MAN AHL DIVERSIFIED I LP - FORM 10-K

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EX-32.2 - EX-32.2 - MAN AHL DIVERSIFIED I LP	d874653dex322.htm
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EX-31.1 - EX-31.1 - MAN AHL DIVERSIFIED I LP	d874653dex311.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, 2014

¨	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.
452 5^th Avenue 27^th Floor
New York, NY		10018
(Address of principal executive offices)		(Zip Code)

Registrant’s telephone number, including area code: (212) 649-6600

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. x

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, 2014 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”). AHL Partners LLP (the “Trading Advisor”), a United Kingdom limited liability partnership, 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 (the “CEA”), 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, as amended, (the “Exchange Act”) 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 only be purchased, transferred, held and redeemed in a minimum amount of $10,000. There is no minimum amount requirement to purchase, transfer, hold and redeem Class A Units. 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 Exchange Act, 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 Man-AHL (USA) Limited to serve as the trading advisor to the Partnership commencing as of April 1, 2005. Following the appointments of the General Partner as a general partner and Man-AHL (USA) Limited 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. On June 1, 2014, the General Partner appointed the Trading Advisor as trading advisor of the Partnership, and Man-AHL (USA) Limited resigned as trading advisor. The Trading Advisor implements the same trading program and employs substantively the same personnel as did Man-AHL (USA) Limited. 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: HSBC Tower, 452 5^th Ave., 27^th Floor, New York, NY; telephone (212) 649-6600.

(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 contracts, spot and forward contracts, swaps and options and other related instruments, 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 (sometimes hereinafter referred to as ‘futures’), spot and forward contracts, swaps and options on the foregoing, exchanges of futures for physical transactions and other investments on domestic and international exchanges and markets (including the interbank and over-the-counter (“OTC”) 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 2,000 price samples each day spread across the 240 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, 0.0833% of the month-end Net Asset Value of such Units (approximately 1% annually), and in respect of Class A-2 Units and Class B-2 Units, 0.0625% of the month-end Net Asset Value of such Units (approximately 0.75% 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 a number of brokers in the performance of its trading activities. Credit Suisse, Sydney Branch, Credit Suisse Securities (USA), J.P. Morgan Securities LLC and Bank of America Merrill Lynch, serve as the Trading Company’s futures brokers; the Royal Bank of Scotland, JPMorgan Chase Bank, N.A. and Deutsche Bank AG, London Branch serve as the Trading Company’s foreign exchange prime brokers; J.P. Morgan Chase Bank, N.A., Credit Suisse Securities (USA) and Credit Suisse International act as the clearing brokers for credit default swap index transactions engaged in by the Trading Company; and the Royal Bank of Scotland acts as the clearing broker for certain interest rate swap transactions (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 (“U.S.”) 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. (Chicago, Illinois), 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 (the “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 Brokers.

Regulation

Under 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 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.

The CFTC adopted a separate position limits rule for 28 so-called “exempt” (i.e. metals and energy) and agricultural futures and options contracts and their economically equivalent swap contracts. Limits in spot months were generally to be set at 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. Although substantial portions of this rule were vacated by court action, the CFTC, in November 2013, proposed substantially similar rules to its prior position limits regime. It is as yet unclear whether 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 traded by the Trading Company are not currently subject to regulation by any U.S. government agency.

Item 1A. Risk Factors.

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

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

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

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

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

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

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

Trading in OTC derivative instruments is conducted with individual counterparties rather than on organized exchanges. There have been periods during which forward 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 Trading Advisor and its principals will be combined for the purposes of speculative position limits. Such limits could adversely affect the profitability of the Trading Company and, consequently, of the Partnership. For example, the Trading Advisor could be required to liquidate futures positions at an unfavorable time in order to comply with such limits. However, the Trading Advisor does not believe that existing speculative position limits will materially adversely affect its ability to manage the Trading Company’s account.

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

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

•

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

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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.

Model and Data Risk. The Trading Advisor relies heavily on quantitative models (both proprietary models developed by the Trading Advisor (or affiliates), and those supplied by third parties, collectively “Models”) and information and data both developed by the Trading Advisor and those supplied by third parties (collectively, “Data”) rather than granting trade-by-trade discretion to the Trading Advisor’s investment professionals. Models and Data are used to construct sets of transactions and investments, to value investments or potential investments (including, without limitation, for trading purposes and for purposes of determining the Net Asset Value of the Partnership), to provide risk management insights and to assist in hedging the Partnership’s investments. Models and Data are known to have errors, omissions, imperfections and malfunctions (collectively, “System Events”). System Events in third-party Models are generally entirely outside of the control of the Trading Advisor.

The Trading Advisor seeks to reduce the incidence and impact of System Events through a certain degree of internal testing and real-time monitoring, and the use of independent safeguards in the overall portfolio management system and often, with respect to proprietary models, in the software code itself. Despite such testing, monitoring and independent safeguards, System Events will result in, among other things, the execution of unanticipated trades, the failure to execute anticipated trades, delays to the execution of anticipated trades, the failure to properly allocate trades, the failure to properly gather and organize available data, the failure to take certain hedging or risk reducing actions and/or the taking of actions which increase certain risk(s) — all of which may have materially negative effects on the Partnership and/or its returns.

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

Where incorrect or incomplete Data is available, the Trading Advisor may, and often will, continue to generate forecasts and make trading decisions based on the Data available to it. Additionally, the Trading Advisor may determine that certain available Data, while potentially useful in generating forecasts and/or making trade

decisions, is not cost effective to gather due to either the technology costs or third-party vendor costs and, in such cases, the Trading Advisor will not utilize such Data. Limited Partners should be aware that there is no guarantee that any specific Data or type of Data will be utilized in generating forecasts or making trading decisions with respect to the Models, nor is there any guarantee that the Data actually utilized in generating forecasts or making trading decisions underlying the Models will be (i) the most accurate data available or (ii) free of errors. Limited Partners should assume that the Data set used in connection with the Models is limited and should understand that the foregoing risks associated with gathering, cleaning, culling and analysis of large amounts of Data are an inherent part of investing with a process-driven, systematic adviser such as the Trading Advisor.

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

Errors in Models and Data are often extremely difficult to detect, and, in the case of proprietary models and third-party models, the difficulty of detecting System Events may be exacerbated by the lack of design documents or specifications. Regardless of how difficult their detection appears in retrospect, some System Events will go undetected for long periods of time and some will never be detected. The degradation or impact caused by these System Events can compound over time. Finally, the Trading Advisor will detect certain System Events that it chooses, in its sole discretion, not to address or fix, and the third party software will lead to System Events known to the Trading Advisor that it chooses, in its sole discretion, not to address or fix. The Trading Advisor believes that the testing and monitoring performed on its models and third party models will enable the Trading Advisor to identify and address those System Events that a prudent person managing a process-driven, systematic and computerized investment program would identify and address by correcting the underlying issue(s) giving rise to the System Events or limiting the use of proprietary and third party models, generally or in a particular application. Limited Partners should assume that System Events and their ensuing risks and impact are an inherent part of investing with a process-driven, systematic advisor such as the Trading Advisor. Accordingly, the Trading Advisor does not expect to disclose discovered System Events to the Partnership or to Limited Partners.

The Partnership will bear the risks associated with the reliance on Models and Data including that the Partnership will bear all losses related to System Events unless otherwise determined by the Trading Advisor in accordance with its internal policies or as may be required by applicable law.

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

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

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

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

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

Enhanced Regulation of the OTC Derivatives Markets. The European Market Infrastructure Regulation (“EMIR”) seeks comprehensively to regulate the OTC derivatives market in Europe for the first time including, in particular, imposing mandatory central clearing, trade reporting and, for non-centrally cleared trades, risk management obligations on counterparties. Similarly, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Reform Act”), enacted in July 2010, includes provisions that substantially increase the regulation of the OTC derivatives markets for the first time. The Reform Act requires that a substantial portion of OTC derivatives must be executed in regulated markets and submitted for clearing to regulated clearinghouses. For example, certain interest rate swaps, including certain forwards defined as swaps by the CFTC, and credit default index swaps are required by the CFTC to be submitted for clearing if traded by U.S. persons. These OTC trades submitted for clearing will be subject to minimum initial and variation margin requirements set by the relevant clearinghouse, as well as possible CFTC-mandated margin requirements. OTC derivative dealers are required to post margin to the clearinghouses through which they clear their customers’ trades instead of using such margin in their operations, as they are allowed to do for uncleared OTC trades. This will further increase the dealers’ costs, which costs may be passed through to other market participants in the form of higher fees and less favorable dealer marks. Although the Reform Act includes limited exemptions from the clearing and margin requirements for so-called “end-users”, the Partnership may not be able to rely on such exemptions. In addition, the OTC derivative dealers with which the Partnership executes the majority of its OTC derivatives will not be able to rely on the end-user exemptions under the Reform Act and therefore such dealers will be subject to clearing and margin requirements notwithstanding whether the Partnership is subject to such requirements. Taken together, these regulatory developments will increase the OTC derivative dealers’ costs, and these increased costs are expected to be passed through to other market participants in the form of higher upfront and mark-to-market margin, less favorable trade pricing, and possible new or increased fees.

The SEC or the CFTC may also require a substantial portion of derivatives transactions that are currently executed on a bilateral basis in the OTC markets to be executed through a regulated securities, futures, or swap exchange or execution facility. Certain CFTC-regulated derivatives trades are currently subject to these rules, although it is not yet clear when the parallel SEC requirements will go into effect. If the Trading Company decides to become a direct member of one or more of these exchanges or execution facilities, the Trading Company would be subject to all of the rules of the exchange or execution facility, which would bring additional risks and liabilities, and potential additional regulatory requirements. Similarly, under EMIR, European regulators may require a substantial proportion of such derivatives transactions to be brought on exchange and/or

centrally cleared. Such requirements may make it more difficult and costly for investment funds, including the Partnership and/or the Trading Company, to enter into highly tailored or customized transactions. They may also render certain strategies in which the Partnership might otherwise engage impossible or so costly that they will no longer be economical to implement. They may also increase the overall costs for OTC derivative dealers, which are likely to be passed along, at least partially, to market participants in the form of higher fees or less advantageous dealer marks. The overall impact of EMIR and the Reform Act on the Partnership is highly uncertain and it is unclear how the OTC derivatives markets will adapt to these new regulatory regimes.

The “Volcker Rule” component of the Reform Act materially restricts proprietary speculative trading by banks, “bank holding companies” and other regulated entities. As a result, there has been a significant influx of new portfolio managers into private investment funds who had previously traded institutional proprietary accounts. Such influx can only increase the competition for the Partnership from other talented portfolio managers trading in the Partnership’s investment sector.

Exchanges for Physicals/Swaps/Risk. While not a regular practice for the Trading Company, it may in rare instances engage in transactions known as exchanges for physicals (“EFP”), exchanges for swaps (“EFS”), or exchanges for risk/OTC derivatives (“EFR”). An EFP/EFS/EFR is a purchase or sale of a spot commodity/swap/derivative, as applicable, in conjunction with an offsetting sale or purchase of a corresponding futures contract involving the same or equivalent underlying commodity or instrument, without making an open and competitive trade for the futures contract on the exchange. EFPs, EFSs and EFRs are a permitted exception to the general requirement of the 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 Trading Advisor may trade options on futures contracts. Options are speculative in nature and are highly leveraged. The purchaser of an option risks losing the entire purchase price of the option. The seller (writer) of an option risks losing the difference between the premium received for the option and the price of the underlying futures contract that the writer must purchase upon exercise of the option. Additionally, the seller and writer of the options lose any commissions and fees associated with such transactions. This could subject the writer to unlimited risk in the event of an increase in the price of the contract to be purchased or delivered. Successful trading of options on futures contracts requires a trader to accurately determine near-term market volatility because it often has an immediate impact on the price of outstanding options. Accurate determination of near-term volatility is more important to successful options trading than it is to long-term futures contract trading strategies because such volatility generally does not have as significant an effect on the prices of futures contracts.

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

•

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

•

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

•

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

•

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

•

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

•

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

Institutional Risks. Institutions, such as the 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 Trading 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, particularly uncleared swap and currency forward transactions, whether due to insolvency, bankruptcy or other causes, which could subject the Partnership to substantial losses. In an effort to mitigate such risks, the General Partner and Trading Advisor will attempt to limit transactions to counterparties, which are established, well-capitalized and creditworthy.

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

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, 2014, there were 797 holders of Class A Units, 55 holders of Class A-2 Units, 743 holders of Class B Units and 2 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, 2014, November 30, 2014 and December 31, 2014, the Partnership sold Class A Units to existing and new Limited Partners in the amount of $150,000, $141,750 and $441,000, respectively; Class A-2 Units to existing and new Limited Partners in the amount of $0, $0 and $0, respectively; Class B Units to existing and new Limited Partners in the amount of $143,370, $538,165 and $160,000, respectively; and Class B-2 Units to existing and new Limited Partners in the amount of $0, $0 and $0, respectively. There were no underwriting discounts or commissions in connection with the sales of the Units described above.

(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, 2014:


	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, 2014	$	1,242,984	$	278,187	$	123,176	$	0
November 30, 2014	$	801,525	$	109,567	$	430,830	$	0
December 31, 2014	$	1,792,261	$	161,712	$	288,079	$	0

TOTAL	$	3,836,770	$	549,466	$	842,085	$	0

Item 6. Selected Financial Data

The following is a summary of operations for the fiscal years 2014, 2013, 2012, 2011 and 2010 and total assets of the Partnership at December 31, 2014, 2013, 2012, 2011 and 2010.


	For the Year Ended December 31, 2014		For the Year Ended December 31, 2013			For the Year Ended December 31, 2012			For the Year Ended December 31, 2011			For the Year Ended December 31, 2010
Revenue:*
Total net realized and unrealized gains (losses)	$	56,337,563	$	(2,597,841	)	$	(21,610,160	)	$	(21,507,936	)	$	74,894,325
Interest income		212,816		302,588			278,092			765,963			423,755
Expenses:**
Incentive fees		—		—			—			—			—
Management fees		5,460,196		8,870,728			13,728,950			14,924,300			11,764,805
Servicing fees		1,918,407		4,507,344			7,001,823			7,631,473			6,045,761
Brokerage commissions		692,601		871,611			806,256			1,094,952			1,680,903
Administrative expenses		1,048,539		1,355,102			1,414,732			1,849,873			532,150
Net income (loss)	$	47,430,636	$	(17,900,038	)	$	(44,283,829	)	$	(46,242,571	)	$	55,294,461
Total assets	$	206,033,379	$	215,260,121		$	402,082,851		$	544,465,499		$	482,619,755
Total Partnership capital	$	202,024,664	$	202,881,618		$	379,350,987		$	527,665,863		$	456,218,363
Net Asset Value per outstanding unit — Class A	$	3,506.22	$	2,707.82		$	2,884.47		$	3,163.88		$	3,471.25
Net Asset Value per outstanding unit — Class A — Series 2	$	3,768.41	$	2,874.06		$	3,023.40		$	3,274.94		$	3,548.32
Net Asset Value per outstanding unit — Class B	$	3,506.23	$	2,707.83		$	2,884.48		$	3,163.89		$	3,471.26
Net Asset Value per outstanding unit — Class B — Series 2	$	3,768.48	$	2,874.09		$	3,023.42		$	3,274.95		$	3,548.33
Increase (decrease) in Net Asset Value per Class A unit^	$	741.76	$	(180.42	)	$	(279.41	)	$	(307.37	)	$	418.22
Increase (decrease) in Net Asset Value per Class A — Series 2^	$	852.88	$	(67.35	)	$	(251.54	)	$	(273.38	)	$	466.40
Increase (decrease) in Net Asset Value per Class B unit^	$	744.55	$	(195.30	)	$	(279.41	)	$	(307.37	)	$	418.22
Increase (decrease) in Net Asset Value per Class B — Series 2^	$	720.96	$	598.97		$	(251.53	)	$	(273.38	)	$	466.40

*	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.

^	Based on weighted average units outstanding during the year. Prior to 2013, based on change in net asset value per unit from the beginning of year to the end of the year.

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 the JPMorgan Chase Bank, 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 OTC contract positions and are withdrawn, as necessary, to pay redemptions (to the Partnership and other investors in the Trading Company). Other than potential market-imposed limitations on liquidity, due, for example, to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Trading Company’s futures trading, the Trading Company’s assets are highly liquid and are expected to remain so.

During its operations through December 31, 2014, the Partnership experienced no meaningful periods of illiquidity in any of the numerous markets in which it trades.

Critical Accounting Policies

The Partnership records its transactions in futures contracts, forward contracts and other derivatives, 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, 2014 fiscal year-end.

Allocations by Market Sector

The following table indicates the percentage of the Partnership’s assets allocated to initial margin for the Partnership’s open trading positions by market sector as of December 31, 2014. The Partnership’s capitalization was $202,024,664 as of December 31, 2014. Also see Item 7A, “Quantitative and Qualitative Disclosures About Market Risk,” below.


Fiscal Year 2014
Market Sector	Margin Allocation as of December 31st		% of Capitalization as of December 31st
Agriculturals	$	2,598,110		1.29	%
Bonds	$	5,917,961		2.93	%
Credit	$	2,705,691		1.34	%
Currencies	$	4,860,162		2.41	%
Energy	$	3,535,898		1.75	%
Interest rates	$	6,826,426		3.38	%
Metals	$	1,888,168		0.93	%
Stock indices	$	6,653,711		3.29	%
Total	$	34,986,127		17.32	%

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 depends 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. 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.


	2014		2013
	31-Dec -14		31-Dec -13
Ending Equity	$	202,024,664	$	202,881,618

Net assets decreased $856,954 for the year ended December 31, 2014. This decrease was attributable to subscriptions in the amount of $3,190,548, redemptions in the amount of $51,478,138 and net income from operations of $47,430,636.

For the year ended December 31, 2014, the Partnership accrued or paid total expenses of $8,169,377, including $1,918,407 in servicing fees, $5,883,411 in General Partner administrative fees and Trading Advisor management fees, and $367,559 in other expenses. Interest of $212,816 was earned or accrued on the Partnership’s cash and cash equivalent investments.

The Net Asset Value of a Class A-1 Unit increased by $798.40 to $3,506.22. The Net Asset Value of a Class B-1 Unit increased by $798.40 to $3,506.23. The Net Asset Value of a Class A-2 Unit increased by $894.35 to $3,768.41. The Net Asset Value of a Class B-2 Unit increased by $894.39 to $3,768.48.

The Partnership’s investments produced overall noteworthy results in 2014, with particularly strong performance achieved in the fixed-income sector. The key themes that influenced the Partnership’s bond trading were the increasingly accommodative monetary policy of the European Central Bank (“ECB”) as well as the continued interventionist strategies employed by the United States and Japan. In January, existing long positions in French and Italian bond futures, as well as Euro-bund and Canadian contracts, provided the most significant returns. Long Italian and French positions thereafter buoyed the Partnership’s fixed-income results for March in

the face of sharp reversals in both the Eurodollar and U.S. Treasury bond markets. Trading profits in the second quarter were similarly driven by the ECB’s accommodative stance relative to the continued stimulus tapering by the United States. As desire for higher yields increased investor demand back to the U.S. and other bond markets in May, the Partnership realized profits from its long U.S. and Australian bond positions. Although a long stake in U.S. Treasuries subsequently produced losses in June, corresponding long positions in European bonds offset these losses with the rallying of European markets. In July and August, the Partnership’s long positions in Europe and the United States generated positive returns as investors sought security in safe-haven assets and Federal Reserve Chair, Janet Yellen, and ECB President, Mario Draghi, respectively noted the commitment of the U.S. to low short-term interest rates and the ECB’s intention to pursue a more active interventionist stance to boost growth and prevent deflation. September and the first part of October subsequently brought notable volatility and losses, but bond trading ultimately ended the year on a strong note. The Partnership generated positive returns in each month of the fourth quarter from its long positions in the rallying Japanese and Canadian bond markets and as its investments proved well-timed to take advantage of the ECB’s first-ever purchases of asset-backed debt, continued deflationary risks, and increased stresses to oil producing countries from falling energy prices.

In contrast to the bond sector, the Partnership’s equity positions generated mixed results in 2014. Investor concern over the withdrawal of U.S. stimulus, the varied strategies of central banks, geopolitical developments and the arrival of lower input prices for energy and raw materials were the major performance drivers during this period. The Partnership started off the year with losses from its long positions as both the European and U.S. equity markets experienced declines and Germany’s DAX Index in particular was subject to sharp reversals due to the uncertainty borne out of the Russian-Ukrainian political conflict. After continuing to create losses in April following the bursting of a mini-stock bubble, equity trading provided substantial gains in the second quarter as the Partnership’s long positions in U.S. and European equities rose in conjunction with the S&P 500’s and the DAX index’s respective climbs to all-time highs. These long positions created losses in the third quarter, however, following the Argentine debt default that prompted a selloff in global equities and comments from Janet Yellen concerning stretched valuations in certain markets. The mixed-results pattern continued in the fourth quarter with its whipsaw market conditions. In October, investor anxiety over the end of the Federal Reserve’s asset purchasing program and the arrival of the first case of Ebola ever recorded in the United States brought a sharp fall in equity prices, which subsequently rebounded in November with the arrival of lower input prices for energy and raw materials. Conversely, lower energy prices and the resulting stresses they engendered for countries dependent on oil revenue prompted a global sell off in equities in December. By mid-month, equities once more rallied, this time on Janet Yellen’s remarks that there would be no upcoming surprises with respect to interest rates. The Partnership sustained losses during this volatile fourth quarter.

Commodity trading produced similarly mixed results. With respect to agriculturals, the Partnership realized modest gains overall with trading in specific months comprising a significant portion of the Partnership’s performance attribution from this sector. In June and July, long cattle and short corn and wheat positions were well-timed to take advantage of record-high futures prices for cattle and the downward trend of grain values which had spiked on earlier concerns over the harsh winter. Reversals in the grain markets, however, as well as in the longer trends seen in cocoa trading produced losses for the Partnership in October. With respect to energies, trading initially contributed modestly to the Partnership’s performance, but by the end of the third quarter, became increasingly profitable as fundamental demand and supply principles, in contrast to global risk appetite, appeared to drive the energy sector more than any other time since the financial crisis. The Partnership’s short positions in oil were particularly profitable during this period as energy prices, already suppressed in October on account of the strengthening U.S. dollar and weaker global growth, plummeted in November with OPEC’s decision to maintain levels of oil production despite the rapid decline in oil prices. The theme of falling energy prices persisted in December and the Partnership’s continued short positions remained favorable. In contrast to the Partnership’s favorable fourth-quarter run in the energy sector, metals trading accounted for a much smaller portion of the Partnership’s 2014 performance attribution and shorts in gold and silver produced losses due to fears of weakening growth and geopolitical instability in the Middle East.

Trading in currencies resulted in positive returns for the Partnership in 2014 with some of the key themes including the continuing growth of the U.S. economy, Europe’s and Japan’s stimulus initiatives and falling oil prices. Although currency trading started off to a slow start, the second half of the year yielded notable gains as short positions taken on the Japanese Yen, Euro, and the currencies of other struggling economies added sizable returns in light of the currencies’ notable depreciation relative to the U.S. dollar.

The interest rates and credit sectors had a minor influence on performance in 2014 and, aside from metals, comprised the sectors with the smallest Partnership allocations.

2013

Net assets decreased $176,469,369 for the year ended December 31, 2013. This decrease was attributable to subscriptions in the amount of $13,658,527, redemptions in the amount of $172,227,858 and net loss from operations of $17,900,038.

For the year ended December 31, 2013, the Partnership accrued or paid total expenses of $14,202,849, including $4,507,344 in servicing fees, $9,312,545 in General Partner administrative fees and Trading Advisor management fees, and $382,960 in other expenses. Interest of $302,588 was earned or accrued on the Partnership’s cash and cash equivalent investments.

The Net Asset Value of a Class A Unit decreased by $176.65 to $2,707.82. The Net Asset Value of a Class B Unit decreased by $176.65 to $2,707.83. The Net Asset Value of a Class A-2 Unit decreased by $149.34 to $2,874.06. The Net Asset Value of a Class B-2 Unit increased by $149.33 to $2,874.09.

Trading in bonds and short term interest rates started off with losses in January 2013, the main detractors being long positions in U.S. Treasuries, French bonds, Short Sterling and Eurodollar. However, bond trading returned to profitability in February as markets returned to a more cautious state following January’s bullish nature. Safe haven bonds, such as U.S. Treasuries, returned some of the larger gains with returns also coming from emerging market bonds. Long interest rate positions, such as in Eurodollar, Euribor and Short Sterling, further provided positive results because of the relaxed monetary policies of major central banks. In March, bond trading largely continued this positive run due to the portfolio’s long bond holdings. A small portion of the gain, however, was lost via Italian long dated bonds and positions in U.S. Treasuries. In April, a long exposure to fixed income assets including European bonds, U.S. Treasuries and Eurodollar contracts again delivered profits despite a loss on long exposures to Japanese bonds. The Partnership subsequently sustained a loss in May primarily because of its long exposure to U.S. Treasuries, UK gilts and bonds from commodity focused economies. Long exposure to interest rate holdings also incurred a loss following a cut in Eurozone rates. Indeed, Eurodollar, Euribor and Short Sterling contracts all ended May in negative territory. The Partnership continued to post a loss in June on account of its long holdings of U.S. Treasuries, European bonds, and contracts involving Eurodollar, Euribor and Short Sterling. In August, rising yields hurt long exposure to U.S. Treasuries which was one of the largest negatives over the month. Similarly, bond holdings hurt performance in September as short exposure to debt from commodity-focused economies suffered. Long holdings of Italian bonds further delivered a loss with destabilization of the Italian coalition government resulting in heavy selling of the country’s debt. Some performance was recovered via long German and French bonds as higher grade fixed income attracted safe haven inflows from investors. Nevertheless, bond trading ultimately ended the year in December on a sour note as bond prices dropped following the Federal Reserve’s reduction in bond purchasing integral in its quantitative easing policy.

In contrast to bond and interest rate trading, equity positions largely generated positive results for the Partnership in 2013. Equity trading provided noteworthy results in January because of long equity exposure across all regions, including the U.S. and European indices. Such long exposure continued to generate solid performance throughout the year although losses were sustained in U.S. and European stock indices when equities fell out of favor.

With respect to currency trading, short exposure to Japanese Yen provided positive returns in January as the Japanese Yen fell 6% on a trade-weighted basis following the announcement of stimulus and deflation control. Currency trading in February, however, provided mixed results as positive returns from shorting the British pound was offset by losses from short exposure to the U.S. dollar. Continued trading strategies with respect to both the British pound and U.S. dollar produced the opposite effects in the months of March and April. In March, the short exposure to the U.S. dollar largely resulted in positive returns while, in April, short positions in the British pound produced negative returns when the United Kingdom avoided a triple-dip recession. Currency trading became a notable performance detractor in the months following. In July, long exposure to the U.S. dollar suffered due to the U.S.’s continuing accommodative monetary policy. In August, losses were concentrated in long Eurodollar positions as better-than-expected data raised Eurozone interest rate expectations. The losses sustained in September were attributable to long exposure to the U.S. dollar, dollar pairs against emerging-market currencies, and both long and short Euro exposures. Short exposure to Eurodollar and Short Sterling particularly suffered as accommodative monetary policy in the U.S. lowered expectations for interest rates globally.

Commodity trading started off the year generating a gain, largely due to short electricity contracts as milder, wetter weather drove prices down. Long exposure to oil and oil derivatives and short gold exposure also returned positive numbers. Energy trading took a hit in February though, with all positions contributing to the loss. Long positions in crude oil, crude oil by-products, and base metals followed the same theme. In March, the commodity allocations also delivered negative performance on the whole, driven predominantly by a long exposure to energy markets. Exposure to crude oil and its derivatives caused the greatest losses as the portfolio was long at the start of the period and suffered as oil prices fell. The portfolio’s exposure was subsequently reduced, and thus, did not participate in some of the upward movement towards the end of the period. Although some profits were obtained through a short allocation to both precious and base metals in April, exposure to wheat and corn detracted from these gains. Conversely, agricultural trading in May posted a gain primarily through long soybeans and short sugar positions. Energies produced slightly negative returns in May with long natural gas adding a loss that short electricity and coat contacts partially offset. In June, short metals added a notable gain as prices of both base and precious metals fell sharply. The reverse was true in July when Chinese growth figures pushed up the price of base metals and precious metals also rose. Short positions in agriculturals similarly generated a loss from increased prices in cocoa, coffee and soya. Commodity trading in August produced mixed results as early gains from long exposures were lost after increased industrial production in China hurt short positions in base metals. September provided similarly mixed results. While short exposure to precious metals suffered losses, agricultural holdings produced positive results overall. High Midwest temperatures threatened to damage soy bean crops and resulted in strong returns from long exposures to soy beans. Short corn positions further turned out to be profitable from larger-than-expected stockpiles of corn. Returns on energy trades were mixed as Middle East tensions created profit on long holdings of crude oil and oil prices subsequently dropped. Commodity trading in October also produced a loss as volatility in energy markets caused difficulties for directional trading. In contrast, short metal holdings generated positive gains in November after the price of gold and aluminum dropped throughout the month. Long soy bean holdings additionally helped performance as U.S. export demand increase. In the month of December, long crude oil holdings weighed the most on commodity trading profitability after Western countries and Iran reached an agreement over Iran’s nuclear program. The Partnership, however, still benefited from short positions on canola and wheat which sold off strongly through the month. Trading on metals produced mixed results in December.

The credit sector provided mixed performance results in 2013. Short exposure to European and U.S. credit default protection initially captured gains in January as the cost of default insurance fell, but subsequently, created losses after the cost of European default protection rose. The Partnership did achieve positive gains in the credit sector during the fourth quarter, however, after credit markets continued to tighten to post-crisis lows.

2012

Net assets decreased $148,314,876 for the year ended December 31, 2012. This decrease was attributable to subscriptions in the amount of $58,013,435, redemptions in the amount of $162,044,482 and net loss from operations of $44,283,829.

For the year ended December 31, 2012, the Partnership accrued or paid total expenses of $21,715,345, including $7,001,823 in servicing fees, $14,330,711 in General Partner administrative fees and Trading Advisor management fees, and $382,811 in other expenses. Interest of $278,092 was earned or accrued on the Partnership’s cash and cash equivalent investments.

The Net Asset Value of a Class A-1 Unit decreased by $279.41 to $2,884.47. The Net Asset Value of a Class B-1 Unit decreased by $279.41 to $2,884.48. The Net Asset Value of a Class A-2 Unit decreased by $251.54 to $3,023.40. The Net Asset Value of a Class B-2 Unit decreased by $251.53 to $3,023.42.

In equities trading, performance was negative for the month of January. As a general theme, profits from long positions in U.S. indices were outweighed by shorts in Asian bourses. The stock sector led returns in February; however, as the increased market confidence benefited a broad long positioning. Long exposure to stock indices added gains in March via U.S. and Japanese indices. The strongest returns came from long positions in the NASDAQ 100 and S&P 500 as each rose 4.2% and 3.1% respectively on the back of a flurry of positive new from the U.S. In April, the stock sector provided losses as broad long exposure suffered from the fall in global equities over the first half of the month. Losses were spread across regions, although U.S., German and Japanese indices were the main detractors. A general long exposure to stocks struggled in May as investors sold off risky assets. Stocks experienced volatility following elections in Europe and a plethora of negative news flows such as banking woes in Spain, JP Morgan’s trading loss and China’s slower growth. Exposure to stocks and energies hurt performance in June. Within stocks, exposure to European and U.S. equities returned losses. Stocks surged in June after EU leaders pleasantly surprised investors by announcing that they had agreed new steps to support the EU’s troubled members. After a volatile few months, stock trading detracted from performance in November. A long stance to U.S. indices generated losses, despite the S&P 500 and NASDAQ 100 rising 0.3% and 1.1% respectively, as losses incurred during the first half of November were not subsequently recouped. Amid the uncertainty, AHL returned a net profit in December to finish the year on a positive note. A broadly long exposure to equities was the main driver of performance, particularly from Japanese and other Asian Pacific index positions, as stocks benefitted from a well-received change of governing party in Japan, which was seen to be increasing the probability of new policies being adopted to stimulate Japanese growth.

Trading in bonds and short-term interest rates produced returns in January. Long positions in U.S. Treasuries made up the majority of bond sector gains in January as prices jumped following the unexpected announcement by the Federal Reserve that interest rates would be held at near zero until at least 2014. In February, long exposure to fixed income assets dragged on performance as investors increasingly sought riskier assets during the month. Exposure to fixed income assets weighed on performance in March as safe haven assets fell out of favor. In bonds, long holdings of U.S. Treasuries detracted the most from returns in March as prices fell following positive economic comments by the Federal Reserve which led to reduced expectations for further quantitative easing. Long-side exposure to bonds provided positive performance in April as investors increased their demand in the uncertain environment. German sovereign bonds were the main driver as general risk aversion, anxiety over unending Eurozone bailouts and less than encouraging economic indicator data added to demand for bonds. In May, long exposure to bonds largely drove performance as investors increasingly flocked to “safe haven” assets. In particular, positions in German bonds, U.S. Treasuries and UK Gilts proved well placed. A long exposure to the fixed income sector benefited in June from periods of increased demand for perceived safe haven assets as investors sought to preserve capital amid heightened risk aversion. However, some gains were given back in June as investors participated in the rally in risk assets during mid-period and at month-end. In July, the long exposure to bonds and interest rates drove performance as the deteriorating economic picture spurred investors to prioritize capital preservation over growth. However, some gains were given back

towards the month end and in August, long exposure to bonds continued to struggle as investors sold out of safe haven assets. In September, long exposure to bonds added to performance, with Italian and Japanese bonds being the most profitable. Bond holdings were negative in October as a result of long exposure to U.S. Treasures, UK Gilts and bonds from commodity-focused economies. However, some gains were recovered by long exposure to French and Italian bonds. Long holdings of interest rate contracts also hurt performance over the period; notable detractors were Euribor and Eurodollar. Fixed income exposure also struggled in December as profits from long European and emerging market bonds were offset by losses from long positions in U.S. Treasuries and Canadian bonds, in particular, as a result of U.S. fiscal cliff negotiations.

Short positions in agricultural trading posted losses in January with exposure to cocoa and corn seeing some of the larger negative performances. The agricultural sector produced positive returns in March led by short coffee and long soya exposure. In July, long exposures to agriculturals proved well placed as fears of a renewed food shortage crisis re-emerged after droughts hit the U.S. and lowered supply expectations. In particular, corn and soya prices reached record levels while wheat prices remained elevated. However, short exposure to energies, especially crude oil and oil derivatives detracted from performance in July. Oil prices also benefited from anticipations of supply disruptions in August due to Western sanctions on Iran which came into effect from July, maintenance work in the North Sea and threats from Tropical Storm Isaac. In September, the energy allocation also lost value as long exposures to oil and short exposure to natural gas resulted in small losses.

In currencies, long U.S. dollar exposure in January offset profits elsewhere in the sector as the greenback fell 1.3% on a trade-weighted basis after signs of an economic recovery in the U.S. boosted investor risk appetite and saw the ‘safe-haven’ currency sell-off for much of the month. Long AUD/JPY proved the leading trade in February as the Australian dollar rallied after interest rates were left unchanged and hawkish Reserve Bank of Australia minutes led markets to revise their flat interest rate expectations. Whilst the U.S. dollar ended the month of February flat on a trade weighted basis, some short U.S. dollar pairs still added gains as increased risk appetite meant the greenback generally lost ground to emerging market and commodity-linked currencies. Trading in currencies added to losses overall in March, however. Short exposure to the U.S. dollar suffered after the greenback rallied on better-than-expected U.S. jobs and housing data. The currency sector contributed excellent returns in July, with short Euro pairs proving profitable after the ECB cut interest rates. In August, currency trading detracted the most from performance due to a lack of clear trends. Both long and short U.S. dollar exposures ended with modest losses, while euro trading posted losses from general short positioning. A short stance in commodities weighed on returns, as prices were supported by weakness in the U.S. dollar. Currency trading was up in September driven by short U.S. dollar pairs which generated profits as news of QE3 put downward pressure on the U.S. dollar. However, returns in September were pegged back as short euro positions suffered a loss across a host of currencies, with the single currency rising 1% on a trade-weighted basis. Currency trading added a small negative return in October. Short exposure to the U.S. dollar (against commodity-linked currencies in particular) drove the losses as it rose 0.6% on a trade-weighted basis. On a positive note, currency pairs of long Asian currencies and short U.S. dollar added gains. Currency trading continued to gain in November. Short U.S. dollar positions (especially against emerging market and commodity-linked currencies) were the main return drivers. Additional gains came from short positions in the Japanese Yen against the U.S. and Australian dollar. The Yen declined -3.3% on a trade-weighted basis, driven partly by the prospects of elections, expectations that the Bank of Japan may ease monetary policy aggressively and deterioration in Japan’s balance of payments. Currency trading proved rewarding in December, with short U.S. dollar (especially against emerging market currencies) and short Japanese Yen trades (particularly against USD, AUD, GBP and Euro) leading returns. U.S. fiscal cliff negotiations weighed on the U.S. dollar, whilst the Japanese Yen weakened amid expectations of aggressive easing by Shinzo Abe’s new government.

The metals sector dragged on performance in 2012 with both precious and industrials detracting similar amounts. In the third quarter, aluminum, zinc and nickel contracts sustained the largest losses. However, precious metals especially did poorly, as long gold and silver exposures suffered a year-end sell off.

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 Exchange Act). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.

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

For regulatory purposes, exchange initial margin requirements have been used by the Partnership as the measure of its Value at Risk. For trading and internal risk monitoring purposes, a different approach based on simulated market movements is used. Initial margin requirements include a credit risk factor and a maintenance margin factor and thus overstate the maximum one-day loss reflected by the maintenance margin requirement by the amount of the credit risk factor used in setting initial margin requirements. Maintenance margin requirements are set by exchanges to equal or exceed 95-99% of the maximum one-day losses in the fair value of any given contract incurred during the time period over which historical price fluctuations are researched for purposes of

establishing margin levels. The maintenance margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.

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

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

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

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

The following table indicates the average, highest and lowest amount of trading Value at Risk associated with the Partnership’s open positions by market category for the year ended December 31, 2014. During 2014, the Partnership’s average capitalization was $184,337,947.


Fiscal Year 2014

Market Sector	Average Value at Risk		% of Average Capitalization			Highest Value at Risk		Lowest Value at Risk
Agriculturals	$	3,065,335		1.66	%	$	3,505,989	$	2,598,110
Bonds	$	5,751,665		3.12	%	$	6,509,766	$	4,517,993
Credit	$	3,153,749		1.71	%	$	7,124,706	$	671,564
Currencies	$	5,091,968		2.76	%	$	5,369,137	$	4,842,023
Energy	$	3,196,630		1.73	%	$	3,535,898	$	2,848,646
Interest rates	$	6,531,261		3.54	%	$	9,186,362	$	3,602,167
Metals	$	1,954,477		1.06	%	$	2,707,026	$	1,548,161
Stock indices	$	8,124,890		4.41	%	$	11,240,974	$	6,653,711
Total	$	36,869,975		19.99	%	$	49,179,858	$	27,282,375

Average, highest and lowest Value at Risk amounts relate to the quarter-end amounts during the fiscal year. Average capitalization is the average of the Partnership’s capitalization at the end of each quarter during the fiscal year 2014.

The following table indicates the average, highest and lowest amount of trading Value at Risk associated with the Partnership’s open positions by market category for the year ended December 31, 2013. During 2013, the Partnership’s average capitalization was $270,915,352.


Fiscal Year 2013

Market Sector	Average Value at Risk		% of Average Capitalization			Highest Value at Risk		Lowest Value at Risk
Agriculturals	$	5,123,780		1.89	%	$	5,652,391	$	4,390,033
Bonds	$	5,516,490		2.04	%	$	9,431,432	$	3,450,619
Credit	$	22,715,307		8.38	%	$	31,707,590	$	11,540,544
Currencies	$	8,570,188		3.16	%	$	10,401,509	$	7,275,703
Energy	$	3,734,364		1.38	%	$	5,526,865	$	2,813,362
Interest rates	$	6,447,738		2.38	%	$	13,093,653	$	1,775,744
Metals	$	3,402,790		1.26	%	$	3,867,306	$	2,907,879
Stock indices	$	13,229,346		4.88	%	$	17,543,294	$	8,104,285
Total	$	68,740,003		25.37	%	$	97,224,040	$	42,258,169

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

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

Non-Trading Risk

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

The Partnership also has non-trading cash flow risk as a result of holding a substantial portion (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 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, 2014, 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, 2014 the Partnership’s primary currency exposures were in the U.S. dollar versus the Euro, Mexican Peso, Swedish Krona, Colombian Peso and Australian 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, 2014, 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. The Partnership’s metals market exposures were in aluminum, gold, 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, 2014.

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, 2014, 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, 2014.

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 U.S. dollars (no less frequently than twice a month).

Cash Positions. The Partnership’s only market exposure in instruments held other than for trading is in its cash portfolio. The Partnership holds only cash in 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 meeting the requirements of Regulation S-X are listed following this report as Exhibit 13.1 and are incorporated by reference into this Item 8.

The following summarized quarterly financial information presents the results of operations for the periods ended March 31, June 30, September 30 and December 31, 2014 and 2013. This information has not been audited.


	Fourth Quarter			Third Quarter			Second Quarter			First Quarter
	2014			2014			2014			2014
Interest income (expense)*		61,165			50,050			37,816			63,785
Net Realized and Unrealized Gains (Losses)*		23,425,830			16,536,931			20,127,865			(3,753,063	)
Expenses**		(2,391,747	)		(2,149,482	)		(2,162,153	)		(2,416,361	)
Net Income (Loss)		21,095,248			14,437,499			18,003,528			(6,105,639	)
Net Income (Loss) Per Unit of Partnership Interest — Class A		359.37			241.22			280.70			(85.64	)
Net Income (Loss) Per Unit of Partnership Interest — Class A — Series 2		396.24			269.09			307.94			(81.88	)
Net Income (Loss) Per Unit of Partnership Interest — Class B		361.08			241.35			280.73			(85.81	)
Net Income (Loss) Per Unit of Partnership Interest — Class B — Series 2		397.49			268.65			301.22			(79.03	)


	Fourth Quarter		Third Quarter			Second Quarter			First Quarter
	2013		2013			2013			2013
Interest income (expense)*		90,499		108,348			53,104			50,637
Net Realized and Unrealized Gains (Losses)*		16,763,540		(14,888,917	)		(17,606,627	)		13,134,163
Expenses**		3,084,814		3,598,561			4,232,952			4,688,458
Net Income (Loss)		13,769,225		(18,379,130	)		(21,786,475	)		8,496,342
Net Income (Loss) Per Unit of Partnership Interest — Class A		161.52		(180.53	)		(206.78	)		64.65
Net Income (Loss) Per Unit of Partnership Interest — Class A — Series 2		179.53		(182.11	)		(208.37	)		77.47
Net Income (Loss) Per Unit of Partnership Interest — Class B		158.16		(180.53	)		(206.79	)		64.65
Net Income (Loss) Per Unit of Partnership Interest — Class B — Series 2		183.81		(179.93	)		(208.34	)		77.46

*	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 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 Chief Executive Officer and Chief Financial Officer with respect to the Partnership, has evaluated the effectiveness of the design and operation of the Partnership’s disclosure controls and procedures as of the end of the fiscal year for which this Annual Report on Form 10-K is being filed. Based on such evaluation, the Partnership’s Chief Executive Officer and Principal Financial Officer with respect to the Partnership have concluded that the Partnership’s disclosure controls and procedures were effective as of the fiscal year ended December 31, 2014.

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, 2014 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 Exchange Act, as a process designed by, or under the supervision of, a company’s principal executive and principal financial officers and effected by a company’s board of directors, management and other personnel, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with the accounting principles generally accepted in the United States of America. The General Partner’s internal control over financial reporting includes those policies and procedures that:

•

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, 2014. 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, 2014, 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.

Mr. Eric Burl is the president of the General Partner and Mr. Shiraz Kajee is the senior managing fund accountant of the General Partner who serves as the Partnership’s principal financial officer and chief accounting officer. Their biographies are set forth below.

Eric Burl, born January, 1979, joined the General Partner in January 2013 and has served as its President since April 2013. In addition to his affiliation with the General Partner, Mr. Burl is also the President of GLG Inc., a hedge fund manager affiliated with the General Partner, serving in such capacity since January 2013. From November 2011 to November 2012, he was Head of Managed Accounts for Financial Risk Management Limited, Man’s multi-manager business (“FRM”), where he led the teams responsible for business development, product management and structuring of Man’s proprietary managed account platform. Prior to his role as Head of Managed Accounts for FRM, Mr. Burl was Head of Structured Products for Man and managed the team responsible for the investment management of Man’s multi-billion dollar structured product business. He joined Man Investments in June 2004 and has held a number of roles in Man’s multi-manager business including portfolio construction, quantitative analysis and product strategy and business development. Mr. Burl is listed with the CFTC as a Principal and associated person of the General Partner as of April 8, 2013 and listed with the CFTC as a Principal and associated person of GLG Inc. as of December 10, 2012. Mr. Burl received a BA (Hons) in management studies from the University of Nottingham in the United Kingdom and is CAIA certified.

Shiraz Kajee, born February 1980, joined the General Partner in September 2012 and has served as its Principal Financial Officer since January 2013. Mr. Kajee is the Head of US Finance for Man responsible for Accounting, Financial Reporting, Tax, and Treasury. Prior to joining Man in 2012, Mr. Kajee was a VP in Finance for Goldman Sachs from 2010 to 2012. Previously, Mr. Kajee was a Senior VP in Finance at Citigroup. He began his career as an auditor for Ernst & Young in 2003. Mr. Kajee has an MS in Accounting and a BBA in International Finance from Baruch College. His professional designations include CPA, CGMA and FinOp.

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) 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., 452 5^th Ave., 27^th Floor, New York, NY 10018 or by calling: (212) 649-6600 (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. Shiraz Kajee, a senior managing fund accountant for the General Partner, serves as the Partnership’s “audit committee financial expert.” Mr. Kajee 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 and employees 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, 2014, the General Partner’s interest in the Partnership was valued at $653,467 which constituted 0.3% of total partners’ capital.

As of December 31, 2014, 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 $5,883,411 for the year ended December 31, 2014. The Partnership paid the Trading Advisor $0 in incentive fees for the year ended December 31, 2014. 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, $1,918,407 in servicing fees for the year ended December 31, 2014. The General Partner’s interest in the Partnership earned net income of $148,800 for year ended December 31, 2014.

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 Ernst & Young, LLP, the Partnership’s independent registered public accounting firm, for the audit of the Partnership and the Trading Company’s annual financial statements and review of financial statements included in the Partnership’s quarterly reports for the years ended December 31, 2014 and 2013 were approximately $213,100 and $210,000, respectively.

(2) Audit-Related Fees

There were no fees for assurance and related services rendered by Ernst & Young, LLP for the years ended December 31, 2014 and 2013.

(3) Tax Fees

The aggregate fees for services rendered by Ernst & Young LLP for tax compliance services for the years ended December 31, 2014 and 2013 were approximately $134,000 and $424,000, 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.

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

The following exhibit is incorporated by reference herein from the exhibit of the same description and number filed on 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.

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


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

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 31, 2015.


	Title with
Signature	General Partner	Date

/s/ Eric Burl Eric Burl	President (Principal Executive Officer)	March 31, 2015

/s/ Shiraz Kajee Shiraz Kajee	As Principal Financial and Chief Accounting Officer of the Registrant	March 31, 2015

(Being the principal executive officer, and the principal financial officer and chief accounting officer of Man Investments (USA) Corp., in its capacity as the General Partner of the Registrant.)

Man Investments (USA) Corp.

General Partner of Registrant

March 31, 2015


By		/s/ Eric Burl
		Eric Burl
		President

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, 2014 and 2013			F-3
Statements of Operations For the Years Ended December 31, 2014, 2013 and 2012			F-4
Statements of Changes in Partner’s Capital For the Years Ended December 31, 2014, 2013 and 2012			F-5
Statements of Cash Flows For the Years Ended December 31, 2014, 2013 and 2012			F-6
Notes to Financial Statements			F-7

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

Report of Independent Registered Public Accounting Firm			F-11
Statements of Financial Condition as of December 31, 2014 and 2013			F-12
Condensed Schedules of Investments as of December 31, 2014, 2013 and 2012			F-13
Statements of Operations For the Years Ended December 31, 2014, 2013 and 2012			F-15
Statements of Changes in Partner’s Capital For the Years Ended December 31, 2014, 2013 and 2012			F-16
Statements of Cash Flows For the Years Ended December 31, 2014, 2013 and 2012			F-17
Notes to Financial Statements			F-18

Report of Independent Registered Public Accounting Firm

To the General Partner and Limited Partners of Man-AHL Diversified I L.P.

We have audited the accompanying statements of financial condition of Man-AHL Diversified I L.P. (the “Partnership”) as of December 31, 2014 and 2013, 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, 2014. These financial statements are the responsibility of the Partnership’s management. Our responsibility is to express an opinion on these 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. We were not engaged to perform an audit of the Partnership’s 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, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Man-AHL Diversified I L.P. at December 31, 2014 and 2013, the results of its operations, the changes in its partners’ capital and its cash flows for each of the three years in the period ended December 31, 2014, in conformity with U.S. generally accepted accounting principles.

/s/ERNST & YOUNG LLP

Chicago, Illinois

March 31, 2015

F-2

MAN-AHL DIVERSIFIED I L.P.

(A Delaware Limited Partnership)

STATEMENTS OF FINANCIAL CONDITION

AS OF DECEMBER 31, 2014 AND 2013


	2014			2013
ASSETS

Investment in Man-AHL Diversified Trading Company L.P.	$	202,024,664		$	202,881,618
Due from Man-AHL Diversified Trading Company L.P.		3,211,055			12,263,503
Cash		797,660			115,000

Total assets	$	206,033,379		$	215,260,121

LIABILITIES AND PARTNERS’ CAPITAL

LIABILITIES:
Redemptions payable	$	2,242,048		$	11,208,131
Subscriptions received in advance		797,660			115,000
Management fees payable		495,882			521,567
Servicing fees payable		166,664			264,689
Accrued expenses and other liabilities		306,461			269,116


Total liabilities		4,008,715			12,378,503


PARTNERS’ CAPITAL:
General Partner - Class A Series 1 (186.37 unit equivalents outstanding at December 31, 2014 and 2013)		653,467			504,667
Limited Partners - Class A Series 1 (38,626.17 and 51,137.49 units outstanding at December 31, 2014 and 2013, respectively)		135,431,809			138,471,344
Limited Partners - Class A Series 2 (5,116.21 and 6,110.49 units outstanding at December 31, 2014 and 2013, respectively)		19,279,996			17,561,929
Limited Partners - Class B Series 1 (13,238.31 and 16,990.84 units outstanding at December 31, 2014 and 2013, respectively)		46,416,540			46,008,333
Limited Partners - Class B Series 2 (64.44 and 116.68 units outstanding at December 31, 2014 and 2013, respectively)		242,852			335,345


Total partners’ capital		202,024,664			202,881,618


Total liabilities and partners’ capital	$	206,033,379		$	215,260,121

NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST - CLASS A Series 1	$	3,506.22		$	2,707.82

NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST - CLASS A Series 2	$	3,768.41		$	2,874.06

NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST - CLASS B Series 1	$	3,506.23		$	2,707.83

NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST - CLASS B Series 2	$	3,768.48	*	$	2,874.09

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

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

F-3

MAN-AHL DIVERSIFIED I L.P.

(A Delaware Limited Partnership)

STATEMENTS OF OPERATIONS

FOR THE YEARS ENDED DECEMBER 31, 2014, 2013 AND 2012


	2014			2013			2012
NET INVESTMENT LOSS ALLOCATED FROM MAN-AHL DIVERSIFIED TRADING COMPANY L.P.:
Interest income	$	212,816		$	302,588		$	278,092
Brokerage commissions		(692,601	)		(871,611	)		(806,256	)
Other expenses		(257,765	)		(530,325	)		(430,160	)


Net investment loss allocated from Man-AHL Diversified Trading Company L.P.		(737,550	)		(1,099,348	)		(958,324	)


PARTNERSHIP EXPENSES:
Management fees		5,460,196			8,870,728			13,728,950
Servicing fees		1,918,407			4,507,344			7,001,823
Administration fees		423,215			441,817			601,761
Professional fees		242,803			225,000			242,571
Other expenses		124,756			157,960			140,240


Total partnership expenses		8,169,377			14,202,849			21,715,345


Net investment loss		(8,906,927	)		(15,302,197	)		(22,673,669	)


REALIZED AND UNREALIZED GAINS (LOSSES) ON TRADING ACTIVITIES ALLOCATED FROM MAN-AHL DIVERSIFIED TRADING COMPANY L.P.:
Net realized trading gains (losses) on closed contracts/agreements and foreign currency transactions		50,159,478			(8,414,260	)		(14,121,623	)
Net change in unrealized trading gains (losses) on open contracts/agreeements and translation of foreign currency		6,178,085			5,816,419			(7,488,537	)


Net gains (losses) on trading activities allocated from Man-AHL Diversified Trading Company L.P.		56,337,563			(2,597,841	)		(21,610,160	)


NET INCOME (LOSS)	$	47,430,636		$	(17,900,038	)	$	(44,283,829	)


NET INCOME (LOSS) PER UNIT OF PARTNERSHIP INTEREST (based on weighted average units outstanding during the year)
CLASS A Series 1	$	741.76		$	(180.42	)	$	(279.41	)*

CLASS A Series 2	$	852.88		$	(67.35	)	$	(251.54	)*

CLASS B Series 1	$	744.55		$	(195.30	)	$	(279.41	)*

CLASS B Series 2	$	720.96		$	598.97		$	(251.53	)*


WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE YEAR
CLASS A Series 1		43,056.60			74,164.11

CLASS A Series 2		5,530.77			8,516.29

CLASS B Series 1		14,396.92			23,404.35

CLASS B Series 2		78.68			1,043.52

*	Based on change in net asset value per unit from the beginning of the year to the end of the year.

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 CHANGES IN PARTNERS’ CAPITAL

FOR THE YEARS ENDED DECEMBER 31, 2014, 2013 AND 2012


	CLASS A Series 1											CLASS A Series 2						CLASS B Series 1						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, 2014	$	138,471,344			51,138		$	504,667			186	$	17,561,929			6,110		$	46,008,333			16,991		$	335,345			117		$	202,881,618			74,542

Subscriptions		1,827,850			610			—			—		—			—			1,362,698			449			—			—			3,190,548			1,059
Redemptions		(36,656,169	)		(13,122	)		—			—		(2,999,033	)		(994	)		(11,673,718	)		(4,202	)		(149,218	)		(53	)		(51,478,138	)		(18,371	)
Net income		31,788,784			—			148,800			—		4,717,100			—			10,719,227			—			56,725			—			47,430,636			—


PARTNERS’ CAPITAL
December 31, 2014	$	135,431,809			38,626		$	653,467			186	$	19,279,996			5,116		$	46,416,540			13,238		$	242,852			64		$	202,024,664			57,230

PARTNERS’ CAPITAL
January 1, 2013	$	258,830,984			89,733		$	537,590			186	$	33,286,088			11,009		$	78,224,406			27,119		$	8,471,919			2,802		$	379,350,987			130,849

Subscriptions		7,410,526			2,558			—			—		3,000,000			1,037			3,248,001			1,137			—			—			13,658,527			4,732
Redemptions		(114,422,486	)		(41,153	)		—			—		(18,150,602	)		(5,936	)		(30,893,164	)		(11,265	)		(8,761,606	)		(2,685	)		(172,227,858	)		(61,039	)
Net income (loss)		(13,347,680	)		—			(32,923	)		—		(573,557	)		—			(4,570,910	)		—			625,032			—			(17,900,038	)		—


PARTNERS’ CAPITAL
December 31, 2013	$	138,471,344			51,138		$	504,667			186	$	17,561,929			6,110		$	46,008,333			16,991		$	335,345			117		$	202,881,618			74,542


PARTNERS’ CAPITAL
January 1, 2012	$	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

Subscriptions		38,089,856			12,444			—			—		4,825,000			1,565			14,631,579			4,734			467,000			145			58,013,435			18,888
Redemptions		(104,703,476	)		(35,248	)		—			—		(19,780,518	)		(6,388	)		(33,016,653	)		(11,032	)		(4,543,835	)		(1,449	)		(162,044,482	)		(54,117	)
Net loss		(30,609,144	)		—			(52,075	)		—		(3,607,392	)		—			(9,118,233	)		—			(896,985	)		—			(44,283,829	)		—


PARTNERS’ CAPITAL
December 31, 2012	$	258,830,984			89,733		$	537,590			186	$	33,286,088			11,009		$	78,224,406			27,119		$	8,471,919			2,802		$	379,350,987			130,849

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

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

F-5

MAN-AHL DIVERSIFIED I L.P.

(A Delaware Limited Partnership)

STATEMENTS OF CASH FLOWS

FOR THE YEARS ENDED DECEMBER 31, 2014, 2013 AND 2012


	2014			2013			2012
CASH FLOWS FROM OPERATING ACTIVITIES:
Net income (loss)	$	47,430,636		$	(17,900,038	)	$	(44,283,829	)
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Purchases of investments in Man-AHL Diversified Trading Company L.P.		(3,191,974	)		(13,659,020	)		(58,013,705	)
Sales of investments in Man-AHL Diversified Trading Company L.P.		68,701,389			195,937,770			171,288,930
Net gain (loss) on trading activities and net investment loss allocated from investments in Man-AHL Diversified Trading Company L.P.		(55,600,013	)		3,697,189			22,568,484
Changes in assets and liabilities:
Management fees payable		(25,685	)		(444,357	)		(319,861	)
Servicing fees payable		(98,025	)		(227,316	)		(164,886	)
Accrued expenses and other liabilities		37,345			(14,182	)		30,525


Net cash provided by operating activities		57,253,673			167,390,046			91,105,658


CASH FLOWS FROM FINANCING ACTIVITIES:
Proceeds from subscriptions		3,873,208			12,856,686			51,429,841
Payments on redemptions		(60,444,221	)		(181,093,523	)		(149,074,438	)


Net cash used in financing activities		(56,571,013	)		(168,236,837	)		(97,644,597	)


NET INCREASE (DECREASE) IN CASH		682,660			(846,791	)		(6,538,939	)

CASH - Beginning of year		115,000			961,791			7,500,730


CASH - End of year	$	797,660		$	115,000		$	961,791

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)

NOTES TO FINANCIAL STATEMENTS

AS OF AND FOR THE YEARS ENDED DECEMBER 31, 2014, 2013 AND 2012

1. ORGANIZATION OF THE PARTNERSHIP

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

AHL Partners LLP (the “Advisor”), a limited liability partnership incorporated in England and Wales, acts as trading advisor to the Partnership. The Advisor is an affiliate of the General Partner and a subsidiary of Man Group plc. The Advisor is registered with the Commodity Futures Trading Commission (“CFTC”) as a commodity trading adviser and is a member of the National Futures Association (“NFA”) in such capacities, in addition to registration with the Financial Conduct Authority in the United Kingdom. Prior to June 1, 2014, Man-AHL (USA) Limited acted as the Partnership’s trading advisor. The Advisor implements the same trading program and employs substantially the same personnel as did Man-AHL (USA) Limited.

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 Class A and Class B, units are issued in two separate series. They are Class A Series 1, Class A Series 2, Class B Series 1 and Class B Series 2. Except as described in Note 2 below in respect of fees, the classes of units are identical.

2. SIGNIFICANT ACCOUNTING POLICIES

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

F-7

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

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

At December 31, 2014 and 2013, the Partnership owned 15,219.21 and 20,694.54 units, respectively, of the Trading Company. The Partnership’s aggregate ownership percentage of the Trading Company at December 31, 2014 and 2013 was 85.24% and 84.82%, respectively.

The Partnership is able to redeem its investment from the Trading Company on a monthly basis. As of December 31, 2014, the Partnership could redeem its investment without restriction at the month-end net asset value of the Trading Company.

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

The Advisor also earns a monthly incentive fee equal to 20% of any Net New Appreciation, as defined in the Agreement, achieved by the Partnership. The incentive fee is retained by the Advisor even if subsequent losses are incurred; however, no subsequent incentive fees will be paid to the Advisor until any such trading losses are recouped by the Partnership. During the years ended December 31, 2014, 2013 and 2012, no incentive fees were earned by the Advisor.

The Partnership paid 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 Series 1 and Class B Series 1 units. The Partnership also paid 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. Effective February 1, 2014, the servicing fee to MII was reduced to 0.0833% (1.00% annually) of the month-end Net Asset Value of Class A Series 1 and Class B Series 1 units and to 0.0625% (0.75% annually) of the month-end Net Asset Value of Class A Series 2 and Class B Series 2 units. For all classes of units, MII serves as the placement agent for the Partnership.

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

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

Cash — Cash balances are held with Citibank N.A.

F-8

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

Income Taxes — The Partnership is not subject to federal, state, or local income tax. Such taxes are the liabilities of the individual partners and the amounts thereof will vary depending on the individual situation of each partner. Accordingly, there is no provision for income taxes in the accompanying financial statements. ASC 740, Income Taxes, defines how uncertain tax positions should be recognized, measured, presented, and disclosed in the financial statements and is applied to all open tax years. The Partnership has evaluated tax positions taken or expected to be taken in the course of preparing the Partnership’s tax returns to determine whether the tax positions are more-likely-than-not to be sustained by the applicable tax authority. Based on this analysis of all significant tax jurisdictions and all open tax years subject to examination, there were no material tax positions not deemed to meet a more-likely-than-not-threshold. Therefore, no tax expense, including interest or penalties, was recorded for the years ended December 31, 2014, 2013 and 2012. To the extent that the Partnership records interest and penalties, they would be included in interest expense and other expenses, respectively, on the statements of operations.

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 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. The market value of the general partner investment fell below $500,000 during the first quarter of 2014 due to market fluctuations which were reversed in subsequent quarters.

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, 2014, 2013 and 2012.

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

4. FINANCIAL GUARANTEES

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

F-9

5. FINANCIAL HIGHLIGHTS

The following represents the ratios to average limited partners’ capital and other supplemental information for the years ended December 31, 2014, 2013 and 2012:


	Class A			Class A			Class B			Class B			Class A			Class A			Class B			Class B			Class A			Class A			Class B			Class B
	Series 1 2014			Series 2 2014			Series 1 2014			Series 2 2014			Series 1 2013			Series 2 2013			Series 1 2013			Series 2 2013			Series 1 2012			Series 2 2012			Series 1 2012			Series 2 2012
Per unit operating performance:
Beginning net asset value	$	2,707.82		$	2,874.06		$	2,707.83		$	2,874.09		$	2,884.47		$	3,023.40		$	2,884.48		$	3,023.42		$	3,163.88		$	3,274.94		$	3,163.89		$	3,274.95

Income (loss) from investment operations:
Net investment loss		(144.79	)		(114.64	)		(144.89	)		(114.58	)		(148.55	)		(119.21	)		(148.32	)		(125.42	)		(152.05	)		(119.35	)		(152.32	)		(118.89	)
Net realized and unrealized gains (losses) on trading activities		943.19			1,008.99			943.29			1,008.97			(28.10	)		(30.13	)		(28.33	)		(23.91	)		(127.36	)		(132.19	)		(127.09	)		(132.64	)

Total income
(loss) from investment operations		798.40			894.35			798.40			894.39			(176.65	)		(149.34	)		(176.65	)		(149.33	)		(279.41	)		(251.54	)		(279.41	)		(251.53	)

Ending net asset value	$	3,506.22		$	3,768.41		$	3,506.23		$	3,768.48		$	2,707.82		$	2,874.06		$	2,707.83		$	2,874.09		$	2,884.47		$	3,023.40		$	2,884.48		$	3,023.42

Ratios to average partners’ capital:¹
Expenses other than incentive fees		5.06	%		3.77	%		5.06	%		3.82	%		5.36	%		4.11	%		5.36	%		4.19	%		5.12	%		3.87	%		5.13	%		3.85	%

Total expenses		5.06	%		3.77	%		5.06	%		3.82	%		5.36	%		4.11	%		5.36	%		4.19	%		5.12	%		3.87	%		5.13	%		3.85	%

Net investment loss		(4.94	)%		(3.66	)%		(4.94	)%		(3.70	)%		(5.26	)%		(4.01	)%		(5.25	)%		(4.12	)%		(5.06	)%		(3.81	)%		(1.72	)%		(3.79	)%

Total return:
Total return before incentive fees		29.48	%		31.12	%		29.48	%		31.12	%		(6.12	)%		(4.94	)%		(6.12	)%		(4.94	)%		(8.83	)%		(7.68	)%		(8.83	)%		(7.68	)%

Total return after incentive fees		29.48	%		31.12	%		29.48	%		31.12	%		(6.12	)%		(4.94	)%		(6.12	)%		(4.94	)%		(8.83	)%		(7.68	)%		(8.83	)%		(7.68	)%

¹	Includes amounts allocated from the Trading Company.

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

6. SUBSEQUENT EVENTS

The Partnership accepts initial or additional subscriptions for limited partnership interests generally as of the first day of the month and redemption requests from limited partners as of the last business day of each calendar month. For the period subsequent to December 31, 2014 through the date of filing, limited partner subscriptions totaled $4,014,537, and limited partner redemptions totaled $3,667,592.

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

F-10

Report of Independent Registered Public Accounting Firm

To the General Partner and Limited 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. (the “Partnership”) as of December 31, 2014 and 2013, 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, 2014. These financial statements are the responsibility of the Partnership’s management. Our responsibility is to express an opinion on these financial statements based on our audits.

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Man-AHL Diversified Trading Company L.P. at December 31, 2014 and 2013, the results of its operations, the changes in its partners’ capital and its cash flows for each of the three years in the period ended December 31, 2014, in conformity with U.S. generally accepted accounting principles.

/s/ERNST & YOUNG LLP

Chicago, Illinois

March 31, 2015

F-11

MAN-AHL DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

STATEMENTS OF FINANCIAL CONDITION

AS OF DECEMBER 31, 2014 AND 2013


	2014		2013
ASSETS

Equity in trading accounts:
Net unrealized trading gains on open futures contracts	$	12,721,046	$	9,757,518
Net unrealized trading gains on open forward contracts		3,006,750		885,769
Net unrealized trading gains on open swap agreements		3,714,799		12,520,347
Premiums paid on credit default swap agreements		2,536,277		3,357,116
Due from brokers		23,052,854		43,649,109

Total equity in trading accounts		45,031,726		70,169,859
Cash and cash equivalents		197,017,472		200,653,548
Interest receivable		5,240		31,670

Total assets	$	242,054,438	$	270,855,077

LIABILITIES AND PARTNERS’ CAPITAL

LIABILITIES:
Net unrealized trading losses on open swap agreements	$	633,071	$	8,936,971
Premiums received on credit default swap agreements		—		5,175,526
Redemptions payable		4,215,389		17,453,462
Accrued expenses and other liabilities		209,504		103,473

Total liabilities		5,057,964		31,669,432


PARTNERS’ CAPITAL:
Limited Partners (17,853.76 and 24,397.67 units outstanding at December 31, 2014 and December 31, 2013, respectively)		236,996,474		239,185,645

Total partners’ capital		236,996,474		239,185,645

Total liabilities and partners’ capital	$	242,054,438	$	270,855,077


NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST	$	13,274.32	$	9,803.63

See notes to financial statements.

F-12

MAN-AHL DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

CONDENSED SCHEDULES OF INVESTMENTS

AS OF DECEMBER 31, 2014 AND 2013


	2014						2013
	Fair Value			Percent of Partners’ Capital			Fair Value			Percent of Partners’ Capital
FUTURES CONTRACTS - Long:
Agricultural	$	(613,799	)		(0.3	)%	$	(378,972	)		(0.2	)%
Currencies		1,454,938			0.6			(250,642	)		(0.1	)
Energy		(1,029,666	)		(0.4	)		180,567			0.1
Indices		1,366,946			0.6			7,850,513			3.3
Interest Rates		4,536,253			1.9			(1,418,192	)		(0.6	)
Metals		(785,568	)		(0.3	)		(18,266	)		(0.0	)

Total futures contracts - long		4,929,104			2.1			5,965,008			2.5

FUTURES CONTRACTS - Short:
Agricultural		2,680,187			1.1			1,409,672			0.6
Currencies		(15,334	)		(0.0	)		27,532			0.0
Energy		4,432,307			1.8			75,410			0.0
Indices		81,369			0.0			1,216,943			0.5
Interest Rates		(53,211	)		(0.0	)		609,658			0.3
Metals		666,624			0.3			453,295			0.2

Total futures contracts - short		7,791,942			3.2			3,792,510			1.6

NET UNREALIZED TRADING GAINS ON OPEN FUTURES CONTRACTS	$	12,721,046			5.3	%	$	9,757,518			4.1	%

FORWARD CONTRACTS - Long:
Australian dollars	$	(786,668	)		(0.3	)%	$	(639,768	)		(0.2	)%
British pounds		(316,880	)		(0.1	)		1,005,261			0.4
Euro		(6,102,903	)		(2.6	)		323,916			0.1
Gold bullion		(3,629	)		(0.0	)		5,336			0.0
Japanese yen		(1,067,450	)		(0.5	)		(1,521,183	)		(0.6	)
New Zealand dollars		(11,436	)		(0.0	)		(141,605	)		(0.1	)
Other		(8,835,524	)		(3.7	)		(184,265	)		(0.1	)

Total forward contracts - long		(17,124,490	)		(7.2	)		(1,152,308	)		(0.5	)

FORWARD CONTRACTS - Short:
Australian dollars		1,618,863			0.7			619,919			0.3
British pounds		430,058			0.2			(849,091	)		(0.3	)
Euro		7,108,295			3.0			(275,708	)		(0.1	)
Gold bullion		56,875			0.0			449,803			0.2
Japanese yen		331,972			0.1			2,678,558			1.1
New Zealand dollars		(170,623	)		(0.0	)		79,803			0.0
Other		10,755,800			4.5			(665,207	)		(0.3	)

Total forward contracts - short		20,131,240			8.5			2,038,077			0.9

NET UNREALIZED TRADING GAINS ON OPEN FORWARD CONTRACTS	$	3,006,750			1.3	%	$	885,769			0.4	%

SWAP AGREEMENTS - Long:
Credit default swaps - centrally cleared (upfront premiums received $3,362,617 and $20,241,913, respectively)	$	116,063			0.0	%	$	(26,328,625	)		(11.0	)%
Interest rate swaps		(6,358,892	)		(2.6	)		15,877,039			6.6

Total swap agreements - long		(6,242,829	)		(2.6	)		(10,451,586	)		(4.4	)

SWAP AGREEMENTS - Short:
Credit default swaps - centrally cleared (upfront premiums paid $5,898,894 and $18,423,503, respectively)		(779,303	)		(0.3	)%		37,081,732			15.5
Interest rate swaps		10,103,860			4.2			(23,046,770	)		(9.6	)

Total swap agreements - short		9,324,557			3.9			14,034,962			5.9

NET UNREALIZED TRADING GAINS ON OPEN SWAP AGREEMENTS	$	3,081,728			1.3	%	$	3,583,376			1.5	%

NET UNREALIZED TRADING GAINS ON OPEN CONTRACTS/AGREEMENTS	$	18,809,524			7.9	%	$	14,226,663			6.0	%

See notes to financial statements.

F-13

MAN-AHL DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

CONDENSED SCHEDULES OF INVESTMENTS (continued)

AS OF DECEMBER 31, 2014 AND 2013

The following is a schedule of the investments in which the fair value of the investment is greater than 5% of partners’ capital.

As of December 31, 2014, there are no investments in which the fair value of the investment is greater than 5% of partners’ capital.

As of December 31, 2013:


Swap Agreements	Maturity Date Range		Fair Value		Percent of Partners’ Capital
Credit default swaps - centrally cleared - Short
iTraxx Crossover Index (upfront premiums paid $7,775,832)		6/20/18-12/20/18	$	15,365,485		6.4	%
iTraxx Europe Index (upfront premiums received $1,002,207)		6/20/18-12/20/18		14,842,610		6.2

See notes to financial statements.

F-14

MAN-AHL DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

STATEMENTS OF OPERATIONS

FOR THE YEARS ENDED DECEMBER 31, 2014, 2013 AND 2012


	2014			2013			2012
NET INVESTMENT INCOME:
Interest income	$	251,243		$	363,965		$	344,321


EXPENSES
Brokerage commissions		819,351			1,049,330			995,413
Interest expense - brokers		36,512			424,325			287,378
Administration fees		10,000			10,000			10,000
Professional fees		209,653			153,624			152,348
Other expenses		48,164			50,888			84,218


Total expenses		1,123,680			1,688,167			1,529,357


Net investment loss		(872,437	)		(1,324,202	)		(1,185,036	)


NET REALIZED AND UNREALIZED GAINS (LOSSES) ON TRADING ACTIVITIES:
Net realized trading gains (losses) on closed contracts/agreements and foreign currency transactions		59,326,465			(9,823,914	)		(17,442,354	)
Net change in unrealized gains on translation of foreign currency		2,567,195			(584,288	)		(293,787	)
Net change in unrealized trading gains (losses) on open contracts/agreements		4,582,861			7,811,644			(9,496,995	)


Net gain (loss) on trading activities		66,476,521			(2,596,558	)		(27,233,136	)


NET INCOME (LOSS)	$	65,604,084		$	(3,920,760	)	$	(28,418,172	)

NET INCOME (LOSS) PER UNIT OF PARTNERSHIP INTEREST
(based on weighted average units outstanding during the year)	$	3,230.44		$	(106.44	)	$	(461.12	)*

WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE YEAR		20,308.07			36,836.25

*	Based on change in net asset value per unit form the beginning of the year to the end of the year.

See notes to financial statements.

F-15

MAN-AHL DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL

FOR THE YEARS ENDED DECEMBER 31, 2014, 2013 AND 2012


	Limited Partners						General Partner				Total
	Amount			Units			Amount		Units		Amount			Units
PARTNERS’ CAPITAL - January 1, 2014	$	239,185,645			24,398		$	—		—	$	239,185,645			24,398

Subscriptions		3,191,974			286			—		—		3,191,974			286
Redemptions		(70,985,229	)		(6,830	)		—		—		(70,985,229	)		(6,830	)
Net income		65,604,084			—			—		—		65,604,084			—


PARTNERS’ CAPITAL - December 31, 2014	$	236,996,474			17,854		$	—		—	$	236,996,474			17,854


PARTNERS’ CAPITAL - January 1, 2013	$	457,308,203			45,937		$	—		—	$	457,308,203			45,937

Subscriptions		14,792,733			1,478			—		—		14,792,733			1,478
Redemptions		(228,994,531	)		(23,017	)		—		—		(228,994,531	)		(23,017	)
Net loss		(3,920,760	)		—			—		—		(3,920,760	)		—


PARTNERS’ CAPITAL - December 31, 2013	$	239,185,645			24,398		$	—		—	$	239,185,645			24,398


PARTNERS’ CAPITAL - January 1, 2012	$	675,495,416			64,851		$	—		—	$	675,495,416			64,851

Subscriptions		61,580,328			6,015			—		—		61,580,328			6,015
Redemptions		(251,349,369	)		(24,929	)		—		—		(251,349,369	)		(24,929	)
Net loss		(28,418,172	)		—			—		—		(28,418,172	)		—


PARTNERS’ CAPITAL - December 31, 2012	$	457,308,203			45,937		$	—		—	$	457,308,203			45,937

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

See notes to financial statements.

F-16

MAN-AHL DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

STATEMENTS OF CASH FLOWS

FOR THE YEARS ENDED DECEMBER 31, 2014, 2013 AND 2012


	2014			2013			2012
CASH FLOWS FROM OPERATING ACTIVITIES:
Net income (loss)	$	65,604,084		$	(3,920,760	)	$	(28,418,172	)
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Net change in unrealized trading (gains) losses on open contracts/agreements		(4,582,861	)		(7,811,644	)		9,496,995
Changes in assets and liabilities:
Due from brokers		20,596,255			59,959,273			(60,225,133	)
Interest receivable		26,430			(31,670	)		6,972
Premiums paid on credit default swap agreements		820,839			—			—
Premiums received on credit default swap agreements		(5,175,526	)		1,818,410			—
Accrued expenses and other liabilities		106,031			(24,622	)		(22,004	)


Net cash provided by (used in) operating activities		77,395,252			49,988,987			(79,161,342	)


CASH FLOWS FROM FINANCING ACTIVITIES:
Proceeds from subscriptions		3,191,974			14,792,733			61,580,328
Payments on redemptions		(84,223,302	)		(236,691,331	)		(236,454,346	)


Net cash used in financing activities		(81,031,328	)		(221,898,598	)		(174,874,018	)


NET DECREASE IN CASH AND CASH EQUIVALENTS		(3,636,076	)		(171,909,611	)		(254,035,360	)

CASH AND CASH EQUIVALENTS - Beginning of year		200,653,548			372,563,159			626,598,519


CASH AND CASH EQUIVALENTS - End of year	$	197,017,472		$	200,653,548		$	372,563,159


SUPPLEMENTAL DISCLOSURE OF CASH ACTIVITY:
CASH PAID FOR INTEREST DURING THE YEAR:	$	36,512		$	424,325		$	287,378

See notes to financial statements.

F-17

MAN-AHL DIVERSIFIED TRADING COMPANY L.P.

(A Delaware Limited Partnership)

NOTES TO FINANCIAL STATEMENTS

AS OF AND FOR THE YEARS ENDED DECEMBER 31, 2014, 2013 AND 2012

1. ORGANIZATION OF THE TRADING COMPANY

The Man-AHL Diversified Trading Company L.P. (a Delaware Limited Partnership) (the “Trading Company”) was organized in November 1997 under the Delaware Revised Uniform Limited Partnership Act, and commenced operations on April 3, 1998, for the purpose of engaging in the speculative trading of futures and forward contracts and related instruments. Man Investments (USA) Corp. (the “General Partner”), a Delaware corporation, serves as the Trading Company’s general partner. The General Partner is a subsidiary of Man Group plc, a 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 Trading Company was formed to serve as a trading vehicle for certain limited partnerships sponsored by the General Partner in a “master-feeder” structure. The limited partners, Man-AHL Diversified I L.P. and Man-AHL Diversified II L.P., are limited partnerships whose general partner is the General Partner.

AHL Partners LLP (the “Advisor”), a limited liability partnership incorporated in England and Wales, 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 Commodity Futures Trading Commission (“CFTC”) as a commodity trading adviser and is a member of the National Futures Association (“NFA”) in such capacities, in addition to registration with the Financial Conduct Authority in the United Kingdom. Prior to June 1, 2014, Man-AHL (USA) Limited acted as trading advisor. The Advisor implements the same trading program and employs substantially the same personnel as did Man-AHL (USA) Limited. The Trading Company has engaged Man Investments Limited, a company organized under the Laws of the United Kingdom, to manage the foreign currency forward trading 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 forward 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 General Partner has evaluated the structure, objectives and activities of the Trading Company and determined that the Trading Company meets the characteristics of an investment company. As such, these financial statements have applied the guidance as set forth in the Accounting Standards Codification (“ASC”) 946, Financial Services-Investment Companies. The following is a summary of the significant accounting and reporting policies used in preparing the financial statements.

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

F-18

Amounts due from brokers include cash held at brokers and cash posted as collateral. The amount of cash restricted as collateral held and included in due from brokers on the statements of financial condition is $4,661,626 and $16,906,001 as of December 31, 2014 and 2013, respectively.

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

Derivative Contracts — In the normal course of business, the Trading Company enters into derivative contracts (“derivatives”) for trading purposes. Derivatives traded by the Trading Company include futures and forward contracts and swap agreements. The Trading Company records derivatives at fair value. Futures contracts, which are traded on a national exchange, are valued at the close price as of the valuation day, or if no sale occurred on such day, at the close price on the most recent date on which a sale occurred. Forward contracts, which are not traded on a national exchange, are valued at fair value using independent pricing services, which use market observable inputs in their valuations. Swaps are contractual agreements between two parties to exchange streams of payments over time based on specified notional amounts. The Trading Company’s swap agreements consist of interest rate swaps and credit default swaps. Swap agreements are valued at fair value using independent pricing services.

Realized and unrealized changes in fair values are included in realized and unrealized gains and losses on contracts/agreements, respectively, on trading activities in the statements of operations. All trading activities are accounted for on a trade-date basis.

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

Cash and Cash Equivalents — Cash and cash equivalents include cash, short-term interest-bearing money market accounts, and bank time deposits with original maturities of 90 days or less, held with Citibank N.A., JPMorgan Chase Bank, N.A., Bank of America and BNP Paribas.

Income Taxes — The Trading Company is treated as a partnership for tax purposes and therefore is not subject to federal, state, or local income tax. Such taxes are the liabilities of the individual partners and the amounts thereof will vary depending on the individual situation of each partner. Accordingly, there is no provision for income taxes in the accompanying financial statements. ASC 740, Income Taxes, defines how uncertain tax positions should be recognized, measured, presented, and disclosed in the financial statements and is applied to all open tax years. The Trading Company has evaluated tax positions taken or expected to be taken in the course of preparing the Trading Company’s tax returns to determine whether the tax positions are more likely than not to be sustained by the applicable tax authority. Based on this analysis of all significant tax jurisdictions and all open tax years subject to examination, there were no material tax positions not deemed to meet a more-likely-than-not-threshold. Therefore, no tax expense, including interest or penalties, was recorded for the years ended December 31, 2014, 2013 and 2012. To the extent that the Trading Company records interest and penalties, they would be included in interest expense and other expenses, respectively, on the statements of operations.

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

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

F-19

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, 2014, 2013 and 2012.

Distributions (other than redemption of units), if any, are made on a pro-rata basis at the sole discretion of the General Partner. No distributions were declared or paid during the years ended December 31, 2014, 2013 and 2012.

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 if the Trading Company’s ability to withdraw capital from any investment is restricted. The Trading Company will be dissolved on December 31, 2037, or upon the occurrence of certain events, as specified in the Trading Company’s limited partnership agreement.

4. FAIR VALUE MEASUREMENTS

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

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

•

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

•

Level 2 — investments with other significant observable inputs

•

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

Futures contracts are valued based on end of day quoted prices from the exchange and are categorized as Level 1 investments in the fair value hierarchy. Forward contracts and swap agreements are valued at fair value using independent pricing services, which use significant market observable inputs in their valuations, and are categorized as Level 2 investments in the fair value hierarchy. As of December 31, 2014 and 2013, the Trading Company did not have any positions categorized as Level 3 investments in the fair value hierarchy. The following is a summary categorization as of December 31, 2014 and 2013, of the Trading Company’s investments based on the level of inputs utilized in determining the value of such investments:


	Fair Value Measurements
Investments	As of December 31, 2014			Level 1			Level 2			Level 3
Assets
Futures contracts	$	16,280,363		$	16,280,363		$	—		$	—
Forward contracts		21,126,846			—			21,126,846			—
Swap agreements		14,164,898			—			14,164,898			—

Total Assets		51,572,107			16,280,363			35,291,744			—

Liabilities
Futures contracts		(3,559,317	)		(3,559,317	)		—			—
Forward contracts		(18,120,096	)		—			(18,120,096	)		—
Swap agreements		(11,083,170	)		—			(11,083,170	)		—

Total Liabilities		(32,762,583	)		(3,559,317	)		(29,203,266	)		—

Net Fair Value	$	18,809,524		$	12,721,046		$	6,088,478		$	—

F-20


	Fair Value Measurements
Investments	As of December 31, 2013			Level 1			Level 2			Level 3
Assets
Futures contracts	$	13,161,532		$	13,161,532		$	—		$	—
Forward contracts		8,431,935			—			8,431,935			—
Swap agreements		62,465,065			—			62,465,065			—

Total Assets		84,058,532			13,161,532			70,897,000			—

Liabilities
Futures contracts		(3,404,014	)		(3,404,014	)		—			—
Forward contracts		(7,546,166	)		—			(7,546,166	)		—
Swap agreements		(58,881,689	)		—			(58,881,689	)		—

Total Liabilities		(69,831,869	)		(3,404,014	)		(66,427,855	)		—

Net Fair Value	$	14,226,663		$	9,757,518		$	4,469,145		$	—

The Trading Company discloses the amounts of transfers and reasons for those transfers between Levels of the fair value hierarchy, based on the Levels assigned under the hierarchy at the reporting period end. There were no transfers between Levels as of December 31, 2014 based on the levels assigned at December 31, 2013.

5. DERIVATIVE FINANCIAL INSTRUMENTS AND CONCENTRATIONS OF CREDIT RISK

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

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

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

F-21

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

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

These periodic payments received or made under swap agreements by the Trading Company are included in net realized trading gains (losses) on closed contracts/agreements in the statements of operations. When the swap is terminated, the Trading Company will record a realized gain (loss) equal to the difference between the proceeds from (or cost of) the closing transaction and the Trading Company’s basis in the contract, if any. Swap transactions involve, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the statements of financial condition. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty or the clearing organization to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

As of December 31, 2014 and 2013, the total fair value and notional amounts of credit default swaps on indices where the Trading Company is the seller is presented in the following table by contract terms:


	Fair Value and Notional Amounts by Contract Term
	December 31, 2014					December 31, 2013
	1-5 years					1-5 years
Credit spread (in basis points)	Fair Value			Notional Amount		Fair Value		Notional Amount
0-100	$	(527,166	)	$	200,176,000	$	19,549,532	$	1,558,937,500
101-250		—		$	—		12,453,749		158,044,500
251-350		(193,023	)	$	18,147,000		5,078,451		123,715,000
350-450		(59,114	)		5,000,000		—		—

Total	$	(779,303	)	$	223,323,000	$	37,081,732	$	1,840,697,000

F-22

The notional amount represents the maximum potential pay out that the Trading Company could be required to make if a credit event were to occur under each agreement. The maximum payout amount may be offset by the subsequent sale, if any, of assets obtained via the execution of a payout event, upfront fees received upon entering into the contracts, or net amounts received from the settlement of offsetting purchased protection in credit default swap contracts entered into by the Trading Company for the same reference entity or entities. The credit spread of the underlying indices, derived from the fair value at December 31, 2014 of each credit default swap where the Trading Company is a seller, ranged between 63 basis points and 356 basis points. The credit spread of the underlying indices, derived from the fair value at December 31, 2013 of each credit default swap where the Trading Company is a seller, ranged between 54 basis points and 307 basis points. The credit spread is generally indicative of the status of the underlying risk of default by the applicable reference entity and is likely to be different than the contractual spread on the credit default swap. Higher credit spreads are indicative of a higher likelihood of performance by the Trading Company. As of December 31, 2014 the Trading Company posted cash collateral of $1,424,878, and as of December 31, 2013, the Trading Company posted cash collateral of $4,952,334, with respective counterparties of these agreements in the normal course of business. As of December 31, 2014, all open credit default swap agreements on selling protection have a maturity date of December 20, 2019. As of December 31, 2013, the maturity dates for open credit default swaps on selling protection ranged from June 20, 2018 through December 20, 2018.

During the year ended December 31, 2014, the Trading Company traded 424,681 exchange-traded futures contracts and settled 80,482 forward contracts and 6,164 swap agreements. During the year ended December 31, 2013, the Trading Company traded 158,435 exchange-traded futures contracts and settled 58,237 forward contracts and 5,979 swap agreements.

The Trading Company trades derivative financial instruments that involve varying degrees of market and credit risk. Market risks may arise from unfavorable changes in interest rates, foreign exchange rates, or the fair values of the instruments underlying the contracts. All contracts are stated at fair value, and changes in those values are reflected in the net change in unrealized trading gains (losses) on open contracts/agreements in the statements of operations. Credit risk arises from the potential inability of counterparties to perform in accordance with the terms of a contract. The credit risk for OTC derivative contracts is limited to the net unrealized gain plus any collateral posted net of unrealized losses or upfront fees posted, if any, for each counterparty for which a netting agreement exists and is included in the statements of financial condition. Upfront fees are listed on the statements of financial condition as net premiums paid/received on credit default swap agreements and are shown net by counterparty for which a netting agreement exists. Counterparty relationships are governed by various contracts. These contracts can be based on industry standard agreements, such as International Swap and Derivatives Association agreements for OTC contracts. These agreements set forth each party’s basic rights, responsibilities, and duties. These agreements also contain information regarding financial terms and conditions, as well as termination and events of default provisions. Certain agreements contain provisions that require the Trading Company to post additional collateral upon the occurrence of specific credit risk related events or upon notice from the counterparty. As the Trading Company’s trading strategies are dependent upon the existence of these agreements, the Trading Company’s counterparties usually have multiple specified events under which they can terminate individual transactions or the entire agreement. These are most commonly related to declines in assets under management and performance below certain thresholds during a specified period. It is not guaranteed that counterparties will move to terminate individual transactions or entire agreements if a “trigger event” were to occur; however, it is their right to do so, and such a move could severely impact the Trading Company’s portfolio. At December 31, 2014, the OTC contracts subject to such trigger events in a net liability position were the interest rate swaps and credit default swaps. The details of the net liability positions by counterparty are disclosed later in this note on the additional disclosures regarding the offsetting of derivative liabilities table. The ultimate amounts that may be required as payment to settle the derivative instruments in connection with the triggering of such credit contingency features as of December 31, 2014, may differ from the net liability amounts recorded as of December 31, 2014, and such differences can be material.

F-23

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

For centrally cleared swaps, immediately following execution of the swap agreement, the swap agreement is novated to a central clearing counterparty (the “CCP”) and the Trading Company faces the CCP through a broker. Upon entering into a centrally cleared swap, the Trading Company is required to deposit initial margin with the broker in the form of cash in an amount that varies depending on the size and risk profile of the particular swap. The counterparty credit risk for centrally cleared swaps is generally lower than for OTC swaps because a clearing organization becomes substituted for each counterparty to a centrally cleared swap, and in effect, guarantees the parties’ performance under the agreement as each party to a trade looks only to the clearing organization for performance of financial obligations. However, there can be no assurance that the clearing organization, or its members, will satisfy its obligations to the Trading Company.

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


	December 31, 2014
Primary Risk Exposure	Asset Derivatives			Liability Derivatives
	Statements of Financial Condition	Fair Value		Statements 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		$	20,955,092		$	(18,105,718	)
Metals			171,754			(14,378	)

Total open forward contracts			21,126,846			(18,120,096	)

Open futures contracts	Gross unrealized trading gains on open futures contracts			Gross unrealized trading losses on open futures contracts
Agricultural			2,914,084			(847,696	)
Currencies			1,525,101			(85,497	)
Energy			4,525,430			(1,122,789	)
Indices			2,010,981			(562,666	)
Interest rates			4,631,776			(148,734	)
Metals			672,991			(791,935	)

Total open futures contracts			16,280,363			(3,559,317	)

Open swap agreements	Gross unrealized trading gains on open swap agreements			Gross unrealized trading losses on open swap agreements
Credit			268,780			(932,020	)
Interest rates			13,896,118			(10,151,150	)

Total open swap agreements			14,164,898			(11,083,170	)

Total Derivatives		$	51,572,107		$	(32,762,583	)

F-24


	December 31, 2013
Primary Risk Exposure	Asset Derivatives			Liability Derivatives
	Statements of Financial Condition	Fair Value		Statements 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		$	7,958,109		$	(7,473,578	)
Metals			473,826			(72,588	)

Total open forward contracts			8,431,935			(7,546,166	)

Open futures contracts	Gross unrealized trading gains on open futures contracts			Gross unrealized trading losses on open futures contracts
Agricultural			1,981,983			(951,283	)
Currencies			35,616			(258,726	)
Energy			399,933			(143,956	)
Indices			9,124,763			(57,307	)
Interest rates			1,041,240			(1,849,774	)
Metals			577,997			(142,968	)

Total open futures contracts			13,161,532			(3,404,014	)

Open swap agreements	Gross unrealized trading gains on open swap agreements			Gross unrealized trading losses on open swap agreements
Credit			37,243,040			(26,489,933	)
Interest rates			25,222,025			(32,391,756	)

Total open swap agreements			62,465,065			(58,881,689	)

Total Derivatives		$	84,058,532		$	(69,831,869	)

F-25

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


	For the years ended December 31,
	2014			2013			2012
Location of loss or gain recognized in income on derivatives	Gain (Loss) on derivatives			Gain (Loss) on derivatives			Gain (Loss) on derivatives
Forward contracts
Currencies	$	17,675,018		$	(9,623,503	)	$	(5,431,089	)
Metals		(725,630	)		5,808,937			(4,836,754	)

Net realized trading gains (losses) on closed contracts/agreements	$	16,949,388		$	(3,814,566	)	$	(10,267,843	)

Currencies	$	2,364,843		$	(6,114,862	)	$	(432,712	)
Metals		(243,862	)		1,490,253			(1,112,818	)

Net change in unrealized trading gains (losses) on open contracts/agreements	$	2,120,981		$	(4,624,609	)	$	(1,545,530	)

Futures contracts
Agricultural	$	7,758,998		$	2,772,389		$	4,586,839
Currencies		7,208,203			(5,734	)		5,246,673
Energy		9,342,665			(13,240,736	)		(12,828,241	)
Indices		(3,378,143	)		35,540,074			(7,545,898	)
Interest rates		22,107,103			(28,206,331	)		16,507,872
Metals		(4,099,667	)		(1,311,623	)		(15,745,532	)

Net realized trading gains (losses) on closed contracts/agreements	$	38,939,159		$	(4,451,961	)	$	(9,778,287	)

Agricultural	$	1,035,688		$	797,998		$	259,737
Currencies		1,662,714			(665,340	)		(1,446,177	)
Energy		3,146,664			(362,347	)		(36,204	)
Indices		(7,619,141	)		6,889,861			1,822,904
Interest rates		5,291,576			(422,893	)		(5,023,617	)
Metals		(553,973	)		2,287,148			(3,199,658	)

Net change in unrealized trading gains (losses) on open contracts/agreements	$	2,963,528		$	8,524,427		$	(7,623,015	)

Swap agreements
Credit default swaps	$	8,728,409		$	2,606,057		$	1,846,547
Interest rate swaps		(1,163,111	)		(4,543,624	)		—

Net realized trading gains (losses) on closed contracts/agreements	$	7,565,298		$	(1,937,567	)	$	1,846,547

Credit default swaps	$	(11,416,347	)	$	11,512,828		$	(759,721	)
Interest rate swaps		10,914,699			(7,601,002	)		431,271

Net change in unrealized trading gains (losses) on open contracts/agreements	$	(501,648	)	$	3,911,826		$	(328,450	)

Amounts in the table above exclude foreign exchange spot contracts.

As described above, the Trading Company may enter into netting agreements with its derivative contract counterparties whereby the Trading Company may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create

F-26

one single net payment. As of December 31, 2014 and 2013, the Trading Company was subject to netting agreements that allowed for amounts owed between the Trading Company and its counterparty to be netted. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The netting agreements do not apply to amounts owed to or from different counterparties. The following table provides additional disclosures regarding the offsetting of derivative assets presented in the statements of financial condition:


	Gross Amounts of Recognized Assets		Gross Amount Offset in the Statements of Financial Condition			Net Amounts of Assets presented in the Statements of Financial Condition		Gross Amounts Not Offset in the Statements of Financial Condition				Net Amount
	Gross Amounts of Recognized Assets							Financial Instruments		Cash Collateral Pledged		Net Amount
As of December 31, 2014
Open futures contracts
Credit Suisse	$	4,671,620	$	(1,099,453	)	$	3,572,167	$	—	$	—	$	3,572,167
JPMorgan Chase		4,314,694		(597,942	)		3,716,752		—		—		3,716,752
Bank of America Merrill Lynch		7,294,049		(1,861,922	)		5,432,127		—		—		5,432,127

Total open futures contracts	$	16,280,363	$	(3,559,317	)	$	12,721,046	$	—	$	—	$	12,721,046

Open forward contracts
Deutsche Bank	$	11,008,775	$	(9,425,844	)	$	1,582,931	$	—	$	—	$	1,582,931
Royal Bank of Scotland		10,118,071		(8,694,252	)		1,423,819		—		—		1,423,819

Total open forward contracts	$	21,126,846	$	(18,120,096	)	$	3,006,750	$	—	$	—	$	3,006,750

Open swap agreements
Credit Suisse	$	193,318	$	(193,318	)	$	—	$	—	$	—	$	—
JPMorgan Chase		3,915,054		(2,476,220	)		1,438,834		—		—		1,438,834
Deutsche Bank		7,607,627		(5,331,662	)		2,275,965		—		—		2,275,965
Royal Bank of Scotland		2,448,899		(2,448,899	)		—		—		—		—

Total open swap agreements	$	14,164,898	$	(10,450,099	)	$	3,714,799	$	—	$	—	$	3,714,799


As of December 31, 2013
Open futures contracts
Credit Suisse	$	6,395,998	$	(1,480,381	)	$	4,915,617	$	—	$	—	$	4,915,617
JPMorgan Chase		5,281,158		(1,004,751	)		4,276,407		—		—		4,276,407
Bank of America Merrill Lynch		1,484,376		(918,882	)		565,494		—		—		565,494

Total open futures contracts	$	13,161,532	$	(3,404,014	)	$	9,757,518	$	—	$	—	$	9,757,518

Open forward contracts
Deutsche Bank	$	4,689,157	$	(4,241,771	)	$	447,386	$	—	$	—	$	447,386
Royal Bank of Scotland		3,742,778		(3,304,395	)		438,383		—		—		438,383

Total open forward contracts	$	8,431,935	$	(7,546,166	)	$	885,769	$	—	$	—	$	885,769

Open swap agreements
Credit Suisse	$	25,882,027	$	(13,361,680	)	$	12,520,347	$	—	$	—	$	12,520,347
JPMorgan Chase		11,361,013		(11,361,013	)		—		—		—		—
Royal Bank of Scotland		25,222,025		(25,222,025	)		—		—		—		—

Total open swap agreements	$	62,465,065	$	(49,944,718	)	$	12,520,347	$	—	$	—	$	12,520,347

F-27

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


	Gross Amounts of Recognized Liabilities		Gross Amount Offset in the Statements of Financial Condition			Net Amounts of Liabilities Presented in the Statements of Financial Condition		Gross Amounts Not Offset in the Statements of Financial Condition				Net Amount
	Gross Amounts of Recognized Liabilities							Financial Instruments		Cash Collateral Pledged		Net Amount
As of December 31, 2014
Open futures contracts
Credit Suisse	$	1,099,453	$	(1,099,453	)	$	—	$	—	$	—	$	—
JPMorgan Chase		597,942		(597,942	)		—		—		—		—
Bank of America Merrill Lynch		1,861,922		(1,861,922	)		—		—		—		—

Total open futures contracts	$	3,559,317	$	(3,559,317	)	$	—	$	—	$	—	$	—

Open forward contracts
Deutsche Bank	$	9,425,844	$	(9,425,844	)	$	—	$	—	$	—	$	—
Royal Bank of Scotland		8,694,252		(8,694,252	)		—		—		—		—

Total open forward contracts	$	18,120,096	$	(18,120,096	)	$	—	$	—	$	—	$	—

Open swap agreements
Credit Suisse	$	749,832	$	(193,318	)	$	556,514	$	—	$	33,783	$	522,731
JPMorgan Chase		2,476,220		(2,476,220	)		—		—		—		—
Deutsche Bank		5,331,662		(5,331,662	)		—		—		—		—
Royal Bank of Scotland		2,525,456		(2,448,899	)		76,557		—		76,557		—

Total open swap agreements	$	11,083,170	$	(10,450,099	)	$	633,071	$	—	$	110,340	$	522,731


As of December 31, 2013
Open futures contracts
Credit Suisse	$	1,480,381	$	(1,480,381	)	$	—	$	—	$	—	$	—
JPMorgan Chase		1,004,751		(1,004,751	)		—		—		—		—
Bank of America Merrill Lynch		918,882		(918,882	)		—		—		—		—

Total open futures contracts	$	3,404,014	$	(3,404,014	)	$	—	$	—	$	—	$	—

Open forward contracts
Deutsche Bank	$	4,241,771	$	(4,241,771	)	$	—	$	—	$	—	$	—
Royal Bank of Scotland		3,304,395		(3,304,395	)		—		—		—		—

Total open forward contracts	$	7,546,166	$	(7,546,166	)	$	—	$	—	$	—	$	—

Open swap agreements
Credit Suisse	$	13,361,680	$	(13,361,680	)	$	—	$	—	$	—	$	—
JPMorgan Chase		13,128,253		(11,361,013	)		1,767,240		—		1,767,240		—
Royal Bank of Scotland		32,391,756		(25,222,025	)		7,169,731		—		7,169,731		—

Total open swap agreements	$	58,881,689	$	(49,944,718	)	$	8,936,971	$	—	$	8,936,971	$	—

F-28

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


	Additional Collateral Pledged
As of December 31, 2014
Open swap agreements
Royal Bank of Scotland	$	4,551,286

As of December 31, 2013
Open swap agreements
JPMorgan Chase	$	2,140,326
Royal Bank of Scotland		5,828,704

6. FINANCIAL GUARANTEES

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

7. FINANCIAL HIGHLIGHTS

The following represents the ratios to average partners’ capital and other supplemental information for the years ended December 31, 2014, 2013 and 2012:


	For the years ended December 31,
	2014			2013			2012
Per unit operating performance:
Beginning net asset value	$	9,803.63		$	9,955.05		$	10,416.17
Income (loss) from investment operations:
Net investment loss		(43.29	)		(36.78	)		(21.05	)
Net realized and unrealized gains (losses) on trading activities and translation of foreign currency		3,513.98			(114.64	)		(440.07	)

Total income (loss) from investment operations		3,470.69			(151.42	)		(461.12	)

Ending net asset value	$	13,274.32		$	9,803.63		$	9,955.05

Ratios to average partners’ capital:
Expenses		0.51	%		0.47	%		0.27	%

Net investment loss		(0.40	)%		(0.37	)%		(0.21	)%

Total return		35.40	%		(1.52	)%		(4.43	)%

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

8. SUBSEQUENT EVENTS

The Trading Company accepts initial or additional subscriptions for limited partnership interests generally as of the first day of the month and redemption requests from limited partners as of the last business day of each calendar month. For the period subsequent to December 31, 2014 through the date of filing, limited partner subscriptions totaled $8,014,537, and limited partner redemptions totaled $3,667,592.

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

F-29

MAN AHL DIVERSIFIED I LP - FORM 10-K - March 31, 2015

Attached files

MAN AHL DIVERSIFIED I LP Reports

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