UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
x | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the quarterly period ended September 30, 2016
OR
¨ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the transition period from to
Commission File number: 000-53043
Man-AHL Diversified I L.P.
(Exact name of registrant as specified in charter)
Delaware | 06-1496634 | |
(State or other jurisdiction of incorporation or organization) |
(IRS Employer Identification No.) | |
c/o Man Investments (USA) Corp. | ||
452 5th Avenue, 27th Floor | ||
New York, NY | 10018 | |
(Address of principal executive offices) | (Zip Code) |
(212) 649-6600
(Registrants telephone number, including area code)
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 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.
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 Exchange Act). Yes ¨ No x
PART I - FINANCIAL INFORMATION
ITEM 1. | Financial Statements. |
Man-AHL Diversified I L.P.
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(a) | At September 30, 2016 (unaudited) and December 31, 2015 |
(b) | For the three months ended September 30, 2016 and 2015 (unaudited) and for the nine months ended September 30, 2016 and 2015 (unaudited) |
(c) | For the nine months ended September 30, 2016 and 2015 (unaudited) |
2
(A Delaware Limited Partnership)
STATEMENTS OF FINANCIAL CONDITION
September 30, 2016 (Unaudited) |
December 31, 2015 | |||||||
ASSETS |
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Investment in Man-AHL Diversified Trading Company L.P. |
$ | 150,650,085 | $ | 174,586,643 | ||||
Due from Man-AHL Diversified Trading Company L.P. |
919,098 | 8,590,151 | ||||||
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Total assets |
$ | 151,569,183 | $ | 183,176,794 | ||||
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LIABILITIES AND PARTNERS CAPITAL |
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LIABILITIES: |
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Redemptions payable |
$ | 919,098 | $ | 8,590,151 | ||||
Management fees payable |
370,595 | 932,993 | ||||||
Servicing fees payable |
124,336 | 313,968 | ||||||
Accrued expenses and other liabilities |
366,629 | 238,248 | ||||||
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Total liabilities |
1,780,658 | 10,075,360 | ||||||
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PARTNERS CAPITAL: |
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General Partner - Class A Series 1 (186.37 unit equivalents outstanding at September 30, 2016 and December 31, 2015) |
596,789 | 642,022 | ||||||
Limited Partners - Class A Series 1 (30,624.32 and 31,106.90 units outstanding at September 30, 2016 and December 31, 2015, respectively) |
98,062,261 | 107,157,136 | ||||||
Limited Partners - Class A Series 2 (2,480.75 and 4,927.77 units outstanding at September 30, 2016 and December 31, 2015, respectively) |
8,726,929 | 18,474,728 | ||||||
Limited Partners - Class B Series 1 (13,197.46 and 13,548.81 units outstanding at September 30, 2016 and December 31, 2015, respectively) |
42,257,780 | 46,673,266 | ||||||
Limited Partners - Class B Series 2 (41.15 units outstanding at September 30, 2016 and December 31, 2015) |
144,766 | 154,282 | ||||||
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Total partners capital |
149,788,525 | 173,101,434 | ||||||
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Total liabilities and partners capital |
$ | 151,569,183 | $ | 183,176,794 | ||||
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NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST - CLASS A Series 1 |
$ | 3,202.10 | $ | 3,444.80 | ||||
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NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST - CLASS A Series 2 |
$ | 3,517.86 | $ | 3,749.11 | ||||
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NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST - CLASS B Series 1 |
$ | 3,201.96 | $ | 3,444.82 | ||||
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NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST - CLASS B Series 2 |
$ | 3,517.92 | * | $ | 3,749.17 | * | ||
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* 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.
3
(A Delaware Limited Partnership)
STATEMENTS OF OPERATIONS (UNAUDITED)
For the three months ended September 30, |
For the nine months ended September 30, |
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2016 | 2015 | 2016 | 2015 | |||||||||||||
NET INVESTMENT LOSS ALLOCATED FROM MAN-AHL DIVERSIFIED TRADING COMPANY L.P.: |
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Interest income |
$ | 81,802 | $ | 19,053 | $ | 207,114 | $ | 117,504 | ||||||||
Other income |
| | | 60,145 | ||||||||||||
Brokerage commissions |
(145,580 | ) | (200,760 | ) | (523,948 | ) | (623,781 | ) | ||||||||
Interest expense - brokers |
(8,520 | ) | (22,251 | ) | (21,547 | ) | (37,144 | ) | ||||||||
Administration fees |
(26,875 | ) | (33,330 | ) | (85,590 | ) | (65,505 | ) | ||||||||
Other expenses |
(154,585 | ) | (49,692 | ) | (402,675 | ) | (152,091 | ) | ||||||||
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Net investment loss allocated from Man-AHL Diversified Trading Company L.P. |
(253,758 | ) | (286,980 | ) | (826,646 | ) | (700,872 | ) | ||||||||
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PARTNERSHIP EXPENSES: |
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Management fees |
1,148,526 | 1,464,727 | 3,678,047 | 4,544,443 | ||||||||||||
Servicing fees |
384,468 | 492,245 | 1,234,405 | 1,527,217 | ||||||||||||
Administration fees |
2,500 | 3,700 | 7,500 | 109,121 | ||||||||||||
Professional fees |
93,083 | 45,620 | 287,416 | 119,284 | ||||||||||||
Other expenses |
29,383 | 44,370 | 80,883 | 129,760 | ||||||||||||
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Total partnership expenses |
1,657,960 | 2,050,662 | 5,288,251 | 6,429,825 | ||||||||||||
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Net investment loss |
(1,911,718 | ) | (2,337,642 | ) | (6,114,897 | ) | (7,130,697 | ) | ||||||||
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REALIZED AND UNREALIZED GAINS (LOSSES) ON TRADING ACTIVITIES ALLOCATED FROM MAN-AHL DIVERSIFIED TRADING COMPANY L.P.: |
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Net realized trading gains (losses) on closed contracts/agreements and foreign currency transactions |
(708,289 | ) | 6,268,780 | (5,972,929 | ) | 19,119,964 | ||||||||||
Net change in unrealized trading gains (losses) on open contracts/agreements and translation of foreign currency |
(4,481,132 | ) | 12,267,821 | 669,687 | (5,900,997 | ) | ||||||||||
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Net gains (losses) on trading activities allocated from Man-AHL Diversified Trading Company L.P. |
(5,189,421 | ) | 18,536,601 | (5,303,242 | ) | 13,218,967 | ||||||||||
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NET INCOME (LOSS) |
$ | (7,101,139 | ) | $ | 16,198,959 | $ | (11,418,139 | ) | $ | 6,088,270 | ||||||
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NET INCOME (LOSS) PER UNIT OF PARTNERSHIP INTEREST (based on weighted average units outstanding during the period) |
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CLASS A Series 1 |
$ | (151.12 | ) | $ | 283.46 | $ | (247.79 | ) | $ | 105.35 | ||||||
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CLASS A Series 2 |
$ | (153.10 | ) | $ | 318.86 | $ | (145.49 | ) | $ | 152.44 | ||||||
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CLASS B Series 1 |
$ | (152.33 | ) | $ | 284.33 | $ | (235.46 | ) | $ | 94.33 | ||||||
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CLASS B Series 2 |
$ | (154.84 | ) | $ | 342.09 | $ | (231.25 | ) | $ | 94.62 | ||||||
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WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD |
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CLASS A Series 1 |
30,998.60 | 37,703.18 | 31,226.16 | 38,291.24 | ||||||||||||
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CLASS A Series 2 |
2,535.17 | 4,958.22 | 3,590.61 | 5,000.54 | ||||||||||||
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CLASS B Series 1 |
13,275.04 | 13,765.44 | 13,372.33 | 13,639.11 | ||||||||||||
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CLASS B Series 2 |
41.15 | 48.75 | 41.15 | 59.15 | ||||||||||||
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See accompanying notes and attached financial statements of Man-AHL Diversified Trading Company L.P.
4
(A Delaware Limited Partnership)
STATEMENTS OF CHANGES IN PARTNERS CAPITAL
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015 (UNAUDITED)
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 |
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Amount | Units | Amount | Units | Amount | Units | Amount | Units | Amount | Units | Amount | Units | |||||||||||||||||||||||||||||||||||||
PARTNERS CAPITAL |
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January 1, 2016 |
$ | 107,157,136 | 31,107 | $ | 642,022 | 186 | $ | 18,474,728 | 4,928 | $ | 46,673,266 | 13,549 | $ | 154,282 | 41 | $ | 173,101,434 | 49,811 | ||||||||||||||||||||||||||||||
Subscriptions |
9,744,254 | 2,719 | | | 50,000 | 13 | 2,729,749 | 803 | | | 12,524,003 | 3,535 | ||||||||||||||||||||||||||||||||||||
Redemptions |
(11,146,852 | ) | (3,202 | ) | | | (9,275,389 | ) | (2,460 | ) | (3,996,532 | ) | (1,154 | ) | | | (24,418,773 | ) | (6,816 | ) | ||||||||||||||||||||||||||||
Net income (loss) |
(7,692,277 | ) | | (45,233 | ) | | (522,410 | ) | | (3,148,703 | ) | | (9,516 | ) | | (11,418,139 | ) | | ||||||||||||||||||||||||||||||
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PARTNERS CAPITAL |
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September 30, 2016 |
$ | 98,062,261 | 30,624 | $ | 596,789 | 186 | $ | 8,726,929 | 2,481 | $ | 42,257,780 | 13,198 | $ | 144,766 | 41 | $ | 149,788,525 | 46,530 | ||||||||||||||||||||||||||||||
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PARTNERS CAPITAL |
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January 1, 2015 |
$ | 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 | ||||||||||||||||||||||||||||||
Subscriptions |
8,072,680 | 2,239 | | | 50,000 | 13 | 3,729,759 | 1,025 | | | 11,852,439 | 3,277 | ||||||||||||||||||||||||||||||||||||
Redemptions |
(13,579,347 | ) | (3,750 | ) | | | (718,201 | ) | (181 | ) | (2,527,590 | ) | (711 | ) | (87,328.00 | ) | (23 | ) | (16,912,466 | ) | (4,665 | ) | ||||||||||||||||||||||||||
Net income (loss) |
4,014,679 | | 19,119 | | 762,304 | | 1,286,571 | | 5,597 | | 6,088,270 | | ||||||||||||||||||||||||||||||||||||
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PARTNERS CAPITAL |
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September 30, 2015 |
$ | 133,939,821 | 37,115 | $ | 672,586 | 186 | $ | 19,374,099 | 4,948 | $ | 48,905,280 | 13,552 | $ | 161,121 | 41 | $ | 203,052,907 | 55,842 | ||||||||||||||||||||||||||||||
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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.
5
(A Delaware Limited Partnership)
STATEMENTS OF CASH FLOWS (UNAUDITED)
For the nine months ended September 30, |
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2016 | 2015 | |||||||
CASH FLOWS FROM OPERATING ACTIVITIES: |
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Net income (loss) |
$ | (11,418,139 | ) | $ | 6,088,270 | |||
Adjustments to reconcile net income (loss) to net cash provided by operating activities: |
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Purchases of investments in Man-AHL Diversified Trading Company L.P. |
(3,764,098 | ) | (9,127,342 | ) | ||||
Sales of investments in Man-AHL Diversified Trading Company L.P. |
29,241,821 | 21,116,910 | ||||||
Net gain (loss) on trading activities and net investment loss allocated from investment in Man-AHL Diversified Trading Company L.P. |
6,129,888 | (12,518,095 | ) | |||||
Changes in assets and liabilities: |
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Management fees payable |
(562,398 | ) | 703 | |||||
Servicing fees payable |
(189,632 | ) | 549 | |||||
Accrued expenses and other liabilities |
128,381 | (91,299 | ) | |||||
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Net cash provided by operating activities |
19,565,823 | 5,469,696 | ||||||
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CASH FLOWS FROM FINANCING ACTIVITIES: |
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Proceeds from subscriptions |
12,524,003 | 11,054,779 | ||||||
Payments on redemptions |
(32,089,826 | ) | (17,322,135 | ) | ||||
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Net cash used in financing activities |
(19,565,823 | ) | (6,267,356 | ) | ||||
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NET INCREASE (DECREASE) IN CASH |
| (797,660 | ) | |||||
CASH - Beginning of period |
| 797,660 | ||||||
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CASH - End of period |
$ | | $ | | ||||
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See accompanying notes and attached financial statements of Man-AHL Diversified Trading Company L.P.
6
(A Delaware Limited Partnership)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
The accompanying unaudited financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Man-AHL Diversified I L.P.s (a Delaware Limited Partnership) (the Partnership) financial condition at September 30, 2016, and the results of its operations for the three and nine months ended September 30, 2016 and 2015. These financial statements present the results of interim periods and do not include all of the disclosures normally provided in annual financial statements. These financial statements should be read in conjunction with the audited financial statements and notes included in the Partnerships annual report on Form 10-K filed with the Securities and Exchange Commission (SEC) for the year ended December 31, 2015. The December 31, 2015 information has been derived from the audited financial statements as of December 31, 2015.
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 Partnerships 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 commodity pool operator and is a member of the National Futures Association (NFA) in such capacities, in addition to registration with the Financial Conduct Authority in the United Kingdom.
Man Investments 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 Partnerships 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 Partnerships 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.
From December 31, 2014 through March 31, 2015, Citibank N.A. served as the administrator of the Partnership. As of April 1, 2015, The Bank of New York Mellon assumed the role of administrator of the Partnership.
7
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.
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 Partnerships investment in the Trading Company is valued at the fair value of the Partnerships proportionate interest in the net assets of the Trading Company. The fair value of the Partnerships 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 Companys 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 Companys notes to financial statements.
At September 30, 2016 and December 31, 2015, the Partnership owned 11,527.15 and 12,823.68 units, respectively, of the Trading Company. The Partnerships aggregate ownership percentage of the Trading Company at September 30, 2016 and December 31, 2015 was 84.86% and 87.42%, respectively.
The Partnership is able to redeem its investment from the Trading Company on a monthly basis. As of September 30, 2016, the Partnership could redeem its investment without restriction at the month-end net asset value of the Trading Company.
Due from Man-AHL Diversified Trading Company L.P. The amounts Due from Man-AHL Diversified Trading Company L.P. represent redemption requests made by the Partnership relating to its investment in the Trading Company. The requests have been received and recorded by the Trading Company but the proceeds have not been received by the Partnership.
Expenses The Advisor earns a monthly management fee in an amount equal to 0.1667% (2% annually) of the Partnerships 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 nine months ended September 30, 2016 and 2015, no incentive fees were earned by the Advisor.
The Partnership pays a monthly servicing fee to MII in an amount equal to 0.0833% (1.00% annually) of the month-end Net Asset Value of Class A Series 1 and Class B Series 1 units and to 0.0625% (0.75% annually) of the month-end Net Asset Value of Class A Series 2 and Class B Series 2 units. For all classes of units, MII serves as the placement agent for the Partnership.
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Expenses are recognized on an accrual basis in the period in which they are incurred.
Derivative Contracts The Partnerships 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 Partnerships 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 and The Bank of New York Mellon.
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 Partnerships tax returns to determine whether the tax positions are more-likely-than-not to be sustained by the applicable tax authority. Based on this analysis of all tax jurisdictions and all open tax years subject to examination, there were no material tax positions not deemed to meet a more-likely-than-not-threshold. Therefore, no tax expense, including interest or penalties, was recorded for the nine months ended September 30, 2016 and 2015. 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 Partnerships units are continuously offered as of the first business day of each month at Net Asset Value, as defined in the Agreement. Limited partners may redeem any or all of their units as of the end of any month at Net Asset Value per unit on 10 days prior written notice to the General Partner. The Partnership will be dissolved on December 31, 2037, or upon the occurrence of certain events, as specified in the Agreement.
The General Partner is required to make and maintain a general partner investment in the Partnership in an aggregate amount equal to the lesser of 1.01% of the net aggregate capital subscriptions of all partners, or $500,000.
Distributions (other than redemptions of units), if any, are made on a pro-rata basis at the sole discretion of the General Partner. No distributions were declared or paid during the nine months ended September 30, 2016 and 2015.
9
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 Partnerships maximum exposure under these arrangements is not known; however, the Partnership has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
5. | FINANCIAL HIGHLIGHTS |
The following represents the ratios to average limited partners capital and other information for the three and nine months ended September 30, 2016 and 2015:
For the three months ended September 30, 2016 | For the three months ended September 30, 2015 | |||||||||||||||||||||||||||||||
Class A Series 1 |
Class A Series 2 |
Class B Series 1 |
Class B Series 2 |
Class A Series 1 |
Class A Series 2 |
Class B Series 1 |
Class B Series 2 |
|||||||||||||||||||||||||
Per unit operating performance: |
||||||||||||||||||||||||||||||||
Beginning net asset value |
$ | 3,353.50 | $ | 3,672.69 | $ | 3,353.52 | $ | 3,672.76 | $ | 3,325.34 | $ | 3,596.48 | $ | 3,325.35 | $ | 3,596.55 | ||||||||||||||||
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Income (loss) from investment operations: |
||||||||||||||||||||||||||||||||
Net investment loss |
(41.29 | ) | (37.18 | ) | (41.20 | ) | (33.27 | ) | (42.69 | ) | (33.65 | ) | (42.44 | ) | (35.51 | ) | ||||||||||||||||
Net realized and unrealized gains (losses) on trading activities |
(110.11 | ) | (117.65 | ) | (110.36 | ) | (121.57 | ) | 326.15 | 352.47 | 325.91 | 354.33 | ||||||||||||||||||||
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Total income (loss) from investment operations |
(151.40 | ) | (154.83 | ) | (151.56 | ) | (154.84 | ) | 283.46 | 318.82 | 283.47 | 318.82 | ||||||||||||||||||||
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Ending net asset value |
$ | 3,202.10 | $ | 3,517.86 | $ | 3,201.96 | $ | 3,517.92 | $ | 3,608.80 | $ | 3,915.30 | $ | 3,608.82 | $ | 3,915.37 | ||||||||||||||||
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Ratios to average partners capital:1 |
||||||||||||||||||||||||||||||||
Expenses other than incentive fees |
5.19 | % | 4.37 | % | 5.18 | % | 3.85 | % | 4.93 | % | 3.61 | % | 4.91 | % | 3.83 | % | ||||||||||||||||
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Total expenses |
5.19 | % | 4.37 | % | 5.18 | % | 3.85 | % | 4.93 | % | 3.61 | % | 4.91 | % | 3.83 | % | ||||||||||||||||
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Net investment loss |
(4.98 | )% | (4.09 | )% | (4.97 | )% | (3.66 | )% | (4.89 | )% | (3.57 | )% | (4.87 | )% | (3.79 | )% | ||||||||||||||||
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Total return2: |
||||||||||||||||||||||||||||||||
Total return before incentive fees |
(4.51 | )% | (4.22 | )% | (4.52 | )% | (4.22 | )% | 8.52 | % | 8.86 | % | 8.52 | % | 8.86 | % | ||||||||||||||||
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Total return after incentive fees |
(4.51 | )% | (4.22 | )% | (4.52 | )% | (4.22 | )% | 8.52 | % | 8.86 | % | 8.52 | % | 8.86 | % | ||||||||||||||||
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|||||||||||||||||
For the nine months ended September 30, 2016 | For the nine months ended September 30, 2015 | |||||||||||||||||||||||||||||||
Class A Series 1 |
Class A Series 2 |
Class B Series 1 |
Class B Series 2 |
Class A Series 1 |
Class A Series 2 |
Class B Series 1 |
Class B Series 2 |
|||||||||||||||||||||||||
Per unit operating performance: |
||||||||||||||||||||||||||||||||
Beginning net asset value |
$ | 3,444.80 | $ | 3,749.11 | $ | 3,444.82 | $ | 3,749.17 | $ | 3,506.22 | $ | 3,768.41 | $ | 3,506.23 | $ | 3,768.48 | ||||||||||||||||
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Income (loss) from investment operations: |
||||||||||||||||||||||||||||||||
Net investment loss |
(128.95 | ) | (113.38 | ) | (128.48 | ) | (104.13 | ) | (129.20 | ) | (100.93 | ) | (128.40 | ) | (104.31 | ) | ||||||||||||||||
Net realized and unrealized gains (losses) on trading activities |
(113.75 | ) | (117.87 | ) | (114.38 | ) | (127.12 | ) | 231.78 | 247.82 | 230.99 | 251.20 | ||||||||||||||||||||
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Total income (loss) from investment operations |
(242.70 | ) | (231.25 | ) | (242.86 | ) | (231.25 | ) | 102.58 | 146.89 | 102.59 | 146.89 | ||||||||||||||||||||
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Ending net asset value |
$ | 3,202.10 | $ | 3,517.86 | $ | 3,201.96 | $ | 3,517.92 | $ | 3,608.80 | $ | 3,915.30 | $ | 3,608.82 | $ | 3,915.37 | ||||||||||||||||
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Ratios to average partners capital:1 |
||||||||||||||||||||||||||||||||
Expenses other than incentive fees |
5.16 | % | 4.16 | % | 5.14 | % | 3.85 | % | 4.88 | % | 3.57 | % | 4.86 | % | 3.68 | % | ||||||||||||||||
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Total expenses |
5.16 | % | 4.16 | % | 5.14 | % | 3.85 | % | 4.88 | % | 3.57 | % | 4.86 | % | 3.68 | % | ||||||||||||||||
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Net investment loss |
(4.99 | )% | (3.97 | )% | (4.97 | )% | (3.69 | )% | (4.77 | )% | (3.45 | )% | (4.74 | )% | (3.56 | )% | ||||||||||||||||
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Total return2: |
||||||||||||||||||||||||||||||||
Total return before incentive fees |
(7.05 | )% | (6.17 | )% | (7.05 | )% | (6.17 | )% | 2.93 | % | 3.90 | % | 2.93 | % | 3.90 | % | ||||||||||||||||
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Total return after incentive fees |
(7.05 | )% | (6.17 | )% | (7.05 | )% | (6.17 | )% | 2.93 | % | 3.90 | % | 2.93 | % | 3.90 | % | ||||||||||||||||
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1 | Includes amounts allocated from the Trading Company. Ratios have been annualized. |
2 | Total return is for the period indicated and has not been annualized. |
Financial highlights are calculated for limited partners taken as a whole for each series. An individual partners 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 September 30, 2016, through the date of filing, the Partnership recorded limited partner subscriptions of $545,795 and limited partner redemptions of $2,298,699.
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.
10
Man-AHL Diversified Trading Company L.P.
Financial Statements
12 | ||
14 | ||
15 | ||
16 | ||
17 |
(a) | At September 30, 2016 (unaudited) and December 31, 2015 |
(b) | For the three months ended September 30, 2016 and 2015 (unaudited) and for the nine months ended September 30, 2016 and 2015 (unaudited) |
(c) | For the nine months ended September 30, 2016 and 2015 (unaudited) |
11
MAN-AHL DIVERSIFIED TRADING COMPANY L.P.
(A Delaware Limited Partnership)
STATEMENTS OF FINANCIAL CONDITION
September 30, 2016 | ||||||||
(Unaudited) | December 31, 2015 | |||||||
ASSETS |
||||||||
Equity in trading accounts: |
||||||||
Net unrealized trading gains on open futures contracts |
$ | 1,200,802 | $ | 1,974,751 | ||||
Net unrealized trading gains on open forward contracts |
130,152 | 193,860 | ||||||
Net unrealized trading gains on open swap agreements |
2,281,711 | 1,261,098 | ||||||
Premiums paid on credit default swap agreements |
6,148,920 | 759,796 | ||||||
Due from brokers |
26,883,027 | 25,752,283 | ||||||
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|||||
Total equity in trading accounts |
36,644,612 | 29,941,788 | ||||||
Cash and cash equivalents |
146,363,232 | 180,883,999 | ||||||
Interest receivable |
12,018 | | ||||||
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|||||
Total assets |
$ | 183,019,862 | $ | 210,825,787 | ||||
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LIABILITIES AND PARTNERS CAPITAL |
||||||||
LIABILITIES: |
||||||||
Net unrealized trading losses on open futures contracts |
$ | 182,329 | $ | 225,855 | ||||
Net unrealized trading losses on open forward contracts |
892,711 | 403,574 | ||||||
Net unrealized trading losses on open swap agreements |
| 836,358 | ||||||
Premiums received on credit default swap agreements |
2,875,986 | 712,445 | ||||||
Due to broker |
122,486 | | ||||||
Redemptions payable to Man-AHL Diversified I L.P. |
919,098 | 8,590,151 | ||||||
Redemptions payable to Man-AHL Diversified II L.P. |
88,814 | | ||||||
Accrued expenses and other liabilities |
400,690 | 351,274 | ||||||
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Total liabilities |
5,482,114 | 11,119,657 | ||||||
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|||||
PARTNERS CAPITAL: |
||||||||
Limited Partners (13,584.49 and 14,668.74 units outstanding at September 30, 2016 and December 31, 2015, respectively) |
177,537,748 | 199,706,130 | ||||||
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Total partners capital |
177,537,748 | 199,706,130 | ||||||
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Total liabilities and partners capital |
$ | 183,019,862 | $ | 210,825,787 | ||||
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|||||
NET ASSET VALUE PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST |
$ | 13,069.15 | $ | 13,614.40 | ||||
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See notes to financial statements.
12
MAN-AHL DIVERSIFIED TRADING COMPANY L.P.
(A Delaware Limited Partnership)
CONDENSED SCHEDULES OF INVESTMENTS
September 30, 2016 (Unaudited) | December 31, 2015 | |||||||||||||||
Fair Value | Percent of Partners Capital |
Fair Value | Percent of Partners Capital |
|||||||||||||
FUTURES CONTRACTS - Long: |
||||||||||||||||
Agricultural |
$ | 131,311 | 0.1 | $ | 117,984 | 0.1 | ||||||||||
Currencies |
| 0.0 | (1,440 | ) | (0.0 | ) | ||||||||||
Energy |
(146,024 | ) | (0.1 | ) | (140,307 | ) | (0.1 | ) | ||||||||
Indices |
797,107 | 0.4 | (176,089 | ) | (0.1 | ) | ||||||||||
Interest Rates |
301,052 | 0.2 | (371,403 | ) | (0.2 | ) | ||||||||||
Metals |
6,610 | 0.0 | (76,550 | ) | (0.0 | ) | ||||||||||
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Total futures contracts - long |
1,090,056 | 0.6 | (647,805 | ) | (0.3 | ) | ||||||||||
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FUTURES CONTRACTS - Short: |
||||||||||||||||
Agricultural |
397,106 | 0.2 | 802,455 | 0.4 | ||||||||||||
Currencies |
(1,875 | ) | 0.0 | | 0.0 | |||||||||||
Energy |
(312,749 | ) | (0.2 | ) | 1,401,618 | 0.7 | ||||||||||
Indices |
133,271 | 0.1 | 223,760 | 0.1 | ||||||||||||
Interest Rates |
(61,218 | ) | 0.0 | 17,711 | 0.0 | |||||||||||
Metals |
(226,118 | ) | (0.1 | ) | (48,843 | ) | (0.0 | ) | ||||||||
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Total futures contracts - short |
(71,583 | ) | 0.0 | 2,396,701 | 1.2 | |||||||||||
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NET UNREALIZED TRADING GAINS ON OPEN FUTURES CONTRACTS |
$ | 1,018,473 | 0.6 | $ | 1,748,896 | 0.9 | ||||||||||
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FORWARD CONTRACTS - Long: |
||||||||||||||||
Australian dollars |
$ | 308,567 | 0.2 | $ | 369,549 | 0.2 | ||||||||||
British pounds |
(466,682 | ) | (0.3 | ) | (850,089 | ) | (0.4 | ) | ||||||||
Euro |
539,697 | 0.3 | (452,102 | ) | (0.2 | ) | ||||||||||
Gold bullion |
292,105 | 0.2 | 15,747 | 0.0 | ||||||||||||
Japanese yen |
199,255 | 0.1 | 959,347 | 0.5 | ||||||||||||
New Zealand dollars |
(153,371 | ) | (0.1 | ) | 381,631 | 0.2 | ||||||||||
Other |
726,017 | 0.4 | (1,883,153 | ) | (0.9 | ) | ||||||||||
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Total forward contracts - long |
1,445,588 | 0.8 | (1,459,070 | ) | (0.6 | ) | ||||||||||
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FORWARD CONTRACTS - Short: |
||||||||||||||||
Australian dollars |
(627,864 | ) | (0.4 | ) | (731,725 | ) | (0.4 | ) | ||||||||
British pounds |
270,708 | 0.2 | 1,446,072 | 0.7 | ||||||||||||
Euro |
(581,518 | ) | (0.3 | ) | 637,614 | 0.3 | ||||||||||
Gold bullion |
(178,589 | ) | (0.1 | ) | (123,697 | ) | (0.1 | ) | ||||||||
Japanese yen |
(457,062 | ) | (0.3 | ) | (1,749,205 | ) | (0.9 | ) | ||||||||
New Zealand dollars |
53,057 | 0.0 | (199,712 | ) | (0.1 | ) | ||||||||||
Other |
(686,879 | ) | (0.4 | ) | 1,970,009 | 1.0 | ||||||||||
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Total forward contracts - short |
(2,208,147 | ) | (1.3 | ) | 1,249,356 | 0.5 | ||||||||||
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NET UNREALIZED TRADING GAINS (LOSSES) ON OPEN FORWARD CONTRACTS |
$ | (762,559 | ) | (0.5 | ) | $ | (209,714 | ) | (0.1 | ) | ||||||
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SWAP AGREEMENTS - Long: |
||||||||||||||||
Credit default swaps - Buy protection centrally cleared (upfront premiums received $2,875,986 and $712,445, as of September 30, 2016 and December 31, 2015, respectively) |
$ | (323,470 | ) | (0.2 | ) | $ | (362,615 | ) | (0.2 | ) | ||||||
Interest rate swaps |
4,953,715 | 2.8 | 3,878,431 | 2.0 | ||||||||||||
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Total swap agreements - long |
4,630,245 | 2.6 | 3,515,816 | 1.8 | ||||||||||||
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SWAP AGREEMENTS - Short: |
||||||||||||||||
Credit default swaps - Sell protection centrally cleared (upfront premiums paid $6,148,920 and $759,796 as of September 30, 2016 and December 31, 2015, respectively) |
633,628 | 0.4 | 46,934 | 0.0 | ||||||||||||
Interest rate swaps |
(2,982,162 | ) | (1.7 | ) | (3,138,010 | ) | (1.6 | ) | ||||||||
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Total swap agreements - short |
(2,348,534 | ) | (1.3 | ) | (3,091,076 | ) | (1.6 | ) | ||||||||
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NET UNREALIZED TRADING GAINS/(LOSSES) ON OPEN SWAP AGREEMENTS |
$ | 2,281,711 | 1.3 | $ | 424,740 | 0.2 | ||||||||||
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NET UNREALIZED TRADING GAINS/(LOSSES) ON OPEN CONTRACTS/AGREEMENTS |
$ | 2,537,625 | 1.4 | $ | 1,963,922 | 1.0 | ||||||||||
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See notes to financial statements.
13
MAN-AHL DIVERSIFIED TRADING COMPANY L.P.
(A Delaware Limited Partnership)
STATEMENTS OF OPERATIONS (UNAUDITED)
For the three months ended September 30, |
For the nine months ended September 30, |
|||||||||||||||
2016 | 2015 | 2016 | 2015 | |||||||||||||
NET INVESTMENT INCOME: |
||||||||||||||||
Interest income |
$ | 95,918 | $ | 22,424 | $ | 240,212 | $ | 139,794 | ||||||||
Other income |
| | | 72,665 | ||||||||||||
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|
|||||||||
Total investment income |
$ | 95,918 | $ | 22,424 | $ | 240,212 | $ | 212,459 | ||||||||
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|||||||||
EXPENSES |
||||||||||||||||
Brokerage commissions |
170,900 | 236,584 | 606,411 | 740,949 | ||||||||||||
Interest expense - brokers |
9,994 | 26,184 | 25,011 | 56,770 | ||||||||||||
Administration fees |
31,510 | 39,298 | 99,102 | 84,705 | ||||||||||||
Professional fees |
140,804 | 46,830 | 349,746 | 129,944 | ||||||||||||
Other expenses |
40,436 | 11,731 | 117,933 | 31,884 | ||||||||||||
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|
|||||||||
Total expenses |
393,644 | 360,627 | 1,198,203 | 1,044,252 | ||||||||||||
|
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|
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|
|
|
|
|||||||||
Net investment income (loss) |
(297,726 | ) | (338,203 | ) | (957,991 | ) | (831,793 | ) | ||||||||
|
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|
|
|||||||||
NET REALIZED AND UNREALIZED GAINS (LOSSES) ON TRADING ACTIVITIES: |
||||||||||||||||
Net realized trading gains (losses) on closed contracts/agreements and foreign currency transactions |
(860,264 | ) | 7,304,017 | (7,122,153 | ) | 22,653,376 | ||||||||||
Net change in unrealized gains (losses) on translation of foreign currency |
68,127 | (111,155 | ) | 93,213 | 3,366,969 | |||||||||||
Net change in unrealized trading gains (losses) on open contracts/agreements |
(5,312,341 | ) | 14,686,902 | 573,703 | (10,457,906 | ) | ||||||||||
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|
|||||||||
Net gain (loss) on trading activities |
(6,104,478 | ) | 21,879,764 | (6,455,237 | ) | 15,562,439 | ||||||||||
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|
|||||||||
NET INCOME (LOSS) |
$ | (6,402,204 | ) | $ | 21,541,561 | $ | (7,413,228 | ) | $ | 14,730,646 | ||||||
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|
|||||||||
NET INCOME (LOSS) PER UNIT OF PARTNERSHIP INTEREST (based on weighted average units outstanding during the period) |
$ | (434.82 | ) | $ | 1,233.05 | $ | (508.54 | ) | $ | 826.11 | ||||||
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|
|||||||||
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD |
14,723.81 | 17,470.09 | 14,577.35 | 17,831.36 | ||||||||||||
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|
|
|
|
|
|
See notes to financial statements.
14
MAN-AHL DIVERSIFIED TRADING COMPANY L.P.
(A Delaware Limited Partnership)
STATEMENTS OF CHANGES IN PARTNERS CAPITAL (UNAUDITED)
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015
Limited Partners | General Partner | Total | ||||||||||||||||||||||
Amount | Units | Amount | Units | Amount | Units | |||||||||||||||||||
PARTNERS CAPITAL - January 1, 2016 |
$ | 199,706,130 | 14,669 | $ | | | $ | 199,706,130 | 14,669 | |||||||||||||||
Subscriptions |
9,875,111 | 689 | | | 9,875,111 | 689 | ||||||||||||||||||
Redemptions |
(24,630,265 | ) | (1,774 | ) | | | (24,630,265 | ) | (1,774 | ) | ||||||||||||||
Net income (loss) |
(7,413,228 | ) | | | | (7,413,228 | ) | | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
PARTNERS CAPITAL - September 30, 2016 |
$ | 177,537,748 | 13,584 | $ | | | $ | 177,537,748 | 13,584 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
PARTNERS CAPITAL - January 1, 2015 |
$ | 236,996,474 | 17,854 | $ | | | $ | 236,996,474 | 17,854 | |||||||||||||||
Subscriptions |
13,637,739 | 995 | | | 13,637,739 | 995 | ||||||||||||||||||
Redemptions |
(25,728,641 | ) | (1,861 | ) | | | (25,728,641 | ) | (1,861 | ) | ||||||||||||||
Net income (loss) |
14,730,646 | | | | 14,730,646 | | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
PARTNERS CAPITAL - September 30, 2015 |
$ | 239,636,218 | 16,988 | $ | | | $ | 239,636,218 | 16,988 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
Units and dollars have been rounded to the nearest whole number.
See notes to financial statements.
15
MAN-AHL DIVERSIFIED TRADING COMPANY L.P.
(A Delaware Limited Partnership)
STATEMENTS OF CASH FLOWS (UNAUDITED)
For the nine months ended September 30, |
||||||||
2016 | 2015 | |||||||
CASH FLOWS FROM OPERATING ACTIVITIES: |
||||||||
Net income (loss) |
$ | (7,413,228 | ) | $ | 14,730,646 | |||
Adjustments to reconcile net income (loss) to net cash provided by operating activities: |
||||||||
Net change in unrealized trading (gains)/losses on open contracts/agreements |
(573,703 | ) | 10,457,906 | |||||
Changes in assets and liabilities: |
||||||||
Due from brokers |
(1,130,744 | ) | (4,223,191 | ) | ||||
Interest receivable |
(12,018 | ) | (8,390 | ) | ||||
Net premiums paid on credit default swap agreements |
(5,389,124 | ) | 2,371,320 | |||||
Net premiums received on credit default swap agreements |
2,163,541 | 2,263,966 | ||||||
Due to brokers |
122,486 | 92,155 | ||||||
Accrued expenses and other liabilities |
49,416 | (42,989 | ) | |||||
|
|
|
|
|||||
Net cash provided by operating activities |
(12,183,374 | ) | 25,641,423 | |||||
|
|
|
|
|||||
CASH FLOWS FROM FINANCING ACTIVITIES: |
||||||||
Proceeds from subscriptions |
9,875,111 | 13,637,739 | ||||||
Payments on redemptions |
(32,212,504 | ) | (27,521,696 | ) | ||||
|
|
|
|
|||||
Net cash used in financing activities |
(22,337,393 | ) | (13,883,957 | ) | ||||
|
|
|
|
|||||
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS |
(34,520,767 | ) | 11,757,466 | |||||
CASH AND CASH EQUIVALENTS - Beginning of period |
180,883,999 | 197,017,472 | ||||||
|
|
|
|
|||||
CASH AND CASH EQUIVALENTS - End of period |
$ | 146,363,232 | $ | 208,774,938 | ||||
|
|
|
|
|||||
SUPPLEMENTAL DISCLOSURE OF CASH ACTIVITY: |
||||||||
CASH PAID FOR INTEREST DURING THE PERIOD: |
$ | 25,011 | $ | 56,770 | ||||
|
|
|
|
See notes to financial statements.
16
MAN-AHL DIVERSIFIED TRADING COMPANY L.P.
(A Delaware Limited Partnership)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
The accompanying unaudited financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Man-AHL Diversified Trading Company L.P.s (a Delaware Limited Partnership) (the Trading Company) financial condition at September 30, 2016, and the results of its operations for the three and nine months ended September 30, 2016 and 2015. These financial statements present the results of interim periods and do not include all of the disclosures normally provided in the annual financial statements. These financial statements should be read in conjunction with the audited financial statements and notes included in Man-AHL Diversified I L.P.s annual report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2015. The December 31, 2015 information has been derived from the audited financial statements as of December 31, 2015.
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 Companys 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 the trading advisor to the Trading Company. The Advisor is an affiliate of the General Partner and a subsidiary of Man Group plc. The Advisor is registered with the Commodity Futures Trading Commission (CFTC) as a commodity trading adviser and commodity pool operator and is a member of the National Futures Association (NFA) in such capacities, in addition to registration with the Financial Conduct Authority in the United Kingdom. The personnel of Man Investments Holdings Limited are responsible for implementing the futures and 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.
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.
From December 31, 2014 through March 31, 2015, Citibank N.A. served as the administrator of the Trading Company. As of April 1, 2015, The Bank of New York Mellon assumed the role of administrator of the Trading Company.
2. | SIGNIFICANT ACCOUNTING POLICIES |
The Trading Company prepares its financial statements in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The General Partner has evaluated the structure, objectives and activities of the Trading Company and determined that the Trading Company meets the characteristics of an investment company. As such, these financial statements have applied the guidance as set forth in the 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.
17
Use of Estimates The preparation of financial statements in conformity with U.S. GAAP requires the General Partner to make estimates and assumptions that affect the reported amounts of assets and liabilities (and disclosure of contingent assets and liabilities) at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
Due from Brokers Due from brokers consists of balances due from Credit Suisse (CS), JPMorgan Chase (JPM), Royal Bank of Scotland (RBS), Deutsche Bank (DB), Bank of America Merrill Lynch (ML) and HSBC. In general, the brokers pay the Trading Company interest monthly, based on agreed upon rates, on the Trading Companys average daily balance.
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 $14,013,881 and $19,062,982 as of September 30, 2016 and December 31, 2015, respectively.
Due to Broker Due to broker consists of balances due to The Bank of New York Mellon relating to securities purchased, but not yet settled as of September 30, 2016.
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 Companys swap agreements consist of interest rate swaps and credit default swaps. Swap agreements are valued at fair value using independent pricing services.
Realized gains and losses from periodic payments and settlements and unrealized changes in fair values are included in realized and unrealized gains and losses on contracts/agreements, respectively, in the statements of operations. All trading activities are accounted for on a trade-date basis.
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 U.S. government securities with original maturities of 90 days or less, held with The Bank of New York Mellon. As of September 30, 2016, the Trading Company maintains cash balances with The Bank of New York Mellon and Citibank N.A. As of September 30, 2016, the Trading Company holds $139,982,807 of U.S. Treasury Bills in cash and cash equivalents with The Bank of New York Mellon. These U.S. Treasury Bills, with maturity dates ranging from October 13, 2016 to November 17, 2016, have a total face value of $140,000,000. As of December 31, 2015, the Trading Company holds $160,986,436 of U.S. Treasury Bills in cash and cash equivalents with The Bank of New York Mellon. These U.S. Treasury Bills, with a maturity date from January 7, 2016 to February 25, 2016, have a total face value of $161,000,000. As of September 30, 2016 and December 31, 2015, all U.S. Treasury Bills are classified as Level 2 investments in the fair value hierarchy.
18
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 Companys tax returns to determine whether the tax positions are more likely than not to be sustained by the applicable tax authority. Based on this analysis of all tax jurisdictions and all open tax years subject to examination, there were no material tax positions not deemed to meet a more-likely-than-not-threshold. Therefore, no tax expense, including interest or penalties, was recorded for the nine months ended September 30, 2016 and 2015. 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.
New Accounting Pronouncement In August 2014, the FASB issued ASU 2014-15, Presentation of Financial Statements Going Concern (Subtopic 205-40) (ASU 2014-15). The pronouncement determines managements responsibility regarding assessment of the Trading Companys ability to continue as a going concern, even if the Trading Companys liquidation is not imminent. Currently, no similar guidance exists. Under this guidance, during each period in which financial statements are prepared, management needs to evaluate whether there are conditions or events that, in aggregate, raise substantial doubt about the Trading Companys ability to continue as a going concern within one year after the date the financial statements are issued. Substantial doubt exists if these conditions or events indicate that the Trading Company will be unable to meet its obligations as they become due. If such conditions or events exist, management should develop a plan to mitigate or alleviate these conditions or events. Regardless of managements plan to mitigate, certain disclosures must be made in the financial statements. ASU 2014-15 is effective for annual periods ending after December 15, 2016, however, early adoption is permitted. The Trading Company is currently evaluating the impact the update will have on the Trading Companys financial statements.
3. | PARTNERSHIP AGREEMENT |
The Advisor is the sole trading advisor to the Trading Company.
The General Partner and limited partners share in the profits and losses of the Trading Company in proportion to the number of units or unit equivalents held by each partner. However, no limited partner is liable for obligations of the Trading Company in excess of its capital contribution and net profits or losses, if any. The General Partner owned no direct interest in the Trading Company during the nine months ended September 30, 2016, and the year ended December 31, 2015.
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 nine months ended September 30, 2016, and the year ended December 31, 2015.
Partner contributions occur as of the first day of any month at the opening net asset value. Limited partners may redeem any or all of their units as of the end of any month at the net asset value per unit with 10 days prior written notice to the General Partner. The General Partner may suspend redemptions of units of the Trading Company if the Trading Companys 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 Companys limited partnership agreement.
19
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 Companys 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 Companys 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 Companys 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 market observable inputs in their valuations, and are categorized as Level 2 investments in the fair value hierarchy. As of September 30, 2016 and December 31, 2015, 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 September 30, 2016 and December 31, 2015, of the Trading Companys investments based on the level of inputs utilized in determining the value of such investments:
Fair Value Measurements | ||||||||||||||||
Investments |
As of September 30, 2016 |
Level 1 | Level 2 | Level 3 | ||||||||||||
Assets |
||||||||||||||||
Treasury bills |
$ | 139,982,807 | $ | | $ | 139,982,807 | $ | | ||||||||
Futures contracts |
3,039,187 | 3,039,187 | | | ||||||||||||
Forward contracts |
5,077,903 | | 5,077,903 | | ||||||||||||
Swap agreements |
10,370,793 | | 10,370,793 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets |
158,470,690 | 3,039,187 | 155,431,503 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Liabilities |
||||||||||||||||
Futures contracts |
(2,020,714 | ) | (2,020,714 | ) | | | ||||||||||
Forward contracts |
(5,840,462 | ) | | (5,840,462 | ) | | ||||||||||
Swap agreements |
(8,089,082 | ) | | (8,089,082 | ) | | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities |
(15,950,258 | ) | (2,020,714 | ) | (13,929,544 | ) | | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net Fair Value |
$ | 142,520,432 | $ | 1,018,473 | $ | 141,501,959 | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Fair Value Measurements | ||||||||||||||||
Investments |
As of December 31, 2015 |
Level 1 | Level 2 | Level 3 | ||||||||||||
Assets |
||||||||||||||||
Treasury bills |
$ | 160,986,436 | $ | | $ | 160,986,436 | $ | | ||||||||
Futures contracts |
4,751,908 | 4,751,908 | | | ||||||||||||
Forward contracts |
9,835,998 | | 9,835,998 | | ||||||||||||
Swap agreements |
23,407,801 | | 23,407,801 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets |
198,982,143 | 4,751,908 | 194,230,235 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Liabilities |
||||||||||||||||
Futures contracts |
(3,003,012 | ) | (3,003,012 | ) | | | ||||||||||
Forward contracts |
(10,045,712 | ) | | (10,045,712 | ) | | ||||||||||
Swap agreements |
(22,983,061 | ) | | (22,983,061 | ) | | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities |
(36,031,785 | ) | (3,003,012 | ) | (33,028,773 | ) | | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net Fair Value |
$ | 162,950,358 | $ | 1,748,896 | $ | 161,201,462 | $ | | ||||||||
|
|
|
|
|
|
|
|
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 September 30, 2016 based on the levels assigned at December 31, 2015.
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 of the strategies and systems of the AHL Diversified Program are designed to target defined volatility levels rather than returns, and the investment process is underpinned by computer-supported analytical instruments and disciplined real-time risk and management information systems. A proprietary risk measurement method similar to the industry standard value-at-risk helps ensure that the rule-based decisions that drive the investment process remain within pre-defined risk parameters. Margin-to-equity
20
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 Programs systems at market prices, while brokerage selection and trade execution are continually monitored with the objective of ensuring quality market access.
Futures contracts, forward contracts and swap agreements are recorded on the trade date. Upon entering into futures contracts, forward contracts and swap agreements, the Trading Company may be required to deposit cash or collateral with the brokers. Gains or losses are realized when contracts are matured or closed. Unrealized gains or losses on open contracts and agreements (the difference between contract trade price and fair value) are reported in the statements of financial condition.
Interest rate swaps relate to agreements taken out by the Trading Company with major brokers in which the Trading Company either receives or pays a floating rate of interest in return for paying or receiving, respectively, a fixed rate of interest, on the same notional amount for a specified period of time. In the normal course of business, the payment flows are netted against each other, with the difference being paid by one party to the other. Changes in the value of the interest rate swap agreements and amounts received or paid in connection with those changes, are recognized as realized trading gains (losses) on closed contracts/agreements in the statements of operations. The risks related to trading in interest rate swaps include changes in market value and the possible inability of the counterparty to fulfill its obligations under the agreement.
The Trading Company may enter into 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) closing transaction and the Trading Companys 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.
21
As of September 30, 2016 and December 31, 2015, 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 | ||||||||||||||||
September 30, 2016 | December 31, 2015 | |||||||||||||||
1-5 years | 1-5 years | |||||||||||||||
Credit spread (in basis points) |
Fair Value | Notional Amount | Fair Value | Notional Amount | ||||||||||||
0-100 |
$ | 266,691 | $ | 130,000,000 | $ | 18,143 | $ | 35,000,000 | ||||||||
101-250 |
| | | | ||||||||||||
251-350 |
98,045 | 10,000,000 | 11,024 | 5,000,000 | ||||||||||||
351-450 |
220,326 | 30,000,000 | | | ||||||||||||
450+ |
| | 17,767 | 5,000,000 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 585,062 | $ | 170,000,000 | $ | 46,934 | $ | 45,000,000 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
September 30, 2016 | December 31, 2015 | |||||||||||||||
Greater than 5 years | Greater than 5 years | |||||||||||||||
Credit spread (in basis points) |
Fair Value | Notional Amount | Fair Value | Notional Amount | ||||||||||||
0-100 |
$ | 10,370 | $ | 70,000,000 | $ | | $ | | ||||||||
101-250 |
| | | | ||||||||||||
251-350 |
38,196 | 15,000,000 | | | ||||||||||||
351-450 |
| | | | ||||||||||||
450+ |
| | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 48,566 | $ | 85,000,000 | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
The notional amount represents the maximum potential pay out that the Trading Company could be required to make if a credit event were to occur under each agreement. The maximum payout amount may be offset by the subsequent sale, if any, of assets obtained via the execution of a payout event, upfront fees received upon entering into the contracts, or net amounts received from the settlement of offsetting purchased protection in credit default swap contracts entered into by the Trading Company for the same reference entity or entities. As of September 30, 2016 and December 31, 2015, all credit default swap contracts entered into by the Trading Company are on indices. The credit spread of the underlying indices, derived from the fair value at September 30, 2016 of each credit default swap where the Trading Company is a seller, ranged between 66 basis points and 401 basis points. The credit spread of the underlying indices, derived from the fair value at December 31, 2015 of each credit default swap where the Trading Company is a seller, ranged between 77 basis points and 471 basis points. The credit spread is generally indicative of the status of the underlying risk of default by the applicable reference entity or index and is likely to be different than the contractual spread on the credit default swap. Higher credit spreads are indicative of a higher likelihood of non-performance by the Trading Company. As of September 30, 2016 the Trading Company posted cash collateral of $1,146,209, and as of December 31, 2015, the Trading Company posted cash collateral of $2,773,209, with respective counterparties on these agreements in the normal course of business. As of September 30, 2016, the maturity dates for open credit default swap agreements on selling protection ranged from June 20, 2021 through December 20, 2021. As of December 31, 2015, all open credit default swap agreements on selling protection have a maturity date of December 20, 2020.
During the three months ended September 30, 2016, the Trading Company traded 58,513 exchange-traded futures contracts and settled 51,378 forward contracts and 1,519 swap agreements. During the nine months ended September 30, 2016, the Trading Company traded 185,590 exchange-traded futures contracts and settled 134,730 forward contracts and 5,322 swap agreements. During the three months ended September 30, 2015, the Trading Company traded 77,553 exchange-traded futures contracts and settled 37,719 forward contracts and 1,708 swap agreements. During the nine months ended September 30, 2015, the Trading Company traded 228,313 exchange-traded futures contracts and settled 98,216 forward contracts and 5,711 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 partys 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 Companys trading strategies are dependent upon the existence of these agreements, the Trading Companys counterparties usually have multiple specified events under which they can terminate individual transactions or the entire agreement. These are most
22
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 Companys portfolio. At September 30, 2016, the OTC contracts subject to such trigger events in a net liability position were the foreign currency forward contracts and interest rate swap agreements. 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 September 30, 2016, may differ from the net liability amounts recorded as of September 30, 2016, and such differences can be material.
For exchange-traded futures contracts, the clearing organization functions as the central counterparty for each transaction and, therefore, bears the risk of settlement to and from counterparties, which mitigates the credit risk of these instruments.
As of September 30, 2016 and December 31, 2015, all credit default swaps held by the Trading Company are centrally cleared swaps.
The following table presents the fair value of the Trading Companys derivative instruments and net presentation on statements of financial condition location:
September 30, 2016 | ||||||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||||||
Primary Risk Exposure |
Statements of Financial Condition | Fair Value | Statements of Financial Condition | Fair Value | ||||||||||||
Open forward contracts |
|
Gross unrealized trading gains on open forward contracts |
|
|
Gross unrealized trading losses on open forward contracts |
|
||||||||||
Currencies |
$ | 4,594,635 | $ | (5,470,710 | ) | |||||||||||
Metals |
483,268 | (369,752 | ) | |||||||||||||
|
|
|
|
|||||||||||||
Total open forward contracts |
5,077,903 | (5,840,462 | ) | |||||||||||||
|
|
|
|
|||||||||||||
Open futures contracts |
|
Gross unrealized trading gains on open futures contracts |
|
|
Gross unrealized trading losses on open futures contracts |
|
||||||||||
Agricultural |
1,079,571 | (551,154 | ) | |||||||||||||
Currencies |
| (1,875 | ) | |||||||||||||
Energy |
209,328 | (668,101 | ) | |||||||||||||
Indices |
1,247,667 | (317,289 | ) | |||||||||||||
Interest rates |
471,941 | (232,107 | ) | |||||||||||||
Metals |
30,680 | (250,188 | ) | |||||||||||||
|
|
|
|
|||||||||||||
Total open futures contracts |
3,039,187 | (2,020,714 | ) | |||||||||||||
|
|
|
|
|||||||||||||
Open swap agreements |
|
Gross unrealized trading gains on open swap agreements |
|
|
Gross unrealized trading losses on open swap agreements |
|
||||||||||
Credit |
652,533 | (342,375 | ) | |||||||||||||
Interest rates |
9,718,260 | (7,746,707 | ) | |||||||||||||
|
|
|
|
|||||||||||||
Total open swap agreements |
10,370,793 | (8,089,082 | ) | |||||||||||||
|
|
|
|
|||||||||||||
Total Derivatives |
$ | 18,487,883 | $ | (15,950,258 | ) | |||||||||||
|
|
|
|
|||||||||||||
December 31, 2015 | ||||||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||||||
Primary Risk Exposure |
Statements of Financial Condition | Fair Value | Statements of Financial Condition | Fair Value | ||||||||||||
Open forward contracts |
|
Gross unrealized trading gains on open forward contracts |
|
|
Gross unrealized trading losses on open forward contracts |
|
||||||||||
Currencies |
$ | 9,650,826 | $ | (9,752,591 | ) | |||||||||||
Metals |
185,172 | (293,121 | ) | |||||||||||||
|
|
|
|
|||||||||||||
Total open forward contracts |
9,835,998 | (10,045,712 | ) | |||||||||||||
|
|
|
|
|||||||||||||
Open futures contracts |
|
Gross unrealized trading gains on open futures contracts |
|
|
Gross unrealized trading losses on open futures contracts |
|
||||||||||
Agricultural |
1,387,711 | (467,272 | ) | |||||||||||||
Currencies |
| (1,440 | ) | |||||||||||||
Energy |
2,018,239 | (756,928 | ) | |||||||||||||
Indices |
530,157 | (482,486 | ) | |||||||||||||
Interest rates |
815,801 | (1,169,493 | ) | |||||||||||||
Metals |
| (125,393 | ) | |||||||||||||
|
|
|
|
|||||||||||||
Total open futures contracts |
4,751,908 | (3,003,012 | ) | |||||||||||||
|
|
|
|
|||||||||||||
Open swap agreements |
|
Gross unrealized trading gains on open swap agreements |
|
|
Gross unrealized trading losses on open swap agreements |
|
||||||||||
Credit |
46,934 | (362,615 | ) | |||||||||||||
Interest rates |
23,360,867 | (22,620,446 | ) | |||||||||||||
|
|
|
|
|||||||||||||
Total open swap agreements |
23,407,801 | (22,983,061 | ) | |||||||||||||
|
|
|
|
|||||||||||||
Total Derivatives |
|
$ | 37,995,707 | $ | (36,031,785 | ) | ||||||||||
|
|
|
|
23
The following table presents the impact of derivative instruments on the statements of operations location:
For the three months ended September 30, |
For the nine months ended September 30, |
|||||||||||||||
2016 | 2015 | 2016 | 2015 | |||||||||||||
Location of gain or loss recognized in income on derivatives |
Gain (Loss) on derivatives |
Gain (Loss) on derivatives |
Gain (Loss) on derivatives |
Gain (Loss) on derivatives |
||||||||||||
Forward contracts |
||||||||||||||||
Currencies |
$ | (2,630,938 | ) | $ | 8,594,303 | $ | (8,565,920 | ) | $ | 9,811,304 | ||||||
Metals |
(361,730 | ) | 3,208,534 | (1,838,897 | ) | 1,183,653 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized trading gains (losses) on closed contracts/agreements |
$ | (2,992,668 | ) | $ | 11,802,837 | $ | (10,404,817 | ) | $ | 10,994,957 | ||||||
|
|
|
|
|
|
|
|
|||||||||
Currencies |
$ | (736,095 | ) | $ | 834,436 | $ | (736,095 | ) | $ | (2,374,513 | ) | |||||
Metals |
13,038 | (49,492 | ) | 183,250 | (38,355 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change in unrealized trading gains (losses) on open contracts/agreements |
$ | (723,057 | ) | $ | 784,944 | $ | (552,845 | ) | $ | (2,412,868 | ) | |||||
|
|
|
|
|
|
|
|
|||||||||
Futures contracts |
||||||||||||||||
Agricultural |
$ | (516,665 | ) | $ | (4,282,470 | ) | $ | (3,346,261 | ) | $ | (3,895,753 | ) | ||||
Currencies |
(70,740 | ) | (151,280 | ) | (170,155 | ) | 3,143,395 | |||||||||
Energy |
(1,353,490 | ) | 4,815,074 | 318,183 | 4,213,899 | |||||||||||
Indices |
2,075,149 | (4,326,170 | ) | (2,352,838 | ) | 2,984,257 | ||||||||||
Interest rates |
1,839,846 | (215,233 | ) | 7,614,109 | 5,376,589 | |||||||||||
Metals |
(419,668 | ) | 1,913,610 | (834,475 | ) | 2,595,037 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized trading gains (losses) on closed contracts/agreements |
$ | 1,554,432 | $ | (2,246,469 | ) | $ | 1,228,563 | $ | 14,417,424 | |||||||
|
|
|
|
|
|
|
|
|||||||||
Agricultural |
$ | (443,792 | ) | $ | 3,161,878 | $ | (392,022 | ) | $ | (1,576,734 | ) | |||||
Currencies |
(507 | ) | 1,294 | (820,049 | ) | (764,203 | ) | |||||||||
Energy |
(900,542 | ) | 2,201,909 | (853,641 | ) | (1,771,396 | ) | |||||||||
Indices |
835,806 | 3,567,643 | 4,726,968 | 678,543 | ||||||||||||
Interest rates |
(3,297,636 | ) | 2,824,302 | (3,297,564 | ) | (2,160,951 | ) | |||||||||
Metals |
(163,278 | ) | (517,408 | ) | (94,115 | ) | (1,893,952 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change in unrealized trading gains (losses) on open contracts/agreements |
$ | (3,969,949 | ) | $ | 11,239,618 | $ | (730,423 | ) | $ | (7,488,693 | ) | |||||
|
|
|
|
|
|
|
|
|||||||||
Swap agreements |
||||||||||||||||
Credit default swaps |
$ | 294,389 | $ | (2,068,703 | ) | $ | (488,667 | ) | $ | (3,340,989 | ) | |||||
Interest rate swaps |
295,217 | (184,812 | ) | 1,910,289 | 3,682,412 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized trading gains (losses) on closed contracts/agreements |
$ | 589,606 | $ | (2,253,515 | ) | $ | 1,421,622 | $ | 341,423 | |||||||
|
|
|
|
|
|
|
|
|||||||||
Credit default swaps |
$ | 448,101 | $ | 1,083,642 | $ | 625,840 | $ | 1,519,826 | ||||||||
Interest rate swaps |
(1,067,436 | ) | 1,578,698 | 1,231,131 | (2,076,171 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change in unrealized trading gains (losses) on open contracts/agreements |
$ | (619,335 | ) | $ | 2,662,340 | $ | 1,856,971 | $ | (556,345 | ) | ||||||
|
|
|
|
|
|
|
|
Amounts in the table above exclude foreign exchange spot contracts.
24
As described above, the Trading Company may enter into netting agreements with its derivative contract counterparties whereby the Trading Company may, under certain circumstances, offset with the counterparty certain derivative financial instruments payables and/or receivables with collateral held and/or posted and create one single net payment. As of September 30, 2016 and December 31, 2015, 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:
ASSETS
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 | ||||||||||||||||||||
Financial Instruments |
Cash Collateral Received |
|||||||||||||||||||||||
As of September 30, 2016 |
| |||||||||||||||||||||||
Open futures contracts |
||||||||||||||||||||||||
Bank of America Merrill Lynch |
$ | 1,010,546 | $ | (1,010,546 | ) | $ | | $ | | $ | | $ | | |||||||||||
Credit Suisse |
629,119 | (148,966 | ) | 480,153 | | | 480,153 | |||||||||||||||||
JPMorgan Chase |
1,399,522 | (678,873 | ) | 720,649 | | | 720,649 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total open futures contracts |
$ | 3,039,187 | $ | (1,838,385 | ) | $ | 1,200,802 | $ | | $ | | $ | 1,200,802 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Open forward contracts |
||||||||||||||||||||||||
Credit Suisse |
$ | 274,798 | $ | (144,646 | ) | $ | 130,152 | $ | | $ | | $ | 130,152 | |||||||||||
Deutsche Bank |
2,611,127 | (2,611,127 | ) | | | | | |||||||||||||||||
HSBC |
1,496,322 | (1,496,322 | ) | | | | | |||||||||||||||||
Royal Bank of Scotland |
695,656 | (695,656 | ) | | | | | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total open forward contracts |
$ | 5,077,903 | $ | (4,947,751 | ) | $ | 130,152 | $ | | $ | | $ | 130,152 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Open swap agreements |
||||||||||||||||||||||||
Credit Suisse |
$ | 284,448 | $ | (220,684 | ) | $ | 63,764 | $ | | $ | | $ | 63,764 | |||||||||||
Deutsche Bank |
4,092,809 | (3,588,512 | ) | 504,297 | | | 504,297 | |||||||||||||||||
JPMorgan Chase |
5,993,536 | (4,279,886 | ) | 1,713,650 | | | 1,713,650 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total open swap agreements |
$ | 10,370,793 | $ | (8,089,082 | ) | $ | 2,281,711 | $ | | $ | | $ | 2,281,711 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
As of December 31, 2015 |
||||||||||||||||||||||||
Open futures contracts |
||||||||||||||||||||||||
Bank of America Merrill Lynch |
$ | 2,630,262 | $ | (1,308,363 | ) | $ | 1,321,899 | $ | | $ | | $ | 1,321,899 | |||||||||||
Credit Suisse |
437,874 | (437,874 | ) | | | | | |||||||||||||||||
JPMorgan Chase |
1,683,772 | (1,030,920 | ) | 652,852 | | | 652,852 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total open futures contracts |
$ | 4,751,908 | $ | (2,777,157 | ) | $ | 1,974,751 | $ | | $ | | $ | 1,974,751 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Open forward contracts |
||||||||||||||||||||||||
Credit Suisse |
$ | 84,057 | $ | (84,057 | ) | $ | | $ | | $ | | $ | | |||||||||||
Deutsche Bank |
4,689,459 | (4,689,459 | ) | | | | | |||||||||||||||||
HSBC |
2,996,309 | (2,996,309 | ) | | | | | |||||||||||||||||
Royal Bank of Scotland |
2,066,173 | (1,872,313 | ) | 193,860 | | | 193,860 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total open forward contracts |
$ | 9,835,998 | $ | (9,642,138 | ) | $ | 193,860 | $ | | $ | | $ | 193,860 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Open swap agreements |
||||||||||||||||||||||||
Credit Suisse |
$ | 15,793 | $ | (15,793 | ) | $ | | $ | | $ | | $ | | |||||||||||
Deutsche Bank |
12,005,756 | (10,744,658 | ) | 1,261,098 | | | 1,261,098 | |||||||||||||||||
JPMorgan Chase |
11,386,252 | (11,386,252 | ) | | | | | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total open swap agreements |
$ | 23,407,801 | $ | (22,146,703 | ) | $ | 1,261,098 | $ | | $ | | $ | 1,261,098 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
25
The following table provides additional disclosures regarding the offsetting of derivative liabilities presented in the statements of financial condition:
LIABILITIES
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 | ||||||||||||||||||||
Financial Instruments |
Cash Collateral Pledged |
|||||||||||||||||||||||
As of September 30, 2016 |
| |||||||||||||||||||||||
Open futures contracts |
||||||||||||||||||||||||
Bank of America Merrill Lynch |
$ | 1,192,875 | $ | (1,010,546 | ) | $ | 182,329 | $ | | $ | 182,329 | $ | | |||||||||||
Credit Suisse |
148,966 | (148,966 | ) | | | | | |||||||||||||||||
JPMorgan Chase |
678,873 | (678,873 | ) | | | | | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total open futures contracts |
$ | 2,020,714 | $ | (1,838,385 | ) | $ | 182,329 | $ | | $ | 182,329 | $ | | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Open forward contracts |
||||||||||||||||||||||||
Credit Suisse |
$ | 144,646 | $ | (144,646 | ) | $ | | $ | | $ | | $ | | |||||||||||
Deutsche Bank |
2,928,922 | (2,611,127 | ) | 317,795 | | 317,795 | | |||||||||||||||||
HSBC |
1,789,229 | (1,496,322 | ) | 292,907 | | 292,907 | | |||||||||||||||||
Royal Bank of Scotland |
977,665 | (695,656 | ) | 282,009 | | 282,009 | | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total open forward contracts |
$ | 5,840,462 | $ | (4,947,751 | ) | $ | 892,711 | $ | | $ | 892,711 | $ | | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Open swap agreements |
||||||||||||||||||||||||
Credit Suisse |
$ | 220,684 | $ | (220,684 | ) | $ | | $ | | $ | | $ | | |||||||||||
Deutsche Bank |
3,588,512 | (3,588,512 | ) | | | | | |||||||||||||||||
JPMorgan Chase |
4,279,886 | (4,279,886 | ) | | | | | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total open swap agreements |
$ | 8,089,082 | $ | (8,089,082 | ) | $ | | $ | | $ | | $ | | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
As of December 31, 2015 |
| |||||||||||||||||||||||
Open futures contracts |
||||||||||||||||||||||||
Bank of America Merrill Lynch |
$ | 1,308,363 | $ | (1,308,363 | ) | $ | | $ | | $ | | $ | | |||||||||||
Credit Suisse |
663,729 | (437,874 | ) | 225,855 | | 225,855 | | |||||||||||||||||
JPMorgan Chase |
1,030,920 | (1,030,920 | ) | | | | | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total open futures contracts |
$ | 3,003,012 | $ | (2,777,157 | ) | $ | 225,855 | $ | | $ | 225,855 | $ | | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Open forward contracts |
||||||||||||||||||||||||
Credit Suisse |
$ | 137,157 | $ | (84,057 | ) | $ | 53,100 | $ | | $ | 53,100 | $ | | |||||||||||
Deutsche Bank |
5,034,243 | (4,689,459 | ) | 344,784 | | 344,784 | | |||||||||||||||||
HSBC |
3,001,999 | (2,996,309 | ) | 5,690 | | 5,690 | | |||||||||||||||||
Royal Bank of Scotland |
1,872,313 | (1,872,313 | ) | | | | | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total open forward contracts |
$ | 10,045,712 | $ | (9,642,138 | ) | $ | 403,574 | $ | | $ | 403,574 | $ | | |||||||||||
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|
|
|
|
|
|
|
|
|
|
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Open swap agreements |
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Credit Suisse |
$ | 115,569 | $ | (15,793 | ) | $ | 99,776 | $ | | $ | 99,776 | $ | | |||||||||||
Deutsche Bank |
10,744,658 | (10,744,658 | ) | | | | | |||||||||||||||||
JPMorgan Chase |
12,122,834 | (11,386,252 | ) | 736,582 | | 736,582 | | |||||||||||||||||
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|
|
|
|
|
|
|
|
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Total open swap agreements |
$ | 22,983,061 | $ | (22,146,703 | ) | $ | 836,358 | $ | | $ | 836,358 | $ | | |||||||||||
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26
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 September 30, 2016 |
||||
Open futures contracts |
||||
Bank of America Merrill Lynch |
$ | 4,334,998 | ||
Open forward contracts |
||||
Royal Bank of Scotland |
$ | 2,004,782 | ||
Deutsche Bank |
$ | 4,148,338 | ||
HSBC |
$ | 2,450,723 | ||
As of December 31, 2015 |
||||
Open futures contracts |
||||
Credit Suisse |
$ | 5,826,982 | ||
Open forward contracts |
||||
Deutsche Bank |
$ | 3,558,505 | ||
HSBC |
$ | 2,014,372 | ||
Open swap agreements |
||||
JPMorgan Chase |
$ | 6,197,335 |
6. | FINANCIAL GUARANTEES |
The Trading Company enters into administrative and other professional service contracts that contain a variety of indemnifications. The Trading Companys 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.
27
7. | FINANCIAL HIGHLIGHTS |
The following represents the ratios to average partners capital and other information for the periods ended September 30, 2016 and 2015:
For the three months ended September 30, |
For the nine months ended September 30, |
|||||||||||||||
2016 | 2015 | 2016 | 2015 | |||||||||||||
Per unit operating performance: |
||||||||||||||||
Beginning net asset value |
$ | 13,540.92 | $ | 12,865.58 | $ | 13,614.40 | $ | 13,274.32 | ||||||||
Income (loss) from investment operations: |
||||||||||||||||
Net investment loss |
(21.82 | ) | (19.42 | ) | (67.94 | ) | (47.01 | ) | ||||||||
Net realized and unrealized gains (losses) on trading activities and translation of foreign currency |
(449.95 | ) | 1,260.12 | (477.31 | ) | 878.97 | ||||||||||
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Total income (loss) from investment operations |
(471.77 | ) | 1,240.70 | (545.25 | ) | 831.96 | ||||||||||
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|
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Ending net asset value |
$ | 13,069.15 | $ | 14,106.28 | $ | 13,069.15 | $ | 14,106.28 | ||||||||
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|
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Ratios to average partners capital1: |
||||||||||||||||
Expenses |
0.86 | % | 0.61 | % | 0.82 | % | 0.57 | % | ||||||||
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|
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Net investment gain/(loss) |
(0.65 | )% | (0.57 | )% | (0.65 | )% | (0.45 | )% | ||||||||
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|
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Total return2 |
(3.48 | )% | 9.64 | % | (4.00 | )% | 6.27 | % | ||||||||
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1 | Ratios have been annualized. |
2 | Total return is for the period indicated and has not been annualized. |
Financial highlights are calculated for all partners taken as a whole. An individual partners 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 September 30, 2016 through November 10, 2016, the date of filing, the Trading Company recorded limited partner subscriptions of $677,796, and limited partner redemptions of $2,298,699.
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.
28
ITEM 2. | Managements Discussion and Analysis of Financial Condition and Results of Operations. |
Introduction
Reference is made to Item 1, Financial Statements. The information contained therein is essential to, and should be read in conjunction with, the following analysis.
Operational Overview
Man-AHL Diversified I L.P. (the Partnership) is a fund which engages in speculative trading of futures and forward contracts and related instruments through its investment in Man-AHL Diversified Trading Company L.P. (the Trading Company) pursuant to the AHL Diversified Program, directed on behalf of the Trading Company by AHL Partners LLP (the Trading Advisor). The Trading Advisor also serves as the Partnerships commodity pool operator. The AHL Diversified Program is a price trend-following trading system, entirely quantitative in nature, and implements trading positions on the basis of statistical analyses of past price histories. The objective of the AHL Diversified Program is to deliver 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 futures, options and forward contracts, swaps and other financial derivatives both on and off exchange. The AHL Diversified Program is proprietary and confidential, so that substantially the only information that can be furnished regarding the Partnerships results of operations is contained in the performance record of its trading through the Trading Company. Past performance is not necessarily indicative of its future results. Man Investments (USA) Corp., the general partner of the Partnership (the General Partner) does believe, however, that there are certain market conditions, for example, markets with pronounced price trends, in which the Partnership has a greater likelihood of being profitable than in other market environments.
Capital Resources and Liquidity
Units of limited partnership interests (Units) of the Partnership may be offered for sale as of the beginning, and may be redeemed as of the end, of each month.
The Partnership raises additional capital only through the sale of Units and capital is increased through trading profits (if any) and interest income. The Partnership does not engage in borrowing. The Partnership, not being an operating company, does not incur capital expenditures. It functions solely as a passive trading vehicle, investing the substantial majority of its assets in the Trading Company. Its remaining capital resources are used only as assets available to make further investments in the Trading Company and to pay Partnership level expenses. Accordingly, the amount of capital raised for the Partnership should not have a significant impact on its operations.
Partnership assets not invested in the Trading Company are maintained in cash and cash equivalents in bank accounts or accounts with Citibank, N.A. and The Bank of New York Mellon and are readily available to the Partnership. The Partnership may redeem any part or all of its limited partnership interest in the Trading Company at any month-end at the net asset value per unit of the Trading Company. The Trading Companys assets are generally held as cash or cash equivalents which are used to margin futures and provide collateral for forward contracts and other over-the-counter (OTC) contract positions and are withdrawn, as necessary, to pay redemptions (to the Partnership and other investors in the Trading Company). Other than potential market-imposed limitations on liquidity, due, for example, to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Trading Companys futures trading, the Trading Companys assets are highly liquid and are expected to remain so.
29
There have been no material changes with respect to the Partnerships critical accounting policies, off-balance sheet arrangements or disclosure of contractual obligations as reported in the Partnerships Form 10-K filed March 29, 2016.
Allocations by Market Sector
The following table indicates the percentage of the Partnerships assets allocated to initial margin for the Partnerships open trading positions by market sector as of September 30, 2016. The Partnerships capitalization was $149,788,525 as of September 30, 2016. See also Item 3, Quantitative and Qualitative Disclosures About Market Risk, below.
Quarter-End as of September 30th |
||||||||
Market Sector |
Margin Allocation | % of Capitalization |
||||||
Agriculturals |
$ | 2,148,744 | 1.43 | % | ||||
Bonds |
$ | 3,218,271 | 2.15 | % | ||||
Credit |
$ | 4,499,607 | 3.00 | % | ||||
Currencies |
$ | 5,870,522 | 3.92 | % | ||||
Energy |
$ | 1,009,366 | 0.67 | % | ||||
Interest rates |
$ | 3,946,458 | 2.63 | % | ||||
Metals |
$ | 1,169,938 | 0.78 | % | ||||
Stock indices |
$ | 6,930,930 | 4.63 | % | ||||
Total |
$ | 28,793,836 | 19.22 | % |
Results of Operations
Due to the nature of the Partnerships trading, the results of operations for the interim period presented should not be considered indicative of the results that may be expected for the entire year.
Periods Ended September 30, 2016:
30-September-16 | ||||
Ending Equity |
$ | 149,788,525 |
Nine months ended September 30, 2016:
Net assets decreased $23,312,909 for the nine months ended September 30, 2016. This decrease was attributable to subscriptions in the amount of $12,524,003, redemptions in the amount of $24,418,773 and a net loss from operations of $11,418,139.
Management fees of $3,678,047 and servicing fees of $1,234,405 were paid or accrued, and interest of $21,547 paid or accrued on the Partnerships share of the Trading Companys cash and cash equivalents and broker balances, for the nine months ended September 30, 2016.
The Partnerships other expenses paid or accrued for the nine months ended September 30, 2016 were $1,388,012.
Three months ended September 30, 2016:
Net assets decreased $7,904,305 for the three months ended September 30, 2016. This decrease was attributable to subscriptions in the amount of $2,720,418, redemptions in the amount of $3,523,584, and a loss from operations of $7,101,139.
30
Management Fees of $1,148,526 and servicing fees of $384,468 were paid or accrued, and interest of $8,520 was paid or accrued on the Partnerships share of the Trading Companys cash and cash equivalent investments and broker balances, for the three months ended September 30, 2016.
The Partnerships other expenses paid or accrued for the three months ended September 30, 2016 were $452,006.
July trading produced modest gains for the Partnership with equities, fixed income and commodities trading each generating notable profits. The Partnerships fixed income positions were particularly profitable during the month as its long positions in UK gilts and Italian government bonds benefitted from a continuing market appetite for bonds. In the equity markets, the Partnerships long positions in U.S. and Australian index futures as well as short VIX positions resulted in positive performance while short positioning in European and Japanese equities resulted in mild losses. Commodity trading also proved profitable for the month. Although the Partnership suffered losses from its long soybean positions following a sharp sell-off in prices, short positions in oil and related products generated gains and rising metal prices continued to support the Partnerships long positions in precious metals and zinc. The Partnerships losses in the currency sector, namely from its positions in Turkish Lira and Eurodollars, partially offset the months gains.
In August, notable volatility in the energy, commodity, and fixed income markets created a difficult trading environment for the Partnership which suffered sizeable losses during the month. The Partnerships short oil positions were the largest detractor from performance as crude oil prices sharply rallied following a steady decline over the prior two months. Long positions in gold, silver and platinum also hurt the Partnerships performance with the stalling of a year-long rally in precious metal prices. Although the Partnership achieved better performance with its agricultural commodity positions, including its short corn and long sugar positions, these gains were offset by losses generated from the Partnerships cotton and cocoa holdings. In the currency sector, the Partnerships trading was equally mixed. Short positions in British pounds realized gains while the Partnerships shorting of Norwegian and Canadian currencies produced losses. Equity trading helped to reverse these losses with long futures positions benefitting from rising equity markets and tightening high yield credit spreads buoying the Partnerships VIX and other credit positions.
The Partnership ended the quarter with another month of negative returns. September trading in each asset class, except credits, generated losses with the Partnerships fixed income and energy positions serving as the months loss leaders. Poor performance in the fixed income sector was largely attributable to losses sustained on the Partnerships long Australian and Italian bond positions. On the energies side, the Funds short positions in oil and its derivatives continued to produce losses amidst the concern of future curtailed oil production. Trading in the remaining commodities sectors was mixed during the month as negative returns from metals trading offset positive returns from the Partnerships agricultural commodity positions. Although the Partnership achieved some of its largest trading gains with respect to its positions in the Hang Seng index, equity trading on the whole produced negative results as the Partnerships S&P index positions generated losses. The results from currency trading were similarly mixed and contributed to the months losses. Although the Partnerships credit positions performed positively, overall profits in this sector were nearly flat and had a minimal impact on the Partnerships net results.
31
Three months ended June 30, 2016:
April proved to be a difficult month for almost all of the Partnerships asset classes with some of the largest losses attributable to the sharp trend reversals in the commodities, bonds and currency markets. The Partnerships short positions in agricultural commodities served as the Partnerships loss leader for the month, with trading in the equity and fixed-income markets also producing modest losses. Foreign currency trading performance was more mixed with long positions in emerging markets such as Brazil, Turkey and Columbia providing gains while trading in more developed markets generated losses. The Partnership also saw gains on its long positions in Canadian Dollars as well as its shorts on the U.S. dollar index which fell to its lowest level since January 2015, however, these gains were offset by losses sustained on long positions in the Australian Dollar as well as long exposure to the Euro as measured against the British Pound. Fixed income trading further produced losses as yields on longer-maturity instruments in developed markets, such as Italian BTPs, UK Gilts and U.S. Treasuries, rose against the Funds long positions.
The Partnerships trading in May continued to produce losses as returns in all asset classes were negative. This month, the Partnerships currency positions generated the largest portion of the months negative trading returns with the Turkish Lira falling more than 5% in a two-day period against the U.S. dollar. With respect to fixed income, losses sustained from a large selloff in a number of fixed income instruments during the second half of the month overshadowed earlier gains from the relatively strong performance of the Partnerships long exposure to UK Gilts. Trading in the equity markets was equally lackluster as the Partnerships profitable short volatility position in the VIX index was insufficient to outrun the negative equity returns experienced earlier in the month. Commodity trading was equally mixed. Although realizing gains from its long positions in sugar and soyameal, whose prices rallied throughout the month, the Partnership sustained losses on its long exposure to precious metals.
Partnership trading results returned to positive territory in June as sizeable gains achieved through its fixed-income trading outweighed modest losses sustained in the equity, currency and credit sectors. In the presence of increased volatility around UKs referendum on leaving the European Union, the Partnership was well situated to benefit from its safe-haven positions in developed-market bonds and rates as well as precious metals. Equity trading provided offsetting negative returns, however, as the Partnerships losses on long U.S. positions outweighed gains from short positions in Japan and elsewhere. With respect to the currency market, long positions in Japanese Yen against the Euro benefitted from market aversion towards European currencies, while positions in UK Sterling and Euros against the U.S. dollar correspondingly detracted from these gains. Commodity trading produced positive returns across all sub-sectors, particularly from longs in precious metals and sugar, which in aggregate modestly contributed to the Partnerships overall positive net performance for the month.
Three months ended March 31, 2016:
The Partnership generated gains in January with trading in the fixed-income and commodity sectors producing the largest gains. Long positions in French, UK and Japanese bonds were each profitable as the European Central Bank and the Bank of Japan provided renewed support for their respective bond markets. Regarding commodities, the Partnerships short positions in oil and derivative products served as the strongest performance drivers in light of the further collapse in crude-oil prices which fell intra-month by nearly 30%. These gains outweighed losses sustained from the Partnerships short positions in gold and corn and long exposure to sugar. In the equity sector, stock markets around the world experienced their worst opening weeks in modern history, and the Partnerships short positions in most major indices correspondingly produced positive returns. Losses sustained from currency trading, however, served as a mild drag on monthly performance.
In February, the Partnerships bearish positioning continued to be aligned with the prevailing market sentiment and produced another month of positive returns. The strongest performers for the month included the Partnerships fixed-income, commodity and equity positions. With respect to fixed income,
32
the Partnerships long credit-protection positions proved profitable as spreads for investment grade and high-yield indices widened, and a further rally in safe-haven bonds and short interest rate futures benefitted the Partnerships long exposure to fixed-income instruments. Although the energy markets experienced high volatility during the month, energy trading remained profitable in February with the Partnerships short exposure to the U.S. natural gas market serving as the biggest positive contributor to performance on account of the accelerating downward slide in natural gas prices. Currency trading, however, continued to produce mild offsetting losses. Despite realizing gains from long positions in Japanese yen and short positions in British pounds, the Euro experienced a sharp intra-month reversal which led to losses for the Partnerships Euro crosses with respect to several currencies.
Heightened volatility and sharp price reversals, particularly in the commodity and equities markets, resulted in a net loss with respect to the Partnerships March trading. A sizeable jump in natural gas prices hurt the Partnerships natural gas shorts. The Partnerships short positions in soybeans and wheat also sustained losses. Although the Partnership realized profits from its short positions in corn, these gains were outweighed by the Partnerships overall losses in the grains and energy sectors. The Partnerships bond trading was also mixed. The Partnership achieved profits from its long positions in Italian and French bond futures, but these gains were outweighed by losses sustained from its long exposure to U.S. Treasuries, gilts and Japanese government bonds. On the positive side, the Partnerships long positions in the currencies of several emerging economies such as those of Turkey, Brazil and Malaysia were profitable. These gains were offset, however, by losses sustained in the equity markets as rallies in several South Asian markets hurt the Partnerships shorts in the Kospi and Hang Seng indices.
Periods Ended September 30, 2015:
30-September-15 | ||||
Ending Equity |
$ | 203,052,907 |
Nine months ended September 30, 2015:
Net assets increased $1,028,243 for the nine months ended September 30, 2015. This increase was attributable to subscriptions in the amount of $11,852,439, redemptions in the amount of $16,912,466 and a net gain from operations of $6,088,270.
Management fees of $4,544,443 and servicing fees of $1,527,217 were paid or accrued, and interest of $117,504 was earned or accrued on the Partnerships share of the Trading Companys cash and cash equivalents and broker balances, for the nine months ended September 30, 2015.
The Partnerships other expenses paid or accrued for the nine months ended September 30, 2015 were $358,165.
Three months ended September 30, 2015:
Net assets increased $15,170,129 for the three months ended September 30, 2015. This increase was attributable to subscriptions in the amount of $3,287,828, redemptions in the amount of $4,316,658 and a net gain from operations of $16,198,959.
Management fees of $1,464,727 and servicing fees of $492,245 were paid or accrued, and interest of $19,053 was earned or accrued on the Partnerships share of the Trading Companys cash and cash equivalents and broker balances, for the three months ended September 30, 2015.
The Partnerships other expenses paid or accrued for the three months ended September 30, 2015 were $93,690.
33
In July, the Partnership posted sizeable trading profits on account of the return of strong economic trends. Currency and commodity trading provided the biggest gains while the Partnerships trading in equities, fixed income and interest rates gave rise to partially offsetting losses. With respect to the commodity and currency sectors, favorable economic data from the United States and the prospect of higher U.S. interest rates contributed to a long U.S. Dollar trend. This led to a fall of commodity prices and foreign currency values relative to the U.S. Dollar that was further exacerbated by a strong selloff in Chinese equities and increasing expectations of weakened Chinese demand. The Partnership most favorably capitalized on these trends with a short position on gold and short exposure to South Korean Won and Brazilian Real relative to the U.S. Dollar. The Partnerships short positions in energies, including crude oil, gasoline and diesel, also proved profitable as news of the U.S.s successful negotiations with Iran led the markets to believe that Iranian oil would soon enter the global market and further depress oil prices. These gains were partially offset, however, by losses on the Partnerships equity and fixed income trading, including short positions on U.S. Treasuries and long exposure to large and small cap indices in the U.S. and Hong Kongs Hang Seng index.
August trading continued to generate modest gains for the Partnership as positive returns from the Partnerships currency, commodity, and fixed income positions outweighed losses from its equity and credit trading. The Partnerships largest gains for the month came from its short foreign exchange positions as investors moved away from the currencies of emerging markets to the comparative safety of the U.S. Dollar. Short positions in Brazilian Real, South Korean Won and the Australian Dollar relative to the U.S. Dollar were particularly well timed and produced substantial returns. Commodity trading was also net positive for the month despite whipsaw market action in the oil sector. Initially experiencing continued downward pressure, crude oil prices rallied significantly by the end of the month on account of increased market intervention by the Peoples Bank of China which strove to counteract the continued selloff in Chinese equities. Although this whipsaw movement hurt the Partnerships performance in the main oil markets, prices of coal and electricity continued lower and benefitted the Partnerships short exposure to such energies. Trading in the equity sector produced the greatest drag on August performance as data signaling weakened business activity in China prompted continued selloffs in the Shanghai composite index and S&P 500. The CBOE Volatility Index (VIX) tripled over the same time period hurting the Partnerships short positions in VIX volatility index futures.
In September, the Partnership again achieved notable gains with trading in the fixed income, credit and commodity sectors serving as the leading contributors to profit. In the fixed income markets, long positions in Short Sterling rates, Italian bonds, and Eurodollars each produced substantial positive returns following the U.S. Federal Reserves mid-month confirmation that interest rates would remain at near-zero levels. Although the Partnership sustained losses in the agricultural markets because of its short positions in sugar and corn, September commodity trading was overall net positive. This gain was largely attributable to the Partnerships short exposure to oil and industrial metals which benefitted from continued reports of weakened Chinese business activity and growing expectations of shrinking Chinese demand for commodities. The Partnerships bearish stance towards the equities markets also contributed to the months gains on account of shrinking global risk appetite. Although the Partnerships shorting of Brazilian Real relative to the U.S. Dollar served as the Partnerships largest return for the month, currency trading overall produced net losses in September.
Three months ended June 30, 2015:
The Partnership began the second quarter in April with modest losses as gains derived from stock and commodity trading were outweighed by the Partnerships losses in the bond and currency markets. Of the months positive performance, equity trading served as a primary driver as long positions in Hang Seng and H-share futures were well placed to take advantage of the buoyant equity markets in Hong Kong and China. Long exposure to base metals such as aluminum similarly proved profitable on account of the resurgent Chinese market, and continuing shorts in grains such as wheat and corn provided gains due to sustained downward pressure on these commodities. With respect to the Partnerships bond trading, however, strong swings in the German bonds market produced negative returns which were further increased by unprofitable short positions in Australian bonds. Although gains realized from the Partnerships swaps in Thailand and China helped mitigate these losses, currency trading also proved
34
unprofitable for the Partnership as long U.S. dollar positions against many G10 markets became costly with the Euro retracing nearly 6% from its prior lows. The Partnerships positions in the currencies of emerging markets was more evenly split as longs in Russian Roubles yielded positive gains while shorts in the Brazilian real created losses.
May trading resulted in another month of net losses for the Partnership with its fixed income positions continuing to serve as the loss leader and commodities and currency trading further contributing to the months negative results. Uncertainty surrounding the Greek debt crisis weighed heavily on the Eurozone market as yields increased throughout the region and resulted in the Partnerships long positions in Italian bonds and Swedish swaps producing losses. Commodities trading similarly resulted in negative returns as profits from short coffee positions were more than offset by a sharp reversal in base metals which had previously experienced a rallying of prices in the months prior. This was particularly the case with the Partnerships long exposure to zinc whose 3-month forward prices had rallied more than 20% since March but fell back around 10% in May due to weaker demand and a better supply from China. The Partnerships energy positions provided more mixed results as trading in the European power markets, particularly in Scandinavia, proved successful while the Partnership sustained losses on its crude oil positions. Currency trading generated modest losses despite the Partnership realizing substantial gains from its short exposure to the Japanese Yen against the U.S. dollar and its long positions in British Pound against the Japanese Yen.
The Partnership generated a notable loss in June as whipsaw-like conditions in the agricultural and equity markets provided a difficult trading environment for the Partnerships trend-following approach. These conditions particularly hurt the Partnerships short positions in agricultural commodities, including corn, wheat, soybeans and soymeal, as mid-month heavy rains and flooding across of the U.S. growing region hurt crops and quickly reversed the steady price decline which had taken place during the first part of the year. The equity markets were similarly subject to sharp reversals as the continuing failure of Greece and its negotiators to reach a resolution to the Greek debt crisis produced spikes in volatility in a number of regions and hurt the Partnerships long positions. Although certain metal positions, particularly shorts in aluminum and palladium, helped to mitigate these losses, the Partnerships currency trading also proved unprofitable in the face of increased volatility from a weakening U.S. dollar which quickly rebounded on the failure of the Greek negotiations in June.
Three months ended March 31, 2015:
The Partnership generated notable gains in January with trading in bonds, currencies, and interest rates providing the largest profits. Fixed income trading proved to be one of the stronger contributors to growth as the Partnerships long positions in Canadian bonds and U.S. Treasuries were well timed to take advantage of Canadas surprise cut to its benchmark interest rate and the U.S.s collapsing bond yields. The Partnerships long bond exposure was further benefitted by a subsequent announcement from Mario Draghi of the European Central Bank (the ECB) committing the ECB to buy 60 billion Euros per month well into 2016. Although the Partnership sustained minor losses following the Swiss governments surprise move to unpeg the Swiss franc from the Euro, currency trading remained positive for the month as long dollar positions against the Euro and British Pound each returned sizeable gains. These gains were partially offset by losses on the Partnerships agricultural positions and stock indices shorts.
February trading provided a minor loss for the Partnership as gains realized from equity and currency trading were slightly outweighed by losses sustained in the fixed income and energy markets. With respect to equity and fixed income trading, strong U.S. employment data instigated a shift in investor demand from U.S. bonds to equities. Although favorable for the Partnerships long equity positioning, the gains were offset by the Partnerships long exposure to U.S. Treasuries. These losses were further increased by the Partnerships short energy positioning as prices for crude oil and related products experienced a substantial increase in a short timeframe. Although gains realized in the foreign currency mitigated these losses, the Partnership ended the month with negative overall performance.
35
In March, the Partnership posted modest and well-dispersed trading profits despite notable volatility. Energy, bond, and foreign currency trading contributed most to profits while the Partnerships equity, metals and credit positions provided partially offsetting losses. In the foreign currency markets, the Partnerships short Brazilian real positions against the U.S. dollar contributed most to the Partnerships net gain as Brazil became increasingly engulfed in political scandal and economic troubles. Energy trading also brought net positive performance as prices of oil and related products fell back after their earlier rally in February. The Partnerships long exposure to U.S. and European bonds, though diminished from months past, continued to achieve gains on account of the European Central Banks massive asset purchase program and remarks from U.S. Federal Reserves Janet Yellen suggesting that U.S. interest rates would rise later than previously expected. Although long trades in crude oil, nickel, soybeans and the S&P 500 each provided losses, the Partnership ended the quarter on a positive note with a net gain.
ITEM 3. | Quantitative and Qualitative Disclosures About Market Risk. |
Introduction
Past Results Are Not Necessarily Indicative of Future Performance
The Partnership is a speculative commodity pool. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Partnerships main line of business.
Market movements result in frequent changes in the fair market value of the Partnerships open positions and, consequently, in its earnings and cash flow. The Partnerships 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 Partnerships 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 Partnerships 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 Partnerships 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 Partnerships 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 Partnerships losses in any market sector will be limited to Value at Risk or by the Partnerships 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 Partnerships market sensitive instruments.
Quantifying the Partnerships Trading Value at Risk
Quantitative Forward-Looking Statements
The following quantitative disclosures regarding the Partnerships market risk exposures contain forward-looking statements within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.
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The Partnerships risk exposure in the various market sectors traded by the General Partner is quantified below in terms of Value at Risk. Due to the Partnerships mark-to-market accounting, any loss in the fair value of the Partnerships open positions is directly reflected in the Partnerships 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 Partnerships 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 Partnerships 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 categorys aggregate Value at Risk. The diversification effects resulting from the fact that the Partnerships positions are rarely, if ever, 100% positively correlated have not been reflected.
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The Partnerships Trading Value at Risk in Different Market Sectors
The following table indicates the amount of trading Value at Risk associated with the Partnerships open positions by market category as of the period ended September 30, 2016. As of September 30, 2016, the Partnerships average quarter-end capitalization was $163,217,707.
Quarter-Ended September 30, 2016 |
||||||||||||||||
Market Sector |
Average Value at Risk |
% of Average Capitalization |
Highest Value at Risk |
Lowest Value at Risk |
||||||||||||
Agriculturals |
$ | 2,685,495 | 1.65 | % | $ | 3,557,436 | $ | 2,148,744 | ||||||||
Bonds |
$ | 3,473,900 | 2.13 | % | $ | 3,985,373 | $ | 3,218,057 | ||||||||
Credit |
$ | 2,554,538 | 1.57 | % | $ | 4,499,607 | $ | 918,905 | ||||||||
Currencies |
$ | 5,150,804 | 3.16 | % | $ | 5,870,522 | $ | 3,732,452 | ||||||||
Energies |
$ | 1,583,971 | 0.97 | % | $ | 1,897,818 | $ | 1,009,366 | ||||||||
Interest rates |
$ | 5,123,816 | 3.14 | % | $ | 6,295,439 | $ | 3,946,458 | ||||||||
Metals |
$ | 1,109,927 | 0.68 | % | $ | 1,340,819 | $ | 819,024 | ||||||||
Stock indices |
$ | 4,104,302 | 2.51 | % | $ | 6,930,930 | $ | 2,069,125 | ||||||||
Total |
$ | 25,786,754 | 15.81 | % | $ | 34,377,944 | $ | 17,862,130 |
Average, highest and lowest Value at Risk amounts relate to the quarter-end amounts for the nine months ended September 30, 2016. Average capitalization is the Partnerships average quarter-end capitalization at the end of the nine months ended September 30, 2016.
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 Partnerships open positions creates a risk of ruin not typically found in most other investment vehicles. Because of the size of its positions, certain market conditions unusual, but historically recurring from time to time could cause the Partnership to incur severe losses over a short period of time. The foregoing Value at Risk table as well as the past performance of the Partnership gives no indication of this risk of ruin.
Non-Trading Risk
The Partnership has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as any market risk they represent) are immaterial.
The Partnership also has non-trading cash flow risk as a result of holding a substantial portion of its assets in U.S. government securities (Treasury Bills) and interest-bearing bank accounts. These cash and cash equivalents are placed with highly rated counterparties with a priority placed on preservation of capital and reputation (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 Partnerships 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 Partnerships primary market risk exposures constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Partnerships 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 Partnerships risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and
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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 Partnerships 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 September 30, 2016, by market sector.
Fixed Income. Interest rate movements directly affect the price of the sovereign bond futures positions held by the Partnership and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries may materially impact the Partnerships profitability. The Partnerships primary interest rate exposure is to interest rate fluctuations in the United States, Germany, Italy, the UK 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 Partnerships 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 September 30, 2016, the Partnerships primary currency exposures were in the U.S. dollar versus the Turkish Lira, Brazilian Real, British Pound, Canadian Dollar, Australian Dollar, Korean Won, Euro and New Zealand Dollar. The primary exposure in the currency crosses were in the Euro versus Yen.
Stock Indices. The Partnerships primary equity exposure, through stock index futures, is to equity price risk in the G-7 countries. As of September 30, 2016, the Partnerships primary exposures were in the S&P 500, Nasdaq 100, Russell 2000, Korean Kospi, S&P TSX 60, Hang Seng and FTSE China A50. The Partnership is primarily exposed to the risk of adverse price trends or static markets in the major North American, European and Asian indices. (Static markets would not cause major market changes but could make it difficult for the Partnership to avoid numerous small losses.)
Metals. The AHL Diversified Program used for the Partnership trades precious and base metals. As of September 30, 2016, the Partnerships primary metals market exposures were in copper, palladium, gold, zinc and silver.
Agricultural. The Partnerships primary commodities exposure is to agricultural price movements, which are often directly affected by severe or unexpected weather conditions. Wheat, live cattle, sugar, coffee, cocoa and cotton accounted for the substantial bulk of the Partnerships commodities exposure as of September 30, 2016.
Energy. The Partnerships 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 September 30, 2016, the main exposures were in natural gas, crude oil, coal, electricity, gasoline, and carbon emissions.
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Qualitative Disclosures Regarding Non-Trading Risk Exposure
The following were the only non-trading risk exposures of the Partnership as of September 30, 2016.
Foreign Currency Balances. The Partnerships primary foreign currency balance is in Euro. The Partnership controls the non-trading risk of these balances by regularly converting these balances back into U.S. dollars (no less frequently than twice a month).
Cash Positions. The Partnerships only market exposure in instruments held other than for trading is in its cash portfolio. The Partnership holds only cash in U.S. Treasury Bills and interest-bearing bank accounts. This cash is placed with highly rated counterparties with a priority placed on preservation of capital and reputation (i.e., appropriate level of credit risk, market risk and reputation risk) and liquidity (i.e., appropriate level of liquidity risk) with durations no longer than 1 year.
Qualitative Disclosures Regarding Means of Managing Risk Exposure
Risk management is an essential component of AHLs 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. AHLs 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 AHLs 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, AHLs activities are subject to regular review by an internal audit function.
The AHL Diversified Program employs a systematic, statistically based investment strategy that is designed to identify and capitalize on trends and other inefficiencies in markets around the world. Trading signals are generated and executed via a finely tuned trading and implementation infrastructure. This process is quantitative, meaning that investment decisions are entirely driven by mathematical models based on quantitative analysis of historical relationships. 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 AHLs risk management, as well as its investment, process. As well as emphasizing sector and market diversification, the AHL Diversified Program has been constructed to achieve diversification by combining various investment strategies. The AHL Diversified Program is diversified across over 250 markets covering a wide range of sectors including, without limitation, currencies, bonds, energies, stock indices, interest rates, metals and agriculturals. Another important aspect of diversification is the fact that the various models generate signals across different timeframes, ranging from two to three days to several months. In line with the principle of diversification, the approach to portfolio construction and asset allocation is premised on the importance of deploying investment capital across the full range of sectors and markets. Particular attention is paid to correlation of markets and sectors, expected returns, trading costs and market liquidity. Portfolios are regularly reviewed and, when necessary, adjusted to reflect changes in these factors. AHL also has a systematic process for adjusting its market risk exposure in real time to reflect changes in the volatility, a measure of risk, of individual markets.
ITEM 4. | Controls and Procedures. |
The General Partner, with the participation of the General Partners Principal Executive Officer and Principal Financial Officer with respect to the Partnership, has evaluated the effectiveness of the design and operation of the Partnerships disclosure controls and procedures as of the end of the fiscal quarter ended September 30, 2016. Based on such evaluation, the Partnerships Principal Executive Officer and Principal Financial Officer with respect to the Partnership have concluded that the Partnerships disclosure controls and procedures were effective as of the fiscal quarter ended September 30, 2016.
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Changes in Internal Control over Financial Reporting
There were no significant changes in the Partnerships internal control over financial reporting during the quarter ended September 30, 2016 that have materially affected, or are reasonably likely to materially affect, the Partnerships internal control over financial reporting.
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PART II - OTHER INFORMATION
Item 1. | Legal Proceedings. |
None.
Item 1A. | Risk Factors. |
Risk of Loss. Investing in the Partnership is speculative and involves substantial risks. You should not invest unless you can afford to lose your entire investment.
General. The transactions in which the Trading Advisor generally will engage on behalf of the Partnership involve significant risks. Growing competition may limit the Trading Advisors 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 Partnerships 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.
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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 Commodity Futures Trading Commission (the CFTC) or the relevant exchange.
All trading accounts owned or managed by the Trading Advisor and its principals will be combined for the purposes of speculative position limits. Such limits could adversely affect the profitability of the Trading Company and, consequently, of the Partnership. For example, the Trading Advisor could be required to liquidate futures positions at an unfavorable time in order to comply with such limits. However, the Trading Advisor does not believe that existing speculative position limits will materially adversely affect its ability to manage the Trading Companys account.
Cash Flow. Futures contract gains and losses are marked-to-market daily for purposes of determining margin requirements. Option positions generally are not, although short option positions will require additional margin if the market moves against the position. Due to these differences in margin treatment between futures and options, there may be periods in which positions on both sides must be closed down prematurely due to short term cash flow needs. If this were to occur during an adverse move in a spread or straddle relationship, a substantial loss could occur.
Decisions Based on Trends and Technical Analysis. The trading decisions of the Trading Advisor will be based in part on trading strategies which utilize mathematical analyses of technical factors relating to past market performance. The buy and sell signals generated by a technical, trend-following trading strategy are based upon a study of actual daily, weekly and monthly price fluctuations, volume variations and changes in open interest in the markets. The profitability of any technical, trend-following trading strategy depends upon the occurrence in the future of significant, sustained price moves in some of the markets traded. The Trading Company and, consequently, the Partnership may incur substantial trading losses:
| during periods when markets are dominated by fundamental factors that are not reflected in the technical data analyzed by the program; |
| during prolonged periods without sustained moves in one or more of the markets traded; or |
| during whip-saw markets, in which potential price trends start to develop but reverse before actual trends are realized. |
In the past there have been prolonged periods without sustained price moves in various markets. Presumably, such periods will recur. A series of volatile reverses in price trends may generate repeated entry and exit signals in trend-following systems, resulting in unprofitable transactions and increased brokerage commission expenses. Technical, trend-following trading systems are used by many other traders. At times, the use of such systems may:
| result in traders attempting to initiate or liquidate substantial positions in a market at or about the same time; |
| alter historical trading patterns; |
| obscure developing price trends; or |
| affect the execution of trades. |
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Model and Data Risk. The Trading Advisor relies heavily on proprietary mathematical quantitative models (each a Model and collectively, Models) and data developed both by the Trading Advisor and those supplied by third parties (collectively, Data) rather than granting trade-by-trade discretion to the Trading Advisors investment professionals. In combination, Models and Data are used to construct investment decisions, to value both current and potential investments (including, without limitation, for trading purposes, and for the purposes of determining the Net Asset Value of the Partnership), to provide risk management insights and to assist in hedging the Partnerships positions and investments. Models and Data are known to have errors, omissions, imperfections and malfunctions (collectively, System Events).
The Trading Advisor seeks to reduce the incidence and impact of System Events, to the extent feasible, through a combination of internal testing, simulation, real-time monitoring, use of independent safeguards in the overall portfolio management process and often in the software code itself. Despite such testing, monitoring and independent safeguards, System Events will result in, among other things, the execution of unanticipated trades, the failure to execute anticipated trades, delays in the execution of anticipated trades, the failure to properly allocate trades, the failure to properly gather and organize available data, the failure to take certain hedging or risk reducing actions and/or the taking of actions which increase certain risk(s)all of which may have materially adverse effects on the Partnership. System Events in third-party provided Data is generally entirely outside of the control of the Trading Advisor.
The research and modeling processes engaged in by the Trading Advisor on behalf of its managed funds is extremely complex and involves the use of financial, economic, econometric and statistical theories, research and modeling; the results of this investment approach must then be translated into computer code. Although the Trading Advisor seeks to hire individuals skilled in each of these functions and to provide appropriate levels of oversight and employ other mitigating measures and processes, the complexity of the individual tasks, the difficulty of integrating such tasks, and the limited ability to perform real world testing of the end product, even with simulations and similar methodologies, raise the chances that Model code may contain one or more coding errors, thus potentially resulting in a System Event and further, one or more of such coding errors could adversely affect the Partnerships investment performance.
The investment strategies of the Trading Advisor are highly reliant on the gathering, cleaning, culling and performing of analysis of large amounts of Data. Accordingly, Models rely heavily on appropriate Data inputs. However, it is impossible and impracticable to factor all relevant, available Data into forecasts, investment decisions and other parameters of the Models. The Trading Advisor will use its discretion to determine what Data to gather with respect to each investment strategy and what subset of that Data the Models take into account to produce forecasts which may have an impact on ultimate investment decisions. In addition, due to the automated nature of Data gathering, the volume and depth of Data available, the complexity and often manual nature of Data cleaning, and the fact that the substantial majority of Data comes from third-party sources, it is inevitable that not all desired and/or relevant Data will be available to, or processed by, the Trading Advisor at all times. Irrespective of the merit, value and/or strength of a particular Model, it will not perform as designed if incorrect Data is fed into it which may lead to a System Event potentially subjecting the Partnership to a loss. Further, even if Data is input correctly, model prices anticipated by the Data through the Models may differ substantially from market prices, especially for financial instruments with complex characteristics, such as derivatives, in which the Partnership may invest.
Where incorrect or incomplete Data is available, the Trading Advisor may, and often will, continue to generate forecasts and make investment decisions based on the Data available to it. Additionally, the Trading Advisor may determine that certain available Data, while potentially useful in generating forecasts and/or making investment decisions, is not cost effective to gather due to, among other factors, the technology costs or third-party vendor costs and, in such cases, the Trading Advisor will not utilize
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such Data. The Trading Advisor has full discretion to select the Data it utilizes. The Trading Advisor may elect to use or may refrain from using any specific Data or type of Data in generating forecasts or making trading decisions with respect to the Models. The Data utilized in generating forecasts or making trading decisions underlying the Models may not be (i) the most accurate data available or (ii) free of errors. The Data set used in connection with the Models is limited. The foregoing risks associated with gathering, cleaning, culling and analysis of large amounts of Data are an inherent part of investing with a quantitative, process-driven, systematic adviser such as the Trading Advisor.
When Models and Data prove to be incorrect, misleading or incomplete, any decisions made in reliance thereon expose the Partnership to potential losses and such losses may be compounded over time. For example, by relying on Models and Data, the Trading Advisor may be induced to buy certain investments at prices that are too high, to sell certain other investments at prices that are too low, or to miss favorable opportunities altogether. Similarly, any hedging based on faulty Models and Data may prove to be unsuccessful and when determining the Net Asset Value of the Partnership, any valuations of the Partnerships investments that are based on valuation Models may prove to be incorrect. In addition, Models may incorrectly forecast future behavior, leading to potential losses on a cash flow and/or a mark-to-market basis. Furthermore, in unforeseen or certain low-probability scenarios (often involving a market event or disruption of some kind), Models may produce unexpected results which may or may not be System Events.
Errors in Models and Data are often extremely difficult to detect, and, in the case of Models, the difficulty of detecting System Events may be exacerbated by the lack of design documents or specifications. Regardless of how difficult their detection appears in retrospect, some System Events may go undetected for long periods of time and some may never be detected. 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 degradation or impact caused by these System Events can compound over time. The Trading Advisor generally will not perform a materiality analysis on the potential impact of a System Event. The Trading Advisor believes that the testing and monitoring performed on Models will enable the Trading Advisor to identify and address those System Events that a prudent person managing a quantitative, systematic and computerized investment program would identify and address by correcting the underlying issue(s) giving rise to the System Events, however there is no guarantee of the success of such processes. Investors should assume that System Events and their ensuing risks and impact are an inherent part of investing with a process-driven, systematic investment manager such as the Trading Advisor. Accordingly, the Trading Advisor does not expect to disclose discovered System Events to its investors.
The Partnership will bear the risks associated with the reliance on Models and Data including bearing all losses related to System Events other than in relation to losses arising from the Trading Advisors willful misconduct, negligence or breach of fiduciary obligations.
Trade Systems and Execution of Orders. The Trading Advisor relies extensively on computer programs, systems, technology, Data and Models to implement its execution strategies and algorithms. The Trading Advisors investment strategies, trading strategies and algorithms depend on its ability to establish and maintain an overall market position in a combination of financial instruments selected by the Trading Advisor. There is a risk that the Trading Advisors proprietary algorithmic trading systems may not be able to adequately react to a market event without serious disruption. Further, trading strategies and algorithms may malfunction causing severe losses. While the Trading Advisor has employed tools to allow for human intervention to respond to significant system malfunctions, it cannot be guaranteed that losses will not occur in such circumstances as unforeseen market events and disruptions and execution system issues.
Orders may not be executed in a timely and efficient manner due to various circumstances, including, without limitation, trading volume surges or systems failures attributable to the Trading Advisor, the Trading Advisors counterparties, brokers, dealers, agents or other service providers. In such event, the
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Trading Advisor might only be able to acquire or dispose of some, but not all, of the components of such position, or if the overall position were to need adjustment, the Trading Advisor might not be able to make such adjustment. As a result, the Partnership would not be able to achieve the market position selected by the Trading Advisor, which may result in a loss.
Trade Error Risk. The complex execution modalities operated by the Trading Advisor and the speed and volume of trading invariably result in occasional trades being executed which, with the benefit of hindsight, were not required or intended by the execution strategy or occasional trades not being executed when they should have been. To the extent a trade error is caused by counterparty, such as a broker, the Trading Advisor generally, to the extent reasonable and practical, attempts to recover any loss associated with such trade error from such counterparty. To the extent a trade error is caused by the Trading Advisor, a formalized process is in place for the documentation and resolution of such trade errors. Given the volume, diversity and complexity of transactions executed by the Trading Advisor on behalf of the Partnership, investors should assume that trade errors will occur on occasion. If such trade errors result in gains to the Partnership, such gains will be retained by the Partnership. However, if a trade error result in losses, they will be borne by the Trading Advisor in accordance with its internal policies unless otherwise determined by the General Partner.
Trading in OTC Markets Will Expose the Partnership to Risks Not Applicable to Trading on Organized Exchanges. The Partnership, through the Trading Company, may engage in OTC derivative transactions, such as: currency forward contracts traded in the interbank market; options on currency forward contracts; and swap transactions.
In general, there is much less governmental regulation and supervision of transactions in the OTC markets than of transactions entered into on organized exchanges. Most of the protections afforded to participants on U.S. and certain non-U.S. exchanges, such as daily price fluctuation limits and the performance guarantee of an exchange clearinghouse, will not be available in connection with OTC transactions. Consequently, the Partnership will be exposed to greater risk of loss through default than if it confined its trading to organized exchanges.
A portion of the Partnerships assets may be traded in forward contracts. Such forward contracts are generally not traded on exchanges and are executed directly through forward contract dealers. However, certain forward currency exchange contracts are regulated as swaps by the CFTC and have begun being voluntarily traded on swap execution facilities. Some of these contracts may be required to be centrally cleared by a regulated U.S. clearinghouse, and may be required to be traded on a regulated exchange in the future. There is no limitation on the daily price moves of forward contracts, and a dealer is not required to continue to make markets in such contracts. There have been periods during which forward contract dealers have refused to quote prices for forward contracts or have quoted prices with an unusually wide spread between the bid and asked price. Arrangements to trade forward contracts may therefore experience liquidity problems. The Partnership therefore will be subject to the risk of credit failure or the inability of or refusal of a forward contract dealer to perform with respect to its forward contracts.
When trading currency forward contracts, the Trading Company may hedge the foreign currencies in order to limit the Trading Companys 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
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and be submitted for clearing to regulated clearinghouses. For example, certain interest rate swaps, 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 margin requirements mandated by the CFTC, the Securities and Exchange Commission (the SEC) and/or federal prudential regulators. 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 have increased and will continue to increase the OTC derivative dealers costs, and these increased costs are generally passed through to other market participants in the form of higher upfront and mark-to-market margin, less favorable trade pricing, and the imposition of new or increased fees, including clearing account maintenance fees.
The CFTC also now requires certain derivatives transactions that were previously executed on a bilateral basis in the OTC markets to be executed through a regulated futures or swap exchange or execution facility. The SEC is also expected to impose similar requirements on certain security-based derivatives in the near future, though it is not yet clear when these parallel SEC requirements will go into effect. 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 the rules of the exchange or execution facility, which would bring additional risks and liabilities, and potential requirements under applicable regulations and under rules of the relevant exchange or execution facility. Similarly, under EMIR, European regulators may require a substantial proportion of such derivatives transactions to be bought on exchange and/or centrally cleared. 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 Partnerships 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 Commodity Exchange Act, as amended, that all futures contracts must be competitively executed on an exchange. They are permitted pursuant to the rules of the relevant exchanges, which vary from exchange to exchange. If the EFP, EFS or EFR does not comply with specific exchange requirements, particularly regarding possessing documentation
47
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 counterpartys credit failure or inability or refusal to perform its obligations. |
Institutional Risks. Institutions, such as the banks and brokers, will have custody of the assets of the Partnership. These firms may encounter financial difficulties that impair the operating capabilities or the capital position of the Partnership, the Trading Company or the General Partner.
Counterparty Risk. The Partnership will be subject to the risk of the inability of counterparties to perform with respect to transactions, particularly uncleared swap and currency forward transactions, whether due to insolvency, bankruptcy or other causes, which could subject the Partnership to substantial losses. In an effort to mitigate such risks, the General Partner and Trading Advisor will attempt to limit transactions to counterparties, which are established, well-capitalized and creditworthy.
48
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 Partnerships 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 arms-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 2. | Unregistered Sales of Equity Securities and Use of Proceeds. |
(a) The Partnership may sell Units of Limited Partnership Interests (Units) as of the first business day of any calendar month or at such other times as the General Partner may determine. On the first business day of July 2016, August 2016 and September 2016, the Partnership sold Class A Series 1 Units, exclusive of non-cash transfers, to existing and new Limited Partners in the amount of $300,001, $346,251 and $860,000, respectively. On the first business day of July 2016, August 2016 and September 2016, the Partnership sold Class A Series 2 Units, exclusive of non-cash transfers, to existing and new Limited Partners in the amount of $0, $0 and $0, respectively. On the first business day of July 2016, August 2016 and September 2016, the Partnership sold Class B Series 1 Units, exclusive of non-cash transfers, to existing and new Limited Partners in the amount of $82,322, $463,300 and $668,844, respectively. On the first business day of July 2016, August 2016 and September 2016, the Partnership sold Class B Series 2 Units, exclusive of non-cash transfers, to existing and new Limited Partners in the amount of $0, $0 and $0, respectively. There were no underwriting discounts or commissions in connection with the sales of the Units described above.
(b) Not applicable.
(c) Pursuant to the Partnerships Limited Partnership Agreement, a Limited Partner may redeem some or all of its Units as of the last business day of each calendar month at the then current month-end Net Asset Value. The redemption of Units has no impact on the value of Units that remain outstanding, and Units are not reissued once redeemed. The following table summarizes the amount of Units redeemed, exclusive of non-cash transfers, during the three months ended September 30, 2016:
Class A Units | Class A-2 Units | Class B Units | Class B-2 Units | |||||||||||||
Date of Redemption: (last business day) |
Amount Redeemed: |
Amount Redeemed: |
Amount Redeemed: |
Amount Redeemed: |
||||||||||||
July 2016 |
$ | 560,111 | $ | 0 | $ | 289,333 | $ | 0 | ||||||||
August 2016 |
$ | 1,077,163 | $ | 297,346 | $ | 380,533 | $ | 0 | ||||||||
September 2016 |
$ | 414,753 | $ | 0 | $ | 504,345 | $ | 0 | ||||||||
TOTAL |
$ | 2,052,027 | $ | 297,346 | $ | 1,174,211 | $ | 0 |
Item 3. | Defaults upon Senior Securities. |
None.
Item 4. | Mine Safety Disclosures. |
Not Applicable.
49
Item 5. | Other Information. |
None.
Item 6. | Exhibits. |
The following exhibits are included herewith:
Designation |
Description | |
31.1 | Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer | |
31.2 | Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer | |
32.1 | Section 1350 Certification of Principal Executive Officer | |
32.2 | Section 1350 Certification of Principal Financial Officer |
The following exhibits are incorporated by reference herein from the exhibits of the same description and number filed on January 28, 2008 with the Partnerships 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, for the year ended December 31, 2009, with the Partnerships 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 Partnerships 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 |
50
SIGNATURES
Pursuant to the requirements 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 November 10, 2016.
Man-AHL Diversified I L.P. (Registrant) |
By: Man Investments (USA) Corp. |
General Partner |
By: /s/ Eric Burl |
President and Principal Executive Officer |
By: /s/ Michael Fagan |
As Principal Financial Officer |
51
EXHIBIT INDEX
Exhibit Number |
Description of Document | |
31.1 | Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer | |
31.2 | Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer | |
32.1 | Section 1350 Certification of Principal Executive Officer | |
32.2 | Section 1350 Certification of Principal Financial Officer | |
101.INS | XBRL Instance Document | |
101.SCH | XBRL Taxonomy Extension Schema Document | |
101.CAL | XBRL Taxonomy Extension Calculation Linkbase Document | |
101.DEF | XBRL Taxonomy Extension Definition Linkbase Document | |
101.LAB | XBRL Taxonomy Extension Label Linkbase Document | |
101.PRE | XBRL Taxonomy Extension Presentation Linkbase Document |
52
Exhibit 31.1
CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER
I, Eric Burl, certify that:
1. | I have reviewed this quarterly report on Form 10-Q of Man-AHL Diversified I L.P. (registrant); |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
(a) | designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
(d) | disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter (the registrants fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting |
By: | /s/ Eric Burl | |
Eric Burl President, Principal Executive Officer of Man Investments (USA) Corp., the General Partner of the Partnership November 10, 2016 |
E-1
Exhibit 31.2
CERTIFICATION OF PRINCIPAL FINANCIAL OFFICER
I, Michael Fagan, certify that:
1. | I have reviewed this quarterly report on Form 10-Q of Man-AHL Diversified I L.P. (registrant); |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
(a) | designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
(d) | disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter (the registrants fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
(a) | all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize and report financial information; and |
(b) | any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
By: | /s/ Michael Fagan | |
Michael Fagan Principal Financial Officer of Man Investments (USA) Corp. the General Partner of the Partnership November 10, 2016 |
E-2
Exhibit 32.1
CERTIFICATION PURSUANT TO
SECTION 1350 OF CHAPTER 63 OF TITLE 18 OF THE UNITED STATES CODE
I, Eric Burl, the President and Principal Executive Officer of Man Investments (USA) Corp., the general partner of Man-AHL Diversified I L.P. (the Partnership), certify that (i) the Quarterly Report of the Partnership on Form 10-Q for the period ending September 30, 2016 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 and (ii) the information contained in such Report fairly presents, in all material respects, the financial condition and results of operations of the Partnership.
Date: November 10, 2016
By: | /s/ Eric Burl | |
Eric Burl | ||
President, Principal Executive Officer of Man Investments (USA) Corp., the General Partner of the Partnership |
E-3
Exhibit 32.1
CERTIFICATION PURSUANT TO
SECTION 1350 OF CHAPTER 63 OF TITLE 18 OF THE UNITED STATES CODE
I, Michael Fagan, Principal Financial Officer of Man Investments (USA) Corp. in its capacity as the general partner of Man-AHL Diversified I L.P. (the Partnership), certify that (i) the Quarterly Report of the Partnership on Form 10-Q for the period ending September 30, 2016 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 and (ii) the information contained in such Report fairly presents, in all material respects, the financial condition and results of operations of the Partnership.
Date: November 10, 2016
By: | /s/ Michael Fagan | |
Michael Fagan | ||
Principal Financial Officer of Man Investments (USA) Corp. the General Partner of the Partnership |
E-4
Document and Entity Information |
9 Months Ended |
---|---|
Sep. 30, 2016
shares
| |
Document And Entity Information [Abstract] | |
Document Type | 10-Q |
Amendment Flag | false |
Document Period End Date | Sep. 30, 2016 |
Document Fiscal Year Focus | 2016 |
Document Fiscal Period Focus | Q3 |
Trading Symbol | MADL |
Entity Registrant Name | MAN AHL DIVERSIFIED I LP |
Entity Central Index Key | 0001052354 |
Current Fiscal Year End Date | --12-31 |
Entity Filer Category | Non-accelerated Filer |
Entity Common Stock, Shares Outstanding | 0 |
STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - shares |
Sep. 30, 2016 |
Dec. 31, 2015 |
---|---|---|
Man-AHL Diversified Trading Company L.P. [Member] | ||
Limited Partners, units outstanding | 13,584.49 | 14,668.74 |
Class A Series 1 [Member] | Man-AHL Diversified I L.P. [Member] | ||
General Partner, unit equivalents outstanding | 186.37 | 186.37 |
Limited Partners, units outstanding | 30,624.32 | 31,106.90 |
Class A Series 2 [Member] | Man-AHL Diversified I L.P. [Member] | ||
Limited Partners, units outstanding | 2,480.75 | 4,927.77 |
Class B Series 1 [Member] | Man-AHL Diversified I L.P. [Member] | ||
Limited Partners, units outstanding | 13,197.46 | 13,548.81 |
Class B Series 2 [Member] | Man-AHL Diversified I L.P. [Member] | ||
Limited Partners, units outstanding | 41.15 | 41.15 |
STATEMENTS OF OPERATIONS (UNAUDITED) - USD ($) |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2016 |
Sep. 30, 2015 |
Sep. 30, 2016 |
Sep. 30, 2015 |
|
Man-AHL Diversified I L.P. [Member] | ||||
NET INVESTMENT INCOME (LOSS): | ||||
Interest income | $ 81,802 | $ 19,053 | $ 207,114 | $ 117,504 |
Other income | 60,145 | |||
Brokerage commissions | (145,580) | (200,760) | (523,948) | (623,781) |
Interest expense - brokers | (8,520) | (22,251) | (21,547) | (37,144) |
Administration fees | (26,875) | (33,330) | (85,590) | (65,505) |
Other expenses | (154,585) | (49,692) | (402,675) | (152,091) |
Net investment loss allocated from Man-AHL Diversified Trading Company L.P. | (253,758) | (286,980) | (826,646) | (700,872) |
EXPENSES | ||||
Management fees | 1,148,526 | 1,464,727 | 3,678,047 | 4,544,443 |
Servicing fees | 384,468 | 492,245 | 1,234,405 | 1,527,217 |
Administration fees | 2,500 | 3,700 | 7,500 | 109,121 |
Professional fees | 93,083 | 45,620 | 287,416 | 119,284 |
Other expenses | 29,383 | 44,370 | 80,883 | 129,760 |
Total expenses | 1,657,960 | 2,050,662 | 5,288,251 | 6,429,825 |
Net investment income (loss) | (1,911,718) | (2,337,642) | (6,114,897) | (7,130,697) |
NET REALIZED AND UNREALIZED GAINS (LOSSES) ON TRADING ACTIVITIES: | ||||
Net realized trading gains (losses) on closed contracts/agreements and foreign currency transactions | (708,289) | 6,268,780 | (5,972,929) | 19,119,964 |
Net change in unrealized trading gains (losses) on open contracts/agreements and translation of foreign currency | (4,481,132) | 12,267,821 | 669,687 | (5,900,997) |
Net gain (loss) on trading activities | (5,189,421) | 18,536,601 | (5,303,242) | 13,218,967 |
NET INCOME (LOSS) | $ (7,101,139) | $ 16,198,959 | $ (11,418,139) | $ 6,088,270 |
Man-AHL Diversified I L.P. [Member] | Class A Series 1 [Member] | ||||
NET REALIZED AND UNREALIZED GAINS (LOSSES) ON TRADING ACTIVITIES: | ||||
NET INCOME (LOSS) PER UNIT OF PARTNERSHIP INTEREST (based on weighted average units outstanding during the period) | $ (151.12) | $ 283.46 | $ (247.79) | $ 105.35 |
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD | 30,998.60 | 37,703.18 | 31,226.16 | 38,291.24 |
Man-AHL Diversified I L.P. [Member] | Class A Series 2 [Member] | ||||
NET REALIZED AND UNREALIZED GAINS (LOSSES) ON TRADING ACTIVITIES: | ||||
NET INCOME (LOSS) PER UNIT OF PARTNERSHIP INTEREST (based on weighted average units outstanding during the period) | $ (153.10) | $ 318.86 | $ (145.49) | $ 152.44 |
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD | 2,535.17 | 4,958.22 | 3,590.61 | 5,000.54 |
Man-AHL Diversified I L.P. [Member] | Class B Series 1 [Member] | ||||
NET REALIZED AND UNREALIZED GAINS (LOSSES) ON TRADING ACTIVITIES: | ||||
NET INCOME (LOSS) PER UNIT OF PARTNERSHIP INTEREST (based on weighted average units outstanding during the period) | $ (152.33) | $ 284.33 | $ (235.46) | $ 94.33 |
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD | 13,275.04 | 13,765.44 | 13,372.33 | 13,639.11 |
Man-AHL Diversified I L.P. [Member] | Class B Series 2 [Member] | ||||
NET REALIZED AND UNREALIZED GAINS (LOSSES) ON TRADING ACTIVITIES: | ||||
NET INCOME (LOSS) PER UNIT OF PARTNERSHIP INTEREST (based on weighted average units outstanding during the period) | $ (154.84) | $ 342.09 | $ (231.25) | $ 94.62 |
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD | 41.15 | 48.75 | 41.15 | 59.15 |
Man-AHL Diversified Trading Company L.P. [Member] | ||||
NET INVESTMENT INCOME (LOSS): | ||||
Interest income | $ 95,918 | $ 22,424 | $ 240,212 | $ 139,794 |
Other income | 72,665 | |||
Total investment income | 95,918 | 22,424 | 240,212 | 212,459 |
EXPENSES | ||||
Brokerage commissions | 170,900 | 236,584 | 606,411 | 740,949 |
Interest expense - brokers | 9,994 | 26,184 | 25,011 | 56,770 |
Administration fees | 31,510 | 39,298 | 99,102 | 84,705 |
Professional fees | 140,804 | 46,830 | 349,746 | 129,944 |
Other expenses | 40,436 | 11,731 | 117,933 | 31,884 |
Total expenses | 393,644 | 360,627 | 1,198,203 | 1,044,252 |
Net investment income (loss) | (297,726) | (338,203) | (957,991) | (831,793) |
NET REALIZED AND UNREALIZED GAINS (LOSSES) ON TRADING ACTIVITIES: | ||||
Net realized trading gains (losses) on closed contracts/agreements and foreign currency transactions | (860,264) | 7,304,017 | (7,122,153) | 22,653,376 |
Net change in unrealized gains (losses) on translation of foreign currency | 68,127 | (111,155) | 93,213 | 3,366,969 |
Net change in unrealized trading gains (losses) on open contracts/agreements | (5,312,341) | 14,686,902 | 573,703 | (10,457,906) |
Net gain (loss) on trading activities | (6,104,478) | 21,879,764 | (6,455,237) | 15,562,439 |
NET INCOME (LOSS) | $ (6,402,204) | $ 21,541,561 | $ (7,413,228) | $ 14,730,646 |
NET INCOME (LOSS) PER UNIT OF PARTNERSHIP INTEREST (based on weighted average units outstanding during the period) | $ (434.82) | $ 1,233.05 | $ (508.54) | $ 826.11 |
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD | 14,723.81 | 17,470.09 | 14,577.35 | 17,831.36 |
STATEMENT OF CHANGES IN PARTNERS' CAPITAL (UNAUDITED) - USD ($) |
Man-AHL Diversified I L.P. [Member] |
Man-AHL Diversified I L.P. [Member]
Limited Partners [Member]
Class A Series 1 [Member]
|
Man-AHL Diversified I L.P. [Member]
Limited Partners [Member]
Class A Series 2 [Member]
|
Man-AHL Diversified I L.P. [Member]
Limited Partners [Member]
Class B Series 1 [Member]
|
Man-AHL Diversified I L.P. [Member]
Limited Partners [Member]
Class B Series 2 [Member]
|
Man-AHL Diversified I L.P. [Member]
General Partner [Member]
Class A Series 1 [Member]
|
Man-AHL Diversified Trading Company L.P. [Member] |
Man-AHL Diversified Trading Company L.P. [Member]
Limited Partners [Member]
|
---|---|---|---|---|---|---|---|---|
PARTNERS' CAPITAL at Dec. 31, 2014 | $ 202,024,664 | $ 135,431,809 | $ 19,279,996 | $ 46,416,540 | $ 242,852 | $ 653,467 | $ 236,996,474 | $ 236,996,474 |
PARTNERS' CAPITAL, units at Dec. 31, 2014 | 57,230 | 38,626 | 5,116 | 13,238 | 64 | 186 | 17,854 | 17,854 |
Subscriptions | $ 11,852,439 | $ 8,072,680 | $ 50,000 | $ 3,729,759 | $ 13,637,739 | $ 13,637,739 | ||
Subscriptions, units | 3,277 | 2,239 | 13 | 1,025 | 995 | 995 | ||
Redemptions | $ (16,912,466) | $ (13,579,347) | $ (718,201) | $ (2,527,590) | $ (87,328) | $ (25,728,641) | $ (25,728,641) | |
Redemptions, units | (4,665) | (3,750) | (181) | (711) | (23) | (1,861) | (1,861) | |
Net income (loss) | $ 6,088,270 | $ 4,014,679 | $ 762,304 | $ 1,286,571 | $ 5,597 | $ 19,119 | $ 14,730,646 | $ 14,730,646 |
PARTNERS' CAPITAL at Sep. 30, 2015 | $ 203,052,907 | $ 133,939,821 | $ 19,374,099 | $ 48,905,280 | $ 161,121 | $ 672,586 | $ 239,636,218 | $ 239,636,218 |
PARTNERS' CAPITAL, units at Sep. 30, 2015 | 55,842 | 37,115 | 4,948 | 13,552 | 41 | 186 | 16,988 | 16,988 |
PARTNERS' CAPITAL at Dec. 31, 2015 | $ 173,101,434 | $ 107,157,136 | $ 18,474,728 | $ 46,673,266 | $ 154,282 | $ 642,022 | $ 199,706,130 | $ 199,706,130 |
PARTNERS' CAPITAL, units at Dec. 31, 2015 | 49,811 | 31,107 | 4,928 | 13,549 | 41 | 186 | 14,669 | 14,669 |
Subscriptions | $ 12,524,003 | $ 9,744,254 | $ 50,000 | $ 2,729,749 | $ 9,875,111 | $ 9,875,111 | ||
Subscriptions, units | 3,535 | 2,719 | 13 | 803 | 689 | 689 | ||
Redemptions | $ (24,418,773) | $ (11,146,852) | $ (9,275,389) | $ (3,996,532) | $ (24,630,265) | $ (24,630,265) | ||
Redemptions, units | (6,816) | (3,202) | (2,460) | (1,154) | (1,774) | (1,774) | ||
Net income (loss) | $ (11,418,139) | $ (7,692,277) | $ (522,410) | $ (3,148,703) | $ (9,516) | $ (45,233) | $ (7,413,228) | $ (7,413,228) |
PARTNERS' CAPITAL at Sep. 30, 2016 | $ 149,788,525 | $ 98,062,261 | $ 8,726,929 | $ 42,257,780 | $ 144,766 | $ 596,789 | $ 177,537,748 | $ 177,537,748 |
PARTNERS' CAPITAL, units at Sep. 30, 2016 | 46,530 | 30,624 | 2,481 | 13,198 | 41 | 186 | 13,584 | 13,584 |
STATEMENTS OF CASH FLOWS (UNAUDITED) - USD ($) |
9 Months Ended | |
---|---|---|
Sep. 30, 2016 |
Sep. 30, 2015 |
|
Man-AHL Diversified I L.P. [Member] | ||
CASH FLOWS FROM OPERATING ACTIVITIES: | ||
Net income (loss) | $ (11,418,139) | $ 6,088,270 |
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | ||
Purchases of investments in Man-AHL Diversified Trading Company L.P. | (3,764,098) | (9,127,342) |
Sales of investments in Man-AHL Diversified Trading Company L.P. | 29,241,821 | 21,116,910 |
Net gain (loss) on trading activities and net investment loss allocated from investment in Man-AHL Diversified Trading Company L.P. | 6,129,888 | (12,518,095) |
Changes in assets and liabilities: | ||
Management fees payable | (562,398) | 703 |
Servicing fees payable | (189,632) | 549 |
Accrued expenses and other liabilities | 128,381 | (91,299) |
Net cash provided by operating activities | 19,565,823 | 5,469,696 |
CASH FLOWS FROM FINANCING ACTIVITIES: | ||
Proceeds from subscriptions | 12,524,003 | 11,054,779 |
Payments on redemptions | (32,089,826) | (17,322,135) |
Net cash used in financing activities | (19,565,823) | (6,267,356) |
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS | (797,660) | |
CASH AND CASH EQUIVALENTS - Beginning of period | 797,660 | |
Man-AHL Diversified Trading Company L.P. [Member] | ||
CASH FLOWS FROM OPERATING ACTIVITIES: | ||
Net income (loss) | (7,413,228) | 14,730,646 |
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | ||
Net change in unrealized trading (gains)/losses on open contracts/agreements | (573,703) | 10,457,906 |
Changes in assets and liabilities: | ||
Due from brokers | (1,130,744) | (4,223,191) |
Interest receivable | (12,018) | (8,390) |
Net premiums paid on credit default swap agreements | (5,389,124) | 2,371,320 |
Net premiums received on credit default swap agreements | 2,163,541 | 2,263,966 |
Due to brokers | 122,486 | 92,155 |
Accrued expenses and other liabilities | 49,416 | (42,989) |
Net cash provided by operating activities | (12,183,374) | 25,641,423 |
CASH FLOWS FROM FINANCING ACTIVITIES: | ||
Proceeds from subscriptions | 9,875,111 | 13,637,739 |
Payments on redemptions | (32,212,504) | (27,521,696) |
Net cash used in financing activities | (22,337,393) | (13,883,957) |
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS | (34,520,767) | 11,757,466 |
CASH AND CASH EQUIVALENTS - Beginning of period | 180,883,999 | 197,017,472 |
CASH AND CASH EQUIVALENTS - End of period | 146,363,232 | 208,774,938 |
SUPPLEMENTAL DISCLOSURE OF CASH ACTIVITY: | ||
CASH PAID FOR INTEREST DURING THE PERIOD: | $ 25,011 | $ 56,770 |
Condensed Schedules of Investments - Man-AHL Diversified Trading Company L.P. [Member] - USD ($) |
Sep. 30, 2016 |
Dec. 31, 2015 |
---|---|---|
Schedule of Investments [Line Items] | ||
NET UNREALIZED TRADING GAINS ON OPEN FUTURES CONTRACTS, Fair Value | $ 1,018,473 | $ 1,748,896 |
NET UNREALIZED TRADING GAINS (LOSSES) ON OPEN FORWARD CONTRACTS, Fair Value | (762,559) | (209,714) |
NET UNREALIZED TRADING GAINS/(LOSSES) ON OPEN SWAP AGREEMENTS, Fair Value | 2,281,711 | 424,740 |
NET UNREALIZED TRADING GAINS/(LOSSES) ON OPEN CONTRACTS/AGREEMENTS, Fair Value | $ 2,537,625 | $ 1,963,922 |
NET UNREALIZED TRADING GAINS ON OPEN FUTURES CONTRACTS, Percent of Partners' Capital | 0.60% | 0.90% |
NET UNREALIZED TRADING GAINS ON OPEN FORWARD CONTRACTS, Percent of Partners' Capital | (0.50%) | (0.10%) |
NET UNREALIZED TRADING GAINS/(LOSSES) ON OPEN SWAP AGREEMENTS, Percent of Partners' Capital | 1.30% | 0.20% |
NET UNREALIZED TRADING GAINS/(LOSSES) ON OPEN CONTRACTS/AGREEMENTS, Percent of Partners' Capital | 1.40% | 1.00% |
Futures Contracts - Long [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ 1,090,056 | $ (647,805) |
Percent of Partners' Capital | 0.60% | (0.30%) |
Futures Contracts - Long [Member] | Currencies [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ (1,440) | |
Percent of Partners' Capital | 0.00% | 0.00% |
Futures Contracts - Long [Member] | Interest Rates [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ 301,052 | $ (371,403) |
Percent of Partners' Capital | 0.20% | (0.20%) |
Futures Contracts - Long [Member] | Agricultural [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ 131,311 | $ 117,984 |
Percent of Partners' Capital | 0.10% | 0.10% |
Futures Contracts - Long [Member] | Energy [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ (146,024) | $ (140,307) |
Percent of Partners' Capital | (0.10%) | (0.10%) |
Futures Contracts - Long [Member] | Indices [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ 797,107 | $ (176,089) |
Percent of Partners' Capital | 0.40% | (0.10%) |
Futures Contracts - Long [Member] | Metals [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ 6,610 | $ (76,550) |
Percent of Partners' Capital | 0.00% | 0.00% |
Futures Contracts - Short [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ (71,583) | $ 2,396,701 |
Percent of Partners' Capital | 0.00% | 1.20% |
Futures Contracts - Short [Member] | Currencies [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ (1,875) | |
Percent of Partners' Capital | 0.00% | 0.00% |
Futures Contracts - Short [Member] | Interest Rates [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ (61,218) | $ 17,711 |
Percent of Partners' Capital | 0.00% | 0.00% |
Futures Contracts - Short [Member] | Agricultural [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ 397,106 | $ 802,455 |
Percent of Partners' Capital | 0.20% | 0.40% |
Futures Contracts - Short [Member] | Energy [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ (312,749) | $ 1,401,618 |
Percent of Partners' Capital | (0.20%) | 0.70% |
Futures Contracts - Short [Member] | Indices [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ 133,271 | $ 223,760 |
Percent of Partners' Capital | 0.10% | 0.10% |
Futures Contracts - Short [Member] | Metals [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ (226,118) | $ (48,843) |
Percent of Partners' Capital | (0.10%) | 0.00% |
Forward Contracts - Long [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ 1,445,588 | $ (1,459,070) |
Percent of Partners' Capital | 0.80% | (0.60%) |
Forward Contracts - Long [Member] | Australian Dollars [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ 308,567 | $ 369,549 |
Percent of Partners' Capital | 0.20% | 0.20% |
Forward Contracts - Long [Member] | British Pounds [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ (466,682) | $ (850,089) |
Percent of Partners' Capital | (0.30%) | (0.40%) |
Forward Contracts - Long [Member] | Euro [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ 539,697 | $ (452,102) |
Percent of Partners' Capital | 0.30% | (0.20%) |
Forward Contracts - Long [Member] | Gold Bullion [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ 292,105 | $ 15,747 |
Percent of Partners' Capital | 0.20% | 0.00% |
Forward Contracts - Long [Member] | Japanese Yen [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ 199,255 | $ 959,347 |
Percent of Partners' Capital | 0.10% | 0.50% |
Forward Contracts - Long [Member] | New Zealand Dollars [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ (153,371) | $ 381,631 |
Percent of Partners' Capital | (0.10%) | 0.20% |
Forward Contracts - Long [Member] | Other [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ 726,017 | $ (1,883,153) |
Percent of Partners' Capital | 0.40% | (0.90%) |
Forward Contracts - Short [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ (2,208,147) | $ 1,249,356 |
Percent of Partners' Capital | (1.30%) | 0.50% |
Forward Contracts - Short [Member] | Australian Dollars [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ (627,864) | $ (731,725) |
Percent of Partners' Capital | (0.40%) | (0.40%) |
Forward Contracts - Short [Member] | British Pounds [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ 270,708 | $ 1,446,072 |
Percent of Partners' Capital | 0.20% | 0.70% |
Forward Contracts - Short [Member] | Euro [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ (581,518) | $ 637,614 |
Percent of Partners' Capital | (0.30%) | 0.30% |
Forward Contracts - Short [Member] | Gold Bullion [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ (178,589) | $ (123,697) |
Percent of Partners' Capital | (0.10%) | (0.10%) |
Forward Contracts - Short [Member] | Japanese Yen [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ (457,062) | $ (1,749,205) |
Percent of Partners' Capital | (0.30%) | (0.90%) |
Forward Contracts - Short [Member] | New Zealand Dollars [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ 53,057 | $ (199,712) |
Percent of Partners' Capital | 0.00% | (0.10%) |
Forward Contracts - Short [Member] | Other [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ (686,879) | $ 1,970,009 |
Percent of Partners' Capital | (0.40%) | 1.00% |
Swap Agreements - Long [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ 4,630,245 | $ 3,515,816 |
Percent of Partners' Capital | 2.60% | 1.80% |
Swap Agreements - Long [Member] | Interest Rates [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ 4,953,715 | $ 3,878,431 |
Percent of Partners' Capital | 2.80% | 2.00% |
Swap Agreements - Long [Member] | Credit Default Swaps - Buy Protection [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ (323,470) | $ (362,615) |
Percent of Partners' Capital | (0.20%) | (0.20%) |
Swap Agreements - Short [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ (2,348,534) | $ (3,091,076) |
Percent of Partners' Capital | (1.30%) | (1.60%) |
Swap Agreements - Short [Member] | Interest Rates [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ (2,982,162) | $ (3,138,010) |
Percent of Partners' Capital | (1.70%) | (1.60%) |
Swap Agreements - Short [Member] | Credit Default Swaps - Sell Protection [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ 633,628 | $ 46,934 |
Percent of Partners' Capital | 0.40% | 0.00% |
Condensed Schedules of Investments (Parenthetical) - Man-AHL Diversified Trading Company L.P. [Member] - USD ($) |
Sep. 30, 2016 |
Dec. 31, 2015 |
---|---|---|
Schedule of Investments [Line Items] | ||
Premiums received on credit default swap agreements | $ 2,875,986 | $ 712,445 |
Premiums paid on credit default swap agreements | 6,148,920 | 759,796 |
Credit Default Swaps - Buy Protection [Member] | Swap Agreements - Long [Member] | ||
Schedule of Investments [Line Items] | ||
Premiums received on credit default swap agreements | 2,875,986 | 712,445 |
Credit Default Swaps - Sell Protection [Member] | Swap Agreements - Short [Member] | ||
Schedule of Investments [Line Items] | ||
Premiums paid on credit default swap agreements | $ 6,148,920 | $ 759,796 |
Basis of Presentation |
9 Months Ended |
---|---|
Sep. 30, 2016 | |
Man-AHL Diversified I L.P. [Member] | |
Basis of Presentation | The accompanying unaudited financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Man-AHL Diversified I L.P.’s (a Delaware Limited Partnership) (the “Partnership”) financial condition at September 30, 2016, and the results of its operations for the three and nine months ended September 30, 2016 and 2015. These financial statements present the results of interim periods and do not include all of the disclosures normally provided in annual financial statements. These financial statements should be read in conjunction with the audited financial statements and notes included in the Partnership’s annual report on Form 10-K filed with the Securities and Exchange Commission (“SEC”) for the year ended December 31, 2015. The December 31, 2015 information has been derived from the audited financial statements as of December 31, 2015. |
Man-AHL Diversified Trading Company L.P. [Member] | |
Basis of Presentation | The accompanying unaudited financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Man-AHL Diversified Trading Company L.P.’s (a Delaware Limited Partnership) (the “Trading Company”) financial condition at September 30, 2016, and the results of its operations for the three and nine months ended September 30, 2016 and 2015. These financial statements present the results of interim periods and do not include all of the disclosures normally provided in the annual financial statements. These financial statements should be read in conjunction with the audited financial statements and notes included in Man-AHL Diversified I L.P.’s annual report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2015. The December 31, 2015 information has been derived from the audited financial statements as of December 31, 2015. |
Organization of the Partnership |
9 Months Ended | ||
---|---|---|---|
Sep. 30, 2016 | |||
Man-AHL Diversified I L.P. [Member] | |||
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 commodity pool operator and is a member of the National Futures Association (“NFA”) in such capacities, in addition to registration with the Financial Conduct Authority in the United Kingdom. Man Investments 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. From December 31, 2014 through March 31, 2015, Citibank N.A. served as the administrator of the Partnership. As of April 1, 2015, The Bank of New York Mellon assumed the role of administrator of the Partnership. |
||
Man-AHL Diversified Trading Company L.P. [Member] | |||
Organization of the Partnership |
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 the trading advisor to the Trading Company. The Advisor is an affiliate of the General Partner and a subsidiary of Man Group plc. The Advisor is registered with the Commodity Futures Trading Commission (“CFTC”) as a commodity trading adviser and commodity pool operator and is a member of the National Futures Association (“NFA”) in such capacities, in addition to registration with the Financial Conduct Authority in the United Kingdom. The personnel of Man Investments Holdings Limited are responsible for implementing the futures and 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. 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. From December 31, 2014 through March 31, 2015, Citibank N.A. served as the administrator of the Trading Company. As of April 1, 2015, The Bank of New York Mellon assumed the role of administrator of the Trading Company. |
Significant Accounting Policies |
9 Months Ended | ||
---|---|---|---|
Sep. 30, 2016 | |||
Man-AHL Diversified I L.P. [Member] | |||
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. 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 September 30, 2016 and December 31, 2015, the Partnership owned 11,527.15 and 12,823.68 units, respectively, of the Trading Company. The Partnership’s aggregate ownership percentage of the Trading Company at September 30, 2016 and December 31, 2015 was 84.86% and 87.42%, respectively. The Partnership is able to redeem its investment from the Trading Company on a monthly basis. As of September 30, 2016, the Partnership could redeem its investment without restriction at the month-end net asset value of the Trading Company. Due from Man-AHL Diversified Trading Company L.P. — The amounts Due from Man-AHL Diversified Trading Company L.P. represent redemption requests made by the Partnership relating to its investment in the Trading Company. The requests have been received and recorded by the Trading Company but the proceeds have not been received by the Partnership. 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 nine months ended September 30, 2016 and 2015, no incentive fees were earned by the Advisor. The Partnership pays a monthly servicing fee to MII in an amount equal to 0.0833% (1.00% annually) of the month-end Net Asset Value of Class A Series 1 and Class B Series 1 units and to 0.0625% (0.75% annually) of the month-end Net Asset Value of Class A Series 2 and Class B Series 2 units. 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 and The Bank of New York Mellon. 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 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 nine months ended September 30, 2016 and 2015. 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. |
||
Man-AHL Diversified Trading Company L.P. [Member] | |||
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.
Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires the General Partner to make estimates and assumptions that affect the reported amounts of assets and liabilities (and disclosure of contingent assets and liabilities) at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. Due from Brokers — Due from brokers consists of balances due from Credit Suisse (“CS”), JPMorgan Chase (“JPM”), Royal Bank of Scotland (“RBS”), Deutsche Bank (“DB”), Bank of America Merrill Lynch (“ML”) and HSBC. In general, the brokers pay the Trading Company interest monthly, based on agreed upon rates, on the Trading Company’s average daily balance. Amounts due from brokers include cash held at brokers and cash posted as collateral. The amount of cash restricted as collateral held and included in due from brokers on the statements of financial condition is $14,013,881 and $19,062,982 as of September 30, 2016 and December 31, 2015, respectively. Due to Broker – Due to broker consists of balances due to The Bank of New York Mellon relating to securities purchased, but not yet settled as of September 30, 2016. 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 gains and losses from periodic payments and settlements and unrealized changes in fair values are included in realized and unrealized gains and losses on contracts/agreements, respectively, in the statements of operations. All trading activities are accounted for on a trade-date basis. 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 U.S. government securities with original maturities of 90 days or less, held with The Bank of New York Mellon. As of September 30, 2016, the Trading Company maintains cash balances with The Bank of New York Mellon and Citibank N.A. As of September 30, 2016, the Trading Company holds $139,982,807 of U.S. Treasury Bills in cash and cash equivalents with The Bank of New York Mellon. These U.S. Treasury Bills, with maturity dates ranging from October 13, 2016 to November 17, 2016, have a total face value of $140,000,000. As of December 31, 2015, the Trading Company holds $160,986,436 of U.S. Treasury Bills in cash and cash equivalents with The Bank of New York Mellon. These U.S. Treasury Bills, with a maturity date from January 7, 2016 to February 25, 2016, have a total face value of $161,000,000. As of September 30, 2016 and December 31, 2015, all U.S. Treasury Bills are classified as Level 2 investments in the fair value hierarchy.
Income Taxes — The Trading Company is treated as a partnership for tax purposes and therefore is not subject to federal, state, or local income tax. Such taxes are the liabilities of the individual partners and the amounts thereof will vary depending on the individual situation of each partner. Accordingly, there is no provision for income taxes in the accompanying financial statements. ASC 740, Income Taxes, defines how uncertain tax positions should be recognized, measured, presented, and disclosed in the financial statements and is applied to all open tax years. The Trading Company has evaluated tax positions taken or expected to be taken in the course of preparing the Trading Company’s tax returns to determine whether the tax positions are more likely than not to be sustained by the applicable tax authority. Based on this analysis of all tax jurisdictions and all open tax years subject to examination, there were no material tax positions not deemed to meet a more-likely-than-not-threshold. Therefore, no tax expense, including interest or penalties, was recorded for the nine months ended September 30, 2016 and 2015. 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. New Accounting Pronouncement — In August 2014, the FASB issued ASU 2014-15, Presentation of Financial Statements – Going Concern (Subtopic 205-40) (ASU 2014-15). The pronouncement determines management’s responsibility regarding assessment of the Trading Company’s ability to continue as a going concern, even if the Trading Company’s liquidation is not imminent. Currently, no similar guidance exists. Under this guidance, during each period in which financial statements are prepared, management needs to evaluate whether there are conditions or events that, in aggregate, raise substantial doubt about the Trading Company’s ability to continue as a going concern within one year after the date the financial statements are issued. Substantial doubt exists if these conditions or events indicate that the Trading Company will be unable to meet its obligations as they become due. If such conditions or events exist, management should develop a plan to mitigate or alleviate these conditions or events. Regardless of management’s plan to mitigate, certain disclosures must be made in the financial statements. ASU 2014-15 is effective for annual periods ending after December 15, 2016, however, early adoption is permitted. The Trading Company is currently evaluating the impact the update will have on the Trading Company’s financial statements. |
Partnership Agreement |
9 Months Ended | ||
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Sep. 30, 2016 | |||
Man-AHL Diversified I L.P. [Member] | |||
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. 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 nine months ended September 30, 2016 and 2015.
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.
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Man-AHL Diversified Trading Company L.P. [Member] | |||
Partnership Agreement |
The Advisor is the sole trading advisor to the Trading Company. The General Partner and limited partners share in the profits and losses of the Trading Company in proportion to the number of units or unit equivalents held by each partner. However, no limited partner is liable for obligations of the Trading Company in excess of its capital contribution and net profits or losses, if any. The General Partner owned no direct interest in the Trading Company during the nine months ended September 30, 2016, and the year ended December 31, 2015. 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 nine months ended September 30, 2016, and the year ended December 31, 2015. Partner contributions occur as of the first day of any month at the opening net asset value. Limited partners may redeem any or all of their units as of the end of any month at the net asset value per unit with 10 days prior written notice to the General Partner. The General Partner may suspend redemptions of units of the Trading Company if the Trading Company’s ability to withdraw capital from any investment is restricted. The Trading Company will be dissolved on December 31, 2037, or upon the occurrence of certain events, as specified in the Trading Company’s limited partnership agreement. |
Financial Guarantees |
9 Months Ended | ||
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Sep. 30, 2016 | |||
Man-AHL Diversified I L.P. [Member] | |||
Financial Guarantees |
The Partnership enters into administrative and other professional service contracts that contain a variety of indemnifications. The Partnership’s maximum exposure under these arrangements is not known; however, the Partnership has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. |
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Man-AHL Diversified Trading Company L.P. [Member] | |||
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. |
Financial Highlights |
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Man-AHL Diversified I L.P. [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Highlights |
The following represents the ratios to average limited partners’ capital and other information for the three and nine months ended September 30, 2016 and 2015:
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. |
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Man-AHL Diversified Trading Company L.P. [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Highlights |
The following represents the ratios to average partners’ capital and other information for the periods ended September 30, 2016 and 2015:
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. |
Subsequent Events |
9 Months Ended | ||
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Sep. 30, 2016 | |||
Man-AHL Diversified I L.P. [Member] | |||
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 September 30, 2016, through the date of filing, the Partnership recorded limited partner subscriptions of $545,795 and limited partner redemptions of $2,298,699. 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. |
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Man-AHL Diversified Trading Company L.P. [Member] | |||
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 September 30, 2016 through November 10, 2016, the date of filing, the Trading Company recorded limited partner subscriptions of $677,796, and limited partner redemptions of $2,298,699. 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. |
Fair Value Measurements |
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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:
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 market observable inputs in their valuations, and are categorized as Level 2 investments in the fair value hierarchy. As of September 30, 2016 and December 31, 2015, 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 September 30, 2016 and December 31, 2015, of the Trading Company’s investments based on the level of inputs utilized in determining the value of such investments:
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 September 30, 2016 based on the levels assigned at December 31, 2015. |
Derivative Financial Instruments and Concentrations of Credit Risk |
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Man-AHL Diversified Trading Company L.P. [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 of the strategies and systems of the AHL Diversified Program are designed to target defined volatility levels rather than returns, and the investment process is underpinned by computer-supported analytical instruments and disciplined real-time risk and management information systems. A proprietary risk measurement method similar to the industry standard “value-at-risk” helps ensure that the rule-based decisions that drive the investment process remain within pre-defined risk parameters. Margin-to-equity ratios are monitored daily, and the level of exposure in each market is quantifiable at any time and is adjusted in accordance with market volatility. Market correlation is closely monitored to prevent over-concentration of risk and ensure optimal portfolio weightings. Market liquidity is examined with the objective of ensuring that the Trading Company will be able to initiate and close out trades as indicated by AHL Diversified Program’s systems at market prices, while brokerage selection and trade execution are continually monitored with the objective of ensuring quality market access. Futures contracts, forward contracts and swap agreements are recorded on the trade date. Upon entering into futures contracts, forward contracts and swap agreements, the Trading Company may be required to deposit cash or collateral with the brokers. Gains or losses are realized when contracts are matured or closed. Unrealized gains or losses on open contracts and agreements (the difference between contract trade price and fair value) are reported in the statements of financial condition. Interest rate swaps relate to agreements taken out by the Trading Company with major brokers in which the Trading Company either receives or pays a floating rate of interest in return for paying or receiving, respectively, a fixed rate of interest, on the same notional amount for a specified period of time. In the normal course of business, the payment flows are netted against each other, with the difference being paid by one party to the other. Changes in the value of the interest rate swap agreements and amounts received or paid in connection with those changes, are recognized as realized trading gains (losses) on closed contracts/agreements in the statements of operations. The risks related to trading in interest rate swaps include changes in market value and the possible inability of the counterparty to fulfill its obligations under the agreement. The Trading Company may enter into 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) 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 September 30, 2016 and December 31, 2015, 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:
The notional amount represents the maximum potential pay out that the Trading Company could be required to make if a credit event were to occur under each agreement. The maximum payout amount may be offset by the subsequent sale, if any, of assets obtained via the execution of a payout event, upfront fees received upon entering into the contracts, or net amounts received from the settlement of offsetting purchased protection in credit default swap contracts entered into by the Trading Company for the same reference entity or entities. As of September 30, 2016 and December 31, 2015, all credit default swap contracts entered into by the Trading Company are on indices. The credit spread of the underlying indices, derived from the fair value at September 30, 2016 of each credit default swap where the Trading Company is a seller, ranged between 66 basis points and 401 basis points. The credit spread of the underlying indices, derived from the fair value at December 31, 2015 of each credit default swap where the Trading Company is a seller, ranged between 77 basis points and 471 basis points. The credit spread is generally indicative of the status of the underlying risk of default by the applicable reference entity or index and is likely to be different than the contractual spread on the credit default swap. Higher credit spreads are indicative of a higher likelihood of non-performance by the Trading Company. As of September 30, 2016 the Trading Company posted cash collateral of $1,146,209, and as of December 31, 2015, the Trading Company posted cash collateral of $2,773,209, with respective counterparties on these agreements in the normal course of business. As of September 30, 2016, the maturity dates for open credit default swap agreements on selling protection ranged from June 20, 2021 through December 20, 2021. As of December 31, 2015, all open credit default swap agreements on selling protection have a maturity date of December 20, 2020. During the three months ended September 30, 2016, the Trading Company traded 58,513 exchange-traded futures contracts and settled 51,378 forward contracts and 1,519 swap agreements. During the nine months ended September 30, 2016, the Trading Company traded 185,590 exchange-traded futures contracts and settled 134,730 forward contracts and 5,322 swap agreements. During the three months ended September 30, 2015, the Trading Company traded 77,553 exchange-traded futures contracts and settled 37,719 forward contracts and 1,708 swap agreements. During the nine months ended September 30, 2015, the Trading Company traded 228,313 exchange-traded futures contracts and settled 98,216 forward contracts and 5,711 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 September 30, 2016, the OTC contracts subject to such trigger events in a net liability position were the foreign currency forward contracts and interest rate swap agreements. 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 September 30, 2016, may differ from the net liability amounts recorded as of September 30, 2016, and such differences can be material. For exchange-traded futures contracts, the clearing organization functions as the central counterparty for each transaction and, therefore, bears the risk of settlement to and from counterparties, which mitigates the credit risk of these instruments. As of September 30, 2016 and December 31, 2015, all credit default swaps held by the Trading Company are centrally cleared swaps. The following table presents the fair value of the Trading Company’s derivative instruments and net presentation on statements of financial condition location:
The following table presents the impact of derivative instruments on the statements of operations location:
Amounts in the table above exclude foreign exchange spot contracts.
As described above, the Trading Company may enter into netting agreements with its derivative contract counterparties whereby the Trading Company may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. As of September 30, 2016 and December 31, 2015, 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: ASSETS
The following table provides additional disclosures regarding the offsetting of derivative liabilities presented in the statements of financial condition: LIABILITIES
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:
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Significant Accounting Policies (Policies) |
9 Months Ended |
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Sep. 30, 2016 | |
Man-AHL Diversified I L.P. [Member] | |
Use of Estimates | Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires the General Partner to make estimates and assumptions that affect the reported amounts of assets and liabilities (and disclosure of contingent assets and liabilities) at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. |
Due from Man-AHL Diversified Trading Company L.P. | Due from Man-AHL Diversified Trading Company L.P. — The amounts Due from Man-AHL Diversified Trading Company L.P. represent redemption requests made by the Partnership relating to its investment in the Trading Company. The requests have been received and recorded by the Trading Company but the proceeds have not been received by the Partnership. |
Investment in Man-AHL Diversified Trading Company L.P. | 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 September 30, 2016 and December 31, 2015, the Partnership owned 11,527.15 and 12,823.68 units, respectively, of the Trading Company. The Partnership’s aggregate ownership percentage of the Trading Company at September 30, 2016 and December 31, 2015 was 84.86% and 87.42%, respectively. The Partnership is able to redeem its investment from the Trading Company on a monthly basis. As of September 30, 2016, the Partnership could redeem its investment without restriction at the month-end net asset value of the Trading Company. |
Expenses | 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 nine months ended September 30, 2016 and 2015, no incentive fees were earned by the Advisor. The Partnership pays a monthly servicing fee to MII in an amount equal to 0.0833% (1.00% annually) of the month-end Net Asset Value of Class A Series 1 and Class B Series 1 units and to 0.0625% (0.75% annually) of the month-end Net Asset Value of Class A Series 2 and Class B Series 2 units. 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 | 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 and Cash Equivalents | Cash — Cash balances are held with Citibank N.A and The Bank of New York Mellon. |
Subscriptions Received in Advance | 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 — 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 | Income Taxes — The Partnership is not subject to federal, state, or local income tax. Such taxes are the liabilities of the individual partners and the amounts thereof will vary depending on the individual situation of each partner. Accordingly, there is no provision for income taxes in the accompanying financial statements. ASC 740, Income Taxes, defines how uncertain tax positions should be recognized, measured, presented, and disclosed in the financial statements and is applied to all open tax years. The Partnership has evaluated tax positions taken or expected to be taken in the course of preparing the Partnership’s tax returns to determine whether the tax positions are more-likely-than-not to be sustained by the applicable tax authority. Based on this analysis of all tax jurisdictions and all open tax years subject to examination, there were no material tax positions not deemed to meet a more-likely-than-not-threshold. Therefore, no tax expense, including interest or penalties, was recorded for the nine months ended September 30, 2016 and 2015. 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. |
Man-AHL Diversified Trading Company L.P. [Member] | |
Use of Estimates | 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. |
Expenses | Expenses — Expenses are recognized on an accrual basis in the period in which they are incurred. |
Derivative Contracts | 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 gains and losses from periodic payments and settlements and unrealized changes in fair values are included in realized and unrealized gains and losses on contracts/agreements, respectively, in the statements of operations. All trading activities are accounted for on a trade-date basis. |
Cash and Cash Equivalents | Cash and Cash Equivalents — Cash and cash equivalents include cash, short-term interest-bearing money market accounts and U.S. government securities with original maturities of 90 days or less, held with The Bank of New York Mellon. As of September 30, 2016, the Trading Company maintains cash balances with The Bank of New York Mellon and Citibank N.A. As of September 30, 2016, the Trading Company holds $139,982,807 of U.S. Treasury Bills in cash and cash equivalents with The Bank of New York Mellon. These U.S. Treasury Bills, with maturity dates ranging from October 13, 2016 to November 17, 2016, have a total face value of $140,000,000. As of December 31, 2015, the Trading Company holds $160,986,436 of U.S. Treasury Bills in cash and cash equivalents with The Bank of New York Mellon. These U.S. Treasury Bills, with a maturity date from January 7, 2016 to February 25, 2016, have a total face value of $161,000,000. As of September 30, 2016 and December 31, 2015, all U.S. Treasury Bills are classified as Level 2 investments in the fair value hierarchy. |
Net Income (Loss) Per Unit | 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. |
Income Taxes | Income Taxes — The Trading Company is treated as a partnership for tax purposes and therefore is not subject to federal, state, or local income tax. Such taxes are the liabilities of the individual partners and the amounts thereof will vary depending on the individual situation of each partner. Accordingly, there is no provision for income taxes in the accompanying financial statements. ASC 740, Income Taxes, defines how uncertain tax positions should be recognized, measured, presented, and disclosed in the financial statements and is applied to all open tax years. The Trading Company has evaluated tax positions taken or expected to be taken in the course of preparing the Trading Company’s tax returns to determine whether the tax positions are more likely than not to be sustained by the applicable tax authority. Based on this analysis of all tax jurisdictions and all open tax years subject to examination, there were no material tax positions not deemed to meet a more-likely-than-not-threshold. Therefore, no tax expense, including interest or penalties, was recorded for the nine months ended September 30, 2016 and 2015. 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. |
Due from Brokers | 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”), Bank of America Merrill Lynch (“ML”) and HSBC. In general, the brokers pay the Trading Company interest monthly, based on agreed upon rates, on the Trading Company’s average daily balance. Amounts due from brokers include cash held at brokers and cash posted as collateral. The amount of cash restricted as collateral held and included in due from brokers on the statements of financial condition is $14,013,881 and $19,062,982 as of September 30, 2016 and December 31, 2015, respectively. |
Due to Broker | Due to Broker – Due to broker consists of balances due to The Bank of New York Mellon relating to securities purchased, but not yet settled as of September 30, 2016. |
Foreign Currency | 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. |
New Accounting Pronouncement | New Accounting Pronouncement — In August 2014, the FASB issued ASU 2014-15, Presentation of Financial Statements – Going Concern (Subtopic 205-40) (ASU 2014-15). The pronouncement determines management’s responsibility regarding assessment of the Trading Company’s ability to continue as a going concern, even if the Trading Company’s liquidation is not imminent. Currently, no similar guidance exists. Under this guidance, during each period in which financial statements are prepared, management needs to evaluate whether there are conditions or events that, in aggregate, raise substantial doubt about the Trading Company’s ability to continue as a going concern within one year after the date the financial statements are issued. Substantial doubt exists if these conditions or events indicate that the Trading Company will be unable to meet its obligations as they become due. If such conditions or events exist, management should develop a plan to mitigate or alleviate these conditions or events. Regardless of management’s plan to mitigate, certain disclosures must be made in the financial statements. ASU 2014-15 is effective for annual periods ending after December 15, 2016, however, early adoption is permitted. The Trading Company is currently evaluating the impact the update will have on the Trading Company’s financial statements. |
Financial Highlights (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Man-AHL Diversified Trading Company L.P. [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios to Average Partners' Capital and Other Information | The following represents the ratios to average partners’ capital and other information for the periods ended September 30, 2016 and 2015:
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Man-AHL Diversified I L.P. [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios to Average Partners' Capital and Other Information | The following represents the ratios to average limited partners’ capital and other information for the three and nine months ended September 30, 2016 and 2015:
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Fair Value Measurements (Tables) |
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Man-AHL Diversified Trading Company L.P. [Member] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary Categorization of Trading Company's Investments Based on Level of Inputs Utilized | The following is a summary categorization as of
September 30, 2016 and December 31, 2015, of the Trading
Company’s investments based on the level of inputs utilized
in determining the value of such investments:
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Derivative Financial Instruments and Concentrations of Credit Risk (Tables) - Man-AHL Diversified Trading Company L.P. [Member] |
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Sep. 30, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value and Notional Amounts of Credit Default Swaps | As of September 30, 2016 and December 31, 2015, 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:
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Schedule of Fair Value of Trading Company's Derivative Instruments and Net Presentation on Statements of Financial Condition Location | The following table presents the fair value of the Trading Company’s derivative instruments and net presentation on statements of financial condition location:
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Impact of Derivative Instruments on Statements of Operations | The following table presents the impact of derivative instruments on the statements of operations location:
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Schedule of Additional Disclosures Regarding Offsetting of Derivative Assets | The following table provides additional disclosures regarding the offsetting of derivative assets presented in the statements of financial condition: ASSETS
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Schedule of Additional Disclosures Regarding Offsetting of Derivative Liabilities | The following table provides additional disclosures regarding the offsetting of derivative liabilities presented in the statements of financial condition: LIABILITIES
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Additional Amounts of Collateral Pledged | The table below lists additional amounts of collateral pledged:
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Organization of the Partnership - Additional Information (Detail) - Man-AHL Diversified I L.P. [Member] |
9 Months Ended |
---|---|
Sep. 30, 2016
LimitedPartnership
| |
Organization Consolidation And Presentation Of Financial Statements Disclosure [Line Items] | |
Number of classes of partnership units | 2 |
Number of series of partnership units | 2 |
Significant Accounting Policies - Additional Information (Detail) - USD ($) |
9 Months Ended | ||
---|---|---|---|
Sep. 30, 2016 |
Sep. 30, 2015 |
Dec. 31, 2015 |
|
Man-AHL Diversified I L.P. [Member] | |||
Summary of Investment Holdings [Line Items] | |||
Partnership owned units in Trading Company | 11,527.15 | 12,823.68 | |
Partnership's aggregate ownership percentage of the Trading Company | 84.86% | 87.42% | |
Percentage of incentive fees charge by Advisor | 20.00% | ||
Incentive fees incurred during the period | $ 0 | $ 0 | |
Provision for income taxes | 0 | ||
Tax expenses, including interest or penalties | $ 0 | 0 | |
Man-AHL Diversified I L.P. [Member] | Limited Partnership Agreement [Member] | |||
Summary of Investment Holdings [Line Items] | |||
Percentage of Advisor monthly management fee | 0.1667% | ||
Percentage of Advisor management fee annually | 2.00% | ||
Man-AHL Diversified I L.P. [Member] | Net Asset Value of Class A Series 1 and Class B Series 1 Units [Member] | |||
Summary of Investment Holdings [Line Items] | |||
Percentage of monthly servicing fee to MII | 0.0833% | ||
Percentage of annually servicing fee to MII | 1.00% | ||
Man-AHL Diversified I L.P. [Member] | Net Asset Value of Class A Series 1 and Class B Series 1 Units [Member] | General Partner [Member] | |||
Summary of Investment Holdings [Line Items] | |||
Percentage of Advisor monthly management fee | 0.0833% | ||
Percentage of Advisor management fee annually | 1.00% | ||
Man-AHL Diversified I L.P. [Member] | Net Asset Value of Class A Series 2 and Class B Series 2 Units [Member] | |||
Summary of Investment Holdings [Line Items] | |||
Percentage of monthly servicing fee to MII | 0.0625% | ||
Percentage of annually servicing fee to MII | 0.75% | ||
Man-AHL Diversified Trading Company L.P. [Member] | |||
Summary of Investment Holdings [Line Items] | |||
Provision for income taxes | $ 0 | ||
Tax expenses, including interest or penalties | 0 | $ 0 | |
Cash restricted as collateral held | $ 14,013,881 | $ 19,062,982 | |
Cash and cash equivalents, maturity period | 90 days or less | ||
Level 2 [Member] | U.S. Treasury Bills [Member] | |||
Summary of Investment Holdings [Line Items] | |||
US government securities | $ 139,982,807 | 160,986,436 | |
Investment, face value | $ 145,000,000 | $ 161,000,000 |
Partnership Agreement - Additional Information (Detail) - USD ($) |
9 Months Ended | 12 Months Ended | |
---|---|---|---|
Sep. 30, 2016 |
Sep. 30, 2015 |
Dec. 31, 2015 |
|
Man-AHL Diversified I L.P. [Member] | |||
Limited Partners' Capital Account [Line Items] | |||
Period required for prior written notice by limited partners | 10 days | ||
Partnership dissolution date | Dec. 31, 2037 | ||
Percentage of investment by general partner | 1.01% | ||
Distributions declared | $ 0 | $ 0 | |
Man-AHL Diversified I L.P. [Member] | Maximum [Member] | |||
Limited Partners' Capital Account [Line Items] | |||
General partner investment amount | $ 500,000 | ||
Man-AHL Diversified Trading Company L.P. [Member] | |||
Limited Partners' Capital Account [Line Items] | |||
Period required for prior written notice by limited partners | 10 days | ||
Partnership dissolution date | Dec. 31, 2037 | ||
Distributions declared | $ 0 | $ 0 | |
Direct interest owned by General Partner | 0.00% | 0.00% |
Financial Guarantees - Additional Information (Detail) |
Sep. 30, 2016
USD ($)
|
---|---|
Man-AHL Diversified I L.P. [Member] | |
Guarantor Obligations [Line Items] | |
Prior claims or losses pursuant to these contracts | $ 0 |
Man-AHL Diversified Trading Company L.P. [Member] | |
Guarantor Obligations [Line Items] | |
Prior claims or losses pursuant to these contracts | $ 0 |
Financial Highlights - Ratios to Average Partners' Capital and Other Information (Detail) - $ / shares |
3 Months Ended | 9 Months Ended | ||||||
---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 |
Sep. 30, 2015 |
Sep. 30, 2016 |
Sep. 30, 2015 |
|||||
Man-AHL Diversified I L.P. [Member] | Class A Series 1 [Member] | ||||||||
Per unit operating performance: | ||||||||
Beginning net asset value | $ 3,353.50 | $ 3,325.34 | $ 3,444.80 | $ 3,506.22 | ||||
Income (loss) from investment operations: | ||||||||
Net investment loss | (41.29) | (42.69) | (128.95) | (129.20) | ||||
Net realized and unrealized gains (losses) on trading activities | (110.11) | 326.15 | (113.75) | 231.78 | ||||
Total income (loss) from investment operations | (151.40) | 283.46 | (242.70) | 102.58 | ||||
Ending net asset value | $ 3,202.10 | $ 3,608.80 | $ 3,202.10 | $ 3,608.80 | ||||
Ratios to average partners' capital: | ||||||||
Expenses other than incentive fees | 5.19% | 4.93% | 5.16% | 4.88% | ||||
Total expenses | 5.19% | 4.93% | 5.16% | 4.88% | ||||
Net investment gain/(loss) | (4.98%) | (4.89%) | (4.99%) | (4.77%) | ||||
Total return: | ||||||||
Total return before incentive fees | (4.51%) | 8.52% | (7.05%) | 2.93% | ||||
Total return after incentive fees | (4.51%) | 8.52% | (7.05%) | 2.93% | ||||
Man-AHL Diversified I L.P. [Member] | Class A Series 2 [Member] | ||||||||
Per unit operating performance: | ||||||||
Beginning net asset value | $ 3,672.69 | $ 3,596.48 | $ 3,749.11 | $ 3,768.41 | ||||
Income (loss) from investment operations: | ||||||||
Net investment loss | (37.18) | (33.65) | (113.38) | (100.93) | ||||
Net realized and unrealized gains (losses) on trading activities | (117.65) | 352.47 | (117.87) | 247.82 | ||||
Total income (loss) from investment operations | (154.83) | 318.82 | (231.25) | 146.89 | ||||
Ending net asset value | $ 3,517.86 | $ 3,915.30 | $ 3,517.86 | $ 3,915.30 | ||||
Ratios to average partners' capital: | ||||||||
Expenses other than incentive fees | 4.37% | 3.61% | 4.16% | 3.57% | ||||
Total expenses | 4.37% | 3.61% | 4.16% | 3.57% | ||||
Net investment gain/(loss) | (4.09%) | (3.57%) | (3.97%) | (3.45%) | ||||
Total return: | ||||||||
Total return before incentive fees | (4.22%) | 8.86% | (6.17%) | 3.90% | ||||
Total return after incentive fees | (4.22%) | 8.86% | (6.17%) | 3.90% | ||||
Man-AHL Diversified I L.P. [Member] | Class B Series 1 [Member] | ||||||||
Per unit operating performance: | ||||||||
Beginning net asset value | $ 3,353.52 | $ 3,325.35 | $ 3,444.82 | $ 3,506.23 | ||||
Income (loss) from investment operations: | ||||||||
Net investment loss | (41.20) | (42.44) | (128.48) | (128.40) | ||||
Net realized and unrealized gains (losses) on trading activities | (110.36) | 325.91 | (114.38) | 230.99 | ||||
Total income (loss) from investment operations | (151.56) | 283.47 | (242.86) | 102.59 | ||||
Ending net asset value | $ 3,201.96 | $ 3,608.82 | $ 3,201.96 | $ 3,608.82 | ||||
Ratios to average partners' capital: | ||||||||
Expenses other than incentive fees | 5.18% | 4.91% | 5.14% | 4.86% | ||||
Total expenses | 5.18% | 4.91% | 5.14% | 4.86% | ||||
Net investment gain/(loss) | (4.97%) | (4.87%) | (4.97%) | (4.74%) | ||||
Total return: | ||||||||
Total return before incentive fees | (4.52%) | 8.52% | (7.05%) | 2.93% | ||||
Total return after incentive fees | (4.52%) | 8.52% | (7.05%) | 2.93% | ||||
Man-AHL Diversified I L.P. [Member] | Class B Series 2 [Member] | ||||||||
Per unit operating performance: | ||||||||
Beginning net asset value | $ 3,672.76 | $ 3,596.55 | $ 3,749.17 | [1] | $ 3,768.48 | |||
Income (loss) from investment operations: | ||||||||
Net investment loss | (33.27) | (35.51) | (104.13) | (104.31) | ||||
Net realized and unrealized gains (losses) on trading activities | (121.57) | 354.33 | (127.12) | 251.20 | ||||
Total income (loss) from investment operations | (154.84) | 318.82 | (231.25) | 146.89 | ||||
Ending net asset value | $ 3,517.92 | [1] | $ 3,915.37 | $ 3,517.92 | [1] | $ 3,915.37 | ||
Ratios to average partners' capital: | ||||||||
Expenses other than incentive fees | 3.85% | 3.83% | 3.85% | 3.68% | ||||
Total expenses | 3.85% | 3.83% | 3.85% | 3.68% | ||||
Net investment gain/(loss) | (3.66%) | (3.79%) | (3.69%) | (3.56%) | ||||
Total return: | ||||||||
Total return before incentive fees | (4.22%) | 8.86% | (6.17%) | 3.90% | ||||
Total return after incentive fees | (4.22%) | 8.86% | (6.17%) | 3.90% | ||||
Man-AHL Diversified Trading Company L.P. [Member] | ||||||||
Per unit operating performance: | ||||||||
Beginning net asset value | $ 13,540.92 | $ 12,865.58 | $ 13,614.40 | $ 13,274.32 | ||||
Income (loss) from investment operations: | ||||||||
Net investment loss | (21.82) | (19.42) | (67.94) | (47.01) | ||||
Net realized and unrealized gains (losses) on trading activities | (449.95) | 1,260.12 | (477.31) | 878.97 | ||||
Total income (loss) from investment operations | (471.77) | 1,240.70 | (545.25) | 831.96 | ||||
Ending net asset value | $ 13,069.15 | $ 14,106.28 | $ 13,069.15 | $ 14,106.28 | ||||
Ratios to average partners' capital: | ||||||||
Total expenses | 0.86% | 0.61% | 0.82% | 0.57% | ||||
Net investment gain/(loss) | (0.65%) | (0.57%) | (0.65%) | (0.45%) | ||||
Total return | (3.48%) | 9.64% | (4.00%) | 6.27% | ||||
|
Subsequent Events - Additional Information (Detail) - Limited Partners [Member] |
1 Months Ended |
---|---|
Nov. 10, 2016
USD ($)
| |
Man-AHL Diversified Trading Company L.P. [Member] | |
Subsequent Event [Line Items] | |
Subsequent subscriptions | $ 677,796 |
Subsequent redemption | 2,298,699 |
Subsequent Event [Member] | Man-AHL Diversified I L.P. [Member] | |
Subsequent Event [Line Items] | |
Subsequent subscriptions | 545,795 |
Subsequent redemption | $ 2,298,699 |
Fair Value Measurements - Summary Categorization of Trading Company's Investments Based on Level of Inputs Utilized (Detail) - Man-AHL Diversified Trading Company L.P. [Member] - USD ($) |
Sep. 30, 2016 |
Dec. 31, 2015 |
---|---|---|
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets, Fair Value Measurement | $ 158,470,690 | $ 198,982,143 |
Total Liabilities, Fair Value Measurement | (15,950,258) | (36,031,785) |
Net Fair Value, Fair Value Measurement | 142,520,432 | 162,950,358 |
Futures Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets, Fair Value Measurement | 3,039,187 | 4,751,908 |
Total Liabilities, Fair Value Measurement | (2,020,714) | (3,003,012) |
Forward Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets, Fair Value Measurement | 5,077,903 | 9,835,998 |
Total Liabilities, Fair Value Measurement | (5,840,462) | (10,045,712) |
Swap Agreements [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets, Fair Value Measurement | 10,370,793 | 23,407,801 |
Total Liabilities, Fair Value Measurement | (8,089,082) | (22,983,061) |
Treasury Bills [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets, Fair Value Measurement | 139,982,807 | 160,986,436 |
Level 1 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets, Fair Value Measurement | 3,039,187 | 4,751,908 |
Total Liabilities, Fair Value Measurement | (2,020,714) | (3,003,012) |
Net Fair Value, Fair Value Measurement | 1,018,473 | 1,748,896 |
Level 1 [Member] | Futures Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets, Fair Value Measurement | 3,039,187 | 4,751,908 |
Total Liabilities, Fair Value Measurement | (2,020,714) | (3,003,012) |
Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets, Fair Value Measurement | 155,431,503 | 194,230,235 |
Total Liabilities, Fair Value Measurement | (13,929,544) | (33,028,773) |
Net Fair Value, Fair Value Measurement | 141,501,959 | 161,201,462 |
Level 2 [Member] | Forward Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets, Fair Value Measurement | 5,077,903 | 9,835,998 |
Total Liabilities, Fair Value Measurement | (5,840,462) | (10,045,712) |
Level 2 [Member] | Swap Agreements [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets, Fair Value Measurement | 10,370,793 | 23,407,801 |
Total Liabilities, Fair Value Measurement | (8,089,082) | (22,983,061) |
Level 2 [Member] | Treasury Bills [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets, Fair Value Measurement | $ 139,982,807 | $ 160,986,436 |
Fair Value Measurements - Additional Information (Detail) - USD ($) |
Sep. 30, 2016 |
Dec. 31, 2015 |
---|---|---|
Man-AHL Diversified Trading Company L.P. [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Transfers between levels | $ 0 | $ 0 |
Derivative Financial Instruments and Concentrations of Credit Risk - Fair Value and Notional Amounts of Credit Default Swaps (Detail) - Man-AHL Diversified Trading Company L.P. [Member] - USD ($) |
9 Months Ended | 12 Months Ended |
---|---|---|
Sep. 30, 2016 |
Dec. 31, 2015 |
|
Swap Agreements - Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Credit default swaps, Fair Value | $ (2,348,534) | $ (3,091,076) |
Credit Default Swaps [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Credit spread basis points, Minimum | 0.66% | 0.77% |
Credit spread basis points, Maximum | 4.01% | 4.71% |
Credit default swaps, Notional Amount | $ 170,000,000 | |
Credit default swaps, Notional Amount | $ 85,000,000 | $ 45,000,000 |
Credit Default Swaps [Member] | Credit Spread in Basis Points 0-100 [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Credit spread basis points, Minimum | 0.00% | |
Credit spread basis points, Maximum | 1.00% | |
Credit default swaps, Notional Amount | $ 130,000,000 | |
Credit default swaps, Notional Amount | $ 70,000,000 | 35,000,000 |
Credit Default Swaps [Member] | Credit Spread in Basis Points 101-250 [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Credit spread basis points, Minimum | 1.01% | |
Credit spread basis points, Maximum | 2.50% | |
Credit Default Swaps [Member] | Credit Spread in Basis Points 251-350 [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Credit spread basis points, Minimum | 2.51% | |
Credit spread basis points, Maximum | 3.50% | |
Credit default swaps, Notional Amount | $ 10,000,000 | |
Credit default swaps, Notional Amount | $ 15,000,000 | 5,000,000 |
Credit Default Swaps [Member] | Credit Spread in Basis Points 351-450 [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Credit spread basis points, Minimum | 3.51% | |
Credit spread basis points, Maximum | 4.50% | |
Credit default swaps, Notional Amount | $ 30,000,000 | |
Credit Default Swaps [Member] | Credit Spread in Basis Points 450+ [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Credit spread basis points, Minimum | 4.51% | |
Credit default swaps, Notional Amount | 5,000,000 | |
Credit Default Swaps [Member] | Swap Agreements - Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Credit default swaps, Fair Value | $ 585,062 | 46,934 |
Credit Default Swaps [Member] | Swap Agreements - Short [Member] | Credit Spread in Basis Points 0-100 [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Credit default swaps, Fair Value | 266,691 | 18,143 |
Credit Default Swaps [Member] | Swap Agreements - Short [Member] | Credit Spread in Basis Points 251-350 [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Credit default swaps, Fair Value | 98,045 | 11,024 |
Credit Default Swaps [Member] | Swap Agreements - Short [Member] | Credit Spread in Basis Points 351-450 [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Credit default swaps, Fair Value | 220,326 | |
Credit Default Swaps [Member] | Swap Agreements - Short [Member] | Credit Spread in Basis Points 450+ [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Credit default swaps, Fair Value | $ 17,767 | |
Credit Default Swaps [Member] | Greater than 5 years [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Credit default swaps, Fair Value | $ 48,566 | |
Credit Default Swaps [Member] | Greater than 5 years [Member] | Minimum [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative remaining maturity | 5 years | 5 years |
Credit Default Swaps [Member] | Greater than 5 years [Member] | Credit Spread in Basis Points 0-100 [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Credit default swaps, Fair Value | $ 10,370 | |
Credit Default Swaps [Member] | Greater than 5 years [Member] | Credit Spread in Basis Points 251-350 [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Credit default swaps, Fair Value | $ 38,196 | |
Credit Default Swaps [Member] | 1-5 Years [Member] | Minimum [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative remaining maturity | 1 year | 1 year |
Credit Default Swaps [Member] | 1-5 Years [Member] | Maximum [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative remaining maturity | 5 years | 5 years |
Derivative Financial Instruments and Concentrations of Credit Risk - Additional Information (Detail) - Man-AHL Diversified Trading Company L.P. [Member] |
3 Months Ended | 9 Months Ended | 12 Months Ended | ||
---|---|---|---|---|---|
Sep. 30, 2016
USD ($)
Contract
|
Sep. 30, 2015
Contract
|
Sep. 30, 2016
USD ($)
Contract
|
Sep. 30, 2015
Contract
|
Dec. 31, 2015
USD ($)
|
|
Credit Default Swaps [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Basis points, Maximum | 4.01% | 4.01% | 4.71% | ||
Basis points, Minimum | 0.66% | 0.66% | 0.77% | ||
Cash collateral | $ 1,146,209 | $ 1,146,209 | $ 2,773,209 | ||
Futures Contracts [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Cash collateral | $ 0 | $ 0 | 0 | ||
Exchange-traded | Contract | 58,513 | 77,553 | 185,590 | 228,313 | |
Forward Contracts [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Cash collateral | $ 0 | $ 0 | 0 | ||
Number of forward contracts, settled | Contract | 51,378 | 37,719 | 134,730 | 98,216 | |
Swap Agreements [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Cash collateral | $ 0 | $ 0 | $ 0 | ||
Maturity date range for open credit default swaps | Jun. 20, 2021 | Dec. 20, 2020 | |||
Number of swap contracts | Contract | 1,519 | 1,708 | 5,322 | 5,711 |
Derivative Financial Instruments and Concentrations of Credit Risk - Schedule of Fair Value of Trading Company's Derivative Instruments and Net Presentation on Statements of Financial Condition Location (Detail) - Man-AHL Diversified Trading Company L.P. [Member] - USD ($) |
Sep. 30, 2016 |
Dec. 31, 2015 |
---|---|---|
Derivatives, Fair Value [Line Items] | ||
Asset Derivatives, Fair Value | $ 18,487,883 | $ 37,995,707 |
Liability Derivatives, Fair Value | (15,950,258) | (36,031,785) |
Forward Contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Asset Derivatives, Fair Value | 5,077,903 | 9,835,998 |
Liability Derivatives, Fair Value | (5,840,462) | (10,045,712) |
Forward Contracts [Member] | Currencies [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Asset Derivatives, Fair Value | 4,594,635 | 9,650,826 |
Liability Derivatives, Fair Value | (5,470,710) | (9,752,591) |
Forward Contracts [Member] | Metals [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Asset Derivatives, Fair Value | 483,268 | 185,172 |
Liability Derivatives, Fair Value | (369,752) | (293,121) |
Futures Contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Asset Derivatives, Fair Value | 3,039,187 | 4,751,908 |
Liability Derivatives, Fair Value | (2,020,714) | (3,003,012) |
Futures Contracts [Member] | Currencies [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Liability Derivatives, Fair Value | (1,875) | (1,440) |
Futures Contracts [Member] | Metals [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Asset Derivatives, Fair Value | 30,680 | |
Liability Derivatives, Fair Value | (250,188) | (125,393) |
Futures Contracts [Member] | Agricultural [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Asset Derivatives, Fair Value | 1,079,571 | 1,387,711 |
Liability Derivatives, Fair Value | (551,154) | (467,272) |
Futures Contracts [Member] | Energy [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Asset Derivatives, Fair Value | 209,328 | 2,018,239 |
Liability Derivatives, Fair Value | (668,101) | (756,928) |
Futures Contracts [Member] | Indices [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Asset Derivatives, Fair Value | 1,247,667 | 530,157 |
Liability Derivatives, Fair Value | (317,289) | (482,486) |
Futures Contracts [Member] | Interest Rates [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Asset Derivatives, Fair Value | 471,941 | 815,801 |
Liability Derivatives, Fair Value | (232,107) | (1,169,493) |
Swap Agreements [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Asset Derivatives, Fair Value | 10,370,793 | 23,407,801 |
Liability Derivatives, Fair Value | (8,089,082) | (22,983,061) |
Swap Agreements [Member] | Credit Default Swaps [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Asset Derivatives, Fair Value | 652,533 | 46,934 |
Liability Derivatives, Fair Value | (342,375) | (362,615) |
Swap Agreements [Member] | Interest Rates [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Asset Derivatives, Fair Value | 9,718,260 | 23,360,867 |
Liability Derivatives, Fair Value | $ (7,746,707) | $ (22,620,446) |
Derivative Financial Instruments and Concentrations of Credit Risk - Impact of Derivative Instruments on Statements of Operations (Detail) - Man-AHL Diversified Trading Company L.P. [Member] - USD ($) |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2016 |
Sep. 30, 2015 |
Sep. 30, 2016 |
Sep. 30, 2015 |
|
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net realized trading gains (losses) on closed contracts/agreements | $ (860,264) | $ 7,304,017 | $ (7,122,153) | $ 22,653,376 |
Net change in unrealized trading gains (losses) on open contracts/agreements | (5,312,341) | 14,686,902 | 573,703 | (10,457,906) |
Not Designated as Hedging Instrument [Member] | Forward Contracts [Member] | Net Realized Trading Gains (Losses) on Closed Contracts/Agreements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net realized trading gains (losses) on closed contracts/agreements | (2,992,668) | 11,802,837 | (10,404,817) | 10,994,957 |
Not Designated as Hedging Instrument [Member] | Forward Contracts [Member] | Net Change in Unrealized Trading Gains (Losses) on Open Contracts/Agreements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net change in unrealized trading gains (losses) on open contracts/agreements | (723,057) | 784,944 | (552,845) | (2,412,868) |
Not Designated as Hedging Instrument [Member] | Forward Contracts [Member] | Currencies [Member] | Net Realized Trading Gains (Losses) on Closed Contracts/Agreements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net realized trading gains (losses) on closed contracts/agreements | (2,630,938) | 8,594,303 | (8,565,920) | 9,811,304 |
Not Designated as Hedging Instrument [Member] | Forward Contracts [Member] | Currencies [Member] | Net Change in Unrealized Trading Gains (Losses) on Open Contracts/Agreements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net change in unrealized trading gains (losses) on open contracts/agreements | (736,095) | 834,436 | (736,095) | (2,374,513) |
Not Designated as Hedging Instrument [Member] | Forward Contracts [Member] | Metals [Member] | Net Realized Trading Gains (Losses) on Closed Contracts/Agreements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net realized trading gains (losses) on closed contracts/agreements | (361,730) | 3,208,534 | (1,838,897) | 1,183,653 |
Not Designated as Hedging Instrument [Member] | Forward Contracts [Member] | Metals [Member] | Net Change in Unrealized Trading Gains (Losses) on Open Contracts/Agreements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net change in unrealized trading gains (losses) on open contracts/agreements | 13,038 | (49,492) | 183,250 | (38,355) |
Not Designated as Hedging Instrument [Member] | Futures Contracts [Member] | Net Realized Trading Gains (Losses) on Closed Contracts/Agreements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net realized trading gains (losses) on closed contracts/agreements | 1,554,432 | (2,246,469) | 1,228,563 | 14,417,424 |
Not Designated as Hedging Instrument [Member] | Futures Contracts [Member] | Net Change in Unrealized Trading Gains (Losses) on Open Contracts/Agreements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net change in unrealized trading gains (losses) on open contracts/agreements | (3,969,949) | 11,239,618 | (730,423) | (7,488,693) |
Not Designated as Hedging Instrument [Member] | Futures Contracts [Member] | Currencies [Member] | Net Realized Trading Gains (Losses) on Closed Contracts/Agreements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net realized trading gains (losses) on closed contracts/agreements | (70,740) | (151,280) | (170,155) | 3,143,395 |
Not Designated as Hedging Instrument [Member] | Futures Contracts [Member] | Currencies [Member] | Net Change in Unrealized Trading Gains (Losses) on Open Contracts/Agreements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net change in unrealized trading gains (losses) on open contracts/agreements | (507) | 1,294 | (820,049) | (764,203) |
Not Designated as Hedging Instrument [Member] | Futures Contracts [Member] | Metals [Member] | Net Realized Trading Gains (Losses) on Closed Contracts/Agreements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net realized trading gains (losses) on closed contracts/agreements | (419,668) | 1,913,610 | (834,475) | 2,595,037 |
Not Designated as Hedging Instrument [Member] | Futures Contracts [Member] | Metals [Member] | Net Change in Unrealized Trading Gains (Losses) on Open Contracts/Agreements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net change in unrealized trading gains (losses) on open contracts/agreements | (163,278) | (517,408) | (94,115) | (1,893,952) |
Not Designated as Hedging Instrument [Member] | Futures Contracts [Member] | Agricultural [Member] | Net Realized Trading Gains (Losses) on Closed Contracts/Agreements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net realized trading gains (losses) on closed contracts/agreements | (516,665) | (4,282,470) | (3,346,261) | (3,895,753) |
Not Designated as Hedging Instrument [Member] | Futures Contracts [Member] | Agricultural [Member] | Net Change in Unrealized Trading Gains (Losses) on Open Contracts/Agreements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net change in unrealized trading gains (losses) on open contracts/agreements | (443,792) | 3,161,878 | (392,022) | (1,576,734) |
Not Designated as Hedging Instrument [Member] | Futures Contracts [Member] | Energy [Member] | Net Realized Trading Gains (Losses) on Closed Contracts/Agreements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net realized trading gains (losses) on closed contracts/agreements | (1,353,490) | 4,815,074 | 318,183 | 4,213,899 |
Not Designated as Hedging Instrument [Member] | Futures Contracts [Member] | Energy [Member] | Net Change in Unrealized Trading Gains (Losses) on Open Contracts/Agreements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net change in unrealized trading gains (losses) on open contracts/agreements | (900,542) | 2,201,909 | (853,641) | (1,771,396) |
Not Designated as Hedging Instrument [Member] | Futures Contracts [Member] | Indices [Member] | Net Realized Trading Gains (Losses) on Closed Contracts/Agreements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net realized trading gains (losses) on closed contracts/agreements | 2,075,149 | (4,326,170) | (2,352,838) | 2,984,257 |
Not Designated as Hedging Instrument [Member] | Futures Contracts [Member] | Indices [Member] | Net Change in Unrealized Trading Gains (Losses) on Open Contracts/Agreements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net change in unrealized trading gains (losses) on open contracts/agreements | 835,806 | 3,567,643 | 4,726,968 | 678,543 |
Not Designated as Hedging Instrument [Member] | Futures Contracts [Member] | Interest Rates [Member] | Net Realized Trading Gains (Losses) on Closed Contracts/Agreements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net realized trading gains (losses) on closed contracts/agreements | 1,839,846 | (215,233) | 7,614,109 | 5,376,589 |
Not Designated as Hedging Instrument [Member] | Futures Contracts [Member] | Interest Rates [Member] | Net Change in Unrealized Trading Gains (Losses) on Open Contracts/Agreements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net change in unrealized trading gains (losses) on open contracts/agreements | (3,297,636) | 2,824,302 | (3,297,564) | (2,160,951) |
Not Designated as Hedging Instrument [Member] | Swap Agreements [Member] | Net Realized Trading Gains (Losses) on Closed Contracts/Agreements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net realized trading gains (losses) on closed contracts/agreements | 589,606 | (2,253,515) | 1,421,622 | 341,423 |
Not Designated as Hedging Instrument [Member] | Swap Agreements [Member] | Net Change in Unrealized Trading Gains (Losses) on Open Contracts/Agreements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net change in unrealized trading gains (losses) on open contracts/agreements | (619,335) | 2,662,340 | 1,856,971 | (556,345) |
Not Designated as Hedging Instrument [Member] | Swap Agreements [Member] | Credit Default Swaps [Member] | Net Realized Trading Gains (Losses) on Closed Contracts/Agreements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net realized trading gains (losses) on closed contracts/agreements | 294,389 | (2,068,703) | (488,667) | (3,340,989) |
Not Designated as Hedging Instrument [Member] | Swap Agreements [Member] | Credit Default Swaps [Member] | Net Change in Unrealized Trading Gains (Losses) on Open Contracts/Agreements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net change in unrealized trading gains (losses) on open contracts/agreements | 448,101 | 1,083,642 | 625,840 | 1,519,826 |
Not Designated as Hedging Instrument [Member] | Swap Agreements [Member] | Interest Rates [Member] | Net Realized Trading Gains (Losses) on Closed Contracts/Agreements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net realized trading gains (losses) on closed contracts/agreements | 295,217 | (184,812) | 1,910,289 | 3,682,412 |
Not Designated as Hedging Instrument [Member] | Swap Agreements [Member] | Interest Rates [Member] | Net Change in Unrealized Trading Gains (Losses) on Open Contracts/Agreements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net change in unrealized trading gains (losses) on open contracts/agreements | $ (1,067,436) | $ 1,578,698 | $ 1,231,131 | $ (2,076,171) |
Derivative Financial Instruments and Concentrations of Credit Risk - Schedule of Additional Disclosures Regarding Offsetting of Derivative Assets (Detail) - Man-AHL Diversified Trading Company L.P. [Member] - USD ($) |
Sep. 30, 2016 |
Dec. 31, 2015 |
---|---|---|
Swap Agreements [Member] | ||
Derivative [Line Items] | ||
Gross Amounts of Recognized Assets | $ 10,370,793 | $ 23,407,801 |
Gross Amount Offset in the Statements of Financial Condition, Asset | (8,089,082) | (22,146,703) |
Net Amounts of Assets presented in the Statements of Financial Condition | 2,281,711 | 1,261,098 |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Asset | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Received | 0 | 0 |
Net Amount, Asset | 2,281,711 | 1,261,098 |
Swap Agreements [Member] | Credit Suisse [Member] | ||
Derivative [Line Items] | ||
Gross Amounts of Recognized Assets | 284,448 | 15,793 |
Gross Amount Offset in the Statements of Financial Condition, Asset | (220,684) | (15,793) |
Net Amounts of Assets presented in the Statements of Financial Condition | 63,764 | |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Asset | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Received | 0 | 0 |
Net Amount, Asset | 63,764 | |
Swap Agreements [Member] | Deutsche Bank [Member] | ||
Derivative [Line Items] | ||
Gross Amounts of Recognized Assets | 4,092,809 | 12,005,756 |
Gross Amount Offset in the Statements of Financial Condition, Asset | (3,588,512) | (10,744,658) |
Net Amounts of Assets presented in the Statements of Financial Condition | 504,297 | 1,261,098 |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Asset | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Received | 0 | 0 |
Net Amount, Asset | 504,297 | 1,261,098 |
Swap Agreements [Member] | JPMorgan Chase [Member] | ||
Derivative [Line Items] | ||
Gross Amounts of Recognized Assets | 5,993,536 | 11,386,252 |
Gross Amount Offset in the Statements of Financial Condition, Asset | (4,279,886) | (11,386,252) |
Net Amounts of Assets presented in the Statements of Financial Condition | 1,713,650 | |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Asset | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Received | 0 | 0 |
Net Amount, Asset | 1,713,650 | |
Forward Contracts [Member] | ||
Derivative [Line Items] | ||
Gross Amounts of Recognized Assets | 5,077,903 | 9,835,998 |
Gross Amount Offset in the Statements of Financial Condition, Asset | (4,947,751) | (9,642,138) |
Net Amounts of Assets presented in the Statements of Financial Condition | 130,152 | 193,860 |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Asset | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Received | 0 | 0 |
Net Amount, Asset | 130,152 | 193,860 |
Forward Contracts [Member] | Credit Suisse [Member] | ||
Derivative [Line Items] | ||
Gross Amounts of Recognized Assets | 274,798 | 84,057 |
Gross Amount Offset in the Statements of Financial Condition, Asset | (144,646) | (84,057) |
Net Amounts of Assets presented in the Statements of Financial Condition | 130,152 | |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Asset | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Received | 0 | 0 |
Net Amount, Asset | 130,152 | |
Forward Contracts [Member] | Deutsche Bank [Member] | ||
Derivative [Line Items] | ||
Gross Amounts of Recognized Assets | 2,611,127 | 4,689,459 |
Gross Amount Offset in the Statements of Financial Condition, Asset | (2,611,127) | (4,689,459) |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Asset | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Received | 0 | 0 |
Forward Contracts [Member] | Royal Bank of Scotland [Member] | ||
Derivative [Line Items] | ||
Gross Amounts of Recognized Assets | 695,656 | 2,066,173 |
Gross Amount Offset in the Statements of Financial Condition, Asset | (695,656) | (1,872,313) |
Net Amounts of Assets presented in the Statements of Financial Condition | 193,860 | |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Asset | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Received | 0 | 0 |
Net Amount, Asset | 193,860 | |
Forward Contracts [Member] | HSBC [Member] | ||
Derivative [Line Items] | ||
Gross Amounts of Recognized Assets | 1,496,322 | 2,996,309 |
Gross Amount Offset in the Statements of Financial Condition, Asset | (1,496,322) | (2,996,309) |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Asset | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Received | 0 | 0 |
Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Gross Amounts of Recognized Assets | 3,039,187 | 4,751,908 |
Gross Amount Offset in the Statements of Financial Condition, Asset | (1,838,385) | (2,777,157) |
Net Amounts of Assets presented in the Statements of Financial Condition | 1,200,802 | 1,974,751 |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Asset | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Received | 0 | 0 |
Net Amount, Asset | 1,200,802 | 1,974,751 |
Futures Contracts [Member] | Credit Suisse [Member] | ||
Derivative [Line Items] | ||
Gross Amounts of Recognized Assets | 629,119 | 437,874 |
Gross Amount Offset in the Statements of Financial Condition, Asset | (148,966) | (437,874) |
Net Amounts of Assets presented in the Statements of Financial Condition | 480,153 | |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Asset | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Received | 0 | 0 |
Net Amount, Asset | 480,153 | |
Futures Contracts [Member] | JPMorgan Chase [Member] | ||
Derivative [Line Items] | ||
Gross Amounts of Recognized Assets | 1,399,522 | 1,683,772 |
Gross Amount Offset in the Statements of Financial Condition, Asset | (678,873) | (1,030,920) |
Net Amounts of Assets presented in the Statements of Financial Condition | 720,649 | 652,852 |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Asset | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Received | 0 | 0 |
Net Amount, Asset | 720,649 | 652,852 |
Futures Contracts [Member] | Bank of America Merrill Lynch [Member] | ||
Derivative [Line Items] | ||
Gross Amounts of Recognized Assets | 1,010,546 | 2,630,262 |
Gross Amount Offset in the Statements of Financial Condition, Asset | (1,010,546) | (1,308,363) |
Net Amounts of Assets presented in the Statements of Financial Condition | 1,321,899 | |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Asset | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Received | $ 0 | 0 |
Net Amount, Asset | $ 1,321,899 |
Derivative Financial Instruments and Concentrations of Credit Risk - Schedule of Additional Disclosures Regarding Offsetting of Derivative Liabilities (Detail) - Man-AHL Diversified Trading Company L.P. [Member] - USD ($) |
Sep. 30, 2016 |
Dec. 31, 2015 |
---|---|---|
Swap Agreements [Member] | ||
Derivative [Line Items] | ||
Gross Amounts of Recognized Liabilities | $ 8,089,082 | $ 22,983,061 |
Gross Amount Offset in the Statements of Financial Condition, Liability | (8,089,082) | (22,146,703) |
Net Amounts of Liabilities Presented in the Statements of Financial Condition | 836,358 | |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Liability | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Pledged | 836,358 | |
Net Amount, Liability | 0 | 0 |
Swap Agreements [Member] | Credit Suisse [Member] | ||
Derivative [Line Items] | ||
Gross Amounts of Recognized Liabilities | 220,684 | 115,569 |
Gross Amount Offset in the Statements of Financial Condition, Liability | (220,684) | (15,793) |
Net Amounts of Liabilities Presented in the Statements of Financial Condition | 99,776 | |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Liability | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Pledged | 99,776 | |
Net Amount, Liability | 0 | 0 |
Swap Agreements [Member] | Deutsche Bank [Member] | ||
Derivative [Line Items] | ||
Gross Amounts of Recognized Liabilities | 3,588,512 | 10,744,658 |
Gross Amount Offset in the Statements of Financial Condition, Liability | (3,588,512) | (10,744,658) |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Liability | 0 | 0 |
Net Amount, Liability | 0 | 0 |
Swap Agreements [Member] | JPMorgan Chase [Member] | ||
Derivative [Line Items] | ||
Gross Amounts of Recognized Liabilities | 4,279,886 | 12,122,834 |
Gross Amount Offset in the Statements of Financial Condition, Liability | (4,279,886) | (11,386,252) |
Net Amounts of Liabilities Presented in the Statements of Financial Condition | 736,582 | |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Liability | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Pledged | 736,582 | |
Net Amount, Liability | 0 | 0 |
Forward Contracts [Member] | ||
Derivative [Line Items] | ||
Gross Amounts of Recognized Liabilities | 5,840,462 | 10,045,712 |
Gross Amount Offset in the Statements of Financial Condition, Liability | (4,947,751) | (9,642,138) |
Net Amounts of Liabilities Presented in the Statements of Financial Condition | 892,711 | 403,574 |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Liability | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Pledged | 892,711 | 403,574 |
Net Amount, Liability | 0 | 0 |
Forward Contracts [Member] | Credit Suisse [Member] | ||
Derivative [Line Items] | ||
Gross Amounts of Recognized Liabilities | 144,646 | 137,157 |
Gross Amount Offset in the Statements of Financial Condition, Liability | (144,646) | (84,057) |
Net Amounts of Liabilities Presented in the Statements of Financial Condition | 53,100 | |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Liability | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Pledged | 53,100 | |
Net Amount, Liability | 0 | 0 |
Forward Contracts [Member] | Deutsche Bank [Member] | ||
Derivative [Line Items] | ||
Gross Amounts of Recognized Liabilities | 2,928,922 | 5,034,243 |
Gross Amount Offset in the Statements of Financial Condition, Liability | (2,611,127) | (4,689,459) |
Net Amounts of Liabilities Presented in the Statements of Financial Condition | 317,795 | 344,784 |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Liability | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Pledged | 317,795 | 344,784 |
Net Amount, Liability | 0 | 0 |
Forward Contracts [Member] | Royal Bank of Scotland [Member] | ||
Derivative [Line Items] | ||
Gross Amounts of Recognized Liabilities | 977,665 | 1,872,313 |
Gross Amount Offset in the Statements of Financial Condition, Liability | (695,656) | (1,872,313) |
Net Amounts of Liabilities Presented in the Statements of Financial Condition | 282,009 | |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Liability | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Pledged | 282,009 | |
Net Amount, Liability | 0 | 0 |
Forward Contracts [Member] | HSBC [Member] | ||
Derivative [Line Items] | ||
Gross Amounts of Recognized Liabilities | 1,789,229 | 3,001,999 |
Gross Amount Offset in the Statements of Financial Condition, Liability | (1,496,322) | (2,996,309) |
Net Amounts of Liabilities Presented in the Statements of Financial Condition | 292,907 | 5,690 |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Liability | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Pledged | 292,907 | 5,690 |
Net Amount, Liability | 0 | 0 |
Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Gross Amounts of Recognized Liabilities | 2,020,714 | 3,003,012 |
Gross Amount Offset in the Statements of Financial Condition, Liability | (1,838,385) | (2,777,157) |
Net Amounts of Liabilities Presented in the Statements of Financial Condition | 182,329 | 225,855 |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Liability | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Pledged | 182,329 | 225,855 |
Net Amount, Liability | 0 | 0 |
Futures Contracts [Member] | Credit Suisse [Member] | ||
Derivative [Line Items] | ||
Gross Amounts of Recognized Liabilities | 148,966 | 663,729 |
Gross Amount Offset in the Statements of Financial Condition, Liability | (148,966) | (437,874) |
Net Amounts of Liabilities Presented in the Statements of Financial Condition | 225,855 | |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Liability | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Pledged | 225,855 | |
Net Amount, Liability | 0 | 0 |
Futures Contracts [Member] | JPMorgan Chase [Member] | ||
Derivative [Line Items] | ||
Gross Amounts of Recognized Liabilities | 678,873 | 1,030,920 |
Gross Amount Offset in the Statements of Financial Condition, Liability | (678,873) | (1,030,920) |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Liability | 0 | 0 |
Net Amount, Liability | 0 | 0 |
Futures Contracts [Member] | Bank of America Merrill Lynch [Member] | ||
Derivative [Line Items] | ||
Gross Amounts of Recognized Liabilities | 1,192,875 | 1,308,363 |
Gross Amount Offset in the Statements of Financial Condition, Liability | (1,010,546) | (1,308,363) |
Net Amounts of Liabilities Presented in the Statements of Financial Condition | 182,329 | |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Liability | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Pledged | 182,329 | |
Net Amount, Liability | $ 0 | $ 0 |
Derivative Financial Instruments and Concentrations of Credit Risk - Additional Amounts of Collateral Pledged (Detail) - Man-AHL Diversified Trading Company L.P. [Member] - USD ($) |
Sep. 30, 2016 |
Dec. 31, 2015 |
---|---|---|
Forward Contracts [Member] | Royal Bank of Scotland [Member] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Additional Collateral Pledged | $ 2,004,782 | |
Forward Contracts [Member] | Deutsche Bank [Member] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Additional Collateral Pledged | 4,148,338 | $ 3,558,505 |
Forward Contracts [Member] | HSBC [Member] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Additional Collateral Pledged | 2,450,723 | 2,014,372 |
Swap Agreements [Member] | JPMorgan Chase [Member] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Additional Collateral Pledged | 6,197,335 | |
Futures Contracts [Member] | Credit Suisse [Member] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Additional Collateral Pledged | $ 5,826,982 | |
Futures Contracts [Member] | Bank of America Merrill Lynch [Member] | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Additional Collateral Pledged | $ 4,334,998 |
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