The principals and senior officers of the General Partner as of December 31, 2011 are as follows:

John Barbo, age 55, is the President, Chief Executive Officer and Chief Operating Officer of the General Partner. In addition to his affiliation with the General Partner, Mr. Barbo is also the President and Chief Operating Officer of the Placement Agent. Mr. Barbo joined the General Partner in October 2009, and is responsible for overall supervision of the General Partner’s and the Placement Agent’s activities in the U.S. He is based in New York and runs the Placement Agent’s private client business, which includes banking and intermediary relationships. Mr. Barbo is registered as an associated person of the General Partner as of November 23, 2009 and is listed as a principal of the General Partner as of November 5, 2010.

Prior to joining the General Partner in 2009, Mr. Barbo was Executive Director of Alternative Investments, National Sales & Marketing at Morgan Stanley & Co. Inc./Morgan Stanley Smith Barney LLC, a broker-dealer and wealth management firm, establishing Morgan Stanley’s first hedge fund platforms across multiple client segment strata and leading the sales effort, from March 2007 to September 2009. Prior to joining Morgan Stanley, he was the Director of Alternative Investments, National Distribution at Merrill Lynch Pierce Fenner & Smith, a broker-dealer and wealth management firm, where he was instrumental in launching a number of industry leading platforms such as HedgeAccess/FutureAccess, from October 1994 to February 2007 and withdrawn as an associated person on March 21, 2007.

John earned a B.A. in marketing from Michigan State University and an M.B.A. from Columbia University. He holds his FINRA Series 7, 24, 63 and NFA Series 3 licenses.

Jordan Allen, age 49, is the Chief Financial Officer of the General Partner. Prior to his current responsibilities, he was Chief Operating Officer of GLG Ore Hill Partners, a hedge fund manager affiliated with the General Partner, where he was responsible for Ore Hill’s non-investment functions from July 2010 to June 2011, when he joined the General Partner. In addition to his affiliation with the General Partner, Mr. Allen is the Chief Financial Officer of Man Investments (USA) LLC (“MI LLC”), a fund of fund managers. Mr. Allen is listed as a principal of the General Partner and of MI LLC as of September 6, 2011 and September 1, 2011, respectively.

Prior to joining the General Partner, Mr. Allen was a partner and president at HFR Asset Management LLC, an investment advisory firm, from January 2005 to June 2010, where at various times he was responsible for business, sales, risk and compliance functions including product development and investor relations for HFR’s hedge fund and 9 fund of funds managed account platform.

Mr. Allen received a JD from Northwestern University Law School and BS in Accounting from the University of Illinois. He is also a Certified Public Accountant.

None.

(d) Family Relationships

None.

(e) Business Experience

See Item 10 (a, b) above.

(f) Involvement in Certain Legal Proceedings

None.

(g) Promoters and Control Persons

Not applicable.

(h) Section 16(a) Beneficial Ownership Reporting Compliance

Mr. Jordan Allen became Chief Financial Officer of the General Partner in June 2011. Mr. Allen and Mr. Barbo filed a Form 3 after the filing deadline. Neither Mr. Barbo nor Mr. Allen own and have not owned any Units so the number of transactions reported is 0.

(h) Code of Ethics

The Partnership has no employees, officers or directors and is controlled by the General Partner. The General Partner has adopted an Executive Code of Ethics that applies to its principal executive officers, principal financial officer and principal accounting officer. A copy of this Executive Code of Ethics may be obtained at no charge by written request to Man Investments (USA) Corp., One Rockefeller Plaza, New York, New York, 10020 or by calling: (646) 452-9700 (ask for the Chief Legal Officer).

(i) Audit Committee Financial Expert

Because the Partnership has no employees or directors, the Partnership has no audit committee. The Partnership is managed by the General Partner. Mr. Jordan Allen serves as the General Partner’s “audit committee financial expert.” Mr. Allen is not independent of the management of the General Partner. The General Partner is not required to have, and does not have, independent directors.

Item 11. Executive Compensation.

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

The officers of the General Partner and Trading Advisor are compensated by the General Partner and Trading Advisor in their respective positions. These officers receive no other compensation from the Partnership. The Partnership has no compensation plans or arrangements relating to a change in control of either the Partnership, the General Partner or the Trading Advisor.

Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters.

(a) Securities authorized for issuance under equity compensation plans

None.

(b)

Security Ownership of Certain Beneficial Owners

The General Partner knows of no persons who own beneficially more than 5% of the Partnership’s Units. All of the Partnership’s general partner interest is held by the General Partner.

The Partnership has no officers or directors. Under the terms of the Limited Partnership Agreement, the Partnership’s affairs are managed by the General Partner. As of December 31, 2011, the General Partner’s interest in the Partnership was valued at $589,665 which constituted 0.11% of total partners’ capital.

As of December 31, 2011, no director, executive officer or member of the General Partner beneficially owned Units in the Partnership.

(d) Changes in Control

There are no arrangements known to the Partnership or General Partner the operation of which would result in a change in control of the Partnership; provided, however, that pursuant to the Partnership’s Limited Partnership Agreement, the General Partner may admit additional or substitute general partners and may withdraw as general partner of the Partnership.

Item 13. Certain Relationships and Related Transactions, and Director Independence.

The Partnership paid the General Partner and Trading Advisor aggregate administrative and management fees of $14,924,300 for the year ended December 31, 2011. The Partnership paid the Trading Advisor $0 in incentive fees for the year ended December 31, 2011. The Partnership paid Man Investments Inc., an affiliate of the General Partner and Trading Advisor that serves as the lead placement agent for the Partnership, $7,631,473 in servicing fees for the year ended December 31, 2011. The General Partner’s interest in the Partnership earned net loss of $57,286 for year ended December 31, 2011.

The Partnership has not and does not make any loans to the General Partner, its affiliates, their respective officers, directors or employees or the immediate family members of any of the foregoing, or to any entity, trust or other estate in which any of the foregoing has any interest, or to any other person (provided that the purchase of U.S. government instruments and the deposit of Partnership assets with banks, futures brokers and foreign exchange counterparties in connection with the trading operations of the Partnership are not considered to be loans).

None of the General Partner, its affiliates, their respective officers, directors and employees or the immediate family members of any of the foregoing, or any entity trust or other estate in which any of the foregoing has any interest has, to date, sold any asset, directly or indirectly, to the Partnership.

The Partnership has no directors, officers or employees and is managed by the General Partner. The General Partner is managed by its principals, none of whom is independent of the General Partner.

Item 14. Principal Accountant Fees and Services

(1) Audit Fees

The aggregate fees for professional services provided by Deloitte & Touche LLP, the Partnership’s independent registered public accounting firm, for the audit of the Partnership’s annual financial statements and review of financial statements included in the Partnership’s quarterly reports for the years ended December 31, 2011 and 2010 were approximately $220,883 and $171,702, inclusive of its allocated share of audit fees from the Trading Company, respectively.

(2) Audit-Related Fees

There were no fees for assurance and related services rendered by Deloitte & Touche LLP for the years ended December 31, 2011 and 2010.

(3) Tax Fees

The aggregate fees for services rendered by Ernst & Young LLP for tax compliance, advice and planning services for the years ended December 31, 2011 and 2010 were approximately $106,219 and $80,000, respectively.

(4) All Other Fees

None.

(5) Pre-Approval Policies

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

PART IV

Item 15. Exhibits and Financial Statement Schedules

(a)(1) Financial Statements

The financial statements required by this Item are included herewith as Exhibit 13.1.

(a)(2) Financial Statement Schedules

All Schedules are omitted for the reason that they are not required or are not applicable because equivalent information has been included in the financial statements or the notes thereto.

(a)(3) Exhibits as required by Item 601 of Regulation S-K

The following exhibits are included herewith.


Designation		Description

13.1		Report of Independent Registered Public Accounting Firm

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

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

32.1		Section 1350 Certification of Principal Executive Officer

32.2		Section 1350 Certification of Principal Financial Officer

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

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

10.1		Form of Customer Agreement between E D & F Man International Inc. and Man-AHL Diversified Trading Company L.P.

10.2		Form of Trading Advisor Agreement between Man-AHL Diversified I L.P., Man Investments (USA) Corp. and Man-AHL (USA) Limited.

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

The following exhibits are incorporated by reference herein from the exhibits of the same description and number filed on March 31, 2010 with the Partnership’s Annual Report on Form 10-K.


4.2		Sixth Amended Limited Partnership Agreement of Man-AHL Diversified I L.P.

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized, on March 30, 2012.

Man-AHL Diversified I L.P.

(Registrant)

By: Man Investments (USA) Corp.

General Partner

By: /s/ John Barbo

President, Chief Executive Officer and Chief Operating Officer (Principal Executive Officer)

By: /s/ Jordan Allen

Chief Financial Officer (Principal Financial and Chief Accounting Officer)

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the General Partner of the Registrant in the capacities and on the date indicated.


	Title with
Signature	General Partner	Date

/s/ John Barbo John Barbo	President, Chief Executive Officer and Chief Operating Officer (Principal Executive Officer)	March 30, 2012

/s/ Jordan Allen Jordan Allen	Chief Financial Officer (Principal Financial and Chief Accounting Officer)	March 30, 2012

(Being the principal executive officer, the principal financial officer and chief accounting officer of Man Investments (USA) Corp.)

Man Investments (USA) Corp.

General Partner of Registrant

March 30, 2012


By		/s/ John Barbo
		John Barbo
		President, Chief Executive Officer and Chief Operating Officer

EXHIBIT 13.1 INDEX TO FINANCIAL STATEMENTS



Man-AHL Diversified I L.P.
Financial Statements

Report of Independent Registered Public Accounting Firm			F-2
Statements of Financial Condition as of December 31, 2011 and 2010			F-3
Statements of Operations For the Years Ended December 31, 2011, 2010 and 2009			F-5
Statements of Changes in Partner’s Capital For the Years Ended December 31, 2011, 2010 and 2009			F-6
Statements of Cash Flows For the Years Ended December 31, 2011, 2010 and 2009			F-7
Notes to Financial Statements			F-8

Man-AHL Diversified Trading Company L.P.
Financial Statements

Report of Independent Registered Public Accounting Firm			F-13
Statements of Financial Condition as of December 31, 2011 and 2010			F-14
Condensed Schedules of Investments as of December 31, 2011 and 2010			F-15
Statements of Operations For the Years Ended December 31, 2011, 2010 and 2009			F-16
Statements of Changes in Partner’s Capital For the Years Ended December 31, 2011, 2010 and 2009			F-17
Statements of Cash Flows For the Years Ended December 31, 2011, 2010 and 2009			F-18
Notes to Financial Statements			F-19

Man-AHL

Diversified I L.P.

(A Delaware Limited Partnership)

Financial Statements as of and for the

Years Ended December 31, 2011, 2010 and 2009, and

Report of Independent Registered Public Accounting Firm

LOGO

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Partners of Man-AHL Diversified I L.P.:

We have audited the accompanying statements of financial condition of Man-AHL Diversified I L.P. (a Delaware Limited Partnership) (the “Partnership”) as of December 31, 2011 and 2010, and the related statements of operations, changes in partners’ capital, and cash flows for each of the three years in the period ended December 31, 2011. These financials are the responsibility of the Partnership’s management. Our responsibility is to express an opinion on the financial statements based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Partnership is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Partnership’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, such financial statements present fairly, in all material respects, the financial position of Man-AHL Diversified I L.P. as of December 31, 2011 and 2010, and the results of its operations, changes in partners’ capital and its cash flows for each of the three years in the period ended December 31, 2011, in conformity with accounting principles generally accepted in the United States of America.

LOGO

March 23, 2012


		Member of Deloitte Touche Tohmatsu Limited

F-2

MAN-AHL DIVERSIFIED I L.P.

(A Delaware Limited Partnership)

STATEMENTS OF FINANCIAL CONDITION

AS OF DECEMBER 31, 2011 AND 2010


	2011		2010
ASSETS

Cash and cash equivalents	$	7,500,730	$	17,978,871

Investment in Man-AHL Diversified Trading Company L.P.		527,665,568		456,318,413

Due from Man-AHL Diversified Trading Company L.P.		9,299,201		8,322,471


Total	$	544,465,499	$	482,619,755

LIABILITIES AND PARTNERS’ CAPITAL

LIABILITIES:
Redemptions payable	$	7,103,752	$	6,443,299
Subscriptions received in advance		7,500,435		17,828,921
Management fees payable		1,285,785		1,105,525
Servicing fees payable		656,891		566,652
Accrued expenses and other liabilities		252,773		206,995
Payable to Man-AHL Diversified II L.P.		—		250,000


Total liabilities		16,799,636		26,401,392


PARTNERS’ CAPITAL:
General Partner- Class A (186.37 unit equivalents outstanding at December 31, 2011 and 2010, respectively)		589,665		646,951
Limited Partners - Class A (112,536.96 and 89,273.39 units outstanding at December 31, 2011 and 2010, respectively)		356,053,748		309,889,356
Limited Partners - Class A Series 2 (15,832.05 and 14,736.53 units outstanding at December 31, 2011 and 2010, respectively)		51,848,998		52,289,913
Limited Partners - Class B (33,416.99 and 23,302.68 units outstanding at December 31, 2011 and 2010, respectively)		105,727,713		80,889,762
Limited Partners - Class B Series 2 (4,105.63 and 3,523.45 units outstanding at December 31, 2011 and 2010, respectively)		13,445,739		12,502,381


Total partners’ capital		527,665,863		456,218,363


Total liabilities and partners’ capital	$	544,465,499	$	482,619,755

(continued)

F-3

MAN-AHL DIVERSIFIED I L.P.

(A Delaware Limited Partnership)

STATEMENTS OF FINANCIAL CONDITION

AS OF DECEMBER 31, 2011 AND 2010


	2011		2010
NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST - CLASS A	$	3,163.88	$	3,471.25

NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST - CLASS A Series 2	$	3,274.94	$	3,548.32

NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST - CLASS B	$	3,163.89	$	3,471.26

NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST - CLASS B Series 2	$	3,274.95	$	3,548.33

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

F-4

MAN-AHL DIVERSIFIED I L.P.

(A Delaware Limited Partnership)

STATEMENTS OF OPERATIONS

FOR THE YEARS ENDED DECEMBER 31, 2011, 2010 AND 2009


	2011			2010			2009
NET INVESTMENT (LOSS) INCOME ALLOCATED FROM MAN-AHL DIVERSIFIED TRADING COMPANY L.P.:
Interest income	$	765,963		$	423,755		$	524,175
Brokerage commissions		(1,094,952	)		(1,680,903	)		—
Other expenses		(737,631	)		(125,622	)		—


Net investment (loss) income allocated from
Man-AHL Diversified Trading Company L.P.		(1,066,620	)		(1,382,770	)		524,175


PARTNERSHIP EXPENSES:
Brokerage commissions								905,474
Management fees		14,924,300			11,764,805			8,632,961
Servicing fees		7,631,473			6,045,761			4,338,823
Administration fees		635,387			—			—
Professional fees		209,716			—			—
Other expenses		267,139			406,528			467,483


Total expenses		23,668,015			18,217,094			14,344,741


Net investment loss		(24,734,635	)		(19,599,864	)		(13,820,566	)


REALIZED AND UNREALIZED (LOSSES) GAINS ON TRADING ACTIVITIES ALLOCATED FROM MAN-AHL DIVERSIFIED TRADING COMPANY L.P.:
Net realized trading (losses) gains on closed contracts		(10,852,470	)		52,599,805			(27,527,879	)
Net change in unrealized trading (losses) gains on open contracts		(10,655,466	)		22,294,520			(8,936,637	)


Net (losses) gains on trading activities allocated from Man-AHL Diversified Trading Company L.P.		(21,507,936	)		74,894,325			(36,464,516	)


NET (LOSS) INCOME	$	(46,242,571	)	$	55,294,461		$	(50,285,082	)


NET (LOSS) INCOME PER UNIT OF PARTNERSHIP INTEREST - CLASS A	$	(307.37	)	$	418.22		$	(612.18	)


NET (LOSS) INCOME PER UNIT OF PARTNERSHIP INTEREST - CLASS A Series 2	$	(273.38	)	$	466.40		$	(310.71	)


NET (LOSS) INCOME PER UNIT OF PARTNERSHIP INTEREST - CLASS B	$	(307.37	)	$	418.22		$	(612.18	)


NET (LOSS) INCOME PER UNIT OF PARTNERSHIP INTEREST - CLASS B Series 2	$	(273.38	)	$	466.40		$	(310.71	)

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

F-5

MAN-AHL DIVERSIFIED I L.P.

(A Delaware Limited Partnership)

STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL

FOR THE YEARS ENDED DECEMBER 31, 2011, 2010 AND 2009


	CLASS A											CLASS A Series 2						CLASS B						CLASS B Series 2						TOTAL
	Limited Partners						General Partner					Limited Partners						Limited Partners						Limited Partners
	Amount			Units			Amount			Units		Amount			Units			Amount			Units			Amount			Units			Amount			Units
PARTNERS’ CAPITAL
January 1, 2011	$	309,889,356			89,273		$	646,951			186	$	52,289,913			14,737		$	80,889,762			23,303		$	12,502,381			3,523		$	456,218,363			131,022

Subscriptions		122,429,352			36,841			—			—		13,810,337			4,048			43,989,474			13,175			3,848,000			1,136			184,077,163			55,200
Redemptions		(44,451,194	)		(13,577	)		—			—		(10,047,774	)		(2,953	)		(10,015,024	)		(3,061	)		(1,873,100	)		(553	)		(66,387,092	)		(20,144	)
Net loss		(31,813,766	)		—			(57,286	)		—		(4,203,478	)		—			(9,136,499	)		—			(1,031,542	)		—			(46,242,571	)		—


PARTNERS’ CAPITAL
December 31, 2011	$	356,053,748			112,537		$	589,665			186	$	51,848,998			15,832		$	105,727,713			33,417		$	13,445,739			4,106		$	527,665,863			166,078

PARTNERS’ CAPITAL
January 1, 2010	$	253,353,412			82,985		$	569,005			186	$	14,969,780			4,857		$	61,704,853			20,211		$	3,911,266			1,269		$	334,508,316			109,508

Subscriptions		68,286,137			21,518			—			—		47,186,805			15,246			18,601,451			5,860			9,143,488			2,953			143,217,881			45,577
Redemptions		(48,584,783	)		(15,230	)		—			—		(17,252,455	)		(5,366	)		(8,795,578	)		(2,768	)		(2,169,479	)		(699	)		(76,802,295	)		(24,063	)
Net income		36,834,590			—			77,946			—		7,385,783			—			9,379,036			—			1,617,106			—			55,294,461			—


PARTNERS’ CAPITAL
December 31, 2010	$	309,889,356			89,273		$	646,951			186	$	52,289,913			14,737		$	80,889,762			23,303		$	12,502,381			3,523		$	456,218,363			131,022


PARTNERS’ CAPITAL
January 1, 2009	$	190,432,028			51,957		$	683,098			186	$	—			—		$	28,126,634			7,674		$	—			—		$	219,241,760			59,817

Subscriptions		155,087,978			46,690			—			—		16,360,659			5,049			49,088,551			14,889			4,670,500			1,430			225,207,688			68,058
Redemptions		(50,828,042	)		(15,662	)		—			—		(599,492	)		(192	)		(7,731,891	)		(2,352	)		(496,625	)		(161	)		(59,656,050	)		(18,367	)
Net loss		(41,338,552	)		—			(114,093	)		—		(791,387	)		—			(7,778,441	)		—			(262,609	)		—			(50,285,082	)		—


PARTNERS’ CAPITAL
December 31, 2009	$	253,353,412			82,985		$	569,005			186	$	14,969,780			4,857		$	61,704,853			20,211		$	3,911,266			1,269		$	334,508,316			109,508

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

F-6

MAN-AHL DIVERSIFIED I L.P.

(A Delaware Limited Partnership)

STATEMENTS OF CASH FLOWS

FOR THE YEARS ENDED DECEMBER 31, 2011, 2010 AND 2009


	2011			2010			2009
CASH FLOWS FROM OPERATING ACTIVITIES:
Net (loss) income	$	(46,242,571	)	$	55,294,461		$	(50,285,082	)
Adjustments to reconcile net (loss) income to net cash used in operating activities:
Purchases of Man-AHL Diversified Trading Company L.P.		(183,834,727	)		(143,112,910	)		(225,207,688	)
Sale of investments in Man-AHL Diversified Trading Company L.P.		88,936,286			95,803,636			72,264,333
Net change in depreciation (appreciation) of investment in Man-AHL Diversified Trading Company L.P.		22,574,556			(73,511,555	)		35,940,341
Changes in assets and liabilities:
Prepaids and other assets		—			295			—
Management fees payable		180,260			262,908			275,897
Incentive fees payable		—			—			(2,079,483	)
Servicing fees payable		90,239			141,207			142,085
Accrued expenses and other liabilities		45,778			52,377			25,345
Payable to Man AHL Diversified II L.P.		(250,000	)		250,000			—


Net cash used in operating activities		(118,500,179	)		(64,819,581	)		(168,924,252	)


CASH FLOWS FROM FINANCING ACTIVITIES:
Proceeds from subscriptions		173,748,677			152,664,978			224,859,972
Payments on redemptions		(65,726,639	)		(78,188,161	)		(56,343,625	)


Net cash provided by financing activities		108,022,038			74,476,817			168,516,347


NET (DECREASE) INCREASE IN CASH		(10,478,141	)		9,657,236			(407,905	)

CASH AND CASH EQUIVALENTS - Beginning of year		17,978,871			8,321,635			8,729,540


CASH AND CASH EQUIVALENTS - End of year	$	7,500,730		$	17,978,871		$	8,321,635


SUPPLEMENTAL DISCLOSURE OF NON-CASH TRANSACTIONS:
Non-cash subscriptions of partners’ capital	$	987,311		$	44,782		$	—


Non-cash redemptions of partners’ capital	$	886,966		$	145,127		$	—

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

F-7

MAN-AHL DIVERSIFIED I L.P.

(A Delaware Limited Partnership)

NOTES TO FINANCIAL STATEMENTS

AS OF AND FOR THE YEARS ENDED DECEMBER 31, 2011 AND 2010

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. The Partnership is a “feeder” fund in a “master-feeder” structure, whereby the Partnership invests substantially all of its assets in Man-AHL Diversified Trading Company L.P. (the “Trading Company”). Man Investments (USA) Corp. (the “General Partner”), a Delaware corporation, serves as the Partnership’s General Partner. The General Partner is a subsidiary of Man Group plc, a United Kingdom public limited company that is listed on the London Stock Exchange. The General Partner oversees the operations and management of the Partnership. The General Partner is registered with the Commodity Futures Trading Commission (“CFTC”) as a commodity pool operator and commodity trading adviser and is a member of the National Futures Association (“NFA”) in such capacities.

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

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

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

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

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

2. SIGNIFICANT ACCOUNTING POLICIES

The Partnership prepares its financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). The following is a summary of the significant accounting and reporting policies used in preparing the financial statements.

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

F-8

Investment in Man-AHL Diversified Trading Company L.P. — The Partnership’s investment in the Trading Company is valued at fair value at the Partnership’s proportionate interest in the net assets of the Trading Company. Investment transactions are recorded on a trade-date basis. The performance of the Partnership is directly affected by the performance of the Trading Company. Attached are the financial statements of the Trading Company, which are an integral part of these financial statements. Valuation of investments held by the Trading Company is discussed in the Trading Company’s notes to financial statements.

At December 31, 2011 and 2010, the Partnership owned 50,658 and 41,849 units, respectively, of the Trading Company. The Partnership’s aggregate ownership percentage of the Trading Company at December 31, 2011 and 2010 was 78.12% and 74.22%, respectively.

The Partnership is able to redeem its investment from the Trading Company on a monthly basis. As of December 31, 2011 the Partnership could redeem its investment without restriction at the month-end net asset value of the Trading Company that had been determined in accordance with Accounting Standards Codification (“ASC”) 946, “Financial Services – Investment Companies”. As a result, the Partnership categorizes its investment in the Trading Company as a Level 2 fair value measurement at December 31, 2011. The categorization of investments held by the Trading Company has been disclosed in the attached financial statements.

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

The Advisor also earns a monthly incentive fee equal to 20% of any Net New Appreciation, as defined in the Agreement, achieved by the Partnership. The incentive fee is retained by the Advisor even if subsequent losses are incurred; however, no subsequent incentive fees will be paid to the Advisor until any such trading losses are recouped by the Partnership. During the years ended December 31, 2011 and 2010, no incentive fees were paid to the Advisor.

The Partnership pays a monthly servicing fee to MII, in an amount equal to 0.1250% (1.5% annually) of the month-end Net Asset Value of Class A and Class B units. The Partnership also pays a monthly servicing fee to MII, in an amount equal to 0.1042% (1.25% annually) of the month-end Net Asset Value of Class A-Series 2 and Class B-Series 2 units. For all classes of units, MII serves as the placement agent for the Partnership.

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

As of December 31, 2011, the Trading Company utilized JPMorgan Chase (“JPM”) and Credit Suisse (“CS”) to clear its futures trading activity. As of December 31, 2011, the Trading Company utilized Royal Bank of Scotland (“RBS”) and Deutsche Bank to clear its forward trading activity.

During 2011, the Trading Company used MF Global Inc. (“MFG”), in addition to JPM and CS, to clear a portion of its futures trading and used MF Global U.K. (“MFG UK”), in addition to RBS and Deutsche Bank, for its forward trading activity. At December 31, 2011, the Trading Company had no open futures or forward contracts with either MFG or MFG UK.

On October 31, 2011, MF Global Holdings Ltd., the parent of MFG and MFG UK, filed for Chapter 11 bankruptcy protection in the U.S. courts.

F-9

The U.S. courts subsequently approved the appointment of James W. Giddens as U.S. Trustee to oversee the liquidation of MFG. The Financial Services Authority, the U.K. financial services regulator, has appointed Special Administrators to oversee the liquidation of MFG UK.

As of the date of the issuance of the financial statements, the General Partner is unable to determine the ultimate outcome, if any, of the above-mentioned bankruptcy and liquidation proceedings on the Trading Company’s financial condition or results of operations.

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

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

Net Income (Loss) Per Unit — Net income (loss) per unit of Class A, Class A-Series 2, Class B, or Class B-Series 2 partnership interest is equal to the change in net asset value per unit of the respective classes, from the beginning of the year to the end of the year. Unit amounts are rounded to whole numbers for financial statement presentation.

Income Taxes — Income taxes are not provided for by the Partnership because taxable income or loss of the Partnership is included in the income tax returns of the individual partners. Tax years 2008, 2009, 2010 and 2011 remain subject to examination by federal and state jurisdictions, including those states where investors reside or states where the Partnership is subject to other filing requirements. The Partnership has no uncertain tax positions that require recognition in the financial statements.

3. LIMITED PARTNERSHIP AGREEMENT

The General Partner and each limited partner share in the profits and losses of the Partnership in proportion to the number of units or unit equivalents 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 years ended December 31, 2011 and 2010.

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.

F-10

4. FINANCIAL GUARANTEES

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

5. FINANCIAL HIGHLIGHTS

The following represents the ratios to average partners’ capital and other supplemental information for the years ended December 31, 2011, 2010 and 2009:


	Class A			Class A			Class B			Class B			Class A			Class A			Class B			Class B			Class A			***Class A			Class B			***Class B
	2011			Series 2 2011			2011			Series 2 2011			2010			Series 2 2010			2010			Series 2 2010			2009			Series 2 2009			2009			Series 2 2009
Per unit operating performance:
Beginning net asset value	$	3,471.25		$	3,548.32		$	3,471.26		$	3,548.33		$	3,053.03		$	3,081.92		$	3,053.04		$	3,081.93		$	3,665.21		$	3,392.63		$	3,665.22		$	3,392.64

Income (loss) from investment operations:
Net investment loss		(164.25	)		(126.70	)		(163.81	)		(126.15	)		(161.77	)		(130.52	)		(161.85	)		(128.94	)		(162.93	)		(86.13	)		(163.96	)		(87.18	)
Net realized and unrealized gains (losses) on trading activities		(143.12	)		(146.68	)		(143.56	)		(147.23	)		579.99			596.92			580.07			595.34			(449.25	)		(224.58	)		(448.22	)		(223.53	)

Total (loss) income from investment operations		(307.37	)		(273.38	)		(307.37	)		(273.38	)		418.22			466.40			418.22			466.40			(612.18	)		(310.71	)		(612.18	)		(310.71	)

Ending net asset value	$	3,163.88		$	3,274.94		$	3,163.89		$	3,274.95		$	3,471.25		$	3,548.32		$	3,471.26		$	3,548.33		$	3,053.03		$	3,081.92		$	3,053.04		$	3,081.93

Ratios to average partners’ capital:¹
Expenses other than incentive fees		5.14	%		3.89	%		5.13	%		3.87	%		5.16	%		4.12	%		5.15	%		4.06	%		5.15	%		3.77	%**		5.22	%		3.80	%**

Total expenses		5.14	%		3.89	%		5.13	%		3.87	%		5.16	%		4.12	%		5.15	%		4.06	%		5.15	%		3.77	%		5.22	%		3.80	%

Net investment loss		(4.99	)%		(3.74	)%		(4.98	)%		(3.72	)%		(5.05	)%		(4.01	)%		(5.05	)%		(3.95	)%		(4.96	)%		(2.70	)%		(5.03	)%		(3.62	)%

Total return:
Total return before incentive fees		(8.85	)%		(7.70	)%		(8.85	)%		(7.70	)%		13.70	%		15.13	%		13.70	%		15.13	%		(16.70	)%		(9.16	)%		(16.70	)%		(9.16	)%

Total return after incentive fees		(8.85	)%		(7.70	)%		(8.85	)%		(7.70	)%		13.70	%		15.13	%		13.70	%		15.13	%		(16.70	)%		(9.16	)%		(16.70	)%		(9.16	)%

**	Annualized (other than incentive fee)

***	April 1, 2009 Inception Date

¹	Includes amounts allocated from the Trading Company.

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

6. SUBSEQUENT EVENTS

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

F-11

Man-AHL Diversified

Trading Company L.P.

(A Delaware Limited Partnership)

Financial Statements as of and for the

Years Ended December 31, 2011, 2010 and 2009, and

Report of Independent Registered Public Accounting Firm

F-12

LOGO

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Partners of Man-AHL Diversified Trading Company L.P.:

We have audited the accompanying statements of financial condition, including the condensed schedules of investments, of Man-AHL Diversified Trading Company L.P. (a Delaware Limited Partnership) (the “Partnership”) as of December 31, 2011 and 2010, and the related statements of operations, changes in partners’ capital, and cash flows for each of the three years in the period ended December 31, 2011. These financials are the responsibility of the Partnership’s management. Our responsibility is to express an opinion on the financial statements based on our audits.

In our opinion, such financial statements present fairly, in all material respects, the financial position of Man-AHL Diversified Trading Company L.P. as of December 31, 2011 and 2010, and the results of its operations, changes in partners’ capital and its cash flows for each of the three years in the period ended December 31, 2011, in conformity with accounting principles generally accepted in the United States of America.

LOGO

March 23, 2012


		Member of Deloitte Touche Tohmatsu Limited

F-13

MAN-AHL DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

STATEMENTS OF FINANCIAL CONDITION

AS OF DECEMBER 31, 2011 AND 2010


	2011		2010
ASSETS

Equity in futures and forwards trading accounts:
Net unrealized trading gains on open futures contracts	$	8,856,106	$	9,571,147
Net unrealized trading gains on open forward contracts		7,070,964		21,364,480
Due from brokers		43,383,249		58,686,001


Total equity in futures and forward trading accounts		59,310,319		89,621,628
Cash and cash equivalents		626,598,519		540,475,018
Interest receivable		6,972		36,230


Total	$	685,915,810	$	630,132,876


LIABILITIES AND PARTNERS’ CAPITAL

LIABILITIES:
Redemptions payable	$	10,255,239	$	14,543,323
Accrued expenses and other liabilities		150,099		177,744
Net unrealized trading losses on open futures contracts		—		689,356
Net unrealized trading losses on open forward contracts		15,056		—


Total liabilities	$	10,420,394	$	15,410,423


PARTNERS’ CAPITAL:
Limited Partners (64,850.63 and 56,391.50 units outstanding at December 31, 2011 and 2010, respectively)		675,495,416		614,722,453


Total partners’ capital		675,495,416		614,722,453


Total liabilities and partners’ capital	$	685,915,810	$	630,132,876


NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST	$	10,416.17	$	10,900.98

See notes to financial statements.

F-14

MAN-AHL DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

CONDENSED SCHEDULES OF INVESTMENTS

AS OF DECEMBER 31, 2011 AND 2010


	2011						2010
	Fair Value			Percent of Partners’ Capital			Fair Value			Percent of Partners’ Capital
FUTURES CONTRACTS - Long:
Agricultural	$	(9,238	)		—	%	$	5,626,475			0.9	%
Currencies		1,883,714			0.3			638,070			0.1
Energy		(145,821	)		—			1,699,258			0.3
Indices		276,957			—			95,256			—
Interest rates		5,067,185			0.8			1,236,385			0.2
Metals		—			—			5,808,889			0.9

Total futures contracts - long		7,072,797			1.1			15,104,333			2.4

FUTURES CONTRACTS - Short:
Agricultural		(17,797	)		—			(932,741	)		(0.2	)
Currencies		4,693			—			(379,596	)		(0.1	)
Energy		800,349			0.1			(2,084,102	)		(0.3	)
Indices		77,734			—			11,028			—
Interest rates		(429,209	)		(0.1	)		(1,523,235	)		(0.2	)
Metals		1,347,539			0.2			(1,313,896	)		(0.2	)

Total futures contracts - short		1,783,309			0.2			(6,222,542	)		(1.0	)

NET UNREALIZED TRADING GAINS ON OPEN FUTURES CONTRACTS	$	8,856,106			1.3	%	$	8,881,791			1.4	%

FORWARD CONTRACTS - Long:
Australian dollars	$	4,333,252			0.6	%	$	10,399,197			1.7	%
British pounds		38,528			—			(2,320,050	)		(0.4	)
Euro		(2,378,089	)		(0.4	)		(2,149,012	)		(0.3	)
Gold bullion		(1,534,878	)		(0.2	)		696,099			0.1
Japanese yen		609,000			0.1			5,081,396			0.8
New Zealand dollars		114,298			—			—			—
Other		(2,874,634	)		(0.4	)		19,196,259			3.1

Total forward contracts - long		(1,692,523	)		(0.3	)		30,903,889			5.0

FORWARD CONTRACTS - Short:
Australian dollars		(635,111	)		(0.1	)		(6,271,270	)		(1.0	)
British pounds		68,189			—			4,960,113			0.8
Euro		7,415,182			1.1			7,075,561			1.2
Gold bullion		772,866			0.1			—			—
Japanese yen		(472,895	)		—			(4,104,581	)		(0.7	)
New Zealand dollars		(1,421,821	)		(0.2	)		(722,218	)		(0.1	)
Other		3,022,021			0.5			(10,477,014	)		(1.7	)

Total forward contracts - short		8,748,431			1.4			(9,539,409	)		(1.5	)

NET UNREALIZED TRADING GAINS ON OPEN FORWARD CONTRACTS	$	7,055,908			1.1	%	$	21,364,480			3.5	%

NET UNREALIZED TRADING GAINS ON OPEN CONTRACTS	$	15,912,014			2.4	%	$	30,246,271			4.9	%

See notes to financial statements.

F-15

MAN-AHL DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

STATEMENTS OF OPERATIONS

FOR THE YEARS ENDED DECEMBER 31, 2011, 2010 and 2009


	2011			2010			2009
NET INVESTMENT INCOME:
Interest income	$	994,502		$	583,771		$	999,293


EXPENSES
Brokerage commissions		1,426,033			2,312,011			—
Interest expense - brokers		730,428			—			—
Administration fees		10,000			—			—
Professional fees		206,500			—			—
Other expenses		9,856			177,744			—


Total expenses		2,382,817			2,489,755			—


Net investment (loss) income		(1,388,315	)		(1,905,984	)		999,293


NET REALIZED AND UNREALIZED (LOSSES) GAINS ON TRADING ACTIVITIES:
Net realized trading (losses) gains on closed contracts		(13,590,165	)		71,805,742			(54,287,511	)
Net change in unrealized (losses) gains on translation of foreign currency		(169,353	)		—			—
Net change in unrealized trading (losses) gains on open contracts		(14,334,257	)		30,637,452			(17,806,092	)


Net (loss) gain on trading activities		(28,093,775	)		102,443,194			(72,093,603	)


NET (LOSS) INCOME	$	(29,482,090	)	$	100,537,210		$	(71,094,310	)


NET (LOSS) INCOME PER UNIT OF PARTNERSHIP INTEREST	$	(484.81	)	$	1,745.96		$	(1,301.99	)

See notes to financial statements.

F-16

MAN-AHL DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL

FOR THE YEARS ENDED DECEMBER 31, 2011, 2010 AND 2009


	Limited Partners			General Partner		Total

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

Issuance of 19,663 units of limited partnership interest		209,049,418			—		209,049,418
Redemption of 11,204 units of limited partnership interest		(118,794,365	)		—		(118,794,365	)
Net loss		(29,482,090	)		—		(29,482,090	)


PARTNERS’ CAPITAL - December 31, 2011	$	675,495,416		$	—	$	675,495,416


PARTNERS’ CAPITAL - January 1, 2010	$	491,274,980		$	—	$	491,274,980

Issuance of 15,851 units of limited partnership interest		151,020,912			—		151,020,912
Redemption of 13,121 units of limited partnership interest		(128,110,649	)		—		(128,110,649	)
Net income		100,537,210			—		100,537,210


PARTNERS’ CAPITAL - December 31, 2010	$	614,722,453		$	—	$	614,722,453


PARTNERS’ CAPITAL - January 1, 2009	$	503,016,088		$	—	$	503,016,088

Issuance of 29,577 units of limited partnership interest		285,815,871			—		285,815,871
Redemption of 23,958 units of limited partnership interest		(226,462,669	)		—		(226,462,669	)
Net loss		(71,094,310	)		—		(71,094,310	)


PARTNERS’ CAPITAL - December 31, 2009	$	491,274,980		$	—	$	491,274,980

See notes to financial statements.

F-17

MAN-AHL DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

STATEMENTS OF CASH FLOWS

FOR THE YEARS ENDED DECEMBER 31, 2011, 2010 AND 2009


	2011			2010			2009
CASH FLOWS FROM OPERATING
ACTIVITIES:
Net (loss) income	$	(29,482,090	)	$	100,537,210		$	(71,094,310	)
Adjustments to reconcile net (loss) income to net cash provided by operating activities:
Net change in unrealized trading losses (gains) on open contracts		14,334,257			(30,637,452	)		17,806,092
Changes in assets and liabilities:
Due from brokers		15,302,752			21,848,232			(54,833,511	)
Interest receivable		29,258			(19,480	)		73,741
Accrued expenses and other liabilities		(27,645	)		177,744			—

Net cash provided by operating activities		156,532			91,906,254			(108,047,988	)

CASH FLOWS FROM FINANCING ACTIVITIES:
Proceeds from subscriptions		209,049,418			151,020,912			285,815,871
Payments on redemptions		(123,082,449	)		(199,555,691	)		(165,257,971	)

Net cash provided by (used in) financing activities		85,966,969			(48,534,779	)		120,557,900

NET INCREASE IN CASH AND CASH EQUIVALENTS		86,123,501			43,371,475			12,509,912
CASH AND CASH EQUIVALENTS - Beginning of period		540,475,018			497,103,543			484,593,631

CASH AND CASH EQUIVALENTS - End of period	$	626,598,519		$	540,475,018		$	497,103,543

See notes to financial statements.

F-18

MAN-AHL DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

NOTES TO FINANCIAL STATEMENTS

AS OF AND FOR THE YEARS ENDED DECEMBER 31, 2011 AND 2010

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. Man Investments (USA) Corp. (the “General Partner”), a Delaware corporation, serves as the Trading Company’s general partner. The General Partner is a registered investment adviser and is a subsidiary of Man Group plc, a United Kingdom public limited company that is listed on the London Stock Exchange. The General Partner oversees the operations and management of the Trading Company. The General Partner is registered with the Commodity Futures Trading Commission (“CFTC”) as a commodity pool operator and commodity trading adviser and is a member of the National Futures Association (“NFA”) in such capacities.

The Trading Company was formed to serve as a trading vehicle for certain limited partnerships sponsored by the General Partner in a “master-feeder” structure. The limited partners, Man-AHL Diversified I L.P., Man-AHL Diversified II L.P., and Man-AHL Diversified L.P., are limited partnerships whose general partner is the General Partner. Man-AHL Diversified L.P. fully redeemed from the Trading Company as of December 31, 2009 and transferred a portion of the assets to Man-AHL Diversified I L.P. on January 1, 2010.

Man-AHL (USA) Limited (the “Advisor”), a limited liability company incorporated in the United Kingdom, acts as trading advisor to the Trading Company. The Advisor is an affiliate of the General Partner and a subsidiary of Man Group plc. The Advisor is registered with the CFTC as a commodity pool operator and commodity trading adviser and is a member of the NFA in such capacities, in addition to registration with the Financial Services Authority in the United Kingdom. On April 21, 2008, the Trading Company engaged Man Investments Limited, a company organized under the Laws of the United Kingdom, to manage the foreign currency forward component of the AHL Diversified Program, at no additional cost to the Trading Company. The personnel of Man Investments Limited responsible for implementing the foreign currency forwards trading component of the AHL Diversified Program on behalf of the Trading Company are the same as those of the Advisor who implement the AHL Diversified Program.

2. SIGNIFICANT ACCOUNTING POLICIES

The Trading Company prepares its financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). The following is a summary of the significant accounting and reporting policies used in preparing the financial statements.

Due From Brokers — Due from brokers consists of balances due from Credit Suisse (“CS”), JPMorgan Chase (“JPM”), Royal Bank of Scotland (“RBS”) and Deutsche Bank. In general, the brokers pay the Trading Company interest monthly, based on agreed upon rates, on the Trading Company’s average daily balance.

Amounts due from brokers include cash held at brokers and cash posted as collateral. Included in due from broker on the statements of financial condition is $33,092,972 and $11,382,084 of cash restricted as collateral held as of December 31, 2011 and 2010, respectively.

F-19

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

Prior to July 1, 2010, expenses incurred by the Trading Company were not reflected in the financial reporting of the Trading Company but were allocated pro-rata among the investors in the Trading Company and reflected directly in the financial reporting of the limited partners. These expenses included, but were not limited to, all costs relating to trading activity, such as brokerage commissions, management and incentive fees, continuing offering expenses and legal, audit, and tax return preparation fees. Effective July 1, 2010, expenses incurred by the Trading Company were reflected in the financial reporting of the Trading Company. As these amounts had previously been recovered through investor redemptions, there was no impact on partners’ capital as of December 31, 2010 as a result of the change.

Derivative Contracts — In the normal course of business, the Trading Company enters into derivative contracts (“derivatives”) for trading purposes. Derivatives traded by the Trading Company include futures contracts and forward contracts. The Trading Company records derivatives at fair value. Futures contracts, which are traded on a national exchange, are valued at the close price as of the valuation day, or if no sale occurred on such day, at the close price on the most recent date on which a sale occurred. Forward contracts, which are not traded on a national exchange, are valued at fair value using current market quotations provided by brokers.

Realized and unrealized changes in fair values are included in realized and unrealized gains and losses on investments and foreign currency transactions in the statements of operations. All trading activities are accounted for on a trade-date basis.

Income Taxes — Income taxes are not provided for by the Trading Company because taxable income or loss of the Trading Company is includable in the income tax returns of the partners. Tax years 2008, 2009, 2010 and 2011 remain subject to examination by federal and state jurisdictions, including those states where investors reside or states where the Trading Company is subject to other filing requirements. The Trading Company has no uncertain tax positions that require recognition in the financial statements.

Net Income (Loss) Per Unit — Net income (loss) per unit of partnership interest is equal to the change in net asset value per unit from the beginning of the year to the end of the year. Unit amounts are rounded to whole numbers for financial statement presentation.

3. PARTNERSHIP AGREEMENT

The Advisor is the sole trading advisor to the Trading Company.

The General Partner and limited partners share in the profits and losses of the Trading Company in proportion to the number of units or unit equivalents held by each partner. However, no limited partner is liable for obligations of the Trading Company in excess of its capital contribution and net profits or losses, if any. The General Partner owned no direct interest in the Trading Company during the years ended December 31, 2011 and 2010.

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

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

F-20

4. FAIR VALUE MEASUREMENTS

The Trading Company segregates its investments into three levels based upon the inputs used to derive the fair value. “Level 1” investments use inputs from unadjusted quoted prices from active markets. “Level 2” investments reflect inputs other than quoted prices, but use observable market data. “Level 3” investments are valued using unobservable inputs. These unobservable inputs for “Level 3” investments reflect the Trading Company’s assumption about the assumptions market participants would use in pricing the investments. Futures contracts are valued based on quoted prices from the exchange and are categorized as Level 1 investments in the fair value hierarchy. Forward contracts are valued at fair value using independent pricing services, which are using market observable inputs in their valuations, and are categorized as Level 2 investments in the fair value hierarchy. As of December 31, 2011 and 2010, the Trading Company did not have any positions categorized as “Level 3” investments in the fair value hierarchy.


				Fair Value Measurements
Description	Fair Value as of December 31, 2011			Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Other Unobservable Inputs (Level 3)
Net unrealized trading gains on open futures contracts	$	8,856,106		$	8,856,106		$	—		$	—
Net unrealized trading gains on open forward contracts		7,070,964			—			7,070,964			—
Net unrealized trading losses on open forward contracts		(15,056	)		—			(15,056	)		—

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


				Fair Value Measurements
Description	Fair Value as of December 31, 2010			Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Other Unobservable Inputs (Level 3)
Net unrealized trading gains on open futures contracts	$	9,571,147		$	9,571,147		$	—		$	—
Net unrealized trading losses on open futures contracts		(689,356	)		(689,356	)		—			—
Net unrealized trading gains on open forwards contracts		21,364,480			—			21,364,480			—

Total	$	30,246,271		$	8,881,791		$	21,364,480		$	—

The Trading Company’s policy is to disclose significant transfers between fair value hierarchy levels based on valuations at the end of each reporting period. There were no significant transfers between Level 1, 2 or 3 as of December 31, 2011 based on levels assigned at December 31, 2010.

Recent Accounting Pronouncements — In May 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards (“IFRS”)” (“ASU 2011-04”). ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRS. ASU 2011-04 will require reporting entities to disclose quantitative information about the unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Levels 1 and 2 of the fair value hierarchy. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. Management is currently evaluating the implications of ASU 2011-04 and its impact on the financial statements has not yet been determined.

F-21

5. DERIVATIVE FINANCIAL INSTRUMENTS AND CONCENTRATIONS OF CREDIT RISK

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

All the strategies and systems of the AHL Diversified Program are designed to target defined volatility levels rather than returns, and the investment process is underpinned by computer-supported analytical instruments and disciplined real-time risk and management information systems. A proprietary risk measurement method similar to the industry standard “value-at-risk” helps ensure that the rule-based decisions that drive the investment process remain within predefined risk parameters. Margin-to-equity ratios are monitored daily, and the level of exposure in each market is quantifiable at any time and is adjusted in accordance with market volatility. Market correlation is closely monitored to prevent over-concentration of risk and ensure optimal portfolio weightings. Market liquidity is examined with the objective of ensuring that the Trading Company will be able to initiate and close out trades as indicated by AHL Diversified Program’s systems at market prices, while brokerage selection and trade execution are continually monitored with the objective of ensuring quality market access.

As of December 31, 2011, the Trading Company utilized JPM and CS to clear its futures trading activity. As of December 31, 2011, the portion of net unrealized gains (losses) attributed to JPM and CS was $2,971,053, and $5,885,053 respectively.

As of December 31, 2011, the Trading Company utilized RBS and Deutsche Bank to clear its forward trading activity. As of December 31, 2011, the portion of net unrealized gains (losses) attributed to RBS and Deutsche Bank was $7,070,964 and $(15,056), respectively.

On October 31, 2011, MF Global Holdings Ltd., the parent of MFG and MFG UK, filed for Chapter 11 bankruptcy protection in the U.S. courts.

During the year ended December 31, 2011, the Trading Company traded 512,338 exchange-traded future contracts and settled 387,346 OTC forward contracts. During the year ended December 31, 2010, the Trading Company traded 479,452 exchange-traded future contracts and settled 228,228 OTC forward contracts.

F-22

The Trading Company trades derivative financial instruments that involve varying degrees of market and credit risk. Market risks may arise from unfavorable changes in interest rates, foreign exchange rates, or the fair values of the instruments underlying the contracts. All contracts are stated at fair value, and changes in those values are reflected in the net change in unrealized trading gains (losses) on open contracts in the statements of operations.

Credit risk arises from the potential inability of counterparties to perform in accordance with the terms of the contract. The credit risk from counterparty non-performance associated with these instruments is the net unrealized trading gain, if any, included in the statements of financial condition. Forward contracts are entered into on an arm’s-length basis with RBS and Deutsche Bank. As required by the Derivative Instruments and Hedging Topic of the FASB Accounting Standards Codification, the Trading Company’s accounting policy is such that open contracts with the same counterparty are netted at the account level, in accordance with master netting arrangements in place with each party, as applicable. Netting is effective across products and cash collateral when so specified in the applicable netting agreement. At December 31, 2011 and 2010, estimated credit risk with regard to forward contracts was $7,070,964 and $21,364,480, respectively.

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

The following table presents the fair value of the Trading Company’s derivative instruments and statement of financial condition location.

Primary Risk Exposure



	December 31, 2011
	Asset Derivatives			Liability Derivatives
	Statement of Financial Condition	Fair Value		Statement of Financial Condition	Fair Value
Open forward contracts	Gross unrealized trading gains on open forward contracts			Gross unrealized trading losses on open forward contracts
Currencies		$	17,575,317		$	(10,543,212	)
Metals			1,605,217			(1,581,414	)

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

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

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

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

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	December 31, 2010
	Asset Derivatives			Liability Derivatives
	Statement of Financial Condition	Fair Value		Statement of Financial Condition	Fair Value
Open forward contracts	Gross unrealized trading gains on open forward contracts	$	62,605,106	Gross unrealized trading losses on open forward contracts	$	(41,240,626	)
Open futures contracts	Gross unrealized trading gains on open futures contracts		17,407,051	Gross unrealized trading losses on open futures contracts		(8,525,260	)

Total Derivatives		$	80,012,157		$	(49,765,886	)

The following table presents the impact of derivative instruments on the statements of operations. The Trading Company did not designate any derivatives as hedging instruments for the years ended December 31, 2011, 2010 and 2009.


	For the year ended December 31,
	2011			2010		2009
Location of loss or gain recognized in income on derivatives	Gain (Loss) on derivatives			Gain on derivatives		Loss on derivatives
Forward contracts
Currencies	$	(21,390,177	)		—		—
Metals		6,646,453			—		—

Net realized trading (losses) gains on closed contracts		(14,743,724	)	$	32,402,097		(14,195,777	)

Currencies		(13,176,174	)		—		—
Metals		(1,132,398	)		—		—

Net change in unrealized trading (losses) gains on open contracts		(14,308,572	)		29,298,223		(9,461,635	)

Futures contracts
Agricultural		(1,417,632	)		—		—
Currencies		14,359,327			—		—
Energy		(24,680,616	)		—		—
Indices		(40,493,687	)		—		—
Interest rates		51,973,250			—		—
Metals		(314,100	)		—		—

Net realized trading (losses) gains on closed contracts		(573,458	)		39,403,645		(40,091,734	)

Agricultural		(4,720,769	)		—		—
Currencies		1,629,933			—		—
Energy		1,039,372			—		—
Indices		248,407			—		—
Interest rates		4,924,826			—		—
Metals		(3,147,454	)		—		—

Net change in unrealized trading (losses) gains on open contracts		(25,685	)		1,339,229		(8,344,457	)

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 supplemental information for the years ended December 31, 2011, 2010 and 2009:


	2011			2010			2009
Per unit operating performance:
Beginning net asset value	$	10,900.98		$	9,155.02		$	10,457.01
Income (loss) from investment operations:
Net investment (loss) income		(22.18	)		(33.83	)		18.26
Net realized and unrealized (losses) gains on trading activities and translation of foreign currency		(462.63	)		1,779.79			(1,320.25	)

Total income (loss) from investment operations		(484.81	)		1,745.96			(1,301.99	)

Ending net asset value	$	10,416.17		$	10,900.98		$	9,155.02

Ratios to average partners’ capital:
Expenses		0.36	%		0.45	%		—	%

Net investment loss		(0.21	)%		(0.34	)%		0.19	%

Total return:		(4.45	)%		19.07	%		(12.45	)%

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

8. SUBSEQUENT EVENTS

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

* * * * * *

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Attached files

MAN AHL DIVERSIFIED I LP Reports

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