UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

☒ QUARTERLY REPORT PURSUANT TO SECTION 13 or 15(d) of the

SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended March 31, 2024

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 0-53967

GRAHAM ALTERNATIVE INVESTMENT FUND II LLC

CORE MACRO PORTFOLIO

(Exact name of registrant as specified in its charter)

Delaware	20-4897149
(State or other jurisdiction of incorporation or organization)	(I.R.S. Employer Identification No.)

c/o GRAHAM CAPITAL MANAGEMENT, L.P.

40 Highland Avenue

Rowayton, CT 06853

(Address of principal executive offices) (Zip Code)

Brian Douglas

Graham Capital Management, L.P.

40 Highland Avenue

Rowayton, CT 06853

(203) 899-3400

(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:

Title of each class	Trading Symbol(s)	Name of each exchange on which registered
None	N/A	None

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 ☒  No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).

Yes ☒  No ☐

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

Large accelerated filer ☐ Accelerated filer ☐ Non-accelerated filer ☐ Smaller reporting company ☒ Emerging Growth company ☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Indicate by check mark whether the registrant is a shell company (as defined in rule 12b-2 of the Exchange Act).

Yes ☐ No ☒

As of May 1, 2024, 166,139.709 Units of the Core Macro Portfolio were outstanding.

GRAHAM ALTERNATIVE INVESTMENT FUND II LLC

CORE MACRO PORTFOLIO

FORM 10-Q

INDEX

			Page Number
PART I - Financial Information:
	Item 1.	Financial Statements:
		Graham Alternative Investment Fund II LLC Core Macro Portfolio
		Consolidated Statements of Financial Condition at March 31, 2024 (Unaudited) and December 31, 2023 (Audited)	1
		Unaudited Consolidated Statements of Operations for the Three Months Ended March 31, 2024 and 2023	2
		Unaudited Consolidated Statements of Changes in Members’ Capital for the Three Months Ended March 31, 2024 and 2023	3
		Unaudited Consolidated Statements of Cash Flows for the Three Months Ended March 31, 2024 and 2023	4
		Notes to Unaudited Consolidated Financial Statements	5
		Graham Alternative Investment Trading LLC
		Statements of Financial Condition at March 31, 2024 (Unaudited) and December 31, 2023 (Audited)	13
		Condensed Schedules of Investments at March 31, 2024 (Unaudited) and December 31, 2023 (Audited)	14
		Unaudited Statements of Operations and Incentive Allocation for the Three Months Ended March 31, 2024 and 2023	15
		Unaudited Statements of Changes in Members’ Capital for the Three Months Ended March 31, 2024 and 2023	16
		Unaudited Statements of Cash Flows for the Three Months Ended March 31, 2024 and 2023	17
		Notes to Unaudited Financial Statements	18
	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	62
	Item 3.	Quantitative and Qualitative Disclosures about Market Risk	68
	Item 4.	Controls and Procedures	69

PART II - Other Information			70
	Item 1.	Legal Proceedings
	Item 1A.	Risk Factors
	Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds and Issuer Purchases of Equity
	Item 3.	Defaults Upon Senior Securities
	Item 4.	Mine Safety Disclosures
	Item 5.	Other Information
	Item 6.	Exhibits	71
EX - 31.1		Certification
EX - 31.2		Certification
EX - 32.1		Certification

PART I

Item 1. Financial Statements

 Graham Alternative Investment Fund II LLC

Core Macro Portfolio

Consolidated Statements of Financial Condition

	March 31, 2024 (Unaudited)		December 31, 2023 (Audited)
Assets
Investment in Graham Alternative Investment Trading LLC, at fair value	$	35,730,832	$	34,006,661
Cash and cash equivalents		164,000		115,000
Redemptions receivable from Graham Alternative Investment Trading LLC		–		572,078
Total assets	$	35,894,832	$	34,693,739
Liabilities and members’ capital
Liabilities:
Subscriptions received in advance	$	164,000	$	115,000
Redemptions payable		–		572,078
Total liabilities		164,000		687,078
Members’ capital:
Class 0 Units (98,173.943 and 104,021.942 units issued and outstanding at $244.32 and $224.32, respectively)		23,985,533		23,334,356
Class 2 Units (68,249.304 and 67,462.982 units issued and outstanding at $172.09 and $158.20, respectively)		11,745,299		10,672,305
Total members’ capital		35,730,832		34,006,661
Total liabilities and members’ capital	$	35,894,832	$	34,693,739

See accompanying notes and the attached financial statements of Graham Alternative Investment Trading LLC.

1

Graham Alternative Investment Fund II LLC

Core Macro Portfolio

Unaudited Consolidated Statements of Operations

	Three Months Ended March 31,
	2024			2023
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC:
Net realized gain on investments	$	1,811,705		$	306,970
Net increase (decrease) in unrealized appreciation on investments		1,193,097			(1,101,247	)
Brokerage commissions and fees		(18,186	)		(27,579	)
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC		2,986,616			(821,856	)
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC:
Investment income:
Interest income		422,317			213,535
Expenses:
Incentive allocation		171,726			(430	)
Advisory fees		132,311			120,223
Sponsor fees		65,440			61,844
Professional fees		55,991			7,799
Administrator’s fee		11,047			10,164
Operating expenses		5,569			5,406
Interest expense		1,942			1,845
Total expenses		444,026			206,851
Net investment (loss) income allocated from investment in Graham Alternative Investment Trading LLC		(21,709	)		6,684
Net income (loss)	$	2,964,907		$	(815,172	)

See accompanying notes and the attached financial statements of Graham Alternative Investment Trading LLC.

2

Graham Alternative Investment Fund II LLC

Core Macro Portfolio

Unaudited Consolidated Statements of Changes in Members’ Capital

For the Three Months Ended March 31, 2024 and 2023

	Class 0 Units						Class 2 Units
	Units			Capital			Units			Capital			Total Members’ Capital
Members’ capital, December 31, 2022		91,015.472		$	20,440,792			73,630.241		$	11,723,128		$	32,163,920
Subscriptions		2,107.202			490,000			–			–			490,000
Redemptions		(566.808	)		(127,115	)		(280.060	)		(44,820	)		(171,935	)
Net loss		–			(514,662	)		–			(300,510	)		(815,172	)
Members’ capital, March 31, 2023		92,555.866		$	20,289,015			73,350.181		$	11,377,798		$	31,666,813

	Class 0 Units						Class 2 Units
	Units			Capital			Units			Capital			Total Members’ Capital
Members’ capital, December 31, 2023		104,021.942		$	23,334,356			67,462.982		$	10,672,305		$	34,006,661
Subscriptions		66.867			15,000			2,005.123			323,000			338,000
Redemptions		(5,914.866	)		(1,380,061	)		(1,218.801	)		(198,675	)		(1,578,736	)
Net income		–			2,016,238			–			948,669			2,964,907
Members’ capital, March 31, 2024		98,173.943		$	23,985,533			68,249.304		$	11,745,299		$	35,730,832

See accompanying notes and the attached financial statements of Graham Alternative Investment Trading LLC.

3

Graham Alternative Investment Fund II LLC

Core Macro Portfolio

Unaudited Consolidated Statements of Cash Flows

	Three Months Ended March 31,
	2024			2023
Cash flows provided by operating activities
Net income (loss)	$	2,964,907		$	(815,172	)
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Net (income) loss allocated from investment in Graham Alternative Investment Trading LLC		(2,964,907	)		815,172
Proceeds from sale of investment in Graham Alternative Investment Trading LLC		2,150,814			743,417
Investment in Graham Alternative Investment Trading LLC		(338,000	)		(490,000	)
Net cash provided by operating activities		1,812,814			253,417
Cash flows (used in) provided by financing activities
Subscriptions (net of subscriptions received in advance)		387,000			1,115,000
Redemptions (net of redemptions payable)		(2,150,814	)		(743,417	)
Net cash (used in) provided by financing activities		(1,763,814	)		371,583
Net change in cash and cash equivalents		49,000			625,000
Cash and cash equivalents, beginning of period		115,000			–
Cash and cash equivalents, end of period	$	164,000		$	625,000

See accompanying notes and the attached financial statements of Graham Alternative Investment Trading LLC.

4

Graham Alternative Investment Fund II LLC

Core Macro Portfolio

Notes to Unaudited Consolidated Financial Statements

March 31, 2024

1. Organization and Business

The Core Macro Portfolio (the “Fund”) is a series of Graham Alternative Investment Fund II LLC (“GAIF II”), a Delaware Series Limited Liability Company established through an amendment to the certificate of formation, effective March 28, 2013. Prior to March 28, 2013, GAIF II was organized as a Delaware Limited Liability Company which was formed on May 16, 2006 and commenced operations on August 1, 2006. GAIF II is registered as a commodity pool and as such is subject to the oversight and jurisdiction of the U.S. Commodity Futures Trading Commission (“CFTC”).

As a Series Limited Liability Company each series is legally segregated, and the assets associated with each series are held separately and accounted for in separate and distinct records from the assets of any other series of GAIF II. The debts, liabilities, obligations, and expenses incurred, contracted for or otherwise existing with respect to a particular series are enforceable against the assets of such series only, and not against the assets of GAIF II generally or any other series thereof. Further, none of the debts, liabilities, obligations, and expenses incurred, contracted for or otherwise existing with respect to GAIF II are enforceable against the assets of any other series.

The Fund offers members Class 0 and Class 2 Units, and effective March 19, 2024, formed Class 3-A Units and Class 3-B Units (collectively the “Units”). Class 0 Units and Class 2 Units are currently issued. As of March 31, 2024, there were no subscriptions or redemptions of Class 3-A Units and Class 3-B Units. Graham Alternative Investment Ltd. (“GAI”) is a British Virgin Islands business company which was formed on June 1, 2006 and commenced operations on August 1, 2006. The Fund invests all of its assets dedicated to trading in Graham Alternative Investment Trading LLC (“GAIT”), a Delaware Limited Liability Company which was formed on May 18, 2006 and commenced operations on August 1, 2006, through an investment in GAI’s Core Macro Portfolio. GAIT invests in various master trading vehicles (“Master Funds”) and Graham Cash Assets LLC (“Cash Assets”), all of which are managed by Graham Capital Management, L.P. (the “Advisor” or “Manager”). The Fund is the sole owner of GAI’s Core Macro Portfolio and GAI’s Core Macro Portfolio invests all of its assets into GAIT. The Manager is the director of GAI and the sole investment advisor of GAI, GAIT and the Fund. The Manager is registered as a Commodity Pool Operator and Commodity Trading Advisor with the CFTC and is a member of the National Futures Association. The Manager is also registered with the Securities and Exchange Commission as an investment adviser. The Fund’s Units are registered under Section 12 of the Securities Exchange Act of 1934.

The investment objective of the Fund is to achieve long-term capital appreciation through professionally managed trading in both U.S. and foreign markets primarily in futures contracts, forwards contracts, spot currency contracts, and associated derivative instruments, such as options and swaps, through its investment in GAIT, which in turn invests in various Master Funds. The Master Funds seek to profit from opportunities in the global financial markets, including interest rate futures, foreign exchange, global stock indices and energy, metals and agricultural futures, as professionally managed multi-strategy investment vehicles. The Fund may also trade futures on virtual currencies. Each of the investment programs consists of multiple trading strategies of the Manager, which the Manager has combined in an effort to diversify the Fund’s investment exposure and to make the Fund’s performance returns less volatile and more consistently profitable.

SEI Global Services, Inc. (“SEI”) is the Fund’s independent administrator and transfer agent. SEI is responsible for certain matters pertaining to the administration of the Fund.

The Fund will terminate on December 31, 2050 or at an earlier date if certain conditions occur as outlined in the Amended and Restated Limited Liability Company Agreement (“LLC Agreement”) of the Fund.

See attached financial statements of Graham Alternative Investment Trading LLC.

5

Graham Alternative Investment Fund II LLC

Core Macro Portfolio

Notes to Unaudited Consolidated Financial Statements (continued)

1. Organization and Business (continued)

The performance of the Fund is directly affected by the performance of GAIT; therefore, these consolidated financial statements should be read in conjunction with the attached financial statements of GAIT, including the condensed schedules of investments.

Duties of the Manager

Subject to the terms and conditions of the LLC Agreement, the Manager has complete and exclusive responsibility for managing and administering the affairs of the Fund and for directing the investment and reinvestment of the assets of the Fund, GAI, and GAIT.

2. Summary of Significant Accounting Policies

These consolidated financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and all amounts are stated in U.S. dollars. The Fund is an investment company and applies specialized accounting guidance as outlined in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies. The preparation of these consolidated financial statements requires the Manager to make estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying notes. Actual results could differ from those estimates.

Principles of Consolidation

The Fund owns 100% of GAI’s Core Macro Portfolio and as such these consolidated financial statements include all the accounts of the Fund and GAI’s Core Macro Portfolio. Intercompany transactions and balances have been eliminated in consolidation. Creditors of the Fund have recourse to all assets of the Fund for amounts due to them, while creditors of GAI would have recourse only to the assets of GAI.

Investment in Graham Alternative Investment Trading LLC

The Fund records its investment in GAIT at fair value based upon the Fund’s proportionate share of GAIT’s reported net asset value in accordance with U.S. GAAP. In determining its net asset value, GAIT records its investments in the Master Funds and Cash Assets at fair value based upon GAIT’s proportionate share of the Master Funds’ and Cash Assets’ reported net asset value. The Fund records its proportionate share of GAIT’s investment income and loss, expenses, fees, and realized and unrealized gains and losses on a monthly basis and includes them in the consolidated statements of operations. Purchases and sales of units in GAIT are recorded on a trade date basis. The accounting policies of GAIT are described in its attached financial statements.

GAIT charges its investors, including the Fund, an advisory fee, sponsor fee, and incentive allocation, all of which are described in detail in Note 4. The Fund does not charge any additional fees; however, each investor in the Fund indirectly bears a portion of the advisory fee, sponsor fee, and incentive allocation charged by GAIT.

At March 31, 2024 and December 31, 2023, the Fund owned 52.75% and 52.41%, respectively of GAIT.

See attached financial statements of Graham Alternative Investment Trading LLC.

6

Graham Alternative Investment Fund II LLC

Core Macro Portfolio

Notes to Unaudited Consolidated Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Fair Value

The fair value of the assets and liabilities of the Fund and GAIT, which qualify as financial instruments under U.S. GAAP, approximates the carrying amounts presented in the consolidated statements of financial condition. Changes in these carrying amounts are included in the consolidated statements of operations.

The Fund follows U.S. GAAP for fair value measurements, which defines fair value, establishes a framework for measuring fair value, and requires certain disclosures about fair value measurements. The Fund reports the fair value of its investment related assets and liabilities in accordance with the hierarchy established under U.S. GAAP. U.S. GAAP uses a three-level hierarchy for fair value measurement based on the activeness of the market and the transparency and independence of inputs used in the valuation of an asset or liability as of the measurement date.

The fair value hierarchy categorizes asset and liability positions into one of three levels, as summarized below, based on the inputs and assumptions used in deriving fair value.

• 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.

The Fund’s investment in GAIT has been valued at net asset value using the practical expedient. Accordingly, under U.S. GAAP, this investment is excluded from categorization in the fair value hierarchy. There were no Level 3 assets or liabilities held at any point during the three months ended March 31, 2024 or the year ended December 31, 2023 by the Fund, GAI, GAIT, the Master Funds or Cash Assets.

Cash and Cash Equivalents

The Fund classifies all highly liquid investments with a maturity of three months or less at the time of purchase as cash equivalents on the statements of financial condition. Cash deposited with a bank is subject to credit risk. In the event of the bank’s insolvency, recovery of the Fund’s cash would be limited to account insurance or other protection afforded by such deposit, which could be substantially less than the amount deposited. At March 31, 2024 and December 31, 2023, the Fund held $164,000 and $115,000, respectively, in cash and held no cash equivalents.

Indemnifications

In the normal course of business, the Master Funds, GAIT, Cash Assets, GAI, and the Fund enter into contracts that contain a variety of indemnifications. Such contracts may include those by Cash Assets and the Master Funds with their brokers and trading counterparties. The Fund’s maximum exposure under these arrangements is unknown; however, the Fund has not had prior claims or losses with respect to such indemnifications and considers the risk of loss to be remote. At March 31, 2024 and December 31, 2023, no accruals have been recorded by the Fund for indemnifications.

See attached financial statements of Graham Alternative Investment Trading LLC.

7

Graham Alternative Investment Fund II LLC

Core Macro Portfolio

Notes to Unaudited Consolidated Financial Statements (continued)

3. Capital Accounts

The Fund offers members Class 0 and Class 2 Units, and effective March 19, 2024, formed Class 3-A Units and Class 3-B Units. Class 0 Units and Class 2 Units are currently issued. As of March 31, 2024, there were no subscriptions or redemptions of Class 3-A Units and Class 3-B Units. The Fund may issue additional Classes in the future subject to different fees, expenses, or other terms, or invest in other investment programs or combinations of investment programs managed by the Manager.

A separate capital account is maintained for each member with respect to each member’s Class of Units. The initial balance of each Member’s capital account is equal to the initial subscription to the Fund by such member with respect to the Class to which such capital account relates. Each Member’s capital account is increased by any additional subscription and decreased by any redemption by such member of Units of such Class to which the capital account relates. All income and expenses of the Fund are allocated among the Members’ Capital accounts in proportion to the balance that each capital account bears to the balance of all capital as of the beginning of such fiscal period.

Subscriptions

Units may be purchased at a price equal to the Net Asset Value per Unit of the relevant Class as of the immediately preceding Valuation Day, as defined in the LLC Agreement. The minimum initial subscription from each investor in each Class is $10,000. Members may subscribe for additional Units in a minimum amount of not less than $5,000. Any initial or additional cash received prior to period end or on period end, if any, for Fund shares related to the subsequent period is considered a subscription received in advance on the period end date. The new subscription does not receive an allocation of income or expense from the Fund and is recorded as a liability on the Statement of Financial Condition as subscriptions received in advance.

Units are available for subscription as of the first business day of each month upon written notice of at least three business days prior to the last business day of the preceding month.

Redemption of Units

Units are not subject to any minimum holding period. Members may redeem Units at the Net Asset Value thereof as of each Valuation Day, as defined in the LLC Agreement, upon not less than three business days’ prior written notice to the administrator. A partial redemption request for an amount less than $10,000 will not be accepted, nor will a redemption request be accepted to the extent that it would result in an investor owning less than $10,000. The redemption proceeds will normally be remitted within 15 business days after the Valuation Day, without interest for the period from the Valuation Day to the payment date. Redemptions paid after the end of a period, based upon end-of-period share values, if any, are reflected as redemptions payable on the Statement of Financial Condition.

4. Fees and Related Party Transactions

Advisory Fees

Class 0 and Class 2 of GAIT paid the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate of 1.50% of the Members’ Capital of such Class. Class 3-A and Class 3-B have an advisory fee at an aggregate annual rate of 1.50% and 2.00% of the Members’ Capital of such Class, respectively. The Advisory Fee is payable monthly in arrears calculated as of the last business day of each month and any other date the Manager may permit, in its sole and absolute discretion, as of which any subscription or redemption is affected with respect to Units of such Class during the month. For the three months ended March 31, 2024 and 2023, the Advisory Fees allocated to the Fund by Class 0 and Class 2 of GAIT totaled $132,311 and $120,223, respectively.

See attached financial statements of Graham Alternative Investment Trading LLC.

8

Graham Alternative Investment Fund II LLC

Core Macro Portfolio

Notes to Unaudited Consolidated Financial Statements (continued)

4. Fees and Related Party Transactions (continued)

Sponsor Fees

Class 0 and Class 2 of GAIT paid the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate of the Members’ Capital specified in the table below. Class 3-A and Class 3-B of GAIT have no sponsor fee. The Sponsor Fee is payable monthly in arrears calculated as of the last business day of each month in the same manner as the Advisory Fee. For the three months ended March 31, 2024 and 2023, the Sponsor Fees allocated to the Fund by Class 0 and Class 2 of GAIT totaled $65,440 and $61,844, respectively.

Class 0	Class 2
0.50%	1.25%

Incentive Allocation

At the end of each calendar quarter, Graham Capital LLC, an affiliate of the Manager, will receive a special allocation of net profits (the “Incentive Allocation”) in an amount equal to 20% of the New High Net Trading Profits of each Class of GAIT, as defined in the LLC Agreement. The Incentive Allocation is also accrued and allocable on the date of redemption with respect to any Units that are redeemed prior to the end of a calendar quarter. Additionally, any loss carryforward attributable to any class of GAIT shall be proportionately reduced, effective as of the date of any redemption of any Units of such class, by multiplying the loss carryforward by the ratio that the amount of Members’ Capital redeemed from such class bears to the Members’ Capital of such class immediately prior to such redemption. The loss carryforward of a class must be recouped before any subsequent Incentive Allocation can be made to Graham Capital LLC. For the three months ended March 31, 2024, Incentive Allocation of $171,726 was allocated to the Fund by GAIT. For the three months ended March 31, 2023, there was an incentive allocation reversal in the amount of $(430) that was allocated to the Fund.

Any portion of any of the above fees, including the Incentive Allocation, may be paid by the Manager to third parties as compensation for selling activities in connection with the Fund.

Administrator’s Fee

For the three months ended March 31, 2024 and 2023, GAIT paid SEI a monthly administrator’s fee based on GAIT’s Members’ Capital, calculated as of the last business day of each month. In addition, GAIT reimbursed SEI for reasonable out-of-pocket expenses incurred on behalf of GAIT. The total administrator’s fees, including out-of-pocket expenses, allocated to the Fund by GAIT for the three months ended March 31, 2024 and 2023 were $11,047 and $10,164, respectively.

Professional Fees

GAIT shall pay, or reimburse the Manager, for expenses arising in connection with the Fund’s audit, tax and legal fees (“professional fees”). The total professional fees allocated to the Fund by GAIT for the three months ended March 31, 2024 and 2023 were $55,991 and $7,799, respectively.

See attached financial statements of Graham Alternative Investment Trading LLC.

9

Graham Alternative Investment Fund II LLC

Core Macro Portfolio

Notes to Unaudited Consolidated Financial Statements (continued)

4. Fees and Related Party Transactions (continued)

Operating Expenses

In accordance with the LLC Agreement dated May 2, 2022, GAIT shall pay, or reimburse the Manager, for expenses arising in connection with the Fund’s investments, operations, and business (“operating expenses”). For the three months ended March 31, 2024 and 2023, GAIT reimbursed the Manager for operating expenses which were comprised of market data and technology costs associated with its assets allocated to the various Master Funds. The total operating expenses allocated to the Fund by GAIT for the three months ended  March 31, 2024 and 2023 were $5,569 and $5,406, respectively.

5. Income Taxes

No provision for income taxes has been made in the accompanying consolidated financial statements, as members are individually responsible for reporting income or loss based upon their respective share of the Fund’s income and expenses for income tax purposes.

U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented, and disclosed in the consolidated financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a “more-likely-than-not” threshold would be recorded as a tax expense in the current year. The Fund identifies its major tax jurisdictions as the U.S. for Federal tax purposes, Connecticut for state tax purposes and various international jurisdictions. The Manager has evaluated the Fund’s tax positions for all open tax years under the respective statutes of limitations (generally three years in the U.S. but varying in non-U.S. jurisdictions) and has concluded that there are no significant tax positions requiring recognition, measurement, or disclosure in the consolidated financial statements. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination. Any assessment for interest or penalties on taxes related to uncertain tax positions, when present, would be included in interest and penalties on tax on the consolidated statements of operations. No such interest and/or penalties were assessed to the Fund for the three months ended March 31, 2024 and 2023.

6. Risk Factors

Global economic, political and market conditions may adversely affect the Fund’s operations. The current global financial market situation, as well as various social and political circumstances in the United States and around the world (including wars and other forms of conflict, terrorist acts, security operations and catastrophic events such as fires, floods, earthquakes, tornadoes, hurricanes and global health epidemics), may contribute to increased market volatility and economic uncertainties or deterioration in the United States and worldwide. Such impacts may affect the financial markets in which the Fund operates.

See attached financial statements of Graham Alternative Investment Trading LLC.

10

Graham Alternative Investment Fund II LLC

Core Macro Portfolio

Notes to Unaudited Consolidated Financial Statements (continued)

7. Financial Highlights

The following is the per Unit operating performance calculation for the three months ended March 31, 2024 and 2023:

	Class 0			Class 2
Per unit operating performance
Net asset value per Unit, December 31, 2022	$	224.59		$	159.22
Net loss:
Net investment income (loss)		0.20			(0.16	)
Net loss on investments		(5.58	)		(3.94	)
Net loss		(5.38	)		(4.10	)
Net asset value per Unit, March 31, 2023	$	219.21		$	155.12
Net asset value per Unit, December 31, 2023	$	224.32		$	158.20
Net income:
Net investment (loss)		(0.05	)		(0.25	)
Net gain on investments		20.05			14.14
Net income		20.00			13.89
Net asset value per Unit, March 31, 2024	$	244.32		$	172.09

The following represents ratios to average Members’ Capital and total return for the three months ended March 31, 2024 and 2023:

	Class 0						Class 2
	2024			2023			2024			2023
Total return before Incentive Allocation		9.46	%		(2.40	)%		9.26	%		(2.58	)%
Incentive Allocation		(0.55	)		0.00			(0.47	)%		0.00
Total return after Incentive Allocation		8.91	%		(2.40	)%		8.79	%		(2.58	)%
Net investment income (loss) before Incentive Allocation		0.49	%		0.09	%		0.30	%		(0.10	)%
Incentive Allocation		(0.51	)		0.00			(0.45	)		0.00
Net investment (loss) income after Incentive Allocation		(0.02	)%		0.09	%		(0.15	)%		(0.10	)%
Total expenses before Incentive Allocation		0.71	%		0.57	%		0.91	%		0.76	%
Incentive Allocation		0.51			0.00			0.45			0.00
Total expenses after Incentive Allocation		1.22	%		0.57	%		1.36	%		0.76	%

Total return is calculated for Class 0 and Class 2 Units taken as a whole. Total return is calculated as the change in total Members’ Capital adjusted for subscriptions or redemptions during the period. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Sponsor Fees, Administrator’s Fee, and the Incentive Allocation. The net investment (loss) income and total expense ratios (including Incentive Allocation) are calculated for Class 0 and Class 2 Units taken as a whole and include net amounts allocated from GAIT. The computation of such ratios is based on the amount of net investment (loss) income, expenses, and Incentive Allocation. Net investment (loss) income and total expense ratios are computed based upon the weighted average of Members’ Capital for Class 0 and Class 2 Units of the Fund for the three months ended March 31, 2024 and 2023 and are not annualized.

See attached financial statements of Graham Alternative Investment Trading LLC.

11

Graham Alternative Investment Fund II LLC

Core Macro Portfolio

Notes to Unaudited Consolidated Financial Statements (continued)

8. Subsequent Events

There were no subscriptions or redemptions of Class 3-A Units and Class 3-B Units as of May 15, 2024.

The Fund had subscriptions of approximately $0.3 million and redemptions of approximately $0.4 million from April 1, 2024 through May 15, 2024, the date through which subsequent events were evaluated by management. These amounts have not been included in the consolidated financial statements.

See attached financial statements of Graham Alternative Investment Trading LLC.

12

Graham Alternative Investment Trading LLC

Statements of Financial Condition

	March 31, 2024 (Unaudited)		December 31, 2023 (Audited)
Assets
Investments in Master Funds, at fair value	$	6,375,306	$	6,589,443
Investment in Graham Cash Assets LLC, at fair value		62,016,363		59,261,119
Receivable from Master Funds		74		177
Total assets	$	68,391,743	$	65,850,739
Liabilities and members’ capital
Liabilities:
Redemptions payable	$	396,343	$	644,512
Accrued professional fees		125,735		186,519
Accrued advisory fees		83,474		80,684
Accrued sponsor fees		42,606		41,770
Accrued administrator’s fees		7,133		7,050
Accrued operating expenses		3,438		3,689
Payable to Master Funds		131		–
Total liabilities		658,860		964,224
Members’ capital:
Class 0 Units (172,178.642 and 177,924.511 units issued and outstanding at $244.32 and $224.32 per unit, respectively)		42,066,100		39,912,274
Class 2 Units (134,307.280 and 143,198.231 units issued and outstanding at $172.09 and $158.20 per unit, respectively)		23,113,521		22,653,277
Class M Units (4,671.470 units issued and outstanding at $546.56 and $496.83 per unit, respectively)		2,553,262		2,320,964
Total members’ capital		67,732,883		64,886,515
Total liabilities and members’ capital	$	68,391,743	$	65,850,739

See accompanying notes.

13

Graham Alternative Investment Trading LLC

Condensed Schedules of Investments

	March 31, 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	$	1,918,887		2.83%	$	2,529,772		3.90%
Graham Derivatives Strategies LLC		1,000,941		1.48%		850,235		1.31%
Graham K4D Trading Ltd.		3,455,478		5.10%		3,209,436		4.95%
Total investments in Master Funds	$	6,375,306		9.41%	$	6,589,443		10.16%

See accompanying notes.

14

Graham Alternative Investment Trading LLC

Unaudited Statements of Operations and Incentive Allocation

	Three Months Ended March 31,
	2024			2023
Net gain (loss) allocated from investments in Master Funds:
Net realized gain on investments	$	3,448,539		$	610,351
Net increase (decrease) in unrealized appreciation on investments		2,286,310			(2,152,199	)
Brokerage commissions and fees		(34,758	)		(54,213	)
Net gain (loss) allocated from investments in Master Funds		5,700,091			(1,596,061	)
Net investment income allocated from investments in Master Funds		49,615			55,765
Investment income:
Interest income		756,689			363,869
Total investment income		756,689			363,869
Expenses:
Advisory fees		243,556			227,889
Sponsor fees		125,132			122,253
Professional fees		106,420			15,314
Administrator’s fee		21,103			19,978
Operating expenses		10,637			10,627
Interest expense		3,710			3,626
Total expenses		510,558			399,687
Net investment income (loss) of the Fund		246,131			(35,818	)
Net income (loss)		5,995,837			(1,576,114	)
Incentive allocation		(312,502	)		(132	)
Net income (loss) available for pro-rata allocation to all members	$	5,683,335		$	(1,576,246	)

See accompanying notes.

15

Graham Alternative Investment Trading LLC

Unaudited Statements of Changes in Members’ Capital

For the Three Months Ended March 31, 2024 and 2023

	Class 0						Class 2						Class M					Total Capital
	Units			Capital			Units			Capital			Units		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

	Class 0						Class 2						Class M					Total Capital
	Units			Capital			Units			Capital			Units		Capital
Members’ capital, December 31, 2023		177,924.511		$	39,912,274			143,198.231		$	22,653,277			4,671.470	$	2,320,964		$	64,886,515
Subscriptions		1,077.459			247,000			2,005.123			323,000			–		–			570,000
Redemptions		(6,823.328	)		(1,597,493	)		(10,896.074	)		(1,809,474	)		–		(312,502	)		(3,719,469	)
Incentive allocation		–			(212,267	)		–			(100,235	)		–		312,502			–
Net income		–			3,716,586			–			2,046,953			–		232,298			5,995,837
Members’ capital, March 31, 2024		172,178.642		$	42,066,100			134,307.280		$	23,113,521			4,671.470	$	2,553,262		$	67,732,883

See accompanying notes.

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Graham Alternative Investment Trading LLC

Unaudited Statements of Cash Flows

	Three Months Ended March 31,
	2024			2023
Cash flows provided by operating activities
Net income (loss)	$	5,995,837		$	(1,576,114	)
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Net (income) loss allocated from investments in Master Funds		(5,749,706	)		1,540,296
Net (income) allocated from investment in Graham Cash Assets LLC		(756,689	)		(363,869	)
Proceeds from sale of investments in Master Funds		18,639,489			19,692,648
Proceeds from sale of investment in Graham Cash Assets LLC		11,479,664			14,816,838
Purchases of investments in Master Funds		(12,675,412	)		(20,090,647	)
Purchases of investment in Graham Cash Assets LLC		(13,478,219	)		(13,323,978	)
Changes in assets and liabilities:
Decrease in accrued professional fees		(60,784	)		(40,851	)
Increase (decrease) in accrued advisory fees		2,790			(2,784	)
Increase (decrease) in accrued sponsor fees		836			(1,799	)
Increase (decrease) in accrued administrator’s fees		83			(375	)
Decrease in accrued operating expenses		(251	)		(101	)
Net cash provided by operating activities		3,397,638			649,264
Cash flows used in financing activities
Subscriptions		570,000			615,000
Redemptions (net of redemptions payable)		(3,967,638	)		(1,264,264	)
Net cash used in financing activities		(3,397,638	)		(649,264	)
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	$	3,710		$	3,626

See accompanying notes.

17

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements

March 31, 2024

1. Organization and Business

Graham Alternative Investment Trading LLC (“GAIT”) was formed on May 18, 2006, commenced operations on August 1, 2006 and is organized as a Delaware Limited Liability Company. Graham Capital Management, L.P. (the “Manager”) is the Manager and the sole investment advisor. The Manager is registered as a Commodity Pool Operator and Commodity Trading Advisor with the U.S. Commodity Futures Trading Commission (“CFTC”) and is a member of the National Futures Association. The Manager is also registered with the Securities and Exchange Commission as an investment adviser. GAIT is a commodity pool, and as such is subject to the oversight and jurisdiction of the CFTC.

The investment objective of GAIT is to achieve long-term capital appreciation through professionally managed trading through its investment in various master trading vehicles (“Master Funds”). As more fully described in Notes 2 and 3, these Master Funds invest in a broad range of derivative instruments such as currency forward and futures contracts; bond, interest rate, and index futures contracts; commodity forward and futures contracts, and options and swaps thereon traded on U.S. and foreign exchanges, as well as over-the-counter (“OTC”).

Graham Alternative Investment Fund I LLC Core Macro Portfolio and Graham Alternative Investment Fund II LLC Core Macro Portfolio (through its investment in Graham Alternative Investment Ltd.) are the primary investors of GAIT.

SEI Global Services, Inc. (“SEI”) is GAIT’s independent administrator and transfer agent. SEI is responsible for certain matters pertaining to the administration of GAIT.

GAIT will terminate on December 31, 2050 or at an earlier date if certain conditions occur as outlined in the Amended and Restated Limited Liability Company Agreement (“LLC Agreement”).

Duties of the Manager

Subject to the terms and conditions of the LLC Agreement, the Manager has complete and exclusive responsibility for managing and administering the affairs of GAIT and for directing the investment and reinvestment of the assets of GAIT.

2. Summary of Significant Accounting Policies

These financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and all amounts are stated in U.S. dollars. GAIT is an investment company and applies specialized accounting guidance as outlined in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies. The preparation of these financial statements requires the Manager to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.

Investments in Master Funds

GAIT invests in various Master Funds which are managed by the Manager. These investments are valued in the accompanying statements of financial condition at fair value in accordance with U.S. GAAP based upon GAIT’s proportionate share of the Master Funds’ reported net asset values. Gains and losses are allocated monthly by each Master Fund to GAIT based upon GAIT’s proportionate share of the net asset value of each Master Fund and are included in the statements of operations and incentive allocation.

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Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Due from/to Brokers

Due from/to brokers on the Master Funds’ financial statements primarily consist of cash balances carried as margin deposits with clearing brokers for the purpose of trading in futures contracts, foreign currency contracts and other derivative financial instruments and securities, and receivables/payables for unsettled transactions. Substantially all of the Master Funds’ cash and investments are held as collateral by its brokers to secure derivative instruments and securities.

Revenue Recognition

All positions in financial instruments are recorded on the trade date at fair value. Net unrealized appreciation or depreciation on open derivative financial instruments is included in the Master Funds’ statements of financial condition as the difference between the original purchase price and the current market value at year end. Any change in net unrealized appreciation or depreciation from the preceding period is reported in the Master Funds’ statements of operations. Interest income and expense are recorded on the accrual basis. Dividends, if any, are recorded on the ex-dividend date and are net of applicable withholding taxes. All other expenses are recorded on the accrual basis. Realized gains and losses are calculated based on the specific identification method.

Brokerage Commissions and Fees

Brokerage commissions and fees on the Master Funds’ financial statements represent all brokerage commissions and other fees incurred in connection with the Master Funds’ trading activity and are recorded on the accrual basis.

Foreign Currency Translation

Assets and liabilities denominated in foreign currencies are translated using the exchange rates at March 31, 2024 and December 31, 2023. Gains and losses resulting from foreign currency transactions are calculated using daily exchange rates prevailing on the transaction date. The Master Funds do not isolate the portion of results of operations from changes in foreign exchange rates on investments and cash from fluctuations arising from changes in market prices of investments held. The Master Funds’ currency translation gains and losses are included in the statements of operations and incentive allocation within net realized gain and net increase (decrease) in unrealized appreciation on investments.

Fair Value

The fair value of GAIT’s assets and liabilities, which qualify as financial instruments under U.S. GAAP, approximates the carrying amounts presented in the statements of financial condition. Changes in these carrying amounts are included in the statements of operations and incentive allocation.

GAIT follows U.S. GAAP for fair value measurements, which defines fair value, establishes a framework for measuring fair value, and requires certain disclosures about fair value measurements. GAIT reports the fair value of its investment related assets and liabilities in accordance with the hierarchy established under U.S. GAAP. U.S. GAAP uses a three-level hierarchy for fair value measurement based on the activeness of the market and the transparency and independence of inputs used in the valuation of an asset or liability as of the measurement date.

19

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Fair Value (continued)

The fair value hierarchy categorizes asset and liability positions into one of three levels, as summarized below, based on the inputs and assumptions used in deriving fair value.

• 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.

GAIT’s investments in the Master Funds and Graham Cash Assets LLC (“Cash Assets”) have been valued at net asset value using the practical expedient. Accordingly, under U.S. GAAP, these investments are excluded from categorization in the fair value hierarchy. GAIT’s investments in the Master Funds and Cash Assets are discussed in Notes 3 and 4. There were no Level 3 assets or liabilities held at any point during the three months ended March 31, 2024 or the year ended December 31, 2023 by GAIT, the Master Funds, or Cash Assets.

Derivative Instruments

In the normal course of business, the Master Funds utilize derivative financial instruments in connection with their trading activities. Derivative instruments derive their value from underlying assets, indices, reference rates or a combination of these factors. Investments in derivative financial instruments are subject to additional risks that can result in a loss of all or part of an investment. The Master Funds’ derivative financial instruments are classified by the following primary underlying risks: interest rate, foreign currency exchange rate, commodity price, and equity price risks. These risks can be in excess of the amounts recognized in the statements of financial condition. In addition, the Master Funds are also subject to additional counterparty risk should their counterparties fail to meet the terms of their contracts. Management of counterparty risk involves a number of considerations, such as the financial profile of the counterparty, specific terms and duration of the contractual agreement, and the value of collateral held, if any. The Master Funds have established initial credit approval, credit limits, and collateral requirements and may reduce their exposure to any counterparties they deem necessary. Trading in non-U.S. dollar denominated derivative instruments may subject the value of, and gains and losses associated with, such contracts to additional risks related to adverse changes in the applicable exchange rates.

Unrealized appreciation and depreciation from derivative financial instruments are recorded based on changes in their fair value. Realized gains and losses are recorded when the positions are closed. All unrealized and realized gains and losses related to derivative financial instruments are included in net realized gain and net increase (decrease) in unrealized appreciation on investments in the Master Funds’ statements of operations.

Futures Contracts

The Master Funds use futures contracts in an attempt to take advantage of changes in the value of equities, commodities, interest rates, bonds, and foreign currencies. Futures contracts are valued based upon the closing price as of the valuation date established by the primary exchange upon which they are traded.

20

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

Futures Contracts (continued)

A futures contract represents a commitment for the future purchase or sale of an asset or cash settlement based on the value of an asset on a specified date. The purchase and sale of futures contracts are executed on an exchange which requires margin deposits with a Futures Commission Merchant (“FCM”). Subsequent payments are made or received by the Master Funds each day, depending on the daily fluctuations in the value of the contract. These changes in valuation are recorded for financial statement purposes as unrealized appreciation and depreciation by the Master Funds. Relative to over-the-counter derivative financial instruments, futures contracts provide reduced counterparty risk to the Master Funds since futures are exchange-traded and the exchanges’ clearing house guarantees the futures against default. However, some non-U.S. exchanges are “principals’ markets” in which no common clearing facility exists, and the Master Funds may look only to the clearing broker for performance of the contract. The U.S. Commodity Exchange Act requires an FCM to segregate all funds received from such FCM’s customers in respect of regulated futures transactions. If the FCM were not to do so to the full extent required by law, the assets of the Master Funds might not be fully protected in the event of the bankruptcy or insolvency of the FCM. In that case, the Master Funds would be limited to potentially recovering only a pro-rata share of all available funds segregated on behalf of the FCM’s combined customer accounts, even though certain property specifically traceable to the Master Funds was held by the FCM. In addition, in the event of bankruptcy or insolvency of an exchange or an affiliated clearing house, the Master Funds might experience a loss of funds deposited through its FCM as margin with such exchange or affiliated clearing house, the loss of unrealized profits on its open positions, and the loss of funds owed to it as realized profits on closed positions.

Forward Contracts

The Master Funds enter into foreign currency forward contracts in an attempt to take advantage of changes in exchange rates. Forward currency transactions are contracts or agreements for delivery of specific currencies or the cash equivalent value at a specified future date and an agreed upon price. Forward contracts are not guaranteed by an exchange or clearing house and therefore the risks include the inability of counterparties to meet their obligations under the terms of the contracts as well as the risks associated with movements in fair value.

All forward contracts are valued based upon a forward curve constructed using independently quoted forward points. Changes in fair value of each forward contract are recognized as unrealized appreciation and depreciation.

21

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

Swap Contracts

The Master Funds may enter into various swap contracts in an attempt to take advantage of changes in commodity prices, interest rates, and asset values. Exchange cleared swap contracts are cleared on an exchange which requires margin deposits with a Central Clearing Counterparty (“CCP”). Subsequent payments are made or received by the Master Funds each day, depending on the daily fluctuations in the value of the contract. These changes in valuation are recorded for financial statement purposes as unrealized appreciation or depreciation by the Master Funds. The Master Funds records realized gains or losses when a swap contract is terminated. Relative to OTC interest rate swap contracts, exchange cleared interest rate swap contracts provide reduced counterparty risk since they are exchange-cleared, and the exchange’s clearinghouse guarantees against default. The Commodity Exchange Act requires a CCP to segregate all funds received from such CCP’s customers in respect of exchange cleared interest rate swaps. If the CCP were not to do so to the full extent required by law, the assets of the Master Funds might not be fully protected in the event of the bankruptcy or insolvency of the CCP. In that case, the Master Funds would be limited to recovering only a pro-rata share of all available funds segregated on behalf of the CCP’s combined customer accounts, even though certain property specifically traceable to the Master Funds is held by the CCP. In addition, in the event of bankruptcy or insolvency of an exchange or an affiliated clearing house, the Master Funds could experience a loss of funds deposited through its CCP as margin with such exchange or affiliated clearing house, the loss of unrealized profits on its open positions, and the loss of funds owed to it as realized profits on closed positions. All funds deposited with both U.S. and non-U.S. CCPs are included in due from brokers on the statement of financial condition of the Master Funds. OTC swap contracts are not guaranteed by an exchange or an affiliated clearing house or regulated by any U.S. or foreign government authorities. Failure of a counterparty to meet its obligation under the terms of the swap contract could result in the loss of any unrealized appreciation on open positions. It may not be possible to dispose of or close out a swap position without the consent of the counterparty, and the Master Funds may not be able to enter into an offsetting contract in order to cover its risk.

An interest rate swap contract is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified rates for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to another. Interest rate swap positions are generally valued as the present value of the net future cash flows as estimated by the Advisor using a discount curve constructed from independently obtained future interest rate assumptions. Interest is calculated and accrued throughout the life of each swap and is included in interest receivable and interest payable on the Master Funds’ statements of financial condition. Payments received at the end of each reset period are recorded against such accruals.

A total return swap contract is an agreement that obligates two parties to exchange cash flows calculated by reference to changes in specified prices for a specified notional amount of the underlying assets. The payment flows are usually netted against each other, with the difference being paid by one party to another. Total return swaps are generally valued based upon the value of the underlying instruments and terms of the contract as determined by the primary exchange on which they are traded.

22

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

Options

The Master Funds may buy and sell covered and uncovered exchange-traded and over-the-counter options on futures, foreign currencies, commodities, interest rates and equities to take advantage of the price movements of the financial instrument underlying the option or to hedge positions in the underlying assets. Option contracts give one party the right, but not the obligation, to buy or sell within a limited time or on a specified date, a financial instrument, commodity, or currency at a contracted price. Options may also be settled in cash, based on differentials between specified indices or prices.

When purchasing options, the Master Funds are exposed to counterparty risk to the extent that a seller of an over-the-counter option does not meet its obligations under the terms of the option contract. The maximum risk of loss to the Master Funds is the unrealized appreciation of the contracts and the premiums paid to purchase its open option contracts. Relative to over-the-counter options, exchange-traded options provide reduced counterparty risk to the Master Funds since the exchanges’ clearinghouse guarantees the option against default.

Selling uncovered options may subject the Master Funds to unlimited risk of loss. As the writer of an option, the Master Funds bear the market risk of an unfavorable change in the price of the underlying instrument.

Exchange-traded options are valued based upon the settlement prices published as of the valuation date by the principal exchange upon which they are traded. In the absence of an exchange published settlement price, the option will be valued using the last reported sales price reported on the exchange for the valuation date. Over-the-counter options and exchange-traded options with no reported sales price on the valuation date will generally be valued at the average of the last reported bid and offer quotes from independent brokers or from the exchange, respectively.

Credit Risk Related Contingent Features

OTC derivative instruments are subject to ISDA Master Agreements which generally require among other things, that the Master Funds maintain a predetermined level of net assets or rate of return and provide limits with respect to any decline in value over 1-month, 3-month and 12-month periods. If the Master Funds were to violate such provisions, the counterparty to these instruments could demand liquidation of the outstanding positions. There were no events that occurred throughout the three months ended March 31, 2024 and the year ended December 31, 2023 which caused any counterparty to demand liquidation of any outstanding positions. Graham K4D Trading Ltd. had derivative instruments subject to credit risk related contingent features in a net liability position in the amount of $0 and $8,339,776 at March 31, 2024 and December 31, 2023, respectively. Graham Commodity Strategies LLC had derivative instruments subject to credit risk related contingent features in a net liability position in the amount of $3,504 and $0 at March 31, 2024 and December 31, 2023, respectively. Graham Derivatives Strategies LLC had derivative instruments subject to credit risk related contingent features in a net liability position of $0 and $4,589 at March 31, 2024 and December 31, 2023, respectively.

New York Mercantile Exchange Corporate Membership

Graham Commodity Strategies LLC, a Master Fund in which GAIT invests, is a member of the New York Mercantile Exchange (“NYMEX”). As a result of its membership, Graham Commodity Strategies LLC owns two NYMEX seats and 30,000 shares of the CME Group. Graham Commodity Strategy LLC’s policy is to value the NYMEX seats and the shares of the CME Group at fair value. As of March 31, 2024 and December 31, 2023, the two NYMEX seats were valued at $370,000 and $240,000, respectively, and the 30,000 shares of CME Group were valued at $6,458,700 and $6,318,000, respectively, all of which are included within Exchange memberships on Graham Commodity Strategies LLC’s statements of financial condition. The NYMEX seats and CME Group shares are considered Level 1 assets as described in the Fair Value section of Note 2.

23

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Chicago Mercantile Exchange Membership

Graham Commodity Strategies LLC, a Master Fund in which GAIT invests, is also a member of the Chicago Mercantile Exchange (“CME”). As a result of its membership, Graham Commodity Strategies LLC owns two CME seats and 2,232 shares of the CME Group. Graham Commodity Strategies LLC’s policy is to value the CME seats and the shares of the CME Group at fair value. As of March 31, 2024 and December 31, 2023, the two CME seats were valued at $431,750 and $382,500, respectively, and the 2,232 shares of CME Group were valued at $480,527 and $470,059, respectively, all of which are included within Exchange memberships on Graham Commodity Strategies LLC’s statement of financial condition. The CME seats and CME Group shares are considered Level 1 assets as described in the Fair Value section of Note 2.

Graham K4D Trading Ltd., a Master Fund in which GAIT invests, is a member of the CME. As a result of its membership, Graham K4D Trading Ltd. owns one CME seat and 4,085 shares of the CME Group. Graham K4D Trading Ltd.’s policy is to value the CME seat and the shares of the CME Group at fair value. As of March 31, 2024 and December 31, 2023, the CME seat was valued at $128,750 and $114,000, respectively, and the 4,085 shares of the CME Group were valued at $879,460 and $860,301, respectively, all of which are included in Exchange memberships on Graham K4D Trading Ltd.’s statement of financial condition. The CME seat and CME Group shares are considered Level 1 assets as described in the Fair Value section of Note 2.

Chicago Board of Trade Membership

As of March 31, 2024, Graham Commodity Strategies LLC, a Master Fund in which GAIT invests, is also a member of the Chicago Board of Trade (“CBOT”) under Rule 106.S and owns 3,265 shares of the CME Group as a result of its CBOT membership. Graham Commodity Strategies LLC’s policy is to value the CME shares at fair value. As of March 31, 2024 and December 31, 2023, the 3,265 shares of the CME Group were valued at $702,922 and $687,609, respectively, all of which are included in Exchange memberships on Graham Commodity LLC’s statement of financial condition. The CBOT membership and CME shares are considered Level 1 assets as described in the Fair Value section of Note 2.

As of March 31, 2024, Graham Derivatives Strategies LLC, a Master Fund in which GAIT invests, is also a member of the CBOT under Rule 106.S and owns one B-1/Full seat (“CBOT membership”). Graham Derivatives Strategies LLC’s policy is to value the CBOT seat at fair value. As of March 31, 2024 and December 31, 2023, the CBOT seat was valued at $332,250 and $309,500, respectively, and is included in Exchange memberships on Graham Derivatives Strategies LLC’s statement of financial condition. The CBOT membership is considered a Level 1 asset as described in the Fair Value section of Note 2.

Graham K4D Trading Ltd., a Master Fund in which GAIT, is also a member of the CBOT under Rule 106.S and owns two B-1/Full seats and one B-2/Associate seat (collectively, “CBOT memberships”). Graham K4D Trading Ltd.’s policy is to value the CBOT memberships at fair value. As of March 31, 2024 and December 31, 2023, the two B-1/Full seats were valued at a total of $664,500 and $619,000, respectively, and the B-2/Associate seat was valued at $49,750 and $60,000, respectively, all of which are included in Exchange memberships on Graham K4D Trading Ltd.’s statements of financial condition. Additionally, Graham K4D Trading Ltd. owns 970 shares of the CME Group as a result of its CBOT membership. Graham K4D Trading Ltd.’s policy is to value the CME Group shares at fair value. As of March 31, 2024 and December 31, 2023, the 970 shares of the CME Group were valued at $208,831 and $204,282, respectively. The CBOT memberships and shares of the CME Group are considered Level 1 assets as described in the Fair Value section of Note 2.

24

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Commodity Exchange Membership

As of March 31, 2024, Graham Commodity Strategies LLC, a Master Fund in which GAIT invests, is also a member of the Commodity Exchange (“COMEX”) and owns two COMEX seats. Graham Commodity Strategies LLC’s policy is to value the COMEX seats at fair value. As of March 31, 2024 and December 31, 2023, the two COMEX seats were valued at $183,000 and $164,500 in total and is included in Exchange memberships on Graham Commodity Strategies LLC’s statement of financial condition. The COMEX seats are considered Level 1 assets as described in the Fair Value section of Note 2.

Fixed Income Securities

The fixed income securities positions, held by the Master Funds where applicable, are valued at the mean between the last reported bid and ask quotations received from independent brokers. GAIT is exposed to credit risk relating to whether the issuers will meet their obligations when they come due until the fixed income securities held by the Master Funds are sold or reach maturity.

Cash and Cash Equivalents

GAIT classifies all highly liquid investments with a maturity of three months or less at the time of purchase as cash equivalents. Cash deposited with a bank is subject to credit risk. In the event of the bank's insolvency, recovery of GAIT’s cash would be limited to account insurance or other protection afforded by such deposit. At March 31, 2024 and

December 31, 2023, GAIT did not have any cash or cash equivalents.

Indemnifications

In the normal course of business, the Master Funds, Cash Assets, and GAIT enter into contracts that contain a variety of indemnifications. Such contracts may include those by Cash Assets and the Master Funds with their brokers and trading counterparties. GAIT’s maximum exposure under these arrangements is unknown; however, GAIT has not had prior claims or losses with respect to such indemnifications and considers the risk of loss to be remote. At March 31, 2024 and December 31, 2023, no accruals have been recorded by GAIT for indemnifications.

25

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds

As of March 31, 2024 and December 31, 2023, GAIT invested in various Master Funds, all of which were managed by the Manager. GAIT’s investments in these Master Funds, as well as the investment objectives of each Master Fund, are summarized below. All of the Master Funds and GAIT are related parties. The Master Funds do not charge management fees or incentive allocation, and all offer monthly subscriptions and redemptions.

March 31, 2024
Investment – Objective	Percent of Members’ Capital		Fair Value		Net Income (Loss) (three months ended March 2024)
Global Macro Funds
Graham Commodity Strategies LLC		2.83%	$	1,918,887	$	1,634,015
Graham Derivatives Strategies LLC		1.48%		1,000,941		(513,381	)
Systematic Macro Funds
Graham K4D Trading Ltd.		5.10%		3,455,478		4,629,072
		9.41%	$	6,375,306	$	5,749,706

December 31, 2023
Investment – Objective	Percent of Members’ Capital		Fair Value		Net Loss (three months ended March 2023)
Global Macro Funds
Graham Commodity Strategies LLC		3.90%	$	2,529,772	$	(121,521	)
Graham Derivatives Strategies LLC		1.31%		850,235		(719,679	)
Systematic Macro Funds
Graham K4D Trading Ltd.		4.95%		3,209,436		(699,096	)
		10.16%	$	6,589,443	$	(1,540,296	)

The following table summarizes the financial position of each Master Fund as of March 31, 2024:

	Graham Commodity Strategies LLC (Delaware)			Graham Derivatives Strategies LLC (Delaware)			Graham K4D Trading Ltd. (BVI)
Assets:
Fixed income securities, at fair value (cost $15,756,436)	$	–		$	–		$	15,847,027
Due from brokers		49,824,092			8,928,778			23,498,341
Derivative financial instruments, at fair value		491,070			20,211,787			25,430,817
Exchange memberships, at fair value		8,626,899			332,250			1,931,291
Interest receivable		244,158			94,474			161,763
Total assets		59,186,219			29,567,289			66,869,239
Liabilities:
Interest payable		16,463			25,218			97,158
Total liabilities		16,463			25,218			97,158
Members’ Capital / Net Assets	$	59,169,756		$	29,542,071		$	66,772,081
Percentage of Master Fund held by GAIT		3.24	%		3.39	%		5.18	%

26

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of March 31, 2024:

Description	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)	$	8,626,899			14.58	%
Total exchange memberships	$	8,626,899			14.58	%
Derivative financial instruments
Long contracts
Futures
Commodity	$	3,121,856			5.28	%
Foreign bond		(15,238	)		(0.03	)%
Foreign index		191,737			0.32	%
Interest rate		(79,564	)		(0.13	)%
U.S. bond		(1,535,727	)		(2.60	)%
U.S. index		(226,595	)		(0.38	)%
Total futures		1,456,469			2.46	%
Forwards
Foreign currency		(503,200	)		(0.85	)%
Total forwards		(503,200	)		(0.85	)%
Options (cost $791,039)
Currency futures		843,255			1.42	%
U.S. bond futures		34,828			0.06	%
U.S. index futures		98,120			0.17	%
Total options		976,203			1.65	%

27

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of March 31, 2024:

Description	Fair Value			Percentage of Members’ Capital of Master Fund
Graham Commodity Strategies LLC (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Commodity	$	(60,015	)		(0.09	)%
Foreign bond		(923,418	)		(1.56	)%
Foreign index		(3,820	)		(0.01	)%
Interest rate		24,963			0.04	%
U.S. bond		(45,343	)		(0.08	)%
Total futures		(1,007,633	)		(1.70	)%
Forwards
Foreign currency		271,016			0.46	%
Total forwards		271,016			0.46	%
Options (proceeds $550,602)
Currency futures		(524,608	)		(0.89	)%
U.S. bond futures		(94,609	)		(0.16	)%
U.S. index futures		(82,568	)		(0.14	)%
Total options		(701,785	)		(1.19	)%
Total derivative financial instruments	$	491,070			0.83	%

28

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of March 31, 2024:

Description		Number of Contracts /Notional Amounts	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)			$	332,250			1.12	%
Total exchange memberships			$	332,250			1.12	%
Derivative financial instruments
Long contracts
Futures
Commodity
Gold 100 oz June 2024		89	$	180,210			0.61	%
WTI crude May 2024 - June 2024		268		204,640			0.69	%
Other commodity				44,198			0.16	%
Foreign index				944,272			3.20	%
U.S. bond				39,188			0.13	%
U.S. index
S&P 500 E-mini June 2024		363		172,250			0.58	%
Other U.S. index				(19,300	)		(0.07	)%
Total futures				1,565,458			5.30	%
Forwards
Chinese yuan / U.S. dollar 04/02/2024 - 04/03/2024	CH¥	1,140,703,152		(168,722	)		(0.57	)%
Japanese yen / U.S. dollar 04/02/2024	JP¥	16,842,509,726		(7,537	)		(0.03	)%
Mexican peso / U.S. dollar 04/01/2024 - 04/02/2024	Mex$	3,421,673,734		498,833			1.69	%
Swiss franc / U.S. dollar 04/02/2024 - 04/03/2024	₣	77,901,370		296,310			1.00	%
Other foreign currency				350,690			1.19	%
Total forwards				969,574			3.28	%

29

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

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 (cost $38,146,339)
Commodity futures
Crude oil future July 2024, $85.00 Call		1	$	1,371,080		4.64	%
Gold future (CMX) June 2024, $2,225.00 Call		1		2,818,610		9.54	%
Gold future (CMX) June 2024, $2,300.00 Call		1		829,980		2.81	%
Gold future (CMX) September 2024, $2,325.00 Call		1		5,019,600		16.99	%
Currency
U.S. dollar / Chinese yuan April 2024 - May 2024, $7.27 - $7.30 Call		3		1,578,180		5.34	%
U.S. dollar / Chinese yuan (Digital) September 2024, $7.50 Call		1		616,673		2.09	%
U.S. dollar / Chinese yuan July 2024, $7.33 Call		1		1,552,785		5.26	%
U.S. dollar / Mexican peso July 2024, $16.50 Put		1		1,751,980		5.93	%
U.S. dollar / Mexican peso (Digital) May 2024, $16.40 Put		1		728,988		2.47	%
U.S. dollar / Mexican peso May 2024, $16.80 Put		1		1,315,140		4.45	%
U.S. dollar / Japanese yen April 2024, $150.25 Put		1		397,131		1.34	%
U.S. dollar / Japanese yen April 2024 - September 2024, $149.50 - $155.00 Call		3		3,025,833		10.24	%
U.S. dollar / Japanese yen (Digital) April 2024 - October 2024, $155.50 - $159.50 Call		2		861,935		2.92	%
U.S. dollar / Japanese yen (erko 153.00 - 153.75) April 2024, $150.50 - $151.00 Call		2		891,105		3.02	%
U.S. dollar / Swiss franc April 2024 - May 2024, $0.89 - $0.91 Put		2		1,803,279		6.10	%
Other currency				368,577		1.26	%
U.S. index futures
S&P 500 E-mini April 2024, $5,325.00 Call		1		1,202,863		4.07	%
S&P 500 E-mini December 2024, $5,500.00 Call		1		14,630,400		49.52	%
S&P 500 E-mini December 2024, $5,850.00 Call		1		6,477,000		21.92	%
S&P 500 E-mini June 2024, $5,300.00 Call		1		2,753,438		9.32	%
Total options				49,994,577		169.23	%

30

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of March 31, 2024:

Description	Notional Amounts / 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				$	(26,380	)		(0.09	)%
U.S. bond					(102,977	)		(0.35	)%
Total futures					(129,357	)		(0.44	)%
Forwards
Chinese yuan / U.S. dollar 04/02/2024 - 04/03/2024	CN¥	(992,732,460	)		177,043			0.60	%
Japanese yen / U.S. dollar 04/02/2024	JP¥	(12,035,133,026	)		(26,131	)		(0.09	)%
Mexican peso / U.S. dollar 04/01/2024 - 04/02/2024	Mex$	(2,933,499,215	)		(220,342	)		(0.75	)%
Swiss franc / U.S. dollar 04/02/2024 - 04/03/2024	₣	(143,965,989	)		(668,565	)		(2.26	)%
Other foreign currencys					(583,173	)		(1.97	)%
Total forwards					(1,321,168	)		(4.47	)%
Options (proceeds $21,460,662)
Commodity futures
Crude Oil Future July 2024, $87.50 Call		(1	)		(936,200	)		(3.17	)%
Gold Future (CMX) June 2024, $2,325.00 - $2,400.00 Call		(2	)		(1,450,590	)		(4.91	)%
Gold Future (CMX) September 2024, $2,500.00 Call		(1	)		(1,922,400	)		(6.51	)%
Currency
U.S. dollar / Chinese yuan May 2024 - July 2024, $7.40 - $7.45 Call		(2	)		(1,111,676	)		(3.76	)%
U.S. dollar / Japanese yen April 2024, $148.75 Put		(1	)		(181,646	)		(0.61	)%
U.S. dollar / Japanese yen April 2024 - September 2024, $153.50 - $160.00 Call		(3	)		(1,136,193	)		(3.85	)%
U.S. dollar / Mexican peso May 2024 - July 2024, $16.15 - $16.50 Put		(2	)		(1,390,107	)		(4.71	)%
U.S. dollar / Swiss franc May 2024, $0.92 Call		(1	)		(275,008	)		(0.93	)%
U.S. index futures
S&P 500 E-mini April 2024, $5,375.00 Call		(1	)		(748,563	)		(2.53	)%
S&P 500 E-mini December 2024, $5,650.00 Call		(1	)		(11,372,851	)		(38.49	)%
S&P 500 E-mini December 2024, $5,750.00 Call		(1	)		(8,667,750	)		(29.34	)%
S&P 500 E-mini June 2024, $5,400.00 Call		(1	)		(1,674,313	)		(5.67	)%
Total options					(30,867,297	)		(104.48	)%
Total derivative financial instruments				$	20,211,787			68.42	%

31

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of March 31, 2024:

Description	Principal Amount		Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd.
Fixed income securities (cost $15,756,436)
Government Bonds (cost $15,756,436)
United States (cost $15,756,436)
U.S. Treasury bill 0.00% due 06/06/2024	$	16,000,000	$	15,847,027			23.73	%
Total Government Bonds				15,847,027			23.73	%
Total fixed income securities (cost $15,756,436)			$	15,847,027			23.73	%
Exchange memberships (cost $1,924,208)
United States (cost $1,924,208)
Financial services (cost $1,924,208)			$	1,931,291			2.89	%
Total exchange memberships			$	1,931,291			2.89	%
Derivative financial instruments
Long contracts
Futures
Commodity			$	5,621,935			8.42	%
Currency				246,378			0.37	%
Foreign bond				1,495,915			2.24	%
Foreign index				5,524,392			8.27	%
Interest rate				(331	)		(0.00	)%
U.S. bond				12,500			0.02	%
U.S. index				2,249,910			3.37	%
Total futures				15,150,699			22.69	%
Forwards
Foreign currency				(619,775	)		(0.93	)%
Total forwards				(619,775	)		(0.93	)%
Swaps (cost $3,245,570)
Interest rate				2,733,470			4.09	%
Total swaps				2,733,470			4.09	%

32

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of March 31, 2024:

Description	Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd. (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Commodity	$	(1,379,198	)		(2.07	)%
Currency		55,442			0.08	%
Foreign bond		(135,962	)		(0.20	)%
Foreign index		(34,193	)		(0.05	)%
Interest rate		1,867,379			2.81	%
U.S. bond		216,632			0.32	%
U.S. index		(278,390	)		(0.42	)%
Total futures		311,710			0.47	%
Forwards
Foreign currency		8,497,125			12.73	%
Total forwards		8,497,125			12.73	%
Swaps (proceeds $1,309,060)
Interest rate		(642,412	)		(0.96	)%
Total swaps		(642,412	)		(0.96	)%
Total derivative financial instruments	$	25,430,817			38.09	%

33

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the fair value classification of each investment type by Master Fund as of March 31, 2024:

	Graham Commodity Strategies LLC			Graham Derivatives Strategies LLC			Graham K4D Trading Ltd.
Assets
Level 1:
Commodity futures	$	3,218,985		$	432,498		$	6,453,610
Commodity futures options		–			10,039,270			–
Currency futures		–			–			312,975
Exchange memberships*		8,626,899			332,250			1,931,291
Foreign bond futures		–			–			1,509,327
Foreign index futures		191,737			944,272			5,525,751
Interest rate futures		64,460			–			1,958,650
U.S. bond futures		42,282			88,906			297,921
U.S. bond futures options		34,828			–			–
U.S. index futures		–			172,250			2,249,910
U.S. index futures options		98,120			25,063,699			–
Total Level 1		12,277,311			37,073,145			20,239,435
Level 2:
Currency options		843,255			14,891,607			–
Foreign currency forwards		3,011,636			1,819,986			8,934,523
Government bonds*		–			–			15,847,027
Interest rate swaps		–			–			3,603,880
Total Level 2		3,854,891			16,711,593			28,385,430
Total investment related assets	$	16,132,202		$	53,784,738		$	48,624,865
Liabilities
Level 1:
Commodity futures	$	(157,144	)	$	(29,830	)	$	(2,210,873	)
Commodity futures options		–			(4,309,190	)		–
Currency futures		–			–			(11,155	)
Foreign bond futures		(938,656	)		–			(149,374	)
Foreign index futures		(3,820	)		–			(35,552	)
Interest rate futures		(119,061	)		–			(91,602	)
U.S. bond futures		(1,623,352	)		(152,695	)		(68,789	)
U.S. bond futures options		(94,609	)		–			–
U.S. index futures		(226,595	)		(19,300	)		(278,390	)
U.S. index futures options		(82,568	)		(22,463,475	)		–
Total Level 1		(3,245,805	)		(26,974,490	)		(2,845,735	)
Level 2:
Currency options		(524,608	)		(4,094,631	)		–
Foreign currency forwards		(3,243,820	)		(2,171,580	)		(1,057,173	)
Interest rate swaps		–			–			(1,512,822	)
Total Level 2		(3,768,428	)		(6,266,211	)		(2,569,995	)
Total investment related liabilities	$	(7,014,233	)	$	(33,240,701	)	$	(5,415,730	)

* See each Master Fund’s condensed schedule of investments for breakout of industry and geographic region.

34

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities categorized by primary underlying risk of Graham Commodity Strategies LLC based on its quarterly notional amounts and number of contracts for the three months ended March 31, 2024. The table also displays the fair value of derivative contracts held by Graham Commodity Strategies LLC at March 31, 2024 categorized by primary underlying risk. The fair value of derivative contracts is included in derivative financial instruments on the statements of financial condition. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and derivative liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.

	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities
Commodity price
Futures	$	160,380,371		1,160	$	(5,959,760	)		(59	)	$	3,218,985	$	(157,144	)
		160,380,371		1,160		(5,959,760	)		(59	)		3,218,985		(157,144	)
Equity price
Futures		316,849,034		1,251		(1,153,900	)		(22	)		191,737		(230,415	)
Options (a)		10,884,495		496		(12,564,344	)		(903	)		98,120		(82,568	)
		327,733,529		1,747		(13,718,244	)		(925	)		289,857		(312,983	)
Foreign currency exchange rate
Forwards		1,115,618,068		N/A		(1,361,481,035	)		N/A			3,011,636		(3,243,820	)
Options (a)		54,131,707		32		(44,119,956	)		(23	)		843,255		(524,608	)
		1,169,749,775		32		(1,405,600,991	)		(23	)		3,854,891		(3,768,428	)
Interest rate
Futures		2,744,729,284		13,328		(294,576,873	)		(796	)		106,742		(2,681,069	)
Options (a)		6,638,794		365		(10,523,395	)		(1,584	)		34,828		(94,609	)
		2,751,368,078		13,693		(305,100,268	)		(2,380	)		141,570		(2,775,678	)
Total	$	4,409,231,753		16,632	$	(1,730,379,263	)		(3,387	)	$	7,505,303	$	(7,014,233	)

(a) Notional amounts for options are based on the delta-adjusted positions.

35

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities categorized by primary underlying risk of Graham Derivatives Strategies LLC based on its quarterly notional amounts and number of contracts for the three months ended March 31, 2024. The table also displays the fair value of derivative contracts held by Graham Derivatives Strategies LLC at March 31, 2024 categorized by primary underlying risk. The fair value of derivative contracts is included in derivative financial instruments on the statements of financial condition. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and derivative liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.

	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities
Commodity price
Futures	$	69,606,380		628	$	(10,273,180	)		(95	)	$	432,498	$	(29,830	)
Options (a)		193,339,923		2,353		(93,807,632	)		(2,353	)		10,039,270		(4,309,190	)
		262,946,303		2,981		(104,080,812	)		(2,448	)		10,471,768		(4,339,020	)
Equity price
Futures		249,357,680		2,126		–			–			1,116,522		(19,300	)
Options (a)		395,415,439		3,906		(363,852,765	)		(3,906	)		25,063,699		(22,463,475	)
		644,773,119		6,032		(363,852,765	)		(3,906	)		26,180,221		(22,482,775	)
Foreign currency exchange rate
Forwards		757,415,037		N/A		(837,042,724	)		N/A			1,819,986		(2,171,580	)
Options (a)		748,301,928		19		(416,964,051	)		(13	)		14,891,607		(4,094,631	)
		1,505,716,965		19		(1,254,006,775	)		(13	)		16,711,593		(6,266,211	)
Interest rate
Futures		30,729,469		257		(159,917,578	)		(958	)		88,906		(152,695	)
		30,729,469		257		(159,917,578	)		(958	)		88,906		(152,695	)
Total	$	2,444,165,856		9,289	$	(1,881,857,930	)		(7,325	)	$	53,452,488	$	(33,240,701	)

(a) Notional amounts for options are based on the delta-adjusted positions.

36

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities categorized by primary underlying risk of Graham K4D Trading Ltd. based on its quarterly notional amounts and number of contracts for the three months ended March 31, 2024. The table also displays the fair value of derivative contracts held by Graham K4D Trading Ltd. at March 31, 2024 categorized by primary underlying risk. The fair value of derivative contracts is included in derivative financial instruments on the statements of financial condition. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and derivative liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.

	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities
Commodity price
Futures	$	236,727,406		2,483	$	(91,630,503	)		(2,372	)	$	6,453,610	$	(2,210,873	)
		236,727,406		2,483		(91,630,503	)		(2,372	)		6,453,610		(2,210,873	)
Equity price
Futures		406,807,924		3,410		(36,113,967	)		(347	)		7,775,661		(313,942	)
		406,807,924		3,410		(36,113,967	)		(347	)		7,775,661		(313,942	)
Foreign currency exchange rate
Forwards		150,602,138		N/A		(610,438,187	)		N/A			8,934,523		(1,057,173	)
Futures		19,425,071		201		(5,209,809	)		(75	)		312,975		(11,155	)
		170,027,209		201		(615,647,996	)		(75	)		9,247,498		(1,068,328	)
Interest rate
Futures		233,080,748		1,537		(1,565,921,575	)		(8,692	)		3,765,898		(309,765	)
Swaps		123,500,065		51		(122,531,731	)		(47	)		3,603,880		(1,512,822	)
		356,580,813		1,588		(1,688,453,306	)		(8,739	)		7,369,778		(1,822,587	)
Total	$	1,170,143,352		7,682	$	(2,431,845,772	)		(11,533	)	$	30,846,547	$	(5,415,730	)

37

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

When multiple derivative contracts are held with the same counterparty, the Master Funds will net the contracts in an asset position with the contracts in a liability position when covered by a master netting agreement or similar arrangements, for presentation in the statements of financial condition. The table below displays the amounts at March 31, 2024 by which the fair values of both derivative assets and derivative liabilities were reduced within the Master Funds’ statements of financial condition as a result of this netting. Gross amounts below correspond to the total derivative asset and derivative liability balances categorized by primary underlying risk and product type in the preceding tables. Collateral pledged (received) for derivative assets and derivative liabilities represent the cash amounts which are included in due from brokers on the statements of financial condition. Actual collateral pledged or received by the Master Funds may exceed these amounts.

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	$	7,505,303		$	(7,014,233	)	$	491,070	$	–	$	491,070
Derivative liabilities	$	(7,014,233	)	$	7,014,233		$	–	$	–	$	–
Graham Derivatives Strategies LLC2
Derivative assets	$	53,452,488		$	(33,240,701	)	$	20,211,787	$	–	$	20,211,787
Derivative liabilities	$	(33,240,701	)	$	33,240,701		$	–	$	–	$	–
Graham K4D Trading Ltd.3
Derivative assets	$	30,846,547		$	(5,415,730	)	$	25,430,817	$	–	$	25,430,817
Derivative liabilities	$	(5,415,730	)	$	5,415,730		$	–	$	–	$	–

¹ Net derivative asset amounts presented in the statements of financial condition are held with two counterparties. At March 31, 2024, additional collateral pledged in the amount of $49,824,092 was posted in support of derivative positions and is included in due from brokers on the statements of financial condition.

² Net derivative asset amounts presented in the statements of financial condition are held with two counterparties. At March 31, 2024, additional collateral pledged in the amount of $8,928,778 was posted in support of derivative positions and is included in due from brokers on the statements of financial condition.

³ Net derivative asset amounts presented in the statements of financial condition are held with two counterparties. At March 31, 2024, additional collateral pledged in the amount of $23,498,341 was posted in support of derivative positions and is included in due from brokers on the statements of financial condition.

38

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the results of operations of each Master Fund for the three months ended March 31, 2024:

	Graham Commodity Strategies LLC			Graham Derivatives Strategies LLC			Graham K4D Trading Ltd.
Net investment income	$	858,869		$	259,387		$	230,941
Net realized gain (loss) on investments		51,094,605			(14,666,218	)		43,897,498
Net (decrease) increase in unrealized appreciation on investments		(2,268,369	)		759,986			42,815,316
Brokerage commissions and fees		(169,453	)		(733,674	)		(71,108	)
Net gain (loss) on investments		48,656,783			(14,639,906	)		86,641,706
Net income (loss)	$	49,515,652		$	(14,380,519	)	$	86,872,647

39

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the gains and losses on all derivative instruments held by the Master Funds reported in net realized gain (loss) and net increase (decrease) in unrealized appreciation on investments in their statements of operations segregated by primary underlying risk and contract type for the three months ended March 31, 2024:

	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 increase in unrealized appreciation on investments
Commodity price
Futures	$	1,858,991		$	3,066,344		$	2,875,368		$	348,580		$	14,878,092		$	9,073,763
Options		880			–			1,822,784			1,331,536			–			–
		1,859,871			3,066,344			4,698,152			1,680,116			14,878,092			9,073,763
Equity price
Futures		20,337,053			(1,088,163	)		4,505,154			1,097,222			37,300,430			6,003,007
Options		93,678			(9,650	)		(2,140,763	)		964,740			–			–
		20,430,731			(1,097,813	)		2,364,391			2,061,962			37,300,430			6,003,007
Foreign currency exchange rate
Forwards		(2,356,686	)		(2,128,559	)		4,483,738			(299,574	)		(3,171,972	)		16,544,783
Futures		–			–			–			–			13,904			557,704
Options		250,287			78,819			(18,406,256	)		(2,581,588	)		–			–
		(2,106,399	)		(2,049,740	)		(13,922,518	)		(2,881,162	)		(3,158,068	)		17,102,487
Interest rate
Futures		17,482,537			(3,580,847	)		(8,029,546	)		174,557			(5,766,461	)		10,567,083
Options		44,682			42,879			1,945,259			–			–			–
Swaps		–			–			–			–			146,306			953
		17,527,219			(3,537,968	)		(6,084,287	)		174,557			(5,620,155	)		10,568,036
Total	$	37,711,422		$	(3,619,177	)	$	(12,944,262	)	$	1,035,473		$	43,400,299		$	42,747,293

40

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the financial position of each Master Fund as of December 31, 2023:

	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	%

41

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2023:

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	%

42

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2023:

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	%

43

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2023:

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	%

44

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2023:

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	%

45

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2023:

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	%

46

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2023:

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	)%

47

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the fair value classification of each investment type by Master Fund as of December 31, 2023:

	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	)

* See each Master Fund’s condensed schedule of investments for breakout of industry and geographic region.

48

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities categorized by primary underlying risk of Graham Commodity Strategies LLC based on its average quarterly notional amounts and number of contracts for the year ended December 31, 2023. The table also displays the fair value of derivative contracts held by Graham Commodity Strategies LLC at December 31, 2023 categorized by primary underlying risk. The fair value of derivative contracts is included in derivative financial instruments on the Master Funds’ statements of financial condition. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and derivative liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.

	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.

49

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities categorized by primary underlying risk of Graham Derivatives Strategies LLC based on its average quarterly notional amounts and number of contracts for the year ended December 31, 2023. The table also displays the fair value of derivative contracts held by Graham Derivatives Strategies LLC at December 31, 2023 categorized by primary underlying risk. The fair value of derivative contracts is included in derivative financial instruments on the Master Funds’ statements of financial condition. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and derivative liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.

	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.

50

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities categorized by primary underlying risk of Graham K4D Trading Ltd. based on its average quarterly notional amounts and number of contracts for the year ended December 31, 2023. The table also displays the fair value of derivative contracts held by Graham K4D Trading Ltd. at December 31, 2023 categorized by primary underlying risk. The fair value of derivative contracts is included in derivative financial instruments on the Master Funds’ statements of financial condition. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and derivative liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.

	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	)

51

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

When multiple derivative contracts are held with the same counterparty, the Master Funds will net the contracts in an asset position with the contracts in a liability position when covered by a master netting agreement or similar arrangements, for presentation in the statements of financial condition. The table below displays the amounts at December 31, 2023 by which the fair values of both derivative assets and derivative liabilities were reduced within the Master Funds’ statements of financial condition as a result of this netting. Gross amounts below correspond to the total derivative asset and derivative liability balances categorized by primary underlying risk and product type in the preceding tables. Collateral pledged (received) for derivative assets and derivative liabilities represent the cash amounts which are included in due from brokers on the statements of financial condition. Actual collateral pledged or received by the Master Funds may exceed these amounts.

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	$	–

¹ Net derivative asset amounts presented in the statement of financial condition are held with two counterparties. At December 31, 2023, additional collateral pledged in the amount of $67,777,624 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.

² Net derivative asset amounts presented in the statement of financial condition are held with two counterparties. At December 31, 2023, additional collateral pledged in the amount of $8,226,511 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.

³ Net derivative liability amounts presented in the statements of financial condition are held with two counterparties. The Fund has pledged collateral to both of those counterparties as of December 31, 2023. At December 31, 2023, additional collateral pledged in the amount of $36,288,990 was posted in support of derivative positions and is included in due from brokers on the statements of financial condition.

52

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the results of operations of each Master Fund for the three months ended March 31, 2023:

	Graham Commodity Strategies LLC			Graham Derivatives Strategies LLC			Graham K4D Trading Ltd.
Net investment income	$	1,133,816		$	192,123		$	307,533
Net realized gain (loss) on investments		33,353,429			(5,212,467	)		(1,599,156	)
Net decrease in unrealized appreciation on investments		(41,831,166	)		(22,189,131	)		(7,854,053	)
Brokerage commissions and fees		(421,231	)		(1,520,610	)		(64,539	)
Net loss on investments		(8,898,968	)		(28,922,208	)		(9,517,748	)
Net loss	$	(7,765,152	)	$	(28,730,085	)	$	(9,210,215	)

The following table shows the gains and losses on all derivative instruments held by the Master Funds reported in net realized gain and net increase (decrease) in unrealized appreciation on investments in their statements of operations segregated by primary underlying risk and contract type for the three months ended March 31, 2023:

	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 decrease in unrealized appreciation on investments
Commodity price
Futures	$	5,682,543		$	(1,602,173	)	$	400,350		$	76,950		$	(7,252,570	)	$	(4,233,476	)
Options		–			–			(969,870	)		94,360			–			–
		5,682,543			(1,602,173	)		(569,520	)		171,310			(7,252,570	)		(4,233,476	)
Equity price
Futures		10,241,344			(1,271,375	)		(2,079,642	)		283,691			(3,529,516	)		11,775,990
Options		90,575			(44,412	)		385,237			(2,101,545	)		–			–
		10,331,919			(1,315,787	)		(1,694,405	)		(1,817,854	)		(3,529,516	)		11,775,990
Foreign currency exchange rate
Forwards		(6,298,336	)		1,917,095			(330,620	)		42,550			4,521,274			(4,234,389	)
Futures		–			–			–			–			105,358			(95,076	)
Options		2,315,977			(4,572,080	)		(137,521	)		(12,794,002	)		–			–
		(3,982,359	)		(2,654,985	)		(468,141	)		(12,751,452	)		4,626,632			(4,329,465	)
Interest rate
Futures		29,718,604			(30,683,437	)		(1,525,487	)		(1,018,246	)		4,189,029			(11,054,144	)
Options		–			486,214			(4,146,899	)		(5,853,847	)		–			–
Swaps		–			–			–			–			(21,709	)		(111,189	)
		29,718,604			(30,197,223	)		(5,672,386	)		(6,872,093	)		4,167,320			(11,165,333	)
Total	$	41,750,707		$	(35,770,168	)	$	(8,404,452	)	$	(21,270,089	)	$	(1,988,134	)	$	(7,952,284	)

53

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC

GAIT invests a portion of its excess liquidity in Cash Assets, an entity for which the Manager is also the sole investment advisor. Cash Assets commenced operations on June 22, 2005 and was formed as a Delaware Limited Liability Company for the purpose of consolidating investment activity of multiple funds managed by the Manager. Its objective is to preserve capital while enhancing return on cash balances and providing daily liquidity. Cash Assets maintains cash and cash equivalents on deposit with major U.S. institutions, which may exceed federally insured limits. It also invests in debt obligations guaranteed by the U.S. Federal government, which generally range in maturity from one day to thirty months. Cash Assets  currently intends to hold all fixed income securities until maturity and values them at amortized cost which approximates fair value.  If Cash Assets were forced to sell some of its securities in the open market before they mature to meet unanticipated redemption requests (whether from GAIT or other entities affiliated with the Manager), the market value of the securities at such time may be below their amortized cost, causing a loss for GAIT’s investors. GAIT’s investment in Cash Assets is valued in the accompanying statements of financial condition at fair value in accordance with U.S. GAAP based upon GAIT’s proportionate share of Cash Assets’ reported net asset value. GAIT’s investment in Cash Assets at

March 31, 2024 and December 31, 2023 is $62,016,363 and $59,261,119 which represents a percentage of GAIT’s Members’ Capital of 91.56% and 91.33%, respectively.

GAIT records its proportionate share of Cash Assets’ investment income and expenses on a monthly basis.  For the three months ended March 31, 2024 and 2023, the total amount recognized by GAIT with respect to its investment in Cash Assets was $756,689 and $363,869, respectively.  These amounts are included in interest income in the statements of operations and incentive allocation. At March 31, 2024 and December 31, 2023, GAIT owned approximately 0.91% and 1.02%, respectively, of Cash Assets. The following table summarizes the financial position of Cash Assets as of March 31, 2024 and December 31, 2023:

	March 31, 2024		December 31, 2023
Assets:
Cash and cash equivalents	$	336,940,119	$	460,097,864
Investments in fixed income securities (amortized cost $6,747,232,435 and $5,504,095,501 respectively)		6,747,232,435		5,504,095,501
Interest receivable		19,936,322		9,828,433
Total assets		7,104,108,876		5,974,021,798
Liabilities:
Due to broker		294,020,288		141,603,651
Total liabilities		294,020,288		141,603,651
Members’ capital	$	6,810,088,588	$	5,832,418,147

54

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC (continued)

The following table summarizes the results of operations of Cash Assets for the three months ended March 31, 2024 and 2023:

	2024		2023
Investment income
Interest income	$	79,115,568	$	38,777,148
Expenses:
Bank fee expense		194,172		153,013
Total expenses		194,172		153,013
Net investment income		78,921,396		38,624,135
Net income	$	78,921,396	$	38,624,135

The following represents the condensed schedule of investments of Cash Assets as of March 31, 2024:

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Investments in Fixed Income Securities (amortized cost $6,747,232,435)
United States
Government Bonds (amortized cost $2,187,125,664)
U.S. Treasury bond 0.75% due 04/30/2026	$	500,000,000	$	463,264,689		6.80%
U.S. Treasury bond 0.88% due 09/30/2026		500,000,000		458,682,804		6.74%
U.S. Treasury bond 1.63% due 05/15/2026		500,000,000		473,759,964		6.96%
U.S. Treasury bond 3.75% due 04/15/2026		500,000,000		491,418,208		7.22%
U.S. Treasury bond 2.13% due 03/31/2024		300,000,000		299,999,999		4.40%
Total Government Bonds				2,187,125,664		32.12%
Treasury Bills (amortized cost $4,560,106,771)
U.S. Treasury bills 0.00% due 04/02/2024 – 08/29/2024		4,600,000,000		4,560,106,771		66.96%
Total Treasury Bills				4,560,106,771		66.96%
Total United States				6,747,232,435		99.08%
Total Investments in Fixed Income Securities			$	6,747,232,435		99.08%

55

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC (continued)

The following represents the condensed schedule of investments of Cash Assets as of December 31, 2023:

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%

Cash Assets reports the fair value of its investment related assets and liabilities in accordance with the hierarchy established under U.S. GAAP. The following table shows the fair value classification of each investment type held by Cash Assets as of March 31, 2024 and December 31, 2023:

	March 31, 2024		December 31, 2023
Assets
Level 2:
Fixed income securities
Government bonds	$	2,187,125,664	$	2,780,805,691
Treasury bills		4,560,106,771		2,723,289,810
Total fixed income securities		6,747,232,435		5,504,095,501
Total Level 2		6,747,232,435		5,504,095,501
Total assets	$	6,747,232,435	$	5,504,095,501

56

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

5. Capital Accounts

GAIT offers members Class 0 and Class 2 Units, and effective March 19, 2024, formed Class 3-A Units and Class 3-B Units (collectively the “Units”). Class 0 Units and Class 2 Units are currently issued. As of March 31, 2024, there were no subscriptions or redemptions of Class 3-A Units and Class 3-B Units. GAIT may issue additional classes in the future subject to different fees, expenses or other terms, or invest in other investment programs or combinations of investment programs managed by the Manager. GAIT also has Management Units (“Class M units”) which are solely for the investment of the Manager.

A separate capital account is maintained for each member with respect to each Class of Units held by such member. The initial balance of each Member’s Capital account is equal to the initial contribution to GAIT with respect to the Class to which such capital account relates. Each Member’s Capital Account is increased by any additional subscription and decreased by any redemption by such member of Units of such Class to which the capital account relates. All income and expenses of GAIT are allocated among the capital accounts of the members in proportion to the balance that each capital account bears to the balance of all capital accounts as of the beginning of such fiscal period.

Subscriptions

Units may be purchased at a price equal to the Net Asset Value per Unit of the relevant Class as of the immediately preceding Valuation Day, as defined in the LLC Agreement. There is no minimum subscription amount.

Units are available for subscription as of the first business day of each month upon written notice of at least three business days prior to the last business day of the preceding month.

Redemptions

Units are not subject to any minimum holding period. Members may redeem Units at the Net Asset Value thereof as of the last business day of each month upon not less than three business days’ prior written notice to the administrator.

6. Fees and Related Party Transactions

Advisory Fees

Class 0 and Class 2 of GAIT paid the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate of 1.50% of the Members’ Capital of such Class. Class 3-A and Class 3-B have an advisory fee at an aggregate annual rate of 1.50% and 2.00% of the Members’ Capital of such Class, respectively. The Advisory Fee is payable monthly in arrears calculated as of the last business day of each month and any other date the Manager may permit, in its sole and absolute discretion, as of which any subscription or redemption is affected with respect to Units of such Class during the month. Class M has no sponsor fee. The Advisory Fees paid to the Manager by Class 0 and Class 2 for the three months ended March 31, 2024 and 2023 were $243,556 and $227,889, respectively.

57

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

6. Fees and Related Party Transactions (continued)

Sponsor Fees

Class 0 and Class 2 of GAIT paid the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate of the Members’ Capital specified in the table below. Class 3-A, Class 3-B and Class M of GAIT have no sponsor fee. The Sponsor Fee is payable monthly in arrears calculated as of the last business day of each month in the same manner as the Advisory Fee. The Sponsor Fees paid to the Manager by Class 0 and Class 2 for the three months ended March 31, 2024 and 2023 were $125,132 and $122,253, respectively.

Class 0	Class 2
0.50%	1.25%

Incentive Allocation

At the end of each calendar quarter, Graham Capital LLC, an affiliate of the Manager, will receive a special allocation of net profits (the “Incentive Allocation”) in an amount equal to 20% of the New High Net Trading Profits of each Class as defined in the LLC Agreement. The Incentive Allocation is also accrued and allocable on the date of redemption with respect to any Units that are redeemed prior to the end of a calendar quarter. Additionally, any loss carryforward attributable to any class of GAIT shall be proportionately reduced effective as of the date of any redemption of any Units of such class by multiplying the loss carryforward by the ratio that the amount of assets redeemed from such class bears to the net assets of such class immediately prior to such redemption. The loss carryforward of a class must be recouped before any subsequent Incentive Allocation can be made. The Incentive Allocation for the three months ended March 31, 2024 and 2023 was $312,502 and $132, respectively.

Any portion of any of the above fees, including the Incentive Allocation, may be paid by the Manager to third parties as compensation for selling activities in connection with GAIT.

Administrator’s Fee

For the three months ended March 31, 2024 and 2023, GAIT paid SEI a monthly administrator’s fee based on GAIT’s Members’ Capital, calculated as of the last business day of each month. In addition, GAIT reimbursed SEI for reasonable out-of-pocket expenses incurred on behalf of GAIT. The total administrator’s fees, including out-of-pocket expenses, incurred by GAIT were $21,103 and $19,978, respectively.

Professional Fees

GAIT shall pay, or reimburse the Manager, for expenses arising in connection with GAIT’s audit, tax and legal fees (“professional fees”). The total professional fees incurred by GAIT for the three months ended March 31, 2024 and 2023 were $106,420 and $15,314, respectively.

Operating Expenses

GAIT shall pay, or reimburse the Manager, for expenses arising in connection with the GAIT’s investments, operations, and business (“operating expenses”).  For the three months ended March 31, 2024, GAIT reimbursed the Manager for operating expenses which were comprised of market data and technology costs associated with its assets allocated to the various Master Funds. The total operating expenses incurred by GAIT for the three months ended March 31, 2024 and 2023 were $10,637 and $10,627, respectively.

58

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

7. Income Taxes

No provision for income taxes has been made in the accompanying financial statements, as members are individually responsible for reporting income or loss based upon their respective share of GAIT’s income and expenses for income tax purposes.

U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented, and disclosed in the financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing GAIT’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a “more-likely-than-not” threshold would be recorded as a tax expense in the current year. GAIT identifies its major tax jurisdictions as the U.S. for Federal tax purposes, Connecticut for state tax purposes and various international jurisdictions. The Manager has evaluated GAIT’s tax positions for all open tax years under the respective statutes of limitations (generally three years in the U.S. but varying in non-U.S. jurisdictions) and has concluded that there are no significant tax positions requiring recognition, measurement, or disclosure in the financial statements. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination. Any assessment for interest or penalties on taxes related to uncertain tax positions, when present, would be included in interest and penalties on tax on the statements of operations and incentive allocation. No such interest and/or penalties were assessed to GAIT for the three months ended March 31, 2024 and 2023.

8. Risk Factors

Global economic, political and market conditions may adversely affect GAIT’s operations. The current global financial market situation, as well as various social and political circumstances in the United States and around the world (including wars and other forms of conflict, terrorist acts, security operations and catastrophic events such as fires, floods, earthquakes, tornadoes, hurricanes and global health epidemics), may contribute to increased market volatility and economic uncertainties or deterioration in the United States and worldwide.  Such impacts may affect the financial markets in which the GAIT operates.

59

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

9. Financial Highlights

The following is the per Unit operating performance calculation for the three months ended March 31, 2024 and 2023:

	Class 0			Class 2
Per unit operating performance
Net asset value per Unit, December 31, 2022	$	224.59		$	159.22
Net loss:
Net investment income (loss)		0.19			(0.16	)
Net loss on investments		(5.57	)		(3.94	)
Net loss		(5.38	)		(4.10	)
Net asset value per Unit, March 31, 2023	$	219.21		$	155.12
Net asset value per Unit, December 31, 2023	$	224.32		$	158.20
Net income:
Net investment loss		(0.06	)		(0.21	)
Net gain on investments		20.06			14.10
Net income		20.00			13.89
Net asset value per Unit, March 31, 2024	$	244.32		$	172.09

The following represents ratios to average Members’ Capital, excluding the Manager, and total return for the three months ended March 31, 2024 and 2023:

	Class 0						Class 2
	2024			2023			2024			2023
Total return before Incentive Allocation		9.46	%		(2.40	)%		9.26	%		(2.58	)%
Incentive Allocation		(0.55	)		(0.00	)		(0.47	)		0.00
Total return after Incentive Allocation		8.91	%		(2.40	)%		8.79	%		(2.58	)%
Net investment income (loss) before Incentive Allocation		0.49	%		0.09	%		0.30	%		(0.10	)%
Incentive Allocation		(0.52	)		(0.00	)		(0.43	)		0.00
Net investment (loss) income after Incentive Allocation		(0.03	)%		0.09	%		(0.13	)%		(0.10	)%
Total expenses before Incentive Allocation		0.72	%		0.57	%		0.90	%		0.76	%
Incentive Allocation		0.52			0.00			0.43			0.00
Total expenses after Incentive Allocation		1.24	%		0.57	%		1.33	%		0.76	%

Total return is calculated for Class 0 and Class 2 units taken as a whole. Total return is calculated as the change in total Members’ Capital, excluding that of the Manager, adjusted for subscriptions or redemptions during the period. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Sponsor Fees, Administrator’s Fees, and the Incentive Allocation. The net investment income (loss) and total expense ratios (including Incentive Allocation) are calculated for the Class 0 and Class 2 units taken as a whole and include amounts from GAIT and net investment income (loss) and expenses allocated from Master Funds and investment income from Cash Assets. The computation of such ratios is based on the amount of net investment income (loss), total expenses and Incentive Allocation. Net investment income (loss) and total expense ratios are computed based upon the weighted average of Members’ Capital of GAIT, excluding that of the Manager, for the three months ended March 31, 2024 and 2023 and have not been annualized.

60

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

10. Subsequent Events

Effective May 1, 2024, GAIT issued Class 3-B Units to members with an initial subscription of $75,000. There were no subscriptions or redemptions of Class 3-A Units as of May 15, 2024.

GAIT had subscriptions of approximately $0.4 million and redemptions of approximately $1.7 million from April 1, 2024 through May 15, 2024, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Forward-Looking Statements

Certain statements within this Quarterly Report on Form 10-Q may constitute forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 (“PSLRA”). These statements are being made pursuant to the PSLRA, with the intention of obtaining the benefits of the “safe harbor” provisions of the PSLRA, and, other than as required by law, we assume no obligation to update or supplement such statements. Forward-looking statements are those that do not relate solely to historical facts. They include, but are not limited to, any statement that may predict, forecast, indicate or imply future results, performance, achievements or events. You can identify these statements by the use of words such as “may,” “will,” “could,” “anticipate,” “believe,” “estimate,” “expect,” “intend,” “predict,” “continue,” “further,” “seek,” “plan,” or “project” and variations of these words or comparable words or phrases of similar meaning. These forward-looking statements reflect our current beliefs and expectations with respect to future events and are based on assumptions and are subject to risks and uncertainties and other factors outside our control that may cause actual results to differ materially from those projected, including the risks and uncertainties described in our Annual Report on Form 10-K for the year ended December 31, 2023 and in this Quarterly Report under the headings “Risk Factors” and “Management’s Discussion and Analysis of Financial Condition and Results of Operations.” We undertake no obligation to update publicly or review any forward-looking statement, whether as a result of new information, future developments or otherwise.

(a) Management’s Discussion and Analysis of Financial Condition and Results of Operations

The following is a discussion of our current financial position and results of operations. This discussion should be read together with our annual consolidated financial statements and the notes thereto for the fiscal year ended December 31, 2023 included in our Annual Report on Form 10-K, as filed with the Securities and Exchange Commission on March 28, 2024. This discussion should also be read in conjunction with “Item 1: Financial Statements”, included in this Quarterly Report on Form 10-Q. The information contained therein is essential to, and should be read in conjunction with, the following analysis. For the purposes of this filing beginning with Item 2, the term “Fund” shall include the Core Macro Portfolio of GAIF II, GAI, GAIT, and the Master Funds in which they invest, unless the context implies otherwise. The Fund does not engage in the sale of goods or services. The Fund’s capital consists of capital contributions of the members, as increased or decreased by gains and losses from its investments in the Master Funds, interest, expenses, and redemptions. Its only assets are its investments in the Master Funds. The Master Funds do not engage in the sale of goods or services. Their assets are comprised of fixed income positions, the equity in their accounts with clearing brokers and OTC counterparties, in each case consisting of cash, open trade equity on derivatives and the net option premium paid or received. In the case of Graham Cash Assets LLC (“Cash Assets”), the assets consist of investments in debt obligations guaranteed by the U.S. Federal government, as well as cash and cash equivalents.

For the three months ended March 31, 2024, the Core Macro Portfolio’s Members’ Capital increased by $1,724,171 or 5.1%. The net increase in the Core Macro Portfolio was attributable to a net income of $2,964,907 or 8.7% and subscriptions of $338,000 or 1.0%, offset by redemptions totaling $1,578,736 or - 4.6% for the period.

For the three months ended March 31, 2023, the Core Macro Portfolio’s Members’ Capital decreased by $497,107 or -1.5%. The net decrease in the Core Macro Portfolio was attributable to redemptions totaling $171,935 or -0.5% and a net loss of $815,172 or -2.5%, offset by subscriptions totaling $490,000 or 1.5% for the period.

(i) Results of Operations

The Fund’s success depends primarily upon the Manager’s ability to recognize and capitalize on market trends in the different and varied sectors of the global financial markets in which it trades.

62

2024 Summary

Three Months Ended March 31, 2024

For the three months ended March 31, 2024, the Core Macro Portfolio experienced a net trading gain of $3,004,802. The trading results are attributable to the following sectors:

Agriculture / Softs	$	283,230
Base Metals		8,669
Energy		376,986
Equities		1,630,713
Foreign Exchange		248,726
Long Term / Intermediate Rates		178,663
Precious Metals		192,398
Short Term Rates		85,417
	$	3,004,802

The Core Macro Portfolio began 2024 with a strong start, with trading gains across all sectors during Q1. Equities were the top performing sector due to long positions in U.S., Japanese, and European benchmark index futures. In commodities, gains resulted from long positions in energy, softs, and gold. Mixed long and short positions across the yield curve in the U.S. led to profits in fixed income. The portfolio also produced positive performance in currencies, mainly due to long U.S. dollar exposure versus various global counterparts, including the Swiss franc, Chinese yuan, Japanese yen, and Canadian dollar.

Advisory, Sponsor, and Administrator’s Fees are calculated as a percentage of the Fund’s net asset value as of the end of each month and are affected by trading performance, interest income, subscriptions into and redemptions out of the Fund. Accordingly, the fluctuations in these amounts are directly correlated to the changes in net asset value which are discussed in detail herein.

For the three months ended March 31, 2024, Advisory Fees increased by $12,088 or 10.1%, Sponsor Fees increased by $3,596 or 5.8%, and Administrator’s Fees increased by $883 or 8.7% in the Fund over the corresponding period of the preceding year. The movements are consistent with the timing of profit and loss and capital activity during the quarter. During the same period, interest income increased by $208,782 or 97.8%. Interest was earned on free cash at an average annualized yield of 4.99% for the three months ended

March 31, 2024 compared to 2.57% for the same period in 2023.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended March 31, 2024 and 2023, the Incentive Allocation was $171,726 and $(430), respectively. The Incentive Allocation of $171,726 for the three months ended March 31, 2024 was the result of a net gain before Incentive Allocation. The Incentive Allocation of $(430) for the three months ended March 31, 2023 was due to the Fund’s larger proportionate ownership of GAIT during the time of incentive fee reversal relative to the time of the accrual.

The following table illustrates the sector distribution of the Fund’s investments in Master Funds as of March 31, 2024 based on the fair value of the underlying assets and liabilities in each Master Fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

Agriculture / Softs	(0.0	)%
Base Metals	46.7	%
Energy	44.5	%
Equities	11.3	%
Foreign Exchange	24.1	%
Long Term / Intermediate Rates	(152.9	)%
Precious Metals	106.8	%
Short Term Rates	19.5	%
	100.0	%

63

2023 Summary

Three Months Ended March 31, 2023

For the three months ended March 31, 2023, the Core Macro Portfolio experienced a net trading loss of $794,277. The trading results are attributable to the following sectors:

Agriculture / Softs	$	(641	)
Base Metals		(10,199	)
Energy		(349,016	)
Equities		394,568
Foreign Exchange		(351,493	)
Long Term / Intermediate Rates		(440,868	)
Precious Metals		(45,485	)
Short Term Rates		8,857
	$	(794,277	)

The Core Macro Portfolio recorded a net loss for the first quarter of 2023. The majority of losses were in commodities and resulted mainly from long positions in various energy markets, with smaller losses from long positions in silver. The portfolio also experienced losses in fixed income, mainly due to short positions across the yield curve in Japan and Europe. In currencies, losses resulted from long exposure to several global currencies versus the U.S. dollar, particularly the Japanese yen, Australian dollar, and the euro. The portfolio generated gains in equity indices from long positions in European benchmark indices, as well as evolving positions in U.S benchmark indices.

Advisory, Sponsor, and Administrator’s Fees are calculated as a percentage of the Fund’s net asset value as of the end of each month and are affected by trading performance, interest income, subscriptions into and redemptions out of the Fund. Accordingly, the fluctuations in these amounts are directly correlated to the changes in net asset value which are discussed in detail herein.

For the three months ended March 31, 2023, Advisory Fees increased by $5,090 or 4.4%, Sponsor Fees increased by $2,661 or 4.5%, and Administrator’s Fees increased by $396 or 4.1% in the Fund over the corresponding period of the preceding year. The movements are consistent with the timing of profit and loss and capital activity during the quarter. During the same period, interest income increased by $202,673 or 1865.9%. Interest was earned on free cash at an average annualized yield of 2.57% for the three months ended March 31, 2022 compared to 0.18% for the same period in 2022.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended March 31, 2023, the Incentive Allocation was $(430) and $678,638, respectively. This was due to the Fund’s larger proportionate ownership of GAIT during the time of incentive fee reversal for the three months ended March 31, 2023 compared to the three months ended March 31, 2022, where the portfolio experienced a net gain before incentive allocation.

The following table illustrates the sector distribution of the Fund’s investments in Master Funds as of March 31, 2023 based on the fair value of the underlying assets and liabilities in each Master Fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

Agriculture / Softs	(16.3	)%
Base Metals	13.4	%
Energy	(3.9	)%
Equities	256.2	%
Foreign Exchange	297.8	%
Long Term / Intermediate Rates	(624.2	)%
Precious Metals	61.0	%
Short Term Rates	116.0	%
	100.0	%

64

Variables Affecting Performance

The Fund’s performance is affected by net profitability resulting from the trading operations of the Master Funds, the fees charged by the Fund, and interest income earned on cash and cash equivalents. The Master Funds acquire and liquidate fixed income positions, long and short positions in futures contracts, forwards contracts, spot currency contracts and associated derivative instruments such as options and swaps. These instruments are carried at fair value, which is heavily influenced by a wide variety of factors including but not limited to, the level and volatility of exchange rates, interest rates, equity prices, and commodity prices as well as global macro political events. These factors generate market movements affecting the fair value of these instruments and in turn the net gains and losses allocated from the Master Funds.

Advisory, Sponsor, and Administrator’s Fees are calculated based on a percentage of the Fund’s net asset value. Changes in the net assets of the Fund resulting from subscriptions, redemptions, interest and trading profits allocated from the Master Funds can therefore have a material impact on the fee expense of the Fund.

A portion of the assets of the Fund is held in cash and cash equivalents. Changes in the net assets of the Fund as well as changes in the interest rates earned on these investments can have a material impact on interest income earned.

(ii) Liquidity

There are no known demands, commitments, events, or uncertainties that will result in or are reasonably likely to result in the Fund’s liquidity increasing or decreasing in any material way.

A portion of the Fund’s assets is generally held as cash or cash equivalents, which are used to margin the Fund’s investments.  It is expected that the average margin the Fund will be required to post to support the Fund’s trading may range between 10% and 30% of the Fund’s total assets, which will be segregated or secured by the futures brokers in accordance with the CEA and with CFTC regulations or be maintained on deposit with over-the-counter counterparties. In exceptional market conditions, this amount could increase. The Master Funds are subject to margin calls on a constant daily and intra-day basis, whether in connection with initiating new investment positions or as a result of changes in the value of current investment positions. These margin requirements are met through the posting of additional margin with the applicable futures or FX clearing broker, on an almost daily basis. The Manager generally expresses its margin requirements for the portfolios in terms of the aggregate of the margin requirements for the underlying strategies plus the net option premium costs for the underlying strategies. The following table shows these amounts as of the date indicated:

	Core Macro Portfolio
March 31, 2024		9.24%
December 31, 2023		10.04%
March 31, 2023		7.91%

Other than any potential market-imposed limitations on liquidity, the Fund’s assets are highly liquid and are expected to remain so. Market-imposed limitations, when they occur, can be due to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Fund’s futures trading. Through March 31, 2024, the Fund experienced no meaningful periods of illiquidity in any of the markets traded by the Manager on behalf of the Fund.

65

(iii) Capital Resources

The Fund raises additional capital through the sale of Units and capital is increased through trading profits (if any) and interest income. The Fund may borrow money from brokers or their affiliates and other lenders. Units may be offered for sale as of the beginning, and may be redeemed as of the end, of each month. The amount of capital raised for the Fund should not have a significant impact on its operations, as the Fund has no significant capital expenditure or working capital requirements other than for monies to pay trading losses, brokerage commissions and expenses.

The Fund participates in the speculative trading of commodity futures contracts, substantially all of which are subject to margin requirements. The minimum amount of margin required for each contract is set from time to time in response to various market factors by the respective exchanges. Further, the Fund’s brokers may require margin in excess of minimum exchange requirements. The Fund bears the risk of financial failure of the brokers through which it clears trades and maintains margin in respect of any such trades and of its counterparties for its foreign exchange and swap trades with whom it also maintains margin.

(iv) Critical Accounting Estimates

Presentation – Graham Alternative Investment Fund II LLC is a series Limited Liability Company under Delaware law. The financial statements and corresponding footnotes are presented solely for the Core Macro Portfolio, except where otherwise noted.

Use of Estimates – The Fund’s consolidated financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and all amounts are stated in U.S. dollars except where noted. The preparation of the consolidated financial statements requires the Manager to make estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying notes. Actual results could differ from those estimates. The Fund’s significant accounting policies are described in detail in Note 2 of the consolidated financial statements.

Fair Value Measurement – The Fund follows U.S. GAAP for fair value measurements, which defines fair value, establishes a framework for measuring fair value and requires certain disclosures about fair value measurements. U.S. GAAP uses a three-level hierarchy for fair value measurement based on the activeness of the market and the transparency and independence of inputs used in the valuation of an asset or liability as of the measurement date. The Fund reports the fair value of its investment-related assets and liabilities in accordance with the hierarchy established under U.S. GAAP.

The Fund records its investments in GAIT at fair value in accordance with U.S. GAAP. In determining its net asset value, GAIT records its investments in Master Funds at fair value in accordance with U.S. GAAP. The Fund records its proportionate share of GAIT’s investment income and loss, expenses, fees, and realized and unrealized gains and losses on a monthly basis. Purchases and sales of units in GAIT are recorded on a trade date basis.

The Master Funds record all their financial instruments at fair value, which is derived in accordance with U.S. GAAP. Unrealized appreciation and depreciation from these instruments are recorded based on changes in their fair value. Realized gains and losses are recorded when the positions are closed. All unrealized and realized gains and losses related to financial instruments are included in net gain (loss) on investments in the Master Funds’ statements of operations.

Investment Company – The Fund is an investment company and applies specialized accounting guidance as outlined in Financial Accounting Standards Board Accounting Standards Codification Topic 946 Update 2013-08, Financial Services – Investment Companies, Amendments to the Scope, Measurement, and Disclosure Requirements. The Manager has evaluated this guidance and has determined the Fund meets the criteria to be classified as an investment company.

Cash Assets – GAIT invests a portion of its excess liquidity in Cash Assets, an entity for which the Manager is also the sole investment advisor. The financial information of Cash Assets is included in the notes to the financial statements of GAIT.

66

Income Taxes – No provision for income taxes has been made in the Fund’s financial statements, as each member is responsible for reporting income or loss based upon the member’s respective share of the Fund’s revenues and expenses for income tax purposes.

U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented, and disclosed in the consolidated financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a “more-likely-than-not” threshold would be recorded as a tax expense in the current year and the Fund identifies its major tax jurisdictions as U.S. Federal and Connecticut State. The Manager has evaluated the Fund’s tax positions and has concluded that there are no significant tax positions requiring recognition, measurement, or disclosure in the consolidated financial statements for all open tax years. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination.

67

Item 3. Quantitative and Qualitative Disclosures about Market Risk

No disclosure is required hereunder as the Fund is a “smaller reporting company”, as defined in Item 10(f)(1) of Regulation S-K.

68

Item 4. Controls and Procedures

Evaluation of Disclosure Control and Procedures

The Fund has established disclosure controls and procedures to ensure that the information required to be disclosed by the Fund in the reports that it files or submits under the Securities Exchange Act of 1934, as amended, is recorded, processed, summarized, and reported within the time periods specified in SEC rules and forms and that such information is accumulated and communicated to the Manager and the Fund’s management, as appropriate, to allow timely decisions regarding required disclosure.

Based on their evaluation as of March 31, 2024, the Manager, along with the Manager’s principal executive officer and principal financial officer, has concluded that the Fund’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended) were effective.

Changes in Internal Control Over Financial Reporting

There were no changes to the Fund’s internal control over financial reporting during the first quarter of 2024 that have materially affected, or are reasonably likely to materially affect, the Fund’s internal control over financial reporting.

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PART II. OTHER INFORMATION

Item 1. Legal Proceedings

None

Item 1A. Risk Factors

There have been no material changes to the risk factors disclosed in our 2023 Form 10-K.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds and Issuer Purchases of Equity Securities

For the three months ended March 31, 2024, the Fund issued 2,071.990 Units in exchange for $338,000 with respect to the Core Macro Portfolio, in each case in a transaction that was not registered under the Securities Act of 1933, as amended (the “Act”). The Units were issued in reliance upon applicable exemptions from registration under Section 4(a)(2) of the Act and Rule 506 of Regulation D promulgated thereunder. All purchasers of the Units were accredited investors, as that term is defined under Rule 501 of Regulation D.

The following chart sets forth the issuance of Units of the Fund during each month of the quarter covered by this report.

Date	Total Number of Units Issued
January 1 – January 31, 2024	698.997
February 1 – February 29, 2024	1,372.993
March 1 – March 31, 2024	–
TOTAL	2,071.990

Issuer Purchases of Units

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
January 1 – January 31, 2024		4,066.331	$	213.05	N/A	N/A
February 1 – February 29, 2024		3,067.336	$	232.26	N/A	N/A
March 1 – March 31, 2024		–	$	–	N/A	N/A
TOTAL		7,133.667	$	221.31	N/A	N/A

¹ Represents number of Units redeemed by Members of the Fund in accordance with the LLC Agreement.

Item 3. Defaults Upon Senior Securities – None

Item 4. Mine Safety Disclosures – None

Item 5. Other Information

During the quarter ended March 31, 2024, no officer of the Manager adopted or terminated either a Rule 10b5-1(c) trading arrangement or non-Rule 10b5-1(c) trading arrangement under Rule 10b5-1 of the Securities Exchange Act of 1934, as amended, in respect of Units of the Fund.

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Item 6. Exhibits

* 3.1	Certificate of Formation of Graham Alternative Investment Fund II LLC
** 3.1(a)	Amendment to Certificate of Formation of Graham Alternative Investment Fund II LLC
** 3.2 (a)	Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund II LLC dated March 28, 2013
*** 3.2 (b)	Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund II LLC dated May 2, 2022
†† 3.2 (c)	Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund II LLC dated March 19, 2024
† 31.1	Rule 13a-14(a)/15d-14(a) Certification (Certification of Principal Executive Officer)
† 31.2	Rule 13a-14(a)/15d-14(a) Certification (Certification of Principal Financial Officer)
† 32.1	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

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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.

Dated:  May 15, 2024	GRAHAM ALTERNATIVE INVESTMENT FUND II 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

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