|
|
|
(State or other jurisdiction of incorporation or organization)
|
(I.R.S. Employer Identification No.)
|
Title of each class
|
Trading Symbol(s)
|
Name of each exchange on which registered
|
|||
None
|
N/A |
None
|
Large accelerated filer ☐
|
Accelerated filer ☐
|
|
Smaller reporting company
|
Emerging Growth company
|
|
|
Page
|
|
|
|
Number
|
|
|
|||
PART I - Financial Information:
|
|
||
|
|
|
|
|
Item 1.
|
Financial Statements:
|
|
|
|
|
|
Graham Alternative Investment Fund I LLC Core Macro Portfolio
|
|||
|
|
1
|
|
|
|
||
|
|
2
|
|
3
|
|||
5
|
|||
|
|
||
|
|
6
|
|
Graham Alternative Investment Trading LLC
|
|||
14 | |||
15
|
|||
16
|
|||
17
|
|||
19
|
|||
|
|||
20
|
|||
|
Item 2.
|
63 | |
|
|
||
|
Item 3.
|
71 | |
|
|
||
|
Item 4.
|
72 |
73 | |||
74 | |||
Certification
|
|||
Certification
|
|||
Certification
|
June 30, 2022
(Unaudited)
|
December 31, 2021
(Audited)
|
|||||||
Assets
|
||||||||
Investment in Graham Alternative Investment Trading LLC, at fair value
|
$
|
|
$
|
|
||||
Redemptions receivable from Graham Alternative Investment Trading LLC
|
|
|
||||||
Total assets
|
$
|
|
$
|
|
||||
Liabilities and members’ capital
|
||||||||
Liabilities:
|
||||||||
Redemptions payable
|
$
|
|
$
|
|
||||
Total liabilities
|
|
|
||||||
Members’ capital:
|
||||||||
Class 0 Units (
|
|
|
||||||
Class 2 Units (
|
|
|
||||||
Total members’ capital
|
|
|
||||||
Total liabilities and members’ capital
|
$
|
|
$
|
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2022
|
2021
|
2022
|
2021
|
|||||||||||||
Net gain allocated from investment in Graham Alternative Investment Trading LLC:
|
||||||||||||||||
Net realized gain on investment
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Net decrease in unrealized appreciation on investment
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||
Brokerage commissions and fees
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||
Net gain allocated from investment in Graham Alternative Investment Trading LLC
|
|
|
|
|
||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC:
|
||||||||||||||||
Investment income:
|
||||||||||||||||
Interest income
|
|
|
|
|
||||||||||||
Expenses:
|
||||||||||||||||
Incentive allocation
|
|
|
|
|
||||||||||||
Advisory fees
|
|
|
|
|
||||||||||||
Sponsor fees
|
|
|
|
|
||||||||||||
Professional fees
|
|
|
|
|
||||||||||||
Administrator’s fee
|
|
|
|
|
||||||||||||
Interest expense
|
|
|
|
|
||||||||||||
Operating expenses
|
||||||||||||||||
Total expenses
|
|
|
|
|
||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||
Net income
|
$
|
|
$
|
|
$
|
|
$
|
|
Class 0 Units
|
Class 2 Units
|
|||||||||||||||||||
Units
|
Capital
|
Units
|
Capital
|
Total Members’ Capital
|
||||||||||||||||
Members’ capital, December 31, 2021
|
|
$
|
|
|
$
|
|
$ | |||||||||||||
Subscriptions
|
|
|
|
|
|
|||||||||||||||
Redemptions
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||||
Net income
|
–
|
|
–
|
|
|
|||||||||||||||
Members’ capital, March 31, 2022 | |
|
|
|||||||||||||||||
Subscriptions
|
|
|
|
|
|
|||||||||||||||
Redemptions
|
(
|
)
|
(
|
)
|
|
|
(
|
)
|
||||||||||||
Net income
|
–
|
|
–
|
|
|
|||||||||||||||
Members’ capital, June 30, 2022
|
|
$
|
|
|
$
|
|
$ |
Class 0 Units
|
Class 2 Units
|
|||||||||||||||||||
Units
|
Capital
|
Units
|
Capital
|
Total Members’ Capital
|
||||||||||||||||
Members’ capital, December 31, 2020
|
$ | $ | $ | |||||||||||||||||
Subscriptions
|
||||||||||||||||||||
Redemptions
|
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||
Net income
|
– |
– |
||||||||||||||||||
Members’ capital, March 31, 2021
|
|
|
|
|||||||||||||||||
Subscriptions
|
||||||||||||||||||||
Redemptions
|
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||
Net income
|
– |
– |
||||||||||||||||||
Members’ capital, June 30, 2021
|
$ | $ | $ |
Six Months Ended
June 30,
|
||||||||
2022
|
2021
|
|||||||
Cash flows provided by operating activities
|
||||||||
Net income
|
$
|
|
$
|
|
||||
Adjustments to reconcile net income to net cash provided by operating activities:
|
||||||||
Net (income) allocated from investment in Graham Alternative Investment Trading LLC
|
(
|
)
|
(
|
)
|
||||
Proceeds from sale of investment in Graham Alternative Investment Trading LLC
|
|
|
||||||
Net cash provided by operating activities
|
|
|
||||||
Cash flows used in financing activities
|
||||||||
Subscriptions
|
|
|
||||||
Redemptions (net of redemptions payable)
|
(
|
)
|
(
|
)
|
||||
Net cash used in financing activities
|
(
|
)
|
(
|
)
|
||||
Net change in cash and cash equivalents
|
|
|
||||||
Cash and cash equivalents, beginning of period
|
|
|
||||||
Cash and cash equivalents, end of period
|
$
|
|
$
|
|
• |
Level 1 inputs are unadjusted closing or settlement prices for such assets or liabilities as published by the primary exchange upon which they are traded.
|
• |
Level 2 inputs include quoted prices for similar assets and liabilities obtained from independent brokers and/or market makers in each security.
|
• |
Level 3 inputs are those which are considered unobservable and are significant in arriving at fair value.
|
Class 0
|
Class 2
|
|
|
Class 0
|
Class 2
|
|||||||
Per unit operating performance
|
||||||||
Net asset value per Unit, March 31, 2021
|
$ | $ | ||||||
Net income:
|
||||||||
Net investment loss
|
( |
) | ( |
) | ||||
Net gain on investments
|
||||||||
Net income
|
||||||||
Net asset value per Unit, June 30, 2021
|
$ | $ | ||||||
Net asset value per Unit, March 31, 2022
|
$ | $ | ||||||
Net income:
|
||||||||
Net investment loss
|
( |
) | ( |
) | ||||
Net gain on investments
|
||||||||
Net income
|
||||||||
Net asset value per Unit, June 30, 2022
|
$ | $ |
Class 0 |
Class 2 |
||||||||||||||||
2022
|
2021
|
2022
|
2021
|
||||||||||||||
Total return before Incentive Allocation
|
% | % | % | % | |||||||||||||
Incentive Allocation
|
( |
) | ( |
) | ( |
) | ( |
) | |||||||||
Total return after Incentive Allocation
|
% | % | % | % | |||||||||||||
Net investment loss before Incentive Allocation
|
( |
)% |
( |
)% |
( |
)% |
( |
)% |
|||||||||
Incentive Allocation
|
( |
) | ( |
) | ( |
) | ( |
) | |||||||||
Net investment loss after Incentive Allocation
|
( |
)% |
( |
)% |
( |
)% |
( |
)% |
|||||||||
Total expenses before Incentive Allocation
|
% | % | % | % | |||||||||||||
Incentive Allocation
|
|||||||||||||||||
Total expenses after Incentive Allocation
|
% | % | % | % |
Class 0
|
Class 2
|
|||||||
Per unit operating performance
|
||||||||
Net asset value per Unit, December 31, 2020
|
$ | $ | ||||||
Net income:
|
||||||||
Net investment loss
|
( |
) | ( |
) | ||||
Net gain on investments
|
||||||||
Net income
|
||||||||
Net asset value per Unit, June 30, 2021
|
$ | $ | ||||||
Net asset value per Unit, December 31, 2021
|
$ | $ | ||||||
Net income:
|
||||||||
Net investment loss
|
( |
) | ( |
) | ||||
Net gain on investments
|
||||||||
Net income
|
||||||||
Net asset value per Unit, June 30, 2022
|
$ | $ |
Class 0
|
Class 2
|
||||||||||||||||
2022
|
2021
|
2022
|
2021
|
||||||||||||||
Total return before Incentive Allocation
|
% | % | % | % | |||||||||||||
Incentive Allocation
|
( |
) | ( |
) | ( |
) | ( |
) | |||||||||
Total return after Incentive Allocation
|
% | % | % | % | |||||||||||||
Net investment loss before Incentive Allocation
|
( |
)% | ( |
)% | ( |
)% | ( |
)% | |||||||||
Incentive Allocation
|
( |
) | ( |
) | ( |
) | ( |
) | |||||||||
Net investment loss after Incentive Allocation
|
( |
)% | ( |
)% | ( |
)% | ( |
)% | |||||||||
Total expenses before Incentive Allocation
|
% | % | % | % | |||||||||||||
Incentive Allocation
|
|||||||||||||||||
Total expenses after Incentive Allocation
|
% | % | % | % |
June 30, 2022 (Unaudited)
|
December 31, 2021
(Audited)
|
|||||||
Assets
|
||||||||
Investments in Master Funds, at fair value
|
$
|
4,188,818
|
$
|
4,769,945
|
||||
Investment in Graham Cash Assets LLC, at fair value
|
62,896,150
|
51,121,197
|
||||||
Receivable from Master Funds
|
40
|
44
|
||||||
Total assets
|
$
|
67,085,008
|
$
|
55,891,186
|
||||
Liabilities and members’ capital
|
||||||||
Liabilities:
|
||||||||
Redemptions payable
|
$
|
2,016,186
|
$
|
263,800
|
||||
Accrued professional fees
|
109,479
|
114,472
|
||||||
Accrued advisory fees
|
79,894
|
68,959
|
||||||
Accrued sponsor fees
|
42,780
|
36,436
|
||||||
Accrued administrator’s fee
|
6,968
|
6,154
|
||||||
Accrued operating expenses
|
3,371
|
–
|
||||||
Payable to Master Funds
|
23
|
825
|
||||||
Total liabilities
|
2,258,701
|
490,646
|
||||||
Members’ capital:
|
||||||||
Class 0 Units (169,982.846 and 185,533.074 units issued and outstanding at $217.96 and $176.27 per unit, respectively)
|
37,049,688
|
32,704,572
|
||||||
Class 2 Units (165,367.572 and 167,534.772 units issued and outstanding at $155.05 and $125.68 per unit, respectively)
|
25,640,210
|
21,055,621
|
||||||
Class M Units (4,671.470 units issued and outstanding at $457.33 and $351.14 per unit, respectively)
|
2,136,409
|
1,640,347
|
||||||
Total members’ capital
|
64,826,307
|
55,400,540
|
||||||
Total liabilities and members’ capital
|
$
|
67,085,008
|
$
|
55,891,186
|
June 30, 2022
(Unaudited)
|
December 31, 2021
(Audited)
|
|||||||||||||||
Description
|
Fair Value
|
Percentage of
Members’
Capital
|
Fair Value
|
Percentage of
Members’
Capital
|
||||||||||||
Investments in Master Funds, at fair value
|
||||||||||||||||
Graham Commodity Strategies LLC
|
$
|
1,957,811
|
3.01%
|
|
$
|
1,849,637
|
3.34%
|
|
||||||||
Graham Derivatives Strategies LLC
|
470,490
|
0.73%
|
|
–
|
0.00%
|
|
||||||||||
Graham K4D Trading Ltd.
|
1,760,517
|
2.72%
|
|
2,920,308
|
5.27%
|
|
||||||||||
Total investments in Master Funds
|
$
|
4,188,818
|
6.46%
|
|
$
|
4,769,945
|
8.61%
|
|
Three Months Ended
June 30,
|
Six Months Ended
June 30,
|
|||||||||||||||
2022
|
2021
|
2022
|
2021
|
|||||||||||||
Net gain allocated from investments in Master Funds:
|
||||||||||||||||
Net realized gain on investments
|
$
|
9,492,282
|
$
|
1,516,330
|
$
|
17,473,733
|
$
|
6,611,797
|
||||||||
Net decrease in unrealized appreciation on investments
|
(2,438,962
|
)
|
(152,855
|
)
|
(1,016,446
|
)
|
(1,275,465
|
)
|
||||||||
Brokerage commissions and fees
|
(65,652
|
)
|
(46,615
|
)
|
(115,508
|
)
|
(84,261
|
)
|
||||||||
Net gain allocated from investments in Master Funds
|
6,987,668
|
1,316,860
|
16,341,779
|
5,252,071
|
||||||||||||
Net investment income (loss) allocated from investments in Master Funds
|
232
|
(764
|
)
|
(3,574
|
)
|
(1,001
|
)
|
|||||||||
Investment income:
|
||||||||||||||||
Interest income
|
82,257
|
10,276
|
107,069
|
32,634
|
||||||||||||
Expenses:
|
||||||||||||||||
Advisory fees
|
240,555
|
228,390
|
458,706
|
448,220
|
||||||||||||
Sponsor fees
|
128,084
|
120,584
|
243,490
|
237,224
|
||||||||||||
Professional fees
|
108,449
|
106,696
|
177,834
|
143,047
|
||||||||||||
Administrator’s fee
|
20,606
|
19,904
|
39,689
|
39,028
|
||||||||||||
Interest expense
|
3,479
|
3,472
|
6,979
|
6,951
|
||||||||||||
Operating expenses
|
3,371
|
–
|
3,371
|
–
|
||||||||||||
Total expenses
|
504,544
|
479,046
|
930,069
|
874,470
|
||||||||||||
Net investment loss of the Fund
|
(422,287
|
)
|
(468,770
|
)
|
(823,000
|
)
|
(841,836
|
)
|
||||||||
Net income
|
6,565,613
|
847,326
|
15,515,205
|
4,409,234
|
||||||||||||
Incentive allocation
|
(1,269,671
|
)
|
(163,263
|
)
|
(2,550,314
|
)
|
(855,525
|
)
|
||||||||
Net income available for pro-rata allocation to all members
|
$
|
5,295,942
|
$
|
684,063
|
$
|
12,964,891
|
$
|
3,553,709
|
Class 0
|
Class 2
|
Class M
|
Total
|
|||||||||||||||||||||||||
Units
|
Capital
|
Units
|
Capital
|
Units
|
Capital
|
Capital
|
||||||||||||||||||||||
Members’ capital, December 31, 2021
|
185,533.074
|
$
|
32,704,572
|
167,534.772
|
$
|
21,055,621
|
4,671.470
|
$
|
1,640,347
|
$
|
55,400,540
|
|||||||||||||||||
Subscriptions
|
–
|
–
|
–
|
–
|
–
|
–
|
–
|
|||||||||||||||||||||
Redemptions
|
(2,813.134
|
)
|
(531,377
|
)
|
(2,167.200
|
)
|
(287,440
|
)
|
–
|
(1,280,643
|
)
|
(2,099,460
|
)
|
|||||||||||||||
Incentive allocation
|
–
|
(794,593
|
)
|
–
|
(486,050
|
)
|
–
|
1,280,643
|
–
|
|||||||||||||||||||
Net income
|
–
|
5,301,831
|
–
|
3,368,961
|
–
|
278,800
|
8,949,592
|
|||||||||||||||||||||
Members’ capital, March 31, 2022
|
182,719.940
|
36,680,433
|
165,367.572
|
$
|
23,651,092
|
4,671.470
|
$
|
1,919,147
|
$
|
62,250,672
|
||||||||||||||||||
Subscriptions
|
–
|
–
|
–
|
–
|
–
|
–
|
–
|
|||||||||||||||||||||
Redemptions
|
(12,737.094
|
)
|
(2,720,307
|
)
|
–
|
–
|
–
|
(1,269,671
|
)
|
(3,989,978
|
)
|
|||||||||||||||||
Incentive allocation
|
–
|
(772,392
|
)
|
–
|
(497,279
|
)
|
–
|
1,269,671
|
–
|
|||||||||||||||||||
Net income
|
–
|
3,861,954
|
–
|
2,486,397
|
–
|
217,262
|
6,565,613
|
|||||||||||||||||||||
Members’ capital, June 30, 2022
|
169,982.846
|
$
|
37,049,688
|
165,367.572
|
$
|
25,640,210
|
4,671.470
|
$
|
2,136,409
|
$
|
64,826,307
|
Class 0
|
Class 2
|
Class M
|
Total
|
|||||||||||||||||||||||||
Units
|
Capital
|
Units
|
Capital
|
Units
|
Capital
|
Capital
|
||||||||||||||||||||||
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
|
|||||||||||||||||
Subscriptions
|
–
|
–
|
–
|
–
|
–
|
–
|
–
|
|||||||||||||||||||||
Redemptions
|
(3,043.519
|
)
|
(538,957
|
)
|
(3,178.647
|
)
|
(411,629
|
)
|
–
|
(692,262
|
)
|
(1,642,848
|
)
|
|||||||||||||||
Incentive allocation
|
–
|
(424,238
|
)
|
–
|
(268,024
|
)
|
–
|
692,262
|
–
|
|||||||||||||||||||
Net income
|
–
|
2,119,121
|
–
|
1,340,122
|
–
|
102,665
|
3,561,908
|
|||||||||||||||||||||
Members’ capital, March 31, 2021
|
200,773.252
|
|
36,428,408
|
181,281.877
|
|
23,575,660
|
4,671.470
|
|
1,658,843
|
|
61,662,911
|
|||||||||||||||||
Subscriptions
|
–
|
–
|
–
|
–
|
–
|
–
|
–
|
|||||||||||||||||||||
Redemptions
|
(5,148.509
|
)
|
(949,508
|
)
|
(10,229.362
|
)
|
(1,366,841
|
)
|
–
|
(163,263
|
)
|
(2,479,612
|
)
|
|||||||||||||||
Incentive allocation
|
–
|
(101,431
|
)
|
–
|
(61,832
|
)
|
–
|
163,263
|
–
|
|||||||||||||||||||
Net income
|
–
|
507,150
|
–
|
309,160
|
–
|
31,016
|
847,326
|
|||||||||||||||||||||
Members’ capital, June 30, 2021
|
195,624.743
|
$
|
35,884,619
|
171,052.515
|
$
|
22,456,147
|
4,671.470
|
$
|
1,689,859
|
$
|
60,030,625
|
Six Months Ended June 30,
|
||||||||
2022
|
2021
|
|||||||
Cash flows provided by operating activities
|
||||||||
Net income
|
$
|
15,515,205
|
$
|
4,409,234
|
||||
Adjustments to reconcile net income to net cash provided by operating activities:
|
||||||||
Net (income) allocated from investments in Master Funds
|
(16,338,205
|
)
|
(5,251,070
|
)
|
||||
Net (income) allocated from investment in Graham Cash Assets LLC
|
(107,069
|
)
|
(32,634
|
)
|
||||
Proceeds from sale of investments in Master Funds
|
39,890,240
|
35,557,695
|
||||||
Proceeds from sale of investment in Graham Cash Assets LLC
|
18,117,424
|
28,466,809
|
||||||
Purchases of investments in Master Funds
|
(22,971,706
|
)
|
(31,949,856
|
)
|
||||
Purchases of investment in Graham Cash Assets LLC
|
(29,785,308
|
)
|
(27,262,735
|
)
|
||||
Changes in assets and liabilities:
|
||||||||
Decrease in accrued professional fees
|
(4,993
|
)
|
(46,864
|
)
|
||||
Increase (decrease) in accrued advisory fees
|
10,935
|
(1,760
|
)
|
|||||
Increase (decrease) in accrued sponsor fees
|
6,344
|
(1,462
|
)
|
|||||
Increase (decrease) in accrued administrator’s fee
|
814
|
(262
|
)
|
|||||
Increase in accrued operating expenses
|
3,371
|
–
|
||||||
Net cash provided by operating activities
|
4,337,052
|
3,887,095
|
||||||
Cash flows used in financing activities
|
||||||||
Subscriptions
|
–
|
–
|
||||||
Redemptions (net of redemptions payable)
|
(4,337,052
|
)
|
(3,887,095
|
)
|
||||
Net cash used in financing activities
|
(4,337,052
|
)
|
(3,887,095
|
)
|
||||
Net change in cash and cash equivalents
|
–
|
–
|
||||||
Cash and cash equivalents, beginning of period
|
–
|
–
|
||||||
Cash and cash equivalents, end of period
|
$
|
–
|
$
|
–
|
Supplemental cash flow information
|
||||||||
Interest paid
|
$
|
6,979
|
$
|
6,951
|
• |
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.
|
June 30, 2022
|
||||||||||||
Investment – Objective
|
Percent of
Members’ Capital
|
Fair Value
|
Net Income
(six months ended
June 2022)
|
|||||||||
Global Macro Funds
|
||||||||||||
Graham Commodity Strategies LLC
|
3.01%
|
|
$
|
1,957,811
|
$
|
7,005,331
|
||||||
Graham Derivatives Strategies LLC
|
0.73%
|
|
470,490
|
2,155,661
|
||||||||
Systematic Macro Funds
|
||||||||||||
Graham K4D Trading Ltd.
|
2.72%
|
|
1,760,517
|
7,177,213
|
||||||||
6.46%
|
|
$
|
4,188,818
|
$
|
16,338,205
|
December 31, 2021
|
||||||||||||
Investment – Objective
|
Percent of
Members’ Capital
|
Fair Value
|
Net Income
(six months ended
June 2021)
|
|||||||||
Global Macro Funds
|
||||||||||||
Graham Commodity Strategies LLC
|
3.34%
|
|
$
|
1,849,637
|
$
|
3,854,656
|
||||||
Systematic Macro Funds
|
||||||||||||
Graham K4D Trading Ltd.
|
5.27%
|
|
2,920,308
|
1,396,414
|
||||||||
8.61%
|
|
$
|
4,769,945
|
$
|
5,251,070
|
Graham
Commodity
Strategies LLC
(Delaware)
|
Graham
Derivatives
Strategies LLC
(Delaware)
|
Graham K4D
Trading Ltd.
(BVI)
|
||||||||||
Assets:
|
||||||||||||
Due from brokers
|
$
|
71,053,716
|
$
|
3,290,536
|
$
|
27,042,207
|
||||||
Derivative financial instruments, at fair value
|
6,311,153
|
16,014,901
|
1,466,427
|
|||||||||
Exchange memberships, at fair value
|
8,268,486
|
–
|
1,822,009
|
|||||||||
Interest receivable
|
17,720
|
3,194
|
10,164
|
|||||||||
Total assets
|
85,651,075
|
19,308,631
|
30,340,807
|
|||||||||
Liabilities:
|
||||||||||||
Derivative financial instruments, at fair value
|
3,606,289
|
–
|
6,911,736
|
|||||||||
Interest payable
|
12,056
|
3,044
|
11,161
|
|||||||||
Total liabilities
|
3,618,345
|
3,044
|
6,922,897
|
|||||||||
Members’ Capital / Net Assets
|
$
|
82,032,730
|
$
|
19,305,587
|
$
|
23,417,910
|
||||||
Percentage of Master Fund held by GAIT
|
2.39
|
%
|
2.44
|
%
|
7.52
|
%
|
Description
|
Number of
Contracts / National
Amounts
|
Fair Value
|
Percentage
of Members’ Capital of Master Fund
|
|||||||||
Graham Commodity Strategies LLC
|
||||||||||||
Exchange memberships (cost $3,649,411)
|
||||||||||||
United States (cost $3,649,411)
|
||||||||||||
Financial services (cost $3,649,411)
|
$
|
8,268,486
|
10.08
|
%
|
||||||||
Total exchange memberships
|
$
|
8,268,486
|
10.08
|
%
|
||||||||
Derivative financial instruments
|
||||||||||||
Long contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
$
|
(6,302,267
|
)
|
(7.68
|
)%
|
|||||||
Foreign bond
|
||||||||||||
Euro-Bund September 2022
|
229
|
628,722
|
0.77
|
%
|
||||||||
Other foreign bond
|
324,452
|
0.40
|
%
|
|||||||||
Foreign index
|
13,171
|
0.02
|
%
|
|||||||||
Interest rate
|
360,396
|
0.44
|
%
|
|||||||||
U.S. bond
|
||||||||||||
U.S. 10yr Note September 2022
|
3,539
|
4,873,514
|
5.94
|
%
|
||||||||
U.S. 5yr Note September 2022
|
4,110
|
3,815,595
|
4.65
|
%
|
||||||||
U.S. long bond CBT September 2022
|
17
|
11,625
|
0.01
|
%
|
||||||||
U.S. index
|
1,135,540
|
1.38
|
%
|
|||||||||
Total futures
|
4,860,748
|
5.93
|
%
|
|||||||||
Forwards
|
||||||||||||
Korean won / U.S. dollar 07/08/2022 - 09/21/2022
|
KRW 134,385,588,416
|
308,108
|
0.38
|
%
|
||||||||
Other foreign currency
|
(7,946,803
|
)
|
(9.69
|
)%
|
||||||||
Total forwards
|
(7,638,695
|
)
|
(9.31
|
)%
|
||||||||
Options (cost $5,250,147)
|
||||||||||||
Commodity futures
|
146,500
|
0.18
|
%
|
|||||||||
Currency futures
|
305,512
|
0.37
|
%
|
|||||||||
Interest rate futures
|
(1,970,938
|
)
|
(2.40
|
)%
|
||||||||
U.S. index futures
|
4,038,280
|
4.92
|
%
|
|||||||||
Total options
|
2,519,354
|
3.07
|
%
|
Description
|
Number of
Contracts / Notional
Amounts
|
Fair Value
|
Percentage
of Members’
Capital of
Master Fund
|
|||||||||
Graham Commodity Strategies LLC (continued)
|
||||||||||||
Derivative financial instruments (continued)
|
||||||||||||
Short contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
$
|
(214,095
|
)
|
(0.26
|
)%
|
|||||||
Foreign bond
|
||||||||||||
Euro-Bobl September 2022
|
(3,900
|
)
|
(6,852,621
|
)
|
(8.35
|
)%
|
||||||
Euro-Bund September 2022
|
(1,840
|
)
|
(4,596,987
|
)
|
(5.60
|
)%
|
||||||
Euro-Schatz September 2022
|
(2,597
|
)
|
(60,718
|
)
|
(0.07
|
)%
|
||||||
Other foreign bond
|
(576,682
|
)
|
(0.71
|
)%
|
||||||||
Foreign index
|
647,197
|
0.79
|
%
|
|||||||||
Interest rate
|
(61,782
|
)
|
(0.08
|
)%
|
||||||||
U.S. bond
|
||||||||||||
U.S. 10yr Ultra bond September 2022
|
(453
|
)
|
149,125
|
0.18
|
%
|
|||||||
U.S. index
|
3,930,150
|
4.79
|
%
|
|||||||||
Total futures
|
(7,636,413
|
)
|
(9.31
|
)%
|
||||||||
Forwards
|
||||||||||||
U.S. dollar / Korean won 7/08/2022 - 9/21/2022
|
KRW (269,531,843,646)
|
5,250,177
|
6.40
|
%
|
||||||||
Other foreign currency
|
5,570,085
|
6.79
|
%
|
|||||||||
Total forwards
|
10,820,262
|
13.19
|
%
|
|||||||||
Options (proceeds $470,301)
|
||||||||||||
Commodity futures
|
(32,500
|
)
|
(0.04
|
)%
|
||||||||
Interest rate futures
|
995,988
|
1.21
|
%
|
|||||||||
U.S. index futures
|
(1,183,880
|
)
|
(1.44
|
)%
|
||||||||
Total options
|
(220,392
|
)
|
(0.27
|
)%
|
||||||||
Total derivative financial instruments
|
$
|
2,704,864
|
3.30
|
%
|
Description
|
Number of
Contracts
|
Fair Value
|
Percentage
of Members’
Capital of
Master Fund
|
|||||||||
Graham Derivatives Strategies LLC
|
||||||||||||
Derivative financial instruments
|
||||||||||||
Long contracts
|
||||||||||||
Futures
|
||||||||||||
U.S. bond
|
||||||||||||
U.S 10yr Note September 2022
|
64
|
$
|
18,812
|
0.10
|
%
|
|||||||
U.S. index
|
(16,450
|
)
|
(0.09
|
)%
|
||||||||
Total futures
|
2,362
|
0.01
|
%
|
|||||||||
Forwards
|
||||||||||||
Foreign currency
|
(654,145
|
)
|
(3.39
|
)%
|
||||||||
Total forwards
|
(654,145
|
)
|
(3.39
|
)%
|
||||||||
Options (cost $52,491,672)
|
||||||||||||
Commodity futures
|
||||||||||||
Crude oil December 2022, $57.50 Put
|
1
|
1,793,220
|
9.29
|
%
|
||||||||
Crude oil December 2022, $70.50 Put
|
1
|
3,579,600
|
18.54
|
%
|
||||||||
Crude oil December 2022, $85.50 Put
|
1
|
8,162,400
|
42.28
|
%
|
||||||||
Currency futures
|
||||||||||||
Euro / U.S. dollar November 2022, $0.97 Put
|
1
|
1,190,045
|
6.16
|
%
|
||||||||
Euro / U.S. dollar April 2023, $0.95 Put
|
1
|
1,260,261
|
6.53
|
%
|
||||||||
Euro / U.S. dollar July 2022 - November 2022, $0.97 - $1.04 Put
|
3
|
1,208,378
|
6.26
|
%
|
||||||||
Euro / U.S. dollar July 2022, $1.22 Call
|
1
|
–
|
0.00
|
%
|
||||||||
U.S. dollar / Japanese yen July 2022, $125.25 Call
|
1
|
14,377,005
|
74.47
|
%
|
||||||||
U.S. dollar / Japanese yen July 2022, $128.25 Call
|
1
|
10,370,089
|
53.72
|
%
|
||||||||
U.S. dollar / Japanese yen July 2022 - April 2023, $136.25 - $140.50 Call
|
4
|
2,447,349
|
12.68
|
%
|
||||||||
U.S. dollar / Japanese yen October 2022, $139.50 Call
|
1
|
2,155,698
|
11.17
|
%
|
||||||||
U.S. dollar / Japanese yen October 2022, $127.00 Put
|
1
|
1,111,221
|
5.76
|
%
|
||||||||
U.S. dollar / Japanese yen November 2022, $131.50 Put
|
1
|
653,999
|
3.39
|
%
|
||||||||
U.S. dollar / Mexican peso April 2023, $18.75 Put
|
1
|
759,400
|
3.93
|
%
|
||||||||
U.S. dollar / Mexican peso November 2022, $19.40 Put
|
1
|
1,659,339
|
8.60
|
%
|
||||||||
Other currency futures
|
2,108,053
|
10.91
|
%
|
|||||||||
Interest rate futures
|
||||||||||||
IMM Euro December 2022, $98.75 Call
|
1
|
875,219
|
4.53
|
%
|
||||||||
U.S. bond futures
|
||||||||||||
U.S. 10yr future August 2022, $118.50 Call
|
1
|
3,621,875
|
18.76
|
%
|
||||||||
U.S. index futures
|
||||||||||||
S&P E-mini July 2022, $3,600.00 Put
|
1
|
2,062,925
|
10.69
|
%
|
||||||||
S&P E-mini September 2022, $3,600.00 Put
|
1
|
4,151,500
|
21.50
|
%
|
||||||||
S&P E-mini September 2022, $4,300.00 Call
|
1
|
560,500
|
2.90
|
%
|
||||||||
S&P E-mini July 2022, $3,605.00 Put
|
1
|
553,613
|
2.87
|
%
|
||||||||
Total options
|
64,661,689
|
334.94
|
%
|
Description
|
Number of
Contracts
|
Fair Value
|
Percentage
of Members’
Capital of
Master Fund
|
|||||||||
Graham Derivatives Strategies LLC (continued)
|
||||||||||||
Derivative financial instruments (continued)
|
||||||||||||
Short contracts
|
||||||||||||
Futures
|
||||||||||||
S&P 500 E-mini September 2022
|
(38
|
)
|
$
|
43,500
|
0.23
|
%
|
||||||
Total futures
|
43,500
|
0.23
|
%
|
|||||||||
Forwards
|
||||||||||||
Foreign currency
|
180,366
|
0.93
|
%
|
|||||||||
Total forwards
|
180,366
|
0.93
|
%
|
|||||||||
Options (proceeds $37,329,502)
|
||||||||||||
Commodity futures
|
||||||||||||
Crude oil December 2022, $50.50 Put
|
(1
|
)
|
(1,128,600
|
)
|
(5.85
|
)%
|
||||||
Crude oil December 2022, $75.50 Put
|
(1
|
)
|
(6,988,960
|
)
|
(36.20
|
)%
|
||||||
Crude oil December 2022, $80.50 Put
|
(1
|
)
|
(3,350,080
|
)
|
(17.35
|
)%
|
||||||
Currency futures
|
||||||||||||
Euro / U.S. dollar August 2022, $1.00 Put
|
(1
|
)
|
(129,276
|
)
|
(0.67
|
)%
|
||||||
U.S. dollar / Japanese yen July 2022, $125.25 Call
|
(1
|
)
|
(14,377,005
|
)
|
(74.47
|
)%
|
||||||
U.S. dollar / Japanese yen July 2022, $128.25 Call
|
(1
|
)
|
(10,370,089
|
)
|
(53.72
|
)%
|
||||||
U.S. dollar / Japanese yen July 2022 - August 2022, $136.25 - $143.25 Call
|
(3
|
)
|
(1,383,048
|
)
|
(7.16
|
)%
|
||||||
U.S. dollar / Japanese yen October 2022, $139.50 Call
|
(1
|
)
|
(2,155,698
|
)
|
(11.17
|
)%
|
||||||
U.S. dollar / Japanese yen November 2022, $128.50 Put
|
(1
|
)
|
(341,396
|
)
|
(1.77
|
)%
|
||||||
U.S. dollar / Mexican peso November 2022, $18.95 Put
|
(1
|
)
|
(868,502
|
)
|
(4.50
|
)%
|
||||||
Other currency futures
|
(870,397
|
)
|
(4.50
|
)%
|
||||||||
Interest rate futures
|
||||||||||||
IMM Euro December 2022, $98.50 Call
|
(1
|
)
|
(1,003,950
|
)
|
(5.20
|
)%
|
||||||
U.S. bond futures
|
||||||||||||
U.S. 10yr August 2022, $120.50 Call
|
(1
|
)
|
(1,068,750
|
)
|
(5.54
|
)%
|
||||||
U.S. index futures
|
||||||||||||
S&P E-mini September 2022, $3,400.00 Put
|
(1
|
)
|
(2,394,000
|
)
|
(12.40
|
)%
|
||||||
S&P E-mini September 2022, $4,200.00 Call
|
(1
|
)
|
(997,500
|
)
|
(5.17
|
)%
|
||||||
S&P E-mini July 2022, $3,450.00 Put
|
(1
|
)
|
(735,300
|
)
|
(3.81
|
)%
|
||||||
S&P E-mini July 2022, $3,505.00 Put
|
(1
|
)
|
(56,320
|
)
|
(0.29
|
)%
|
||||||
Total options
|
(48,218,871
|
)
|
(249.77
|
)%
|
||||||||
Total derivative financial instruments
|
$
|
16,014,901
|
82.95
|
%
|
Description
|
Number of
Contracts / Notional
Amounts
|
Fair Value
|
Percentage
of Net Assets
of Master
Fund
|
|||||||||
Graham K4D Trading Ltd.
|
||||||||||||
Exchange memberships (cost $1,924,208)
|
||||||||||||
United States (cost $1,924,208)
|
||||||||||||
Financial services (cost $1,924,208)
|
$
|
1,822,009
|
7.78
|
%
|
||||||||
Total exchange memberships
|
$
|
1,822,009
|
7.78
|
%
|
||||||||
Derivative financial instruments
|
||||||||||||
Long contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
||||||||||||
Brent Crude September 2022
|
109
|
$
|
(673,417
|
)
|
(2.88
|
)%
|
||||||
Gasoline Rbob August 2022
|
102
|
(1,074,003
|
)
|
(4.59
|
)%
|
|||||||
Low Sulphur Gasoil August 2022
|
101
|
(1,267,250
|
)
|
(5.41
|
)%
|
|||||||
Natural Gas August 2022
|
102
|
(1,763,486
|
)
|
(7.53
|
)%
|
|||||||
NY Harbor ULSD August 2022
|
69
|
(1,272,503
|
)
|
(5.43
|
)%
|
|||||||
WTI Crude August 2022
|
100
|
(860,160
|
)
|
(3.67
|
)%
|
|||||||
Other commodity
|
(6,066,616
|
)
|
(25.91
|
)%
|
||||||||
Currency
|
123,823
|
0.53
|
%
|
|||||||||
Foreign bond
|
199,071
|
0.85
|
%
|
|||||||||
Foreign index
|
(756,171
|
)
|
(3.23
|
)%
|
||||||||
Interest rate
|
388,861
|
1.66
|
%
|
|||||||||
U.S. bond
|
1,385,832
|
5.92
|
%
|
|||||||||
U.S. index
|
(162,973
|
)
|
(0.70
|
)%
|
||||||||
Total futures
|
(11,798,992
|
)
|
(50.39
|
)%
|
||||||||
Forwards
|
||||||||||||
British pound / U.S. dollar 9/21/2022
|
GBP 7,383,000
|
93,742
|
0.40
|
%
|
||||||||
Euro dollar / U.S. dollar 9/21/2022
|
EUR 7,838,000
|
27,597
|
0.12
|
%
|
||||||||
Other foreign currency
|
(1,173,920
|
)
|
(5.01
|
)%
|
||||||||
Total forwards
|
(1,052,581
|
)
|
(4.49
|
)%
|
Description
|
Notional
Amounts
|
Fair Value
|
Percentage
of Net Assets
of Master
Fund
|
||||||
Graham K4D Trading Ltd. (continued)
|
|||||||||
Derivative financial instruments (continued)
|
|||||||||
Short contracts
|
|||||||||
Futures
|
|||||||||
Commodity
|
$
|
1,198,368
|
5.12
|
%
|
|||||
Currency
|
69,841
|
0.30
|
%
|
||||||
Foreign bond
|
1,470,616
|
6.28
|
%
|
||||||
Foreign index
|
1,161,828
|
4.96
|
%
|
||||||
Interest rate
|
(489,752
|
)
|
(2.09
|
)%
|
|||||
U.S. bond
|
(4,258
|
)
|
(0.02
|
)%
|
|||||
U.S. index
|
187,887
|
0.80
|
%
|
||||||
Total futures
|
3,594,530
|
15.35
|
%
|
||||||
Forwards
|
|||||||||
U.S. dollar / British pound 9/21/2022
|
GBP (49,429,000)
|
1,569,824
|
6.70
|
%
|
|||||
U.S. dollar / Euro dollar 9/21/2022
|
EUR (59,187,000)
|
1,386,325
|
5.92
|
%
|
|||||
Other foreign currency
|
855,585
|
3.66
|
%
|
||||||
Total forwards
|
3,811,734
|
16.28
|
%
|
||||||
Total derivative financial instruments
|
$
|
(5,445,309
|
)
|
(23.25
|
)%
|
Graham
Commodity
Strategies LLC
|
Graham
Derivatives
Strategies LLC
|
Graham
K4D Trading Ltd.
|
||||||||||
Assets
|
||||||||||||
Level 1:
|
||||||||||||
Commodity futures
|
$
|
604,348
|
$
|
–
|
$
|
1,341,708
|
||||||
Commodity futures options
|
146,500
|
13,535,220
|
–
|
|||||||||
Currency futures
|
–
|
–
|
222,249
|
|||||||||
Exchange memberships*
|
8,268,486
|
–
|
1,822,009
|
|||||||||
Foreign bond futures
|
1,395,403
|
–
|
1,670,195
|
|||||||||
Foreign index futures
|
731,287
|
–
|
1,175,070
|
|||||||||
Interest rate futures
|
360,396
|
–
|
388,861
|
|||||||||
Interest rate futures options
|
1,049,025
|
875,219
|
–
|
|||||||||
U.S. bond futures
|
8,849,859
|
18,812
|
1,399,590
|
|||||||||
U.S. bond futures options
|
–
|
3,621,875
|
–
|
|||||||||
U.S. index futures
|
5,065,690
|
43,500
|
206,410
|
|||||||||
U.S. index futures options
|
4,038,280
|
7,328,538
|
–
|
|||||||||
Total Level 1
|
30,509,274
|
25,423,164
|
8,226,092
|
|||||||||
Level 2:
|
||||||||||||
Foreign currency forwards
|
12,433,627
|
317,189
|
5,556,411
|
|||||||||
Foreign currency futures options
|
305,512
|
39,300,838
|
–
|
|||||||||
Total Level 2
|
12,739,139
|
39,618,027
|
5,556,411
|
|||||||||
Total investment related assets
|
$
|
43,248,413
|
$
|
65,041,191
|
$
|
13,782,503
|
||||||
Liabilities
|
||||||||||||
Level 1:
|
||||||||||||
Commodity futures
|
$
|
(7,120,710
|
)
|
$
|
–
|
$
|
(13,120,775
|
)
|
||||
Commodity futures options
|
(32,500
|
)
|
(11,467,640
|
)
|
–
|
|||||||
Currency futures
|
–
|
–
|
(28,585
|
)
|
||||||||
Foreign bond futures
|
(12,529,237
|
)
|
–
|
(508
|
)
|
|||||||
Foreign index futures
|
(70,919
|
)
|
–
|
(769,413
|
)
|
|||||||
Interest rate futures
|
(61,782
|
)
|
–
|
(489,752
|
)
|
|||||||
Interest rate futures options
|
(2,023,975
|
)
|
(1,003,950
|
)
|
–
|
|||||||
U.S. bond futures
|
–
|
–
|
(18,016
|
)
|
||||||||
U.S. bond futures options
|
–
|
(1,068,750
|
)
|
–
|
||||||||
U.S. index futures
|
–
|
(16,450
|
)
|
(181,496
|
)
|
|||||||
U.S. index futures options
|
(1,183,880
|
)
|
(4,183,120
|
)
|
–
|
|||||||
Total Level 1
|
(23,023,003
|
)
|
(17,739,910
|
)
|
(14,608,545
|
)
|
||||||
Level 2:
|
||||||||||||
Foreign currency forwards
|
(9,252,060
|
)
|
(790,968
|
)
|
(2,797,258
|
)
|
||||||
Foreign currency futures options
|
–
|
(30,495,412
|
)
|
–
|
||||||||
Total Level 2
|
(9,252,060
|
)
|
(31,286,380
|
)
|
(2,797,258
|
)
|
||||||
Total investment related liabilities
|
$
|
(32,275,063
|
)
|
$
|
(49,026,290
|
)
|
$
|
(17,405,803
|
)
|
Long exposure
|
Short exposure
|
|||||||||||||||||||||||
Notional
amounts
|
Number
of
contracts
|
Notional
amounts
|
Number
of
contracts
|
Derivative
Assets
|
Derivative
Liabilities
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
199,662,721
|
2,433
|
$
|
(18,278,186
|
)
|
(586
|
)
|
$
|
604,348
|
$
|
(7,120,710
|
)
|
|||||||||||
Options (a)
|
13,373,826
|
1,072
|
(5,762,599
|
)
|
(575
|
)
|
146,500
|
(32,500
|
)
|
|||||||||||||||
213,036,547
|
3,505
|
(24,040,785
|
)
|
(1,161
|
)
|
750,848
|
(7,153,210
|
)
|
||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
38,310,404
|
820
|
(198,521,617
|
)
|
(2,503
|
)
|
5,796,977
|
(70,919
|
)
|
|||||||||||||||
Options (a)
|
1,428,384
|
3,111
|
(1,428,384
|
)
|
(3,111
|
)
|
4,038,280
|
(1,183,880
|
)
|
|||||||||||||||
39,738,788
|
3,931
|
(199,950,001
|
)
|
(5,614
|
)
|
9,835,257
|
(1,254,799
|
)
|
||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
1,053,811,011
|
N/A
|
(1,286,119,454
|
)
|
N/A
|
12,433,627
|
(9,252,060
|
)
|
||||||||||||||||
Options (a)
|
46,546,578
|
8
|
(36,330,813
|
)
|
(7
|
)
|
305,512
|
–
|
||||||||||||||||
1,100,357,589
|
8
|
(1,322,450,267
|
)
|
(7
|
)
|
12,739,139
|
(9,252,060
|
)
|
||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
904,233,652
|
6,704
|
(2,574,819,169
|
)
|
(13,274
|
)
|
10,605,658
|
(12,591,019
|
)
|
|||||||||||||||
Options (a)
|
1,207,904,723
|
24,268
|
(1,371,950,988
|
)
|
(24,268
|
)
|
1,049,025
|
(2,023,975
|
)
|
|||||||||||||||
2,112,138,375
|
30,972
|
(3,946,770,157
|
)
|
(37,542
|
)
|
11,654,683
|
(14,614,994
|
)
|
||||||||||||||||
Total
|
$
|
3,465,271,299
|
38,416
|
$
|
(5,493,211,210
|
)
|
(44,324
|
)
|
$
|
34,979,927
|
$
|
(32,275,063
|
)
|
(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
|
$
|
551,540
|
6
|
$
|
–
|
–
|
$
|
–
|
$
|
–
|
||||||||||||||
Options (a)
|
102,641,829
|
3,416
|
(78,353,119
|
)
|
(3,425
|
)
|
13,535,220
|
(11,467,640
|
)
|
|||||||||||||||
103,193,369
|
3,422
|
(78,353,119
|
)
|
(3,425
|
)
|
13,535,220
|
(11,467,640
|
)
|
||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
10,784,847
|
48
|
(7,465,900
|
)
|
(32
|
)
|
43,500
|
(16,450
|
)
|
|||||||||||||||
Options (a)
|
56,920,496
|
2,924
|
(111,685,945
|
)
|
(2,501
|
)
|
7,328,538
|
(4,183,120
|
)
|
|||||||||||||||
67,705,343
|
2,972
|
(119,151,845
|
)
|
(2,533
|
)
|
7,372,038
|
(4,199,570
|
)
|
||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
50,039,680
|
N/A
|
(64,922,109
|
)
|
N/A
|
317,189
|
(790,968
|
)
|
||||||||||||||||
Options (a)
|
592,130,585
|
21
|
(637,534,474
|
)
|
(19
|
)
|
39,300,838
|
(30,495,412
|
)
|
|||||||||||||||
642,170,265
|
21
|
(702,456,583
|
)
|
(19
|
)
|
39,618,027
|
(31,286,380
|
)
|
||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
296,348,513
|
810
|
(336,830,409
|
)
|
(1,441
|
)
|
18,812
|
–
|
||||||||||||||||
Options (a)
|
389,504,761
|
20,704
|
(305,634,839
|
)
|
(20,779
|
)
|
4,497,094
|
(2,072,700
|
)
|
|||||||||||||||
685,853,274
|
21,514
|
(642,465,248
|
)
|
(22,220
|
)
|
4,515,906
|
(2,072,700
|
)
|
||||||||||||||||
Total
|
$
|
1,498,922,251
|
27,929
|
$
|
(1,542,426,795
|
)
|
(28,197
|
)
|
$
|
65,041,191
|
$
|
(49,026,290
|
)
|
(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
|
$
|
172,886,892
|
2,264
|
$
|
(41,700,362
|
)
|
(325
|
)
|
$
|
1,341,708
|
$
|
(13,120,775
|
)
|
|||||||||||
172,886,892
|
2,264
|
(41,700,362
|
)
|
(325
|
)
|
1,341,708
|
(13,120,775
|
)
|
||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
70,368,676
|
718
|
(55,158,269
|
)
|
(424
|
)
|
1,381,480
|
(950,909
|
)
|
|||||||||||||||
70,368,676
|
718
|
(55,158,269
|
)
|
(424
|
)
|
1,381,480
|
(950,909
|
)
|
||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
209,085,358
|
N/A
|
(405,302,435
|
)
|
N/A
|
5,556,411
|
(2,797,258
|
)
|
||||||||||||||||
Futures
|
9,383,350
|
96
|
(3,948,716
|
)
|
(39
|
)
|
222,249
|
(28,585
|
)
|
|||||||||||||||
218,468,708
|
96
|
(409,251,151
|
)
|
(39
|
)
|
5,778,660
|
(2,825,843
|
)
|
||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
212,310,072
|
881
|
(510,172,499
|
)
|
(2,654
|
)
|
3,458,646
|
(508,276
|
)
|
|||||||||||||||
212,310,072
|
881
|
(510,172,499
|
)
|
(2,654
|
)
|
3,458,646
|
(508,276
|
)
|
||||||||||||||||
Total
|
$
|
674,034,348
|
3,959
|
$
|
(1,016,282,281
|
)
|
(3,442
|
)
|
$
|
11,960,494
|
$
|
(17,405,803
|
)
|
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
|
$
|
34,979,927
|
$
|
(28,668,774
|
)
|
$
|
6,311,153
|
$
|
–
|
$
|
6,311,153
|
|||||||||
Derivative liabilities
|
$
|
(32,275,063
|
)
|
$
|
28,668,774
|
$
|
(3,606,289
|
)
|
$
|
3,606,289
|
$
|
–
|
||||||||
Graham Derivatives Strategies LLC2
|
||||||||||||||||||||
Derivative assets
|
$
|
65,041,191
|
$
|
(49,026,290
|
)
|
$
|
16,014,901
|
$
|
–
|
$
|
16,014,901
|
|||||||||
Derivative liabilities
|
$
|
(49,026,290
|
)
|
$
|
49,026,290
|
$
|
–
|
$
|
–
|
$
|
–
|
|||||||||
Graham K4D Trading Ltd.3
|
||||||||||||||||||||
Derivative assets
|
$
|
11,960,494
|
$
|
(10,494,067
|
)
|
$
|
1,466,427
|
$
|
–
|
$
|
1,466,427
|
|||||||||
Derivative liabilities
|
$
|
(17,405,803
|
)
|
$
|
10,494,067
|
$
|
(6,911,736
|
)
|
$
|
6,911,736
|
$
|
–
|
Graham
Commodity
Strategies LLC
|
Graham
Derivatives
Strategies LLC
|
Graham K4D
Trading Ltd.
|
||||||||||
Net investment income (loss)
|
$
|
40,751
|
$
|
(1,390
|
)
|
$
|
(9,901
|
)
|
||||
Net realized gain on investments
|
146,523,902
|
50,617,178
|
61,988,515
|
|||||||||
Net decrease in unrealized appreciation on investments
|
(20,393,341
|
)
|
(1,937,631
|
)
|
(24,082,221
|
)
|
||||||
Brokerage commissions and fees
|
(649,267
|
)
|
(1,839,184
|
)
|
(47,037
|
)
|
||||||
Net gain on investments
|
125,481,294
|
46,840,363
|
37,859,257
|
|||||||||
Net income
|
$
|
125,522,045
|
$
|
46,838,973
|
$
|
37,849,356
|
Graham
Commodity
Strategies LLC
|
Graham
Derivatives
Strategies LLC
|
Graham K4D
Trading Ltd.
|
||||||||||
Net investment income (loss)
|
$
|
17,039
|
$
|
(8,746
|
)
|
$
|
(58,844
|
)
|
||||
Net realized gain on investments
|
291,180,689
|
89,149,283
|
115,801,414
|
|||||||||
Net (decrease) increase in unrealized appreciation on investments
|
(5,663,335
|
)
|
887,075
|
(7,646,196
|
)
|
|||||||
Brokerage commissions and fees
|
(1,274,638
|
)
|
(3,115,536
|
)
|
(103,501
|
)
|
||||||
Net gain on investments
|
284,242,716
|
86,920,822
|
108,051,717
|
|||||||||
Net income
|
$
|
284,259,755
|
$
|
86,912,076
|
$
|
107,992,873
|
Graham Commodity
Strategies LLC
|
Graham Derivatives
Strategies LLC
|
Graham K4D
Trading Ltd.
|
||||||||||||||||||||||
Net realized
gain (loss)
|
Net increase
(decrease) in
unrealized
appreciation on
investments
|
Net realized
gain (loss)
|
Net increase
(decrease) in
unrealized
appreciation
on investments
|
Net realized
gain (loss)
|
Net increase
(decrease) in
unrealized
appreciation on
investments
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
610,152
|
$
|
(6,064,989
|
)
|
$
|
(887,492
|
)
|
$
|
34,290
|
$
|
20,430,289
|
$
|
(18,008,110
|
)
|
|||||||||
Options
|
1,090,658
|
(490,299
|
)
|
(592,033
|
)
|
(3,321,034
|
)
|
–
|
–
|
|||||||||||||||
1,700,810
|
(6,555,288
|
)
|
(1,479,525
|
)
|
(3,286,744
|
)
|
20,430,289
|
(18,008,110
|
)
|
|||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
23,515,268
|
11,176,731
|
1,478,341
|
52,105
|
(1,172,523
|
)
|
(2,687,237
|
)
|
||||||||||||||||
Options
|
(376,999
|
)
|
1,114,519
|
13,224,783
|
1,084,930
|
–
|
–
|
|||||||||||||||||
23,138,269
|
12,291,250
|
14,703,124
|
1,137,035
|
(1,172,523
|
)
|
(2,687,237
|
)
|
|||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
39,211,226
|
(9,083,717
|
)
|
14,463,033
|
(850,179
|
)
|
19,220,921
|
236,116
|
||||||||||||||||
Futures
|
–
|
–
|
–
|
–
|
719,511
|
164,190
|
||||||||||||||||||
Options
|
840,776
|
(2,629,092
|
)
|
14,568,451
|
(399,567
|
)
|
–
|
–
|
||||||||||||||||
40,052,002
|
(11,712,809
|
)
|
29,031,484
|
(1,249,746
|
)
|
19,940,432
|
400,306
|
|||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
79,244,967
|
(10,176,569
|
)
|
5,421,377
|
(385,358
|
)
|
22,790,317
|
(3,710,556
|
)
|
|||||||||||||||
Options
|
2,387,854
|
(3,005,094
|
)
|
2,940,718
|
1,847,182
|
–
|
–
|
|||||||||||||||||
81,632,821
|
(13,181,663
|
)
|
8,362,095
|
1,461,824
|
22,790,317
|
(3,710,556
|
)
|
|||||||||||||||||
Total
|
$
|
146,523,902
|
$
|
(19,158,510
|
)
|
$
|
50,617,178
|
$
|
(1,937,631
|
)
|
$
|
61,988,515
|
$
|
(24,005,597
|
)
|
Graham Commodity
Strategies LLC
|
Graham Derivatives
Strategies LLC
|
Graham K4D
Trading Ltd.
|
||||||||||||||||||||||
Net realized
gain (loss)
|
Net increase
(decrease) in
unrealized
appreciation on
investments
|
Net realized
gain (loss)
|
Net increase
(decrease) in
unrealized
appreciation on
investments
|
Net realized
gain (loss)
|
Net increase
(decrease) in
unrealized
appreciation on
investments
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
18,712,905
|
$
|
(7,736,696
|
)
|
$
|
(2,124,210
|
)
|
$
|
–
|
$
|
83,791,454
|
$
|
(16,433,863
|
)
|
|||||||||
Options
|
933,353
|
678,687
|
(3,120,053
|
)
|
228,840
|
–
|
–
|
|||||||||||||||||
Swaps
|
(5,991,484
|
)
|
280,016
|
–
|
–
|
–
|
–
|
|||||||||||||||||
13,654,774
|
(6,777,993
|
)
|
(5,244,263
|
)
|
228,840
|
83,791,454
|
(16,433,863
|
)
|
||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
61,939,318
|
9,278,326
|
8,005,065
|
27,050
|
(3,128,971
|
)
|
342,464
|
|||||||||||||||||
Options
|
(1,175,824
|
)
|
1,716,474
|
12,939,033
|
940,367
|
–
|
–
|
|||||||||||||||||
60,763,494
|
10,994,800
|
20,944,098
|
967,417
|
(3,128,971
|
)
|
342,464
|
||||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
47,645,333
|
(239,825
|
)
|
25,392,433
|
(439,434
|
)
|
20,568,935
|
5,104,163
|
||||||||||||||||
Futures
|
–
|
–
|
–
|
–
|
997,796
|
270,315
|
||||||||||||||||||
Options
|
(2,049,906
|
)
|
879,404
|
14,913,899
|
(2,184,608
|
)
|
–
|
–
|
||||||||||||||||
45,595,427
|
639,579
|
40,306,332
|
(2,624,042
|
)
|
21,566,731
|
5,374,478
|
||||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
165,935,704
|
(8,521,654
|
)
|
20,341,471
|
18,812
|
13,572,200
|
2,976,582
|
|||||||||||||||||
Options
|
5,231,290
|
(1,181,408
|
)
|
12,801,645
|
2,296,048
|
–
|
–
|
|||||||||||||||||
171,166,994
|
(9,703,062
|
)
|
33,143,116
|
2,314,860
|
13,572,200
|
2,976,582
|
||||||||||||||||||
Total
|
$
|
291,180,689
|
$
|
(4,846,676
|
)
|
$
|
89,149,283
|
$
|
887,075
|
$
|
115,801,414
|
$
|
(7,740,339
|
)
|
Graham
Commodity
Strategies LLC
(Delaware)
|
Graham K4D
Trading Ltd.
(BVI)
|
|||||||
Assets:
|
||||||||
Due from brokers
|
$
|
54,219,749
|
$
|
46,687,074
|
||||
Derivative financial instruments, at fair value
|
10,252,299
|
5,746,495
|
||||||
Exchange memberships, at fair value
|
9,085,145
|
1,727,865
|
||||||
Dividends receivable
|
80,756
|
11,500
|
||||||
Interest receivable
|
1,197
|
293
|
||||||
Total assets
|
73,639,146
|
54,173,227
|
||||||
Liabilities:
|
||||||||
Derivative financial instruments, at fair value
|
280,016
|
3,448,896
|
||||||
Interest payable
|
11,382
|
17,478
|
||||||
Total liabilities
|
291,398
|
3,466,374
|
||||||
Members’ Capital / Net Assets
|
$
|
73,347,748
|
$
|
50,706,853
|
||||
Percentage of Master Fund held by GAIT
|
2.52
|
%
|
5.76
|
%
|
Description
|
Number of
Contracts
|
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)
|
$
|
9,085,145
|
12.39
|
%
|
||||||||
Total exchange memberships
|
$
|
9,085,145
|
12.39
|
%
|
||||||||
Derivative financial instruments
|
||||||||||||
Long contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
$
|
1,237,134
|
1.68
|
%
|
||||||||
Interest rate
|
(476,955
|
)
|
(0.65
|
)%
|
||||||||
U.S. bond
|
130,375
|
0.18
|
%
|
|||||||||
U.S. index
|
(1,226,851
|
)
|
(1.67
|
)%
|
||||||||
Total futures
|
(336,297
|
)
|
(0.46
|
)%
|
||||||||
Forwards
|
||||||||||||
Foreign currency
|
1,113,521
|
1.52
|
%
|
|||||||||
Total forwards
|
1,113,521
|
1.52
|
%
|
|||||||||
Options (cost $26,424,623)
|
||||||||||||
Commodity futures
|
1,442,372
|
1.97
|
%
|
|||||||||
Currency futures
|
3,844,021
|
5.24
|
%
|
|||||||||
Foreign bond futures
|
272,025
|
0.37
|
%
|
|||||||||
Interest rate futures
|
||||||||||||
IMM Euro September 2022 - December 2022, $99.63 - $99.75 Call
|
3
|
1,073,538
|
1.46
|
%
|
||||||||
IMM Euro December 2022, $98.25 - $98.88 Put
|
3
|
5,652,300
|
7.71
|
%
|
||||||||
Other interest rate futures
|
(252,463
|
)
|
(0.35
|
)%
|
||||||||
U.S. bond futures
|
796,750
|
1.09
|
%
|
|||||||||
U.S. index futures
|
1,249,360
|
1.70
|
%
|
|||||||||
Total options
|
14,077,903
|
19.19
|
%
|
|||||||||
Swaps
|
||||||||||||
Commodity
|
(280,016
|
)
|
(0.38
|
)%
|
||||||||
Total swaps
|
(280,016
|
)
|
(0.38
|
)%
|
Description
|
Number of
Contracts
|
Fair Value
|
Percentage
of Members’
Capital
|
|||||||||
Graham Commodity Strategies LLC (continued)
|
||||||||||||
Derivative financial instruments (continued)
|
||||||||||||
Short contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
$
|
(16,800
|
)
|
(0.02
|
)%
|
|||||||
Foreign bond
|
5,234,595
|
7.13
|
%
|
|||||||||
Foreign index
|
(2,318,737
|
)
|
(3.16
|
)%
|
||||||||
Interest rate
|
901,827
|
1.23
|
%
|
|||||||||
U.S. bond
|
746,453
|
1.02
|
%
|
|||||||||
U.S. index
|
(6,680
|
)
|
(0.01
|
)%
|
||||||||
Total futures
|
4,540,658
|
6.19
|
%
|
|||||||||
Forwards
|
||||||||||||
Foreign currency
|
70,145
|
0.10
|
%
|
|||||||||
Total forwards
|
70,145
|
0.10
|
%
|
|||||||||
Options (proceeds $16,986,308)
|
||||||||||||
Commodity futures
|
(708,089
|
)
|
(0.97
|
)%
|
||||||||
Currency futures
|
(722,252
|
)
|
(0.98
|
)%
|
||||||||
Foreign bond futures
|
(28,061
|
)
|
(0.04
|
)%
|
||||||||
Interest rate futures
|
||||||||||||
IMM Euro September 2022 - December 2022, $99.50 - $99.88 Call
|
3
|
(1,296,569
|
)
|
(1.77
|
)%
|
|||||||
IMM Euro December 2022, $98.50 - $98.63 Put
|
2
|
(4,705,788
|
)
|
(6.42
|
)%
|
|||||||
Other interest rate futures
|
(24,356
|
)
|
(0.03
|
)%
|
||||||||
U.S. bond futures
|
(1,344,516
|
)
|
(1.83
|
)%
|
||||||||
U.S. index futures
|
(384,000
|
)
|
(0.52
|
)%
|
||||||||
Total options
|
(9,213,631
|
)
|
(12.56
|
)%
|
||||||||
Total derivative financial instruments
|
$
|
9,972,283
|
13.60
|
%
|
Description
|
Fair Value
|
Percentage of
Net Assets
|
|||||||
Graham K4D Trading Ltd.
|
|||||||||
Exchange memberships (cost $1,924,208)
|
|||||||||
United States (cost $1,924,208)
|
|||||||||
Financial services (cost $1,924,208)
|
$
|
1,727,865
|
3.41
|
%
|
|||||
Total exchange memberships
|
$
|
1,727,865
|
3.41
|
%
|
|||||
Derivative financial instruments
|
|||||||||
Long contracts
|
|||||||||
Futures
|
|||||||||
Commodity
|
$
|
6,111,606
|
12.05
|
%
|
|||||
Currency
|
(70,744
|
)
|
(0.14
|
)%
|
|||||
Foreign bond
|
(1,394,892
|
)
|
(2.75
|
)%
|
|||||
Foreign index
|
516,782
|
1.02
|
%
|
||||||
Interest rate
|
(2,126
|
)
|
(0.00
|
)%
|
|||||
U.S. bond
|
(444,578
|
)
|
(0.88
|
)%
|
|||||
U.S. index
|
2,296,230
|
4.53
|
%
|
||||||
Total futures
|
7,012,278
|
13.83
|
%
|
||||||
Forwards
|
|||||||||
Foreign currency
|
1,328,234
|
2.62
|
%
|
||||||
Total forwards
|
1,328,234
|
2.62
|
%
|
Short contracts
|
||||||||
Futures
|
||||||||
Commodity
|
(1,456,810
|
)
|
(2.87
|
)%
|
||||
Currency
|
(5,907
|
)
|
(0.01
|
)%
|
||||
Foreign bond
|
(111
|
)
|
(0.00
|
)%
|
||||
Foreign index
|
(2,140,421
|
)
|
(4.22
|
)%
|
||||
Interest rate
|
1,816,526
|
3.57
|
%
|
|||||
U.S. bond
|
(1,031
|
)
|
(0.00
|
)%
|
||||
U.S. index
|
(584,485
|
)
|
(1.15
|
)%
|
||||
Total futures
|
(2,372,239
|
)
|
(4.68
|
)%
|
||||
Forwards
|
||||||||
Foreign currency
|
(3,670,674
|
)
|
(7.24
|
)%
|
||||
Total forwards
|
(3,670,674
|
)
|
(7.24
|
)%
|
||||
Total derivative financial instruments
|
$
|
2,297,599
|
4.53
|
%
|
Graham
Commodity
Strategies LLC
|
Graham K4D
Trading Ltd.
|
|||||||
Assets
|
||||||||
Level 1:
|
||||||||
Commodity futures
|
$
|
4,113,190
|
$
|
7,152,836
|
||||
Commodity futures options
|
1,442,372
|
–
|
||||||
Currency futures
|
–
|
12,605
|
||||||
Exchange memberships*
|
9,085,145
|
1,727,865
|
||||||
Foreign bond futures
|
5,234,595
|
1,102,214
|
||||||
Foreign bond futures options
|
272,025
|
–
|
||||||
Foreign index futures
|
–
|
516,782
|
||||||
Interest rate futures
|
901,826
|
1,821,016
|
||||||
Interest rate futures options
|
9,001,768
|
–
|
||||||
U.S. bond futures
|
1,114,625
|
11,938
|
||||||
U.S. bond future options
|
796,750
|
–
|
||||||
U.S. index futures
|
1,190,740
|
2,296,230
|
||||||
U.S. index futures options
|
1,249,360
|
–
|
||||||
Total Level 1
|
34,402,396
|
14,641,486
|
||||||
Level 2:
|
||||||||
Foreign currency forwards
|
3,203,077
|
3,484,404
|
||||||
Foreign currency options
|
3,844,020
|
–
|
||||||
Total Level 2
|
7,047,097
|
3,484,404
|
||||||
Total investment related assets
|
$
|
41,449,493
|
$
|
18,125,890
|
||||
Liabilities
|
||||||||
Level 1:
|
||||||||
Commodity futures
|
$
|
(2,892,856
|
)
|
$
|
(2,498,040
|
)
|
||
Commodity futures options
|
(708,089
|
)
|
–
|
|||||
Currency futures
|
–
|
(89,256
|
)
|
|||||
Foreign bond futures
|
–
|
(2,497,217
|
)
|
|||||
Foreign bond futures options
|
(28,061
|
)
|
–
|
|||||
Foreign index futures
|
(2,318,737
|
)
|
(2,140,421
|
)
|
||||
Interest rate futures
|
(476,954
|
)
|
(6,616
|
)
|
||||
Interest rate futures options
|
(8,555,106
|
)
|
–
|
|||||
U.S. bond futures
|
(237,797
|
)
|
(457,547
|
)
|
||||
U.S. bond future options
|
(1,344,516
|
)
|
–
|
|||||
U.S. index futures
|
(2,424,271
|
)
|
(584,485
|
)
|
||||
U.S. index futures options
|
(384,000
|
)
|
–
|
|||||
Total Level 1
|
(19,370,387
|
)
|
(8,273,582
|
)
|
||||
Level 2:
|
||||||||
Commodity swaps
|
(280,016
|
)
|
–
|
|||||
Foreign currency forwards
|
(2,019,411
|
)
|
(5,826,844
|
)
|
||||
Foreign currency options
|
(722,251
|
)
|
–
|
|||||
Total Level 2
|
(3,021,678
|
)
|
(5,826,844
|
)
|
||||
Total investment related liabilities
|
$
|
(22,392,065
|
)
|
$
|
(14,100,426
|
)
|
Long exposure
|
Short exposure
|
|||||||||||||||||||||||
Notional
amounts
|
Number
of
contracts
|
Notional
amounts
|
Number
of
contracts
|
Derivative
assets
|
Derivative
liabilities
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
160,157,100
|
2,478
|
$
|
(17,824,150
|
)
|
(294
|
)
|
$
|
4,113,190
|
$
|
(2,892,856
|
)
|
|||||||||||
Options (a)
|
51,917,266
|
2,529
|
(25,606,504
|
)
|
(2,187
|
)
|
1,442,372
|
(708,089
|
)
|
|||||||||||||||
Swaps
|
74,719,984
|
400,930
|
-
|
-
|
-
|
(280,016
|
)
|
|||||||||||||||||
286,794,350
|
405,937
|
(43,430,654
|
)
|
(2,481
|
)
|
5,555,562
|
(3,880,961
|
)
|
||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
189,776,655
|
1,808
|
(142,021,171
|
)
|
(1,378
|
)
|
1,190,740
|
(4,743,008
|
)
|
|||||||||||||||
Options (a)
|
87,618,175
|
2,939
|
(28,825,458
|
)
|
(2,194
|
)
|
1,249,360
|
(384,000
|
)
|
|||||||||||||||
277,394,830
|
4,747
|
(170,846,629
|
)
|
(3,572
|
)
|
2,440,100
|
(5,127,008
|
)
|
||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
1,008,305,622
|
N/A
|
(818,213,619
|
)
|
N/A
|
3,203,077
|
(2,019,411
|
)
|
||||||||||||||||
Options (a)
|
587,964,589
|
27
|
(523,304,530
|
)
|
(37
|
)
|
3,844,020
|
(722,251
|
)
|
|||||||||||||||
1,596,270,211
|
27
|
(1,341,518,149
|
)
|
(37
|
)
|
7,047,097
|
(2,741,662
|
)
|
||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
2,879,608,916
|
11,873
|
(6,021,325,916
|
)
|
(33,248
|
)
|
7,251,046
|
(714,751
|
)
|
|||||||||||||||
Options (a)
|
1,499,806,595
|
40,301
|
(1,722,139,616
|
)
|
(41,722
|
)
|
10,070,543
|
(9,927,683
|
)
|
|||||||||||||||
4,379,415,511
|
52,174
|
(7,743,465,532
|
)
|
(74,970
|
)
|
17,321,589
|
(10,642,434
|
)
|
||||||||||||||||
Total
|
$
|
6,539,874,902
|
462,885
|
$
|
(9,299,260,964
|
)
|
(81,060
|
)
|
$
|
32,364,348
|
$
|
(22,392,065
|
)
|
(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
|
$
|
229,290,080
|
3,427
|
$
|
(87,412,380
|
)
|
(780
|
)
|
$
|
7,152,836
|
$
|
(2,498,040
|
)
|
|||||||||||
229,290,080
|
3,427
|
(87,412,380
|
)
|
(780
|
)
|
7,152,836
|
(2,498,040
|
)
|
||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
253,211,004
|
1,455
|
(50,035,289
|
)
|
(380
|
)
|
2,813,012
|
(2,724,906
|
)
|
|||||||||||||||
253,211,004
|
1,455
|
(50,035,289
|
)
|
(380
|
)
|
2,813,012
|
(2,724,906
|
)
|
||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
197,256,363
|
N/A
|
(550,659,993
|
)
|
N/A
|
3,484,404
|
(5,826,844
|
)
|
||||||||||||||||
Futures
|
6,531,283
|
66
|
(8,079,620
|
)
|
(87
|
)
|
12,605
|
(89,256
|
)
|
|||||||||||||||
203,787,646
|
66
|
(558,739,613
|
)
|
(87
|
)
|
3,497,009
|
(5,916,100
|
)
|
||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
1,521,988,805
|
7,496
|
(545,462,419
|
)
|
(3,036
|
)
|
2,935,168
|
(2,961,380
|
)
|
|||||||||||||||
1,521,988,805
|
7,496
|
(545,462,419
|
)
|
(3,036
|
)
|
2,935,168
|
(2,961,380
|
)
|
||||||||||||||||
Total
|
$
|
2,208,277,535
|
12,444
|
$
|
(1,241,649,701
|
)
|
(4,283
|
)
|
$
|
16,398,025
|
$
|
(14,100,426
|
)
|
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
|
$
|
32,364,348
|
$
|
(22,112,049
|
)
|
$
|
10,252,299
|
$
|
–
|
$
|
10,252,299
|
|||||||||
Derivative liabilities
|
$
|
(22,392,065
|
)
|
$
|
22,112,049
|
$
|
(280,016
|
)
|
$
|
280,016
|
$
|
–
|
||||||||
Graham K4D Trading Ltd.2
|
||||||||||||||||||||
Derivative assets
|
$
|
16,398,025
|
$
|
(10,651,530
|
)
|
$
|
5,746,495
|
$
|
–
|
$
|
5,746,495
|
|||||||||
Derivative liabilities
|
$
|
(14,100,426
|
)
|
$
|
10,651,530
|
$
|
(3,448,896
|
)
|
$
|
3,448,896
|
$
|
–
|
||||||||
Graham
Commodity
Strategies LLC
|
Graham K4D
Trading Ltd.
|
|||||||
Net investment loss
|
$
|
(23,520
|
)
|
$
|
(93
|
)
|
||
Net realized gain on investments
|
11,119,651
|
14,394,114
|
||||||
Net decrease in unrealized appreciation on investments
|
(8,703,090
|
)
|
(1,099,277
|
)
|
||||
Brokerage commissions and fees
|
(1,353,248
|
)
|
(76,167
|
)
|
||||
Net gain on investments
|
1,063,313
|
13,218,670
|
||||||
Net income
|
$
|
1,039,793
|
$
|
13,218,577
|
Graham
Commodity
Strategies LLC
|
Graham K4D
Trading Ltd.
|
|||||||
Net investment loss
|
$
|
(25,735
|
)
|
$
|
(1,987
|
)
|
||
Net realized gain on investments
|
150,012,835
|
32,160,225
|
||||||
Net increase (decrease) in unrealized appreciation on investments
|
1,103,534
|
(16,682,537
|
)
|
|||||
Brokerage commissions and fees
|
(2,528,183
|
)
|
(145,603
|
)
|
||||
Net gain on investments
|
148,588,186
|
15,332,085
|
||||||
Net income
|
$
|
148,562,451
|
$
|
15,330,098
|
Graham Commodity
Strategies LLC
|
Graham K4D
Trading Ltd.
|
|||||||||||||||
Net realized
gain (loss)
|
Net increase
(decrease) in
unrealized
appreciation on
investments
|
Net realized
gain (loss)
|
Net increase
(decrease) in
unrealized
appreciation on
investments
|
|||||||||||||
Commodity price
|
||||||||||||||||
Futures
|
$
|
24,544,523
|
$
|
4,591,827
|
$
|
15,201,247
|
$
|
2,919,023
|
||||||||
Options
|
2,564,635
|
573,766
|
–
|
–
|
||||||||||||
27,109,158
|
5,165,593
|
15,201,247
|
2,919,023
|
|||||||||||||
Equity price
|
||||||||||||||||
Futures
|
16,579,751
|
3,174,872
|
8,639,313
|
623,449
|
||||||||||||
Options
|
344,493
|
539,230
|
–
|
–
|
||||||||||||
16,924,244
|
3,714,102
|
8,639,313
|
623,449
|
|||||||||||||
Foreign currency exchange rate
|
||||||||||||||||
Forwards
|
4,677,541
|
3,404,408
|
(1,319,772
|
)
|
(2,632,153
|
)
|
||||||||||
Futures
|
–
|
–
|
(249,772
|
)
|
8,936
|
|||||||||||
Options
|
(10,066,430
|
)
|
(6,034,713
|
)
|
–
|
–
|
||||||||||
(5,388,889
|
)
|
(2,630,305
|
)
|
(1,569,544
|
)
|
(2,623,217
|
)
|
|||||||||
Interest rate
|
||||||||||||||||
Futures
|
(24,630,424
|
)
|
(13,535,102
|
)
|
(7,888,024
|
)
|
(2,110,930
|
)
|
||||||||
Options
|
(2,894,438
|
)
|
(1,819,078
|
)
|
–
|
–
|
||||||||||
(27,524,862
|
)
|
(15,354,180
|
)
|
(7,888,024
|
)
|
(2,110,930
|
)
|
|||||||||
Total
|
$
|
11,119,651
|
$
|
(9,104,790
|
)
|
$
|
14,382,992
|
$
|
(1,191,675
|
)
|
Graham Commodity
Strategies LLC
|
Graham K4D
Trading Ltd.
|
|||||||||||||||
Net realized
gain (loss)
|
Net increase
(decrease) in
unrealized
appreciation on
investments
|
Net realized
gain (loss)
|
Net increase
(decrease) in
unrealized
appreciation on
investments
|
|||||||||||||
Commodity price
|
||||||||||||||||
Futures
|
$
|
27,047,849
|
$
|
(1,603,679
|
)
|
$
|
33,817,504
|
$
|
(10,585,872
|
)
|
||||||
Options
|
1,262,773
|
1,584,082
|
–
|
–
|
||||||||||||
28,310,622
|
(19,597
|
)
|
33,817,504
|
(10,585,872
|
)
|
|||||||||||
Equity price
|
||||||||||||||||
Futures
|
44,359,815
|
2,219,966
|
22,769,046
|
(5,015,644
|
)
|
|||||||||||
Options
|
(1,794,848
|
)
|
2,232,548
|
–
|
–
|
|||||||||||
42,564,967
|
4,452,514
|
22,769,046
|
(5,015,644
|
)
|
||||||||||||
Foreign currency exchange rate
|
||||||||||||||||
Forwards
|
12,925,684
|
2,022,536
|
(5,233,937
|
)
|
2,873,842
|
|||||||||||
Futures
|
–
|
–
|
(329,180
|
)
|
(162,772
|
)
|
||||||||||
Options
|
(5,502,775
|
)
|
(8,298,226
|
)
|
–
|
–
|
||||||||||
7,422,909
|
(6,275,690
|
)
|
(5,563,117
|
)
|
2,711,070
|
|||||||||||
Interest rate
|
||||||||||||||||
Futures
|
71,741,178
|
(5,848,672
|
)
|
(18,906,279
|
)
|
(3,961,811
|
)
|
|||||||||
Options
|
6,384,997
|
1,133,668
|
–
|
–
|
||||||||||||
78,126,175
|
(4,715,004
|
)
|
(18,906,279
|
)
|
(3,961,811
|
)
|
||||||||||
Total
|
$
|
156,424,673
|
$
|
(6,557,777
|
)
|
$
|
32,117,154
|
$
|
(16,852,257
|
)
|
June 30, 2022
|
December 31, 2021
|
|||||||
Assets:
|
||||||||
Cash and cash equivalents
|
$
|
480,639,815
|
$
|
782,211,779
|
||||
Investments in fixed income securities (amortized cost $6,286,250,514 and $5,216,759,460, respectively)
|
6,286,250,514
|
5,216,759,460
|
||||||
Interest receivable
|
9,420,562
|
14,020,531
|
||||||
Total assets
|
6,776,310,891
|
6,012,991,770
|
||||||
Liabilities:
|
||||||||
Due to broker
|
12,833
|
13,258
|
||||||
Total liabilities
|
12,833
|
13,258
|
||||||
Members’ capital
|
$
|
6,776,298,058
|
$
|
6,012,978,512
|
Three Months Ended
June 30,
|
Six Months Ended
June 30,
|
|||||||||||||||
2022
|
2021
|
2022
|
2021
|
|||||||||||||
Investment income
|
||||||||||||||||
Interest income
|
9,277,846
|
1,127,838
|
12,187,141
|
3,574,995
|
||||||||||||
Total investment income
|
9,277,846
|
1,127,838
|
12,187,141
|
3,574,995
|
||||||||||||
Expenses:
|
||||||||||||||||
Bank fee expense
|
73,884
|
50,692
|
168,443
|
103,106
|
||||||||||||
Total expenses
|
73,884
|
50,692
|
168,443
|
103,106
|
||||||||||||
Net investment income
|
9,203,962
|
1,077,146
|
12,018,698
|
3,471,889
|
||||||||||||
Net income
|
$
|
9,203,962
|
$
|
1,077,146
|
$
|
12,018,698
|
$
|
3,471,889
|
Description
|
Principal
Amount
|
Fair Value
|
Percentage of
Members’
Capital
|
|||||||||
Investments in Fixed Income Securities
(amortized cost $6,286,250,514)
|
||||||||||||
United States
|
||||||||||||
Government Bonds (amortized cost $5,911,478,293)
|
||||||||||||
U.S. Treasury bonds 0.13% - 1.88% due 7/15/2022 – 12/31/2023
|
$
|
5,950,000,000
|
$
|
5,911,478,293
|
87.24%
|
|
||||||
Total Government Bonds
|
5,911,478,293
|
87.24%
|
|
|||||||||
Treasury Bills (amortized cost $374,772,221)
|
||||||||||||
U.S. Treasury bill 0.00% due 7/07/2022 – 8/25/2022
|
375,000,000
|
374,772,221
|
5.53%
|
|
||||||||
Total Treasury Bills
|
374,772,221
|
5.53%
|
|
|||||||||
Total United States
|
6,286,250,514
|
92.77%
|
|
|||||||||
Total Investments in Fixed Income Securities
|
$
|
6,286,250,514
|
92.77%
|
|
Description
|
Principal
Amount
|
Fair Value
|
Percentage of
Members’
Capital
|
|||||||||
Investments in Fixed Income Securities (amortized cost $5,216,759,460)
|
||||||||||||
United States
|
||||||||||||
Government Bonds (amortized cost $4,816,763,885)
|
||||||||||||
U.S. Treasury bonds 0.13% – 2.50% due 01/15/2022 – 05/31/2023
|
$
|
4,800,000,000
|
$
|
4,816,763,885
|
80.11%
|
|
||||||
Total Government Bonds
|
4,816,763,885
|
80.11%
|
|
|||||||||
Treasury Bills (amortized cost $399,995,575)
|
||||||||||||
U.S Treasury bills 0.00% due 01/20/2022 – 02/03/2022
|
400,000,000
|
399,995,575
|
6.65%
|
|
||||||||
Total Treasury Bills
|
399,995,575
|
6.65%
|
|
|||||||||
Total United States
|
5,216,759,460
|
86.76%
|
|
|||||||||
Total Investments in Fixed Income Securities
|
$
|
5,216,759,460
|
86.76%
|
|
June 30, 2022
|
December 31, 2021
|
|||||||
Assets
|
||||||||
Level 2:
|
||||||||
Fixed income securities
|
||||||||
Government bonds
|
$
|
5,911,478,293
|
$
|
4,816,763,885
|
||||
Treasury bills
|
374,772,221
|
399,995,575
|
||||||
Total fixed income securities
|
6,286,250,514
|
5,216,759,460
|
||||||
Total Level 2
|
6,286,250,514
|
5,216,759,460
|
||||||
Total assets
|
$
|
6,286,250,514
|
$
|
5,216,759,460
|
Class 0
|
Class 2
|
0.50%
|
1.25%
|
Class 0
|
Class 2
|
|||||||
Per unit operating performance
|
||||||||
Net asset value per Unit, March 31, 2021
|
$
|
181.44
|
$
|
130.05
|
||||
Net income:
|
||||||||
Net investment loss
|
(1.80
|
)
|
(1.54
|
)
|
||||
Net gain on investments
|
3.80
|
2.77
|
||||||
Net income
|
2.00
|
1.23
|
||||||
Net asset value per Unit, June 30, 2021
|
$
|
183.44
|
$
|
131.28
|
||||
Net asset value per Unit, March 31, 2022
|
$
|
200.75
|
$
|
143.02
|
||||
Net income:
|
||||||||
Net investment loss
|
(5.66
|
)
|
(4.19
|
)
|
||||
Net gain on investments
|
22.87
|
16.22
|
||||||
Net income
|
17.21
|
12.03
|
||||||
Net asset value per Unit, June 30, 2022
|
$
|
217.96
|
$
|
155.05
|
Class 0
|
Class 2
|
||||||||||||||||
2022
|
2021
|
2022
|
2021
|
||||||||||||||
Total return before Incentive Allocation
|
10.84
|
%
|
1.38
|
%
|
10.52
|
%
|
1.22
|
% |
|
||||||||
Incentive Allocation
|
(2.28
|
)
|
(0.28
|
)
|
(2.11
|
)
|
(0.27
|
) |
|
||||||||
Total return after Incentive Allocation
|
8.56
|
%
|
1.10
|
%
|
8.41
|
%
|
0.95
|
% |
|
||||||||
Net investment loss before Incentive Allocation
|
(0.61
|
)%
|
(0.70
|
)%
|
(0.79
|
)%
|
(0.90
|
)% |
|
||||||||
Incentive Allocation
|
(2.09
|
)
|
(0.28
|
)
|
(2.01
|
)
|
(0.27
|
) |
|
||||||||
Net investment loss after Incentive Allocation
|
(2.70
|
)%
|
(0.98
|
)%
|
(2.80
|
)%
|
(1.17
|
)% |
|
||||||||
Total expenses before Incentive Allocation
|
0.74
|
%
|
0.72
|
%
|
0.92
|
%
|
0.91
|
% |
|
||||||||
Incentive Allocation
|
2.09
|
0.28
|
2.01
|
0.27
|
|||||||||||||
Total expenses after Incentive Allocation
|
2.83
|
%
|
1.00
|
%
|
2.93
|
%
|
1.18
|
% |
|
Class 0
|
Class 2
|
|||||||
Per unit operating performance
|
||||||||
Net asset value per Unit, December 31, 2020
|
$
|
173.06
|
$
|
124.23
|
||||
Net income:
|
||||||||
Net investment loss
|
(4.90
|
)
|
(3.96
|
)
|
||||
Net gain on investments
|
15.28
|
11.01
|
||||||
Net income
|
10.38
|
7.05
|
||||||
Net asset value per Unit, June 30, 2021
|
$
|
183.44
|
$
|
131.28
|
||||
Net asset value per Unit, December 31, 2021
|
$
|
176.27
|
$
|
125.68
|
||||
Net income:
|
||||||||
Net investment loss
|
(11.20
|
)
|
(8.23
|
)
|
||||
Net gain on investments
|
52.89
|
37.60
|
||||||
Net income
|
41.69
|
29.37
|
||||||
Net asset value per Unit, June 30, 2022
|
$
|
217.96
|
$
|
155.05
|
Class 0
|
Class 2
|
||||||||||||||||
2022
|
2021
|
2022
|
2021
|
||||||||||||||
Total return before Incentive Allocation
|
28.88
|
%
|
7.55
|
%
|
28.10
|
%
|
7.23
|
% |
|
||||||||
Incentive Allocation
|
(5.23
|
)
|
(1.55
|
)
|
(4.73
|
)
|
(1.56
|
) |
|
||||||||
Total return after Incentive Allocation
|
23.65
|
%
|
6.00
|
%
|
23.37
|
%
|
5.67
|
% |
|
||||||||
Net investment loss before Incentive Allocation
|
(1.24
|
)%
|
(1.27
|
)%
|
(1.61
|
)%
|
(1.65
|
)% |
|
||||||||
Incentive Allocation
|
(4.39
|
)
|
(1.46
|
)
|
(4.18
|
)
|
(1.43
|
) |
|
||||||||
Net investment loss after Incentive Allocation
|
(5.63
|
)%
|
(2.73
|
)%
|
(5.79
|
)%
|
(3.08
|
)% |
|
||||||||
Total expenses before Incentive Allocation
|
1.41
|
%
|
1.32
|
%
|
1.78
|
%
|
1.71
|
% |
|
||||||||
Incentive Allocation
|
4.39
|
1.46
|
4.18
|
1.43
|
|||||||||||||
Total expenses after Incentive Allocation
|
5.80
|
%
|
2.78
|
%
|
5.96
|
%
|
3.14
|
% |
|
Item 2. |
Management’s Discussion and Analysis of Financial Condition and Results of Operations
|
(a) |
Management’s Discussion and Analysis of Financial Condition and Results of Operations
|
(i)
|
Results of Operations
|
Agriculture / Softs
|
$
|
(184,332
|
)
|
|
Base Metals
|
(8,417
|
)
|
||
Energy
|
396,493
|
|||
Equities
|
405,363
|
|||
Foreign Exchange
|
1,316,555
|
|||
Long Term / Intermediate Rates
|
1,367,628
|
|||
Precious Metals
|
(215,596
|
)
|
||
Short Term Rates
|
133,145
|
|||
$
|
3,210,839
|
Agriculture / Softs
|
$
|
72,223
|
||
Base Metals
|
112,908
|
|||
Commodity Mix
|
(63,403
|
)
|
||
Energy
|
2,020,102
|
|||
Equities
|
947,271
|
|||
Foreign Exchange
|
1,811,472
|
|||
Long Term / Intermediate Rates
|
2,202,447
|
|||
Precious Metals
|
(159,098
|
)
|
||
Short Term Rates
|
574,804
|
|||
$
|
7,518,726
|
Agriculture / Softs
|
11.6
|
%
|
||
Base Metals
|
3.7
|
%
|
||
Energy
|
71.8
|
%
|
||
Equities
|
59.9
|
%
|
||
Foreign Exchange
|
43.4
|
%
|
||
Long Term / Intermediate Rates
|
136.1
|
%
|
||
Precious Metals
|
(17.4
|
)%
|
||
Short Term Rates
|
(209.1
|
)%
|
||
100.0
|
%
|
Agriculture / Softs
|
$
|
467,878
|
||
Base Metals
|
197,499
|
|||
Energy
|
651,314
|
|||
Equities
|
758,761
|
|||
Foreign Exchange
|
(319,032
|
)
|
||
Long Term / Intermediate Rates
|
(1,165,956
|
)
|
||
Precious Metals
|
15,608
|
|||
Short Term Rates
|
87,859
|
|||
Weather
|
(17,667
|
)
|
||
$
|
676,264
|
Agriculture / Softs
|
$
|
580,375
|
||
Base Metals
|
364,732
|
|||
Energy
|
671,131
|
|||
Equities
|
1,476,560
|
|||
Foreign Exchange
|
(144,004
|
)
|
||
Long Term / Intermediate Rates
|
(289,391
|
)
|
||
Precious Metals
|
(166,653
|
)
|
||
Short Term Rates
|
143,514
|
|||
Weather
|
(28,930
|
)
|
||
$
|
2,607,334
|
Agriculture / Softs
|
8.7
|
%
|
||
Base Metals
|
(1.6
|
)%
|
||
Energy
|
12.3
|
%
|
||
Equities
|
35.2
|
%
|
||
Foreign Exchange
|
38.4
|
%
|
||
Long Term / Intermediate Rates
|
(30.5
|
)%
|
||
Precious Metals
|
0.9
|
%
|
||
Short Term Rates
|
36.6
|
%
|
||
100.0
|
%
|
Core Macro
Portfolio
|
|||||
June 30, 2022
|
6.53
|
% |
|
||
December 31, 2021
|
8.63
|
% |
|
||
June 30, 2021
|
13.26
|
% |
|
Item 3. |
Quantitative and Qualitative Disclosures about Market Risk
|
Item 4. |
Controls and Procedures
|
Item 1. |
Legal Proceedings
|
Item 1A. |
Risk Factors
|
Item 2. |
Unregistered Sales of Equity Securities and Use of Proceeds
|
Date
|
(a) Total
Number of
Units
Purchased1
|
(b) Average
Price Paid
per Unit
|
(c) Total Number of
Units Purchased as
Part of Publicly
Announced Plans
or Programs
|
(d) Maximum Number
of Approximate
Dollar Value of
Units that May Yet
Be Purchased
Under the Plans or
Programs
|
|||||||||||||||
April 1 – April 30, 2022
|
2,911.
|
409 |
|
$ 212.
|
41 |
N/A
|
N/A
|
||||||||||||
May 1 – May 31, 2022
|
907.
|
226 |
|
$ 211.
|
44 |
N/A
|
N/A
|
||||||||||||
June 1 – June 30, 2022
|
784.
|
430 |
|
$ 217.
|
96 |
N/A
|
N/A
|
||||||||||||
TOTAL
|
4,603.
|
065 |
|
$ 213.
|
17 |
N/A
|
N/A
|
Item 3. |
Defaults Upon Senior Securities – None
|
Item 4. |
Mine Safety Disclosures – None
|
Item 5. |
Other Information – None
|
Item 6. |
Exhibits
|
Certificate of Formation of Graham Alternative Investment Fund I LLC
|
|
Amendment to Certificate of Formation of Graham Alternative Investment Fund I LLC
|
|
Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC dated March 28, 2013
|
|
*** 3.2 (b) | Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC dated May 2, 2022 |
Rule 13a-14(a)/15d-14(a) Certification (Certification of Principal Executive Officer)
|
|
Rule 13a-14(a)/15d-14(a) Certification (Certification of Principal Financial Officer)
|
|
Section 1350 Certification (Certification of Principal Executive Officer and Principal Financial Officer)
|
|
† 101.INS
|
Inline XBRL Instance Document (the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document)
|
† 101.SCH
|
Inline XBRL Taxonomy Extension Schema Document
|
† 101.CAL
|
Inline XBRL Taxonomy Extension Calculation Linkbase Document
|
† 101.DEF
|
Inline XBRL Taxonomy Extension Definition Linkbase Document
|
† 101.LAB
|
Inline XBRL Taxonomy Extension Label Linkbase Document
|
† 101.PRE
|
XBRL Taxonomy Extension Presentation Linkbase Document
|
† 104
|
Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101)
|
*
|
Incorporated by reference to the Fund’s Form 10 previously filed on April 30, 2010
|
**
|
Incorporated by reference to the Fund’s Form 8-K previously filed on April 11, 2013
|
***
|
Incorporated by reference to the Fund’s Form 8-K previously filed on May 10, 2022
|
†
|
Filed herewith
|
Dated: August 15, 2022
|
GRAHAM ALTERNATIVE INVESTMENT FUND I LLC
CORE MACRO PORTFOLIO
|
||
By: | GRAHAM CAPITAL MANAGEMENT, L.P. | ||
its Manager
|
By: /s/ Brian Douglas
|
Brian Douglas, Principal Executive Officer
|
By: /s/ George Schrade
|
George Schrade, Principal Financial Officer
|
(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 Quarterly Report on Form 10-Q of Graham Alternative Investment Fund I LLC Core Macro Portfolio (the “registrant”) for the period ended June 30, 2022 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.
|
Statements of Financial Condition - USD ($) |
Jun. 30, 2022 |
Dec. 31, 2021 |
---|---|---|
Assets | ||
Investment in Graham Alternative Investment Trading LLC, at fair value | $ 29,711,303 | $ 25,597,490 |
Redemptions receivable from Graham Alternative Investment Trading LLC | 170,976 | 253,800 |
Total assets | 29,882,279 | 25,851,290 |
Liabilities: | ||
Redemptions payable | 170,976 | 253,800 |
Total liabilities | 170,976 | 253,800 |
Members' capital: | ||
Members' capital | 29,711,303 | 25,597,490 |
Total liabilities and members' capital | 29,882,279 | 25,851,290 |
Class 0 Units [Member] | ||
Members' capital: | ||
Members' capital | 16,602,091 | 14,734,016 |
Class 2 Units [Member] | ||
Members' capital: | ||
Members' capital | $ 13,109,212 | $ 10,863,474 |
Statements of Financial Condition (Parenthetical) |
Jun. 30, 2022
$ / shares
shares
|
Dec. 31, 2021
$ / shares
shares
|
---|---|---|
Class 0 Units [Member] | ||
Members' capital: | ||
Capital units, issued (in units) | 76,169.919 | 83,586.118 |
Capital units, outstanding (in units) | 76,169.919 | 83,586.118 |
Capital units, value (in dollars per unit) | $ / shares | 217.96 | 176.27 |
Class 2 Units [Member] | ||
Members' capital: | ||
Capital units, issued (in units) | 84,548.290 | 86,438.110 |
Capital units, outstanding (in units) | 84,548.290 | 86,438.110 |
Capital units, value (in dollars per unit) | $ / shares | 155.05 | 125.68 |
Unaudited Statements of Operations - USD ($) |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2022 |
Jun. 30, 2021 |
Jun. 30, 2022 |
Jun. 30, 2021 |
|
Net gain allocated from investment in Graham Alternative Investment Trading LLC: | ||||
Net realized gain on investment | $ 4,320,243 | $ 737,956 | $ 7,974,186 | $ 3,221,748 |
Net decrease in unrealized appreciation on investment | (1,109,404) | (61,692) | (455,460) | (614,414) |
Brokerage commissions and fees | (29,839) | (22,532) | (52,656) | (40,862) |
Net gain allocated from investment in Graham Alternative Investment Trading LLC | 3,181,000 | 653,732 | 7,466,070 | 2,566,472 |
Investment income: | ||||
Interest income | 37,514 | 4,607 | 47,180 | 15,469 |
Expenses: | ||||
Incentive allocation | 596,349 | 84,181 | 1,198,354 | 429,807 |
Advisory fees | 112,856 | 113,681 | 215,874 | 223,602 |
Sponsor fees | 62,109 | 60,608 | 118,332 | 119,431 |
Professional fees | 49,325 | 51,834 | 81,453 | 69,623 |
Administrator's fee | 9,362 | 9,636 | 18,103 | 18,948 |
Interest expense | 1,581 | 1,681 | 3,184 | 3,375 |
Operating expenses | 1,538 | 0 | 1,538 | 0 |
Total expenses | 833,120 | 321,621 | 1,636,838 | 864,786 |
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC | (795,606) | (317,014) | (1,589,658) | (849,317) |
Net income | $ 2,385,394 | $ 336,718 | $ 5,876,412 | $ 1,717,155 |
Unaudited Statements of Changes in Members' Capital - USD ($) |
3 Months Ended | 6 Months Ended | ||||
---|---|---|---|---|---|---|
Jun. 30, 2022 |
Mar. 31, 2022 |
Jun. 30, 2021 |
Mar. 31, 2021 |
Jun. 30, 2022 |
Jun. 30, 2021 |
|
Increase (Decrease) in Partners' Capital [Roll Forward] | ||||||
Members' capital, beginning balance | $ 28,307,131 | $ 25,597,490 | $ 30,006,236 | $ 29,194,816 | $ 25,597,490 | $ 29,194,816 |
Subscriptions | 0 | 0 | 0 | 0 | ||
Redemptions | (981,222) | (781,377) | (1,849,508) | (569,017) | ||
Net income | 2,385,394 | 3,491,018 | 336,718 | 1,380,437 | 5,876,412 | 1,717,155 |
Members' capital, ending balance | 29,711,303 | 28,307,131 | 28,493,446 | 30,006,236 | 29,711,303 | 28,493,446 |
Class 0 Units [Member] | ||||||
Increase (Decrease) in Partners' Capital [Roll Forward] | ||||||
Members' capital, beginning balance | $ 16,214,908 | $ 14,734,016 | $ 17,893,287 | $ 17,458,496 | $ 14,734,016 | $ 17,458,496 |
Members' capital, beginning balance (in units) | 80,772.984 | 83,586.118 | 98,617.932 | 100,881.333 | 83,586.118 | 100,881.333 |
Subscriptions | $ 0 | $ 0 | $ 0 | $ 0 | ||
Subscriptions (in units) | 0 | 0 | 0 | 0 | ||
Redemptions | $ (981,222) | $ (531,377) | $ (949,508) | $ (397,412) | ||
Redemptions (in units) | (4,603.065) | (2,813.134) | (5,148.509) | (2,263.401) | ||
Net income | $ 1,368,405 | $ 2,012,269 | $ 201,873 | $ 832,203 | ||
Members' capital, ending balance | $ 16,602,091 | $ 16,214,908 | $ 17,145,652 | $ 17,893,287 | $ 16,602,091 | $ 17,145,652 |
Members' capital, ending balance (in units) | 76,169.919 | 80,772.984 | 93,469.423 | 98,617.932 | 76,169.919 | 93,469.423 |
Class 2 Units [Member] | ||||||
Increase (Decrease) in Partners' Capital [Roll Forward] | ||||||
Members' capital, beginning balance | $ 12,092,223 | $ 10,863,474 | $ 12,112,949 | $ 11,736,320 | $ 10,863,474 | $ 11,736,320 |
Members' capital, beginning balance (in units) | 84,548.290 | 86,438.110 | 93,140.816 | 94,473.834 | 86,438.110 | 94,473.834 |
Subscriptions | $ 0 | $ 0 | $ 0 | $ 0 | ||
Subscriptions (in units) | 0 | 0 | 0 | 0 | ||
Redemptions | $ 0 | $ (250,000) | $ (900,000) | $ (171,605) | ||
Redemptions (in units) | 0 | (1,889.820) | (6,702.706) | (1,333.018) | ||
Net income | $ 1,016,989 | $ 1,478,749 | $ 134,845 | $ 548,234 | ||
Members' capital, ending balance | $ 13,109,212 | $ 12,092,223 | $ 11,347,794 | $ 12,112,949 | $ 13,109,212 | $ 11,347,794 |
Members' capital, ending balance (in units) | 84,548.290 | 84,548.290 | 86,438.110 | 93,140.816 | 84,548.290 | 86,438.110 |
Unaudited Statements of Cash Flows - USD ($) |
3 Months Ended | 6 Months Ended | ||||
---|---|---|---|---|---|---|
Jun. 30, 2022 |
Mar. 31, 2022 |
Jun. 30, 2021 |
Mar. 31, 2021 |
Jun. 30, 2022 |
Jun. 30, 2021 |
|
Cash flows provided by operating activities | ||||||
Net income | $ 2,385,394 | $ 3,491,018 | $ 336,718 | $ 1,380,437 | $ 5,876,412 | $ 1,717,155 |
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||
Net (income) allocated from investment in Graham Alternative Investment Trading LLC | (5,876,412) | (1,717,155) | ||||
Proceeds from sale of investment in Graham Alternative Investment Trading LLC | 1,845,423 | 2,010,749 | ||||
Net cash provided by operating activities | 1,845,423 | 2,010,749 | ||||
Cash flows used in financing activities | ||||||
Subscriptions | 0 | 0 | ||||
Redemptions (net of redemptions payable) | (1,845,423) | (2,010,749) | ||||
Net cash used in financing activities | (1,845,423) | (2,010,749) | ||||
Net change in cash and cash equivalents | 0 | 0 | ||||
Cash and cash equivalents, beginning of period | $ 0 | $ 0 | 0 | 0 | ||
Cash and cash equivalents, end of period | $ 0 | $ 0 | $ 0 | $ 0 |
Organization and Business |
6 Months Ended |
---|---|
Jun. 30, 2022 | |
Organization and Business [Abstract] | |
Organization and Business |
1. Organization and Business
The Core Macro 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”). Effective May 2, 2022, the Fund name was changed from the Blended Strategies Portfolio to Core
Macro Portfolio.
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 Amended and Restated Limited Liability Company
Agreement (“LLC Agreement”) of the Fund.
The performance of the Fund is directly affected by the performance of GAIT; therefore, these 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 |
6 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2022 | ||||||||||
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 and Cash Assets at fair value based upon GAIT’s proportionate share of the Master Funds’ and Cash Assets’ reported net asset value. The Fund records its
proportionate share of GAIT’s investment income and loss, expenses, fees, and realized and unrealized gains and losses on a monthly basis and includes them in the 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 June 30, 2022 and December 31, 2021, the Fund owned 45.83%
and 46.20%, 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 six months ended June 30, 2022 or the year ended December 31, 2021 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 statements of financial
condition. Cash deposited with a bank is subject to credit risk. In the event of the bank's insolvency, recovery of the Fund's cash would be limited to account insurance or other protection afforded by such deposit, which could be substantially
less than the amount deposited. At June 30, 2022 and December 31, 2021, 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 June 30, 2022 and December 31, 2021, no accruals have been recorded by the Fund for indemnifications.
|
Capital Accounts |
6 Months Ended |
---|---|
Jun. 30, 2022 | |
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 may invest in other investment programs or combinations of investment programs managed by the
Manager.
A separate capital account is maintained for each member with respect to each member’s Class of Units. The initial balance of each Member’s capital account is equal to
the initial subscription to the Fund by such member with respect to the Class to which such capital account relates. Each Member’s capital account is increased by any additional subscription and decreased by any redemption by such member of Units
of such Class to which the capital account relates. All income and expenses of the Fund are allocated among the Members’ Capital accounts in proportion to the balance that each capital account bears to the balance of all capital as of the beginning
of such fiscal period.
Subscriptions
Units may be purchased at a price equal to the Net Asset Value per Unit of the relevant Class as of the immediately preceding Valuation Day, as defined in the LLC
Agreement. The minimum initial subscription from each investor in each Class is $10,000. Members may subscribe for additional Units in a
minimum amount of not less than $5,000. Any initial or additional cash received prior to or on June 30, 2022, if any, for Fund shares related to the subsequent period is
considered a subscription received in advance on June 30, 2022. The new subscription does not receive an allocation of income or expense from the Fund and is recorded as a liability on the statement of financial condition as subscriptions
received in advance.
Units are available for subscription as of the first business day of each month upon written notice of at least
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
business days’ prior written notice to the administrator. A partial redemption request for an amount less than
$10,000 will not be accepted, nor will a redemption request be accepted to the extent that it would result in an investor owning less
than $10,000. The redemption proceeds will normally be remitted within 15 business days after the Valuation Day, without interest for the period from the Valuation Day to the payment date. Redemptions paid after the end of a period, based upon
end-of-period share values, if any, are reflected as redemptions payable on the Statement of Financial Condition. |
Fees and Related Party Transactions |
6 Months Ended | ||||
---|---|---|---|---|---|
Jun. 30, 2022 | |||||
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 six months ended June 30, 2022 and 2021, the Advisory Fees allocated to the Fund
by each Class of GAIT totaled $215,874 and $223,602,
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 six months ended June 30, 2022 and 2021, the Sponsor Fees allocated to the Fund by each Class of GAIT totaled $118,332 and $119,431, 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 six months ended June 30, 2022 and 2021, Incentive Allocation of $1,198,354 and $429,807, 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 six months ended June 30, 2022 and 2021, 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 six months ended June 30, 2022
and 2021 were $18,103 and $18,948,
respectively.
Professional Fees
GAIT shall pay, or
reimburse the Manager, for expenses arising in connection with the Fund’s audit, tax and legal fees (“professional fees”). The total professional fees allocated to the Fund by GAIT for the six months ended June 30, 2022 and 2021 were $81,453 and $69,623, respectively.
Operating Expenses
In accordance with the LLC Agreement dated May 2, 2022, GAIT shall pay, or reimburse the Manager, for expenses arising in connection with the Fund’s
investments, operations and business (“operating expenses”). For the period from June 1, 2022 through June 30, 2022, GAIT reimbursed the Manager for operating expenses which were comprised of market data and
technology costs associated with its assets allocated to the various Master Funds. The total operating expenses allocated to the Fund by GAIT for the period from June 1, 2022 through June 30, 2022 was $1,538. There were no such expenses allocated to the Fund by
GAIT for the six months ended June 30, 2021.
|
Income Taxes |
6 Months Ended |
---|---|
Jun. 30, 2022 | |
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, Connecticut for state tax purposes and various international jurisdictions. The Manager has
evaluated the Fund’s tax positions for all open tax years under the respective statutes of limitations (generally three years in the U.S. but varying in non-U.S. jurisdictions) and has concluded that there are no significant tax positions
requiring recognition, measurement, or disclosure in the financial statements. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next
twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination. Any assessment for interest or penalties on taxes related to uncertain tax positions, when present, would be included in
interest and penalties on tax on the statements of operations. No such interest and/or penalties were assessed to the Fund for the six months ended June 30, 2022 and 2021.
|
Risk Factors |
6 Months Ended |
---|---|
Jun. 30, 2022 | |
Risk Factors [Abstract] | |
Risk Factors |
6. Risk Factors
Global economic,
political and market conditions may adversely affect the Fund’s operations. The current global financial market situation, as well as various social and political circumstances in the United States and around the world (including wars and other
forms of conflict, terrorist acts, security operations and catastrophic events such as fires, floods, earthquakes, tornadoes, hurricanes and global health epidemics), may contribute to increased market volatility and economic uncertainties or
deterioration in the United States and worldwide. For example, the outbreak of coronavirus, or COVID-19, in many countries continues to adversely impact global commercial activity and has contributed to significant volatility in financial markets.
The outbreak of COVID-19 and any continued volatility or economic downturn related to it may have a material adverse impact on Fund’s operations.
|
Financial Highlights |
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Jun. 30, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Highlights [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Highlights |
7. Financial Highlights
The following is the per Unit operating performance calculation for the three months ended June 30, 2022 and 2021:
The following represents ratios to average Members’ Capital and total return for the three months ended June 30, 2022 and 2021:
The following is the per Unit operating performance calculation for the six months ended June 30, 2022 and 2021:
The following represents ratios to average Members’ Capital and total return for the six months ended June 30, 2022 and 2021:
Total return is calculated for Class 0 and Class 2 Units taken as a whole. Total return is calculated as the change in total Members’ Capital adjusted for
subscriptions or redemptions during the period. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Sponsor Fees, Administrator’s Fees, and the Incentive
Allocation. 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 three and six
months ended June 30, 2022 and 2021 and are not annualized.
|
Subsequent Events |
6 Months Ended |
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Jun. 30, 2022 | |
Subsequent Events [Abstract] | |
Subsequent Events |
8. Subsequent Events
The Fund had no subscriptions and redemptions of
approximately $0.06 million from July 1, 2022 through August 15, 2022, the date through which subsequent events were evaluated by
management. These amounts have not been included in the financial statements.
|
Summary of Significant Accounting Policies (Policies) |
6 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2022 | ||||||||||
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 and Cash Assets at fair value based upon GAIT’s proportionate share of the Master Funds’ and Cash Assets’ reported net asset value. The Fund records its
proportionate share of GAIT’s investment income and loss, expenses, fees, and realized and unrealized gains and losses on a monthly basis and includes them in the 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 June 30, 2022 and December 31, 2021, the Fund owned 45.83%
and 46.20%, 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 six months ended June 30, 2022 or the year ended December 31, 2021 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 statements of financial
condition. Cash deposited with a bank is subject to credit risk. In the event of the bank's insolvency, recovery of the Fund's cash would be limited to account insurance or other protection afforded by such deposit, which could be substantially
less than the amount deposited. At June 30, 2022 and December 31, 2021, 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 June 30, 2022 and December 31, 2021, no accruals have been recorded by the Fund for indemnifications.
|
Fees and Related Party Transactions (Tables) |
6 Months Ended | ||||
---|---|---|---|---|---|
Jun. 30, 2022 | |||||
Fees and Related Party Transactions [Abstract] | |||||
Sponsor Fees | For the six months ended June 30, 2022 and 2021, the Sponsor Fees allocated to the Fund by each Class of GAIT totaled $118,332 and $119,431, respectively.
|
Financial Highlights (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Highlights [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unit Operating Performance |
The following is the per Unit operating performance calculation for the three months ended June 30, 2022 and 2021:
The following is the per Unit operating performance calculation for the six months ended June 30, 2022 and 2021:
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Ratios to Average Members' Capital and Total Return |
The following represents ratios to average Members’ Capital and total return for the three months ended June 30, 2022 and 2021:
The following represents ratios to average Members’ Capital and total return for the six months ended June 30, 2022 and 2021:
|
Summary of Significant Accounting Policies (Details) |
Jun. 30, 2022 |
Dec. 31, 2021 |
---|---|---|
Graham Alternative Investment Trading LLC [Member] | ||
Schedule of Equity Method Investments [Abstract] | ||
Ownership percentage | 45.83% | 46.20% |
Capital Accounts (Details) |
6 Months Ended |
---|---|
Jun. 30, 2022
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 ($) |
1 Months Ended | 3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|---|
Jun. 30, 2022 |
Jun. 30, 2022 |
Jun. 30, 2021 |
Jun. 30, 2022 |
Jun. 30, 2021 |
|
Advisory Fees [Abstract] | |||||
Advisory fees at annual rate of Members' Capital | 1.50% | ||||
Advisory fees | $ 112,856 | $ 113,681 | $ 215,874 | $ 223,602 | |
Sponsor Fees [Abstract] | |||||
Sponsor fees | 62,109 | 60,608 | $ 118,332 | 119,431 | |
Incentive Allocation [Abstract] | |||||
Percentage of incentive allocation | 20.00% | ||||
Incentive allocation | 596,349 | 84,181 | $ 1,198,354 | 429,807 | |
Administrator's fees [Abstract] | |||||
Administrator's fee | 9,362 | 9,636 | 18,103 | 18,948 | |
Professional Fees [Abstract] | |||||
Professional fees | 49,325 | 51,834 | 81,453 | 69,623 | |
Operating Expenses [Abstract] | |||||
Operating expenses | $ 1,538 | $ 1,538 | $ 0 | $ 1,538 | $ 0 |
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 Thousands |
1 Months Ended |
---|---|
Aug. 15, 2022
USD ($)
| |
Subsequent Event, Fund [Abstract] | |
Fund subscriptions | $ 0 |
Fund redemptions | $ 60 |
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