|
|
|
(State or other jurisdiction of incorporation or organization)
|
(I.R.S. Employer Identification No.)
|
Title of each class
|
Trading Symbol(s)
|
Name of each exchange on which registered
|
|||
None
|
N/A |
None
|
Large accelerated filer ☐
|
Accelerated filer ☐
|
|
Smaller reporting company
|
Emerging Growth company
|
Page
Number
|
|||
PART I - Financial Information:
|
|||
Item 1.
|
Financial Statements:
|
||
Graham Alternative Investment Fund I LLC Core Macro Portfolio
|
|||
1
|
|||
2
|
|||
3
|
|||
5
|
|||
6
|
|||
Graham Alternative Investment Trading LLC
|
|||
15
|
|||
16
|
|||
17
|
|||
18
|
|||
21
|
|||
22
|
|||
Item 2.
|
69 | ||
Item 3.
|
77
|
||
Item 4.
|
78
|
PART II - Other Information
|
79
|
||
Item 1.
|
|||
Item 1A.
|
|
||
Item 2.
|
|
||
Item 3.
|
|||
Item 4.
|
|
||
Item 5.
|
|||
Item 6.
|
80 | ||
Certification
|
|||
Certification
|
|||
Certification
|
Item 1.
|
Financial Statements
|
September 30, 2024
(Unaudited)
|
December 31, 2023
(Audited)
|
|||||||
Assets
|
||||||||
Investment in Graham Alternative Investment Trading LLC, at fair value
|
$
|
|
$
|
|
||||
Cash and cash equivalents
|
||||||||
Redemptions receivable from Graham Alternative Investment Trading LLC
|
||||||||
Total assets
|
$
|
|
$
|
|
||||
Liabilities and members’ capital
|
||||||||
Liabilities:
|
||||||||
Subscriptions received in advance
|
$ | $ | ||||||
Redemptions payable
|
|
|
|
|
||||
Total liabilities
|
|
|
||||||
Members’ capital:
|
||||||||
Class 0 Units (
|
|
|
||||||
Class 2 Units (
|
|
|
||||||
Class 3-A Units (
|
||||||||
Class 3-B Units (
|
||||||||
Total members’ capital
|
|
|
||||||
Total liabilities and members’ capital
|
$
|
|
$
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
|||||||||||||||
2024
|
2023
|
2024
|
2023
|
|||||||||||||
Net (loss) gain allocated from investment in Graham Alternative Investment Trading LLC:
|
||||||||||||||||
Net realized (loss) gain on investment
|
$
|
(
|
)
|
$
|
|
$
|
(
|
)
|
$
|
|
||||||
Net increase (decrease) in unrealized appreciation on investment
|
|
(
|
)
|
|
(
|
)
|
||||||||||
Brokerage commissions and fees
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||
Net (loss) gain allocated from investment in Graham Alternative Investment Trading LLC
|
(
|
)
|
|
|
|
|||||||||||
Net investment income (loss) allocated from investment in Graham Alternative Investment Trading LLC:
|
||||||||||||||||
Investment income:
|
||||||||||||||||
Interest income
|
|
|
|
|
||||||||||||
Expenses:
|
||||||||||||||||
Advisory fees
|
|
|
|
|
||||||||||||
Sponsor fees
|
|
|
|
|
||||||||||||
Professional fees
|
|
|
|
|
||||||||||||
Administrator’s fee
|
|
|
|
|
||||||||||||
Operating expenses
|
||||||||||||||||
Interest expense
|
|
|
|
|
||||||||||||
Incentive allocation
|
||||||||||||||||
Total expenses
|
|
|
|
|
||||||||||||
Net investment income (loss) allocated from investment in Graham Alternative Investment Trading LLC
|
|
(
|
)
|
|
(
|
)
|
||||||||||
Net (loss) income
|
$
|
(
|
)
|
$
|
|
$
|
|
$
|
|
Class 0 Units
|
Class 2 Units
|
Class 3-A Units
|
Class 3-B Units
|
|||||||||||||||||||||||||||||||||
Units
|
Capital
|
Units
|
Capital
|
Units
|
Capital
|
Units
|
Capital
|
Total Members’
Capital
|
||||||||||||||||||||||||||||
Members’ capital, December 31, 2023
|
|
$
|
|
|
$
|
|
|
$
|
|
|
$
|
|
$
|
|
||||||||||||||||||||||
Subscriptions
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Redemptions
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
|
|
|
|
(
|
)
|
||||||||||||||||||||||
Net income
|
–
|
|
–
|
|
–
|
|
–
|
|
|
|||||||||||||||||||||||||||
Members’ capital, March 31, 2024
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Initial subscription, May 1 ,2024
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Initial subscription, June 1 ,2024
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Subscriptions
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Redemptions
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
|
|
|
|
(
|
)
|
||||||||||||||||||||||
Net (loss) income
|
–
|
(
|
)
|
–
|
(
|
)
|
–
|
|
–
|
(
|
)
|
(
|
)
|
|||||||||||||||||||||||
Members’ capital, June 30, 2024
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Subscriptions | ||||||||||||||||||||||||||||||||||||
Redemptions
|
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||
Net loss
|
– | ( |
) | – | ( |
) | – | ( |
) | – | ( |
) | ( |
) | ||||||||||||||||||||||
Members’ capital, September 30, 2024
|
$ | $ | $ | $ | $ |
Class 0 Units
|
Class 2 Units
|
|||||||||||||||||||
Units
|
Capital
|
Units
|
Capital
|
Total Members’
Capital
|
||||||||||||||||
Members’ capital, December 31, 2022
|
$ | $ | $ | |||||||||||||||||
Subscriptions
|
||||||||||||||||||||
Redemptions
|
( |
) | ( |
) | ( |
) | ||||||||||||||
Net loss
|
– | ( |
) | – | ( |
) | ( |
) | ||||||||||||
Members’ capital, March 31, 2023
|
||||||||||||||||||||
Subscriptions
|
||||||||||||||||||||
Redemptions
|
( |
) | ( |
) | ( |
) | ||||||||||||||
Net income
|
– | – | ||||||||||||||||||
Members’ capital, June 30, 2023
|
|
|
||||||||||||||||||
Subscriptions | ||||||||||||||||||||
Redemptions | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||
Net income
|
– | – | ||||||||||||||||||
Members’ capital, September 30, 2023
|
$ |
$ |
$ |
Nine Months Ended
September 30,
|
||||||||
2024
|
2023
|
|||||||
Cash flows provided by operating activities
|
||||||||
Net income
|
$
|
|
$
|
|
||||
Adjustments to reconcile net income to net cash provided by operating activities:
|
||||||||
Net income allocated from investment in Graham Alternative Investment Trading LLC
|
(
|
)
|
(
|
)
|
||||
Proceeds from sale of investment in Graham Alternative Investment Trading LLC
|
|
|
||||||
Investment in Graham Alternative Investment Trading LLC
|
( |
) | ( |
) | ||||
Net cash provided by operating activities
|
|
|
||||||
Cash flows used in financing activities
|
||||||||
Subscriptions (net of subscriptions received in advance)
|
|
|
||||||
Redemptions (net of redemptions payable)
|
(
|
)
|
(
|
)
|
||||
Net cash used in financing activities
|
(
|
)
|
(
|
)
|
||||
Net change in cash and cash equivalents
|
|
|
||||||
Cash and cash equivalents, beginning of period
|
|
|
||||||
Cash and cash equivalents, end of period
|
$
|
|
$
|
|
• |
Level 1 inputs are unadjusted closing or settlement prices for such assets or liabilities as published by the primary exchange upon which they are traded.
|
• |
Level 2 inputs include quoted prices for similar assets and liabilities obtained from independent brokers and/or market makers in each security.
|
• |
Level 3 inputs are those which are considered unobservable and are significant in arriving at fair value.
|
Class 0
|
Class 2
|
|
|
Class 0
|
Class 2
|
Class 3-A
|
Class 3-B
|
|||||||||||||
Per unit operating performance
|
||||||||||||||||
Net asset value per Unit, June 30, 2023
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Net income:
|
||||||||||||||||
Net investment loss
|
(
|
)
|
(
|
)
|
|
|
||||||||||
Net gain on investments
|
|
|
|
|
||||||||||||
Net income
|
|
|
|
|
||||||||||||
Net asset value per Unit, September 30, 2023
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Net asset value per Unit, June 30, 2024
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Net loss:
|
||||||||||||||||
Net investment income
|
|
|
|
|
||||||||||||
Net loss on investments
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||
Net loss
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||
Net asset value per Unit, September 30, 2024
|
$
|
|
$
|
|
$
|
|
$
|
|
Class 0
|
Class 2
|
Class 3-A
|
Class 3-B
|
|||||||||||||||||||||||||||
2024
|
2023
|
2024
|
2023
|
2024
|
2023
|
2024
|
2023
|
|||||||||||||||||||||||
Total return before Incentive Allocation
|
(
|
)%
|
|
%
|
(
|
)%
|
|
%
|
(
|
)%
|
|
(
|
)%
|
|||||||||||||||||
Incentive Allocation
|
(
|
) |
(
|
)
|
(
|
) |
(
|
)
|
(
|
) |
|
(
|
) |
|||||||||||||||||
Total return after Incentive Allocation
|
(
|
)%
|
|
%
|
(
|
)%
|
|
%
|
(
|
)%
|
|
(
|
)%
|
|||||||||||||||||
Net investment income before Incentive Allocation
|
|
%
|
|
%
|
|
%
|
|
%
|
|
%
|
|
|
%
|
|||||||||||||||||
Incentive Allocation
|
(
|
) |
(
|
)
|
(
|
) |
(
|
)
|
(
|
) |
|
(
|
) |
|||||||||||||||||
Net investment income (loss) after Incentive Allocation
|
|
%
|
(
|
)%
|
|
%
|
(
|
)%
|
|
%
|
|
|
%
|
|||||||||||||||||
Total expenses before Incentive Allocation
|
|
%
|
|
%
|
|
%
|
|
%
|
|
%
|
|
|
%
|
|||||||||||||||||
Incentive Allocation
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Total expenses after Incentive Allocation
|
|
%
|
|
%
|
|
%
|
|
%
|
|
%
|
|
|
%
|
Class 0
|
Class 2
|
Class 3-A
|
Class 3-B
|
|||||||||||||
Per unit operating performance
|
||||||||||||||||
Net asset value per Unit, December 31, 2022
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Net income:
|
||||||||||||||||
Net investment loss
|
(
|
)
|
(
|
)
|
|
|
||||||||||
Net gain on investments
|
|
|
|
|
||||||||||||
Net income
|
|
|
|
|
||||||||||||
Net asset value per Unit, September 30, 2023
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Net asset value per Unit, December 31, 2023
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Initial asset value per share, May 1, 2024
|
|
|
|
|
||||||||||||
Initial asset value per share, June 1, 2024
|
|
|
|
|
||||||||||||
Net income (loss):
|
||||||||||||||||
Net investment income
|
|
|
|
|
||||||||||||
Net gain (loss) on investments
|
|
|
(
|
)
|
(
|
)
|
||||||||||
Net income (loss)
|
|
|
(
|
)
|
(
|
)
|
||||||||||
Net asset value per Unit, September 30, 2024
|
$
|
|
$
|
|
$
|
|
$
|
|
Class 0
|
Class 2
|
Class 3-A*
|
Class 3-B**
|
|||||||||||||||||||||||||||
2024
|
2023
|
2024
|
2023
|
2024
|
2023
|
2024
|
2023
|
|||||||||||||||||||||||
Total return before Incentive Allocation
|
|
%
|
|
%
|
|
%
|
|
%
|
(
|
)%
|
|
(
|
)%
|
|||||||||||||||||
Incentive Allocation
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
|
(
|
) |
|||||||||||||||||
Total return after Incentive Allocation
|
|
%
|
|
%
|
|
%
|
|
%
|
(
|
)%
|
|
(
|
)%
|
|||||||||||||||||
Net investment income (loss) before Incentive Allocation
|
|
%
|
|
%
|
|
%
|
(
|
)%
|
|
%
|
|
|
%
|
|||||||||||||||||
Incentive Allocation
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
|
(
|
) |
|||||||||||||||||
Net investment income (loss) after Incentive Allocation
|
|
%
|
(
|
)%
|
|
%
|
(
|
)%
|
|
%
|
|
|
%
|
|||||||||||||||||
Total expenses before Incentive Allocation
|
|
%
|
|
%
|
|
%
|
|
%
|
|
%
|
|
|
%
|
|||||||||||||||||
Incentive Allocation
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Total expenses after Incentive Allocation
|
|
%
|
|
%
|
|
%
|
|
%
|
|
%
|
|
|
%
|
September 30, 2024
(Unaudited)
|
December 31, 2023
(Audited)
|
|||||||
Assets
|
||||||||
Investment in Graham Cash Assets LLC, at fair value
|
$
|
58,564,739
|
$
|
59,261,119
|
||||
Investments in Master Funds, at fair value
|
7,272,112
|
6,589,443
|
||||||
Receivable from Master Funds
|
110
|
177
|
||||||
Total assets
|
$
|
65,836,961
|
$
|
65,850,739
|
||||
Liabilities and members’ capital
|
||||||||
Liabilities:
|
||||||||
Redemptions payable
|
$
|
176,576
|
$
|
644,512
|
||||
Accrued professional fees
|
168,082
|
186,519
|
||||||
Accrued advisory fees
|
78,814
|
80,684
|
||||||
Accrued sponsor fees
|
37,485
|
41,770
|
||||||
Accrued administrator’s fees
|
6,738
|
7,050
|
||||||
Accrued operating expenses
|
3,509
|
3,689
|
||||||
Payable to Master Funds
|
37
|
–
|
||||||
Total liabilities
|
471,241
|
964,224
|
||||||
Members’ capital:
|
||||||||
Class 0 Units (169,999.318 and 177,924.511 units issued and outstanding at $230.62 and $224.32 per unit, respectively)
|
39,204,595
|
39,912,274
|
||||||
Class 2 Units (127,924.037 and 143,198.231 units issued and outstanding at $161.84 and $158.20 per unit, respectively)
|
20,702,567
|
22,653,277
|
||||||
Class 3-A Units (4,142.221 and no units issued and outstanding at $95.68 and $ – per unit, respectively)
|
396,343
|
–
|
||||||
Class 3-B Units (27,938.463 and no units issued and outstanding at $94.06 and $ – per unit, respectively)
|
2,627,905
|
–
|
||||||
Class M Units (4,671.470 units issued and outstanding at $521.10 and $496.83 per unit, respectively)
|
2,434,310
|
2,320,964
|
||||||
Total members’ capital
|
65,365,720
|
64,886,515
|
||||||
Total liabilities and members’ capital
|
$
|
65,836,961
|
$
|
65,850,739
|
September 30, 2024
(Unaudited)
|
December 31, 2023
(Audited)
|
|||||||||||||||||
Description
|
Fair Value
|
Percentage of
Members’
Capital
|
Fair Value
|
Percentage of
Members’
Capital
|
||||||||||||||
Investments in Master Funds, at fair value
|
||||||||||||||||||
Graham Commodity Strategies LLC
|
$
|
2,806,317
|
4.29
|
%
|
$
|
2,529,772
|
3.90
|
%
|
||||||||||
Graham Derivatives Strategies LLC
|
1,099,731
|
1.69
|
%
|
850,235
|
1.31
|
%
|
||||||||||||
Graham K4D Trading Ltd.
|
3,366,064
|
5.15
|
%
|
3,209,436
|
4.95
|
%
|
||||||||||||
Total investments in Master Funds
|
$
|
7,272,112
|
11.13
|
%
|
$
|
6,589,443
|
10.16
|
%
|
Three Months Ended
September 30,
|
Nine Months Ended
September 30,
|
|||||||||||||||
2024
|
2023
|
2024
|
2023
|
|||||||||||||
Net (loss) gain allocated from investments in Master Funds:
|
||||||||||||||||
Net realized (loss) gain on investments
|
$
|
(3,467,738
|
)
|
$
|
5,613,862
|
$
|
(197,268
|
)
|
$
|
5,991,144
|
||||||
Net increase (decrease) in unrealized appreciation on investments
|
136,935
|
(465,371
|
)
|
1,694,218
|
(979,650
|
)
|
||||||||||
Brokerage commissions and fees
|
(46,048
|
)
|
(40,300
|
)
|
(127,386
|
)
|
(130,477
|
)
|
||||||||
Net (loss) gain allocated from investments in Master Funds
|
(3,376,851
|
)
|
5,108,191
|
1,369,564
|
4,881,017
|
|||||||||||
Net investment income allocated from investments in Master Funds
|
49,644
|
42,781
|
132,597
|
138,423
|
||||||||||||
Investment income:
|
||||||||||||||||
Interest income
|
631,067
|
700,034
|
2,148,491
|
1,563,219
|
||||||||||||
Expenses:
|
||||||||||||||||
Advisory fees
|
238,465
|
252,117
|
721,041
|
712,235
|
||||||||||||
Sponsor fees
|
116,224
|
131,812
|
362,302
|
377,126
|
||||||||||||
Professional fees
|
65,727
|
109,875
|
305,128
|
274,655
|
||||||||||||
Administrator’s fee
|
20,194
|
21,972
|
61,685
|
62,538
|
||||||||||||
Operating expenses
|
10,112
|
10,132
|
31,611
|
30,744
|
||||||||||||
Interest expense
|
3,661
|
3,612
|
11,158
|
10,955
|
||||||||||||
Total expenses
|
454,383
|
529,520
|
1,492,925
|
1,468,253
|
||||||||||||
Net investment income of the Fund
|
176,684
|
170,514
|
655,566
|
94,966
|
||||||||||||
Net (loss) income
|
(3,150,523
|
)
|
5,321,486
|
2,157,727
|
5,114,406
|
|||||||||||
Incentive allocation
|
–
|
(679,359
|
)
|
(313,592
|
)
|
(679,491
|
)
|
|||||||||
Net (loss) income available for pro-rata allocation to all members
|
$
|
(3,150,523
|
)
|
$
|
4,642,127
|
$
|
1,844,135
|
$
|
4,434,915
|
Class 0
|
Class 2
|
Class 3-A
|
||||||||||||||||||||||
Units
|
Capital
|
Units
|
Capital
|
Units
|
Capital
|
|||||||||||||||||||
Members’ capital, December 31, 2023
|
177,924.511
|
$
|
39,912,274
|
143,198.231
|
$
|
22,653,277
|
–
|
$
|
–
|
|||||||||||||||
Subscriptions
|
1,077.459
|
247,000
|
2,005.123
|
323,000
|
–
|
–
|
||||||||||||||||||
Redemptions
|
(6,823.328
|
)
|
(1,597,493
|
)
|
(10,896.074
|
)
|
(1,809,474
|
)
|
–
|
–
|
||||||||||||||
Incentive allocation
|
–
|
(212,267
|
)
|
–
|
(100,235
|
)
|
–
|
–
|
||||||||||||||||
Net income
|
–
|
3,716,586
|
–
|
2,046,953
|
–
|
–
|
||||||||||||||||||
Members’ capital, March 31, 2024
|
172,178.642
|
42,066,100
|
134,307.280
|
23,113,521
|
–
|
–
|
||||||||||||||||||
Initial subscription, June 1, 2024
|
–
|
–
|
–
|
–
|
750.000
|
75,000
|
||||||||||||||||||
Subscriptions
|
1,392.027
|
340,000
|
1,047.362
|
179,000
|
–
|
–
|
||||||||||||||||||
Redemptions
|
(3,311.442
|
)
|
(805,858
|
)
|
(7,933.567
|
)
|
(1,366,825
|
)
|
–
|
–
|
||||||||||||||
Incentive allocation
|
–
|
(315
|
)
|
–
|
(731
|
)
|
–
|
(44
|
)
|
|||||||||||||||
Net (loss) income
|
–
|
(418,225
|
)
|
–
|
(256,029
|
)
|
–
|
216
|
||||||||||||||||
Members’ capital, June 30, 2024
|
170,259.227
|
41,181,702
|
127,421.075
|
21,668,936
|
750.000
|
75,172
|
||||||||||||||||||
Subscriptions
|
1,434.209
|
345,000
|
1,653.468
|
275,000
|
3,392.221
|
340,000
|
||||||||||||||||||
Redemptions
|
(1,694.118
|
)
|
(395,336
|
)
|
(1,150.506
|
)
|
(188,944
|
)
|
–
|
–
|
||||||||||||||
Incentive allocation
|
–
|
–
|
–
|
–
|
–
|
–
|
||||||||||||||||||
Net loss
|
–
|
(1,926,771
|
)
|
–
|
(1,052,425
|
)
|
–
|
(18,829
|
)
|
|||||||||||||||
Members’ capital, September 30, 2024
|
169,999.318
|
$
|
39,204,595
|
127,924.037
|
$
|
20,702,567
|
4,142.221
|
$
|
396,343
|
Class 3-B
|
Class M
|
Total
|
||||||||||||||||||
Units
|
Capital
|
Units
|
Capital
|
Capital
|
||||||||||||||||
Members’ capital, December 31, 2023
|
–
|
$
|
–
|
4,671.470
|
$
|
2,320,964
|
$
|
64,886,515
|
||||||||||||
Subscriptions
|
–
|
–
|
–
|
–
|
570,000
|
|||||||||||||||
Redemptions
|
–
|
–
|
–
|
(312,502
|
)
|
(3,719,469
|
)
|
|||||||||||||
Incentive allocation
|
–
|
–
|
–
|
312,502
|
–
|
|||||||||||||||
Net income
|
–
|
–
|
–
|
232,298
|
5,995,837
|
|||||||||||||||
Members’ capital, March 31, 2024
|
–
|
–
|
4,671.470
|
2,553,262
|
67,732,883
|
|||||||||||||||
Initial subscription, May 1, 2024
|
750.000
|
75,000
|
–
|
–
|
75,000
|
|||||||||||||||
Initial subscription, June 1, 2024
|
–
|
–
|
–
|
–
|
75,000
|
|||||||||||||||
Subscriptions
|
1,524.212
|
150,000
|
–
|
–
|
669,000
|
|||||||||||||||
Redemptions
|
–
|
–
|
–
|
(1,090
|
)
|
(2,173,773
|
)
|
|||||||||||||
Incentive allocation
|
–
|
–
|
–
|
1,090
|
–
|
|||||||||||||||
Net loss
|
–
|
(642
|
)
|
–
|
(12,907
|
)
|
(687,587
|
)
|
||||||||||||
Members’ capital, June 30, 2024
|
2,274.212
|
224,358
|
4,671.470
|
2,540,355
|
65,690,523
|
|||||||||||||||
Subscriptions
|
25,664.251
|
2,450,000
|
–
|
–
|
3,410,000
|
|||||||||||||||
Redemptions
|
–
|
–
|
–
|
–
|
(584,280
|
)
|
||||||||||||||
Incentive allocation
|
–
|
–
|
–
|
–
|
–
|
|||||||||||||||
Net loss
|
–
|
(46,453
|
)
|
–
|
(106,045
|
)
|
(3,150,523
|
)
|
||||||||||||
Members’ capital, September 30, 2024
|
27,938.463
|
$
|
2,627,905
|
4,671.470
|
$
|
2,434,310
|
$
|
65,365,720
|
Class 0
|
Class 2
|
Class M
|
Total
|
|||||||||||||||||||||||||
Units
|
Capital
|
Units
|
Capital
|
Units
|
Capital
|
Capital
|
||||||||||||||||||||||
Members’ capital, December 31, 2022
|
161,081.937
|
$
|
36,176,761
|
155,844.459
|
$
|
24,813,000
|
4,671.470
|
$
|
2,253,147
|
$
|
63,242,908
|
|||||||||||||||||
Subscriptions
|
2,107.202
|
490,000
|
781.064
|
125,000
|
–
|
–
|
615,000
|
|||||||||||||||||||||
Redemptions
|
(908.759
|
)
|
(202,115
|
)
|
(280.060
|
)
|
(44,820
|
)
|
–
|
(132
|
)
|
(247,067
|
)
|
|||||||||||||||
Incentive allocation
|
–
|
(132
|
)
|
–
|
–
|
–
|
132
|
–
|
||||||||||||||||||||
Net loss
|
–
|
(891,319
|
)
|
–
|
(641,441
|
)
|
–
|
(43,354
|
)
|
(1,576,114
|
)
|
|||||||||||||||||
Members’ capital, March 31, 2023
|
162,280.380
|
35,573,195
|
156,345.463
|
24,251,739
|
4,671.470
|
2,209,793
|
62,034,727
|
|||||||||||||||||||||
Subscriptions
|
14,208.945
|
3,114,000
|
–
|
–
|
–
|
–
|
3,114,000
|
|||||||||||||||||||||
Redemptions
|
(1,103.427
|
)
|
(245,476
|
)
|
(490.680
|
)
|
(76,724
|
)
|
–
|
–
|
(322,200
|
)
|
||||||||||||||||
Incentive allocation
|
–
|
–
|
–
|
–
|
–
|
–
|
–
|
|||||||||||||||||||||
Net income
|
–
|
833,970
|
–
|
476,083
|
–
|
58,981
|
1,369,034
|
|||||||||||||||||||||
Members’ capital, June 30, 2023
|
175,385.898
|
39,275,689
|
155,854.783
|
24,651,098
|
4,671.470
|
2,268,774
|
66,195,561
|
|||||||||||||||||||||
Subscriptions
|
3,471.731
|
785,000
|
–
|
–
|
–
|
–
|
785,000
|
|||||||||||||||||||||
Redemptions
|
(3,530.662
|
)
|
(821,844
|
)
|
(7,450.556
|
)
|
(1,218,516
|
)
|
–
|
(679,359
|
)
|
(2,719,719
|
)
|
|||||||||||||||
Incentive allocation
|
–
|
(459,161
|
)
|
–
|
(220,198
|
)
|
–
|
679,359
|
–
|
|||||||||||||||||||
Net income
|
–
|
3,219,010
|
–
|
1,905,248
|
–
|
197,228
|
5,321,486
|
|||||||||||||||||||||
Members’ capital, September 30, 2023
|
175,326.967
|
$
|
41,998,694
|
148,404.227
|
$
|
25,117,632
|
4,671.470
|
$
|
2,466,002
|
$
|
69,582,328
|
Nine Months Ended September 30,
|
||||||||
2024
|
2023
|
|||||||
Cash flows provided by (used in) operating activities
|
||||||||
Net income
|
$
|
2,157,727
|
$
|
5,114,406
|
||||
Adjustments to reconcile net income to net cash provided (used in) by operating activities:
|
||||||||
Net income allocated from investments in Master Funds
|
(1,502,161
|
)
|
(5,019,440
|
)
|
||||
Net income allocated from investment in Graham Cash Assets LLC
|
(2,148,491
|
)
|
(1,563,219
|
)
|
||||
Proceeds from sale of investments in Master Funds
|
54,287,683
|
52,615,889
|
||||||
Proceeds from sale of investment in Graham Cash Assets LLC
|
38,396,008
|
34,218,247
|
||||||
Purchases of investments in Master Funds
|
(53,563,520
|
)
|
(48,148,309
|
)
|
||||
Purchases of investment in Graham Cash Assets LLC
|
(35,455,704
|
)
|
(38,115,239
|
)
|
||||
Changes in assets and liabilities:
|
||||||||
(Decrease) in accrued professional fees
|
(18,437
|
)
|
(52,957
|
)
|
||||
(Decrease) increase in accrued advisory fees
|
(1,870
|
)
|
4,652
|
|||||
(Decrease) increase in accrued sponsor fees
|
(4,285
|
)
|
954
|
|||||
(Decrease) increase in accrued administrator’s fee
|
(312
|
)
|
251
|
|||||
(Decrease) increase in accrued operating expenses
|
(180
|
)
|
207
|
|||||
Net cash provided by (used in) operating activities
|
2,146,458
|
(944,558
|
)
|
|||||
Cash flows (used in) provided by financing activities
|
||||||||
Subscriptions
|
4,799,000
|
4,514,000
|
||||||
Redemptions (net of redemptions payable)
|
(6,945,458
|
)
|
(3,569,442
|
)
|
||||
Net cash (used in) provided by financing activities
|
(2,146,458
|
)
|
944,558
|
|||||
Net change in cash and cash equivalents
|
–
|
–
|
||||||
Cash and cash equivalents, beginning of period
|
–
|
–
|
||||||
Cash and cash equivalents, end of period
|
$
|
–
|
$
|
–
|
||||
Supplemental cash flow information
|
||||||||
Interest paid
|
$
|
11,158
|
$
|
10,955
|
• |
Level 1 inputs are unadjusted closing or settlement prices for such assets or liabilities as published by the primary exchange upon which they are traded.
|
• |
Level 2 inputs include quoted prices for similar assets and liabilities obtained from independent brokers and/or market makers in each security.
|
• |
Level 3 inputs are those which are considered unobservable and are significant in arriving at fair value.
|
September 30, 2024
|
|||||||||||||
Investment – Objective
|
Percent of
Members’
Capital
|
Fair Value
|
Net Income (Loss)
(nine months ended
September 2024)
|
||||||||||
Global Macro Funds
|
|||||||||||||
Graham Commodity Strategies LLC
|
4.29
|
%
|
$
|
2,806,317
|
$
|
1,487,185
|
|||||||
Graham Derivatives Strategies LLC
|
1.69
|
%
|
1,099,731
|
(787,569
|
)
|
||||||||
Systematic Macro Funds
|
|||||||||||||
Graham K4D Trading Ltd.
|
5.15
|
%
|
3,366,064
|
707,112
|
|||||||||
11.13
|
%
|
$
|
7,272,112
|
$
|
1,406,728
|
December 31, 2023
|
|||||||||||||
Investment – Objective
|
Percent of
Members’
Capital
|
Fair Value
|
Net Income (Loss)
(nine months ended
September 2023)
|
||||||||||
Global Macro Funds
|
|||||||||||||
Graham Commodity Strategies LLC
|
3.90
|
%
|
$
|
2,529,772
|
$
|
3,412,982
|
|||||||
Graham Derivatives Strategies LLC
|
1.31
|
%
|
850,235
|
(656,208
|
)
|
||||||||
Systematic Macro Funds
|
|||||||||||||
Graham K4D Trading Ltd.
|
4.95
|
%
|
3,209,436
|
2,262,666
|
|||||||||
10.16
|
%
|
$
|
6,589,443
|
$
|
5,019,440
|
Graham
Commodity
Strategies LLC
(Delaware)
|
Graham
Derivatives
Strategies LLC
(Delaware)
|
Graham K4D
Trading Ltd.
(BVI)
|
||||||||||
Assets:
|
||||||||||||
Fixed income securities, at fair value (cost $13,567,089)
|
$
|
–
|
$
|
–
|
$
|
13,804,379
|
||||||
Due from brokers
|
74,968,739
|
13,301,398
|
34,196,959
|
|||||||||
Exchange memberships, at fair value
|
8,806,413
|
362,750
|
2,053,636
|
|||||||||
Derivative financial instruments, at fair value
|
1,990,083
|
16,435,063
|
19,102,856
|
|||||||||
Interest receivable
|
294,392
|
54,197
|
217,285
|
|||||||||
Total assets
|
86,059,627
|
30,153,408
|
69,375,115
|
|||||||||
Liabilities:
|
||||||||||||
Derivative financial instruments, at fair value
|
4,006,286
|
–
|
–
|
|||||||||
Interest payable
|
13,177
|
12,619
|
119,226
|
|||||||||
Total liabilities
|
4,019,463
|
12,619
|
119,226
|
|||||||||
Members’ Capital / Net Assets
|
$
|
82,040,164
|
$
|
30,140,789
|
$
|
69,255,889
|
||||||
Percentage of Master Fund held by GAIT
|
3.42
|
%
|
3.65
|
%
|
4.86
|
%
|
Description
|
Number of
Contracts
|
Fair Value
|
Percentage
of Members’
Capital of
Master Fund
|
|||||||||
Graham Commodity Strategies LLC
|
||||||||||||
Exchange memberships (cost $3,649,411)
|
||||||||||||
United States (cost $3,649,411)
|
||||||||||||
Financial services (cost $3,649,411)
|
$
|
8,806,413
|
10.73
|
%
|
||||||||
Total exchange memberships
|
$
|
8,806,413
|
10.73
|
%
|
||||||||
Derivative financial instruments
|
||||||||||||
Long contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
$
|
1,032,335
|
1.26
|
%
|
||||||||
Foreign bond
|
3,322,459
|
4.04
|
%
|
|||||||||
Foreign index
|
234,435
|
0.29
|
%
|
|||||||||
Interest rate
|
(234,189
|
)
|
(0.29
|
)%
|
||||||||
U.S. bond
|
||||||||||||
U.S. 5 yr Note (CBT) December 2024
|
7,394
|
(5,770,250
|
)
|
(7.03
|
)%
|
|||||||
U.S. 2 yr Note (CBT) December 2024
|
23,624
|
(7,304,672
|
)
|
(8.90
|
)%
|
|||||||
U.S. 10 yr Note (CBT) December 2024
|
76
|
(18,703
|
)
|
(0.02
|
)%
|
|||||||
U.S. 10 yr Ultra December 2024
|
27
|
(10,063
|
)
|
(0.01
|
)%
|
|||||||
Total futures
|
(8,748,648
|
)
|
(10.66
|
)%
|
||||||||
Forwards
|
||||||||||||
Foreign currency
|
834,234
|
1.02
|
%
|
|||||||||
Total forwards
|
834,234
|
1.02
|
%
|
|||||||||
Options (cost $2,450,834)
|
||||||||||||
Commodity futures
|
83,950
|
0.10
|
%
|
|||||||||
Currency futures
|
1,921,948
|
2.34
|
%
|
|||||||||
Interest rate futures
|
146,211
|
0.18
|
%
|
|||||||||
U.S. bond futures
|
||||||||||||
U.S. 5 yr Note Friday Week 1 October 2024, $110.50 - $111.50 Call
|
2
|
22,266
|
0.03
|
%
|
||||||||
U.S. 5 yr Note Friday Week 1 October 2024, $110.00 Put
|
1
|
128,625
|
0.16
|
%
|
||||||||
U.S. index futures
|
60,458
|
0.07
|
%
|
|||||||||
Total options
|
2,363,458
|
2.88
|
%
|
Description
|
Number of
Contracts
|
Fair Value
|
Percentage
of Members’
Capital of
Master Fund
|
|||||||||
Graham Commodity Strategies LLC (continued)
|
||||||||||||
Derivative financial instruments (continued)
|
||||||||||||
Short contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
$
|
4,060
|
0.00
|
%
|
||||||||
Foreign bond
|
(1,583,864
|
)
|
(1.93
|
)%
|
||||||||
Foreign index
|
(2,766,776
|
)
|
(3.37
|
)%
|
||||||||
Interest rate
|
14,160
|
0.02
|
%
|
|||||||||
U.S. bond
|
||||||||||||
U.S. Ultra Bond (CBT) December 2024
|
(4,081
|
)
|
9,455,500
|
11.53
|
%
|
|||||||
U.S. 2 yr - 5 yr Note (CBT) December 2024
|
(92
|
)
|
36,508
|
0.04
|
%
|
|||||||
U.S. index
|
(502,113
|
)
|
(0.61
|
)%
|
||||||||
Total futures
|
4,657,475
|
5.68
|
%
|
|||||||||
Forwards
|
||||||||||||
Foreign currency
|
298,101
|
0.36
|
%
|
|||||||||
Total forwards
|
298,101
|
0.36
|
%
|
|||||||||
Options (proceeds $1,602,164)
|
||||||||||||
Commodity
|
(95,620
|
)
|
(0.12
|
)%
|
||||||||
Currency futures
|
(1,064,200
|
)
|
(1.30
|
)%
|
||||||||
Interest rate futures
|
(142,852
|
)
|
(0.17
|
)%
|
||||||||
U.S. bond futures
|
||||||||||||
U.S. 5 yr Note Friday Week 1 October 2024, $111.00 Call
|
(1
|
)
|
(13,383
|
)
|
(0.02
|
)%
|
||||||
U.S. 5 yr Note Friday Week 1 October 2024, $109.50 Put
|
(1
|
)
|
(96,328
|
)
|
(0.12
|
)%
|
||||||
U.S. index futures
|
(8,440
|
)
|
(0.01
|
)%
|
||||||||
Total options
|
(1,420,823
|
)
|
(1.74
|
)%
|
||||||||
Total derivative financial instruments
|
$
|
(2,016,203
|
)
|
(2.46
|
)%
|
Description
|
Number of
Contracts
|
Fair Value
|
Percentage
of Members’
Capital of
Master Fund
|
|||||||||
Graham Derivatives Strategies LLC
|
||||||||||||
Exchange memberships (cost $305,000)
|
||||||||||||
United States (cost $305,000)
|
||||||||||||
Financial services (cost $305,000)
|
$
|
362,750
|
1.20
|
%
|
||||||||
Total exchange memberships
|
$
|
362,750
|
1.20
|
%
|
||||||||
Derivative financial instruments
|
||||||||||||
Long contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
||||||||||||
Gold 100 Oz December 2024
|
141
|
$
|
(124,360
|
)
|
(0.41
|
)%
|
||||||
Other commodity
|
24,713
|
0.08
|
%
|
|||||||||
Foreign bond
|
(24,498
|
)
|
(0.08
|
)%
|
||||||||
Foreign index
|
(466,356
|
)
|
(1.55
|
)%
|
||||||||
U.S. Bond
|
||||||||||||
U.S. Ultra Bond (CBT) December 2024
|
112
|
(87,656
|
)
|
(0.29
|
)%
|
|||||||
U.S. 2 yr - 10 yr Note (CBT) December 2024
|
687
|
(146,820
|
)
|
(0.49
|
)%
|
|||||||
U.S. index
|
148,308
|
0.49
|
%
|
|||||||||
Total futures
|
(676,669
|
)
|
(2.25
|
)%
|
||||||||
Forwards
|
||||||||||||
Japanese yen / U.S. dollar 12/18/2024
|
¥
|
440,412,671
|
(29,314
|
)
|
(0.10
|
)%
|
||||||
Other foreign currency
|
325,886
|
1.08
|
%
|
|||||||||
Total forwards
|
296,572
|
0.98
|
%
|
|||||||||
Options (cost $31,566,411)
|
||||||||||||
Commodity futures
|
||||||||||||
Gold Future (CMX) December 2024, $2,650.00 Call
|
1
|
2,129,490
|
7.07
|
%
|
||||||||
Currency futures
|
||||||||||||
U.S. dollar / Japanese yen (Digital) October 2024 - December 2024, $130.00 – $139.00 Put
|
9
|
3,435,786
|
11.40
|
%
|
||||||||
U.S. dollar / Japanese yen October 2024, $144.00 - $144.50 Call
|
2
|
48,332
|
0.16
|
%
|
||||||||
U.S. dollar / Japanese yen October 2024 - March 2025, $130.00 - $143.50 Put
|
8
|
1,268,968
|
4.21
|
%
|
||||||||
Other currency futures
|
5,541,140
|
18.38
|
%
|
|||||||||
Interest rate futures
|
300,184
|
1.00
|
%
|
|||||||||
U.S. bond futures
|
||||||||||||
U.S. 10 yr future November 2024, $115.50 Call
|
1
|
2,536,000
|
8.41
|
%
|
||||||||
U.S. 10 yr future November 2024, $117.50 Call
|
1
|
153,047
|
0.51
|
%
|
||||||||
U.S. 2 yr future November 2024 - December 2024, $103.50 - $104.00 Put
|
3
|
1,182,328
|
3.92
|
%
|
||||||||
U.S. index futures
|
||||||||||||
S&P 500 E-mini December 2024, $5,900.00 Call
|
1
|
11,336,925
|
37.61
|
%
|
||||||||
S&P 500 E-mini October 2024, $5,625.00 Put
|
1
|
1,493,888
|
4.96
|
%
|
||||||||
Total options
|
29,426,088
|
97.63
|
%
|
Description
|
Number of
Contracts
|
Fair Value
|
Percentage
of Members’
Capital of
Master Fund
|
|||||||||
Graham Derivatives Strategies LLC (continued)
|
||||||||||||
Derivative financial instruments (continued)
|
||||||||||||
Short contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
||||||||||||
Gold 100 Oz December 2024
|
(54
|
)
|
$
|
(48,770
|
)
|
(0.16
|
)%
|
|||||
Other commodity
|
(473
|
)
|
(0.00
|
)%
|
||||||||
Foreign bond
|
5,171
|
0.02
|
%
|
|||||||||
Foreign index
|
13,926
|
0.05
|
%
|
|||||||||
U.S. bond
|
||||||||||||
U.S. 2 yr - 10 yr Note (CBT) December 2024
|
(3,532
|
)
|
630,937
|
2.09
|
%
|
|||||||
U.S. Ultra December 2024
|
(271
|
)
|
154,422
|
0.51
|
%
|
|||||||
U.S. Long Bond (CBT) December 2024
|
(248
|
)
|
57,594
|
0.19
|
%
|
|||||||
U.S. index
|
||||||||||||
S&P 500 E-mini December 2024
|
(84
|
)
|
(56,513
|
)
|
(0.19
|
)%
|
||||||
Total futures
|
756,294
|
2.51
|
%
|
|||||||||
Forwards
|
||||||||||||
Foreign currency
|
(78,924
|
)
|
(0.26
|
)%
|
||||||||
Total forwards
|
(78,924
|
)
|
(0.26
|
)%
|
||||||||
Options (proceeds $12,420,497)
|
||||||||||||
Commodity futures
|
||||||||||||
Gold Future (CMX) December 2024, $2,800.00 Call
|
(1
|
)
|
(1,301,860
|
)
|
(4.32
|
)%
|
||||||
Currency futures
|
||||||||||||
U.S. dollar / Japanese yen October 2024, $144.50 Call
|
(1
|
)
|
(14,772
|
)
|
(0.05
|
)%
|
||||||
U.S. dollar / Japanese yen October 2024 - November 2024, $133.00 - $141.00 Put
|
(5
|
)
|
(458,657
|
)
|
(1.52
|
)%
|
||||||
Other currency futures
|
(365,881
|
)
|
(1.21
|
)%
|
||||||||
Interest rate futures
|
(83,624
|
)
|
(0.28
|
)%
|
||||||||
U.S. bond futures
|
||||||||||||
U.S. 10 yr future November 2024, $116.50 Call
|
(1
|
)
|
(1,257,094
|
)
|
(4.17
|
)%
|
||||||
U.S. 2 yr future November 2024, $103.50 Put
|
(1
|
)
|
(244,297
|
)
|
(0.81
|
)%
|
||||||
U.S. index futures
|
||||||||||||
S&P 500 E-mini December 2024, $6,000.00 Call
|
(1
|
)
|
(8,454,400
|
)
|
(28.04
|
)%
|
||||||
S&P 500 E-mini October 2024, $5,550.00 Put
|
(1
|
)
|
(1,107,713
|
)
|
(3.68
|
)%
|
||||||
Total options
|
(13,288,298
|
)
|
(44.08
|
)%
|
||||||||
Total derivative financial instruments
|
$
|
16,435,063
|
54.53
|
%
|
Description
|
Principal Amount /
Notional Amount
|
Fair Value
|
Percentage of
Net Assets of
Master Fund
|
|||||||||
Graham K4D Trading Ltd.
|
||||||||||||
Fixed income securities (cost $13,567,089)
|
||||||||||||
Government Bonds (cost $13,567,089)
|
||||||||||||
United States (cost $13,567,089)
|
||||||||||||
U.S. Treasury bond 0.00% due 01/23/2025
|
$
|
14,000,000
|
$
|
13,804,379
|
19.93
|
%
|
||||||
Total Government Bonds
|
13,804,379
|
19.93
|
%
|
|||||||||
Total fixed income securities
|
$
|
13,804,379
|
19.93
|
%
|
||||||||
Exchange memberships (cost $1,924,208)
|
||||||||||||
United States (cost $1,924,208)
|
||||||||||||
Financial services (cost $1,924,208)
|
$
|
2,053,636
|
2.97
|
%
|
||||||||
Total exchange memberships
|
$
|
2,053,636
|
2.97
|
%
|
||||||||
Derivative financial instruments
|
||||||||||||
Long contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
$
|
7,816,263
|
11.29
|
%
|
||||||||
Currency
|
(46,529
|
)
|
(0.07
|
)%
|
||||||||
Foreign bond
|
1,991,824
|
2.88
|
%
|
|||||||||
Foreign index
|
7,379,527
|
10.66
|
%
|
|||||||||
Interest rate
|
617,735
|
0.89
|
%
|
|||||||||
U.S. bond
|
(409,769
|
)
|
(0.59
|
)%
|
||||||||
U.S. index
|
1,686,032
|
2.43
|
%
|
|||||||||
Total futures
|
19,035,083
|
27.49
|
%
|
|||||||||
Forwards
|
||||||||||||
British pound / U.S. dollar 12/18/2024
|
£
|
115,243,000
|
3,682,360
|
5.32
|
%
|
|||||||
Other foreign currency
|
407,729
|
0.59
|
%
|
|||||||||
Total forwards
|
4,090,089
|
5.91
|
%
|
|||||||||
Swaps (cost $5,317,877)
|
||||||||||||
Interest rate
|
5,438,042
|
7.85
|
%
|
|||||||||
Total swaps
|
5,438,042
|
7.85
|
%
|
Description
|
Notional Amount
|
Fair Value
|
Percentage of
Net Assets of
Master Fund
|
|||||||||
Graham K4D Trading Ltd. (continued)
|
||||||||||||
Derivative financial instruments (continued)
|
||||||||||||
Short contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
$
|
(1,957,693
|
)
|
(2.83
|
)%
|
|||||||
Currency
|
884
|
0.00
|
%
|
|||||||||
Foreign bond
|
21,533
|
0.03
|
%
|
|||||||||
Foreign index
|
(221,566
|
)
|
(0.32
|
)%
|
||||||||
Interest rate
|
28,618
|
0.04
|
%
|
|||||||||
U.S. bond
|
1,063
|
0.00
|
%
|
|||||||||
U.S. index
|
(91,155
|
)
|
(0.13
|
)%
|
||||||||
Total futures
|
(2,218,316
|
)
|
(3.21
|
)%
|
||||||||
Forwards
|
||||||||||||
British pound / U.S. dollar 12/18/2024
|
£
|
(3,211,000
|
)
|
(36,711
|
)
|
(0.05
|
)%
|
|||||
Other foreign currency
|
(5,254,369
|
)
|
(7.59
|
)%
|
||||||||
Total forwards
|
(5,291,080
|
)
|
(7.64
|
)%
|
||||||||
Swaps (proceeds $2,421,327)
|
||||||||||||
Interest rate
|
(1,950,962
|
)
|
(2.82
|
)%
|
||||||||
Total swaps
|
(1,950,962
|
)
|
(2.82
|
)%
|
||||||||
Total derivative financial instruments
|
$
|
19,102,856
|
27.58
|
%
|
Graham
Commodity
Strategies LLC
|
Graham
Derivatives
Strategies LLC
|
Graham
K4D Trading Ltd.
|
||||||||||
Assets
|
||||||||||||
Level 1:
|
||||||||||||
Commodity futures
|
$
|
1,182,360
|
$
|
61,013
|
$
|
9,685,891
|
||||||
Commodity futures options
|
83,950
|
2,129,490
|
–
|
|||||||||
Currency futures
|
–
|
–
|
37,946
|
|||||||||
Exchange memberships*
|
8,806,413
|
362,750
|
2,053,636
|
|||||||||
Foreign bond futures
|
3,351,916
|
18,268
|
2,920,627
|
|||||||||
Foreign index futures
|
234,435
|
38,783
|
7,962,115
|
|||||||||
Interest rate futures
|
14,480
|
–
|
750,743
|
|||||||||
Interest rate futures options
|
146,211
|
300,184
|
–
|
|||||||||
U.S. bond futures
|
9,494,632
|
842,985
|
313,336
|
|||||||||
U.S. bond futures options
|
150,891
|
3,871,375
|
–
|
|||||||||
U.S. index futures
|
–
|
148,683
|
1,686,032
|
|||||||||
U.S. index futures options
|
60,458
|
12,830,813
|
–
|
|||||||||
Total Level 1
|
23,525,746
|
20,604,344
|
25,410,326
|
|||||||||
Level 2:
|
||||||||||||
Currency futures options
|
1,921,948
|
10,294,226
|
–
|
|||||||||
Foreign currency forwards
|
1,451,443
|
388,228
|
5,565,534
|
|||||||||
Government bonds*
|
–
|
–
|
13,804,379
|
|||||||||
Interest rate swaps
|
–
|
–
|
5,583,125
|
|||||||||
Total Level 2
|
3,373,391
|
10,682,454
|
24,953,038
|
|||||||||
Total investment related assets
|
$
|
26,899,137
|
$
|
31,286,798
|
$
|
50,363,364
|
||||||
Liabilities
|
||||||||||||
Level 1:
|
||||||||||||
Commodity futures
|
$
|
(145,965
|
)
|
$
|
(209,903
|
)
|
$
|
(3,827,321
|
)
|
|||
Commodity futures options
|
(95,620
|
)
|
(1,301,860
|
)
|
–
|
|||||||
Currency futures
|
–
|
–
|
(83,591
|
)
|
||||||||
Foreign bond futures
|
(1,613,321
|
)
|
(37,595
|
)
|
(907,270
|
)
|
||||||
Foreign index futures
|
(2,766,776
|
)
|
(491,213
|
)
|
(804,154
|
)
|
||||||
Interest rate futures
|
(234,509
|
)
|
–
|
(104,390
|
)
|
|||||||
Interest rate futures options
|
(142,852
|
)
|
(83,624
|
)
|
–
|
|||||||
U.S. bond futures
|
(13,106,312
|
)
|
(234,508
|
)
|
(722,042
|
)
|
||||||
U.S. bond futures options
|
(109,711
|
)
|
(1,501,391
|
)
|
–
|
|||||||
U.S. index futures
|
(502,113
|
)
|
(56,888
|
)
|
(91,155
|
)
|
||||||
U.S. index futures options
|
(8,440
|
)
|
(9,562,113
|
)
|
–
|
|||||||
Total Level 1
|
(18,725,619
|
)
|
(13,479,095
|
)
|
(6,539,923
|
)
|
||||||
Level 2:
|
||||||||||||
Currency futures options
|
(1,064,200
|
)
|
(839,310
|
)
|
–
|
|||||||
Foreign currency forwards
|
(319,108
|
)
|
(170,580
|
)
|
(6,766,525
|
)
|
||||||
Interest rate swaps
|
–
|
–
|
(2,096,045
|
)
|
||||||||
Total Level 2
|
(1,383,308
|
)
|
(1,009,890
|
)
|
(8,862,570
|
)
|
||||||
Total investment related liabilities
|
$
|
(20,108,927
|
)
|
$
|
(14,488,985
|
)
|
$
|
(15,402,493
|
)
|
Long exposure
|
Short exposure
|
|||||||||||||||||||||||
Notional
amounts
|
Number
of
contracts
|
Notional
amounts
|
Number
of
contracts
|
Derivative
Assets
|
Derivative
Liabilities
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
132,767,385
|
970
|
$
|
(10,089,733
|
)
|
(130
|
)
|
$
|
1,182,360
|
$
|
(145,965
|
)
|
|||||||||||
Options (a)
|
1,009,746
|
41
|
(838,594
|
)
|
(75
|
)
|
83,950
|
(95,620
|
)
|
|||||||||||||||
133,777,131
|
1,011
|
(10,928,327
|
)
|
(205
|
)
|
1,266,310
|
(241,585
|
)
|
||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
122,061,270
|
633
|
(227,888,976
|
)
|
(1,752
|
)
|
234,435
|
(3,268,889
|
)
|
|||||||||||||||
Options (a)
|
6,492,159
|
310
|
(10,232,498
|
)
|
(534
|
)
|
60,458
|
(8,440
|
)
|
|||||||||||||||
128,553,429
|
943
|
(238,121,474
|
)
|
(2,286
|
)
|
294,893
|
(3,277,329
|
)
|
||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
432,501,959
|
N/A
|
(570,366,887
|
)
|
N/A
|
1,451,443
|
(319,108
|
)
|
||||||||||||||||
Options (a)
|
73,146,515
|
37
|
(68,048,395
|
)
|
(31
|
)
|
1,921,948
|
(1,064,200
|
)
|
|||||||||||||||
505,648,474
|
37
|
(638,415,282
|
)
|
(31
|
)
|
3,373,391
|
(1,383,308
|
)
|
||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
4,012,430,881
|
22,371
|
(503,479,884
|
)
|
(3,149
|
)
|
12,861,028
|
(14,954,142
|
)
|
|||||||||||||||
Options (a)
|
35,289,273
|
721
|
(35,206,526
|
)
|
(1,584
|
)
|
297,102
|
(252,563
|
)
|
|||||||||||||||
4,047,720,154
|
23,092
|
(538,686,410
|
)
|
(4,733
|
)
|
13,158,130
|
(15,206,705
|
)
|
||||||||||||||||
Total
|
$
|
4,815,699,188
|
25,083
|
$
|
(1,426,151,493
|
)
|
(7,255
|
)
|
$
|
18,092,724
|
$
|
(20,108,927
|
)
|
(a)
|
Notional amounts for options are based on the delta-adjusted positions.
|
Long exposure
|
Short exposure
|
|||||||||||||||||||||||
Notional
amounts
|
Number
of
contracts
|
Notional
amounts
|
Number
of
contracts
|
Derivative
Assets
|
Derivative
Liabilities
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
56,790,272
|
395
|
$
|
(13,938,892
|
)
|
(104
|
)
|
$
|
61,013
|
$
|
(209,903
|
)
|
|||||||||||
Options (a)
|
103,999,797
|
1,830
|
(63,437,054
|
)
|
(2,235
|
)
|
2,129,490
|
(1,301,860
|
)
|
|||||||||||||||
160,790,069
|
2,225
|
(77,375,946
|
)
|
(2,339
|
)
|
2,190,503
|
(1,511,763
|
)
|
||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
147,289,323
|
1,542
|
(49,111,007
|
)
|
(554
|
)
|
187,466
|
(548,101
|
)
|
|||||||||||||||
Options (a)
|
313,992,032
|
2,932
|
(291,457,554
|
)
|
(3,101
|
)
|
12,830,813
|
(9,562,113
|
)
|
|||||||||||||||
461,281,355
|
4,474
|
(340,568,561
|
)
|
(3,655
|
)
|
13,018,279
|
(10,110,214
|
)
|
||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
263,679,587
|
N/A
|
(431,508,306
|
)
|
N/A
|
388,228
|
(170,580
|
)
|
||||||||||||||||
Options (a)
|
575,108,939
|
23
|
(464,716,233
|
)
|
(20
|
)
|
10,294,226
|
(839,310
|
)
|
|||||||||||||||
838,788,526
|
23
|
(896,224,539
|
)
|
(20
|
)
|
10,682,454
|
(1,009,890
|
)
|
||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
356,074,702
|
1,953
|
(439,607,201
|
)
|
(2,780
|
)
|
861,253
|
(272,103
|
)
|
|||||||||||||||
Options (a)
|
609,448,985
|
21,851
|
(590,986,789
|
)
|
(21,076
|
)
|
4,171,559
|
(1,585,015
|
)
|
|||||||||||||||
965,523,687
|
23,804
|
(1,030,593,990
|
)
|
(23,856
|
)
|
5,032,812
|
(1,857,118
|
)
|
||||||||||||||||
Total
|
$
|
2,426,383,637
|
30,526
|
$
|
(2,344,763,036
|
)
|
(29,870
|
)
|
$
|
30,924,048
|
$
|
(14,488,985
|
)
|
(a)
|
Notional amounts for options are based on the delta-adjusted positions.
|
Long exposure
|
Short exposure
|
|||||||||||||||||||||||
Notional
amounts
|
Number
of
contracts
|
Notional
amounts
|
Number
of
contracts
|
Derivative
Assets
|
Derivative
Liabilities
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
194,963,797
|
1,995
|
$
|
(110,634,873
|
)
|
(2,730
|
)
|
$
|
9,685,891
|
$
|
(3,827,321
|
)
|
|||||||||||
194,963,797
|
1,995
|
(110,634,873
|
)
|
(2,730
|
)
|
9,685,891
|
(3,827,321
|
)
|
||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
401,594,863
|
3,011
|
(35,851,021
|
)
|
(382
|
)
|
9,648,147
|
(895,309
|
)
|
|||||||||||||||
401,594,863
|
3,011
|
(35,851,021
|
)
|
(382
|
)
|
9,648,147
|
(895,309
|
)
|
||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
241,806,700
|
N/A
|
(533,973,820
|
)
|
N/A
|
5,565,534
|
(6,766,525
|
)
|
||||||||||||||||
Futures
|
16,890,723
|
169
|
(3,995,880
|
)
|
(56
|
)
|
37,946
|
(83,591
|
)
|
|||||||||||||||
258,697,423
|
169
|
(537,969,700
|
)
|
(56
|
)
|
5,603,480
|
(6,850,116
|
)
|
||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
841,175,389
|
4,778
|
(1,251,027,885
|
)
|
(6,753
|
)
|
3,984,706
|
(1,733,702
|
)
|
|||||||||||||||
Swaps
|
176,736,781
|
65
|
(188,362,016
|
)
|
(55
|
)
|
5,583,125
|
(2,096,045
|
)
|
|||||||||||||||
1,017,912,170
|
4,843
|
(1,439,389,901
|
)
|
(6,808
|
)
|
9,567,831
|
(3,829,747
|
)
|
||||||||||||||||
Total
|
$
|
1,873,168,253
|
10,018
|
$
|
(2,123,845,495
|
)
|
(9,976
|
)
|
$
|
34,505,349
|
$
|
(15,402,493
|
)
|
Description
|
Gross
Amount
|
Gross Amount
Offset in
the Statements
of Financial
Condition
|
Net Amount
Presented in
the Statements
of Financial
Condition
|
Collateral
(Received) /
Pledged
|
Net Amount
|
|||||||||||||||
Graham Commodity Strategies LLC1
|
||||||||||||||||||||
Derivative assets
|
$
|
18,092,724
|
$
|
(16,102,641
|
)
|
$
|
1,990,083
|
$
|
–
|
$
|
1,990,083
|
|||||||||
Derivative liabilities
|
$
|
(20,108,927
|
)
|
$
|
16,102,641
|
$
|
(4,006,286
|
)
|
$
|
4,006,286
|
$
|
–
|
||||||||
Graham Derivatives Strategies LLC2
|
||||||||||||||||||||
Derivative assets
|
$
|
30,924,048
|
$
|
(14,488,985
|
)
|
$
|
16,435,063
|
$
|
–
|
$
|
16,435,063
|
|||||||||
Derivative liabilities
|
$
|
(14,488,985
|
)
|
$
|
14,488,985
|
$
|
–
|
$
|
–
|
$
|
–
|
|||||||||
Graham K4D Trading Ltd.3
|
||||||||||||||||||||
Derivative assets
|
$
|
34,505,349
|
$
|
(15,402,493
|
)
|
$
|
19,102,856
|
$
|
–
|
$
|
19,102,856
|
|||||||||
Derivative liabilities
|
$
|
(15,402,493
|
)
|
$
|
15,402,493
|
$
|
–
|
$
|
–
|
$
|
–
|
Graham
Commodity
Strategies LLC
|
Graham
Derivatives
Strategies LLC
|
Graham K4D
Trading Ltd.
|
||||||||||
Net investment income
|
$
|
893,350
|
$
|
136,476
|
$
|
318,983
|
||||||
Net realized (loss) gain on investments
|
(3,411,518
|
)
|
8,772,859
|
(78,295,717
|
)
|
|||||||
Net (decrease) increase in unrealized appreciation on investments
|
(7,232,593
|
)
|
(3,067,987
|
)
|
9,371,963
|
|||||||
Brokerage commissions and fees
|
(292,443
|
)
|
(904,964
|
)
|
(92,098
|
)
|
||||||
Net (loss) gain on investments
|
(10,936,554
|
)
|
4,799,908
|
(69,015,852
|
)
|
|||||||
Net (loss) income
|
$
|
(10,043,204
|
)
|
$
|
4,936,384
|
$
|
(68,696,869
|
)
|
Graham
Commodity
Strategies LLC |
Graham
Derivatives
Strategies LLC
|
Graham K4D
Trading Ltd. |
||||||||||
Net investment income
|
$
|
2,468,416
|
$
|
548,764
|
$
|
661,597
|
||||||
Net realized gain (loss) on investments
|
49,451,520
|
(16,831,919
|
)
|
(32,201,782
|
)
|
|||||||
Net (decrease) increase in unrealized appreciation on investments
|
(4,322,866
|
)
|
(4,294,445
|
)
|
35,802,085
|
|||||||
Brokerage commissions and fees
|
(802,607
|
)
|
(2,533,456
|
)
|
(282,354
|
)
|
||||||
Net gain (loss) on investments
|
44,326,047
|
(23,659,820
|
)
|
3,317,949
|
||||||||
Net income (loss)
|
$
|
46,794,463
|
$
|
(23,111,056
|
)
|
$
|
3,979,546
|
Graham Commodity
Strategies LLC
|
Graham Derivatives
Strategies LLC
|
Graham K4D
Trading Ltd.
|
||||||||||||||||||||||
Net realized
gain
|
Net decrease in
unrealized
appreciation
on
investments
|
Net realized
loss
|
Net decrease in
unrealized
appreciation
on
investments
|
Net realized
loss
|
Net increase
in unrealized
appreciation
on
investments
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
8,056,520
|
$
|
1,164,843
|
$
|
1,058,142
|
$
|
(175,372
|
)
|
$
|
(8,619,059
|
)
|
$
|
2,016,866
|
||||||||||
Options
|
95,451
|
(23,930
|
)
|
2,136,750
|
937,950
|
–
|
–
|
|||||||||||||||||
8,151,971
|
1,140,913
|
3,194,892
|
762,578
|
(8,619,059
|
)
|
2,016,866
|
||||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
(1,933,283
|
)
|
(3,952,561
|
)
|
(5,105,596
|
)
|
(194,413
|
)
|
(31,535,456
|
)
|
9,472,479
|
|||||||||||||
Options
|
(200,356
|
)
|
(41,745
|
)
|
759,837
|
(718,497
|
)
|
–
|
–
|
|||||||||||||||
(2,133,639
|
)
|
(3,994,306
|
)
|
(4,345,759
|
)
|
(912,910
|
)
|
(31,535,456
|
)
|
9,472,479
|
||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
(1,759,438
|
)
|
840,597
|
(3,349
|
)
|
215,820
|
(13,572,824
|
)
|
(7,497,714
|
)
|
||||||||||||||
Futures
|
–
|
–
|
–
|
–
|
(589,139
|
)
|
(184,838
|
)
|
||||||||||||||||
Options
|
(103,140
|
)
|
266,766
|
(8,271,763
|
)
|
(4,290,573
|
)
|
–
|
–
|
|||||||||||||||
(1,862,578
|
)
|
1,107,363
|
(8,275,112
|
)
|
(4,074,753
|
)
|
(14,161,963
|
)
|
(7,682,552
|
)
|
||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
19,334,197
|
(7,594,683
|
)
|
1,659,930
|
239,673
|
(23,183,617
|
)
|
5,138,540
|
||||||||||||||||
Options
|
49,443
|
39,247
|
1,143,007
|
53,241
|
–
|
–
|
||||||||||||||||||
Swaps
|
–
|
–
|
–
|
–
|
(285,374
|
)
|
131,051
|
|||||||||||||||||
19,383,640
|
(7,555,436
|
)
|
2,802,937
|
292,914
|
(23,468,991
|
)
|
5,269,591
|
|||||||||||||||||
Total
|
$
|
23,539,394
|
$
|
(9,301,466
|
)
|
$
|
(6,623,042
|
)
|
$
|
(3,932,171
|
)
|
$
|
(77,785,469
|
)
|
$
|
9,076,384
|
Graham Commodity
Strategies LLC
|
Graham Derivatives
Strategies LLC
|
Graham K4D
Trading Ltd.
|
||||||||||||||||||||||
Net realized
gain
|
Net decrease in
unrealized
appreciation
on
investments
|
Net realized
loss
|
Net decrease in
unrealized
appreciation
on
investments
|
Net realized
loss
|
Net increase in
unrealized
appreciation
on
investments
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
15,240,927
|
$
|
1,040,896
|
$
|
10,429,896
|
$
|
(202,975
|
)
|
$
|
1,252,950
|
$
|
10,689,598
|
|||||||||||
Options
|
62,878
|
(21,230
|
)
|
6,407,243
|
541,862
|
–
|
–
|
|||||||||||||||||
15,303,805
|
1,019,666
|
16,837,139
|
338,887
|
1,252,950
|
10,689,598
|
|||||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
9,668,676
|
(4,083,936
|
)
|
(7,796,564
|
)
|
(360,635
|
)
|
1,708,514
|
7,294,126
|
|||||||||||||||
Options
|
(262,481
|
)
|
46,568
|
(4,681,795
|
)
|
1,392,834
|
–
|
–
|
||||||||||||||||
9,406,195
|
(4,037,368
|
)
|
(12,478,359
|
)
|
1,032,199
|
1,708,514
|
7,294,126
|
|||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
(8,467,143
|
)
|
(764,040
|
)
|
2,092,677
|
269,668
|
(12,526,423
|
)
|
7,466,442
|
|||||||||||||||
Futures
|
–
|
–
|
–
|
–
|
(224,103
|
)
|
210,238
|
|||||||||||||||||
Options
|
(399,730
|
)
|
52,818
|
(33,189,436
|
)
|
(7,217,054
|
)
|
–
|
–
|
|||||||||||||||
(8,866,873
|
)
|
(711,222
|
)
|
(31,096,759
|
)
|
(6,947,386
|
)
|
(12,750,526
|
)
|
7,676,680
|
||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
40,930,419
|
(3,099,635
|
)
|
(8,334,632
|
)
|
827,493
|
(22,298,827
|
)
|
9,361,953
|
|||||||||||||||
Options
|
146,974
|
93,876
|
2,188,476
|
(452,681
|
)
|
–
|
–
|
|||||||||||||||||
Swaps
|
–
|
–
|
–
|
–
|
(167,010
|
)
|
436,935
|
|||||||||||||||||
41,077,393
|
(3,005,759
|
)
|
(6,146,156
|
)
|
374,812
|
(22,465,837
|
)
|
9,798,888
|
||||||||||||||||
Total
|
$
|
56,920,520
|
$
|
(6,734,683
|
)
|
$
|
(32,884,135
|
)
|
$
|
(5,201,488
|
)
|
$
|
(32,254,899
|
)
|
$
|
35,459,292
|
Graham
Commodity
Strategies LLC
(Delaware)
|
Graham
Derivatives
Strategies LLC
(Delaware)
|
Graham K4D
Trading Ltd.
(BVI)
|
||||||||||
Assets:
|
||||||||||||
Due from brokers
|
$
|
67,777,624
|
$
|
8,226,511
|
$
|
55,367,914
|
||||||
Derivative financial instruments, at fair value
|
3,978,730
|
17,283,720
|
–
|
|||||||||
Fixed income securities owned, at fair value
|
–
|
–
|
17,871,161
|
|||||||||
Exchange memberships, at fair value
|
8,262,668
|
309,500
|
1,857,583
|
|||||||||
Interest receivable
|
191,095
|
30,734
|
193,267
|
|||||||||
Dividend receivable
|
130,451
|
–
|
18,577
|
|||||||||
Total assets
|
80,340,568
|
25,850,465
|
75,308,502
|
|||||||||
Liabilities:
|
||||||||||||
Derivative financial instruments, at fair value
|
–
|
–
|
19,078,924
|
|||||||||
Interest payable
|
12,034
|
4,841
|
95,578
|
|||||||||
Total liabilities
|
12,034
|
4,841
|
19,174,502
|
|||||||||
Members’ Capital / Net Assets
|
$
|
80,328,534
|
$
|
25,845,624
|
$
|
56,134,000
|
||||||
Percentage of Master Fund held by GAIT
|
3.15
|
%
|
3.29
|
%
|
5.72
|
%
|
Description
|
Number of
Contracts
|
Fair Value
|
Percentage
of Members’
Capital of
Master Fund |
|||||||||
Graham Commodity Strategies LLC
|
||||||||||||
Exchange memberships (cost $3,649,411)
|
||||||||||||
United States (cost $3,649,411)
|
||||||||||||
Financial services (cost $3,649,411)
|
$
|
8,262,668
|
10.29
|
%
|
||||||||
Total exchange memberships
|
$
|
8,262,668
|
10.29
|
%
|
||||||||
Derivative financial instruments
|
||||||||||||
Long contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
$
|
(4,505
|
)
|
(0.01
|
)%
|
|||||||
Foreign bond
|
677,960
|
0.84
|
%
|
|||||||||
Foreign index
|
65,005
|
0.08
|
%
|
|||||||||
Interest rate
|
29,888
|
0.04
|
%
|
|||||||||
U.S. bond
|
||||||||||||
U.S. 2 yr Note (CBT) March 2024
|
15,357
|
11,168,461
|
13.90
|
%
|
||||||||
U.S. 5 yr – 10 yr Note (CBT) March 2024
|
107
|
141,258
|
0.18
|
%
|
||||||||
U.S. index
|
205,373
|
0.26
|
%
|
|||||||||
Total futures
|
12,283,440
|
15.29
|
%
|
|||||||||
Forwards
|
||||||||||||
Foreign currency
|
(797,157
|
)
|
(0.99
|
)%
|
||||||||
Total forwards
|
(797,157
|
)
|
(0.99
|
)%
|
||||||||
Options (cost $174,493)
|
||||||||||||
Currency futures
|
50,504
|
0.06
|
%
|
|||||||||
Foreign bond futures
|
12,874
|
0.02
|
%
|
|||||||||
U.S. bond futures
|
||||||||||||
U.S. 5 yr Note January 2024, $108.00 Put
|
1
|
10,313
|
0.01
|
%
|
||||||||
Total options
|
$
|
73,691
|
0.09
|
%
|
Description
|
Number of
Contracts
|
Fair Value
|
Percentage
of Members’
Capital of
Master Fund
|
|||||||||
Graham Commodity Strategies LLC (continued)
|
||||||||||||
Derivative financial instruments (continued)
|
||||||||||||
Short contracts
|
||||||||||||
Futures
|
||||||||||||
Foreign bond
|
$
|
(1,853,184
|
)
|
(2.31
|
)%
|
|||||||
Foreign index
|
2,695
|
0.00
|
%
|
|||||||||
Interest rate
|
(70,926
|
)
|
(0.09
|
)%
|
||||||||
U.S. bond
|
||||||||||||
U.S. 10 yr Note (CBT) March 2024
|
(2,711
|
)
|
77,750
|
0.10
|
%
|
|||||||
U.S. 10 yr Ultra March 2024
|
(1,822
|
)
|
(619,281
|
)
|
(0.77
|
)%
|
||||||
U.S. Long bond (CBT) March 2024
|
(17
|
)
|
(46,438
|
)
|
(0.06
|
)%
|
||||||
U.S. Ultra bond (CBT) March 2024
|
(2,691
|
)
|
(8,498,969
|
)
|
(10.58
|
)%
|
||||||
U.S. index
|
776,415
|
0.97
|
%
|
|||||||||
Total futures
|
(10,231,938
|
)
|
(12.74
|
)%
|
||||||||
Forwards
|
||||||||||||
Foreign currency
|
2,693,532
|
3.35
|
%
|
|||||||||
Total forwards
|
2,693,532
|
3.35
|
%
|
|||||||||
Options (proceeds $65,573)
|
||||||||||||
Currency futures
|
(22,321
|
)
|
(0.02
|
)%
|
||||||||
Foreign bond futures
|
(14,017
|
)
|
(0.02
|
)%
|
||||||||
U.S. bond futures
|
||||||||||||
U.S. 5 yr Note January 2024, $107.50 Put
|
(1
|
)
|
(6,500
|
)
|
(0.01
|
)%
|
||||||
Total options
|
(42,838
|
)
|
(0.05
|
)%
|
||||||||
Total derivative financial instruments
|
$
|
3,978,730
|
4.95
|
%
|
Description
|
Number of
Contracts
|
Fair Value
|
Percentage
of Members’
Capital of
Master Fund
|
|||||||||
Graham Derivatives Strategies LLC
|
||||||||||||
Exchange memberships (cost $305,000)
|
||||||||||||
United States (cost $305,000)
|
||||||||||||
Financial services (cost $305,000)
|
$
|
309,500
|
1.20
|
%
|
||||||||
Total exchange memberships
|
$
|
309,500
|
1.20
|
%
|
||||||||
Derivative financial instruments
|
||||||||||||
Long contracts
|
||||||||||||
Futures
|
||||||||||||
U.S. bond
|
$
|
51,625
|
0.20
|
%
|
||||||||
Total futures
|
51,625
|
0.20
|
%
|
|||||||||
Forwards
|
||||||||||||
Foreign currency
|
(56,004
|
)
|
(0.22
|
)%
|
||||||||
Total forwards
|
(56,004
|
)
|
(0.22
|
)%
|
||||||||
Options (cost $24,320,709)
|
||||||||||||
Commodity futures
|
||||||||||||
Gold Future (CMX) February 2024, $2,100.00 Call
|
1
|
1,372,800
|
5.31
|
%
|
||||||||
Other commodity futures
|
170,470
|
0.66
|
%
|
|||||||||
Currency futures
|
||||||||||||
Australian dollar / U.S. dollar (Digital) February 2024, $0.70 - $0.71 Call
|
2
|
1,771,906
|
6.86
|
%
|
||||||||
Euro dollar / Japanese yen January 2024 - February 2024, $151.00 – $152.00 Put
|
3
|
1,755,256
|
6.79
|
%
|
||||||||
Euro dollar / Japanese yen (Digital) January 2024, $152.50 Put
|
1
|
744,969
|
2.88
|
%
|
||||||||
British pound / U.S. dollar (Digital) January 2024, $1.29 Call
|
1
|
876,558
|
3.39
|
%
|
||||||||
British pound / U.S. dollar January 2024, $1.29 Call
|
1
|
620,117
|
2.40
|
%
|
||||||||
U.S. dollar / Japanese yen (Digital) April 2024 - October 2024, $160.00 – $170.00 Call
|
2
|
115,800
|
0.45
|
%
|
||||||||
U.S. dollar / Japanese yen February 2024, $153.75 Call
|
1
|
5,130
|
0.02
|
%
|
||||||||
U.S. dollar / Japanese yen (Digital) March 2024, $136.00 Put
|
1
|
3,320,200
|
12.85
|
%
|
||||||||
U.S. dollar / Japanese yen (Digital) February 2024, $138.00 Put
|
1
|
1,583,373
|
6.13
|
%
|
||||||||
U.S. dollar / Japanese yen (Digital) January 2024, $140.00 Put
|
1
|
1,624,029
|
6.28
|
%
|
||||||||
U.S. dollar / Japanese yen (Digital) January 2024, $137.00 Put
|
1
|
300,651
|
1.16
|
%
|
||||||||
U.S. dollar / Japanese yen January 2024, $142.00 Put
|
1
|
1,957,039
|
7.57
|
%
|
||||||||
U.S. dollar / Japanese yen March 2024, $139.00 Put
|
1
|
1,571,700
|
6.08
|
%
|
||||||||
U.S. dollar / Mexican peso (Digital) April 2024, $16.65 Put
|
1
|
1,627,995
|
6.30
|
%
|
||||||||
U.S. dollar / Mexican peso (Digital) February 2024, $16.60 Put
|
1
|
1,117,798
|
4.32
|
%
|
||||||||
U.S. dollar / Mexican peso February 2024, $16.75 Put
|
1
|
866,850
|
3.35
|
%
|
||||||||
Other currency futures
|
106,233
|
0.42
|
%
|
Description
|
Number of
Contracts
|
Fair Value
|
Percentage
of Members’
Capital of
Master Fund
|
|||||||||
Graham Derivatives Strategies LLC (continued)
|
||||||||||||
Derivative financial instruments (continued)
|
||||||||||||
Long contracts (continued)
|
||||||||||||
Options (continued)
|
||||||||||||
U.S. index futures
|
||||||||||||
S&P 500 E-mini June 2024, $5,200.00 Call
|
1
|
$
|
1,338,638
|
5.18
|
%
|
|||||||
S&P 500 E-mini June 2024, $4,400.00 Put
|
1
|
2,036,700
|
7.88
|
%
|
||||||||
Total options
|
24,884,212
|
96.28
|
%
|
|||||||||
Short contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
54,090
|
0.21
|
%
|
|||||||||
Foreign bond
|
(9,715
|
)
|
(0.04
|
)%
|
||||||||
U.S. bond
|
(280,258
|
)
|
(1.08
|
)%
|
||||||||
Total futures
|
(235,883
|
)
|
(0.91
|
)%
|
||||||||
Forwards
|
||||||||||||
Foreign currency
|
3,984
|
0.02
|
%
|
|||||||||
Total forwards
|
3,984
|
0.02
|
%
|
|||||||||
Options (proceeds $9,527,626)
|
||||||||||||
Commodity futures
|
||||||||||||
Gold Future (CMX) February 2024, $2,150.00 Call
|
(1
|
)
|
(622,050
|
)
|
(2.41
|
)%
|
||||||
Other commodity
|
(21,270
|
)
|
(0.08
|
)%
|
||||||||
Currency futures
|
||||||||||||
British pound / U.S. dollar January 2024, $1.31 Call
|
(1
|
)
|
(144,386
|
)
|
(0.56
|
)%
|
||||||
Euro / Japanese yen January 2024 - February 2024, $147.00 – $148.00 Put
|
(2
|
)
|
(846,799
|
)
|
(3.28
|
)%
|
||||||
U.S. dollar / Japanese yen February 2024, $158.25 Call
|
(1
|
)
|
(255
|
)
|
(0.00
|
)%
|
||||||
U.S. dollar / Japanese yen January 2024 - March 2024, $135.00 – $138.00 Put
|
(2
|
)
|
(2,082,822
|
)
|
(8.06
|
)%
|
||||||
U.S. dollar / Mexican peso February 2024, $16.25 Put
|
(1
|
)
|
(172,744
|
)
|
(0.67
|
)%
|
||||||
U.S. index futures
|
||||||||||||
S&P 500 E-mini June 2024, $5,100.00 Call
|
(1
|
)
|
(2,225,588
|
)
|
(8.61
|
)%
|
||||||
S&P 500 E-mini June 2024, $4,150.00 Put
|
(1
|
)
|
(1,248,300
|
)
|
(4.83
|
)%
|
||||||
Total options
|
(7,364,214
|
)
|
(28.50
|
)%
|
||||||||
Total derivative financial instruments
|
$
|
17,283,720
|
66.87
|
%
|
Description
|
Principal Amount/
Number of Contracts/
Notional Amounts
|
Fair Value
|
Percentage of
Net Assets of
Master Fund
|
|||||||||
Graham K4D Trading Ltd.
|
||||||||||||
Fixed income securities (cost $17,749,920)
|
||||||||||||
Government Bonds (cost $17,749,920)
|
||||||||||||
United States (cost $17,749,920)
|
||||||||||||
U.S. Treasury Bills 0.00% due 02/20/2024
|
$
|
18,000,000
|
$
|
17,871,161
|
31.84
|
%
|
||||||
Total Government Bonds
|
17,871,161
|
31.84
|
%
|
|||||||||
Total fixed income securities
|
$
|
17,871,161
|
31.84
|
%
|
||||||||
Exchange memberships (cost $1,924,208)
|
||||||||||||
United States (cost $1,924,208)
|
||||||||||||
Financial services (cost $1,924,208)
|
$
|
1,857,583
|
3.31
|
%
|
||||||||
Total exchange memberships
|
$
|
1,857,583
|
3.31
|
%
|
||||||||
Derivative financial instruments
|
||||||||||||
Long contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
$
|
(2,604,370
|
)
|
(4.64
|
)%
|
|||||||
Currency
|
(221,661
|
)
|
(0.39
|
)%
|
||||||||
Foreign bond
|
1,513,055
|
2.70
|
%
|
|||||||||
Foreign index
|
1,113,650
|
1.98
|
%
|
|||||||||
Interest rate
|
680,630
|
1.21
|
%
|
|||||||||
U.S. bond
|
||||||||||||
U.S. Ultra bond (CBT) March 2024
|
12
|
52,891
|
0.09
|
%
|
||||||||
U.S. index
|
1,454,042
|
2.59
|
%
|
|||||||||
Total futures
|
1,988,237
|
3.54
|
%
|
|||||||||
Swaps (cost $1,800,380)
|
||||||||||||
Interest rate
|
2,181,752
|
3.89
|
%
|
|||||||||
Total swaps
|
2,181,752
|
3.89
|
%
|
|||||||||
Forwards
|
||||||||||||
Swiss franc / U.S. dollar 3/20/2024
|
₣
|
18,113,000
|
172,710
|
0.31
|
%
|
|||||||
Swiss franc / U.S. dollar 1/4/2024
|
₣
|
4,741,000
|
(13,931
|
)
|
(0.02
|
)%
|
||||||
Swiss franc / U.S. dollar 1/3/2024
|
₣
|
3,596,000
|
(21,089
|
)
|
(0.04
|
)%
|
||||||
Other foreign currency
|
1,706,013
|
3.03
|
%
|
|||||||||
Total forwards
|
1,843,703
|
3.28
|
%
|
Description
|
Number of Contracts/
Notional Amounts
|
Fair Value
|
Percentage of
Net Assets of
Master Fund
|
|||||||||
Graham K4D Trading Ltd. (continued)
|
||||||||||||
Derivative financial instruments (continued)
|
||||||||||||
Short contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
$
|
(2,226,656
|
)
|
(3.97
|
)%
|
|||||||
Currency
|
(34,224
|
)
|
(0.06
|
)%
|
||||||||
Foreign bond
|
(2,133,085
|
)
|
(3.80
|
)%
|
||||||||
Foreign index
|
(523,201
|
)
|
(0.93
|
)%
|
||||||||
Interest rate
|
(1,574,712
|
)
|
(2.81
|
)%
|
||||||||
U.S. bond
|
||||||||||||
U.S 2yr - 10yr Note (CBT) March 2024
|
(2,895
|
)
|
(5,052,790
|
)
|
(9.00
|
)%
|
||||||
U.S. Long bond (CBT) March 2024
|
(4
|
)
|
(596,937
|
)
|
(1.06
|
)%
|
||||||
U.S. index
|
(585,780
|
)
|
(1.04
|
)%
|
||||||||
Total futures
|
(12,727,385
|
)
|
(22.67
|
)%
|
||||||||
|
||||||||||||
Swaps (proceeds $1,626,318)
|
||||||||||||
Interest rate
|
(1,854,095
|
)
|
(3.30
|
)%
|
||||||||
Total swaps
|
(1,854,095
|
)
|
(3.30
|
)%
|
||||||||
|
||||||||||||
Forwards
|
||||||||||||
Swiss franc / U.S. dollar 3/20/2024
|
₣
|
(69,733,000
|
)
|
(3,150,299
|
)
|
(5.61
|
)%
|
|||||
Swiss franc / U.S. dollar 1/4/2024
|
₣
|
(4,741,000
|
)
|
(5,033
|
)
|
(0.01
|
)%
|
|||||
Swiss franc / U.S. dollar 1/3/2024
|
₣
|
(3,596,000
|
)
|
10,015
|
0.02
|
%
|
||||||
Other foreign currency
|
(7,365,819
|
)
|
(13.13
|
)%
|
||||||||
Total forwards
|
(10,511,136
|
)
|
(18.73
|
)%
|
||||||||
Total derivative financial instruments
|
$
|
(19,078,924
|
)
|
(33.99
|
)%
|
Graham
Commodity Strategies LLC |
Graham
Derivatives
Strategies LLC
|
Graham
K4D Trading
Ltd.
|
||||||||||
Assets
|
||||||||||||
Level 1:
|
||||||||||||
Commodity futures
|
$
|
171,705
|
$
|
54,090
|
$
|
1,998,827
|
||||||
Commodity futures options
|
–
|
1,543,270
|
–
|
|||||||||
Currency futures
|
–
|
–
|
24,143
|
|||||||||
Exchange memberships*
|
8,262,668
|
309,500
|
1,857,583
|
|||||||||
Foreign bond futures
|
1,478,131
|
–
|
1,850,384
|
|||||||||
Foreign bond futures options
|
12,873
|
–
|
–
|
|||||||||
Foreign index futures
|
67,700
|
–
|
2,199,865
|
|||||||||
Interest rate futures
|
29,888
|
–
|
680,630
|
|||||||||
U.S. bond futures
|
11,390,249
|
302,531
|
52,891
|
|||||||||
U.S. bond futures options
|
10,313
|
–
|
–
|
|||||||||
U.S. index futures
|
981,788
|
–
|
1,454,042
|
|||||||||
U.S. index futures options
|
–
|
3,375,338
|
–
|
|||||||||
Total Level 1
|
22,405,315
|
5,584,729
|
10,118,365
|
|||||||||
Level 2:
|
||||||||||||
Government bonds*
|
–
|
–
|
17,871,161
|
|||||||||
Foreign currency forwards
|
5,192,010
|
1,324,819
|
2,262,695
|
|||||||||
Currency futures options
|
50,504
|
19,965,603
|
–
|
|||||||||
Interest rate swap
|
–
|
–
|
2,213,846
|
|||||||||
Total Level 2
|
5,242,514
|
21,290,422
|
22,347,702
|
|||||||||
Total investment related assets
|
$
|
27,647,829
|
$
|
26,875,151
|
$
|
32,466,067
|
||||||
Liabilities
|
||||||||||||
Level 1:
|
||||||||||||
Commodity futures
|
$
|
(176,210
|
)
|
$
|
–
|
$
|
(6,829,853
|
)
|
||||
Commodity futures options
|
–
|
(643,320
|
)
|
–
|
||||||||
Currency futures
|
–
|
–
|
(280,028
|
)
|
||||||||
Foreign bond futures
|
(2,653,355
|
)
|
(9,715
|
)
|
(2,470,414
|
)
|
||||||
Foreign index futures
|
–
|
–
|
(1,609,416
|
)
|
||||||||
Foreign bond futures options
|
(14,016
|
)
|
–
|
–
|
||||||||
Interest rate futures
|
(70,926
|
)
|
–
|
(1,574,712
|
)
|
|||||||
U.S. bond futures
|
(9,167,468
|
)
|
(531,164
|
)
|
(5,649,727
|
)
|
||||||
U.S. bond futures options
|
(6,500
|
)
|
–
|
–
|
||||||||
U.S. index futures
|
–
|
–
|
(585,780
|
)
|
||||||||
U.S. index futures options
|
–
|
(3,473,888
|
)
|
–
|
||||||||
Total Level 1
|
(12,088,475
|
)
|
(4,658,087
|
)
|
(18,999,930
|
)
|
||||||
Level 2:
|
||||||||||||
Foreign currency forwards
|
(3,295,635
|
)
|
(1,376,839
|
)
|
(10,930,128
|
)
|
||||||
Currency futures options
|
(22,321
|
)
|
(3,247,005
|
)
|
–
|
|||||||
Interest rate swap
|
–
|
–
|
(1,886,189
|
)
|
||||||||
Total Level 2
|
(3,317,956
|
)
|
(4,623,844
|
)
|
(12,816,317
|
)
|
||||||
Total investment related liabilities
|
$
|
(15,406,431
|
)
|
$
|
(9,281,931
|
)
|
$
|
(31,816,247
|
)
|
Long exposure
|
Short exposure
|
|||||||||||||||||||||||
Notional
Amounts
|
Number
of
contracts
|
Notional
amounts
|
Number
of
contracts
|
Derivative
assets
|
Derivative
liabilities
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
109,702,429
|
807
|
$
|
(15,070,036
|
)
|
(182
|
)
|
$
|
171,705
|
$
|
(176,210
|
)
|
|||||||||||
109,702,429
|
807
|
(15,070,036
|
)
|
(182
|
)
|
171,705
|
(176,210
|
)
|
||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
138,206,254
|
689
|
(134,257,335
|
)
|
(1,076
|
)
|
1,049,488
|
–
|
||||||||||||||||
Options (a)
|
–
|
43
|
(1,879,741
|
)
|
–
|
–
|
–
|
|||||||||||||||||
138,206,254
|
732
|
(136,137,076
|
)
|
(1,076
|
)
|
1,049,488
|
–
|
|||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
2,292,673,849
|
N/A
|
(833,459,383
|
)
|
N/A
|
5,192,010
|
(3,295,635
|
)
|
||||||||||||||||
Options (a)
|
23,660,693
|
8
|
(19,168,648
|
)
|
(9
|
)
|
50,504
|
(22,321
|
)
|
|||||||||||||||
2,316,334,542
|
8
|
(852,628,031
|
)
|
(9
|
)
|
5,242,514
|
(3,317,956
|
)
|
||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
3,089,931,876
|
14,725
|
(1,546,576,175
|
)
|
(8,370
|
)
|
12,898,268
|
(11,891,749
|
)
|
|||||||||||||||
Options (a)
|
257,574,397
|
7,508
|
(322,622,545
|
)
|
(7,566
|
)
|
23,186
|
(20,516
|
)
|
|||||||||||||||
3,347,506,273
|
22,233
|
(1,869,198,720
|
)
|
(15,936
|
)
|
12,921,454
|
(11,912,265
|
)
|
||||||||||||||||
Total
|
$
|
5,911,749,498
|
23,780
|
$
|
(2,873,033,863
|
)
|
(17,203
|
)
|
$
|
19,385,161
|
$
|
(15,406,431
|
)
|
(a) |
Notional amounts for options are based on the delta-adjusted positions.
|
Long exposure
|
Short exposure
|
|||||||||||||||||||||||
Notional
Amounts
|
Number
of
contracts
|
Notional
amounts
|
Number
of
contracts
|
Derivative
assets
|
Derivative
liabilities
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
2,310,857
|
28
|
$
|
(12,904,287
|
)
|
(71
|
)
|
$
|
54,090
|
$
|
–
|
||||||||||||
Options (a)
|
147,135,525
|
1,797
|
(47,380,653
|
)
|
(1,662
|
)
|
1,543,270
|
(643,320
|
)
|
|||||||||||||||
149,446,382
|
1,825
|
(60,284,940
|
)
|
(1,733
|
)
|
1,597,360
|
(643,320
|
)
|
||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
84,442,167
|
856
|
(4,919,209
|
)
|
(21
|
)
|
–
|
–
|
||||||||||||||||
Options (a)
|
121,976,301
|
2,594
|
(84,382,436
|
)
|
(2,571
|
)
|
3,375,338
|
(3,473,888
|
)
|
|||||||||||||||
206,418,468
|
3,450
|
(89,301,645
|
)
|
(2,592
|
)
|
3,375,338
|
(3,473,888
|
)
|
||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
245,520,127
|
N/A
|
(209,235,657
|
)
|
N/A
|
1,324,819
|
(1,376,839
|
)
|
||||||||||||||||
Options (a)
|
398,135,064
|
14
|
(494,064,723
|
)
|
(16
|
)
|
19,965,603
|
(3,247,005
|
)
|
|||||||||||||||
643,655,191
|
14
|
(703,300,380
|
)
|
(16
|
)
|
21,290,422
|
(4,623,844
|
)
|
||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
742,525,225
|
4,719
|
(332,098,974
|
)
|
(2,324
|
)
|
302,531
|
(540,879
|
)
|
|||||||||||||||
Options (a)
|
2,015,886,152
|
32,387
|
(1,864,926,242
|
)
|
(32,930
|
)
|
–
|
–
|
||||||||||||||||
2,758,411,377
|
37,106
|
(2,197,025,216
|
)
|
(35,254
|
)
|
302,531
|
(540,879
|
)
|
||||||||||||||||
Total
|
$
|
3,757,931,418
|
42,395
|
$
|
(3,049,912,181
|
)
|
(39,595
|
)
|
$
|
26,565,651
|
$
|
(9,281,931
|
)
|
(a)
|
Notional amounts for options are based on the delta-adjusted positions.
|
Long exposure
|
Short exposure
|
|||||||||||||||||||||||
Notional
amounts
|
Number
of
contracts
|
Notional
amounts
|
Number
of
contracts
|
Derivative
assets
|
Derivative
liabilities
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
115,852,179
|
1,611
|
$
|
(71,609,598
|
)
|
(1,507
|
)
|
$
|
1,998,827
|
$
|
(6,829,853
|
)
|
|||||||||||
115,852,179
|
1,611
|
(71,609,598
|
)
|
(1,507
|
)
|
1,998,827
|
(6,829,853
|
)
|
||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
249,023,852
|
2,158
|
(52,531,849
|
)
|
(534
|
)
|
3,653,907
|
(2,195,196
|
)
|
|||||||||||||||
249,023,852
|
2,158
|
(52,531,849
|
)
|
(534
|
)
|
3,653,907
|
(2,195,196
|
)
|
||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
214,292,847
|
N/A
|
(386,443,669
|
)
|
N/A
|
2,262,695
|
(10,930,128
|
)
|
||||||||||||||||
Futures
|
15,633,977
|
159
|
(4,036,374
|
)
|
(55
|
)
|
24,143
|
(280,028
|
)
|
|||||||||||||||
229,926,824
|
159
|
(390,480,043
|
)
|
(55
|
)
|
2,286,838
|
(11,210,156
|
)
|
||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
201,077,632
|
1,043
|
(1,277,933,031
|
)
|
(6,952
|
)
|
2,583,905
|
(9,694,853
|
)
|
|||||||||||||||
Swaps
|
55,047,196
|
41
|
(41,168,070
|
)
|
(61
|
)
|
2,213,846
|
(1,886,189
|
)
|
|||||||||||||||
256,124,828
|
1,084
|
(1,319,101,101
|
)
|
(7,013
|
)
|
4,797,751
|
(11,581,042
|
)
|
||||||||||||||||
Total
|
$
|
850,927,683
|
5,012
|
$
|
(1,833,722,591
|
)
|
(9,109
|
)
|
$
|
12,737,323
|
$
|
(31,816,247
|
)
|
Description
|
Gross
Amount
|
Gross Amount
Offset in
the Statements
of Financial
Condition
|
Net Amount
Presented in
the Statements
of Financial
Condition
|
Collateral
(Received) /
Pledged
|
Net Amount
|
|||||||||||||||
Graham Commodity Strategies LLC1
|
||||||||||||||||||||
Derivative assets
|
$
|
19,385,161
|
$
|
(15,406,431
|
)
|
$
|
3,978,730
|
$
|
–
|
$
|
3,978,730
|
|||||||||
Derivative liabilities
|
$
|
(15,406,431
|
)
|
$
|
15,406,431
|
$
|
–
|
$
|
–
|
$
|
–
|
|||||||||
Graham Derivatives Strategies LLC2
|
||||||||||||||||||||
Derivative assets
|
$
|
26,565,651
|
$
|
(9,281,931
|
)
|
$
|
17,283,720
|
$
|
–
|
$
|
17,283,720
|
|||||||||
Derivative liabilities
|
$
|
(9,281,931
|
)
|
$
|
9,281,931
|
$
|
–
|
$
|
–
|
$
|
–
|
|||||||||
Graham K4D Trading Ltd.3
|
||||||||||||||||||||
Derivative assets
|
$
|
12,737,323
|
$
|
(12,737,323
|
)
|
$
|
–
|
$
|
–
|
$
|
–
|
|||||||||
Derivative liabilities
|
$
|
(31,816,247
|
)
|
$
|
12,737,323
|
$
|
(19,078,924
|
)
|
$
|
19,078,924
|
$
|
–
|
Graham
Commodity
Strategies LLC
|
Graham
Derivatives
Strategies LLC
|
Graham K4D
Trading Ltd.
|
||||||||||
Net investment income
|
$
|
805,053
|
$
|
319,748
|
$
|
134,632
|
||||||
Net realized gain (loss) on investments
|
124,464,523
|
(4,727,183
|
)
|
32,046,115
|
||||||||
Net (decrease) increase in unrealized appreciation on investments
|
(12,062,523
|
)
|
6,705,621
|
(5,336,146
|
)
|
|||||||
Brokerage commissions and fees
|
(443,295
|
)
|
(730,800
|
)
|
(59,500
|
)
|
||||||
Net gain on investments
|
111,958,705
|
1,247,638
|
26,650,469
|
|||||||||
Net income
|
$
|
112,763,758
|
$
|
1,567,386
|
$
|
26,785,101
|
Graham
Commodity
Strategies LLC
|
Graham
Derivatives
Strategies LLC
|
Graham K4D
Trading Ltd.
|
||||||||||
Net investment income
|
$
|
2,803,043
|
$
|
820,853
|
$
|
590,644
|
||||||
Net realized gain (loss) on investments
|
159,510,801
|
(15,987,308
|
)
|
29,676,110
|
||||||||
Net (decrease) increase in unrealized appreciation on investments
|
(49,889,400
|
)
|
(9,462,804
|
)
|
6,784,413
|
|||||||
Brokerage commissions and fees
|
(1,266,035
|
)
|
(3,096,823
|
)
|
(186,783
|
)
|
||||||
Net gain (loss) on investments
|
108,355,366
|
(28,546,935
|
)
|
36,273,740
|
||||||||
Net income (loss)
|
$
|
111,158,409
|
$
|
(27,726,082
|
)
|
$
|
36,864,384
|
Graham Commodity
Strategies LLC
|
Graham Derivatives
Strategies LLC
|
Graham K4D
Trading Ltd.
|
||||||||||||||||||||||
Net realized
gain
|
Net decrease in
unrealized
appreciation
on
investments
|
Net realized
loss
|
Net increase in
unrealized
appreciation
on
investments
|
Net realized
gain
|
Net decrease
in unrealized
appreciation
on
investments
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
5,062,363
|
$
|
(6,543,945
|
)
|
$
|
580,190
|
$
|
69,880
|
$
|
14,024,102
|
$
|
4,124,022
|
|||||||||||
Options
|
–
|
–
|
(4,998,990
|
)
|
5,704,830
|
–
|
–
|
|||||||||||||||||
5,062,363
|
(6,543,945
|
)
|
(4,418,800
|
)
|
5,774,710
|
14,024,102
|
4,124,022
|
|||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
33,931,976
|
(3,743,168
|
)
|
(4,717,752
|
)
|
(1,073,403
|
)
|
1,347,519
|
(6,809,115
|
)
|
||||||||||||||
Options
|
(19,788
|
)
|
17,263
|
4,982,743
|
(856,803
|
)
|
–
|
–
|
||||||||||||||||
33,912,188
|
(3,725,905
|
)
|
264,991
|
(1,930,206
|
)
|
1,347,519
|
(6,809,115
|
)
|
||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
3,552,436
|
(2,524,069
|
)
|
(480,679
|
)
|
(931,054
|
)
|
1,690,551
|
(933,520
|
)
|
||||||||||||||
Futures
|
–
|
–
|
–
|
–
|
188,432
|
30,599
|
||||||||||||||||||
Options
|
(655,770
|
)
|
533,759
|
7,013,838
|
315,371
|
–
|
–
|
|||||||||||||||||
2,896,666
|
(1,990,310
|
)
|
6,533,159
|
(615,683
|
)
|
1,878,983
|
(902,921
|
)
|
||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
34,130,790
|
(2,334,944
|
)
|
(1,279,566
|
)
|
1,042,973
|
13,158,273
|
(2,215,728
|
)
|
|||||||||||||||
Options
|
185,800
|
(176,053
|
)
|
(5,467,305
|
)
|
2,020,683
|
–
|
–
|
||||||||||||||||
Swaps
|
–
|
–
|
–
|
–
|
(169,638
|
)
|
287,615
|
|||||||||||||||||
34,316,590
|
(2,510,997
|
)
|
(6,746,871
|
)
|
3,063,656
|
12,988,635
|
(1,928,113
|
)
|
||||||||||||||||
Total
|
$
|
76,187,807
|
$
|
(14,771,157
|
)
|
$
|
(4,367,521
|
)
|
$
|
6,292,477
|
$
|
30,239,239
|
$
|
(5,516,127
|
)
|
Graham Commodity
Strategies LLC
|
Graham Derivatives
Strategies LLC
|
Graham K4D
Trading Ltd.
|
||||||||||||||||||||||
Net realized
gain
|
Net decrease in
unrealized
appreciation
on
investments
|
Net realized
loss
|
Net decrease in
unrealized
appreciation
on
investments
|
Net realized
gain
|
Net increase
in unrealized
appreciation
on
investments
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
(1,693,472
|
)
|
$
|
(9,167,935
|
)
|
$
|
2,048,025
|
$
|
30,590
|
$
|
864,395
|
$
|
(2,730,781
|
)
|
|||||||||
Options
|
–
|
–
|
(1,097,560
|
)
|
(138,870
|
)
|
–
|
–
|
||||||||||||||||
(1,693,472
|
)
|
(9,167,935
|
)
|
950,465
|
(108,280
|
)
|
864,395
|
(2,730,781
|
)
|
|||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
53,607,166
|
(9,810,996
|
)
|
(1,635,642
|
)
|
39,828
|
7,863,886
|
6,503,663
|
||||||||||||||||
Options
|
(123,363
|
)
|
(11,137
|
)
|
3,451,144
|
(1,262,168
|
)
|
–
|
–
|
|||||||||||||||
53,483,803
|
(9,822,133
|
)
|
1,815,502
|
(1,222,340
|
)
|
7,863,886
|
6,503,663
|
|||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
1,712,680
|
(268,038
|
)
|
(1,583,724
|
)
|
(940,312
|
)
|
5,940,457
|
(414,420
|
)
|
||||||||||||||
Futures
|
–
|
–
|
–
|
–
|
207,750
|
134,678
|
||||||||||||||||||
Options
|
6,999,408
|
(2,406,419
|
)
|
3,949,025
|
(5,480,931
|
)
|
–
|
–
|
||||||||||||||||
8,712,088
|
(2,674,457
|
)
|
2,365,301
|
(6,421,243
|
)
|
6,148,207
|
(279,742
|
)
|
||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
29,603,171
|
(24,046,693
|
)
|
(5,722,769
|
)
|
(754,337
|
)
|
12,979,894
|
2,865,592
|
|||||||||||||||
Options
|
3,036,791
|
–
|
(15,570,385
|
)
|
385,701
|
–
|
–
|
|||||||||||||||||
Swaps
|
–
|
–
|
–
|
–
|
(309,806
|
)
|
199,178
|
|||||||||||||||||
32,639,962
|
(24,046,693
|
)
|
(21,293,154
|
)
|
(368,636
|
)
|
12,670,088
|
3,064,770
|
||||||||||||||||
Total
|
$
|
93,142,381
|
$
|
(45,711,218
|
)
|
$
|
(16,161,886
|
)
|
$
|
(8,120,499
|
)
|
$
|
27,546,576
|
$
|
6,557,910
|
September 30, 2024
|
December 31, 2023
|
|||||||
Assets:
|
||||||||
Cash and cash equivalents
|
$
|
203,934,716
|
$
|
460,097,864
|
||||
Investments in fixed income securities (amortized cost $6,232,378,309 and $5,504,095,501 respectively)
|
6,232,378,309
|
5,504,095,501
|
||||||
Interest receivable
|
17,401,197
|
9,828,433
|
||||||
Total assets
|
6,453,714,222
|
5,974,021,798
|
||||||
Liabilities:
|
||||||||
Due to broker
|
132
|
141,603,651
|
||||||
Total liabilities
|
132
|
141,603,651
|
||||||
Members’ capital
|
$
|
6,453,714,090
|
$
|
5,832,418,147
|
Three Months Ended
September 30,
|
Nine Months Ended
September 30,
|
|||||||||||||||
2024
|
2023
|
2024
|
2023
|
|||||||||||||
Net gain on investments
|
||||||||||||||||
Net realized gain on investments
|
$
|
10,790,020
|
$ |
–
|
$
|
10,790,020
|
$
|
–
|
||||||||
Net gain on investments
|
10,790,020
|
–
|
10,790,020
|
–
|
||||||||||||
Investment income
|
||||||||||||||||
Interest income
|
72,759,094
|
70,042,403
|
237,301,220
|
159,361,621
|
||||||||||||
Total investment income
|
72,759,094
|
70,042,403
|
237,301,220
|
159,361,621
|
||||||||||||
Expenses:
|
||||||||||||||||
Bank fee expense
|
151,760
|
195,257
|
509,826
|
491,845
|
||||||||||||
Total expenses
|
151,760
|
195,257
|
509,826
|
491,845
|
||||||||||||
Net investment income
|
72,607,334
|
69,847,146
|
236,791,394
|
158,869,776
|
||||||||||||
Net income
|
$
|
83,397,354
|
$
|
69,847,146
|
$
|
247,581,414
|
$
|
158,869,776
|
Description
|
Principal
Amount
|
Fair Value
|
Percentage of
Members’
Capital
|
||||||||||
Investments in Fixed Income Securities
(amortized cost $6,232,378,309)
|
|||||||||||||
United States
|
|||||||||||||
Government Bonds (amortized cost $2,708,714,437)
|
|||||||||||||
U.S. Treasury bond 0.75% due 04/30/2026
|
$
|
500,000,000
|
$
|
472,110,165
|
7.32
|
%
|
|||||||
U.S. Treasury bond 0.88% due 09/30/2026
|
500,000,000
|
466,964,345
|
7.24
|
%
|
|||||||||
U.S. Treasury bond 1.63% due 05/15/2026
|
500,000,000
|
479,955,999
|
7.44
|
%
|
|||||||||
U.S. Treasury bond 3.75% due 04/15/2026
|
500,000,000
|
493,526,218
|
7.65
|
%
|
|||||||||
U.S. Treasury bond 1.13% - 1.75% due 10/31/2026 - 01/31/2027
|
850,000,000
|
796,157,710
|
12.32
|
%
|
|||||||||
Total Government Bonds
|
2,708,714,437
|
41.97
|
%
|
||||||||||
Treasury Bills (amortized cost $3,523,663,872)
|
|||||||||||||
U.S. Treasury bills 0.00% due 10/01/2024
|
450,000,000
|
449,955,046
|
6.97
|
%
|
|||||||||
U.S. Treasury bills 0.00% due 12/19/2024
|
375,000,000
|
370,739,418
|
5.74
|
%
|
|||||||||
U.S. Treasury bills 0.00% due 10/03/2024 – 02/20/2025
|
2,725,000,000
|
2,702,969,408
|
41.89
|
%
|
|||||||||
Total Treasury Bills
|
3,523,663,872
|
54.60
|
%
|
||||||||||
Total United States
|
6,232,378,309
|
96.57
|
%
|
||||||||||
Total Investments in Fixed Income Securities
|
$
|
6,232,378,309
|
96.57
|
%
|
Description
|
Principal
Amount
|
Fair Value
|
Percentage of
Members’
Capital
|
||||||||||
Investments in Fixed Income Securities (amortized cost $5,504,095,501)
|
|||||||||||||
United States
|
|||||||||||||
Government Bonds (amortized cost $2,780,805,691)
|
|||||||||||||
U.S. Treasury bond 0.88% due 01/31/2024
|
$
|
300,000,000
|
$
|
299,029,261
|
5.13
|
%
|
|||||||
U.S. Treasury bond 0.13% due 02/15/2024
|
300,000,000
|
298,245,218
|
5.11
|
%
|
|||||||||
U.S. Treasury bond 1.50% due 02/29/2024
|
300,000,000
|
298,357,648
|
5.12
|
%
|
|||||||||
U.S. Treasury bond 0.25% due 03/15/2024
|
300,000,000
|
297,055,135
|
5.09
|
%
|
|||||||||
U.S. Treasury bond 2.13% due 03/31/2024
|
300,000,000
|
297,645,754
|
5.10
|
%
|
|||||||||
U.S. Treasury bond 3.75% due 04/15/2026
|
500,000,000
|
490,369,962
|
8.41
|
%
|
|||||||||
U.S. Treasury bond 0.75% due 04/30/2026
|
500,000,000
|
458,866,118
|
7.87
|
%
|
|||||||||
U.S. Treasury bonds 0.13% – 1.63% due 01/15/2024 – 05/15/2026
|
350,000,000
|
341,236,595
|
5.85
|
%
|
|||||||||
Total Government Bonds
|
2,780,805,691
|
47.68
|
%
|
||||||||||
Treasury Bills (amortized cost $2,723,289,810)
|
|||||||||||||
U.S Treasury bills 0.00% due 01/02/2024 – 05/09/2024
|
2,750,000,000
|
2,723,289,810
|
46.69
|
%
|
|||||||||
Total Treasury Bills
|
2,723,289,810
|
46.69
|
%
|
||||||||||
Total United States
|
5,504,095,501
|
94.37
|
%
|
||||||||||
Total Investments in Fixed Income Securities
|
$
|
5,504,095,501
|
94.37
|
%
|
September 30, 2024
|
December 31, 2023
|
|||||||
Assets
|
||||||||
Level 2:
|
||||||||
Fixed income securities
|
||||||||
Government bonds
|
$
|
2,708,714,437
|
$
|
2,780,805,691
|
||||
Treasury bills
|
3,523,663,872
|
2,723,289,810
|
||||||
Total fixed income securities
|
6,232,378,309
|
5,504,095,501
|
||||||
Total Level 2
|
6,232,378,309
|
5,504,095,501
|
||||||
Total assets
|
$
|
6,232,378,309
|
$
|
5,504,095,501
|
Class 0
|
Class 2
|
0.50%
|
1.25%
|
Class 0
|
Class 2
|
Class 3-A
|
Class 3-B
|
|||||||||||||
Per unit operating performance
|
||||||||||||||||
Net asset value per Unit, June 30, 2023
|
$
|
223.94
|
$
|
158.17
|
$
|
-
|
$
|
-
|
||||||||
Net income:
|
||||||||||||||||
Net investment loss
|
(1.77
|
)
|
(1.16
|
)
|
‑
|
‑
|
||||||||||
Net gain on investments
|
17.37
|
12.24
|
‑
|
‑
|
||||||||||||
Net income
|
15.60
|
11.08
|
‑
|
‑
|
||||||||||||
Net asset value per Unit, September 30, 2023
|
$
|
239.54
|
$
|
169.25
|
$
|
-
|
$
|
-
|
||||||||
Net asset value per Unit, June 30, 2024
|
$
|
241.88
|
$
|
170.06
|
$
|
100.23
|
$
|
98.65
|
||||||||
Net loss:
|
||||||||||||||||
Net investment income
|
0.91
|
0.33
|
0.62
|
0.50
|
||||||||||||
Net loss on investments
|
(12.17
|
)
|
(8.55
|
)
|
(5.17
|
)
|
(5.09
|
)
|
||||||||
Net loss
|
(11.26
|
)
|
(8.22
|
)
|
(4.55
|
)
|
(4.59
|
)
|
||||||||
Net asset value per Unit, September 30, 2024
|
$
|
230.62
|
$
|
161.84
|
$
|
95.68
|
$
|
94.06
|
Class 0
|
Class 2
|
Class 3-A
|
Class 3-B
|
||||||||||||||||||||||||||
2024
|
2023
|
2024
|
2023
|
2024
|
2023
|
2024
|
2023
|
||||||||||||||||||||||
Total return before Incentive Allocation
|
(4.66
|
)%
|
8.14
|
%
|
(4.83
|
)%
|
7.95
|
%
|
(4.54
|
)%
|
- |
(4.65
|
)%
|
- | |||||||||||||||
Incentive Allocation
|
(0.00
|
)
|
(1.17
|
)
|
(0.00
|
)
|
(0.94
|
)
|
(0.00
|
)
|
‑
|
(0.00
|
)
|
‑
|
|||||||||||||||
Total return after Incentive Allocation
|
(4.66
|
)%
|
6.97
|
%
|
(4.83
|
)%
|
7.01
|
%
|
(4.54
|
)%
|
‑
|
(4.65
|
)%
|
‑
|
|||||||||||||||
Net investment income before Incentive Allocation
|
0.38
|
%
|
0.37
|
%
|
0.20
|
%
|
0.18
|
%
|
0.64
|
%
|
‑
|
0.53
|
%
|
‑
|
|||||||||||||||
Incentive Allocation
|
(0.00
|
)
|
(1.13
|
)
|
(0.00
|
)
|
(0.89
|
)
|
(0.00
|
)
|
‑
|
(0.00
|
)
|
‑
|
|||||||||||||||
Net investment income (loss) after Incentive Allocation
|
0.38
|
%
|
(0.76
|
)%
|
0.20
|
%
|
(0.71
|
)%
|
0.64
|
%
|
‑
|
0.53
|
%
|
‑
|
|||||||||||||||
Total expenses before Incentive Allocation
|
0.65
|
%
|
0.73
|
%
|
0.84
|
%
|
0.92
|
%
|
0.67
|
%
|
‑
|
0.83
|
%
|
‑
|
|||||||||||||||
Incentive Allocation
|
0.00
|
1.13
|
0.00
|
0.89
|
0.00
|
‑
|
0.00
|
‑
|
|||||||||||||||||||||
Total expenses after Incentive Allocation
|
0.65
|
%
|
1.86
|
%
|
0.84
|
%
|
1.81
|
%
|
0.67
|
%
|
‑
|
0.83
|
%
|
‑
|
Class 0
|
Class 2
|
Class 3-A
|
Class 3-B
|
|||||||||||||
Per unit operating performance
|
||||||||||||||||
Net asset value per Unit, December 31, 2022
|
$
|
224.59
|
$
|
159.22
|
$
|
–
|
$
|
–
|
||||||||
Net income:
|
||||||||||||||||
Net investment loss
|
(1.54
|
)
|
(1.51
|
)
|
–
|
–
|
||||||||||
Net gain on investments
|
16.49
|
11.54
|
–
|
–
|
||||||||||||
Net income
|
14.95
|
10.03
|
–
|
–
|
||||||||||||
Net asset value per Unit, September 30, 2023
|
$
|
239.54
|
$
|
169.25
|
$
|
–
|
$
|
–
|
||||||||
Net asset value per Unit, December 31, 2023
|
$
|
224.32
|
$
|
158.20
|
$
|
–
|
$ |
– | ||||||||
Initial asset value per share, May 1, 2024
|
–
|
–
|
–
|
100.00
|
||||||||||||
Initial asset value per share, June 1, 2024
|
–
|
–
|
100.00
|
–
|
||||||||||||
Net income (loss):
|
||||||||||||||||
Net investment income
|
1.90
|
0.51
|
0.65
|
0.65
|
||||||||||||
Net gain (loss) on investments
|
4.40
|
3.13
|
(4.97
|
)
|
(6.59
|
)
|
||||||||||
Net income (loss)
|
6.30
|
3.64
|
(4.32
|
)
|
(5.94
|
)
|
||||||||||
Net asset value per Unit, September 30, 2024
|
$
|
230.62
|
$
|
161.84
|
$
|
95.68
|
$
|
94.06
|
Class 0
|
Class 2
|
Class 3-A*
|
Class 3-B**
|
||||||||||||||||||||||||||
2024
|
2023
|
2024
|
2023
|
2024
|
2023
|
2024
|
2023
|
||||||||||||||||||||||
Total return before Incentive Allocation
|
3.36
|
%
|
7.82
|
%
|
2.77
|
%
|
7.24
|
%
|
(4.26
|
)%
|
–
|
(5.94
|
)%
|
–
|
|||||||||||||||
Incentive Allocation
|
(0.55
|
)
|
(1.16
|
)
|
(0.47
|
)
|
(0.94
|
)
|
(0.06
|
)
|
–
|
(0.00
|
)
|
–
|
|||||||||||||||
Total return after Incentive Allocation
|
2.81
|
%
|
6.66
|
%
|
2.30
|
%
|
6.30
|
%
|
(4.32
|
)%
|
–
|
(5.94
|
)%
|
–
|
|||||||||||||||
Net investment income (loss) before Incentive Allocation
|
1.32
|
%
|
0.53
|
%
|
0.76
|
%
|
(0.06
|
)%
|
0.67
|
%
|
–
|
0.69
|
%
|
–
|
|||||||||||||||
Incentive Allocation
|
(0.52
|
)
|
(1.21
|
)
|
(0.45
|
)
|
(0.89
|
)
|
(0.01
|
)
|
–
|
(0.00
|
)
|
–
|
|||||||||||||||
Net investment income (loss) after Incentive Allocation
|
0.80
|
%
|
(0.68
|
)%
|
0.31
|
%
|
(0.95
|
)%
|
0.66
|
%
|
–
|
0.69
|
%
|
–
|
|||||||||||||||
Total expenses before Incentive Allocation
|
2.12
|
%
|
2.10
|
%
|
2.68
|
%
|
2.65
|
%
|
0.72
|
%
|
–
|
1.11
|
%
|
–
|
|||||||||||||||
Incentive Allocation
|
0.52
|
1.21
|
0.45
|
0.89
|
0.01
|
–
|
0.00
|
–
|
|||||||||||||||||||||
Total expenses after Incentive Allocation
|
2.64
|
%
|
3.31
|
%
|
3.13
|
%
|
3.54
|
%
|
0.73
|
%
|
–
|
1.11
|
%
|
–
|
Item 2. |
Management’s Discussion and Analysis of Financial Condition and Results of Operations
|
(a)
|
Management’s Discussion and Analysis of Financial Condition and Results of Operations
|
(i)
|
Results of Operations
|
Agriculture / Softs
|
$
|
40,129
|
||
Base Metals
|
(13,775
|
)
|
||
Energy
|
(262,773
|
)
|
||
Equities
|
(602,752
|
)
|
||
Foreign Exchange
|
(730,424
|
)
|
||
Long Term / Intermediate Rates
|
(222,937
|
)
|
||
Precious Metals
|
295,277
|
|||
Short Term Rates
|
53,239
|
|||
$
|
(1,444,016
|
)
|
Agriculture / Softs
|
2.6
|
%
|
||
Base Metals
|
(6.4
|
)%
|
||
Energy
|
(7.6
|
)%
|
||
Equities
|
72.1
|
%
|
||
Foreign Exchange
|
(30.9
|
)%
|
||
Long Term / Intermediate Rates
|
42.5
|
%
|
||
Precious Metals
|
0.6
|
%
|
||
Short Term Rates
|
27.1
|
%
|
||
100.0
|
%
|
Agriculture / Softs
|
$
|
275,750
|
||
Base Metals
|
117,597
|
|||
Energy
|
(88,757
|
)
|
||
Equities
|
232,929
|
|||
Foreign Exchange
|
(514,723
|
)
|
||
Long Term / Intermediate Rates
|
27,258
|
|||
Precious Metals
|
485,288
|
|||
Short Term Rates
|
157,852
|
|||
$
|
693,194
|
Agriculture / Softs
|
$
|
76,939
|
||
Base Metals
|
(31,019
|
)
|
||
Energy
|
516,992
|
|||
Equities
|
248,171
|
|||
Foreign Exchange
|
865,418
|
|||
Long Term / Intermediate Rates
|
650,216
|
|||
Precious Metals
|
(87,132
|
)
|
||
Short Term Rates
|
7,755
|
|||
$
|
2,247,340
|
Agriculture / Softs
|
$
|
41,779
|
||
Base Metals
|
(49,077
|
)
|
||
Energy
|
106,044
|
|||
Equities
|
1,047,718
|
|||
Foreign Exchange
|
1,106,901
|
|||
Long Term / Intermediate Rates
|
77,233
|
|||
Precious Metals
|
(378,273
|
)
|
||
Short Term Rates
|
218,285
|
|||
$
|
2,170,610
|
Agriculture / Softs
|
7.4
|
%
|
||
Base Metals
|
(1.3
|
)%
|
||
Energy
|
(2.4
|
)%
|
||
Equities
|
1.5
|
%
|
||
Foreign Exchange
|
20.9
|
%
|
||
Long Term / Intermediate Rates
|
25.5
|
%
|
||
Precious Metals
|
15.0
|
%
|
||
Short Term Rates
|
33.4
|
%
|
||
100.0
|
%
|
(ii)
|
Liquidity
|
Core Macro
Portfolio
|
|||||
September 30, 2024
|
10.59
|
%
|
|||
December 31, 2023
|
10.04
|
%
|
|||
September 30, 2023
|
9.37
|
%
|
(iii)
|
Capital Resources
|
(iv)
|
Critical Accounting Estimates
|
Item 3. |
Quantitative and Qualitative Disclosures about Market Risk
|
Item 4. |
Controls and Procedures
|
Item 1. |
Legal Proceedings
|
Item 1A. |
Risk Factors
|
Item 2. |
Unregistered Sales of Equity Securities and Use of Proceeds and Issuer Purchases of Equity Securities
|
Date
|
Total Number of Units Issued
|
|
July 1 – July 31, 2024
|
9,050.511
|
|
August 1 – August 31, 2024
|
1,858.993
|
|
September 1 – September 30, 2024
|
5,555.712
|
|
TOTAL
|
16,465.216
|
Date
|
(a) Total
Number of
Units
Purchased1
|
(b) Average
Price Paid
per Unit
|
(c) Total Number of
Units Purchased as
Part of Publicly
Announced Plans
or Programs
|
(d) Maximum Number
of Approximate
Dollar Value of
Units that May Yet
Be Purchased
Under the Plans or
Programs
|
|||||||||||||
July 1 – July 31, 2024
|
553.751
|
$
|
166.80
|
N/A
|
N/A
|
||||||||||||
August 1 – August 31, 2024
|
324.303
|
$
|
231.27
|
N/A
|
N/A
|
||||||||||||
September 1 – September 30, 2024
|
666.032
|
$
|
177.51
|
N/A
|
N/A
|
||||||||||||
TOTAL
|
1,544.086
|
$
|
184.96
|
N/A
|
N/A
|
Item 3. |
Defaults Upon Senior Securities – None
|
Item 4. |
Mine Safety Disclosures – None
|
Item 5. |
Other Information
|
Certificate of Formation of Graham Alternative Investment Fund I LLC
|
|
Amendment to Certificate of Formation of Graham Alternative Investment Fund I LLC
|
|
Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC dated March 28, 2013
|
|
Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC dated May 2, 2022
|
|
Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC dated March 19, 2024
|
|
Rule 13a-14(a)/15d-14(a) Certification (Certification of Principal Executive Officer)
|
|
Rule 13a-14(a)/15d-14(a) Certification (Certification of Principal Financial Officer)
|
|
Section 1350 Certification (Certification of Principal Executive Officer and Principal Financial Officer)
|
|
† 101.INS
|
Inline XBRL Instance Document (the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document)
|
† 101.SCH
|
Inline XBRL Taxonomy Extension Schema Document
|
† 101.CAL
|
Inline XBRL Taxonomy Extension Calculation Linkbase Document
|
† 101.DEF
|
Inline XBRL Taxonomy Extension Definition Linkbase Document
|
† 101.LAB
|
Inline XBRL Taxonomy Extension Label Linkbase Document
|
† 101.PRE
|
XBRL Taxonomy Extension Presentation Linkbase Document
|
† 104
|
Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101)
|
*
|
Incorporated by reference to the Fund’s Form 10 previously filed on April 30, 2010
|
**
|
Incorporated by reference to the Fund’s Form 8-K previously filed on April 11, 2013
|
***
|
Incorporated by reference to the Fund’s Form 8-K previously filed on May 10, 2022
|
†
|
Filed herewith
|
††
|
Incorporated by reference to the Fund’s Form 8-K previously filed on March 20, 2024
|
Dated: November 14, 2024
|
GRAHAM ALTERNATIVE INVESTMENT FUND I LLC
|
||
CORE MACRO PORTFOLIO
|
|||
By: |
GRAHAM CAPITAL MANAGEMENT, L.P.
|
||
its Manager
|
By:
|
/s/ Brian Douglas
|
||
Brian Douglas, Principal Executive Officer
|
|||
By:
|
/s/ George Schrade
|
||
George Schrade, Principal Financial Officer
|