DELAWARE
|
20-4897069
|
|
(State or other jurisdiction of incorporation or organization)
|
(I.R.S. Employer Identification No.)
|
Title of each class
|
Trading Symbol(s)
|
Name of each exchange on which registered
|
|||
None
|
N/A
|
None
|
Securities registered pursuant to Section 12(g) of the Act:
|
Blended Strategies Portfolio: Units of Interests
|
|
(Title of Class)
|
Large accelerated
filer
☐
|
Accelerated
filer
☐
|
Non-accelerated filer ☐
|
Smaller reporting company
☑
|
Emerging Growth Company
☐
|
Item 1:
|
BUSINESS
|
• |
December 31, 2050;
|
• |
the withdrawal (voluntary or involuntary), bankruptcy or an assignment for the benefit of creditors or dissolution of the Manager; or
|
• |
any date prior to December 31, 2050 on which the Manager elects to dissolve GAIF I.
|
(i) |
General
|
ii)
|
The Manager
|
(iii)
|
The Trading Program
|
(iv) |
Use of Proceeds
|
(i) |
Advisory Fee
|
(ii)
|
Sponsor Fee
|
Class 0
|
Class 2
|
0.50%
|
1.25%
|
(iii) |
Incentive Allocation
|
a. |
The value of unrealized appreciation or depreciation on open futures contracts shall be recorded as the difference between the contract price on the trade date and the closing price reported as of the Valuation
Day on the primary exchange on which such contracts are traded.
|
b. |
The value of any option listed or traded on any recognized foreign or U.S. exchange shall be the settlement price published by the principal exchange on which it is traded on the relevant Valuation Day. If the
recognized foreign or U.S. exchange does not publish a settlement price, the value of any option shall be the last reported sale price on the relevant Valuation Day on the principal exchange on which such option is traded. If no such sale of
such option was reported on that date, the market value shall be the average of the last reported bid and asked price. The market value of any over-the-counter option for which representative broker’s quotations are available shall be
determined in like manner by reference to the last reported sale price, or, if none is available, to the average of the last reported bid and asked quotation. Premiums for the sale of such options written by the Fund shall be included in the
assets of the portfolio, and the market value of such options shall be included as a liability.
|
c. |
The value of any U.S. government security shall be the cost of such security plus accrued interest, discount and amortization of premium.
|
Item 1A:
|
RISK FACTORS
|
Item 1B:
|
UNRESOLVED STAFF COMMENTS
|
Item 2:
|
PROPERTIES
|
Item 3:
|
LEGAL PROCEEDINGS
|
Item 4:
|
MINE SAFETY DISCLOSURES
|
Item 5:
|
MARKET FOR REGISTRANT’S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUER PURCHASES OF EQUITY SECURITIES
|
(a) |
Market information
|
(b) |
Holders
|
(c) |
Dividends
|
(d) |
Securities Authorized for Issuance under Equity Compensation Plans
|
(e)
|
Performance Graph
|
(f)
|
Recent Sales of Unregistered Securities
|
Month beginning:
|
Blended Strategies
Portfolio Class 0
Number of Units
Purchased
|
Price of Blended
Strategies Portfolio
Class 0 Units
Purchased
|
Blended Strategies
Portfolio Class 2
Number of Units
Purchased
|
Price of Blended
Strategies Portfolio
Class 2 Units
Purchased
|
|||||||||||||
October 1, 2020
|
324.090
|
$
|
166.73
|
-
|
-
|
||||||||||||
November 1, 2020
|
-
|
-
|
436.666
|
$
|
120.46
|
||||||||||||
December 1, 2020
|
-
|
-
|
1,876.298
|
$
|
124.23
|
Item 6:
|
SELECTED FINANCIAL DATA
|
Item 7:
|
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
|
(i)
|
Results of Operations
|
Agriculture / Softs
|
$
|
153,724
|
||
Base Metals
|
526,582
|
|||
Energy
|
(593,323
|
)
|
||
Equities
|
127,947
|
|||
Foreign Exchange
|
1,069,861
|
|||
Long Term / Intermediate Rates
|
834,068
|
|||
Precious Metals
|
1,407,650
|
|||
Short Term Rates
|
1,365,092
|
|||
$
|
4,891,601
|
Agriculture / Softs
|
16.0
|
%
|
||
Base Metals
|
5.7
|
%
|
||
Energy
|
1.8
|
%
|
||
Equities
|
13.9
|
%
|
||
Foreign Exchange
|
25.6
|
%
|
||
Long Term / Intermediate Rates
|
1.2
|
%
|
||
Precious Metals
|
8.4
|
%
|
||
Short Term Rates
|
27.4
|
%
|
||
100.0
|
%
|
Agriculture / Softs
|
$
|
(263,764
|
)
|
|
Base Metals
|
(272,861
|
)
|
||
Energy
|
(728,769
|
)
|
||
Equities
|
2,823,263
|
|||
Foreign Exchange
|
(305,087
|
)
|
||
Long Term / Intermediate Rates
|
1,590,681
|
|||
Precious Metals
|
596,196
|
|||
Short Term Rates
|
655,201
|
|||
$
|
4,094,860
|
Agriculture / Softs
|
(2.2
|
)%
|
||
Base Metals
|
(0.6
|
)%
|
||
Energy
|
3.0
|
%
|
||
Equities
|
1.5
|
%
|
||
Foreign Exchange
|
4.3
|
%
|
||
Long Term / Intermediate Rates
|
(3.9
|
)%
|
||
Precious Metals
|
36.0
|
%
|
||
Short Term Rates
|
61.9
|
%
|
||
100.0
|
%
|
(ii) |
Liquidity
|
(iii) |
Capital Resources
|
(iv) |
Critical Accounting Policies
|
(v) |
Off-Balance Sheet Arrangements
|
Item 7A:
|
QUANTITATIVE AND QUALITATIVE DISCLOSURE ABOUT MARKET RISK
|
Item 8:
|
FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
|
|
Financial Statements
Graham Alternative Investment Fund I LLC
Blended Strategies Portfolio
Years Ended December 31, 2020 and 2019
with Report of Independent Registered Public Accounting Firm
|
|
By:
|
Graham Capital Management, L.P., as
Sole Manager
|
|
|
|
|
|
|
|
By:
|
/s/ George Schrade
|
|
|
|
George Schrade
|
|
|
|
Chief Financial Officer
|
|
|
|
March 30, 2021
|
Report of Independent Registered Public Accounting Firm
|
33
|
Statements of Financial Condition
|
34
|
Statements of Operations
|
35
|
Statements of Changes in Members’ Capital
|
36
|
Statements of Cash Flows
|
37
|
Notes to Financial Statements
|
38
|
December 31,
|
||||||||
2020
|
2019
|
|||||||
Assets
|
||||||||
Investment in Graham Alternative Investment Trading LLC, at fair value
|
$
|
29,194,816
|
$
|
26,882,563
|
||||
Redemptions receivable from Graham Alternative Investment Trading LLC
|
233,089
|
144,707
|
||||||
Total assets
|
$
|
29,427,905
|
$
|
27,027,270
|
||||
Liabilities and members’ capital
|
||||||||
Liabilities:
|
||||||||
Redemptions payable
|
$
|
233,089
|
$
|
144,707
|
||||
Total liabilities
|
233,089
|
144,707
|
||||||
Members’ capital:
|
||||||||
Class 0 Units (100,881.333 and 103,946.549 units issued and outstanding at $173.06 and $152.04, respectively)
|
17,458,496
|
15,804,368
|
||||||
Class 2 Units (94,473.834 and 102,244.827 units issued and outstanding at $124.23 and $108.35, respectively)
|
11,736,320
|
11,078,195
|
||||||
Total members’ capital
|
29,194,816
|
26,882,563
|
||||||
Total liabilities and members’ capital
|
$
|
29,427,905
|
$
|
27,027,270
|
Years Ended December 31,
|
||||||||
2020
|
2019
|
|||||||
Net gain allocated from investment in Graham Alternative Investment Trading LLC:
|
||||||||
Net realized gain on investment
|
$
|
3,943,355
|
$
|
4,461,361
|
||||
Net increase (decrease) in unrealized appreciation on investment
|
948,246
|
(366,501
|
)
|
|||||
Brokerage commissions and fees
|
(115,902
|
)
|
(222,862
|
)
|
||||
Net gain allocated from investment in Graham Alternative Investment Trading LLC
|
4,775,699
|
3,871,998
|
||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC:
|
||||||||
Investment income:
|
||||||||
Interest income
|
286,149
|
570,153
|
||||||
Expenses:
|
||||||||
Incentive allocation
|
531,233
|
187
|
||||||
Advisory fees
|
422,787
|
435,127
|
||||||
Sponsor fees
|
227,766
|
234,265
|
||||||
Professional fees and other
|
133,265
|
181,804
|
||||||
Administrator’s fees
|
36,459
|
37,873
|
||||||
Interest expense
|
6,745
|
6,246
|
||||||
Total expenses
|
1,358,255
|
895,502
|
||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC
|
(1,072,106
|
)
|
(325,349
|
)
|
||||
Net income
|
$
|
3,703,593
|
$
|
3,546,649
|
Class 0 Units
|
Class 2 Units
|
|||||||||||||||||||
Units
|
Capital
|
Units
|
Capital
|
Total Members’
Capital
|
||||||||||||||||
Members’ capital, December 31, 2018
|
137,453.802
|
$
|
18,378,136
|
134,750.838
|
$
|
12,936,828
|
$
|
31,314,964
|
||||||||||||
Subscriptions
|
1,499.645
|
200,000
|
–
|
–
|
200,000
|
|||||||||||||||
Redemptions
|
(35,006.898
|
)
|
(4,901,470
|
)
|
(32,506.011
|
)
|
(3,277,580
|
)
|
(8,179,050
|
)
|
||||||||||
Net income
|
–
|
2,127,702
|
–
|
1,418,947
|
3,546,649
|
|||||||||||||||
Members’ capital, December 31, 2019
|
103,946.549
|
15,804,368
|
102,244.827
|
11,078,195
|
26,882,563
|
|||||||||||||||
Subscriptions
|
–
|
–
|
–
|
–
|
–
|
|||||||||||||||
Redemptions
|
(3,065.216
|
)
|
(473,190
|
)
|
(7,770.993
|
)
|
(918,150
|
)
|
(1,391,340
|
)
|
||||||||||
Net income
|
–
|
2,127,318
|
–
|
1,576,275
|
3,703,593
|
|||||||||||||||
Members’ capital, December 31, 2020
|
100,881.333
|
$
|
17,458,496
|
94,473.834
|
$
|
11,736,320
|
$
|
29,194,816
|
Years Ended December 31,
|
||||||||
2020
|
2019
|
|||||||
Cash flows provided by operating activities
|
||||||||
Net income
|
$
|
3,703,593
|
$
|
3,546,649
|
||||
Adjustments to reconcile net income to net cash provided by operating activities:
|
||||||||
Net (income) allocated from investment in Graham Alternative Investment Trading LLC
|
(3,703,593
|
)
|
(3,546,649
|
)
|
||||
Proceeds from sale of investment in Graham Alternative Investment Trading LLC
|
1,302,958
|
8,371,454
|
||||||
Purchases of investment in Graham Alternative Investment Trading LLC
|
–
|
(200,000
|
)
|
|||||
Net cash provided by operating activities
|
1,302,958
|
8,171,454
|
||||||
Cash flows used in financing activities
|
||||||||
Subscriptions
|
–
|
200,000
|
||||||
Redemptions
|
(1,302,958
|
)
|
(8,371,454
|
)
|
||||
Net cash used in financing activities
|
(1,302,958
|
)
|
(8,171,454
|
)
|
||||
Net change in cash and cash equivalents
|
–
|
–
|
||||||
Cash and cash equivalents, beginning of year
|
–
|
–
|
||||||
Cash and cash equivalents, end of year
|
$
|
–
|
$
|
–
|
• |
Level 1 inputs are unadjusted closing or settlement prices for such assets or liabilities as published by the primary exchange upon which they are traded.
|
• |
Level 2 inputs include quoted prices for similar assets and liabilities obtained from independent brokers and/or market makers in each security.
|
• |
Level 3 inputs are those which are considered unobservable and are significant in arriving at fair value.
|
Class 0
|
Class 2
|
0.50%
|
1.25%
|
Class 0
|
Class 2
|
|||||||
Per unit operating performance
|
||||||||
Net asset value per Unit, December 31, 2018
|
$
|
133.70
|
$
|
96.01
|
||||
Net income:
|
||||||||
Net investment loss
|
(1.18
|
)
|
(1.63
|
)
|
||||
Net gain on investments
|
19.52
|
13.97
|
||||||
Net income
|
18.34
|
12.34
|
||||||
Net asset value per Unit, December 31, 2019
|
152.04
|
108.35
|
||||||
Net income:
|
||||||||
Net investment loss
|
(6.72
|
)
|
(3.94
|
)
|
||||
Net gain on investments
|
27.74
|
19.82
|
||||||
Net income
|
21.02
|
15.88
|
||||||
Net asset value per Unit, December 31, 2020
|
$
|
173.06
|
$
|
124.23
|
Class 0
|
Class 2
|
||||||||||||||||
2020
|
2019
|
2020
|
2019
|
||||||||||||||
Total return before Incentive Allocation
|
16.34
|
%
|
13.72
|
%
|
15.66
|
%
|
12.86
|
%
|
|||||||||
Incentive Allocation
|
(2.52
|
)
|
0.00
|
(1.01
|
)
|
0.00
|
|||||||||||
Total return after Incentive Allocation
|
13.82
|
%
|
13.72
|
%
|
14.65
|
%
|
12.86
|
%
|
|||||||||
Net investment loss before Incentive Allocation
|
(1.63
|
)%
|
(0.83
|
)%
|
(2.38
|
)%
|
(1.59
|
)%
|
|||||||||
Incentive Allocation
|
(2.52
|
)
|
0.00
|
(1.01
|
)
|
0.00
|
|||||||||||
Net investment loss after Incentive Allocation
|
(4.15
|
)%
|
(0.83
|
)%
|
(3.39
|
)%
|
(1.59
|
)%
|
|||||||||
Total expenses before Incentive Allocation
|
2.65
|
%
|
2.83
|
%
|
3.40
|
%
|
3.59
|
%
|
|||||||||
Incentive Allocation
|
2.52
|
0.00
|
1.01
|
0.00
|
|||||||||||||
Total expenses after Incentive Allocation
|
5.17
|
%
|
2.83
|
%
|
4.41
|
%
|
3.59
|
%
|
Financial Statements
Graham Alternative Investment Trading LLC
Years Ended December 31, 2020 and 2019
with Report of Independent Registered Public Accounting Firm
|
|
By:
|
Graham Capital Management, L.P., as
Sole Manager
|
|
|
|
|
|
|
|
By:
|
/s/ George Schrade
|
|
|
|
George Schrade
|
|
|
|
Chief Financial Officer
|
|
|
|
March 30, 2021
|
Report of Independent Registered Public Accounting Firm
|
48
|
Statements of Financial Condition
|
49
|
Condensed Schedules of Investments
|
50
|
Statements of Operations and Incentive Allocation
|
51
|
Statements of Changes in Members’ Capital
|
52
|
Statements of Cash Flows
|
53
|
Notes to Financial Statements
|
54
|
December 31,
|
||||||||
2020
|
2019
|
|||||||
Assets
|
||||||||
Investments in Master Funds, at fair value
|
$
|
6,446,067
|
$
|
7,251,243
|
||||
Investment in Graham Cash Assets LLC, at fair value
|
54,304,841
|
48,977,607
|
||||||
Receivable from Master Funds
|
3
|
167
|
||||||
Total assets
|
$
|
60,750,911
|
$
|
56,229,017
|
||||
Liabilities and members’ capital
|
||||||||
Liabilities:
|
||||||||
Redemptions payable
|
$
|
757,071
|
$
|
386,119
|
||||
Accrued professional fees
|
128,331
|
195,023
|
||||||
Accrued advisory fees
|
75,035
|
69,712
|
||||||
Accrued sponsor fees
|
39,910
|
37,281
|
||||||
Accrued administrator’s fees
|
6,618
|
6,032
|
||||||
Payable to Master Funds
|
95
|
195
|
||||||
Total liabilities
|
1,007,060
|
694,362
|
||||||
Members’ capital:
|
||||||||
Class 0 Units (203,816.771 and 213,162.414 units issued and outstanding at $173.06 and $152.04 per unit, respectively)
|
35,272,482
|
32,409,897
|
||||||
Class 2 Units (184,460.524 and 201,355.180 units issued and outstanding at $124.23 and $108.35 per unit, respectively)
|
22,915,191
|
21,816,766
|
||||||
Class M Units (4,671.470 units issued and outstanding at $333.12 and $279.99 per unit, respectively)
|
1,556,178
|
1,307,992
|
||||||
Total members’ capital
|
59,743,851
|
55,534,655
|
||||||
Total liabilities and members’ capital
|
$
|
60,750,911
|
$
|
56,229,017
|
December 31, 2020
|
December 31, 2019
|
|||||||||||||||||
Description
|
Fair Value
|
Percentage of
Members’
Capital
|
Fair Value
|
Percentage of
Members’
Capital
|
||||||||||||||
Investments in Master Funds, at fair value
|
||||||||||||||||||
Graham Commodity Strategies LLC
|
$
|
2,103,213
|
3.52
|
%
|
$
|
3,714,431
|
6.69
|
%
|
||||||||||
Graham K4D Trading Ltd.
|
4,342,854
|
7.27
|
%
|
3,536,812
|
6.37
|
%
|
||||||||||||
Total investments in Master Funds
|
$
|
6,446,067
|
10.79
|
%
|
$
|
7,251,243
|
13.06
|
%
|
Years Ended December 31,
|
||||||||
2020
|
2019
|
|||||||
Net gain allocated from investments in Master Funds:
|
||||||||
Net realized gain on investments
|
$
|
8,083,093
|
$
|
9,119,953
|
||||
Net increase (decrease) in unrealized appreciation on investments
|
1,936,154
|
(797,770
|
)
|
|||||
Brokerage commissions and fees
|
(238,140
|
)
|
(449,698
|
)
|
||||
Net gain allocated from investments in Master Funds
|
9,781,107
|
7,872,485
|
||||||
Net investment income allocated from investments in Master Funds
|
31,324
|
96,481
|
||||||
Investment income:
|
||||||||
Interest income
|
555,205
|
1,052,923
|
||||||
Total investment income
|
555,205
|
1,052,923
|
||||||
Expenses:
|
||||||||
Advisory fees
|
845,384
|
859,146
|
||||||
Sponsor fees
|
450,565
|
458,417
|
||||||
Professional fees and other
|
272,012
|
368,022
|
||||||
Administrator’s fees
|
74,748
|
76,344
|
||||||
Interest expense
|
13,739
|
12,598
|
||||||
Total expenses
|
1,656,448
|
1,774,527
|
||||||
Net investment loss of the Fund
|
(1,101,243
|
)
|
(721,604
|
)
|
||||
Net income
|
8,711,188
|
7,247,362
|
||||||
Incentive allocation
|
(1,068,033
|
)
|
(187
|
)
|
||||
Net income available for pro-rata allocation to all members
|
$
|
7,643,155
|
$
|
7,247,175
|
Class 0
|
Class 2
|
Class M
|
Total
|
|||||||||||||||||||||||||
Units
|
Capital
|
Units
|
Capital
|
Units
|
Capital
|
Capital
|
||||||||||||||||||||||
Members’ capital, December 31, 2018
|
263,114.613
|
$
|
35,179,498
|
251,175.400
|
$
|
24,114,225
|
4,671.470
|
$
|
1,127,501
|
$
|
60,421,224
|
|||||||||||||||||
Subscriptions
|
3,755.988
|
500,000
|
775.525
|
73,500
|
–
|
–
|
573,500
|
|||||||||||||||||||||
Redemptions
|
(53,708.187
|
)
|
(7,610,164
|
)
|
(50,595.745
|
)
|
(5,097,080
|
)
|
–
|
(187
|
)
|
(12,707,431
|
)
|
|||||||||||||||
Incentive allocation
|
–
|
(187
|
)
|
–
|
–
|
–
|
187
|
–
|
||||||||||||||||||||
Net income
|
–
|
4,340,750
|
–
|
2,726,121
|
–
|
180,491
|
7,247,362
|
|||||||||||||||||||||
Members’ capital, December 31, 2019
|
213,162.414
|
32,409,897
|
201,355.180
|
21,816,766
|
4,671.470
|
1,307,992
|
55,534,655
|
|||||||||||||||||||||
Subscriptions
|
–
|
–
|
–
|
–
|
–
|
–
|
–
|
|||||||||||||||||||||
Redemptions
|
(9,345.643
|
)
|
(1,466,655
|
)
|
(16,894.656
|
)
|
(1,967,304
|
)
|
–
|
(1,068,033
|
)
|
(4,501,992
|
)
|
|||||||||||||||
Incentive allocation
|
–
|
(844,052
|
)
|
–
|
(223,981
|
)
|
–
|
1,068,033
|
–
|
|||||||||||||||||||
Net income
|
–
|
5,173,292
|
–
|
3,289,710
|
–
|
248,186
|
8,711,188
|
|||||||||||||||||||||
Members’ capital, December 31, 2020
|
203,816.771
|
$
|
35,272,482
|
184,460.524
|
$
|
22,915,191
|
4,671.470
|
$
|
1,556,178
|
$
|
59,743,851
|
Years Ended December 31,
|
||||||||
2020
|
2019
|
|||||||
Cash flows provided by operating activities
|
||||||||
Net income
|
$
|
8,711,188
|
$
|
7,247,362
|
||||
Adjustments to reconcile net income to net cash provided by operating activities:
|
||||||||
Net (income) allocated from investments in Master Funds
|
(9,812,431
|
)
|
(7,968,966
|
)
|
||||
Net (income) allocated from investment in Graham Cash Assets LLC
|
(555,205
|
)
|
(1,052,923
|
)
|
||||
Proceeds from sale of investments in Master Funds
|
64,069,644
|
67,523,881
|
||||||
Proceeds from sale of investments in Graham Cash Assets LLC
|
43,854,840
|
58,936,560
|
||||||
Purchase of investments in Master Funds
|
(53,473,547
|
)
|
(61,075,992
|
)
|
||||
Purchase of investments in Graham Cash Assets LLC
|
(48,605,295
|
)
|
(51,360,180
|
)
|
||||
Changes in assets and liabilities:
|
||||||||
(Decrease) increase in accrued professional fees
|
(66,692
|
)
|
29,367
|
|||||
Increase (decrease) in accrued advisory fees
|
5,323
|
(6,639
|
)
|
|||||
Increase (decrease) in accrued sponsor fees
|
2,629
|
(3,774
|
)
|
|||||
Increase (decrease) in accrued administrator’s fees
|
586
|
(838
|
)
|
|||||
Net cash provided by operating activities
|
4,131,040
|
12,267,858
|
||||||
Cash flows used in financing activities
|
||||||||
Subscriptions
|
–
|
573,500
|
||||||
Redemptions
|
(4,131,040
|
)
|
(12,841,358
|
)
|
||||
Net cash used in financing activities
|
(4,131,040
|
)
|
(12,267,858
|
)
|
||||
Net change in cash and cash equivalents
|
–
|
–
|
||||||
Cash and cash equivalents, beginning of year
|
–
|
–
|
||||||
Cash and cash equivalents, end of year
|
$
|
–
|
$
|
–
|
||||
Supplemental cash flow information
|
||||||||
Interest paid
|
$
|
13,739
|
$
|
12,598
|
• |
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.
|
December 31, 2020
|
||||||||||||
Investment – Objective
|
Percent of
Members’
Capital
|
Fair Value
|
Net Income
|
|||||||||
Global Macro Funds
|
||||||||||||
Graham Commodity Strategies LLC
|
3.52
|
%
|
$
|
2,103,213
|
$
|
9,622,548
|
||||||
Systematic Macro Funds
|
||||||||||||
Graham K4D Trading Ltd.
|
7.27
|
%
|
4,342,854
|
189,883
|
||||||||
10.79
|
%
|
$
|
6,446,067
|
$
|
9,812,431
|
December 31, 2019
|
||||||||||||
Investment – Objective
|
Percent of
Members’
Capital
|
Fair Value
|
Net Income (Loss)
|
|||||||||
Global Macro Funds
|
||||||||||||
Graham Commodity Strategies LLC
|
6.69
|
%
|
$
|
3,714,431
|
$
|
3,233,458
|
||||||
Systematic Macro Funds
|
||||||||||||
Graham K4D Trading Ltd.
|
6.37
|
%
|
3,536,812
|
4,735,508
|
||||||||
13.06
|
%
|
$
|
7,251,243
|
$
|
7,968,966
|
Graham
Commodity
Strategies LLC
(Delaware)
|
Graham K4D
Trading Ltd.
(BVI)
|
|||||||
Assets:
|
||||||||
Fixed income securities, at fair value (cost $15,290,650)
|
$
|
–
|
$
|
15,299,973
|
||||
Due from brokers
|
53,351,844
|
13,045,449
|
||||||
Derivative financial instruments, at fair value
|
19,688,505
|
19,267,599
|
||||||
Exchange memberships, at fair value
|
7,217,279
|
1,376,513
|
||||||
Dividends receivable
|
62,120
|
8,846
|
||||||
Interest receivable
|
1,123
|
379
|
||||||
Total assets
|
80,320,871
|
48,998,759
|
||||||
Liabilities:
|
||||||||
Derivative financial instruments, at fair value
|
–
|
901,032
|
||||||
Interest payable
|
26,417
|
2,940
|
||||||
Total liabilities
|
26,417
|
903,972
|
||||||
Members’ Capital / Net Assets
|
$
|
80,294,454
|
$
|
48,094,787
|
||||
Percentage of Master Fund held by GAIT
|
2.62
|
%
|
9.03
|
%
|
Description
|
Number of
Contracts / Notional
Amounts
|
Fair Value
|
Percentage
of Members’
Capital
|
||||||||
Graham Commodity Strategies LLC
|
|||||||||||
Exchange memberships (cost $3,649,411)
|
|||||||||||
United States (cost $3,649,411)
|
|||||||||||
Financial services (cost $3,649,411)
|
$
|
7,217,279
|
8.99
|
%
|
|||||||
Total exchange memberships
|
$
|
7,217,279
|
8.99
|
%
|
|||||||
Derivative financial instruments
|
|||||||||||
Long contracts
|
|||||||||||
Futures
|
|||||||||||
Commodity
|
$
|
3,605,184
|
4.49
|
%
|
|||||||
Foreign index
|
86,848
|
0.11
|
%
|
||||||||
Interest rate
|
(1,593,877
|
)
|
(1.99
|
)%
|
|||||||
U.S. index
|
945,270
|
1.18
|
%
|
||||||||
Total futures
|
3,043,425
|
3.79
|
%
|
||||||||
Forwards
|
|||||||||||
Euro dollar / U.S. dollar 01/04/2021 - 01/05/2021
|
EUR 996,045,395
|
(6,213,377
|
)
|
(7.74
|
)%
|
||||||
Other foreign currency
|
8,418,948
|
10.49
|
%
|
||||||||
Total forwards
|
2,205,571
|
2.75
|
%
|
||||||||
Options (cost $34,126,355)
|
|||||||||||
Commodity futures
|
2,853,904
|
3.55
|
%
|
||||||||
Currency futures
|
|||||||||||
Euro dollar / U.S. dollar January 2021 - February 2021, $1.13 $1.21 Put
|
2
|
201,977
|
0.25
|
%
|
|||||||
Euro dollar / U.S. dollar January 2021 - June 2021, $1.21 - $1.29 Call
|
22
|
7,930,615
|
9.88
|
%
|
|||||||
Other currency futures
|
15,258,361
|
19.01
|
%
|
||||||||
Foreign bond futures
|
(474,329
|
)
|
(0.59
|
)%
|
|||||||
Interest rate futures
|
(353,350
|
)
|
(0.44
|
)%
|
|||||||
U.S. bond futures
|
|||||||||||
U.S. 10 yr. January 2021 - February 2021, $137.00 Put
|
2
|
613,781
|
0.76
|
%
|
|||||||
U.S. bond February 2021 - March 2021, $168.00 - $173.00 Put
|
3
|
4,750,609
|
5.92
|
%
|
|||||||
U.S. index futures
|
156,243
|
0.19
|
%
|
||||||||
Total options
|
30,937,811
|
38.53
|
%
|
Description
|
Number of
Contracts
|
Fair Value
|
Percentage
of Members’
Capital
|
||||||||
Graham Commodity Strategies LLC (continued)
|
|||||||||||
Derivative financial instruments (continued)
|
|||||||||||
Short contracts
|
|||||||||||
Futures
|
|||||||||||
Commodity
|
$
|
(112,721
|
)
|
(0.14
|
)%
|
||||||
Foreign bond
|
(231,767
|
)
|
(0.29
|
)%
|
|||||||
Foreign index
|
(190,008
|
)
|
(0.24
|
)%
|
|||||||
Interest rate
|
(774,012
|
)
|
(0.96
|
)%
|
|||||||
U.S. bond
|
|||||||||||
U.S. long bond (CBT) March 2021
|
(359
|
)
|
(7,469
|
)
|
(0.01
|
)%
|
|||||
U.S. Ultra bond (CBT) March 2021
|
(281
|
)
|
(413,531
|
)
|
(0.52
|
)%
|
|||||
Total futures
|
(1,729,508
|
)
|
(2.16
|
)%
|
|||||||
|
|||||||||||
Forwards
|
|||||||||||
Foreign currency
|
(4,255,973
|
)
|
(5.30
|
)%
|
|||||||
Total forwards
|
(4,255,973
|
)
|
(5.30
|
)%
|
|||||||
Options (proceeds $15,848,231)
|
|||||||||||
Commodity futures
|
(1,158,990
|
)
|
(1.44
|
)%
|
|||||||
Currency futures
|
|||||||||||
Euro dollar / U.S. dollar January 2021 - February 2021, $1.13 - $1.21 Put
|
(2
|
)
|
(424,428
|
)
|
(0.53
|
)%
|
|||||
Euro dollar / U.S. dollar January 2021 - February 2021, $1.23 - $1.27 Call
|
(9
|
)
|
(3,657,297
|
)
|
(4.55
|
)%
|
|||||
Other currency futures
|
(1,619,819
|
)
|
(2.02
|
)%
|
|||||||
Interest rate futures
|
88,338
|
0.11
|
%
|
||||||||
U.S. bond futures
|
|||||||||||
U.S. 10 yr. January 2021 - February 2021, $137.00 Put
|
(1
|
)
|
(81,844
|
)
|
(0.10
|
)%
|
|||||
U.S. bond February 2021 - March 2021, $168.00 - $173.00 Put
|
(2
|
)
|
(3,658,781
|
)
|
(4.56
|
)%
|
|||||
Total options
|
(10,512,821
|
)
|
(13.09
|
)%
|
|||||||
Total derivative financial instruments
|
$
|
19,688,505
|
24.52
|
%
|
Description
|
Principal Amount /
Number of Contracts
|
Fair Value
|
Percentage of
Net Assets
|
|||||||||
Graham K4D Trading Ltd.
|
||||||||||||
Fixed income securities owned (cost $15,290,650)
|
||||||||||||
Government bonds (cost $15,290,650)
|
||||||||||||
United States (cost $15,290,650)
|
||||||||||||
Treasury bills (cost $15,290,650)
|
||||||||||||
U.S. Treasury bills 0.00% due 01/07/2021
|
$
|
15,300,000
|
$
|
15,299,973
|
31.81
|
%
|
||||||
Total Treasury Bills
|
15,299,973
|
31.81
|
%
|
|||||||||
Total fixed income securities owned
|
$
|
15,299,973
|
31.81
|
%
|
||||||||
|
||||||||||||
Exchange memberships (cost $1,924,208)
|
||||||||||||
United States (cost $1,924,208)
|
||||||||||||
Financial services (cost $1,924,208)
|
$
|
1,376,513
|
2.86
|
%
|
||||||||
Total exchange memberships
|
$
|
1,376,513
|
2.86
|
%
|
||||||||
Derivative financial instruments
|
||||||||||||
Long contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
||||||||||||
Copper March 2021
|
2
|
$
|
(188
|
)
|
(0.00
|
)%
|
||||||
LME Copper March 2021
|
148
|
3,338,829
|
6.94
|
%
|
||||||||
Soybean March 2021
|
244
|
3,274,653
|
6.81
|
%
|
||||||||
Soybean Meal March 2021
|
128
|
486,331
|
1.01
|
%
|
||||||||
Soybean Oil March 2021
|
104
|
297,162
|
0.62
|
%
|
||||||||
Other commodity
|
5,029,748
|
10.46
|
%
|
|||||||||
Currency
|
17,648
|
0.04
|
%
|
|||||||||
Foreign bond
|
712,283
|
1.48
|
%
|
|||||||||
Foreign index
|
3,707,132
|
7.71
|
%
|
|||||||||
Interest rate
|
218,418
|
0.45
|
%
|
|||||||||
U.S. bond
|
(176,241
|
)
|
(0.37
|
)%
|
||||||||
U.S. index
|
2,684,392
|
5.58
|
%
|
|||||||||
Total futures
|
19,590,167
|
40.73
|
%
|
|||||||||
Forwards
|
||||||||||||
Foreign currency
|
1,990,729
|
4.14
|
%
|
|||||||||
Total forwards
|
1,990,729
|
4.14
|
%
|
Description
|
Principal Amount /
Number of Contracts
|
Fair Value
|
Percentage of
Net Assets
|
||||||||
Graham K4D Trading Ltd. (continued)
|
|||||||||||
Derivative financial instruments (continued)
|
|||||||||||
Short contracts
|
|||||||||||
Futures
|
|||||||||||
Commodity
|
|||||||||||
LME Copper March 2021
|
(28
|
)
|
$
|
(26,265
|
)
|
(0.05
|
)%
|
||||
Other commodity
|
(567,408
|
)
|
(1.18
|
)%
|
|||||||
Currency
|
72,159
|
0.15
|
%
|
||||||||
Foreign bond
|
236,444
|
0.49
|
%
|
||||||||
Foreign index
|
180,289
|
0.37
|
%
|
||||||||
Interest rate
|
(44,120
|
)
|
(0.09
|
)%
|
|||||||
U.S. bond
|
(173,211
|
)
|
(0.36
|
)%
|
|||||||
Total futures
|
(322,112
|
)
|
(0.67
|
)%
|
|||||||
Forwards
|
|||||||||||
Foreign currency
|
(2,892,217
|
)
|
(6.01
|
)%
|
|||||||
Total forwards
|
(2,892,217
|
)
|
(6.01
|
)%
|
|||||||
Total derivative financial instruments
|
$
|
18,366,567
|
38.19
|
%
|
Graham
Commodity
Strategies LLC
|
Graham K4D
Trading Ltd.
|
|||||||
Assets
|
||||||||
Level 1:
|
||||||||
Commodity futures
|
$
|
4,747,408
|
$
|
12,876,497
|
||||
Commodity futures options
|
2,853,904
|
–
|
||||||
Currency futures
|
–
|
98,453
|
||||||
Exchange memberships
|
7,217,279
|
1,376,513
|
||||||
Foreign bond futures
|
–
|
1,002,520
|
||||||
Foreign index futures
|
784,870
|
4,009,649
|
||||||
Interest rate futures
|
–
|
268,741
|
||||||
Interest rate futures options
|
88,338
|
–
|
||||||
U.S. bond futures
|
–
|
179,111
|
||||||
U.S. bond future options
|
5,364,390
|
–
|
||||||
U.S. index futures
|
1,654,860
|
2,684,392
|
||||||
U.S. index futures options
|
156,243
|
–
|
||||||
Total Level 1
|
22,867,292
|
22,495,876
|
||||||
Level 2:
|
||||||||
Foreign currency forwards
|
16,048,079
|
2,161,662
|
||||||
Foreign currency options
|
23,390,952
|
–
|
||||||
Government bonds*
|
–
|
15,299,973
|
||||||
Total Level 2
|
39,439,031
|
17,461,635
|
||||||
Total investment related assets
|
$
|
62,306,323
|
$
|
39,957,511
|
||||
Liabilities
|
||||||||
Level 1:
|
||||||||
Commodity futures
|
$
|
(1,254,945
|
)
|
$
|
(1,043,635
|
)
|
||
Commodity futures options
|
(1,158,990
|
)
|
–
|
|||||
Currency futures
|
–
|
(8,646
|
)
|
|||||
Foreign bond futures
|
(231,767
|
)
|
(53,793
|
)
|
||||
Foreign bond futures options
|
(474,329
|
)
|
–
|
|||||
Foreign index futures
|
(888,030
|
)
|
(122,228
|
)
|
||||
Interest rate futures
|
(2,367,889
|
)
|
(94,443
|
)
|
||||
Interest rate futures options
|
(353,350
|
)
|
–
|
|||||
U.S. bond futures
|
(421,000
|
)
|
(528,563
|
)
|
||||
U.S. bond future options
|
(3,740,625
|
)
|
–
|
|||||
U.S. index futures
|
(709,590
|
)
|
–
|
|||||
Total Level 1
|
(11,600,515
|
)
|
(1,851,308
|
)
|
||||
Level 2:
|
||||||||
Foreign currency forwards
|
(18,098,481
|
)
|
(3,063,150
|
)
|
||||
Foreign currency options
|
(5,701,543
|
)
|
–
|
|||||
Total Level 2
|
(23,800,024
|
)
|
(3,063,150
|
)
|
||||
Total investment related liabilities
|
$
|
(35,400,539
|
)
|
$
|
(4,914,458
|
)
|
Long exposure
|
Short exposure
|
|||||||||||||||||||||||
Notional
amounts
|
Number
of
contracts
|
Notional
amounts
|
Number
of
contracts
|
Derivative
assets
|
Derivative
liabilities
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
291,947,987
|
3,666
|
$
|
(22,208,833
|
)
|
(848
|
)
|
$
|
4,747,408
|
$
|
(1,254,945
|
)
|
|||||||||||
Options (a)
|
166,938,932
|
9,926
|
(71,048,077
|
)
|
(9,418
|
)
|
2,853,904
|
(1,158,990
|
)
|
|||||||||||||||
458,886,919
|
13,592
|
(93,256,910
|
)
|
(10,266
|
)
|
7,601,312
|
(2,413,935
|
)
|
||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
228,334,088
|
2,646
|
(183,175,537
|
)
|
(2,528
|
)
|
2,439,730
|
(1,597,620
|
)
|
|||||||||||||||
Options (a)
|
56,160,681
|
4,956
|
(41,895,632
|
)
|
(3,627
|
)
|
156,243
|
–
|
||||||||||||||||
284,494,769
|
7,602
|
(225,071,169
|
)
|
(6,155
|
)
|
2,595,973
|
(1,597,620
|
)
|
||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
1,740,877,419
|
N/A
|
(1,442,685,488
|
)
|
N/A
|
16,048,079
|
(18,098,481
|
)
|
||||||||||||||||
Options (a)
|
1,057,757,240
|
68
|
(821,185,710
|
)
|
(55
|
)
|
23,390,952
|
(5,701,543
|
)
|
|||||||||||||||
2,798,634,659
|
68
|
(2,263,871,198
|
)
|
(55
|
)
|
39,439,031
|
(23,800,024
|
)
|
||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
4,702,409,114
|
16,250
|
(1,399,855,375
|
)
|
(5,972
|
)
|
–
|
(3,020,656
|
)
|
|||||||||||||||
Options (a)
|
1,626,301,542
|
125,103
|
(2,314,949,508
|
)
|
(28,892
|
)
|
5,452,728
|
(4,568,304
|
)
|
|||||||||||||||
6,328,710,656
|
141,353
|
(3,714,804,883
|
)
|
(34,864
|
)
|
5,452,728
|
(7,588,960
|
)
|
||||||||||||||||
Total
|
$
|
9,870,727,003
|
162,615
|
$
|
(6,297,004,160
|
)
|
(51,340
|
)
|
$
|
55,089,044
|
$
|
(35,400,539
|
)
|
(a)
|
Notional amounts for options are based on the delta-adjusted positions.
|
Long exposure
|
Short exposure
|
|||||||||||||||||||||||
Notional
amounts
|
Number
of
contracts
|
Notional
amounts
|
Number
of
contracts
|
Derivative
assets
|
Derivative
liabilities
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
82,444,396
|
1,103
|
$
|
(63,476,837
|
)
|
(1,616
|
)
|
$
|
12,876,497
|
$
|
(1,043,635
|
)
|
|||||||||||
82,444,396
|
1,103
|
(63,476,837
|
)
|
(1,616
|
)
|
12,876,497
|
(1,043,635
|
)
|
||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
153,648,082
|
1,257
|
(17,798,393
|
)
|
(212
|
)
|
6,694,041
|
(122,228
|
)
|
|||||||||||||||
153,648,082
|
1,257
|
(17,798,393
|
)
|
(212
|
)
|
6,694,041
|
(122,228
|
)
|
||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
227,502,442
|
N/A
|
(185,401,425
|
)
|
N/A
|
2,161,662
|
(3,063,150
|
)
|
||||||||||||||||
Futures
|
2,482,513
|
25
|
(4,648,985
|
)
|
(52
|
)
|
98,453
|
(8,646
|
)
|
|||||||||||||||
229,984,955
|
25
|
(190,050,410
|
)
|
(52
|
)
|
2,260,115
|
(3,071,796
|
)
|
||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
975,188,403
|
5,167
|
(169,048,132
|
)
|
(830
|
)
|
1,450,372
|
(676,799
|
)
|
|||||||||||||||
975,188,403
|
5,167
|
(169,048,132
|
)
|
(830
|
)
|
1,450,372
|
(676,799
|
)
|
||||||||||||||||
Total
|
$
|
1,441,265,836
|
7,552
|
$
|
(440,373,772
|
)
|
(2,710
|
)
|
$
|
23,281,025
|
$
|
(4,914,458
|
)
|
Description
|
Gross
Amount
|
Gross Amount
Offset in
the Statements
of Financial
Condition
|
Net Amount
Presented in
the Statements
of Financial
Condition
|
Collateral
(Received) /
Pledged
|
Net Amount
|
|||||||||||||||
Graham Commodity Strategies LLC1
|
||||||||||||||||||||
Derivative assets
|
$
|
55,089,044
|
$
|
(35,400,539
|
)
|
$
|
19,688,505
|
$
|
–
|
$
|
19,688,505
|
|||||||||
Derivative liabilities
|
(35,400,539
|
)
|
35,400,539
|
–
|
–
|
–
|
||||||||||||||
Graham K4D Trading Ltd.2
|
||||||||||||||||||||
Derivative assets
|
$
|
23,281,025
|
$
|
(4,013,426
|
)
|
$
|
19,267,599
|
$
|
–
|
$
|
19,267,599
|
|||||||||
Derivative liabilities
|
(4,914,458
|
)
|
4,013,426
|
(901,032
|
)
|
901,032
|
–
|
Graham
Commodity
Strategies LLC
|
Graham K4D
Trading Ltd.
|
|||||||
Net investment income
|
$
|
409,657
|
$
|
297,431
|
||||
Net realized gain (loss) on investments
|
390,354,013
|
(24,542,463
|
)
|
|||||
Net increase in unrealized appreciation on investments
|
10,676,784
|
23,594,100
|
||||||
Brokerage commissions and fees
|
(8,628,900
|
)
|
(244,922
|
)
|
||||
Net gain (loss) on investments
|
392,401,897
|
(1,193,285
|
)
|
|||||
Net income (loss)
|
$
|
392,811,554
|
$
|
(895,854
|
)
|
Graham
Commodity
Strategies LLC
|
Graham
K4D Trading
Ltd.
|
|||||||
Commodity price
|
||||||||
Futures
|
$
|
95,869,598
|
$
|
7,197,196
|
||||
Options
|
(3,727,590
|
)
|
–
|
|||||
92,142,008
|
7,197,196
|
|||||||
Equity price
|
||||||||
Equities
|
(496,272
|
)
|
70,155
|
|||||
Futures
|
119,257,892
|
(31,959,204
|
)
|
|||||
Options
|
(21,668,683
|
)
|
–
|
|||||
97,092,937
|
(31,889,049
|
)
|
||||||
Foreign currency exchange rate
|
||||||||
Forwards
|
130,625,537
|
(11,477,334
|
)
|
|||||
Futures
|
(13,804
|
)
|
(145,837
|
)
|
||||
Options
|
(4,828,439
|
)
|
–
|
|||||
125,783,294
|
(11,623,171
|
)
|
||||||
Interest rate
|
||||||||
Fixed income securities
|
–
|
21,856
|
||||||
Futures
|
78,735,908
|
35,344,805
|
||||||
Options
|
7,533,687
|
–
|
||||||
Swaps
|
(257,037
|
)
|
–
|
|||||
86,012,558
|
35,366,661
|
|||||||
Total
|
$
|
401,030,797
|
$
|
(948,363
|
)
|
Graham
Commodity
Strategies LLC
(Delaware)
|
Graham K4D
Trading Ltd.
(BVI)
|
|||||||
Assets:
|
||||||||
Fixed income securities, at fair value (cost $34,872,355)
|
$
|
-
|
$
|
35,296,686
|
||||
Due from brokers
|
129,280,189
|
18,550,998
|
||||||
Derivative financial instruments, at fair value
|
18,431,371
|
-
|
||||||
Exchange memberships, at fair value
|
6,211,100
|
433,250
|
||||||
Interest receivable
|
65,045
|
223,901
|
||||||
Dividends receivable
|
52,500
|
-
|
||||||
Total assets
|
154,040,205
|
54,504,835
|
||||||
Liabilities:
|
||||||||
Derivative financial instruments, at fair value
|
-
|
5,607,980
|
||||||
Interest payable
|
11,220
|
6,615
|
||||||
Total liabilities
|
11,220
|
5,614,595
|
||||||
Members’ Capital / Net Assets
|
$
|
154,028,985
|
$
|
48,890,240
|
||||
Percentage of Master Fund held by GAIT
|
2.41
|
%
|
7.23
|
%
|
Description
|
Number of
Contracts / Notional
Amounts
|
Fair Value
|
Percentage
of Members’
Capital
|
||||||||
Graham Commodity Strategies LLC
|
|||||||||||
Exchange memberships (cost $2,146,960)
|
|||||||||||
United States (cost $2,146,960)
|
|||||||||||
Financial services (cost $2,146,960)
|
$
|
6,211,100
|
4.03
|
%
|
|||||||
Total exchange memberships
|
$
|
6,211,100
|
4.03
|
%
|
|||||||
Derivative financial instruments
|
|||||||||||
Long contracts
|
|||||||||||
Futures
|
|||||||||||
Commodity
|
|||||||||||
Gold 100 Oz February 2020
|
1,326
|
$
|
4,984,390
|
3.24
|
%
|
||||||
Other commodity
|
2,909,894
|
1.89
|
%
|
||||||||
Currency
|
11,053
|
0.01
|
%
|
||||||||
Foreign bond
|
(1,350,205
|
)
|
(0.88
|
)%
|
|||||||
Foreign index
|
(560,883
|
)
|
(0.36
|
)%
|
|||||||
Interest rate
|
(1,463,850
|
)
|
(0.96
|
)%
|
|||||||
U.S. bond
|
2,649,266
|
1.72
|
%
|
||||||||
U.S. index
|
705,547
|
0.46
|
%
|
||||||||
Total futures
|
7,885,212
|
5.12
|
%
|
||||||||
Forwards
|
|||||||||||
Taiwan dollar / U.S. dollar 01/02/2020 – 03/18/2020
|
TWD 31,715,871,614
|
14,298,690
|
9.28
|
%
|
|||||||
Other foreign currency
|
17,331,749
|
11.26
|
%
|
||||||||
Total forwards
|
31,630,439
|
20.54
|
%
|
||||||||
Options (cost $47,570,776)
|
|||||||||||
Commodity futures
|
|||||||||||
Gold February 2020 - April 2020, $1,550.00 – $1,650.00 Call
|
2
|
6,007,490
|
3.90
|
%
|
|||||||
Other commodity
|
373,430
|
0.24
|
%
|
||||||||
Currency futures
|
|||||||||||
U.S. dollar / Taiwan dollar February 2020, $33.00 Call
|
1
|
2
|
0.00
|
%
|
|||||||
Other currency futures
|
19,948,850
|
12.97
|
%
|
||||||||
Foreign bond futures
|
915,343
|
0.59
|
%
|
||||||||
Interest rate futures
|
(337,798
|
)
|
(0.22
|
)%
|
|||||||
U.S. bond futures
|
839,267
|
0.54
|
%
|
||||||||
U.S. index futures
|
1,946,160
|
1.26
|
%
|
||||||||
Total options
|
29,692,744
|
19.28
|
%
|
Description
|
Number of
Contracts / Notional
Amounts
|
Fair Value
|
Percentage
of Members’
Capital
|
||||||||
Graham Commodity Strategies LLC (continued)
|
|||||||||||
Derivative financial instruments (continued)
|
|||||||||||
Short contracts
|
|||||||||||
Futures
|
|||||||||||
Commodity
|
$
|
150
|
0.00
|
%
|
|||||||
Currency
|
54
|
0.00
|
%
|
||||||||
Foreign bond
|
857,428
|
0.56
|
%
|
||||||||
Foreign index
|
216,165
|
0.14
|
%
|
||||||||
Interest rate
|
(419,994
|
)
|
(0.27
|
)%
|
|||||||
U.S. bond
|
1,703,860
|
1.10
|
%
|
||||||||
U.S. index
|
239,200
|
0.16
|
%
|
||||||||
Total futures
|
2,596,863
|
1.69
|
%
|
||||||||
Forwards
|
|||||||||||
U.S. dollar / Taiwan dollar 02/05/2020
|
TWD (8,048,818,557)
|
(8,431,977
|
)
|
(5.47
|
)%
|
||||||
U.S. dollar / Taiwan dollar 01/02/2020 – 03/18/2020
|
TWD (25,995,417,072)
|
(15,787,940
|
)
|
(10.25
|
)%
|
||||||
Other foreign currency
|
(19,091,770
|
)
|
(12.40
|
)%
|
|||||||
Total forwards
|
(43,311,687
|
)
|
(28.12
|
)%
|
|||||||
Options (proceeds $20,452,912)
|
|||||||||||
Commodity futures
|
|||||||||||
Gold April 2020, $1,750.00 – $1,900.00 Call
|
(2
|
)
|
(1,181,900
|
)
|
(0.77
|
)%
|
|||||
Other commodity futures
|
(138,510
|
)
|
(0.09
|
)%
|
|||||||
Currency futures
|
(5,260,260
|
)
|
(3.42
|
)%
|
|||||||
Foreign bond futures
|
(515,648
|
)
|
(0.33
|
)%
|
|||||||
Interest rate futures
|
(439,272
|
)
|
(0.29
|
)%
|
|||||||
U.S. bond futures
|
(368,875
|
)
|
(0.24
|
)%
|
|||||||
U.S. index futures
|
(2,157,735
|
)
|
(1.40
|
)%
|
|||||||
Total options
|
(10,062,200
|
)
|
(6.54
|
)%
|
|||||||
Total derivative financial instruments
|
$
|
18,431,371
|
11.97
|
%
|
Description
|
Principal Amount /
Number of Contracts
|
Fair Value
|
Percentage of
Net Assets
|
|||||||||
Graham K4D Trading Ltd.
|
||||||||||||
Fixed income securities owned (cost $34,872,355)
|
||||||||||||
Government bonds (cost $34,872,355)
|
||||||||||||
United States (cost $34,872,355)
|
||||||||||||
Treasury bonds (cost $31,087,793)
|
||||||||||||
U.S. Treasury bond 1.38% due 01/15/2020
|
$
|
31,500,000
|
$
|
31,498,770
|
64.43
|
%
|
||||||
Total Treasury Bonds
|
31,498,770
|
64.43
|
%
|
|||||||||
Treasury bills (cost $3,784,562)
|
||||||||||||
U.S. Treasury bills 0.00% due 01/16/2020
|
$
|
3,800,000
|
3,797,916
|
7.77
|
%
|
|||||||
Total Treasury bills
|
|
3,797,916
|
7.77
|
%
|
||||||||
Total United States
|
35,296,686
|
72.20
|
%
|
|||||||||
Total government bonds
|
35,296,686
|
72.20
|
%
|
|||||||||
Total fixed income securities owned
|
$
|
35,296,686
|
72.20
|
%
|
||||||||
|
||||||||||||
Exchange memberships (cost $1,051,100)
|
||||||||||||
United States (cost $1,051,100)
|
||||||||||||
Financial services (cost $1,051,100)
|
$
|
433,250
|
0.89
|
%
|
||||||||
Total exchange memberships
|
$
|
433,250
|
0.89
|
%
|
||||||||
|
||||||||||||
Derivative financial instruments
|
||||||||||||
Long contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
$
|
3,318,844
|
6.78
|
%
|
||||||||
Currency
|
14,595
|
0.03
|
%
|
|||||||||
Foreign bond
|
(2,634,458
|
)
|
(5.39
|
)%
|
||||||||
Foreign index
|
380,112
|
0.78
|
%
|
|||||||||
Interest rate
|
27,104
|
0.06
|
%
|
|||||||||
U.S. bond
|
||||||||||||
U.S. 2 yr – 10 yr note March 2020
|
2,090
|
(1,390,733
|
)
|
(2.84
|
)%
|
|||||||
U.S. long bond March 2020
|
516
|
(1,382,658
|
)
|
(2.83
|
)%
|
|||||||
U.S. index
|
531,446
|
1.09
|
%
|
|||||||||
Total futures
|
(1,135,748
|
)
|
(2.32
|
)%
|
||||||||
|
||||||||||||
Forwards
|
||||||||||||
Foreign currency
|
1,590,436
|
3.25
|
%
|
|||||||||
Total forwards
|
1,590,436
|
3.25
|
%
|
Description
|
Principal Amount /
Number of Contracts
|
Fair Value
|
Percentage of
Net Assets
|
|||||||||
Graham K4D Trading Ltd. (continued)
|
||||||||||||
Derivative financial instruments (continued)
|
||||||||||||
Short contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
$
|
(3,239,514
|
)
|
(6.62
|
)%
|
|||||||
Currency
|
(30,159
|
)
|
(0.06
|
)%
|
||||||||
Foreign bond
|
1,896,129
|
3.88
|
%
|
|||||||||
Foreign index
|
16,525
|
0.03
|
%
|
|||||||||
Interest rate
|
12,120
|
0.02
|
%
|
|||||||||
U.S. index
|
(650,009
|
)
|
(1.33
|
)%
|
||||||||
Total futures
|
(1,994,908
|
)
|
(4.08
|
)%
|
||||||||
Forwards
|
||||||||||||
Foreign currency
|
(4,067,760
|
)
|
(8.32
|
)%
|
||||||||
Total forwards
|
(4,067,760
|
)
|
(8.32
|
)%
|
||||||||
Total derivative financial instruments
|
$
|
(5,607,980
|
)
|
(11.47
|
)%
|
Graham
Commodity
Strategies LLC
|
Graham K4D
Trading Ltd.
|
|||||||
Assets
|
||||||||
Level 1:
|
||||||||
Commodity futures
|
$
|
8,202,787
|
$
|
4,548,612
|
||||
Commodity futures options
|
6,380,920
|
–
|
||||||
Currency futures
|
11,107
|
73,472
|
||||||
Exchange memberships
|
6,211,100
|
433,250
|
||||||
Foreign bond futures
|
857,428
|
1,943,300
|
||||||
Foreign bond futures options
|
915,343
|
–
|
||||||
Foreign index futures
|
806,271
|
983,149
|
||||||
Interest rate futures
|
86,329
|
74,409
|
||||||
Interest rate futures options
|
4,525,823
|
–
|
||||||
U.S. bond futures
|
5,547,173
|
2,347
|
||||||
U.S. bond future options
|
839,267
|
–
|
||||||
U.S. index futures
|
1,609,698
|
552,136
|
||||||
U.S. index futures options
|
1,946,160
|
–
|
||||||
Total Level 1
|
37,939,406
|
8,610,675
|
||||||
Level 2:
|
||||||||
Foreign currency forwards
|
32,356,429
|
1,609,343
|
||||||
Foreign currency options
|
19,948,852
|
–
|
||||||
Government bonds*
|
–
|
35,296,686
|
||||||
Total Level 2
|
52,305,281
|
36,906,029
|
||||||
Total investment related assets
|
$
|
90,244,687
|
$
|
45,516,704
|
||||
Liabilities
|
||||||||
Level 1:
|
||||||||
Commodity futures
|
$
|
(308,353
|
)
|
$
|
(4,469,282
|
)
|
||
Commodity futures options
|
(1,320,410
|
)
|
–
|
|||||
Currency futures
|
–
|
(89,036
|
)
|
|||||
Foreign bond futures
|
(1,350,205
|
)
|
(2,681,629
|
)
|
||||
Foreign bond futures options
|
(515,648
|
)
|
–
|
|||||
Foreign index futures
|
(1,150,989
|
)
|
(586,512
|
)
|
||||
Interest rate futures
|
(1,970,173
|
)
|
(35,185
|
)
|
||||
Interest rate futures options
|
(5,302,893
|
)
|
–
|
|||||
U.S. bond futures
|
(1,194,047
|
)
|
(2,775,738
|
)
|
||||
U.S. bond future options
|
(368,875
|
)
|
–
|
|||||
U.S. index futures
|
(664,951
|
)
|
(670,699
|
)
|
||||
U.S. index futures options
|
(2,157,735
|
)
|
–
|
|||||
Total Level 1
|
(16,304,279
|
)
|
(11,308,081
|
)
|
||||
Level 2:
|
||||||||
Foreign currency forwards
|
(44,037,677
|
)
|
(4,086,667
|
)
|
||||
Foreign currency options
|
(5,260,260
|
)
|
–
|
|||||
Total Level 2
|
(49,297,937
|
)
|
(4,086,667
|
)
|
||||
Total investment related liabilities
|
$
|
(65,602,216
|
)
|
$
|
(15,394,748
|
)
|
Long exposure
|
Short exposure
|
|||||||||||||||||||||||
Notional
amounts
|
Number
of
contracts
|
Notional
amounts
|
Number
of
contracts
|
Derivative
assets
|
Derivative
liabilities
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
313,741,559
|
3,397
|
$
|
(30,152,749
|
)
|
(549
|
)
|
$
|
8,202,787
|
$
|
(308,353
|
)
|
|||||||||||
Options (a)
|
200,027,267
|
5,972
|
(128,937,374
|
)
|
(5,645
|
)
|
6,380,920
|
(1,320,410
|
)
|
|||||||||||||||
513,768,826
|
9,369
|
(159,090,123
|
)
|
(6,194
|
)
|
14,583,707
|
(1,628,763
|
)
|
||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
297,466,626
|
2,785
|
(147,992,807
|
)
|
(1,505
|
)
|
2,415,969
|
(1,815,940
|
)
|
|||||||||||||||
Options (a)
|
112,874,233
|
3,043
|
(70,088,951
|
)
|
(6,420
|
)
|
1,946,160
|
(2,157,735
|
)
|
|||||||||||||||
410,340,859
|
5,828
|
(218,081,758
|
)
|
(7,925
|
)
|
4,362,129
|
(3,973,675
|
)
|
||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
8,819,006,482
|
N/A
|
(3,422,599,977
|
)
|
N/A
|
32,356,429
|
(44,037,677
|
)
|
||||||||||||||||
Futures
|
1,764,474
|
17
|
(1,132,569
|
)
|
(13
|
)
|
11,107
|
–
|
||||||||||||||||
Options (a)
|
1,096,647,293
|
60
|
(1,210,201,282
|
)
|
(51
|
)
|
19,948,852
|
(5,260,260
|
)
|
|||||||||||||||
9,917,418,249
|
77
|
(4,633,933,828
|
)
|
(64
|
)
|
52,316,388
|
(49,297,937
|
)
|
||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
14,635,375,167
|
57,069
|
(6,634,714,049
|
)
|
(30,450
|
)
|
6,490,930
|
(4,514,425
|
)
|
|||||||||||||||
Options (a)
|
6,863,224,095
|
310,134
|
(4,118,997,465
|
)
|
(225,245
|
)
|
6,280,433
|
(6,187,416
|
)
|
|||||||||||||||
21,498,599,262
|
367,203
|
(10,753,711,514
|
)
|
(255,695
|
)
|
12,771,363
|
(10,701,841
|
)
|
||||||||||||||||
Total
|
$
|
32,340,127,196
|
382,477
|
$
|
(15,764,817,223
|
)
|
(269,878
|
)
|
$
|
84,033,587
|
$
|
(65,602,216
|
)
|
(a) |
Notional amounts for options are based on the delta-adjusted positions.
|
Long exposure
|
Short exposure
|
|||||||||||||||||||||||
Notional
amounts
|
Number
of
contracts
|
Notional
amounts
|
Number
of
contracts
|
Derivative
assets
|
Derivative
liabilities
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
161,257,969
|
1,889
|
$
|
(195,309,082
|
)
|
(4,220
|
)
|
$
|
4,548,612
|
$
|
(4,469,282
|
)
|
|||||||||||
161,257,969
|
1,889
|
(195,309,082
|
)
|
(4,220
|
)
|
4,548,612
|
(4,469,282
|
)
|
||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
519,198,139
|
5,371
|
(29,874,004
|
)
|
(284
|
)
|
1,535,285
|
(1,257,211
|
)
|
|||||||||||||||
519,198,139
|
5,371
|
(29,874,004
|
)
|
(284
|
)
|
1,535,285
|
(1,257,211
|
)
|
||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
220,150,774
|
N/A
|
(639,550,041
|
)
|
N/A
|
1,609,343
|
(4,086,667
|
)
|
||||||||||||||||
Futures
|
16,316,430
|
172
|
(11,935,977
|
)
|
(116
|
)
|
73,472
|
(89,036
|
||||||||||||||||
|
236,467,204
|
172
|
(651,486,018
|
)
|
(116
|
)
|
1,682,815
|
(4,175,703
|
)
|
|||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
2,146,985,600
|
11,917
|
(271,028,601
|
)
|
(1,663
|
)
|
2,020,056
|
(5,492,552
|
)
|
|||||||||||||||
2,146,985,600
|
11,917
|
(271,028,601
|
)
|
(1,663
|
)
|
2,020,056
|
(5,492,552
|
)
|
||||||||||||||||
Total
|
$
|
3,063,908,912
|
19,349
|
$
|
(1,147,697,705
|
)
|
(6,283
|
)
|
$
|
9,786,768
|
$
|
(15,394,748
|
)
|
Description
|
Gross
Amount
|
Gross Amount
Offset in
the Statements
of Financial
Condition
|
Net Amount
Presented in
the Statements of
Financial
Condition
|
Collateral
(Received) /
Pledged
|
Net Amount
|
|||||||||||||||
Graham Commodity Strategies LLC1
|
||||||||||||||||||||
Derivative assets
|
$
|
84,033,587
|
$
|
(65,602,216
|
)
|
$
|
18,431,371
|
$
|
-
|
$
|
18,431,371
|
|||||||||
Derivative liabilities
|
(65,602,216
|
)
|
65,602,216
|
-
|
-
|
-
|
||||||||||||||
Graham K4D Trading Ltd.2
|
||||||||||||||||||||
Derivative assets
|
$
|
9,786,768
|
$
|
(9,786,768
|
)
|
$
|
-
|
$
|
-
|
$
|
-
|
|||||||||
Derivative liabilities
|
(15,394,748
|
)
|
9,786,768
|
(5,607,980
|
)
|
5,607,980
|
-
|
Graham
Commodity
Strategies LLC
|
Graham K4D
Trading Ltd.
|
|||||||
Net investment income
|
$
|
1,695,009
|
$
|
852,215
|
||||
Net realized gain on investments
|
161,844,525
|
74,248,611
|
||||||
Net (decrease) increase in unrealized appreciation on investments
|
(16,079,092
|
)
|
1,849,119
|
|||||
Brokerage commissions and fees
|
(16,705,934
|
)
|
(444,510
|
)
|
||||
Net gain (loss) on investments
|
129,059,499
|
75,653,220
|
||||||
Net income (loss)
|
$
|
130,754,508
|
$
|
76,505,435
|
Graham
Commodity
Strategies LLC
|
Graham
K4D Trading
Ltd.
|
|||||||
Commodity price
|
||||||||
Futures
|
$
|
40,005,521
|
$
|
(38,310,326
|
)
|
|||
Options
|
2,619,881
|
-
|
||||||
42,625,402
|
(38,310,326
|
)
|
||||||
Equity price
|
||||||||
Equities
|
347,500
|
(323,250
|
)
|
|||||
Futures
|
47,352,770
|
61,272,160
|
||||||
Options
|
16,629,520
|
-
|
||||||
64,329,790
|
60,948,910
|
|||||||
Foreign currency exchange rate
|
||||||||
Forwards
|
33,291,191
|
(2,158,269
|
)
|
|||||
Futures
|
(125,234
|
)
|
520,264
|
|||||
Options
|
(59,222,699
|
)
|
-
|
|||||
(26,056,742
|
)
|
(1,638,005
|
)
|
|||||
Interest rate
|
||||||||
Fixed income securities
|
-
|
420,024
|
||||||
Futures
|
73,690,299
|
54,677,127
|
||||||
Options
|
(8,823,316
|
)
|
-
|
|||||
64,866,983
|
55,097,151
|
|||||||
Total
|
$
|
145,765,433
|
$
|
76,097,730
|
December 31, 2020
|
December 31, 2019
|
|||||||
Assets:
|
||||||||
Cash and cash equivalents
|
$
|
597,659,902
|
$
|
552,689,299
|
||||
Investments in fixed income securities (amortized cost $4,972,093,470 and $5,318,988,355, respectively)
|
4,972,093,470
|
5,318,988,355
|
||||||
Interest receivable
|
14,546,327
|
17,960,353
|
||||||
Total assets
|
5,584,299,699
|
5,889,638,007
|
||||||
Liabilities:
|
||||||||
Accrued bank fee expense
|
-
|
17,000
|
||||||
Total liabilities
|
-
|
17,000
|
||||||
Members’ capital
|
$
|
5,584,299,699
|
$
|
5,889,621,007
|
2020
|
2019
|
|||||||
Realized gain on investments
|
||||||||
Net realized gain on investments
|
$
|
2,283,203
|
-
|
|||||
Net gain on investments
|
2,283,203
|
-
|
||||||
Investment income
|
||||||||
Interest income
|
59,981,929
|
101,745,765
|
||||||
Total investment income
|
59,981,929
|
101,745,765
|
||||||
Expenses:
|
||||||||
Bank fee expense
|
218,174
|
255,102
|
||||||
Total expenses
|
218,174
|
255,102
|
||||||
Net investment income
|
59,763,755
|
101,490,663
|
||||||
Net income
|
$
|
62,046,958
|
$
|
101,490,663
|
Description
|
Principal
Amount
|
Fair Value
|
Percentage of
Members’
Capital
|
||||||||||
Investments in Fixed Income Securities (amortized cost $4,972,093,470)
|
|||||||||||||
United States
|
|||||||||||||
Government Bonds (amortized cost $3,372,351,436)
|
|||||||||||||
U.S. Treasury bonds 1.38% due 5/31/2021
|
$
|
300,000,000
|
$
|
301,566,528
|
5.40
|
%
|
|||||||
U.S. Treasury bonds 1.63% due 6/30/2021
|
300,000,000
|
302,271,599
|
5.41
|
%
|
|||||||||
U.S. Treasury bonds 2.63% due 5/15/2021
|
300,000,000
|
302,807,030
|
5.42
|
%
|
|||||||||
U.S. Treasury bonds 2.63% due 6/15/2021
|
300,000,000
|
303,467,081
|
5.43
|
%
|
|||||||||
U.S. Treasury bonds 1.13% – 2.63% due 01/15/2021 – 10/31/2021
|
2,150,000,000
|
2,162,239,198
|
38.73
|
%
|
|||||||||
Total Government Bonds
|
3,372,351,436
|
60.39
|
%
|
||||||||||
Treasury Bills (amortized cost $1,599,742,034)
|
|||||||||||||
U.S Treasury bills 0.00% due 01/07/2021 – 04/22/2021
|
1,600,000,000
|
1,599,742,034
|
28.65
|
%
|
|||||||||
Total Treasury Bills
|
1,599,742,034
|
28.65
|
%
|
||||||||||
Total United States
|
4,972,093,470
|
89.04
|
%
|
||||||||||
Total Investments in Fixed Income Securities
|
$
|
4,972,093,470
|
89.04
|
%
|
Description
|
Principal
Amount
|
Fair Value
|
Percentage of
Members’
Capital
|
||||||||||
Investments in Fixed Income Securities (amortized cost $5,318,988,355)
|
|||||||||||||
United States
|
|||||||||||||
Government Bonds (amortized cost $5,069,101,450)
|
|||||||||||||
U.S. Treasury bonds 1.13% – 2.75% due 01/15/2020 – 03/31/2021
|
$
|
5,075,000,000
|
$
|
5,069,101,450
|
86.07
|
%
|
|||||||
Total Government Bonds
|
5,069,101,450
|
86.07
|
%
|
||||||||||
Treasury Bills (amortized cost $249,886,905)
|
|||||||||||||
U.S. Treasury bills 0.00% 01/07/2020 – 01/14/2020
|
250,000,000
|
249,886,905
|
4.24
|
%
|
|||||||||
Total Treasury Bills
|
249,886,905
|
4.24
|
%
|
||||||||||
Total United States
|
5,318,988,355
|
90.31
|
%
|
||||||||||
Total Investments in Fixed Income Securities
|
$
|
5,318,988,355
|
90.31
|
%
|
2020
|
2019
|
|||||||
Assets
|
||||||||
Level 2:
|
||||||||
Fixed income securities
|
||||||||
Government bonds
|
$
|
3,372,351,436
|
$
|
5,069,101,450
|
||||
Treasury bills
|
1,599,742,034
|
249,886,905
|
||||||
Total fixed income securities
|
4,972,093,470
|
5,318,988,355
|
||||||
Total Level 2
|
4,972,093,470
|
5,318,988,355
|
||||||
Total assets
|
$
|
4,972,093,470
|
$
|
5,318,988,355
|
Class 0
|
Class 2
|
0.50%
|
1.25%
|
Class 0
|
Class 2
|
|||||||
Per unit operating performance
|
||||||||
Net asset value per Unit, December 31, 2018
|
$
|
133.70
|
$
|
96.01
|
||||
Net income:
|
||||||||
Net investment loss
|
(1.19
|
)
|
(1.63
|
)
|
||||
Net gain on investments
|
19.53
|
13.97
|
||||||
Net income
|
18.34
|
12.34
|
||||||
Net asset value per Unit, December 31, 2019
|
152.04
|
108.35
|
||||||
Net income:
|
||||||||
Net investment loss
|
(6.71
|
)
|
(3.92
|
)
|
||||
Net gain on investments
|
27.73
|
19.80
|
||||||
Net income
|
21.02
|
15.88
|
||||||
Net asset value per Unit, December 31, 2020
|
$
|
173.06
|
$
|
124.23
|
Class 0
|
Class 2
|
||||||||||||||||
2020
|
2019
|
2020
|
2019
|
||||||||||||||
Total return before Incentive Allocation
|
16.34
|
%
|
13.72
|
%
|
15.65
|
%
|
12.86
|
%
|
|||||||||
Incentive Allocation
|
(2.52
|
)
|
0.00
|
(1.00
|
)
|
0.00
|
|||||||||||
Total return after Incentive Allocation
|
13.82
|
%
|
13.72
|
%
|
14.65
|
%
|
12.86
|
%
|
|||||||||
Net investment loss before Incentive Allocation
|
(1.62
|
)%
|
(0.83
|
)%
|
(2.37
|
)%
|
(1.59
|
)%
|
|||||||||
Incentive Allocation
|
(2.52
|
)
|
0.00
|
(1.00
|
)
|
0.00
|
|||||||||||
Net investment loss after Incentive Allocation
|
(4.14
|
)%
|
(0.83
|
)%
|
(3.37
|
)%
|
(1.59
|
)%
|
|||||||||
Total expenses before Incentive Allocation
|
2.65
|
%
|
2.84
|
%
|
3.40
|
%
|
3.60
|
%
|
|||||||||
Incentive Allocation
|
2.52
|
0.00
|
1.00
|
0.00
|
|||||||||||||
Total expenses after Incentive Allocation
|
5.17
|
%
|
2.84
|
%
|
4.40
|
%
|
3.60
|
%
|
Item 9:
|
CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE
|
Item 9A:
|
CONTROLS AND PROCEDURES
|
• |
Pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Fund;
|
• |
Provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements of the Fund in accordance with U.S. generally accepted accounting principles, and that the
Fund’s transactions are being made only in accordance with authorizations of management; and
|
• |
Provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Fund’s assets that could have a material effect on the financial statements.
|
Item 9B:
|
OTHER INFORMATION
|
Item 10:
|
DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE
|
Item 11:
|
EXECUTIVE COMPENSATION
|
Item 12:
|
SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS
|
(a)
|
Security ownership of certain beneficial owners
|
(b) |
Security ownership of management
|
(c) |
Changes in control
|
Item 13:
|
CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS, AND DIRECTOR INDEPENDENCE
|
Item 14:
|
PRINCIPAL ACCOUNTANT FEES AND SERVICES
|
(1) |
Audit Fees
|
FEE CATEGORY
|
2020
|
2019
|
|||||||
Audit Fees
|
$
|
54,177
|
*
|
$
|
86,550
|
||||
Audit-Related Fees
|
–
|
–
|
|||||||
Tax Fees
|
32,800
|
*
|
34,075
|
||||||
All Other Fees
|
–
|
–
|
|||||||
TOTAL FEES
|
$
|
86,977
|
*
|
$
|
120,625
|
*
|
Amount expected to be billed for 2020 services.
|
(2)
|
Audit-Related Fees
|
(3) |
Tax Fees
|
(4) |
All Other Fees
|
(5)
|
Not Applicable.
|
(6)
|
Not Applicable.
|
Item 15:
|
EXHIBITS, FINANCIAL STATEMENT SCHEDULES
|
(a) |
Financial Statements
|
(b)
|
Exhibits
|
Exhibit Designation
|
Description
|
Certificate of Formation of Graham Alternative Investment Fund I LLC
|
|
Certificate of Amendment to Certificate of Formation of Graham Alternative Investment Fund I LLC
|
|
Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC
|
|
Description of Securities
|
|
Form of Subscription Agreement
|
|
Form of Placement Agreement
|
|
Safekeeping Account Agreement between Graham Cash Assets LLC and Bank of America, N.A.
|
|
Rule 13a-14(a)/15d Certification (Certification of Principal Executive Officer).
|
|
Rule 13a-14(a)/15d Certification (Certification of Principal Financial Officer).
|
|
Section 1350 Certification (Certification of Principal Executive Officer and Principal Financial Officer)
|
Item 16:
|
FORM 10-K SUMMARY
|
Dated: March 30, 2021
|
GRAHAM ALTERNATIVE INVESTMENT FUND I LLC
BLENDED STRATEGIES 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
|
(1) |
when any exchange, board of trade or organized inter-dealer market on which a significant portion of the assets of the Fund is regularly quoted or traded is closed (other than for holidays) or trading thereon
has been restricted or suspended;
|
(2) |
whenever, as a result of events, conditions or circumstances beyond the control or responsibility of the Fund, disposal of the assets of the Fund or other transactions in the ordinary course of the Fund’s
business involving the sale, transfer, delivery or withdrawal of securities or Funds is not reasonably practicable without being detrimental to the interests of the Fund or the investors;
|
(3) |
if it is not reasonably practicable to determine the Net Asset Value of the Units on an accurate and timely basis; or
|
(4) |
if the Manager has adopted a resolution calling for the liquidation and dissolution of the Fund.
|
(a) |
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material
information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b) |
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide
reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c) |
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the
disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
(d) |
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter
(the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
(a) |
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely
affect the registrant’s ability to record, process, summarize and report financial information; and
|
(b) |
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial
reporting.
|
(a) |
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its
consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b) |
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of
financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c) |
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the
period covered by this report based on such evaluation; and
|
(d) |
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case
of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
(a) |
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record,
process, summarize and report financial information; and
|
(b) |
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
1. |
The Annual Report on Form 10-K of Graham Alternative Investment Fund I LLC Blended Strategies Portfolio (the “registrant”) for the year ended December 31, 2020 fully
complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
2. |
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the registrant.
|
Document and Entity Information - USD ($) |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2020 |
Mar. 01, 2021 |
Jun. 30, 2020 |
|
Cover [Abstract] | |||
Entity Registrant Name | GRAHAM ALTERNATIVE INVESTMENT FUND I LLC | ||
Entity Central Index Key | 0001461219 | ||
Current Fiscal Year End Date | --12-31 | ||
Document Type | 10-K | ||
Amendment Flag | false | ||
Document Period End Date | Dec. 31, 2020 | ||
Document Fiscal Year Focus | 2020 | ||
Document Fiscal Period Focus | FY | ||
Entity Address, State or Province | CT | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Interactive Data Current | Yes | ||
Entity Filer Category | Non-accelerated Filer | ||
Entity Small Business | true | ||
Entity Emerging Growth Company | false | ||
Entity Shell Company | false | ||
Entity Public Float | $ 27,475,546 | ||
Entity Common Stock, Shares Outstanding | 192,441.009 |
Statements of Financial Condition - USD ($) |
Dec. 31, 2020 |
Dec. 31, 2019 |
---|---|---|
Assets | ||
Investment in Graham Alternative Investment Trading LLC, at fair value | $ 29,194,816 | $ 26,882,563 |
Redemptions receivable from Graham Alternative Investment Trading LLC | 233,089 | 144,707 |
Total assets | 29,427,905 | 27,027,270 |
Liabilities: | ||
Redemptions payable | 233,089 | 144,707 |
Total liabilities | 233,089 | 144,707 |
Members' capital: | ||
Members' capital | 29,194,816 | 26,882,563 |
Total liabilities and members' capital | 29,427,905 | 27,027,270 |
Class 0 Units [Member] | ||
Members' capital: | ||
Members' capital | 17,458,496 | 15,804,368 |
Class 2 Units [Member] | ||
Members' capital: | ||
Members' capital | $ 11,736,320 | $ 11,078,195 |
Statements of Financial Condition (Parenthetical) |
Dec. 31, 2020
$ / Unit
shares
|
Dec. 31, 2019
$ / Unit
shares
|
---|---|---|
Class 0 Units [Member] | ||
Members' capital: | ||
Capital units, issued (in units) | 100,881.333 | 103,946.549 |
Capital units, outstanding (in units) | 100,881.333 | 103,946.549 |
Capital units, value (in dollars per unit) | $ / Unit | 173.06 | 152.04 |
Class 2 Units [Member] | ||
Members' capital: | ||
Capital units, issued (in units) | 94,473.834 | 102,244.827 |
Capital units, outstanding (in units) | 94,473.834 | 102,244.827 |
Capital units, value (in dollars per unit) | $ / Unit | 124.23 | 108.35 |
Statements of Operations - USD ($) |
12 Months Ended | |
---|---|---|
Dec. 31, 2020 |
Dec. 31, 2019 |
|
Net gain allocated from investment in Graham Alternative Investment Trading LLC: | ||
Net realized gain on investment | $ 3,943,355 | $ 4,461,361 |
Net increase (decrease) in unrealized appreciation on investment | 948,246 | (366,501) |
Brokerage commissions and fees | (115,902) | (222,862) |
Net gain allocated from investment in Graham Alternative Investment Trading LLC | 4,775,699 | 3,871,998 |
Investment income: | ||
Interest income | 286,149 | 570,153 |
Expenses: | ||
Incentive allocation | 531,233 | 187 |
Advisory fees | 422,787 | 435,127 |
Sponsor fees | 227,766 | 234,265 |
Professional fees and other | 133,265 | 181,804 |
Administrator's fees | 36,459 | 37,873 |
Interest expense | 6,745 | 6,246 |
Total expenses | 1,358,255 | 895,502 |
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC | (1,072,106) | (325,349) |
Net income | $ 3,703,593 | $ 3,546,649 |
Statements of Cash Flows - USD ($) |
12 Months Ended | |
---|---|---|
Dec. 31, 2020 |
Dec. 31, 2019 |
|
Cash flows provided by operating activities | ||
Net income | $ 3,703,593 | $ 3,546,649 |
Adjustments to reconcile net income to net cash provided by operating activities: | ||
Net cash provided by operating activities | 1,302,958 | 8,171,454 |
Cash flows used in financing activities | ||
Subscriptions | 0 | 200,000 |
Redemptions | (1,302,958) | (8,371,454) |
Net cash used in financing activities | (1,302,958) | (8,171,454) |
Net change in cash and cash equivalents | 0 | 0 |
Cash and cash equivalents, beginning of year | 0 | 0 |
Cash and cash equivalents, end of year | 0 | 0 |
Graham Alternative Investment Trading LLC [Member] | ||
Cash flows provided by operating activities | ||
Net income | (3,703,593) | (3,546,649) |
Adjustments to reconcile net income to net cash provided by operating activities: | ||
Proceeds from sale of investment in Graham Alternative Investment Trading LLC | 1,302,958 | 8,371,454 |
Purchases of investment in Graham Alternative Investment Trading LLC | $ 0 | $ (200,000) |
Organization and Business |
12 Months Ended |
---|---|
Dec. 31, 2020 | |
Organization and Business [Abstract] | |
Organization and Business | 1. Organization and Business The Blended Strategies Portfolio (the “Fund”) is a series of Graham Alternative Investment Fund I LLC (“GAIF I”), 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 I was organized as a Delaware Limited Liability Company which was formed on May 16, 2006 and commenced operations on August 1, 2006. GAIF I 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 I. 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 I 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 I are enforceable against the assets of any other series. The Fund offers members Class 0 and Class 2 units (collectively the “Units”). 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. 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 Manager is the manager and the sole investment advisor of 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. Each of the investment programs consists of multiple trading strategies of the Manager, which the Manager has combined in an effort to diversify the Fund’s investment exposure and to make the Fund’s performance returns less volatile and more consistently profitable. SEI Global Services, Inc. (“SEI”) is the Fund’s independent administrator and transfer agent. SEI is responsible for certain matters pertaining to the administration of the Fund. The Fund will terminate on December 31, 2050 or at an earlier date if certain conditions occur as outlined in the Limited Liability Company Agreement (“LLC Agreement”) of the Fund. The performance of the Fund is directly affected by the performance of GAIT; therefore, these 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 and GAIT. |
Summary of Significant Accounting Policies |
12 Months Ended | ||||||
---|---|---|---|---|---|---|---|
Dec. 31, 2020 | |||||||
Summary of Significant Accounting Policies [Abstract] | |||||||
Summary of Significant Accounting Policies | 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. 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 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. 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 at fair value based upon GAIT’s proportionate share of the Master Funds’ 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 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 December 31, 2020 and 2019, the Fund owned 48.87% and 48.41%, respectively of GAIT. 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 statements of financial condition. Changes in these carrying amounts are included in the 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.
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 years ended December 31, 2020 and 2019 by the Fund, 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 statement 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 December 31, 2020 and 2019, the Fund did not have any cash or cash equivalents. Indemnifications In the normal course of business, the Master Funds, GAIT, Cash Assets, 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 December 31, 2020 and 2019, no accruals have been recorded by the Fund for indemnifications. |
Capital Accounts |
12 Months Ended |
---|---|
Dec. 31, 2020 | |
Capital Accounts [Abstract] | |
Capital Accounts | 3. Capital Accounts The Fund offers two classes (each a “Class”) of Units, being Class 0 Units and Class 2 Units. The Fund may issue additional Classes in the future subject to different fees, expenses or other terms, or invest in other investment programs or combinations of investment programs managed by the Manager. A separate capital account is maintained for each member with respect to each member’s Class of Units. The initial balance of each member’s capital account is equal to the initial subscription to the Fund by such member with respect to the Class to which such capital account relates. Each member’s capital account is increased by any additional subscription and decreased by any redemption by such member of Units of such Class to which the capital account relates. All income and expenses of the Fund are allocated among the Members’ Capital accounts in proportion to the balance that each capital account bears to the balance of all capital as of the beginning of such fiscal period. Subscriptions Units may be purchased at a price equal to the Net Asset Value per Unit of the relevant Class as of the immediately preceding Valuation Day, as defined in the LLC Agreement. The minimum initial subscription from each investor in each Class is $10,000. Members may subscribe for additional Units in a minimum amount of not less than $5,000. 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. |
Fees and Related Party Transactions |
12 Months Ended | ||||||
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Dec. 31, 2020 | |||||||
Fees and Related Party Transactions [Abstract] | |||||||
Fees and Related Party Transactions | 4. Fees and Related Party Transactions Advisory Fees Each Class of GAIT other than Class M paid the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate of 1.50% of the Members’ Capital of such Class. 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 years ended December 31, 2020 and 2019, the Advisory Fees allocated to the Fund by each Class of GAIT totaled $422,787 and $435,127, respectively. Sponsor Fees Each Class of GAIT other than Class M paid the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate of the Members’ Capital specified in the table below. 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 years ended December 31, 2020 and 2019, the Sponsor Fees allocated to the Fund by each Class of GAIT totaled $227,766 and $234,265, respectively.
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 years ended December 31, 2020 and 2019, Incentive Allocation of $531,233 and $187, respectively were 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 Fee For the years ended December 31, 2020 and 2019, GAIT paid SEI a monthly administrator’s fee based on GAIT’s Members’ Capital, calculated as of the last business day of each month. In addition, GAIT reimbursed SEI for reasonable out-of-pocket expenses incurred on behalf of GAIT. The total administrator’s fees, including out-of-pocket expenses, allocated to the Fund by GAIT for the years ended December 31, 2020 and 2019 were $36,459 and $37,873, respectively. |
Income Taxes |
12 Months Ended |
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Dec. 31, 2020 | |
Income Taxes [Abstract] | |
Income Taxes | 5. 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 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 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 and Connecticut for state tax purposes. 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 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. 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. During the years ended December 31, 2020 and 2019, no such interest and/or penalties were assessed to the Fund. |
Risk Factors |
12 Months Ended |
---|---|
Dec. 31, 2020 | |
Risk Factors [Abstract] | |
Risk Factors | 6. Risk Factors Certain impacts to public health conditions particular to the coronavirus (COVID-19) outbreak could have a significant impact on the Fund’s performance. The extent of the impact will depend on future developments, including (i) the duration and spread of the outbreak, (ii) any restrictions and advisories, (iii) the effects on the financial markets, and (iv) the effects on the economy overall, all of which are highly uncertain and cannot be predicted. The Advisor is monitoring these developments and continually assessing the potential impact on the performance and operations of the Fund, including the terms of brokerage agreements, ISDAs, and other trading agreements with the Fund. The Advisor has enacted the appropriate portions of its business continuity plans and adapted its workflow accordingly. |
Financial Highlights |
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Financial Highlights [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Highlights | 7. Financial Highlights The following is the per Unit operating performance calculation and total return for the years ended December 31, 2020 and 2019:
The following represents ratios to average Members’ Capital, excluding the Managing Member, and total return for the years ended December 31, 2020 and 2019:
Total return is calculated for Class 0 and Class 2 Units taken as a whole. Total return is calculated as the change in total Members’ Capital adjusted for subscriptions or redemptions during the year. An individual member’s return may vary from these returns based on the timing of capital transactions. The net investment loss and total expense ratios (including Incentive Allocation) are calculated for Class 0 and Class 2 Units taken as a whole and include net amounts allocated from GAIT. The computation of such ratios is based on the amount of net investment loss, expenses and Incentive Allocation. Net investment loss and total expense ratios are computed based upon the weighted average of Members’ Capital for Class 0 and Class 2 Units of the Fund for the years ended December 31, 2020 and 2019. |
Subsequent Events |
12 Months Ended |
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Dec. 31, 2020 | |
Subsequent Events [Abstract] | |
Subsequent Events | 8. Subsequent Events The Fund had no subscriptions and redemptions of approximately $0.5 million from January 1, 2021 through March 30, 2021, the date through which subsequent events were evaluated by management and financial statements were available for issuance. These amounts have not been included in the financial statements. |
Summary of Significant Accounting Policies (Policies) |
12 Months Ended | ||||||
---|---|---|---|---|---|---|---|
Dec. 31, 2020 | |||||||
Summary of Significant Accounting Policies [Abstract] | |||||||
Basis of Accounting | 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. 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 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. |
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Investment in Graham Alternative Investment Trading LLC | 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 at fair value based upon GAIT’s proportionate share of the Master Funds’ 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 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 December 31, 2020 and 2019, the Fund owned 48.87% and 48.41%, respectively of GAIT. |
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Fair Value | 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 statements of financial condition. Changes in these carrying amounts are included in the 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.
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 years ended December 31, 2020 and 2019 by the Fund, GAIT, the Master Funds or Cash Assets. |
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Cash and Cash Equivalents | 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 statement 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 December 31, 2020 and 2019, the Fund did not have any cash or cash equivalents. |
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Indemnifications | Indemnifications In the normal course of business, the Master Funds, GAIT, Cash Assets, 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 December 31, 2020 and 2019, no accruals have been recorded by the Fund for indemnifications. |
Fees and Related Party Transactions (Tables) |
12 Months Ended | ||||||
---|---|---|---|---|---|---|---|
Dec. 31, 2020 | |||||||
Fees and Related Party Transactions [Abstract] | |||||||
Sponsor Fees | For the years ended December 31, 2020 and 2019, the Sponsor Fees allocated to the Fund by each Class of GAIT totaled $227,766 and $234,265, respectively.
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Financial Highlights (Tables) |
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Dec. 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Highlights [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unit Operating Performance | The following is the per Unit operating performance calculation and total return for the years ended December 31, 2020 and 2019:
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Ratios to Average Members' Capital, Excluding the Managing Member, and Total Return | The following represents ratios to average Members’ Capital, excluding the Managing Member, and total return for the years ended December 31, 2020 and 2019:
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Summary of Significant Accounting Policies (Details) - USD ($) |
Dec. 31, 2020 |
Dec. 31, 2019 |
---|---|---|
Cash and Cash Equivalents [Abstract] | ||
Cash and cash equivalents | $ 0 | $ 0 |
Graham Alternative Investment Trading LLC [Member] | ||
Schedule of Equity Method Investments [Abstract] | ||
Ownership percentage | 48.87% | 48.41% |
Capital Accounts (Details) |
12 Months Ended |
---|---|
Dec. 31, 2020
USD ($)
Class
| |
Capital Accounts [Abstract] | |
Number of classes of units offered by Fund | Class | 2 |
Minimum [Member] | |
Capital Accounts [Abstract] | |
Initial subscription amount | $ 10,000 |
Cost for additional units | $ 5,000 |
Notice period for units subscription | 3 days |
Notice period for units redemption | 3 days |
Amount for partial redemption request | $ 10,000 |
Holding post partial redemption | $ 10,000 |
Maximum [Member] | |
Capital Accounts [Abstract] | |
Period of remittance for redemption proceeds | 15 days |
Fees and Related Party Transactions (Details) - USD ($) |
12 Months Ended | |
---|---|---|
Dec. 31, 2020 |
Dec. 31, 2019 |
|
Advisory Fees [Abstract] | ||
Advisory fees at annual rate of Members' Capital | 1.50% | |
Advisory fees | $ 422,787 | $ 435,127 |
Sponsor Fees [Abstract] | ||
Sponsor fees | $ 227,766 | 234,265 |
Incentive Allocation [Abstract] | ||
Percentage of incentive allocation | 20.00% | |
Incentive allocation | $ 531,233 | 187 |
Administrators fees [Abstract] | ||
Administrator's fees | $ 36,459 | $ 37,873 |
Class 0 Units [Member] | ||
Sponsor Fees [Abstract] | ||
Sponsor fees at annual rate of Members' Capital | 0.50% | |
Class 2 Units [Member] | ||
Sponsor Fees [Abstract] | ||
Sponsor fees at annual rate of Members' Capital | 1.25% |
Subsequent Events (Details) - Subsequent Event [Member] $ in Millions |
3 Months Ended |
---|---|
Mar. 30, 2021
USD ($)
| |
Subsequent Event, Fund [Abstract] | |
Fund subscriptions | $ 0.0 |
Fund redemptions | $ 0.5 |
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