UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended March 31, 2025

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, 2025, 200,927.339 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, 2025 (Unaudited) and December 31, 2024 (Audited)	1
		Unaudited Consolidated Statements of Operations for the Three Months Ended March 31, 2025 and 2024	2
		Unaudited Consolidated Statements of Changes in Members’ Capital for the Three Months Ended March 31, 2025 and 2024	3
		Unaudited Consolidated Statements of Cash Flows for the Three Months Ended March 31, 2025 and 2024	5
		Notes to Unaudited Consolidated Financial Statements	6
		Graham Alternative Investment Trading LLC
		Statements of Financial Condition at March 31, 2025 (Unaudited) and December 31, 2024 (Audited)	15
		Condensed Schedules of Investments at March 31, 2025 (Unaudited) and December 31, 2024 (Audited)	16
		Unaudited Statements of Operations and Incentive Allocation for the Three Months Ended March 31, 2025 and 2024	17
		Unaudited Statements of Changes in Members’ Capital for the Three Months Ended March 31, 2025 and 2024	18
		Unaudited Statements of Cash Flows for the Three Months Ended March 31, 2025 and 2024	20
		Notes to Unaudited Financial Statements	21
	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	65
	Item 3.	Quantitative and Qualitative Disclosures about Market Risk	71
	Item 4.	Controls and Procedures	72

PART II - Other Information			73
	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	74
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, 2025 (Unaudited)		December 31, 2024 (Audited)
Assets
Investment in Graham Alternative Investment Trading LLC, at fair value	$	36,415,122	$	35,478,713
Cash and cash equivalents		101,250		255,000
Redemptions receivable from Graham Alternative Investment Trading LLC		–		1,365,282
Total assets	$	36,516,372	$	37,098,995
Liabilities and members’ capital
Liabilities:
Subscriptions received in advance	$	101,250	$	255,000
Redemptions payable		–		1,365,282
Total liabilities		101,250		1,620,282
Members’ capital:
Class 0 Units (90,609.757 and 92,145.410 units issued and outstanding at $241.91 and $235.13, respectively)		21,919,248		21,665,923
Class 2 Units (55,099.382 and 56,059.973 units issued and outstanding at $169.13 and $164.69, respectively)		9,318,659		9,232,454
Class 3-A Units (1,842.786 and no units issued and outstanding at $100.22 and $ –, respectively)		184,680		–
Class 3-B Units (51,093.983 and 47,955.304 units issued and outstanding at $97.71 and $95.51, respectively)		4,992,535		4,580,336
Total members’ capital		36,415,122		35,478,713
Total liabilities and members’ capital	$	36,516,372	$	37,098,995

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,
		2025			2024
Net gain allocated from investment in Graham Alternative Investment Trading LLC:
Net realized gain on investments	$	1,183,447		$	1,811,705
Net (decrease) increase in unrealized appreciation on investments		(217,056	)		1,193,097
Brokerage commissions and fees		(29,637	)		(18,186	)
Net gain allocated from investment in Graham Alternative Investment Trading LLC		936,754			2,986,616
Net investment income (loss) allocated from investment in Graham Alternative Investment Trading LLC:
Investment income:
Interest income		370,862			422,317
Expenses:
Advisory fees		141,370			132,311
Professional fees		76,499			55,991
Sponsor fees		56,233			65,440
Incentive allocation		27,535			171,726
Administrator’s fees		13,243			11,047
Operating expenses		5,899			5,569
Interest expense		1,990			1,942
Total expenses		322,769			444,026
Net investment income (loss) allocated from investment in Graham Alternative Investment Trading LLC		48,093			(21,709	)
Net income	$	984,847		$	2,964,907

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, 2025

	Class 0						Class 2						Class 3-A
		Units			Capital			Units			Capital			Units		Capital
Members’ capital, December 31, 2024		92,145.410		$	21,665,923			56,059.973		$	9,232,454			–	$	–
Initial subscription, January 1, 2025		–			–			–			–			1,842.786		180,000
Subscriptions		–			–			–			–			–		–
Redemptions		(1,535.653	)		(371,879	)		(960.591	)		(161,559	)		–		–
Net income		–			625,204			–			247,764			–		4,680
Members’ capital, March 31, 2025		90,609.757		$	21,919,248			55,099.382		$	9,318,659			1,842.786	$	184,680

	Class 3-B
		Units		Capital		Total Members’ Capital
Members’ capital, December 31, 2024		47,955.304	$	4,580,336	$	35,478,713
Initial subscription, January 1, 2025		–		–		180,000
Subscriptions		3,138.679		305,000		305,000
Redemptions		–		–		(533,438	)
Net income		–		107,199		984,847
Members’ capital, March 31, 2025		51,093.983	$	4,992,535	$	36,415,122

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 Changes in Members’ Capital (continued)

For the Three Months Ended March 31, 2024

	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.

4

Graham Alternative Investment Fund II LLC

Core Macro Portfolio

Unaudited Consolidated Statements of Cash Flows

	Three Months Ended March 31,
		2025			2024
Cash flows provided by operating activities
Net income	$	984,847		$	2,964,907
Adjustments to reconcile net income to net cash provided by operating activities:
Net income allocated from investment in Graham Alternative Investment Trading LLC		(984,847	)		(2,964,907	)
Proceeds from sale of investment in Graham Alternative Investment Trading LLC		1,898,720			2,150,814
Investment in Graham Alternative Investment Trading LLC		(485,000	)		(338,000	)
Net cash provided by operating activities		1,413,720			1,812,814
Cash flows used in financing activities
Subscriptions (net of subscriptions received in advance)		331,250			387,000
Redemptions (net of redemptions payable)		(1,898,720	)		(2,150,814	)
Net cash used in financing activities		(1,567,470	)		(1,763,814	)
Net change in cash and cash equivalents		(153,750	)		49,000
Cash and cash equivalents, beginning of period		255,000			115,000
Cash and cash equivalents, end of period	$	101,250		$	164,000

See accompanying notes and the 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

March 31, 2025

1. Organization and Business

The Core Macro Portfolio (the “Fund”) is the sole 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. As of and for the period and year ended March 31, 2025 and December 31, 2024, respectively, the Fund is the sole series of GAIF II. GAIF II has no assets and no operations outside of those of the Fund. These financial statements fairly reflect the positions, results of operations, changes in members’ capital and cash flows of the single series constituting GAIF II.

The Fund offers members Class 0 and Class 2 Units, and effective March 19, 2024, Class 3-A Units and Class 3-B Units (collectively the “Units”). All Units are currently issued. 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.

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)

1. Organization and Business (continued)

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.

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, 2025 and December 31, 2024, the Fund owned 52.67% and 53.48%, respectively of GAIT.

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)

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, 2025 or the year ended December 31, 2024 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, 2025 and December 31, 2024, the Fund held $101,250 and $255,000, respectively, in cash and held no cash equivalents.

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)

2. Summary of Significant Accounting Policies (continued)

Recent Accounting Pronouncement

In November 2023, the FASB issued ASU No. 2023-07 (“ASU 2023-07”) Segment Reporting (Topic 280) — Improvements to Reportable Segment Disclosures. An operating segment is defined in Topic 280 as a component of a public entity that engages in business activities from which it may recognize revenues and incur expenses, has operating results that are regularly reviewed by the public entity’s chief operating decision maker (CODM) to make decisions about resources to be allocated to the segment and assess its performance, and has discrete financial information available. The Investment Committee acts as the Fund’s CODM. The Fund represents a single operating segment, as the CODM monitors the operating results of the Fund as a whole and the Fund’s long-term strategic asset allocation is pre-determined in accordance with the terms of its LLC Agreement, based on a defined investment strategy which is executed by the Fund’s portfolio managers as a team. The financial information in the form of the Fund’s portfolio composition, total returns, expense ratios and changes in members’ capital (i.e., changes in members’ capital resulting from operations, subscriptions and redemptions), which are used by the CODM to assess the segment’s performance versus the Fund’s comparative benchmarks and to make resource allocation decisions for the Fund’s single segment, is consistent with that presented within the Fund’s financial statements. Segment assets are reflected on the accompanying statements of financial condition as “total assets” and significant segment expenses are listed on the accompanying statements of operations. ASU 2023-07 was effective for fiscal years beginning after December 15, 2023, and interim periods in fiscal years beginning after December 15, 2024, with early adoption permitted. The Fund adopted ASU 2023-07 for annual reporting of the year ended December 31, 2024. Adoption of the new standard impacted financial statement disclosures only and did not affect the Fund’s financial position or results of operations.

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, 2025 and December 31, 2024, no accruals have been recorded by the Fund for indemnifications.

3. Capital Accounts

The Fund offers members Class 0 and Class 2 Units, and effective March 19, 2024, Class 3-A Units and Class 3-B Units. All Classes are currently issued. 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.

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)

3. Capital Accounts (continued)

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, 2025 and 2024, the Advisory Fees allocated to the Fund by Class 0, Class 2, Class 3-A and Class 3-B of GAIT totaled $141,370 and $132,311, respectively.

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, 2025 and 2024, the Sponsor Fees allocated to the Fund by Class 0 and Class 2 of GAIT totaled $56,233 and $65,440, respectively.

Class 0	Class 2
0.50%	1.25%

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)

4. Fees and Related Party Transactions (continued)

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, 2025, Incentive Allocation of $27,535 was allocated to the Fund by GAIT.  For the three months ended March 31, 2024, Incentive Allocation of $171,726 was allocated to the Fund by GAIT.

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 Fees

For the three months ended March 31, 2025 and 2024, GAIT paid SEI monthly administrator’s fees based on GAIT’s Members’ Capital, calculated as of the last business day of each month. In addition, GAIT paid SEI for regulatory compliance services and 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, 2025 and 2024 were $13,243 and $11,047, 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, 2025 and 2024 were $76,499 and $55,991, respectively.

Operating Expenses

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, 2025 and 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 allocated to the Fund by GAIT for the three months ended March 31, 2025 and 2024 were $5,899 and $5,569, respectively.

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)

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, 2025 and 2024.

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.

12

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, 2025 and 2024:

		Class 0			Class 2			Class 3-A			Class 3-B
Per unit operating performance
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		$	‑		$	‑
Net asset value per Unit, December 31, 2024	$	235.13		$	164.69		$	‑		$	95.51
Initial subscription, January 1, 2025		‑			‑			97.68			‑
Net income:
Net investment income (loss)		0.61			0.12			(0.02	)		(0.30	)
Net gain on investments		6.17			4.32			2.56			2.50
Net income		6.78			4.44			2.54			2.20
Net asset value per Unit, March 31, 2025	$	241.91		$	169.13		$	100.22		$	97.71

The following represents ratios to average Members’ Capital and total return for the three months ended March 31, 2025 and 2024:

	Class 0					Class 2					Class 3-A				Class 3-B
		2025		2024			2025		2024			2025		2024		2025		2024
Total return before Incentive Allocation		2.88	%	9.46	%		2.69	%	9.26	%		3.01	%	‑		2.88	%	‑
Incentive Allocation		0.00		(0.55	)		0.00		(0.47	)		(0.41	)	‑		(0.58	)	‑
Total return after Incentive Allocation		2.88	%	8.91	%		2.69	%	8.79	%		2.60	%	‑		2.30	%	‑
Net investment income before Incentive Allocation		0.26	%	0.49	%		0.07	%	0.30	%		0.38	%	‑		0.25	%	‑
Incentive Allocation		0.00		(0.51	)		0.00		(0.45	)		(0.40	)	‑		(0.56	)	‑
Net investment income (loss) after Incentive Allocation		0.26	%	(0.02	)%		0.07	%	(0.15	)%		(0.02	)%	‑		(0.31	)%	‑
Total expenses before Incentive Allocation		0.77	%	0.71	%		0.95	%	0.91	%		0.64	%	‑		0.78	%	‑
Incentive Allocation		0.00		0.51			0.00		0.45			0.40		‑		0.56		‑
Total expenses after Incentive Allocation		0.77	%	1.22	%		0.95	%	1.36	%		1.04	%	‑		1.34	%	‑

Total return is calculated for Class 0, Class 2, Class 3-A and Class 3-B 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 Fees, and the Incentive Allocation. The net investment income (loss) and total expense ratios (including Incentive Allocation) are calculated for Class 0, Class 2, Class 3-A and Class 3-B 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 income (loss), expenses, and Incentive Allocation. Net investment income (loss) and total expense ratios are computed based upon the weighted average of Members’ Capital for Class 0, Class 2, Class 3-A and Class 3-B Units of the Fund for the three months ended March 31, 2025 and 2024 and are not annualized.

See attached financial statements of Graham Alternative Investment Trading LLC.

13

Graham Alternative Investment Fund II LLC

Core Macro Portfolio

Notes to Unaudited Consolidated Financial Statements (continued)

8. Subsequent Events

The Fund had subscriptions of approximately $0.2 million and no redemptions from April 1, 2025 through May 15, 2025, 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.

14

Graham Alternative Investment Trading LLC

Statements of Financial Condition

		March 31, 2025 (Unaudited)		December 31, 2024 (Audited)
Assets
Investment in Graham Cash Assets LLC, at fair value	$	62,958,428	$	61,337,499
Investments in Master Funds, at fair value		6,788,744		7,906,644
Receivable from Master Funds		83		35
Total assets	$	69,747,255	$	69,244,178
Liabilities and members’ capital
Liabilities:
Redemptions payable	$	264,225	$	2,497,257
Accrued professional fees		208,566		266,875
Accrued advisory fees		88,784		87,650
Accrued sponsor fees		35,125		37,407
Accrued administrator’s fees		8,528		7,291
Accrued operating expenses		3,802		3,744
Payable to Master Funds		20		160
Total liabilities		609,050		2,900,384
Members’ capital:
Class 0 Units (163,842.791 and 162,734.124 units issued and outstanding at $241.91 and $235.13 per unit, respectively)		39,634,910		38,263,258
Class 2 Units (100,980.412 and 107,073.070 units issued and outstanding at $169.13 and $164.69 per unit, respectively)		17,078,302		17,633,778
Class 3-A Units (16,690.336 and 5,611.660 issued and outstanding at $100.22 and $97.68 per unit, respectively)		1,672,672		548,137
Class 3-B Units (83,645.665 and 77,520.474 units issued and outstanding at $97.71 and $95.51 per unit, respectively)		8,173,250		7,404,183
Class M Units (4,671.470 units issued and outstanding at $552.09 and $533.97 per unit, respectively)		2,579,071		2,494,438
Total members’ capital		69,138,205		66,343,794
Total liabilities and members’ capital	$	69,747,255	$	69,244,178

See accompanying notes.

15

Graham Alternative Investment Trading LLC

Condensed Schedules of Investments

	March 31, 2025 (Unaudited)				December 31, 2024 (Audited)
Description		Fair Value	Percentage of Members’ Capital			Fair Value	Percentage of Members’ Capital
Investments in Master Funds, at fair value
Graham Commodity Strategies LLC	$	2,106,613	3.05	%	$	2,932,998	4.42	%
Graham Derivatives Strategies LLC		1,994,111	2.88	%		1,533,539	2.31	%
Graham K4D Trading Ltd.		2,688,020	3.89	%		3,440,107	5.19	%
Total investments in Master Funds	$	6,788,744	9.82	%	$	7,906,644	11.92	%

See accompanying notes.

16

Graham Alternative Investment Trading LLC

Unaudited Statements of Operations and Incentive Allocation

	Three Months Ended March 31,
		2025			2024
Net gain allocated from investments in Master Funds:
Net realized gain on investments	$	2,244,689		$	3,448,539
Net (decrease) increase in unrealized appreciation on investments		(434,622	)		2,286,310
Brokerage commissions and fees		(56,029	)		(34,758	)
Net gain allocated from investments in Master Funds		1,754,038			5,700,091
Net investment income allocated from investments in Master Funds		47,879			49,615
Investment income:
Interest income		652,334			756,689
Total investment income		652,334			756,689
Expenses:
Advisory fees		255,978			243,556
Professional fees		144,368			106,420
Sponsor fees		102,828			125,132
Administrator’s fees		25,012			21,103
Operating expenses		11,144			10,637
Interest expense		3,759			3,710
Total expenses		543,089			510,558
Net investment income of the Fund		109,245			246,131
Net income		1,911,162			5,995,837
Incentive allocation		(48,127	)		(312,502	)
Net income available for pro-rata allocation to all members	$	1,863,035		$	5,683,335

See accompanying notes.

17

Graham Alternative Investment Trading LLC

Unaudited Statements of Changes in Members’ Capital

For the Three Months Ended March 31, 2025

	Class 0 Units						Class 2 Units						Class 3-A Units
		Units			Capital			Units			Capital			Units		Capital
Members’ capital, December 31, 2024		162,734.124		$	38,263,258			107,073.070		$	17,633,778			5,611.660	$	548,137
Subscriptions		3,537.621			850,000			–			–			11,078.676		1,100,000
Redemptions		(2,428.954	)		(587,976	)		(6,092.658	)		(1,024,706	)		–		–
Incentive allocation		–			–			–			–			–		(4,375	)
Net income		–			1,109,628			–			469,230			–		28,910
Members’ capital, March 31, 2025		163,842.791		$	39,634,910			100,980.412		$	17,078,302			16,690.336	$	1,672,672

	Class 3-B Units						Class M Units
		Units			Capital			Units		Capital			Total Members’ Capital
Members’ capital, December 31, 2024		77,520.474		$	7,404,183			4,671.470	$	2,494,438		$	66,343,794
Subscriptions		6,544.830			635,000			–		–			2,585,000
Redemptions		(419.639	)		(40,942	)		–		(48,127	)		(1,701,751	)
Incentive allocation		–			(43,752	)		–		48,127			–
Net income		–			218,761			–		84,633			1,911,162
Members’ capital, March 31, 2025		83,645.665		$	8,173,250			4,671.470	$	2,579,071		$	69,138,205

See accompanying notes.

18

Graham Alternative Investment Trading LLC

Unaudited Statements of Changes in Members’ Capital (continued)

For the Three Months Ended March 31, 2024

	Class 0						Class 2						Class M						Total Members'
		Units			Capital			Units			Capital			Units		Capital			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.

19

Graham Alternative Investment Trading LLC

Unaudited Statements of Cash Flows

	Three Months Ended March 31,
		2025			2024
Cash flows provided by operating activities
Net income	$	1,911,162		$	5,995,837
Adjustments to reconcile net income to net cash provided by operating activities:
Net (income) allocated from investments in Master Funds		(1,801,917	)		(5,749,706	)
Net (income) allocated from investment in Graham Cash Assets LLC		(652,334	)		(756,689	)
Proceeds from sale of investments in Master Funds		21,448,475			18,639,489
Proceeds from sale of investment in Graham Cash Assets LLC		16,497,270			11,479,664
Purchases of investments in Master Funds		(18,528,846	)		(12,675,412	)
Purchases of investment in Graham Cash Assets LLC		(17,465,865	)		(13,478,219	)
Changes in assets and liabilities:
Decrease in accrued professional fees		(58,309	)		(60,784	)
Increase in accrued advisory fees		1,134			2,790
(Decrease) increase in accrued sponsor fees		(2,282	)		836
Increase in accrued administrator’s fees		1,237			83
Increase (decrease) in accrued operating expenses		58			(251	)
Net cash provided by operating activities		1,349,783			3,397,638
Cash flows used in financing activities
Subscriptions		2,585,000			570,000
Redemptions (net of redemptions payable)		(3,934,783	)		(3,967,638	)
Net cash used in financing activities		(1,349,783	)		(3,397,638	)
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	$	3,759		$	3,710

See accompanying notes.

20

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements

March 31, 2025

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 only 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.

21

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’ and Cash Assets’ 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’ and Cash Assets’ 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, 2025 and December 31, 2024. 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 (decrease) increase 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.

22

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, 2025 or the year ended December 31, 2024 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 (decrease) increase 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.

23

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.

24

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.

25

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, 2025 and the year ended December 31, 2024 which caused any counterparty to demand liquidation of any outstanding positions. Graham K4D Trading Ltd. had no derivative instruments subject to credit risk related contingent features in a net liability position at March 31, 2025 and December 31, 2024, respectively. Graham Commodity Strategies LLC had no derivative instruments subject to credit risk related contingent features in a net liability position at March 31, 2025 and December 31, 2024, respectively. Graham Derivatives Strategies LLC had no derivative instruments subject to credit risk related contingent features in a net liability position at March 31, 2025 and December 31, 2024, 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, 2025 and December 31, 2024, the two NYMEX seats were valued at $308,000 and $315,000, respectively, and the 30,000 shares of CME Group were valued at $7,958,700 and $6,966,900, 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.  

26

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, 2025 and December 31, 2024, the two CME seats were valued at $766,500 and $596,000, respectively, and the 2,232 shares of CME Group were valued at $592,127 and $518,337, 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, 2025 and December 31, 2024, the CME seat was valued at $176,500 and $160,000, respectively, and the 4,085 shares of the CME Group were valued at $1,083,710 and $948,660, 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, 2025, 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, 2025 and December 31, 2024, the 3,265 shares of the CME Group were valued at $866,172 and $758,231, respectively, and are included in Exchange memberships on Graham Commodity LLC’s statement of financial condition. The CME shares are considered Level 1 assets as described in the Fair Value section of Note 2.

As of March 31, 2025, 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, 2025 and December 31, 2024, the CBOT seat was valued at $385,500 and $379,000, 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, 2025 and December 31, 2024, the two B-1/Full seats were valued at a total of $771,000 and $758,000, respectively, and the B-2/Associate seat was valued at $100,000 and $91,500, 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, 2025 and December 31, 2024, the 970 shares of the CME Group were valued at $257,331 and $225,263, 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.

27

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, 2025, 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, 2025 and December 31, 2024, the two COMEX seats were valued at $163,000 and $172,000 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, 2025 and December 31, 2024, GAIT did not have any cash or cash equivalents.

Recent Accounting Pronouncement

In November 2023, the FASB issued ASU No. 2023-07 (“ASU 2023-07”) Segment Reporting (Topic 280) —Improvements to Reportable Segment Disclosures. An operating segment is defined in Topic 280 as a component of a public entity that engages in business activities from which it may recognize revenues and incur expenses, has operating results that are regularly reviewed by the public entity’s chief operating decision maker (CODM) to make decisions about resources to be allocated to the segment and assess its performance, and has discrete financial information available. The Investment Committee acts as GAIT’s CODM. GAIT represents a single operating segment, as the CODM monitors the operating results of GAIT as a whole and GAIT’s long-term strategic asset allocation is pre-determined in accordance with the terms of its LLC Agreement, based on a defined investment strategy which is executed by GAIT’s portfolio managers as a team. The financial information in the form of GAIT’s portfolio composition, total returns, expense ratios and changes in members’ capital (i.e., changes in members’ capital resulting from operations, subscriptions and redemptions), which are used by the CODM to assess the segment’s performance versus GAIT’s comparative benchmarks and to make resource allocation decisions for GAIT’s single segment, is consistent with that presented within GAIT’s financial statements. Segment assets are reflected on the accompanying statements of financial condition as “total assets” and significant segment expenses are listed on the accompanying statements of operations. ASU 2023-07 was effective for fiscal years beginning after December 15, 2023, and interim periods in fiscal years beginning after December 15, 2024, with early adoption permitted. GAIT adopted ASU 2023-07 for annual reporting of the year ended December 31, 2024. Adoption of the new standard impacted financial statement disclosures only and did not affect GAIT’s financial position or results of operations.

28

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

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, 2025 and December 31, 2024, no accruals have been recorded by GAIT for indemnifications.

29

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds

As of March 31, 2025 and December 31, 2024, 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, 2025
Investment – Objective	Percent of Members’ Capital			Fair Value		Net Income (Loss) (three months ended March 2025)
Global Macro Funds
Graham Commodity Strategies LLC	3.05	%	$	2,106,613	$	1,276,569
Graham Derivatives Strategies LLC	2.88	%		1,994,111		514,643
Systematic Macro Funds
Graham K4D Trading Ltd.	3.89	%		2,688,020		10,705
	9.82	%	$	6,788,744	$	1,801,917

December 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	4.42	%	$	2,932,998	$	1,634,015
Graham Derivatives Strategies LLC	2.31	%		1,533,539		(513,381	)
Systematic Macro Funds
Graham K4D Trading Ltd.	5.19	%		3,440,107		4,629,072
	11.92	%	$	7,906,644	$	5,749,706

The following table summarizes the financial position of each Master Fund as of March 31, 2025:

		Graham Commodity Strategies LLC (Delaware)			Graham Derivatives Strategies LLC (Delaware)			Graham K4D Trading Ltd. (BVI)
Assets:
Fixed income securities, at fair value (cost $15,666,759)	$	–		$	–		$	15,789,163
Due from brokers		61,643,048			36,105,646			45,144,029
Derivative financial instruments, at fair value		4,531,587			24,720,085			7,223,851
Exchange memberships, at fair value		10,654,499			385,500			2,388,541
Interest receivable		307,630			149,676			177,754
Total assets		77,136,764			61,360,907			70,723,338
Liabilities:
Derivative financial instruments, at fair value		3,901,581			–			803,293
Due to brokers		–			–			1,123,005
Interest payable		10,901			19,117			89,009
Total liabilities		3,912,482			19,117			2,015,307
Members’ Capital / Net Assets	$	73,224,282		$	61,341,790		$	68,708,031
Percentage of Master Fund held by GAIT		2.88	%		3.25	%		3.91	%

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, 2025:

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)		$	10,654,499		14.55	%
Total exchange memberships		$	10,654,499		14.55	%
Derivative financial instruments
Long contracts
Futures
Commodity		$	(282,810	)	(0.39	)%
Interest rate			1,062,130		1.45	%
U.S. bond
U.S. 2 yr - 10 yr Note (CBT) June 2025	19,053		4,118,320		5.62	%
U.S. index			(3,524,979	)	(4.81	)%
Total futures			1,372,661		1.87	%
Forwards
Foreign currency			2,151,448		2.94	%
Total forwards			2,151,448		2.94	%
Options (cost $6,243,789)
Commodity futures			526,090		0.72	%
Currency futures			2,842,272		3.88	%
Interest rate futures			1,123,765		1.53	%
U.S. bond futures
U.S. 10 yr Future May 2025, $112.00 - $114.00 Call	2		117,578		0.16	%
U.S. 5 yr Future May 2025, $107.50 Put	1		195,070		0.27	%
U.S. index futures			1,404,150		1.92	%
Total options			6,208,925		8.48	%

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, 2025:

Description	Number of Contracts			Fair Value		Percentage of Members’ Capital of Master Fund
Graham Commodity Strategies LLC (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Commodity			$	36,940		0.05	%
Foreign bond				(83,484	)	(0.11	)%
Foreign index				4,509		0.01	%
Interest rate				(514,851	)	(0.70	)%
U.S. bond
U.S. Ultra Bond (CBT) June 2025	(3,736	)		(5,331,625	)	(7.28	)%
U.S. index				799,013		1.08	%
Total futures				(5,089,498	)	(6.95	)%
Forwards
Foreign currency				418,109		0.57	%
Total forwards				418,109		0.57	%
Options (proceeds $4,880,280)
Commodity futures				(482,510	)	(0.66	)%
Currency futures				(880,240	)	(1.20	)%
Interest rate futures				(1,114,304	)	(1.52	)%
U.S. bond futures
U.S. 10 yr Future May 2025, $113.00 Call	1			(188,344	)	(0.26	)%
U.S. 5yr -10 yr Future May 2025, $107.00 - $109.50 Put	3			(184,906	)	(0.25	)%
U.S. 6-7 Note Friday W1 April 2025, $112.00 - $112.75 Call	2			(191,547	)	(0.26	)%
U.S. index futures				(1,389,788	)	(1.90	)%
Total options				(4,431,639	)	(6.05	)%
Total derivative financial instruments			$	630,006		0.86	%

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, 2025:

Description		Number of Contracts / Notional Amount		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)			$	385,500		0.63	%
Total exchange memberships			$	385,500		0.63	%
Derivative financial instruments
Long contracts
Futures
Commodity
Gold 100 oz June 2025		150	$	636,410		1.04	%
Other commodity				490,123		0.80	%
Foreign bond				216,425		0.35	%
Foreign index				(2,040,513	)	(3.33	)%
Interest rate
3 Month SOFR, June 2026		795		391,450		0.64	%
Other interest rate				169,573		0.28	%
U.S. bond
U.S. 2 yr - 10 yr Note (CBT) June 2025		10,311		2,605,430		4.24	%
U.S. Long Bond (CBT) June 2025		44		9,622		0.02	%
U.S. 10 yr Ultra June 2025		59		50,672		0.08	%
U.S. Ultra Bond (CBT) June 2025		66		33,000		0.05	%
U.S. index				(296,125	)	(0.48	)%
Total futures				2,266,067		3.69	%
Forwards
Euro dollar / U.S. dollar 04/14/2025 - 06/18/2025	€	265,823,733		(2,357,431	)	(3.84	)%
British pound / U.S. dollar 04/24/2025 - 06/18/2025	£	36,449,090		(144,930	)	(0.24	)%
Japanese yen / U.S. dollar 04/21/2025 - 06/18/2025	¥	26,246,299,008		(914,731	)	(1.49	)%
Other foreign currency				(532,610	)	(0.87	)%
Total forwards				(3,949,702	)	(6.44	)%

33

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, 2025:

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 $61,576,355)
Commodity futures
Gold (CMX) June 2025, $3,200.00 Call	1	$	4,828,040		7.87	%
Gold (CMX) June 2025, $3,075.00 Call	1		1,363,040		2.22	%
Other commodity futures			5,332,210		8.69	%
Currency
Euro dollar / Canadian dollar - April 2025, $1.50 - $1.52 Call	2		2,035,914		3.32	%
Euro dollar / U.S. dollar - (Digital) - June 2025 - September 2025, $1.15 - $1.17 Call	3		2,407,784		3.93	%
Euro dollar / U.S. dollar - (Digital) - July 2025, $1.02 Put	1		215,551		0.35	%
Euro dollar / U.S. dollar - (EKO 1.1125) - April 2025, $1.09 Call	1		132,871		0.22	%
Euro dollar / U.S. dollar - April 2025 - May 2025, $1.08 - $1.11 Call	7		4,962,241		8.08	%
Euro dollar / U.S. dollar - April 2025, $1.02 - $1.08 Put	6		451,234		0.74	%
British pound / U.S. dollar - (Digital) - May 2025 - July 2025, $1.34 - $1.37 Call	3		1,589,602		2.59	%
British pound / U.S. dollar - (Digital) - April 2025 - July 2025, $1.22 - $1.27 Put	4		371,410		0.61	%
British pound / U.S. dollar - May 2025, $1.31 Call	2		1,808,942		2.95	%
British pound / U.S. dollar - April 2025 - July 2025, $1.22 - $1.29 Put	8		562,869		0.92	%
U.S. dollar / Japanese yen - (Digital) - April 2025 - June 2025, $139.00 - $145.00 Put	5		2,052,844		3.35	%
U.S. dollar / Japanese yen - (RKO 139.7500) - April 2025, $145.00 Put	1		52,424		0.09	%
U.S. dollar / Japanese yen - April 2025 - July 2025, $142.00 - $148.50 Put	7		4,755,123		7.75	%
Other currency			3,169,509		5.17	%
Interest rate futures
3 Month SOFR, December 2025, $96.00 Call	1		8,390,000		13.67	%
3 Month SOFR, December 2025, $96.75 Call	1		3,314,050		5.40	%
3 Month SOFR, June 2025, $95.63 Put	1		46,938		0.08	%
Other interest rate			(2,268,731	)	(3.70	)%
U.S. bond futures
5 yr Weds Weekly, April 2025, $108.00 Put	1		149,703		0.24	%
U.S. 10 yr Future, May 2025, $112.00 Call	1		929,359		1.52	%
U.S. index futures			461,588		0.75	%
Total options			47,114,515		76.81	%

34

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, 2025:

Description		Number of Contracts / Notional Amount			Fair Value		Percentage of Members’ Capital of Master Fund
Graham Derivatives Strategies LLC (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Commodity				$	39,508		0.06	%
Foreign bond					(1,270,012	)	(2.07	)%
Interest rate
3 Month SOFR, December 2025		(580	)		88,500		0.14	%
U.S. bond
U.S. Long Bond (CBT) June 2025		(1,524	)		(107,250	)	(0.17	)%
Total futures					(1,249,254	)	(2.04	)%
Forwards
Euro dollar / U.S. dollar 04/14/2025 - 06/18/2025	€	(295,294,213	)		2,021,601		3.30	%
British pound / U.S. dollar 04/24/2025 - 06/18/2025	£	(48,237,282	)		297,405		0.48	%
Japanese yen / U.S. dollar 04/21/2025 - 06/18/2025	¥	(26,238,732,873	)		963,573		1.57	%
Other foreign currency					(524,865	)	(0.85	)%
Total forwards					2,757,714		4.50	%
Options (proceeds $25,665,348)
Commodity futures
Gold (CMX) June 2025 $3,150.00 - $3,300.00 Call		(2	)		(3,456,440	)	(5.63	)%
Other commodity					(3,198,250	)	(5.21	)%
Currency
Euro dollar / Canadian dollar - April 2025 - $1.50 - $1.52 Call		(2	)		(2,035,914	)	(3.32	)%
Euro dollar / U.S. dollar - April 2025 - May 2025, $1.11 - $1.12 Call		(4	)		(1,590,448	)	(2.59	)%
Euro dollar / U.S. dollar - April 2025, $1.07 Put		(1	)		(16,064	)	(0.03	)%
British pound / U.S. dollar - May 2025, $1.34 Call		(2	)		(454,144	)	(0.74	)%
British pound / U.S. dollar - April 2025 - July 2025, $1.18 - $1.27 Put		(2	)		(73,446	)	(0.12	)%
U.S. dollar / Japanese yen - (Digital) - May 2025, $154.50 Call		(1	)		(321,650	)	(0.52	)%
U.S. dollar / Japanese yen - April 2025 - July 2025, $138.00 - $146.50 Put		(6	)		(1,834,568	)	(2.99	)%
Other currency					(519,592	)	(0.85	)%
Interest rate futures
3 Month SOFR, December 2025, $96.38 Call		(1	)		(10,649,744	)	(17.36	)%
3 Month SOFR, June 2025, $95.38 Put		(1	)		(23,469	)	(0.04	)%
Other interest rate					2,730,223		4.45	%
U.S. bond futures
U.S. 10 yr future, May 2025, $113.00 Call		(1	)		(448,656	)	(0.73	)%
U.S. 5 yr future, May 2025, $109.00 Call		(1	)		(120,078	)	(0.20	)%
U.S. index futures					(207,015	)	(0.34	)%
Total options					(22,219,255	)	(36.22	)%
Total derivative financial instruments				$	24,720,085		40.30	%

35

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, 2025:

Description		Principal Amount / Number of Contracts		Fair Value		Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd.
Fixed income securities (cost $15,666,759)
Government Bonds (cost $15,666,759)
United States (cost $15,666,759)
U.S. Treasury bill 0.00% due 07/24/2025	$	16,000,000	$	15,789,163		22.98	%
Total Government Bonds				15,789,163		22.98	%
Total fixed income securities (cost $15,666,759)			$	15,789,163		22.98	%
Exchange memberships (cost $1,924,208)
United States (cost $1,924,208)
Financial services (cost $1,924,208)			$	2,388,541		3.48	%
Total exchange memberships			$	2,388,541		3.48	%
Derivative financial instruments
Long contracts
Futures
Commodity			$	7,286,370		10.60	%
Currency				27,859		0.04	%
Foreign bond				497,846		0.72	%
Foreign index				(7,034,002	)	(10.24	)%
Interest rate				(304,386	)	(0.44	)%
U.S. bond
U.S. 5 yr – 10 yr Note (CBT) June 2025		676		150,211		0.22	%
U.S. Long Bond (CBT) June 2025		508		(67,188	)	(0.10	)%
U.S. index				(415,998	)	(0.61	)%
Total futures				140,712		0.19	%
Forwards
Foreign currency				(839,986	)	(1.22	)%
Total forwards				(839,986	)	(1.22	)%
Swaps (cost $4,507,589)
Interest rate				1,048,028		1.53	%
Total swaps				1,048,028		1.53	%

36

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, 2025:

Description	Number of Contracts			Fair Value		Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd. (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Commodity			$	3,082,410		4.49	%
Currency				37,397		0.05	%
Foreign bond				(352,180	)	(0.51	)%
Foreign index				298,208		0.43	%
Interest rate				(1,258,051	)	(1.83	)%
U.S. bond
U.S. 2 yr Note (CBT) June 2025	(437	)		35,414		0.05	%
U.S. Ultra Bond (CBT) June 2025	(16	)		20,500		0.03	%
U.S. index				761,065		1.11	%
Total futures				2,624,763		3.82	%
Forwards
Foreign currency				1,821,894		2.65	%
Total forwards				1,821,894		2.65	%
Swaps (proceeds $2,626,029)
Interest rate				1,625,147		2.37	%
Total swaps				1,625,147		2.37	%
Total derivative financial instruments			$	6,420,558		9.34	%

37

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, 2025:

		Graham Commodity Strategies LLC			Graham Derivatives Strategies LLC			Graham K4D Trading Ltd.
Assets
Level 1:
Commodity futures	$	118,430		$	1,385,624		$	12,997,608
Commodity futures options		526,090			11,523,290			–
Currency futures		–			–			71,322
Exchange memberships*		10,654,499			385,500			2,388,541
Foreign bond futures		98,142			481,558			959,394
Foreign index futures		4,509			–			298,208
Interest rate futures		1,126,882			725,627			19,974
Interest rate futures options		1,377,027			14,481,210			–
U.S. bond futures		4,181,593			2,720,294			206,125
U.S. bond futures options		312,648			1,079,062			–
U.S. index futures		799,013			14,385			836,010
U.S. index futures options		1,404,150			461,588			–
Total Level 1		20,602,983			33,258,138			17,777,182
Level 2:
Currency options		2,842,272			24,568,318			–
Foreign currency forwards		2,923,817			6,493,966			2,207,394
Government bonds*		–			–			15,789,163
Interest rate swaps		–			–			5,283,843
Total Level 2		5,766,089			31,062,284			23,280,400
Total investment related assets	$	26,369,072		$	64,320,422		$	41,057,582
Liabilities
Level 1:
Commodity futures	$	(364,300	)	$	(219,583	)	$	(2,628,828	)
Commodity futures options		(482,510	)		(6,654,690	)		–
Currency futures		–			–			(6,066	)
Foreign bond futures		(181,626	)		(1,535,145	)		(813,728	)
Foreign index futures		–			(2,040,513	)		(7,034,002	)
Interest rate futures		(579,603	)		(76,104	)		(1,582,411	)
Interest rate futures options		(1,367,566	)		(12,941,943	)		–
U.S. bond futures		(5,394,898	)		(128,820	)		(67,188	)
U.S. bond futures options		(564,797	)		(568,734	)		–
U.S. index futures		(3,524,979	)		(310,510	)		(490,943	)
U.S. index futures options		(1,389,788	)		(207,015	)		–
Total Level 1		(13,850,067	)		(24,683,057	)		(12,623,166	)
Level 2:
Currency options		(880,240	)		(6,845,826	)		–
Foreign currency forwards		(354,260	)		(7,685,954	)		(1,225,486	)
Interest rate swaps		–			–			(2,610,668	)
Total Level 2		(1,234,500	)		(14,531,780	)		(3,836,154	)
Total investment related liabilities	$	(15,084,567	)	$	(39,214,837	)	$	(16,459,320	)

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

38

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, 2025. The table also displays the fair value of derivative contracts held by Graham Commodity Strategies LLC at March 31, 2025 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	$	41,089,650	466	$	(851,400	)	(12	)	$	118,430	$	(364,300	)
Options (a)		11,523,545	793		(17,266,889	)	(113	)		526,090		(482,510	)
		52,613,195	1,259		(18,118,289	)	(125	)		644,520		(846,810	)
Equity price
Futures		134,026,423	345		(134,376,908	)	(477	)		803,522		(3,524,979	)
Options (a)		25,324,765	198		(23,953,646	)	(345	)		1,404,150		(1,389,788	)
		159,351,188	543		(158,330,554	)	(822	)		2,207,672		(4,914,767	)
Foreign currency exchange rate
Forwards		111,004,024	N/A		(381,371,322	)	N/A			2,923,817		(354,260	)
Options (a)		66,894,204	31		(61,870,364	)	(32	)		2,842,272		(880,240	)
		177,898,228	31		(443,241,686	)	(32	)		5,766,089		(1,234,500	)
Interest rate
Futures		2,651,184,931	21,317		(1,022,294,922	)	(6,054	)		5,406,617		(6,156,127	)
Options (a)		576,402,269	6,497		(633,862,288	)	(15,622	)		1,689,675		(1,932,363	)
		3,227,587,200	27,814		(1,656,157,210	)	(21,676	)		7,096,292		(8,088,490	)
Total	$	3,617,449,811	29,647	$	(2,275,847,739	)	(22,655	)	$	15,714,573	$	(15,084,567	)

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

39

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, 2025. The table also displays the fair value of derivative contracts held by Graham Derivatives Strategies LLC at March 31, 2025 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	$	65,070,155	356	$	(16,837,675	)	(161	)	$	1,385,624	$	(219,583	)
Options (a)		172,327,884	6,670		(137,443,628	)	(4,837	)		11,523,290		(6,654,690	)
		237,398,039	7,026		(154,281,303	)	(4,998	)		12,908,914		(6,874,273	)
Equity price
Futures		161,324,407	1,558		–		–			14,385		(2,351,023	)
Options (a)		13,284,572	1,119		(28,340,421	)	(1,119	)		461,588		(207,015	)
		174,608,979	2,677		(28,340,421	)	(1,119	)		475,973		(2,558,038	)
Foreign currency exchange rate
Forwards		794,159,371	N/A		(888,360,985	)	N/A			6,493,966		(7,685,954	)
Options (a)		895,568,669	46		(718,930,662	)	(54	)		24,568,318		(6,845,826	)
		1,689,728,040	46		(1,607,291,647	)	(54	)		31,062,284		(14,531,780	)
Interest rate
Futures		2,653,720,804	16,719		(564,521,184	)	(3,881	)		3,927,479		(1,740,069	)
Options (a)		2,129,664,957	27,442		(2,032,813,679	)	(27,207	)		15,560,272		(13,510,677	)
		4,783,385,761	44,161		(2,597,334,863	)	(31,088	)		19,487,751		(15,250,746	)
Total	$	6,885,120,819	53,910	$	(4,387,248,234	)	(37,259	)	$	63,934,922	$	(39,214,837	)

(a)

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

40

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, 2025. The table also displays the fair value of derivative contracts held by Graham K4D Trading Ltd. at March 31, 2025 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	$	311,163,015	3,871	$	(63,296,632	)	(1,704	)	$	12,997,608	$	(2,628,828	)
		311,163,015	3,871		(63,296,632	)	(1,704	)		12,997,608		(2,628,828	)
Equity price
Futures		248,335,418	2,409		(58,531,557	)	(429	)		1,134,218		(7,524,945	)
		248,335,418	2,409		(58,531,557	)	(429	)		1,134,218		(7,524,945	)
Foreign currency exchange rate
Forwards		158,688,810	N/A		(725,671,894	)	N/A			2,207,394		(1,225,486	)
Futures		8,728,270	92		(5,492,538	)	(65	)		71,322		(6,066	)
		167,417,080	92		(731,164,432	)	(65	)		2,278,716		(1,231,552	)
Interest rate
Futures		1,060,423,032	5,845		(590,338,936	)	(2,813	)		1,185,493		(2,463,327	)
Swaps		387,791,052	12		(374,580,823	)	(16	)		5,283,843		(2,610,668	)
		1,448,214,084	5,857		(964,919,759	)	(2,829	)		6,469,336		(5,073,995	)
Total	$	2,175,129,597	12,229	$	(1,817,912,380	)	(5,027	)	$	22,879,878	$	(16,459,320	)

41

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, 2025 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 LLC 1
Derivative assets	$	15,714,573		$	(11,182,986	)	$	4,531,587		$	–	$	4,531,587
Derivative liabilities	$	(15,084,567	)	$	11,182,986		$	(3,901,581	)	$	3,901,581	$	–
Graham Derivatives Strategies LLC 2
Derivative assets	$	63,934,922		$	(39,214,837	)	$	24,720,085		$	–	$	24,720,085
Derivative liabilities	$	(39,214,837	)	$	39,214,837		$	–		$	–	$	–
Graham K4D Trading Ltd. 3
Derivative assets	$	22,879,878		$	(15,656,027	)	$	7,223,851		$	–	$	7,223,851
Derivative liabilities	$	(16,459,320	)	$	15,656,027		$	(803,293	)	$	803,293	$	–

¹ Net derivative asset and liability amounts presented in the statements of financial condition are held with two counterparties. At March 31, 2025, additional collateral pledged in the amount of $57,741,467 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 three counterparties. At March 31, 2025, additional collateral pledged in the amount of $36,105,646 was posted in support of derivative positions and is included in due from brokers on the statements of financial condition.

³ Net derivative asset and liability amounts presented in the statements of financial condition are held with two counterparties. At March 31, 2025, additional collateral pledged in the amount of $44,340,736 was posted in support of derivative positions and is included in due from brokers on the statements of financial condition.

42

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, 2025:

		Graham Commodity Strategies LLC			Graham Derivatives Strategies LLC			Graham K4D Trading Ltd.
Net investment income	$	902,210		$	356,942		$	208,910
Net realized gain on investments		41,941,156			27,757,471			2,237,136
Net decrease in unrealized appreciation on investments		(1,159,019	)		(11,673,980	)		(3,010,537	)
Brokerage commissions and fees		(499,212	)		(1,084,999	)		(118,331	)
Net gain (loss) on investments		40,282,925			14,998,492			(891,732	)
Net income (loss)	$	41,185,135		$	15,355,434		$	(682,822	)

The following table shows the gains and losses on all derivative instruments held by the Master Funds reported in net realized gain and net 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, 2025:

	Graham Commodity Strategies LLC						Graham Derivatives Strategies LLC						Graham K4D Trading Ltd.
	Net realized gain			Net increase in unrealized appreciation on investments			Net realized gain			Net decrease in unrealized appreciation on investments			Net realized gain			Net decrease in unrealized appreciation on investments
Commodity price
Futures	$	24,364,429		$	1,840,211		$	3,503,959		$	1,310,232		$	3,587,831		$	10,475,298
Options		(18,139	)		(62,819	)		9,616,868			2,209,777			–			–
		24,346,290			1,777,392			13,120,827			3,520,009			3,587,831			10,475,298
Equity price
Futures		(1,695,232	)		125,045			(292,173	)		(2,387,057	)		19,725,740			(926,539	)
Options		21,663			175,632			(2,368,913	)		1,900,253			–			–
		(1,673,569	)		300,677			(2,661,086	)		(486,804	)		19,725,740			(926,539	)
Foreign currency exchange rate
Forwards		7,270,568			2,807,870			(1,506,278	)		(1,660,836	)		(7,346,045	)		(12,304,440	)
Futures		–			–			–			–			(36,809	)		(337,755	)
Options		(363,984	)		98,453			(9,411,928	)		(14,223,470	)		–			–
		6,906,584			2,906,323			(10,918,206	)		(15,884,306	)		(7,382,854	)		(12,642,195	)
Interest rate
Futures		28,809,512			(585,368	)		17,813,449			1,701,551			(13,041,058	)		(471,098	)
Options		459,169			(15,180	)		(5,683,500	)		696,718			–			–
Swaps		–			–			–			–			(768,673	)		610,800
		29,268,681			(600,548	)		12,129,949			2,398,269			(13,809,731	)		139,702
Total	$	58,847,986		$	4,383,844		$	11,671,484		$	(10,452,832	)	$	2,120,986		$	(2,953,734	)

43

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, 2024:

		Graham Commodity Strategies LLC (Delaware)			Graham Derivatives Strategies LLC (Delaware)			Graham K4D Trading Ltd. (BVI)
Assets:
Due from brokers	$	80,280,546		$	19,239,860		$	45,091,296
Derivative financial instruments, at fair value		1,100,077			22,252,171			16,528,063
Fixed income securities owned, at fair value		–			–			13,965,435
Exchange memberships, at fair value		9,326,468			379,000			2,183,423
Interest receivable		163,280			40,364			134,724
Dividend receivable		144,118			–			20,523
Total assets		91,014,489			41,911,395			77,923,464
Liabilities:
Derivative financial instruments, at fair value		5,130,546			–			3,486,877
Interest payable		7,608			8,037			97,592
Total liabilities		5,138,154			8,037			3,584,469
Members’ Capital / Net Assets	$	85,876,335		$	41,903,358		$	74,338,995
Percentage of Master Fund held by GAIT		3.42	%		3.66	%		4.63	%

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, 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)	$	9,326,468		10.86	%
Total exchange memberships	$	9,326,468		10.86	%
Derivative financial instruments
Long contracts
Futures
Commodity	$	(1,979,003	)	(2.30	)%
Foreign bond		(519,351	)	(0.61	)%
Interest rate		563,007		0.65	%
U.S. bond		(983,109	)	(1.14	)%
U.S. index		(3,021,325	)	(3.52	)%
Total futures		(5,939,781	)	(6.92	)%
Forwards
Foreign currency		(767,550	)	(0.89	)%
Total forwards		(767,550	)	(0.89	)%
Options (cost $4,374,059)
Commodity futures		250,665		0.29	%
Currency futures		3,784,234		4.41	%
Interest rate futures		395,594		0.46	%
U.S. bond futures		482,820		0.56	%
U.S. index futures		25,050		0.03	%
Total options	$	4,938,363		5.75	%

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, 2024:

Description		Fair Value		Percentage of Members' Capital of Master Fund
Graham Commodity Strategies LLC (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Commodity	$	(107,080	)	(0.12	)%
Foreign bond		130,561		0.15	%
U.S. bond		644,750		0.75	%
U.S. index		174,825		0.20	%
Total futures		843,056		0.98	%
Forwards
Foreign currency		529,237		0.62	%
Total forwards		529,237		0.62	%
Options (proceeds $3,287,181)
Commodity		(174,386	)	(0.20	)%
Currency futures		(2,445,845	)	(2.85	)%
Interest rate futures		(480,025	)	(0.56	)%
U.S. bond futures		(491,688	)	(0.57	)%
U.S. index futures		(41,850	)	(0.05	)%
Total options		(3,633,794	)	(4.23	)%
Total derivative financial instruments	$	(4,030,469	)	(4.69	)%

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, 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)		$	379,000		0.90	%
Total exchange memberships		$	379,000		0.90	%
Derivative financial instruments
Long contracts
Futures
Commodity
WTI Crude February 2025	167	$	84,090		0.20	%
Other commodity			(327,302	)	(0.78	)%
Foreign bond			(60,985	)	(0.15	)%
Foreign index			(54,246	)	(0.13	)%
Interest rate			(43,082	)	(0.10	)%
U.S. bond			(322,125	)	(0.77	)%
U.S. index
S&P 500 E-mini March 2025	13		(5,563	)	(0.01	)%
Other U.S. index			(18,020	)	(0.04	)%
Total futures			(747,233	)	(1.78	)%
Forwards
British pound / U.S. dollar 3/19/2025	£ 12,636,592		(6,653	)	(0.02	)%
Swiss franc / U.S. dollar 3/19/2025	₣   5,627,670		(65,872	)	(0.16	)%
Other foreign currency			(191,514	)	(0.46	)%
Total forwards			(264,039	)	(0.64	)%
Options (cost $44,283,322)
Commodity futures
Crude oil June 2025, $60.00 Put	1		3,649,000		8.71	%
Crude oil March 2025 – June 2025, $50.00 - $62.00 Put	2		1,788,300		4.27	%
Currency futures
Euro dollar / U.S. dollar January 2025, $1.05 Put	1		2,297,834		5.48	%
Euro dollar / U.S. dollar (Digital) January 2025 – March 2025, $1.01 - $1.05 Put	10		8,417,431		20.09	%
British pound / U.S. dollar January 2025 – March 2025, $1.24 - $1.26 Put	4		4,879,271		11.64	%
U.S. dollar / Canadian dollar January 2025 – February 2025, $1.42 - $1.45 Call	3		4,072,858		9.72	%
U.S. dollar / Swiss franc (Digital) March 2025 – May 2025, $0.91 - $0.93 Call	3		2,648,965		6.32	%
U.S. dollar / Chinese yuan February 2025, $7.33 - $7.35 Call	2		2,204,542		5.26	%
Other currency futures			1,289,362		3.08	%
U.S. index futures
S&P 500 E-mini March 2025, $6,300.00 Call	1		2,885,075		6.89	%
S&P 500 E-mini January 2025, $5,900.00 Put	1		1,881,900		4.49	%
Total options			36,014,538		85.95	%

47

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, 2024:

Description	Number of Contracts / Notional Amounts			Fair Value		Percentage of Members' Capital of Master Fund
Graham Derivatives Strategies LLC (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Commodity
Brent crude March 2025	(13	)	$	(16,250	)	(0.04	)%
Other commodity				115,269		0.28	%
Foreign bond				438,836		1.05	%
Interest rate				(54,916	)	(0.13	)%
U.S. bond				528,133		1.25	%
U.S. index
S&P 500 E-mini March 2025	(65	)		61,258		0.15	%
Other U.S. index				66,990		0.16	%
Total futures				1,139,320		2.72	%
Forwards
British pound / U.S. dollar 3/19/2025	£    (12,636,592)			49,186		0.12	%
Canadian dollar / U.S. dollar 1/02/2025 – 1/03/2025	C$ (89,522,457)			58,662		0.14	%
Swiss franc / U.S. dollar 3/19/2025	₣      (8,512,752)			139,608		0.33	%
Other foreign currency				485,431		1.16	%
Total forwards				732,887		1.75	%
Options (proceeds $21,293,061)
Commodity futures
Crude oil June 2025, $55.00 Put	(1	)		(4,138,500	)	(9.88	)%
Crude oil March 2025, $57.00 Put	(1	)		(249,390	)	(0.60	)%
Currency futures
Euro dollar / U.S. dollar January 2025, $1.01 - $1.02 Put	(2	)		(819,608	)	(1.96	)%
Euro dollar / U.S. dollar (Digital EKO) January 2025, $1.05 Put	(1	)		(1,145,916	)	(2.73	)%
Euro dollar / U.S. dollar (Digital) February 2025 - March 2025, $1.08 - $1.09 Call	(3	)		(862,090	)	(2.06	)%
British pound / U.S. dollar January 2025 – March 2025, $1.21 - $1.24 Put	(4	)		(1,977,225	)	(4.72	)%
U.S. dollar / Canadian dollar January 2025 - February 2025, $1.44 – $1.47 Call	(3	)		(2,326,377	)	(5.55	)%
U.S. dollar / Swiss franc January 2025, $0.91 Call	(1	)		(426,784	)	(1.02	)%
U.S. dollar / Chinese yuan February 2025, $7.43 - $7.45 Call	(2	)		(1,039,069	)	(2.48	)%
U.S. dollar / Chinese yuan February 2025, $7.10 Put	(1	)		(94,032	)	(0.22	)%
Other currency futures				(461,436	)	(1.10	)%
U.S. index futures
S&P 500 E-mini March 2025, $6,500.00 Call	(1	)		(291,100	)	(0.69	)%
S&P 500 E-mini January 2025, $5,700.00 Put	(1	)		(791,775	)	(1.89	)%
Total options				(14,623,302	)	(34.90	)%
Total derivative financial instruments			$	22,252,171		53.10	%

48

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, 2024:

Description	Principal Amount / Number of Contracts		Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd.
Fixed income securities (cost $13,567,089)
Government Bonds (cost $13,567,089)
United States (cost $13,567,089)
U.S. Treasury Bills 0.00% due 01/23/2025	$	14,000,000	$	13,965,435			18.79	%
Total Government Bonds				13,965,435			18.79	%
Total fixed income securities			$	13,965,435			18.79	%
Exchange memberships (cost $1,924,208)
United States (cost $1,924,208)
Financial services (cost $1,924,208)			$	2,183,423			2.94	%
Total exchange memberships			$	2,183,423			2.94	%
Derivative financial instruments
Long contracts
Futures
Commodity			$	1,191,696			1.60	%
Currency				279,389			0.38	%
Foreign bond				(2,749,730	)		(3.70	)%
Foreign index				(2,207,681	)		(2.97	)%
Interest rate				(764,635	)		(1.03	)%
U.S. bond
U.S. 2yr Note (CBT) March 2025		696		10,656			0.01	%
U.S. index				(4,189,594	)		(5.63	)%
Total futures				(8,429,899	)		(11.34	)%
Swaps (cost $6,220,677)
Interest rate				3,150,591			4.24	%
Total swaps				3,150,591			4.24	%
Forwards
Foreign currency				(592,587	)		(0.80	)%
Total forwards				(592,587	)		(0.80	)%

49

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, 2024:

Description	Number of Contracts			Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd. (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Commodity				$	(1,298,213	)		(1.75	)%
Currency					123,621			0.17	%
Foreign bond					129,878			0.17	%
Foreign index					191,744			0.26	%
Interest rate					1,609,845			2.16	%
U.S. bond
U.S. 5 yr -10 yr Note (CBT) March 2025		(682	)		483,461			0.65	%
U.S. Long Bond (CBT) March 2025		(80	)		357,258			0.48	%
U.S. Ultra Bond (CBT) March 2025		(13	)		116,531			0.16	%
U.S. index					741,343			1.00	%
Total futures					2,455,468			3.30	%
Swaps (proceeds $672,223)
Interest rate					2,578,678			3.47	%
Total swaps					2,578,678			3.47	%
Forwards
Foreign currency					13,878,935			18.67	%
Total forwards					13,878,935			18.67	%
Total derivative financial instruments				$	13,041,186			17.54	%

50

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, 2024:

		Graham Commodity Strategies LLC			Graham Derivatives Strategies LLC			Graham K4D Trading Ltd.
Assets
Level 1:
Commodity futures	$	–		$	299,350		$	6,062,164
Commodity futures options		250,665			5,437,300			–
Currency futures		–			–			457,558
Exchange memberships*		9,326,468			379,000			2,183,423
Foreign bond futures		132,604			438,836			975,787
Foreign index futures		–			–			1,459,068
Interest rate futures		850,262			182,439			1,639,526
Interest rate futures options		449,238			–			–
U.S. bond futures		725,500			636,774			967,906
U.S. bond futures options		482,820			–			–
U.S. index futures		174,825			128,248			741,343
U.S. index futures options		25,050			4,766,975			–
Total Level 1		12,417,432			12,268,922			14,486,775
Level 2:
Government bonds*		–			–			13,965,435
Foreign currency forwards		582,560			788,355			14,039,314
Currency futures options		3,784,234			25,810,262			–
Interest rate swap		–			–			6,652,409
Total Level 2		4,366,794			26,598,617			34,657,158
Total investment related assets	$	16,784,226		$	38,867,539		$	49,143,933
Liabilities
Level 1:
Commodity futures	$	(2,086,083	)	$	(443,543	)	$	(6,168,681	)
Commodity futures options		(174,386	)		(4,387,890	)		–
Currency futures		–			–			(54,548	)
Foreign bond futures		(521,394	)		(60,985	)		(3,595,639	)
Foreign index futures		–			(54,246	)		(3,475,005	)
Interest rate futures		(287,255	)		(280,437	)		(794,316	)
Interest rate futures options		(533,669	)		–			–
U.S. bond futures		(1,063,859	)		(430,766	)		–
U.S. bond futures options		(491,688	)		–			–
U.S. index futures		(3,021,325	)		(23,583	)		(4,189,594	)
U.S. index futures options		(41,850	)		(1,082,875	)		–
Total Level 1		(8,221,509	)		(6,764,325	)		(18,277,783	)
Level 2:
Foreign currency forwards		(820,873	)		(319,507	)		(752,966	)
Currency futures options		(2,445,845	)		(9,152,536	)		–
Interest rate swap		–			–			(923,140	)
Total Level 2		(3,266,718	)		(9,472,043	)		(1,676,106	)
Total investment related liabilities	$	(11,488,227	)	$	(16,236,368	)	$	(19,953,889	)

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

51

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, 2024. The table also displays the fair value of derivative contracts held by Graham Commodity Strategies LLC at December 31, 2024 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	$	153,823,213	998	$	(8,338,289	)	(108	)	$	–	$	(2,086,083	)
Options (a)		1,211,923	160		(1,300,666	)	(124	)		250,665		(174,386	)
		155,035,136	1,158		(9,638,955	)	(232	)		250,665		(2,260,469	)
Equity price
Futures		126,611,939	557		(190,801,495	)	(1,381	)		174,825		(3,021,325	)
Options (a)		5,311,808	235		(8,028,292	)	(415	)		25,050		(41,850	)
		131,923,747	792		(198,829,787	)	(1,796	)		199,875		(3,063,175	)
Foreign currency exchange rate
Forwards		340,429,163	N/A		(433,068,217	)	N/A			582,560		(820,873	)
Options (a)		94,848,111	36		(90,739,472	)	(31	)		3,784,234		(2,445,845	)
		435,277,274	36		(523,807,689	)	(31	)		4,366,794		(3,266,718	)
Interest rate
Futures		4,283,291,929	23,768		(483,441,714	)	(3,249	)		1,708,366		(1,872,508	)
Options (a)		68,545,860	1,029		(65,220,771	)	(2,575	)		932,058		(1,025,357	)
		4,351,837,789	24,797		(548,662,485	)	(5,824	)		2,640,424		(2,897,865	)
Total	$	5,074,073,946	26,783	$	(1,280,938,916	)	(7,883	)	$	7,457,758	$	(11,488,227	)

(a)

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

52

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, 2024. The table also displays the fair value of derivative contracts held by Graham Derivatives Strategies LLC at December 31, 2024 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	$	60,638,237	405	$	(15,358,624	)	(116	)	$	299,350	$	(443,543	)
Options (a)		87,791,045	2,852		(60,085,446	)	(3,156	)		5,437,300		(4,387,890	)
		148,429,282	3,257		(75,444,070	)	(3,272	)		5,736,650		(4,831,433	)
Equity price
Futures		114,958,322	1,205		(43,244,002	)	(410	)		128,248		(77,829	)
Options (a)		271,360,125	3,093		(237,233,423	)	(2,851	)		4,766,975		(1,082,875	)
		386,318,447	4,298		(280,477,425	)	(3,261	)		4,895,223		(1,160,704	)
Foreign currency exchange rate
Forwards		211,282,533	N/A		(334,165,968	)	N/A			788,355		(319,507	)
Options (a)		596,210,151	23		(615,295,023	)	(24	)		25,810,262		(9,152,536	)
		807,492,684	23		(949,460,991	)	(24	)		26,598,617		(9,472,043	)
Interest rate
Futures		781,601,874	3,837		(471,116,623	)	(3,192	)		1,258,049		(772,188	)
Options (a)		609,448,985	21,851		(590,986,789	)	(21,076	)		–		–
		1,391,050,859	25,688		(1,062,103,412	)	(24,268	)		1,258,049		(772,188	)
Total	$	2,733,291,272	33,266	$	(2,367,485,898	)	(30,825	)	$	38,488,539		$(16,236,368	)

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

(a)(a)    

53

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, 2024. The table also displays the fair value of derivative contracts held by Graham K4D Trading Ltd. at December 31, 2024 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	$	200,957,140	2,108	$	(104,191,039	)	(2,663	)	$	6,062,164	$	(6,168,681	)
		200,957,140	2,108		(104,191,039	)	(2,663	)		6,062,164		(6,168,681	)
Equity price
Futures		403,167,335	2,954		(35,831,616	)	(388	)		2,200,411		(7,664,599	)
		403,167,335	2,954		(35,831,616	)	(388	)		2,200,411		(7,664,599	)
Foreign currency exchange rate
Forwards		197,137,763	N/A		(573,426,627	)	N/A			14,039,314		(752,966	)
Futures		18,160,356	180		(4,566,323	)	(59	)		457,558		(54,548	)
		215,298,119	180		(577,992,950	)	(59	)		14,496,872		(807,514	)
Interest rate
Futures		894,778,806	5,129		(1,169,964,428	)	(6,143	)		3,583,219		(4,389,955	)
Swaps		194,851,030	53		(217,594,709	)	(45	)		6,652,409		(923,140	)
		1,089,629,836	5,182		(1,387,559,137	)	(6,188	)		10,235,628		(5,313,095	)
Total	$	1,909,052,430	10,424	$	(2,105,574,742	)	(9,298	)	$	32,995,075	$	(19,953,889	)

54

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, 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	$	7,457,758		$	(6,357,681	)	$	1,100,077		$	–	$	1,100,077
Derivative assets	$	(11,488,227	)	$	6,357,681		$	(5,130,546	)	$	5,130,546	$	–
Derivative liabilities
Graham Derivatives Strategies LLC2
Derivative assets	$	38,488,539		$	(16,236,368	)	$	22,252,171		$	–	$	22,252,171
Derivative liabilities	$	(16,236,368	)	$	16,236,368		$	–		$	–	$	–
Graham K4D Trading Ltd.3
Derivative assets	$	32,995,075		$	(16,467,012	)	$	16,528,063		$	–	$	16,528,063
Derivative liabilities	$	(19,953,889	)	$	16,467,012		$	(3,486,877	)	$	3,486,877	$	–

¹ Net derivative asset and liability amounts presented in the statement of financial condition are held with two counterparties. At December 31, 2024, additional collateral pledged in the amount of $75,150,000 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.

² Net derivative assets amounts presented in the statement of financial condition are held with two counterparties. At December 31, 2024, additional collateral pledged in the amount of $19,239,860 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.

³ Net derivative asset and liability amounts presented in the statement of financial condition are held with two counterparties. At December 31, 2024, additional collateral pledged in the amount of $41,604,419 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.

55

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

The following table shows the gains and losses on all derivative financial instruments held by the Master Funds reported in net realized gain (loss) and net (decrease) increase 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

56

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, 2025 and December 31, 2024 is $62,958,428 and $61,337,499, respectively, which represents a percentage of GAIT’s Members’ Capital of 91.06% and 92.45%, respectively.

GAIT records its proportionate share of Cash Assets’ investment income and expenses on a monthly basis. For the three months ended March 31, 2025 and 2024, the total amount recognized by GAIT with respect to its investment in Cash Assets was $652,334 and $756,689, respectively. These amounts are included in interest income in the statements of operations and incentive allocation. At March 31, 2025 and December 31, 2024, GAIT owned approximately 0.81% and 0.86%, respectively, of Cash Assets. The following table summarizes the financial position of Cash Assets as of March 31, 2025 and December 31, 2024:

		March 31, 2025		December 31, 2024
Assets:
Cash and cash equivalents	$	337,552,877	$	334,528,628
Investments in fixed income securities (amortized cost $7,681,447,797 and $6,781,806,360 respectively)		7,681,447,797		6,781,806,360
Interest receivable		23,243,264		9,596,261
Total assets		8,042,243,938		7,125,931,249
Liabilities:
Due to broker		295,242,000		137
Total liabilities		295,242,000		137
Members’ capital	$	7,747,001,938	$	7,125,931,112

57

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, 2025 and 2024:

		2025		2024
Investment income
Interest income	$	79,372,865	$	79,115,568
Total investment income		79,372,865		79,115,568
Expenses:
Bank fee expense		155,990		194,172
Total expenses		155,990		194,172
Net investment income		79,216,875		78,921,396
Net income	$	79,216,875	$	78,921,396

The following represents the condensed schedule of investments of Cash Assets as of March 31, 2025:

Description		Principal Amounts		Fair Value	Percentage of Members’ Capital
Investments in Fixed Income Securities (amortized cost $7,681,447,797)
United States
Government Bonds (amortized cost $4,607,318,991)
U.S. Treasury bond 0.75% due 04/30/2026	$	500,000,000	$	480,907,305	6.21	%
U.S. Treasury bond 0.88% due 09/30/2026		500,000,000		475,200,632	6.13	%
U.S. Treasury bond 1.63% due 05/15/2026		500,000,000		486,118,175	6.27	%
U.S. Treasury bond 3.75% due 04/15/2026		500,000,000		495,622,710	6.40	%
U.S. Treasury bond 0.25% - 4.25% due 07/31/2025 - 02/28/2027		2,750,000,000		2,669,470,169	34.46	%
Total Government Bonds				4,607,318,991	59.47	%
Treasury Bills (amortized cost $3,074,128,806)
U.S. Treasury bills 0.00% due 04/01/2025 – 01/22/2026		3,100,000,000		3,074,128,806	39.68	%
Total Treasury Bills				3,074,128,806	39.68	%
Total United States				7,681,447,797	99.15	%
Total Investments in Fixed Income Securities			$	7,681,447,797	99.15	%

58

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, 2024:

Description		Principal Amounts		Fair Value	Percentage of Members’ Capital
Investments in Fixed Income Securities (amortized cost $6,781,806,360)
United States
Government Bonds (amortized cost $2,920,547,412)
U.S. Treasury bond 3.75% due 04/15/2026	$	500,000,000	$	494,585,983	6.94	%
U.S. Treasury bond 0.75% due 04/30/2026		500,000,000		476,557,071	6.69	%
U.S. Treasury bond 1.63% due 05/15/2026		500,000,000		483,070,945	6.78	%
U.S. Treasury bond 0.88% due 09/30/2026		500,000,000		471,127,743	6.61	%
U.S. Treasury bonds 0.38% – 1.88% due 12/31/2025 – 02/28/2027		1,050,000,000		995,205,670	13.96	%
Total Government Bonds				2,920,547,412	40.98	%
Treasury Bills (amortized cost $3,861,258,948)
U.S. Treasury bill 0.00% due 01/07/2025 - 06/26/2025		3,900,000,000		3,861,258,948	54.19	%
Total Treasury Bills				3,861,258,948	54.19	%
Total United States				6,781,806,360	95.17	%
Total Investments in Fixed Income Securities			$	6,781,806,360	95.17	%

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, 2025 and December 31, 2024:

		March 31, 2025		December 31, 2024
Assets
Level 2:
Fixed income securities
Government bonds	$	4,607,318,991	$	2,920,547,412
Treasury bills		3,074,128,806		3,861,258,948
Total fixed income securities		7,681,447,797		6,781,806,360
Total Level 2		7,681,447,797		6,781,806,360
Total assets	$	7,681,447,797	$	6,781,806,360

59

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

5. Capital Accounts

GAIT offers members Class 0, Class 2 Units, and effective March 19, 2024, Class 3-A Units and Class 3-B Units (collectively the “Units”). All classes are currently issued. 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 advisory fee. The Advisory Fees paid to the Manager for the three months ended March 31, 2025 and 2024 were $255,978 and $243,556, respectively.

60

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, 2025 and 2024 were $102,828 and $125,132, 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, 2025 and 2024 was $48,127 and $312,502, 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 Fees

For the three months ended March 31, 2025 and 2024, GAIT paid SEI monthly administrator’s fees based on GAIT’s Members’ Capital, calculated as of the last business day of each month. In addition, GAIT paid SEI for regulatory compliance services and 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 $25,012 and $21,103, 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, 2025 and 2024 were $144,368 and $106,420, 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, 2025 and 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, 2025 and 2024 were $11,144 and $10,637, respectively.

61

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, 2025 and 2024.

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.

62

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, 2025 and 2024:

		Class 0			Class 2			Class 3-A		Class 3-B
Per unit operating performance
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		$	‑	$	‑
Net asset value per Unit, December 31, 2024	$	235.13		$	164.69		$	97.68	$	95.51
Net income:
Net investment income (loss)		0.61			0.11			0.05		(0.30	)
Net gain on investments		6.17			4.33			2.49		2.50
Net income		6.78			4.44			2.54		2.20
Net asset value per Unit, March 31, 2025	$	241.91		$	169.13		$	100.22	$	97.71

The following represents ratios to average Members’ Capital, excluding the Manager, and total return for the three months ended March 31, 2025 and 2024:

	Class 0					Class 2					Class 3-A				Class 3-B
		2025		2024			2025		2024			2025		2024		2025		2024
Total return before Incentive Allocation		2.88	%	9.46	%		2.69	%	9.26	%		3.01	%	‑		2.88	%	‑
Incentive Allocation		0.00		(0.55	)		0.00		(0.47	)		(0.41	)	‑		(0.58	)	‑
Total return after Incentive Allocation		2.88	%	8.91	%		2.69	%	8.79	%		2.60	%	‑		2.30	%	‑
Net investment income before Incentive Allocation		0.26	%	0.49	%		0.07		0.30	%		0.41	%	‑		0.26	%	‑
Incentive Allocation		0.00		(0.52	)		0.00		(0.43	)		(0.36	)	‑		(0.56	)	‑
Net investment income (loss) after Incentive Allocation		0.26	%	(0.03	)%		0.07	%	(0.13	)%		0.05	%	‑		(0.30	)%	‑
Total expenses before Incentive Allocation		0.77	%	0.72	%		0.94	%	0.90	%		0.72	%	‑		0.78	%	‑
Incentive Allocation		0.00		0.52			0.00		0.43			0.36		‑		0.56		‑
Total expenses after Incentive Allocation		0.77	%	1.24	%		0.94	%	1.33	%		1.08	%	‑		1.34	%	‑

Total return is calculated for Class 0, Class 2, Class 3-A and Class 3-B 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, Class 2, Class 3-A and Class 3-B 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, 2025 and 2024 and have not been annualized.

63

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

10. Subsequent Events

GAIT had subscriptions of $1.0 million and redemptions of approximately $0.3 million from April 1, 2025 through May 15, 2025, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.

64

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, 2024 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, 2024 included in our Annual Report on Form 10-K, as filed with the Securities and Exchange Commission on March 26, 2025. 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, 2025, the Core Macro Portfolio’s Members’ Capital increased by $936,409 or 2.6%. The net increase in the Core Macro Portfolio was attributable to a net income of $984,847 or 2.7% and subscriptions of $485,000 or 1.4%, offset by redemptions totaling $533,438 or -1.5% for the period.

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.

(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.

65

2025 Summary

Three Months Ended March 31, 2025

For the three months ended March 31, 2025, the Core Macro Portfolio experienced a net trading gain of $966,391. The trading results are attributable to the following sectors:

Agriculture / Softs	$	(17,828	)
Base Metals		188,177
Energy		96,564
Equities		382,460
Foreign Exchange		(825,050	)
Long Term / Intermediate Rates		342,093
Precious Metals		769,712
Short Term Rates		30,263
	$	966,391

The Core Macro Portfolio recorded trading gains in the first quarter of 2025. Commodities were the top-performing sector due to long positions in precious metals, copper, crude oil, coffee, and natural gas. The portfolio generated gains in equities from long positions in European and U.K. benchmark indices, as well as from mixed positions in U.S. indices. In fixed income, profits were driven by short positions in European bonds in early March. The portfolio incurred losses in currencies from long exposure to the U.S. dollar versus major global counterparts, particularly the euro, the British pound sterling, and the Swiss franc, with additional losses from mixed positions in the Japanese yen.

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, 2025, Advisory Fees increased by $9,059 or 6.8%, Sponsor Fees decreased by $9,207 or -14.1%, and Administrator’s Fees increased by $2,196 or 19.9% 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 decreased by $51,455 or -12.2%. Interest was earned on free cash at an average annualized yield of 4.22% for the three months ended March 31, 2025 compared to 4.99% for the same period in 2024.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended March 31, 2025 and 2024, the Incentive Allocation was $27,535 and $171,726, respectively. The decrease was the result of a lower New High Net Trading Profits before incentive allocation for the three months ended March 31, 2025 compared to the three months ended March 31, 2024.

The following table illustrates the sector distribution of the Fund’s investments in Master Funds as of March 31, 2025 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	(10.1)%
Base Metals	(0.9)%
Energy	13.0%
Equities	(147.0)%
Foreign Exchange	244.5%
Long Term / Intermediate Rates	(59.2)%
Precious Metals	13.7%
Short Term Rates	46.0%
	100.0%

66

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	%

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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, 2025	9.64%
December 31, 2024	11.17%
March 31, 2024	9.24%

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, 2025, the Fund experienced no meaningful periods of illiquidity in any of the markets traded by the Manager on behalf of the Fund.

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(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.

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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.

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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.

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Item 4. Controls and Procedures

Evaluation of Disclosure Control and Procedures

The Fund and GAIF II has each 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 management of the Fund and GAIF II, as appropriate, to allow timely decisions regarding required disclosure.

Based on their evaluation as of March 31, 2025, the Manager, along with the Manager’s principal executive officer and principal financial officer, has concluded that the disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended) of the Fund and GAIF II were effective.

With respect to the certifications of the Principal Executive Officer and Principal Financial Officer included as Exhibit 31 hereto, the financial statements referred to therein and the representations and determinations of those officers contained in such certifications refer to and apply to both the Fund and GAIF II.

Changes in Internal Control Over Financial Reporting

There were no changes to the internal control over financial reporting of the Fund and GAIF II during the first quarter of 2025 that have materially affected, or are reasonably likely to materially affect, the Fund’s or GAIF II’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 2024 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, 2025, the Fund issued 4,981.465 Units in exchange for $485,000 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, 2025	2,628.023
February 1 – February 28, 2025	257.241
March 1 – March 31, 2025	2,096.201
TOTAL	4,981.465

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, 2025	960.591	$  168.19	N/A	N/A
February 1 – February 28, 2025	1,535.653	$  242.16	N/A	N/A
March 1 – March 31, 2025	-	$            -	N/A	N/A
TOTAL	2,496.244	$  213.70	N/A	N/A

 ¹Represents 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, 2025, 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, 2025		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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