form10q.htm

Graham Alternative Investment Trading II LLC

Assets	June 30, 2011 (Unaudited)		December 31, 2010 (Audited)
Investment in Graham K4D Trading Ltd., at fair value	$	9,772,362	$	7,411,468
Investment in Graham Cash Assets LLC, at fair value		78,690,319		64,089,936
Commission reimbursements receivable		49,922		28,795
Total assets	$	88,512,603	$	71,530,199

Liabilities and members’ capital
Liabilities:
Accrued redemptions	$	1,681,085	$	1,393,281
Accrued brokerage fees		206,488		170,942
Accrued advisory fees		145,404		121,404
Accrued sponsor fees		72,702		60,702
Total liabilities		2,105,679		1,746,329

Members’ capital:
Class 0 Units (519,470.239 and 397,859.944 units issued and outstanding at $95.59 and $102.92 per unit, respectively)		49,658,741		40,945,899
Class 2 Units (400,220.039 and 288,630.496 units issued and outstanding at $91.69 and $99.72 per unit, respectively)		36,696,031		28,783,191
Class M Units (500.000 and 500.000 units issued and outstanding at $104.30 and $109.56 per unit, respectively)		52,152		54,780
Total members’ capital		86,406,924		69,783,870
Total liabilities and members’ capital	$	88,512,603	$	71,530,199

See accompanying notes.

Index

Graham Alternative Investment Trading II LLC

Statements of Operations and Managing Member Allocation

	Three Months Ended June 30,						Six Months Ended June 30,
	2011 (Unaudited)			2010 (Unaudited)			2011 (Unaudited)			2010 (Unaudited)
Net (loss) gain allocated from investment in Graham K4D Trading Ltd.:
Net realized (loss) gain on investments	$	(696,018	)	$	1,981,644		$	(2,452,096	)	$	(138,593	)
Net decrease in unrealized appreciation on investments		(2,444,950	)		(1,771,166	)		(2,142,861	)		(561,450	)
Brokerage commissions and fees		(134,536	)		(54,578	)		(265,392	)		(100,540	)
Net (loss) gain allocated from investment in Graham K4D Trading Ltd.		(3,275,504	)		155,900			(4,860,349	)		(800,583	)

Net investment loss allocated from investment in Graham K4D Trading Ltd.		(7,641	)		(1,202	)		(10,898	)		(3,260	)

Investment income:
Interest income		88,652			67,524			173,480			121,117
Total investment income		88,652			67,524			173,480			121,117

Expenses:
Brokerage fees		634,470			353,595			1,204,772			629,142
Advisory fees		446,361			256,548			850,004			456,950
Sponsor fees		223,180			128,274			425,001			228,475
Interest and other		10,526			3,714			11,845			4,910
Commission reimbursements		(134,536	)		(54,578	)		(265,392	)		(100,540	)
Total expenses		1,180,001			687,553			2,226,230			1,218,937
Net investment loss of the Fund		(1,091,349	)		(620,029	)		(2,052,750	)		(1,097,820	)

Net loss		(4,374,494	)		(465,331	)		(6,923,997	)		(1,901,663	)

Incentive allocation		(6,623	)		-			(8,810	)		-

Net loss available for pro-rata allocation to all members	$	(4,381,117	)	$	(465,331	)	$	(6,932,807	)	$	(1,901,663	)

See accompanying notes.

Index

Graham Alternative Investment Trading II LLC

Statements of Changes in Members’ Capital

For the six months ended June 30, 2011(unaudited) and 2010 (unaudited)

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

Members’ capital, December 31, 2009		222,427.212		$	22,373,766			149,683.130		$	14,826,566			–	$	–		$	37,200,332
Subscriptions		119,836.004			11,326,000			70,361.090			6,673,010			500.000		50,000			18,049,010
Redemptions		(5,927.342	)		(569,567	)		(8,435.463	)		(784,243	)		–		–			(1,353,810	)
Net loss		–			(934,561	)		–			(966,323	)		–		(779	)		(1,901,663	)
Members’ capital, June 30, 2010		336,335.874		$	32,195,638			211,608.757		$	19,749,010			500.000	$	49,221		$	51,993,869

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

Members’ capital, December 31, 2010		397,859.944		$	40,945,899			288,630.496		$	28,783,191			500.000	$	54,780		$	69,783,870
Subscriptions		154,152.633			15,741,470			138,074.621			13,630,873			–		–			29,372,343
Redemptions		(32,542.338	)		(3,240,853	)		(26,485.078	)		(2,575,629	)		–		(8,810	)		(5,825,292	)
Incentive allocation		–			(4,821	)		–			(3,989	)		–		8,810			–
Net loss		–			(3,782,954	)		–			(3,138,415	)		–		(2,628	)		(6,923,997	)
Members’ capital, June 30, 2011		519,470.239		$	49,658,741			400,220.039		$	36,696,031			500.000	$	52,152		$	86,406,924

See accompanying notes.

Index

Graham Alternative Investment Trading II LLC

Statements of Cash Flows

	Six Months Ended June 30,
	2011 (Unaudited)			2010 (Unaudited)
Cash flows used in operating activities
Net loss	$	(6,923,997	)	$	(1,901,663	)
Adjustments to reconcile net loss to net cash used in operating activities:
Net loss allocated from investment in Graham K4D Trading Ltd.		4,871,247			803,843
Net income allocated from investment in Graham Cash Assets LLC		(173,480	)		(121,117	)
Proceeds from sale of investments in Graham K4D Trading Ltd.		55,865,805			22,879,428
Proceeds from sale of investments in Graham Cash Assets LLC		69,988,773			24,766,140
Investments in Graham K4D Trading Ltd.		(63,097,946	)		(23,076,345	)
Investments in Graham Cash Assets LLC		(84,415,676	)		(40,495,430	)
Changes in assets and liabilities:
Commission reimbursements receivable		(21,127	)		(1,591	)
Accrued brokerage fees		35,546			30,778
Accrued advisory fees		24,000			22,931
Accrued sponsor fees		12,000			11,465
Accrued incentive allocation		-			(479	)
Net cash used in operating activities		(23,834,855	)		(17,082,040	)

Cash flows provided by financing activities
Subscriptions		29,372,343			18,049,010
Redemptions		(5,537,488	)		(967,734	)
Net cash provided by financing activities		23,834,855			17,081,276

Net decrease in cash and cash equivalents		-			(764	)

Cash and cash equivalents, beginning of period		-			770
Cash and cash equivalents, end of period	$	-		$	6

See accompanying notes.

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements

June 30, 2011

1. Organization and Business

Graham Alternative Investment Trading II LLC (“GAIT II”) was formed on July 16, 2008, commenced operations on January 4, 2009 and is organized as a Delaware Limited Liability Company. Graham Capital Management, L.P. (the “Managing Member” or “Manager”) is the managing member and the sole investment advisor. The Managing Member is registered as a Commodity Pool Operator and Commodity Trading Advisor with the Commodity Futures Trading Commission and is a member of the National Futures Association.

The investment objective of GAIT II is to achieve long-term capital appreciation through professionally managed trading through its investment in Graham K4D Trading Ltd. (the “Master Fund” or “K4D Trading”), a master trading vehicle. K4D Trading commenced operations on January 1, 1999 and is organized as a British Virgin Islands business company. As more fully described in Notes 2 and 3, this Master Fund invests in a broad range of currency forward and futures contracts; bond, interest rate, and index futures contracts; commodity forward and futures contracts, and swaps thereon (collectively referred to as “Derivative Positions”) traded on U.S. and foreign exchanges.

In addition to trading in the Interbank market for foreign exchange, the Manager currently executes orders on all the major U.S. futures exchanges and may also trade on, but is not limited to, the Bolsa de Mercadorias and Futuros (“BMF”), Borsa Italiana Idem (“IML”), the Eurex Deutschland (“EUREX”), Euronext (“EURONEXT”), the Hong Kong Exchanges and Clearing Ltd. (“HKEX”), the Intercontinental Exchange (“ICE”), the London International Financial Futures and Options Exchange Ltd. (“LIFFE”), the London Metal Exchange (“LME”), the Montreal Exchange (“ME”), the Mercado de Futuros Financieros (“MEFF”), the Osaka Securities Exchange (“OSE”), the Sydney Futures Exchange Ltd. (“SFE”), the Singapore Exchange (“SGX”), the South African Exchange (“SAFEX”), the Tokyo Financial Exchange (“TFX”), the Tokyo Commodity Exchange (“TOCOM”) and the Tokyo Stock Exchange (“TSE”).

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

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

Duties of the Managing Member

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

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 preparation of these financial statements requires the Managing Member to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.

Amounts included in the financial statements and accompanying notes related to June 30, 2011 and 2010 and the three and six month periods then ended are unaudited. Amounts included herein as of December 31, 2010 have been taken from the December 31, 2010 audited financial statements and accompanying notes of GAIT II.

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Cash and Cash Equivalents

GAIT II considers cash and cash equivalents to include all highly liquid investments with a maturity of three months or less when acquired.

Investment in Graham K4D Trading Ltd.

GAIT II invests in K4D Trading which is managed by the Managing Member. This investment is valued in the accompanying statements of financial condition at fair value in accordance with U.S. GAAP based upon GAIT II’s proportionate share of the K4D Trading’s reported net asset value. Gains and losses are allocated monthly by K4D Trading to GAIT II based upon GAIT II’s proportionate share of the net asset value of K4D Trading and are included in the accompanying statements of operations and managing member allocation.

Fair Value

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

GAIT II follows U.S. GAAP for fair value measurements, which defines fair value, establishes a framework for measuring fair value, and requires certain disclosures about fair value measurements. U.S. GAAP uses a three-level hierarchy for fair value measurement based on the transparency and independence of inputs used in the valuation of an asset or liability as of the measurement date.

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

Level 1 inputs are unadjusted closing or settle 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. With respect to GAIT II’s investments in other funds managed by the Manager, Level 2 inputs include the net asset value of the underlying fund in which it holds an investment.

Level 3 inputs are those which are considered unobservable and are significant in arriving at fair value.

GAIT II reports the fair value of its investment related assets and liabilities in accordance with the hierarchy established under U.S. GAAP. In accordance with this hierarchy, GAIT II’s investments in K4D Trading and Graham Cash Assets LLC (“GCA”) have been classified as Level 2 valuations. There were no Level 3 assets or liabilities held at any point during the six month period ended June 30, 2011 or the twelve months ended December 31, 2010 by K4D Trading or GCA, and there were no transfers between Level 1 and Level 2 during those periods. Transfers between levels are recognized on the actual date of the event or change in circumstances that cause the transfer.

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments

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

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

Futures Contracts

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

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

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Forward Contracts

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

Exchange traded forward contracts are valued based upon the settle prices as of the valuation date, established by the primary exchange upon which they are traded. All other forward contracts are valued based upon a forward curve constructed using independently quoted forward points.

Swap Contracts

The Master Fund may enter into various swap contracts. Swap contracts are not guaranteed by an exchange or an affiliated clearing house or regulated by any U.S. or foreign government authorities. Failure of a counterparty to meet its obligation under the terms of the swap contract could result in the loss of any unrealized gains on open positions and force the Master Fund to cover its resale commitments, if any, at the current market price. It may not be possible to dispose of or close out a swap position without the consent of the counterparty, and the Master Fund may not be able to enter into an offsetting contract in order to cover its risk. Swaps are subject to the International Swap and Derivative Association (“ISDA”) Master Agreements which generally require among other things, that a Master Fund maintain a predetermined level of net assets, and provide limits with respect to a decline in the Master Fund’s net asset value over 1-month, 3-month and 12-month periods. If a Master Fund were to violate such provisions, the counterparty to the swaps could demand liquidation of outstanding swap positions.

A total return swap contract is an agreement that obligates two parties to exchange cash flows calculated by reference to changes in specified prices or rates for a specified notional amount of the underlying assets. The payment flows are usually netted against each other, with the difference being paid by one party to another.

Exchange traded swaps are valued based upon the closing prices established by the primary exchange upon which they are traded. Total return swaps are valued based upon the exchange published settle price of the underlying. During the term of the swaps, changes in value are recognized as unrealized gains or losses by marking the contracts to fair value. Additionally, the Master Fund records a realized gain (loss) when a swap contract is terminated and when periodic payments are received or made at the end of each measurement period, but prior to termination. The Master Fund determines the estimated fair value of all swaps in accordance with U.S. GAAP.

Options

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

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Options (continued)

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

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

Indemnifications

In the normal course of business, the Master Fund, GCA, and GAIT II enter into contracts that contain a variety of indemnifications. Such contracts include those with the Master Fund’s brokers and trading counterparties. GAIT II’s maximum exposure under these arrangements is unknown; however, GAIT II has not had prior claims or losses with respect to such indemnifications and considers the risk of loss to be remote.

3. Investment in Graham K4D Trading Ltd.

As of June 30, 2011 and December 31, 2010, GAIT II invested in K4D Trading, a master trading vehicle also managed by the Managing Manager. GAIT II’s investment in K4D Trading, as well as its investment objective, is summarized below. K4D Trading and GAIT II are related parties. K4D Trading does not charge any management or incentive fees, and offers monthly subscriptions and redemptions.

June 30, 2011
Investment – Objective	Percent of Members’ Capital			Fair Value		Net Loss (three months then ended)			Net Loss (six months then ended)

Graham K4D Trading Ltd. (a)		11.31	%	$	9,772,362	$	(3,283,145	)	$	(4,871,247	)
		11.31	%	$	9,772,362	$	(3,283,145	)	$	(4,871,247	)

December 31, 2010
Investment – Objective	Percent of Members’ Capital			Fair Value		Net Income (three months ended June 30, 2010)			Net Loss (six months ended June 30, 2010)

Graham K4D Trading Ltd. (a)		10.62	%	$	7,411,468	$	154,968		$	(803,843	)
		10.62	%	$	7,411,468	$	154,968		$	(803,843	)

(a) – Systematic macro

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investment in Graham K4D Trading Ltd. (continued)

The following table summarizes the financial position of K4D Trading as of June 30, 2011.

Assets:
Due from brokers	$	283,838,709
Derivative financial instruments, at fair value		3,440,679
Subscriptions receivable		405
Total assets		287,279,793

Liabilities:
Derivative financial instruments, at fair value		23,014,910
Due to brokers		546,447
Redemptions payable		405
Total liabilities		23,561,762
Net assets	$	263,718,031

Percentage of Master Fund held by the Fund		3.71	%

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investment in Graham K4D Trading Ltd. (continued)

The following schedule displays the condensed schedule of investments for K4D Trading as of June 30, 2011.

Description	Principal Amount	Fair Value			Percentage of Net Assets of K4D Trading
Long contracts
Futures
U.S. bond		$	(11,253,047	)		(4.27	)%
Foreign bond			(8,536,516	)		(3.24	)%
U.S. index			10,415,895			3.95	%
Foreign index			5,025,773			1.91	%
Commodity			(1,129,857	)		(0.43	)%
Interest rate			(1,020,274	)		(0.39	)%
Currency			1,073,226			0.41	%
Total futures			(5,424,800	)		(2.06	)%

Forwards
Australian dollar / U.S. dollar 07/20/11	AUD 1,432,785,322		22,045,147			8.36	%
Canadian dollar / U.S. dollar 07/20/11	CAD 2,209,264,516		36,133,104			13.70	%
Euro / British Pound 07/20/11	EUR 593,576,554		16,041,091			6.08	%
Euro / U.S. dollar 07/20/11	EUR 1,461,054,451		24,106,386			9.14	%
British Pound / U.S. dollar 07/20/11	GBP 1,359,056,576		(17,816,018	)		(6.75	)%
Other foreign currency			37,053,409			14.05	%
Total forwards			117,563,119			44.58	%

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investment in Graham K4D Trading Ltd. (continued)

The following schedule displays the condensed schedule of investments for K4D Trading as of June 30, 2011.

Description	Principal Amount		Fair Value			Percentage of Net Assets of K4D Trading
Short contracts
Futures
Foreign bond			$	(239,058	)		(0.09	)%
Foreign index				(5,079,843	)		(1.93	)%
Commodity				(7,688,784	)		(2.91	)%
Interest rate				(3,830,906	)		(1.45	)%
Currency				(742,175	)		(0.28	)%
Total futures				(17,580,766	)		(6.66	)%

Forwards
Australian dollar / U.S. dollar 07/20/11	AUD (1,125,059,422	)		(16,044,568	)		(6.08	)%
Canadian dollar / U.S. dollar 07/20/11	CAD (1,981,126,320	)		(31,811,387	)		(12.06	)%
Euro / British Pound 07/20/11	EUR (558,464,789	)		(14,336,007	)		(5.44	)%
Euro / U.S. dollar 04/20/11	EUR (1,431,692,261	)		(23,528,161	)		(8.92	)%
British Pound / U.S. dollar 07/20/11	GBP (1,374,602,354	)		13,699,004			5.19	%
Other foreign currency				(42,110,665	)		(15.97	)%
Total forwards				(114,131,784	)		(43.28	)%

Total			$	(19,574,231	)		(7.42	)%

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investment in Graham K4D Trading Ltd. (continued)

The following table shows the fair value classification of each investment type for K4D Trading as of June 30, 2011.

Long Contracts
Level 1:
U.S. bond futures	$	(11,253,047	)
Foreign bond futures		(8,536,516	)
U.S. index futures		10,415,895
Foreign index futures		5,025,773
Commodity futures		(1,129,857	)
Interest rate futures		(1,020,274	)
Currency futures		1,073,226
Total Level 1		(5,424,800	)

Level 2:
Foreign currency forwards		117,563,119
Total Level 2		117,563,119
Total long contracts	$	112,138,319

Short Contracts
Level 1:
Foreign bond futures	$	(239,058	)
Foreign index futures		(5,079,843	)
Commodity futures		(7,688,784	)
Interest rate futures		(3,830,906	)
Currency futures		(742,175	)
Total Level 1		(17,580,766	)

Level 2:
Foreign currency forwards		(114,131,784	)
Total Level 2		(114,131,784	)
Total short contracts	$	(131,712,550	)

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investment in Graham K4D Trading Ltd. (continued)

The following table displays the gross volume of derivative activities based on their notional amounts and number of contracts and fair value of derivative contracts held by the Master Fund at June 30, 2011 categorized by primary underlying risk. Derivative assets and liability balances are presented on a gross basis, prior to the application of counterparty netting. Amounts presented below as collateral balances supporting all derivative positions are included in due from / (to) brokers on K4D Trading’s statement of financial position.

	Graham K4D Trading Ltd.
	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities

Commodity price
Futures	$	1,345,596,497		15,854	$	(758,255,780	)		(12,860	)	$	28,003,129	$	(36,821,770	)
		1,345,596,497		15,854		(758,255,780	)		(12,860	)		28,003,129		(36,821,770	)

Equity price
Futures		476,877,253		6,819		(263,048,422	)		(4,747	)		15,441,668		(5,079,843	)
		476,877,253		6,819		(263,048,422	)		(4,747	)		15,441,668		(5,079,843	)

Foreign currency exchange rate
Futures		445,249,816		2,709		(275,073,860	)		(2,797	)		1,326,426		(995,375	)
Forwards		31,171,994		-		(18,184,872	)		-			21,904,835		(18,473,500	)
		476,421,810		2,709		(293,258,732	)		(2,797	)		23,231,261		(19,468,875	)

Interest rate
Futures		11,774,187,855		45,104		(2,692,780,158	)		(8,420	)		3,205,822		(28,085,623	)
		11,774,187,855		45,104		(2,692,780,158	)		(8,420	)		3,205,822		(28,085,623	)
Total	$	14,073,083,415		70,486	$	(4,007,343,092	)		(28,824	)	$	69,881,880	$	(89,456,111	)


Collateral balances supporting all derivative positions													$	283,292,262

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investment in Graham K4D Trading Ltd. (continued)

The following table summarizes the results of operations of K4D Trading for the three and six month periods ended June 30, 2011.

	Three Months Ended June 30, 2011			Six Months Ended June 30, 2011

Net investment loss	$	(206,478	)	$	(290,344	)

Net realized loss on investments		(21,262,016	)		(68,425,848	)
Net decrease in unrealized appreciation on investments		(70,349,041	)		(65,095,579	)
Brokerage commissions and fees		(3,638,222	)		(6,930,150	)
Net loss on investments		(95,249,279	)		(140,451,577	)
Net loss	$	(95,455,757	)	$	(140,741,921	)

The following table shows the gains and losses on all financial instruments held by the Master Fund reported in net realized gain and net increase in unrealized appreciation on investments in its statement of operations segregated by primary underlying risk and contract type for the three and six month periods ended June 30, 2011:

	Three Months Ended June 30, 2011			Six Months Ended June 30, 2011

Commodity price
Futures	$	(87,798,352	)	$	(42,986,840	)
		(87,798,352	)		(42,986,840	)

Equity price
Futures		(28,028,918	)		(68,330,129	)
		(28,028,918	)		(68,330,129	)

Foreign currency exchange rate
Futures		(4,534,058	)		(9,996,003	)
Forwards		5,477,710			(18,578,273	)
		943,652			(28,574,276	)

Interest rate
Futures		23,272,561			6,369,818
		23,272,561			6,369,818
Total	$	(91,611,057	)	$	(133,521,427	)

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investment in Graham K4D Trading Ltd. (continued)

The following table summarizes the financial position of K4D Trading as of December 31, 2010.

Assets:
Due from brokers	$	135,887,098
Derivative financial instruments, at fair value		45,743,328
Subscriptions receivable		-
Interest receivable		9,100
Total assets		181,639,526

Liabilities:
Derivative financial instruments, at fair value		-
Redemptions payable		-
Total liabilities		-
Net assets	$	181,639,526

Percentage of Master Fund held by the Fund		4.08	%

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investment in Graham K4D Trading Ltd. (continued)

The following schedule displays the condensed schedule of investments of K4D Trading as of December 31, 2010.

Description	Principal Amount	Fair Value			Percentage of Net Assets of K4D Trading
Long contracts
Futures
U.S. bond		$	237,741			0.13	%
Foreign bond			1,053,653			0.58	%
U.S. index			3,010,100			1.66	%
Foreign index			(3,683,508	)		(2.03	)%
Commodity			31,911,445			17.57	%
Interest rate			325,182			0.18	%
Currency			4,536,916			2.50	%
Total futures			37,391,529			20.59	%

Forwards
Japanese Yen / U.S. dollar 01/19/11	JPY 43,988,617,100		11,186,032			6.16	%
Other Japanese Yen / U.S. dollar 1/04/11 - 1/05/11	JPY 14,270,122,339		796,715			0.44	%
Swiss Franc / U.S. dollar 01/19/11	CHF 491,922,158		17,376,713			9.57	%
Other foreign currency			28,092,524			15.46	%
Total forwards			57,451,984			31.63	%

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investment in Graham K4D Trading Ltd. (continued)

The following schedule displays the condensed schedule of investments of K4D Trading as of December 31, 2010.

Description	Principal Amount	Fair Value			Percentage of Net Assets of K4D Trading
Short contracts
Futures
U.S. bond		$	(1,546,794	)		(0.85	)%
Foreign bond			(540,937	)		(0.30	)%
Foreign index			(142,959	)		(0.08	)%
Commodity			(4,754,965	)		(2.62	)%
Interest rate			(3,790,967	)		(2.09	)%
Currency			739,824			0.41	%
Total futures			(10,036,798	)		(5.53	)%

Forwards
Japanese Yen / U.S. dollar 01/19/11	JPY (36,043,608,800)		(12,993,436	)		(7.15	)%
Other Japanese Yen / U.S. dollar 1/04/11 - 1/05/11	JPY (14,111,800,669)		(834,965	)		(0.46	)%
Swiss Franc / U.S. dollar 01/19/11	CHF (431,464,200)		(17,247,454	)		(9.50	)%
Other foreign currency			(7,987,532	)		(4.40	)%
Total forwards			(39,063,387	)		(21.51	)%

Total		$	45,743,328			25.18	%

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investment in Graham K4D Trading Ltd. (continued)

The following table shows the fair value classification of each investment type for K4D Trading as of December 31, 2010.

Long Contracts
Level 1:
U.S. bond futures	$	237,741
Foreign bond futures		1,053,653
U.S. index futures		3,010,100
Foreign index futures		(3,683,508	)
Commodity futures		31,911,445
Interest rate futures		325,182
Currency futures		4,536,916
Total Level 1		37,391,529

Level 2:
Foreign currency forwards		57,451,984
Total Level 2		57,451,984
Total long contracts	$	94,843,513

Short Contracts
Level 1:
U.S. bond futures	$	(1,546,794	)
Foreign bond futures		(540,937	)
Foreign index futures		(142,959	)
Commodity futures		(4,754,965	)
Interest rate futures		(3,790,967	)
Currency futures		739,824
Total Level 1		(10,036,798	)

Level 2:
Foreign currency forwards		(39,063,387	)
Total Level 2		(39,063,387	)
Total short contracts	$	(49,100,185	)

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investment in Graham K4D Trading Ltd. (continued)

The following table displays the gross volume of derivative activities based on their notional amounts and number of contracts and fair value of derivative contracts held by the Master Fund at December 31, 2010 categorized by primary underlying risk. Derivative assets and liability balances are presented on a gross basis, prior to the application of counterparty netting. Amounts presented below as collateral balances supporting all derivative positions are included in due from / (to) brokers on K4D Trading’s statement of financial position.

	Graham K4D Trading Ltd.
	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities

Commodity price
Futures	$	810,106,878		10,782	$	(53,034,444	)		(926	)	$	32,742,543	$	(5,586,063	)
		810,106,878		10,782		(53,034,444	)		(926	)		32,742,543		(5,586,063	)

Equity price
Futures		16,008,395,340		15,303		(968,631,180	)		(671	)		4,935,403		(5,751,770	)
		16,008,395,340		15,303		(968,631,180	)		(671	)		4,935,403		(5,751,770	)

Foreign currency exchange rate
Futures		340,454,690		2,852		(86,152,236	)		(957	)		5,633,114		(356,374	)
Forwards		90,870,643,000		-		(87,109,470,216	)		-			78,339,927		(59,951,330	)
		91,211,097,690		2,852		(87,195,622,452	)		(957	)		83,973,041		(60,307,704	)

Interest rate
Futures		2,044,200,093		8,454		(63,261,455,459	)		(23,095	)		2,729,784		(6,991,906	)
		2,044,200,093		8,454		(63,261,455,459	)		(23,095	)		2,729,784		(6,991,906	)
Total	$	110,073,800,001		37,391	$	(151,478,743,535	)		(25,649	)	$	124,380,771	$	(78,637,443	)


Collateral balances supporting all derivative positions													$	135,887,098

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investment in Graham K4D Trading Ltd. (continued)

The following table summarizes the results of operations of K4D Trading for the three and six month periods ended June 30, 2010.

	Three Months Ended June 30, 2010			Six Months Ended June 30, 2010

Net investment loss	$	(33,308	)	$	(101,716	)

Net realized gain (loss) on investments		56,094,201			(21,798,070	)
Net decrease in unrealized appreciation on investments		(49,262,278	)		(14,594,710	)
Brokerage commissions and fees		(1,525,901	)		(3,006,196	)
Net gain (loss) on investments		5,306,022			(39,398,976	)
Net gain (loss)	$	5,272,714		$	(39,500,692	)

	Three Months Ended June 30, 2010			Six Months Ended June 30, 2010

Commodity price
Futures	$	(50,167,010	)	$	(73,935,555	)
		(50,167,010	)		(73,935,555	)

Equity price
Futures		(29,055,274	)		(61,669,638	)
		(29,055,274	)		(61,669,638	)

Foreign currency exchange rate
Futures		2,398,505			3,110,816
Forwards		(9,137,401	)		(9,218,276	)
		(6,738,896	)		(6,107,460	)

Interest rate
Futures		92,793,103			105,319,873
		92,793,103			105,319,873
Total	$	6,831,923		$	(36,392,780	)

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC

GAIT II invests a portion of its excess liquidity in GCA, an entity for which the Manager is also the sole investment advisor. GCA commenced operations on June 22, 2005 and was formed as a Delaware Limited Liability Company for the purpose of consolidating investment activity of multiple funds managed by the Manager. Its objective is to preserve capital while enhancing return on cash balances and providing daily liquidity. It invests in debt obligations guaranteed by the U.S. federal government, which range in maturity from three to thirty months. GCA also maintains cash and cash equivalents on deposit with major U.S. institutions. GCA values all fixed income securities at amortized cost to the extent it approximates fair value. GAIT II’s investment in GCA is valued in the accompanying statements of financial condition at fair value in accordance with U.S. GAAP based upon GAIT II’s proportionate share of GCA’s reported net asset value. GAIT II records its proportionate share of GCA’s investment income and expenses on a monthly basis. For the three months ended June 30, 2011, the total amount recognized by GAIT II with respect to its investment in GCA was $88,652. For the six months ended June 30, 2011, the total amount recognized by GAIT II with respect to its investment in GCA was $173,480. For the three months ended June 30, 2010, the total amount recognized by GAIT II with respect to its investment in GCA was $67,524. For the six months ended June 30, 2010, the total amount recognized by GAIT II with respect to its investment in GCA was $121,117. These amounts are included in interest income in the statements of operations and managing member allocation. At June 30, 2011 and December 31, 2010, GAIT II owned approximately 2.36% and 2.16%, respectively, of GCA. The following table summarizes the financial position of GCA as of June 30, 2011 and December 31, 2010:

	June 30, 2011		December 31, 2010
Assets:
Cash and cash equivalents	$	799,619,853	$	750,098,151
Investments in fixed income securities (cost $2,523,700,111 and $2,215,622,512, respectively)		2,523,700,111		2,215,622,512
Accrued interest income		6,546,459		6,547,074
Total assets		3,329,866,423		2,972,267,737

Liabilities:
Other liabilities		20,000		20,000
Total liabilities		20,000		20,000
Net assets	$	3,329,846,423	$	2,972,247,737

The following table summarizes the results of operations of GCA for the three and six month periods ended June 30, 2011 and 2010:

	Three Months Ended June 30,				Six Months Ended June 30,
	2011		2010		2011		2010
Investment income
Interest income	$	3,850,625	$	3,188,049	$	7,711,127	$	5,904,213
Total investment income		3,850,625		3,188,049		7,711,127		5,904,213

Expenses:
Bank fee expense		126,225		151,611		259,809		244,502
Total expenses		126,225		151,611		259,809		244,502
Net investment income		3,724,400		3,036,438		7,451,318		5,659,711
Net income	$	3,724,400	$	3,036,438	$	7,451,318	$	5,659,711

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC (continued)

The following schedule displays the condensed schedule of investments for GCA as of June 30, 2011.

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Graham Cash Assets LLC
Investments in Fixed Income Securities (cost $2,523,700,111)
United States
FDIC Guaranteed Bonds (cost $1,160,361,420)
Citibank 1.25% - 1.75% due 07/12/11 - 12/28/12	$	275,000,000	$	275,912,810		8.29	%
Other FDIC guaranteed bonds				884,448,610		26.56	%
Total FDIC Guaranteed Bonds				1,160,361,420		34.85	%

Government Bonds (cost $1,363,338,691)
U.S. Treasury 0.38% - 1.38% due 08/31/11 - 03/31/12		1,360,000,000		1,363,338,691		40.94	%
Total Government Bonds				1,363,338,691		40.94	%

Total Investments in Fixed Income Securities			$	2,523,700,111		75.79	%

The following schedule displays the condensed schedule of investments for GCA as of December 31, 2010.

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Graham Cash Assets LLC
Investments in Fixed Income Securities (cost $2,215,622,512)
United States
FDIC Guaranteed Bonds (cost $1,101,463,404)
Citibank 1.25% – 1.88% due 03/30/11 – 05/07/12	$	350,000,000	$	351,915,163		11.84	%
Other FDIC guaranteed bonds				749,548,241		25.22	%
Total FDIC Guaranteed Bonds				1,101,463,404		37.06	%

Government Bonds (cost $1,114,159,108)
U.S. Treasury 0.88% due 04/30/11		150,000,000		150,213,724		5.05	%
Other U.S. Treasury 0.75% – 1.13% due 01/31/11 – 04/30/12				963,945,384		32.43	%
Total Government Bonds				1,114,159,108		37.48	%

Total Investments in Fixed Income Securities			$	2,215,622,512		74.54	%

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC (continued)

GCA reports the fair value of its investment related assets and liabilities in accordance with the hierarchy established under U.S. GAAP. The following table shows the fair value classification of each investment type held by GCA as of June 30, 2011 and December 31, 2010:


	June 30, 2011		December 31, 2010
Long positions
Level 2:
Fixed income securities
FDIC Guaranteed Bonds	$	1,160,361,420	$	1,101,463,404
Government Bonds		1,363,338,691		1,114,159,108
Total fixed income securities		2,523,700,111		2,215,622,512
Total Level 2		2,523,700,111		2,215,622,512
Total long positions	$	2,523,700,111	$	2,215,622,512

5. Capital Accounts

GAIT II offers Class 0 Units and Class 2 Units (collectively, the “Units”). GAIT II may issue additional classes in the future subject to different fees, expenses or other terms, or to invest in other investment programs or combinations of investment programs managed by the Manager. GAIT II also has Management Units (“Class M units”) which are solely for the investment of the Manager.

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

Addition of Members and Managing Members

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

Subscriptions

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

Redemptions

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

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

6. Fees

Advisory Fees

Each Class of GAIT II other than Class M pays the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate equal to 2% of the Net Asset Value 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 effected with respect to Units of such Class during the month.

Sponsor Fees

Each Class of GAIT II other than Class M pays the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate of 1% of its Net Asset Value, payable monthly in arrears, determined in the same manner as the Advisory Fee.

Incentive Allocation

At the end of each calendar quarter, the Manager will receive a special allocation of net profits (the “Incentive Allocation”) in an amount equal to 20% of the New High Net Trading Profits of each Class as defined in the LLC Agreement. The Incentive Allocation is also accrued and allocable on the date of redemption with respect to any Units that are redeemed prior to the end of a calendar quarter.

Brokerage Fees

Each Class of GAIT II other than Class M pays the Manager a brokerage fee (the “Brokerage Fee”) at the annual rate specified in the table below. This Brokerage Fee is payable monthly in arrears calculated as of the last business day of each month in the same manner as the Advisory Fee.

Class	Annual Rate

Class 0	2%
Class 2	4%

In consideration of the Brokerage Fee, the Manager bears all of GAIT II’s trading commissions (including exchange, clearing and regulatory fees relating to its trades), routine legal expenses, internal and external accounting, audit and tax preparation expenses, fees and expenses of an external or internal administrator, and expenses and costs of printing and mailing reports and notices, together with the costs incurred in connection with the organization of GAIT II and GAIT II’s continuous offering of Units. To the extent GAIT II is allocated any of these expenses from the Master Fund, the Manager will reimburse GAIT II for those amounts. This reimbursement is included in commission reimbursements in the statements of operations and managing member allocation.

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

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

7. Income Taxes

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

U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing GAIT II’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 Manager has evaluated GAIT II’s tax positions 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.

8. Related Party Transactions

The Manager, due to its relationship with its affiliates, may enter into certain related party transactions.

9. Financial Highlights

The following is the per unit operating performance calculation for the three month periods ended June 30, 2011 and 2010:

Per unit operating performance:	Class 0			Class 2
Net asset value per unit, March 31, 2010	$	96.29		$	94.35
Net loss:
Net investment loss		(1.66	)		(1.77	)
Net gain on investments		1.09			0.75
Net loss		(0.57	)		(1.02	)
Net asset value per unit, June 30, 2010	$	95.72		$	93.33

Net asset value per unit, March 31, 2011	$	100.08		$	96.48
Net loss:
Net investment loss		(1.26	)		(1.74	)
Net loss on investments		(3.23	)		(3.05	)
Net loss		(4.49	)		(4.79	)
Net asset value per unit, June 30, 2011	$	95.59		$	91.69

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

9. Financial Highlights (continued)

The following represents ratios to average members’ capital, excluding the Managing Member, and total return for the three month periods ended June 30, 2011 and 2010:

	Class 0						Class 2
	2011			2010			2011			2010

Total return before Incentive Allocation		(4.49	)%		(0.57	)%		(4.96	)%		(1.03	)%
Incentive Allocation		0.00			0.00			0.00			0.00
Total return after Incentive Allocation		(4.49	)%		(0.57	)%		(4.96	)%		(1.03	)%

Net investment loss before Incentive Allocation		(1.26	)%		(1.61	)%		(1.80	)%		(1.70	)%
Incentive Allocation		0.00			0.00			0.00			0.00
Net investment loss after Incentive Allocation		(1.26	)%		(1.61	)%		(1.80	)%		(1.70	)%

Total expenses before Incentive Allocation		1.46	%		1.30	%		1.99	%		(3.51	)%
Incentive Allocation		0.00			0.00			0.00			0.00
Total expenses after Incentive Allocation		1.46	%		1.30	%		1.99	%		(3.51	)%

The following is the per unit operating performance calculation for the six month periods ended June 30, 2011 and 2010:

	Class 0			Class 2
Per unit operating performance:
Net asset value per unit, December 31, 2009	$	100.59		$	99.05
Net loss:
Net investment loss		(3.50	)		(3.50	)
Net loss on investments		(1.37	)		(2.22	)
Net loss		(4.87	)		(5.72	)
Net asset value per unit, June 30, 2010	$	95.72		$	93.33

Net asset value per unit, December 31, 2010	$	102.92		$	99.72
Net loss:
Net investment loss		(2.31	)		(3.24	)
Net loss on investments		(5.02	)		(4.79	)
Net loss		(7.33	)		(8.03	)
Net asset value per unit, June 30, 2011	$	95.59		$	91.69

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

9. Financial Highlights (continued)

The following represents ratios to average members’ capital, excluding the Managing Member, and total return for the six month periods ended June 30, 2011 and 2010:

	Class 0						Class 2
	2011			2010			2011			2010

Total return before Incentive Allocation		(7.11	)%		(4.84	)%		(8.04	)%		(5.77	)%
Incentive Allocation		(0.01	)		0.00			(0.01	)		0.00
Total return after Incentive Allocation		(7.12	)%		(4.84	)%		(8.05	)%		(5.77	)%

Net investment loss before Incentive Allocation		(2.23	)%		(2.37	)%		(3.24	)%		(3.39	)%
Incentive Allocation		(0.01	)		0.00			(0.01	)		0.00
Net investment loss after Incentive Allocation		(2.24	)%		(2.37	)%		(3.25	)%		(3.39	)%

Total expenses before Incentive Allocation		2.58	%		2.58	%		3.63	%		3.61	%
Incentive Allocation		0.01			0.00			0.01			0.00
Total expenses after Incentive Allocation		2.59	%		2.58	%		3.64	%		3.61	%

Total return is calculated for Class 0 and Class 2 units taken as a whole. Total return is calculated as the change in total members’ capital, excluding that of the Managing Member, adjusted for subscriptions or redemptions during the year. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Brokerage Fees, Sponsor Fees, and the Incentive Allocation. The net investment loss and total expense ratios (including Incentive Allocation) are calculated for the Class 0 and Class 2 units taken as a whole and include amounts from GAIT II and amounts allocated from the Master Fund. 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 of GAIT II, excluding that of the Managing Member, for the three and six month periods ended June 30, 2011 and 2010.

10. Subsequent Events

GAIT II had subscriptions of approximately $6.5 million and redemptions of approximately $0.6 million through August 15, 2011, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.

Index

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

Reference is made to “Item 1: Financial Statements”. The information contained therein is essential to, and should be read in conjunction with, the following analysis. The Fund does not engage in the sale of goods or services. The Fund’s capital consists of capital contributions of the members, as increased or decreased by gains and losses from its investments in the Master Funds, interest, expenses and redemptions. Its only assets are its investments in the Master Funds. The Master Funds do not engage in the sale of goods or services. Their assets are comprised of the equity in their accounts with clearing brokers and OTC counterparties, in each case consisting of cash, open trade equity on derivatives and the net option premium paid or received. In the case of Graham Cash Assets LLC, the assets consist of investments in debt obligations guaranteed by the U.S. federal government, as well as cash and cash equivalents.

For the three months ended June 30, 2011 the Fund’s net asset value increased by $4,488,640 or 2.4%. This increase was attributable to a $2,619,082 or 1.4% net increase in the Blended Strategies Portfolio and a $1,869,558 or 1.0% net increase in the Systematic Strategies Portfolio. The net increase in the Blended Strategies Portfolio was attributable to total subscriptions of $13,525,389 or 7.2% partially offset by redemptions totaling $4,812,158 or -2.6% and net a loss of $6,094,149 or -3.2%, for the period. The net increase in the Systematic Strategies Portfolio was attributable to total subscriptions of $4,232,675 or 2.2% partially offset by redemptions totaling $919,097 or -0.5% and a net loss of $1,444,020 or -0.7%, for the period.

For the six months ended June 30, 2011 the Fund’s net asset value increased by $23,963,111 or 14.2%. This increase was attributable to a $17,458,492 or 10.3% net increase in the Blended Strategies Portfolio and a $6,504,619 or 3.9% net increase in the Systematic Strategies Portfolio. The net increase in the Blended Strategies Portfolio was attributable to total subscriptions of $31,877,991 or 18.8% partially offset by redemptions totaling $6,239,813 or -3.7% and net a loss of $8,179,686 or -4.8%, for the period. The net increase in the Systematic Strategies Portfolio was attributable to total subscriptions of $10,197,719 or 6.0% partially offset by redemptions totaling $1,443,532 or -0.8% and a net loss of $2,249,568 or -1.3%, for the period.

For the three months ended June 30, 2010 the Fund’s net asset value increased by $6,466,177, a 5.2% net increase. This increase was attributable to a $5,128,166, or 4.1%, net increase in the Blended Strategies Portfolio and a $1,338,011, or 1.1%, net increase in the Systematic Strategies Portfolio. The net increase of $5,128,166, or 4.1%, in the Blended Strategies Portfolio was attributable to total subscriptions of $8,119,658, or 6.6%, and net income of $71,069, or 0.1%, partially offset by redemptions totaling $3,062,561, or -2.6%, for the three months ended June 30, 2010. The net increase of $1,338,011, or 1.1%, in the Systematic Strategies Portfolio was attributable to total subscriptions of $1,785,268, or 1.4%, partially offset by redemptions totaling $332,818, or -0.2%, and a net loss of $114,439, or -0.1%, for the three months ended June 30, 2010.

For the six months ended June 30, 2010 the Fund’s net asset value increased by $18,441,127, or 16.5%. This increase was attributable to a $11,791,347, or 10.6%, net increase in the Blended Strategies Portfolio and an $6,649,780, or 5.9%, net increase in the Systematic Strategies Portfolio. The net increase of $11,791,347, or 10.6%, in the Blended Strategies Portfolio was attributable to total subscriptions of $16,710,318, or 15.0%, partially offset by redemptions totaling $4,265,676, or -3.8%, and a net loss of $653,295, or -0.6%, for the six months ended June 30, 2010. The net increase of $6,649,780, or 5.9%, in the Systematic Strategies Portfolio was attributable to total subscriptions of $7,245,768, or 6.4%, partially offset by redemptions totaling $337,724, or -0.3%, and a net loss of $258,264, or -0.2%, for the six months ended June 30, 2010.

100

Index

(i) Results of Operations

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

Blended Strategies Portfolio

2011 Summary

Three Months Ended June 30, 2011

For the three months ended June 30, 2011, the portfolio experienced net trading losses of $3,973,440 attributable to the following sectors:

Agriculture	$	(458,718	)
Energy		(2,999,402	)
Foreign exchange		(992,020	)
Interest rates		1,962,324
Metals		554,568
Softs		(723,393	)
Stock index		(1,316,799	)
	$	(3,973,440	)

The portfolio recorded a net loss for the period with the energy sector contributing most significantly. Gains in the energy sector during the early portion of the quarter due to an upward movement in prices, were offset when prices reversed and continued sharply downward in reaction to the announced release of strategic oil reserves in June. Losses were also recognized in the equity sector as gains early in the quarter on encouraging earnings data and continued low interest rate fueled hope of a global economic recovery, were reversed when prices declined in a sharp reduction of risk in various markets. The foreign exchange sector posted losses for the quarter. Early gains as the U.S. dollar fell to multi-year lows against most major global currencies were offset as the risk aversion led to a safe haven demand resulting in a stronger U.S. dollar, generating losses for the portfolio. The portfolio also incurred losses in the agriculture and softs sectors. The portfolio generated gains in the interest rates sector led by gains in the U.S. fixed income markets as prices climbed amid the diminishing appetite for risk assets. Gains were recognized in metals as prices moved sharply up in the beginning of the quarter which outpaced losses later in the quarter as prices reversed.

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

For the three months ended June 30, 2011, Brokerage Fees increased by $317,996 or 47.2%, Advisory Fees increased by $260,499 or 45.0% and Sponsor Fees increased by $130,250 or 45.0% in the Blended Strategies Portfolio over the corresponding period of the preceding year. These increases are all attributable to higher net assets of the portfolio resulting from subscriptions partially offset by redemptions and a net loss for the period. During the same period interest income decreased by $132,985 or -44.3%. Interest was earned on free cash at an average annualized yield of 0.47% for the three months ended June 30, 2011 compared to 0.61% for the same period in 2010.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended June 30, 2011, the Incentive Allocation increased by $11,613 or 202.6% related to shares redeemed when the portfolio was in a period of New High Net Trading Profits.

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Index

Six Months Ended June 30, 2011

For the six months ended June 30, 2011, the portfolio experienced net trading losses of $4,108,765 attributable to the following sectors:

Agriculture	$	56,280
Energy		(1,182,142	)
Foreign exchange		(1,931,780	)
Interest rates		1,131,742
Metals		945,980
Softs		(159,489	)
Stock index		(2,969,356	)
	$	(4,108,765	)

The portfolio recorded a net loss for the period in the equity sector. Gains in the early portion of the first quarter were offset in March when the earthquake and tsunami in Japan generated risk aversion and market reversals resulting in significant losses with the largest losses stemming from the European stock indices. Losses were recognized in the second quarter as gains early in the quarter on encouraging earnings data and continued low interest rates fueled hope of a global economic recovery were reversed when prices declined in a sharp reduction of risk in various markets. The foreign exchange sector posted losses in Asian currencies in March and later in the period as risk aversion led to a safe haven demand resulting in a stronger U.S. dollar offsetting previous gains from the U.S. dollar’s decline to multi-year lows against most major global currencies. The portfolio recorded a net loss for the period in the energy sector as gains in the first quarter from increasing oil prices amid rising political tensions in the Middle East and Libya were overshadowed by losses in the second quarter as prices reversed and continued sharply downward in reaction to the announced release of strategic oil reserves in June. The portfolio generated gains in the interest rate sector led by the U.S. fixed income markets as prices climbed amid the diminishing appetite for risk assets. Gains were recognized in the metals sector as prices moved sharply up in the beginning of the second quarter which outpaced losses later in the quarter as prices reversed. The portfolio also recognized small gains in the agriculture sector, partially offset by losses in soft commodities.

For the six months ended June 30, 2011, Brokerage Fees increased by $631,287 or 49.0%, Advisory Fees increased by $523,782 or 47.4% and Sponsor Fees increased by $261,891 or 47.4% in the Blended Strategies Portfolio over the corresponding period of the preceding year. These increases are all attributable to higher net assets of the portfolio resulting from subscriptions partially offset by redemptions and a net loss for the period. During the same period interest income decreased by $266,716 or -44.6%. Interest was earned on free cash at an average annualized yield of 0.48% for the three months ended June 30, 2011 compared to 0.61% for the same period in 2010.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the six months ended June 30, 2011, the Incentive Allocation increased by $11,741or 204.8% related to shares redeemed when the portfolio was in a period of New High Net Trading Profits.

102

Index

The following table illustrates the sector distribution of the Blended Strategies Portfolio’s investments in Master Funds as of June 30, 2011 based on the fair value of the underlying assets and liabilities in each master fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

Agriculture	8.0	%
Energy	2.9	%
Foreign exchange	(5.7	%)
Interest rates	75.9	%
Metals	41.0	%
Softs	(1.3	%)
Stock index	(20.8	%)
	100.0	%

2010 Summary

Three Months Ended June 30, 2010

For the three months ended June 30, 2010, the Blended Strategies Portfolio experienced net trading gains of $1,330,888 attributable to the following sectors:

Agriculture	$	(263,532	)
Energy		(1,761,664	)
Foreign exchange		812,325
Interest rates		4,344,224
Metals		(596,000	)
Softs		(164,443	)
Stock index		(1,040,022	)
	$	1,330,888

The Blended Strategies Portfolio recorded a gain during April primarily attributable to positions in the fixed income markets, which benefited from rising prices in Europe. Additional gains stemmed from lower equity prices in Europe and rising crude oil prices. In the commodity markets, trading in metals produced relatively flat results, while positions in the grains markets, specifically corn and wheat, resulted in minor losses. The portfolio had net gains in the month of May. Profits were primarily attributable to positions in the fixed income and currency markets, with the portfolio benefitting as investors sought a safe haven and purchased global bonds, while the euro weakened. The portfolio’s overall gain was partially offset by losses that resulted from price declines in crude oil, global equity indices, and industrial metals. The portfolio recorded a modest loss during June. The majority of these losses resulted from trading in currencies amid general U.S. dollar weakness and in the energy markets from trading in natural gas and crude oil. The portfolio experienced smaller losses in base metals, soft commodities and global stock index futures. Gains recorded in the fixed income sector as yields fell sharply during the month offset a majority of the month’s losses.

For the three months ended June 30, 2010, Brokerage Fees increased by $218,351, or 47.9%, Advisory Fees increased by $187,962, or 48.1%, and Sponsor Fees increased by $93,982, or 48.1%, in the portfolio over the corresponding period of the preceding year. These increases are all attributable to higher net assets of the portfolio resulting from subscriptions and a net gain for the period partially offset by redemptions.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio for the period. For the three months ended June 30, 2010, the Incentive Allocation decreased by $1,792, or -23.8%, in the portfolio over the corresponding period of the preceding year due to lower trading profits.

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Index

Six Months Ended June 30, 2010

For the six months ended June 30, 2010, the Blended Strategies Portfolio experienced net trading gains of $1,716,167 attributable to the following sectors:

Agriculture	$	(81,862	)
Energy		(1,548,074	)
Foreign exchange		2,170,572
Interest rates		5,244,678
Metals		(908,255	)
Softs		(766,518	)
Stock index		(2,394,374	)
	$	1,716,167

The Blended Strategies Portfolio recorded a gain during April. The majority of the portfolio’s profits were attributable to positions in the fixed income markets, which benefited from rising prices in Europe. Additional gains also stemmed from lower equity prices in Europe and rising crude oil prices. In the commodity markets, trading in metals produced relatively flat results, while positions in the grains markets, specifically corn and wheat, resulted in minor losses. The portfolio had net gains in the month of May. Profits were primarily attributable to positions in the fixed income and currency markets, with the portfolio benefitting as investors sought a safe haven and purchased global bonds, while the euro weakened. The portfolio’s overall gain was partially offset by losses that resulted from price declines in crude oil, global equity indices, and industrial metals. The portfolio recorded a modest loss during June. The majority of these losses resulted from trading in currencies amid general U.S. dollar weakness and in the energy markets from trading in natural gas and crude oil. The portfolio experienced smaller losses in base metals, soft commodities and global stock index futures. Gains recorded in the fixed income sector as yields fell sharply during the month offset a majority of the month’s losses. For the month of March, trading gains were recorded in global stock indices as equities rallied, and in energy amid falling natural gas prices. The portfolio also generated profits in currencies, agriculturals and industrial metals. Losses in the U.S. fixed income markets detracted from the portfolio's overall profits. During February, the portfolio was profitable in both systematic and discretionary trading in foreign exchange, including positions in European currencies and the Australian dollar. Additional gains stemmed from positions in the European fixed income and industrial metals markets. Smaller losses, from trading in global stock indices and commodities offset a portion of the month’s gains. The portfolio recorded a net loss during January due primarily to sharp reversals in global equity indices, currencies and commodities. These losses were partially offset by gains in the fixed income sector from both the discretionary and systematic portion of the portfolio. The discretionary portion of the portfolio also contributed gains in currencies, which were generated by short positions in the euro as well as short crosses in the Swiss franc and Australian and New Zealand dollars.

For the six months ended June 30, 2010, Brokerage Fees increased by $363,490, or 39.3%, Advisory Fees increased by $304,043, or 38.0%, and Sponsor Fees increased by $152,023, or 38.0%, in the portfolio over the corresponding period of the preceding year. These increases are all attributable to higher net assets of the portfolio resulting from subscriptions partially offset by redemptions and a net loss for the period.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio for the period. For the six months ended June 30, 2010, the Incentive Allocation decreased by $6,264, or -52.2%, in the portfolio over the corresponding period of the preceding year due to lower trading profits.

104

Index

The following table illustrates the sector distribution of the Blended Strategies Portfolio’s investments in Master Funds as of December 31, 2010 based on the fair value of the underlying assets and liabilities in each master fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

Agriculture	20.7	%
Energy	19.7	%
Foreign exchange	4.4	%
Interest rates	21.7	%
Metals	30.7	%
Softs	4.3	%
Stock index	(1.5	%)
	100.0	%

Systematic Strategies Portfolio

2011 Summary

Three Months Ended June 30, 2011

For the three months ended June 30, 2011, the Systematic Strategies Portfolio experienced net trading losses of $1,047,609 attributable to the following sectors:

Agriculture	$	(167,533	)
Energy		(526,731	)
Foreign exchange		54,104
Interest rates		252,512
Metals		(113,729	)
Softs		(214,043	)
Stock index		(332,189	)
	$	(1,047,609	)

The energy sector generated the largest losses during the period when gains from the early portion of the quarter as prices moved higher were offset when prices reversed and continued sharply downward in reaction to the announced release of strategic oil reserves in June. The equity sector also generated losses. Gains early in the quarter on encouraging earnings data while continued low interest rates fueled hope of a global economic recovery. However, losses incurred as prices reversed in a sharp reduction of risk in various markets outweighed earlier gains. Losses were recognized in the metals sector despite gains in the beginning of the quarter as prices moved sharply up which were offset by losses later in the quarter as prices reversed most notably in gold. Losses were also recognized in the agriculture and softs sectors. The portfolio was able to generate profits in the interest rates sector led by gains in the U.S. fixed income markets as prices climbed amid the diminishing appetite for risk assets in the beginning of the quarter offset by losses as risk appetite returned later in the quarter resulting in lower prices. The portfolio was able to post gains in the European fixed income markets despite the sharp market reversals at the end of the quarter. Gains were recognized in foreign exchange amid significant volatility as the U.S. dollar fell then rose sharply against European and commodity currencies as the oscillating outlook for the eurozone debt crisis and conflicting economic reports drove the markets.

105

Index

For the three months ended June 30, 2011, Brokerage Fees increased by $121,852 or 138.8%, Advisory Fees increased by $72,607 or 105.9% and Sponsor Fees increased by $36,304 or 105.9% in the Systematic Strategies Portfolio over the corresponding period of the preceding year. These increases are all attributable to higher net assets of the portfolio resulting from subscriptions, partially offset by redemptions and a net loss for the period. During the same period interest income decreased by $5,950 or -17.1%. Interest was earned on free cash at an average annualized yield of 0.47% for the three months ended June 30, 2011 compared to 0.61% for the same period in 2010.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio for the period. For the three months ended June 30, 2011 Incentive Allocation decreased by $2,192, compared to zero for the corresponding period of 2010, related to shares redeemed when the portfolio was in a period of New High Net Trading Profits.

Six Months Ended June 30, 2011

For the six months ended June 30, 2011, the Systematic Strategies Portfolio experienced net trading losses of $1,514,749 attributable to the following sectors:

Agriculture	$	(162,511	)
Energy		(304,947	)
Foreign exchange		(328,749	)
Interest rates		11,751
Metals		55,685
Softs		(43,712	)
Stock index		(742,266	)
	$	(1,514,749	)

The equity sector generated losses for the period despite recognizing gains in the early part of the year amid rising equity prices driven by improved global economic output and improved investor optimism. Significant losses, notably in European indices, were recognized in March as the earthquake and tsunami in Japan generated dramatic market reversals. The equity sector also generated losses as advances early in the second quarter on encouraging earnings data and continued low interest rates fueled hope of a global economic recovery were reversed as prices declined in a sharp reduction of risk in various markets. The foreign exchange sector generated losses during the period as the U.S. dollar abruptly reversed its declining trend early in the first quarter and strengthened following the release of favorable employment data. These losses were slightly offset as trading for the remainder of the quarter generated modest gains notably in commodity currencies such as the Canadian and Australian dollars. Gains were recognized in foreign exchange in the second quarter amid significant volatility in these as the U.S. dollar fell then rose sharply against European and commodity currencies as the oscillating outlook for the eurozone debt crisis and conflicting economic reports drove the markets which partially offset first quarter losses. The portfolio generated profits in the energy sector in the first quarter notably in crude and heating oil as continued tensions in the Middle East drove energy price higher. These profits were offset by larger losses generated in the second quarter as prices reversed in the middle of the quarter and continued sharply downward in reaction to the announced release of strategic oil reserves in June. Losses were also recognized in the agriculture and softs sectors during the period. The portfolio was able to post gains in the metals sector benefiting from the rising price of silver which rose on steep demand on tight supply levels during the first quarter which was mitigated by losses in the second quarter as prices reversed, notably in gold as investors unloaded safe haven assets in favor of risk assets. The portfolio was able to generate profits in the interest rates sector led by gains in the U.S. fixed income markets in the second quarter as prices climbed amid the diminishing appetite for risk assets in the beginning of the quarter offset by losses as risk appetite returned later in the quarter resulting in lower prices. The portfolio was able to post gains in the European fixed income markets despite the sharp market reversals at the end of the quarter.

106

Index

For the six months ended June 30, 2011, Brokerage Fees increased by $240,674 or 162.8%, Advisory Fees increased by $151,557 or 134.2% and Sponsor Fees increased by $75,779 or 134.2% in the Systematic Strategies Portfolio over the corresponding period of the preceding year. These increases are all attributable to higher net assets of the portfolio resulting from subscriptions, partially offset by redemptions and a net loss for the period. During the same period interest income decreased by $4,866 or -8.3%. Interest was earned on free cash at an average annualized yield of 0.48% for the six months ended June 30, 2011 compared to 0.61% for the same period in 2010.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio for the period. For the six months ended June 30, 2011 Incentive Allocation decreased by $3,012, compared to zero for the corresponding period of 2010, related to shares redeemed when the portfolio was in a period of New High Net Trading Profits.

The following table illustrates the sector distribution of the Systematic Strategies Portfolio’s investments in Master Funds as of June 30, 2011 based on the fair value of the underlying assets and liabilities in each master fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

Agriculture	3.0	%
Energy	5.5	%
Foreign exchange	(1.6	%)
Interest rates	117.7	%
Metals	28.5	%
Softs	(4.1	%)
Stock index	(49.0	%)
	100.0	%

2010 Summary

Three Months Ended June 30, 2010

For the three months ended June 30, 2010, the Systematic Strategies Portfolio experienced net trading gains of $42,567 attributable to the following sectors:

Agriculture	$	(84,177	)
Energy		(304,083	)
Foreign exchange		(71,533	)
Interest rates		879,528
Metals		(70,581	)
Softs		(20,043	)
Stock index		(286,544	)
	$	42,567

107

Index

For the three months ended June 30, 2010, Brokerage Fees increased by $87,379, Advisory Fees increased by $68,315, and Sponsor Fees increased by $14,157 in the portfolio over the corresponding period of the preceding year. These increases are all attributable to higher net assets of the portfolio resulting from subscriptions partially offset by redemptions and a net loss for the period.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio for the period. For the three months ended June 30, 2010, there was no Incentive Allocation earned due to the portfolio experiencing a net loss for the period.

Six Months Ended June 30, 2010

For the six months ended June 30, 2010, the Systematic Strategies Portfolio experienced net trading gains of $1,551 attributable to the following sectors:

Agriculture	$	232
Energy		2,122
Foreign exchange		308
Interest rates		(7,061	)
Metals		985
Softs		1,295
Stock index		3,670
	$	1,551

The portfolio posted a solid gain in April. Profits were largely the result of positions in the fixed income markets as investors bought bonds as a safe haven. In foreign exchange, the portfolio took advantage of the euro's decline against virtually all currencies, while positions in the Australian and Canadian dollars benefited the portfolio earlier in the month. Positions in the energy and soft markets also resulted in gains as crude oil and cotton prices rose. Gains in these commodity markets partially mitigated negative results from the metals and agricultural markets, as falling base metals prices and rising wheat prices generated losses. The portfolio recorded a modest loss in May. Losses were incurred amid volatile conditions in global equity indices and crude oil, as prices fell sharply. Similarly, steep declines in industrial metals resulted in modest losses. However, the portfolio recorded offsetting gains in the fixed income markets as investors bought bonds in a flight to safety. Additional profits stemmed from positions in the foreign exchange markets as our models benefitted from the euro’s decline against other major currencies. The portfolio recorded a loss in June. Global markets witnessed multiple price reversals during the month. Strengthening European currencies versus the U.S. dollar, predominately the Swiss franc, and choppiness in global stock indices led to the majority of the portfolio’s losses. Trading in commodities also resulted in losses as prices moved in a choppy range for most of the month. The portfolio captured offsetting profits from trading in fixed income, as benchmark yields continued to decline in the U.S., Europe and Asia, with the most significant gains coming from U.S. instruments. During the month of March, profits were recorded in U.S. equity indices, as well as across Asian and European equity indices. The portfolio also experienced gains in foreign exchange, with notable profits from long positions in the Canadian and Australian dollars. Smaller gains were recorded in commodities trading. Losses in the U.S. and Asian fixed income markets offset a portion of the portfolio’s overall gain for the month. The portfolio experienced gains in February as trends emerged in currencies and the fixed income markets. The portfolio generated profits in foreign exchange, particularly from trading the Australian dollar, euro, yen and British pound. Similarly, a rally in the fixed income markets resulted in gains for the portfolio in European fixed income, particularly from positions in Euribor and BOBL. The portfolio incurred smaller losses for the month from trading commodities, including sugar, corn, wheat and crude oil. The portfolio recorded a loss during January due primarily to sharp price trend reversals across virtually all macro sectors. Specifically, losses occurred as the European equity index markets declined, while the U.S. dollar rallied against the Swiss franc, Australian and New Zealand dollars and the euro. In the commodity sector, losses resulted as prices declined in industrial metals, crude oil and soybeans. Smaller gains in the fixed income sector offset a portion of the month’s losses.

108

Index

For the six months ended June 30, 2010, Brokerage Fees increased by $147,353, Advisory Fees increased by $112,685, and Sponsor Fees increased by $56,342 in the portfolio over the corresponding period of the preceding year. These increases are all attributable to higher net assets of the portfolio resulting from subscriptions partially offset by redemptions and a net loss for the period.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio for the period. For the six months ended June 30, 2010 there was no Incentive Allocation earned due to the portfolio experiencing a net loss for the period.

The following table illustrates the sector distribution of the Systematic Strategies Portfolio’s investments in Master Funds as of December 31, 2010 based on the fair value of the underlying assets and liabilities in each master fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

Agriculture	21.3	%
Energy	14.1	%
Foreign exchange	19.3	%
Interest rates	(15.6	%)
Metals	56.3	%
Softs	7.6	%
Stock index	(3.0	%)
	100.0	%

Variables Affecting Performance

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

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

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

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Index

(ii) Liquidity

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

	Blended Strategies Portfolio		Systematic Strategies Portfolio
June 30, 2011		16.04%		11.18%
December 31, 2010		7.57%		7.73%
June 30, 2010		5.37%		5.50%

Other than any potential market-imposed limitations on liquidity, the Fund’s assets are highly liquid and are expected to remain so. Market-imposed limitations, when they occur, can be due to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Fund’s futures trading. Through June 30, 2011, the Fund experienced no meaningful periods of illiquidity in any of the markets traded by the Manager on behalf of the Fund.

(iii) Capital Resources

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

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

(iv) Critical Accounting Policies

Use of Estimates – The Fund’s 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 preparation of the 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. The Fund’s significant accounting policies are described in detail in Note 2 of the financial statements.

110

Index

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

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

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

Cash Assets - The GAIT Funds invest a portion of their excess liquidity in Cash Assets, an entity for which the Manager is also the sole investment advisor. The financial information of Cash Assets is included in the notes to the Financial Statements of the GAIT Funds.

Statement of Operations - As discussed under Item 1, the Fund offers Class 0 and Class 2 units of the Blended Strategies Portfolio and the Systematic Strategies Portfolio. Class 0 and Class 2 units within each portfolio differ only with respect to their fees. The Blended Strategies and Systematic Strategies Portfolios differ with respect to the underlying funds in which they invest. All items of gain, loss, income and expense of the Fund are specifically and directly allocated to each portfolio from the underlying Master Funds. The Fund presents a combined statement of operations which encompasses the amounts applicable to the Blended and Systematic Strategies Portfolios.

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

U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the 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 Manager has evaluated the Fund’s tax positions and has concluded that there are no significant tax positions requiring recognition, measurement or disclosure in the financial statements. 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.

(v) Off-Balance Sheet Arrangements

The Fund does not engage in off-balance sheet arrangements with other entities.

111

Index

Item 3. Quantitative and Qualitative Disclosures about Market Risk

Not Required.

112

Index

Item 4. Controls and Procedures

The Advisor’s Chief Executive Officer and Chief Financial Officer have evaluated the effectiveness of the design and operation of the Fund’s disclosure controls and procedures, as defined in Rules 13a-15(e) and 15d-15(e) of the Securities Exchange Act of 1934, as of June 30, 2011. Based on that evaluation, the Advisor’s Chief Executive Officer and Chief Financial Officer concluded that the Fund’s disclosure controls and procedures were effective as of June 30, 2011.

There were no changes to the Fund’s internal controls over financial reporting during the second quarter of 2011 that have materially affected, or are reasonably likely to materially affect, the Fund’s internal controls over financial reporting.

113

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PART II. OTHER INFORMATION

Item 1. Legal Proceedings

None

Item 1A. Risk Factors

Not Required

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

For the three months ended June 30, 2011, the Fund issued 105,765.585 Units in exchange for $13,525,389 with respect to the Blended Strategies Portfolio and 42,648.258 Units in exchange for $4,232,675 with respect to the Systematic Strategies Portfolio, in each case in a transaction that was not registered under the Securities Act of 1933, as amended (the “Act”). The Units were issued in reliance upon applicable exemptions from registration under Section 4(2) of the Act and Section 506 of Regulation D promulgated thereunder.

The following chart sets forth the purchases of Units of the Fund.

	Blended Strategies Portfolio Total Number of Units Purchased		Systematic Strategies Portfolio Total Number of Units Purchased
Period (as of)
April 1, 2011		21,905.149		11,178.877
May 1, 2011		21,976.191		16,917.344
June 1, 2011		61,884.245		14,552.037

Item 3. Defaults Upon Senior Securities – None

Item 4. [Removed and Reserved]

Item 5. Other Information – None

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Index

Item 6. Exhibits

* 3.1	Certificate of Formation of Graham Alternative Investment Fund II LLC
* 4.1	Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund II LLC
* 10.1	Form of Subscription Agreement
* 10.2	Form of Placement Agreement

* Incorporated by reference to the Fund’s Form 10 previously filed on April 30, 2010

The exhibits required to be filed by Item 601 of regulation S-K are incorporated herein by reference

31.1	—	Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Executive Officer)

31.2	—	Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer)

32.1	—	Section 1350 Certification (Certification of Chief Executive Officer and Chief Financial Officer)

101.INS	—	XBRL Instance Document

101.SCH	—	XBRL Taxonomy Extension Schema Document

101.CAL	—	XBRL Taxonomy Extension Calculation Linkbase Document

101.DEF	—	XBRL Taxonomy Extension Definition Linkbase Document

101.LAB	—	XBRL Taxonomy Extension Label Linkbase Document

101.PRE	—	XBRL Taxonomy Extension Presentation Linkbase Document

115

Index

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Dated: August 15, 2011	GRAHAM ALTERNATIVE INVESTMENT FUND II LLC

	By:	GRAHAM CAPITAL MANAGEMENT, L.P.
		its Manager

		By:	/s/ Paul Sedlack
			Paul Sedlack, Chief Executive Officer

		By:	/s/ Jeff Baisley
			Jeff Baisley, Chief Financial Officer

116

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

			Page
			Number

PART I - Financial Information:

	Item 1.	Financial Statements:

		Graham Alternative Investment Fund II LLC

		Statements of Financial Condition at June 30, 2011 and December 31, 2010 (unaudited)	1

		Statements of Operations for the three months and six months ended June 30, 2011 and 2010 (unaudited)	2

		Statements of Changes in Members’ Capital for the six months ended June 30, 2011 and 2010 (unaudited)	3

		Statements of Cash Flows for the six months ended June 30, 2011 and 2010 (unaudited)	5

		Notes to Financial Statements (unaudited)	6

		Graham Alternative Investment Trading LLC

		Statements of Financial Condition at June 30, 2011 (unaudited) and December 31, 2010 (audited)	16

		Condensed Schedules of Investments at June 30, 2011 (unaudited) and December 31, 2010 (audited)	17

		Statements of Operations and Managing Member Allocation for the three months and six months ended June 30, 2011 and 2010 (unaudited)	18

		Statements of Changes in Members’ Capital for the six months ended June 30, 2011 and 2010 (unaudited)	19

		Statements of Cash Flows for the six months ended June 30, 2011 and 2010 (unaudited)	20

		Notes to Financial Statements (unaudited)	21

		Graham Alternative Investment Trading II LLC

		Statements of Financial Condition at June 30, 2011 (unaudited) and December 31, 2010 (audited)	72

	June 30, 2011 (Unaudited)		December 31, 2010 (Audited)
Assets
Investment in Graham Alternative Investment Trading LLC, at fair value	$	165,358,661	$	147,900,169
Investment in Graham Alternative Investment Trading II LLC, at fair value		27,791,560		21,286,941
Redemptions receivable from Graham Alternative Investment Trading LLC		1,462,215		1,136,034
Redemptions receivable from Graham Alternative Investment Trading II LLC		118,938		729,231
Total assets	$	194,731,374	$	171,052,375

Liabilities and members’ capital
Liabilities:
Accrued redemptions	$	1,581,153	$	1,865,265
Total liabilities		1,581,153		1,865,265

Members’ capital:
Blended Strategies Portfolio
Class 0 Units (1,017,733.911 and 875,825.668 units issued and outstanding at $132.67 and $138.96, respectively)		135,026,360		121,701,356
Class 2 Units (282,211.421 and 230,452.833 units issued and outstanding at $107.48 and $113.68, respectively)		30,332,301		26,198,813
Total Blended Strategies Portfolio		165,358,661		147,900,169

Systematic Strategies Portfolio
Class 0 Units (147,976.309 and 122,899.506 units issued and outstanding at $95.59 and $102.92, respectively)		14,145,788		12,648,247
Class 2 Units (148,825.658 and 86,626.635 units issued and outstanding at $91.69 and $99.72, respectively)		13,645,772		8,638,694
Total Systematic Strategies Portfolio		27,791,560		21,286,941
Total members’ capital		193,150,221		169,187,110
Total liabilities and members’ capital	$	194,731,374	$	171,052,375

	Three Months Ended June 30,						Six Months Ended June 30,
	2011 (Unaudited)			2010 (Unaudited)			2011 (Unaudited)			2010 (Unaudited)
Net (loss) gain allocated from investments in other funds:
Net realized (loss) gain on investments	$	(1,716,526	)	$	4,141,904		$	(1,171,485	)	$	1,872,294
Net decrease in unrealized appreciation on investments		(3,304,523	)		(2,768,449	)		(4,452,029	)		(154,576	)
Net (loss) gain allocated from investments in other funds		(5,021,049	)		1,373,455			(5,623,514	)		1,717,718

Net investment loss allocated from investments in other funds:
Investment income:
Interest income		195,904			334,839			385,025			656,607

Expenses:
Brokerage fees		1,201,712			761,864			2,308,552			1,436,591
Advisory fees		980,774			647,668			1,892,299			1,216,960
Sponsor fees		490,388			323,834			946,150			608,480
Incentive allocation		15,153			5,732			14,461			5,732
Interest and other		24,997			12,566			29,303			18,121
Total expenses		2,713,024			1,751,664			5,190,765			3,285,884
Net investment loss allocated from investments in other funds		(2,517,120	)		(1,416,825	)		(4,805,740	)		(2,629,277	)
Net loss	$	(7,538,169	)	$	(43,370	)	$	(10,429,254	)	$	(911,559	)

	Blended Strategies Portfolio
	Class 0 Units						Class 2 Units						Total
	Units			Capital			Units			Capital			Blended Strategies Portfolio

Members’ capital, December 31, 2009		636,284.928		$	86,253,313			161,590.940		$	18,215,970		$	104,469,283
Subscriptions		109,024.263			14,591,489			19,076.923			2,118,829			16,710,318
Redemptions		(21,916.867	)		(2,956,776	)		(11,792.392	)		(1,308,900	)		(4,265,676	)
Net loss		–			(372,446	)		–			(280,849	)		(653,295	)
Members’ capital, June 30, 2010		723,392.324		$	97,515,580			168,875.471		$	18,745,050		$	116,260,630

EX - 31.1		Certification
EX - 31.2		Certification
EX - 32.1		Certification

	Blended Strategies Portfolio						Systematic Strategies Portfolio
	Class 0			Class 2			Class 0			Class 2
Per share operating performance
Net asset value per unit, March 31, 2010	$	134.58		$	111.36		$	96.29		$	94.35
Net gain (loss):
Net investment loss		(2.07	)		(1.73	)		(38.29	)		(1.57	)
Net gain on investments		2.29			1.37			37.72			0.55
Net gain (loss)		0.22			(0.36	)		(0.57	)		(1.02	)
Net asset value per unit, June 30, 2010	$	134.80		$	111.00		$	95.72		$	93.33


Net asset value per unit, March 31, 2011	$	137.45		$	111.91		$	100.08		$	96.48
Net loss:
Net investment loss		(1.55	)		(1.87	)		(1.26	)		(1.74	)
Net loss on investments		(3.23	)		(2.56	)		(3.23	)		(3.05	)
Net loss		(4.78	)		(4.43	)		(4.49	)		(4.79	)
Net asset value per unit, June 30, 2011	$	132.67		$	107.48		$	95.59		$	91.69

Net investment loss before in Incentive Allocation	(2.23	)%	(2.14	)%	(3.24	)%	(3.06	)%
Incentive Allocation	(0.01	)	0.00		(0.01	)	0.00
Net investment loss after Incentive Allocation	(2.24	)%	(2.14	)%	(3.25	)%	(3.06	)%

Total expenses before Incentive Allocation	2.58	%	2.69	%	3.63	%	3.59	%
Incentive Allocation	0.01		0.00		0.01		0.00
Total expenses after Incentive Allocation	2.59	%	2.69	%	3.64	%	3.59	%

	Graham Commodity Strategies LLC (Delaware)			Graham Discretionary Energy Trading III LLC (Delaware)			Graham Energy Focus LLC (Delaware)			Graham Fed Policy Ltd. (BVI)			Graham Global Monetary Policy LLC (Delaware)			Graham K4D Trading Ltd. (BVI)			Graham Macro Directional LLC (Delaware)
Assets:
Due from brokers	$	59,101,338		$	28,270		$	11,094,654		$	22,853,905		$	99,178,969		$	283,838,709		$	8,188,677
Options, at fair value		-			15,666,450			9,247,750			20,589,479			51,109			-			-
Derivative financial instruments, at fair value		17,115,826			11,032,266			4,451,835			9,311,469			1,643,750			3,440,679			-
Subscriptions receivable		-			-			-			2			120			405			-
Total assets		76,217,164			26,726,986			24,794,239			52,754,855			100,873,948			287,279,793			8,188,677

Liabilities:
Options, at fair value		-			-			4,954,950			8,214,512			-			-			-
Derivative financial instruments, at fair value		-			-			-			-			1,982,759			23,014,910			773,694
Due to brokers		-			5,011,839			-			27,540			609,562			546,447			294,519
Redemptions payable		-			-			-			145			-			405			-
Total liabilities		-			5,011,839			4,954,950			8,242,197			2,592,321			23,561,762			1,068,213
Net assets	$	76,217,164		$	21,715,147		$	19,839,289		$	44,512,658		$	98,281,627		$	263,718,031		$	7,120,464

Percentage of Master Fund held by the Fund		16.43	%		17.86	%		25.23	%		17.63	%		12.75	%		12.20	%		21.90	%

Description	Number of Contracts			Fair Value			Percentage of Net Assets of Master Fund
Graham Commodity Strategies LLC (continued)
Short contracts
Futures
Brent Crude Penultimate Financial December 2012		(1,097	)	$	(17,745,770	)		(23.28	)%
Heating Oil August 2011 – December 2011		(3,093	)		(4,870,177	)		(6.39	)%
LME Aluminum September 2011		(4,093	)		6,352,797			8.34	%
LME Copper September 2011		(983	)		(6,371,981	)		(8.36	)%
Other LME Lead September 2011		(1,685	)		(3,608,573	)		(4.73	)%
LME Nickel September 2011		(900	)		(4,755,864	)		(6.24	)%
LME Zinc September 2011		(3,892	)		(9,297,231	)		(12.20	)%
Natural Gas August 2011 – October 2012		(3,161	)		4,149,650			5.44	%
Wheat September 2011		(2,084	)		24,297,875			31.88	%
Wheat July 2012		(1,859	)		17,815,313			23.37	%
Other Wheat March 2012		(247	)		2,489,625			3.27	%
WTI Crude August 2011		(1,565	)		(6,124,220	)		(8.04	)%
WTI Crude December 2011		(2,618	)		5,586,040			7.33	%
WTI Crude December 2014		(1,000	)		(4,210,000	)		(5.52	)%
Other WTI Crude March 2012 – June 2013		(1,000	)		300,000			0.39	%
Other commodity					6,437,996			8.45	%
Total futures					10,445,480			13.71	%

Swaps
Gasoline June 2012		(27	)		(6,088,500	)		(7.99	)%
Total swaps					(6,088,500	)		(7.99	)%

Total				$	17,115,826			22.46	%

Description	Number of Contracts			Fair Value			Percentage of Net Assets of Master Fund
Graham Fed Policy Ltd.
Long contracts
Futures
30 Day Fed Fund July 2011		7,641		$	3,162,024			7.10	%
30 Day Fed Fund August 2011		8,213			4,263,966			9.58	%
Other 30 Day Fed Fund June 2011 – June 2012		11,118			1,915,002			4.30	%
Total futures					9,340,992			20.98	%

Options
Eurodollar September 2011, $99.63 Call		15,000			3,375,000			7.58	%
Eurodollar March 2012, $99.63 Call		17,250			3,018,750			6.78	%
Fed Fund futures July 2011, $99.81 Call		6,750			2,531,453			5.69	%
Fed Fund futures August 2011, $99.81 Call		8,967			2,615,584			5.88	%
Fed Fund futures September 2011, $99.81 Call		14,380			3,145,877			7.07	%
Fed Fund futures July 2011 - December 2011, $99.75 - $99.88 Put		41,800			3,725,558			8.37	%
Other Fed Fund futures August 2011 – December 2011, $99.75 -$99.88 Call		11,625			2,177,257			4.89	%
Total options					20,589,479			46.26	%

Short contracts
Futures
Interest rate					(29,523	)		(0.07	)%
Total futures					(29,523	)		(0.07	)%

Options
Fed Fund futures July 2011 - December 2011, $99.88 Call		(76,616	)		(4,683,354	)		(10.52	)%
Fed Fund futures July 2011 - January 2012, $99.75 - $99.81 Put		(78,925	)		(2,106,158	)		(4.73	)%
Other interest rate futures					(1,425,000	)		(3.20	)%
Total options					(8,214,512	)		(18.45	)%

Total				$	21,686,436			48.72	%

	Graham Commodity Strategies LLC			Graham Discretionary Energy Trading III LLC			Graham Energy Focus LLC			Graham Fed Policy Ltd.			Graham Global Monetary Policy LLC			Graham K4D Trading Ltd.			Graham Macro Directional LLC
Long Contracts
Level 1:
U.S. bond futures	$	-		$	-		$	-		$	-		$	(374,234	)	$	(11,253,047	)	$	-
Foreign bond futures		-			-			-			-			-			(8,536,516	)		(729,506	)
U.S. index futures		-			-			-			-			-			10,415,895			-
Foreign index futures		-			-			-			-			-			5,025,773			-
Commodity futures		6,258,596			(6,832,218	)		(1,005,298	)		-			(1,798,730	)		(1,129,857	)		-
Commodity futures options		-			15,666,450			9,247,750			-			-			-			-
Commodity swaps		6,500,250			(2,363,500	)		(5,604,470	)		-			-			-			-
Interest rate futures		-			-			-			9,340,992			2,631,128			(1,020,274	)		-
Interest rate futures options		-			-			-			20,589,479			-			-			-
Currency futures		-			-			-			-			-			1,073,226			-
Total Level 1		12,758,846			6,470,732			2,637,982			29,930,471			458,164			(5,424,800	)		(729,506	)

Level 2:
Foreign currency forwards		-			-			-			-			1,008,468			117,563,119			29,294
Foreign currency options		-			-			-			-			51,109			-			-
Total Level 2		-			-			-			-			1,059,577			117,563,119			29,294
Total long contracts	$	12,758,846		$	6,470,732		$	2,637,982		$	29,930,471		$	1,517,741		$	112,138,319		$	(700,212	)

Short Contracts
Level 1:
Foreign bond futures	$	-		$	-		$	-		$	-		$	1,128,704		$	(239,058	)	$	-
Foreign index futures		-			-			-			-			-			(5,079,843	)		-
Commodity futures		10,445,480			17,815,764			9,715,295			-			1,715,360			(7,688,784	)		-
Commodity futures options		-			-			(4,954,950	)		-			-			-			-
Commodity swaps		(6,088,500	)		2,412,220			1,346,308			-			-			-			-
Interest rate futures		-			-			-			(29,523	)		(3,522,264	)		(3,830,906	)		-
Interest rate futures options		-			-			-			(8,214,512	)		-			-			-
Currency futures		-			-			-			-			-			(742,175	)		-
Total Level 1		4,356,980			20,227,984			6,106,653			(8,244,035	)		(678,200	)		(17,580,766	)		-

Level 2:
Foreign currency forwards		-			-			-			-			(1,127,441	)		(114,131,784	)		(73,482	)
Total Level 2		-			-			-			-			(1,127,441	)		(114,131,784	)		(73,482	)
Total short contracts	$	4,356,980		$	20,227,984		$	6,106,653		$	(8,244,035	)	$	(1,805,641	)	$	(131,712,550	)	$	(73,482	)

	Graham Commodity Strategies LLC															Graham Discretionary Energy Trading III LLC
	Long exposure				Short exposure											Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities			Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities

Commodity price
Futures	$	3,129,999,827		38,933	$	(3,067,357,829	)		(40,036	)	$	140,494,929	$	(123,790,853	)	$	584,755,077		10,454	$	(533,743,744	)		(10,864	)	$	31,608,843	$	(20,625,297	)
Swaps		25,359,750		27		(25,481,250	)		(27	)		6,500,250		(6,088,500	)		55,587,500		4,800		(49,594,080	)		(4,476	)		2,412,220		(2,363,500	)
		3,155,359,577		38,960		(3,092,839,079	)		(40,063	)		146,995,179		(129,879,353	)		640,342,577		15,254		(583,337,824	)		(15,340	)		34,021,063		(22,988,797	)

Equity price
Futures		-		-		-			-			-		-			-		-		-			-			-		-
		-		-		-			-			-		-			-		-		-			-			-		-

Foreign currency exchange rate
Futures		-		-		-			-			-		-			-		-		-			-			-		-
Forwards		-		-		-			-			-		-			-		-		-			-			-		-
		-		-		-			-			-		-			-		-		-			-			-		-

Interest rate
Futures		-		-		-			-			-		-			-		-		-			-			-		-
		-		-		-			-			-		-			-		-		-			-			-		-
Total	$	3,155,359,577		38,960	$	(3,092,839,079	)		(40,063	)	$	146,995,179	$	(129,879,353	)	$	640,342,577		15,254	$	(583,337,824	)		(15,340	)	$	34,021,063	$	(22,988,797	)

Collateral balances supporting all derivative positions													$	59,101,338														$	(4,983,569	)

	Graham Energy Focus LLC															Graham Fed Policy Ltd.
	Long exposure				Short exposure											Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities			Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities

Commodity price
Futures	$	131,417,718		3,454	$	(267,852,450	)		(6,117	)	$	12,455,625	$	(3,745,628	)	$	-		-	$	-			-		$	-	$	-
Swaps		260,296,748		21,961		(106,125,213	)		(9,068	)		3,084,846		(7,343,008	)		-		-		-			-			-		-
		391,714,466		25,415		(373,977,663	)		(15,185	)		15,540,471		(11,088,636	)		-		-		-			-			-		-

Equity price
Futures		-		-		-			-			-		-			-		-		-			-			-		-
		-		-		-			-			-		-			-		-		-			-			-		-

Foreign currency exchange rate
Futures		-		-		-			-			-		-			-		-		-			-			-		-
Forwards		-		-		-			-			-		-			-		-		-			-			-		-
		-		-		-			-			-		-			-		-		-			-			-		-

Interest rate
Futures		-		-		-			-			-		-			11,222,846,646		26,972		(901,209,799	)		(2,170	)		9,340,992		(29,523	)
		-		-		-			-			-		-			11,222,846,646		26,972		(901,209,799	)		(2,170	)		9,340,992		(29,523	)
Total	$	391,714,466		25,415	$	(373,977,663	)		(15,185	)	$	15,540,471	$	(11,088,636	)	$	11,222,846,646		26,972	$	(901,209,799	)		(2,170	)	$	9,340,992	$	(29,523	)

Collateral balances supporting all derivative positions													$	11,094,654														$	22,826,365

	Graham Global Monetary Policy LLC															Graham K4D Trading Ltd.
	Long exposure				Short exposure											Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities			Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities

Commodity price
Futures	$	46,492,000		650	$	(23,695,000	)		(500	)	$	1,715,360	$	(1,798,730	)	$	1,345,596,497		15,854	$	(758,255,780	)		(12,860	)	$	28,003,129	$	(36,821,770	)
		46,492,000		650		(23,695,000	)		(500	)		1,715,360		(1,798,730	)		1,345,596,497		15,854		(758,255,780	)		(12,860	)		28,003,129		(36,821,770	)

Equity price
Futures		-		-		-			-			-		-			476,877,253		6,819		(263,048,422	)		(4,747	)		15,441,668		(5,079,843	)
		-		-		-			-			-		-			476,877,253		6,819		(263,048,422	)		(4,747	)		15,441,668		(5,079,843	)

Foreign currency exchange rate
Futures		-		-		-			-			-		-			445,249,816		2,709		(275,073,860	)		(2,797	)		1,326,426		(995,375	)
Forwards		2,684,470		-		(3,371,806	)		-			2,646,610		(2,765,583	)		31,171,994		-		(18,184,872	)		-			21,904,835		(18,473,500	)
		2,684,470		-		(3,371,806	)		-			2,646,610		(2,765,583	)		476,421,810		2,709		(293,258,732	)		(2,797	)		23,231,261		(19,468,875	)

Interest rate
Futures		1,247,933,160		3,000		(11,437,252,636	)		(34,190	)		3,863,605		(4,000,271	)		11,774,187,855		45,104		(2,692,780,158	)		(8,420	)		3,205,822		(28,085,623	)
		1,247,933,160		3,000		(11,437,252,636	)		(34,190	)		3,863,605		(4,000,271	)		11,774,187,855		45,104		(2,692,780,158	)		(8,420	)		3,205,822		(28,085,623	)
Total	$	1,297,109,630		3,650	$	(11,464,319,442	)		(34,690	)	$	8,225,575	$	(8,564,584	)	$	14,073,083,415		70,486	$	(4,007,343,092	)		(28,824	)	$	69,881,880	$	(89,456,111	)

Collateral balances supporting all derivative positions													$	98,569,407														$	283,292,262

	Graham Macro Directional LLC
	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts		Derivative Assets		Derivative Liabilities

Commodity price
Futures	$	-		-	$	-			-	$	-	$	-
		-		-		-			-		-		-

Equity price
Futures		-		-		-			-		-		-
		-		-		-			-		-		-

Foreign currency exchange rate
Futures		-		-		-			-		-		-
Forwards		-		-		(42,608	)		-		-		(44,188	)
		-		-		(42,608	)		-		-		(44,188	)

Interest rate
Futures		685,724,754		5,700		-			-		515,627		(1,245,133	)
		685,724,754		5,700		-			-		515,627		(1,245,133	)
Total	$	685,724,754		5,700	$	(42,608	)		-	$	515,627	$	(1,289,321	)

Collateral balances supporting all derivative positions												$	7,894,158

	Graham Commodity Strategies LLC (Delaware)			Graham Discretionary Energy Trading III LLC (Delaware)			Graham Energy Focus LLC (Delaware)			Graham Fed Policy Ltd. (BVI)			Graham Global Monetary Policy LLC (Delaware)			Graham K4D Trading Ltd. (BVI)			Graham Macro Directional LLC (Delaware)			Graham Short Term Global Macro LLC (Delaware)

	Three Months Ended June 30, 2011
Net investment loss	$	(4,386	)	$	(21,842	)	$	(6,663	)	$	(2,910	)	$	(38,503	)	$	(206,478	)	$	(7,866	)	$	-

Net realized gain (loss) on investments		6,750,578			(16,112,867	)		(2,018,687	)		6,717,130			(9,593,084	)		(21,262,016	)		(1,633,982	)		-
Net increase (decrease) in unrealized appreciation on investments		5,564,570			(12,797,859	)		7,684,531			2,089,673			(2,852,943	)		(70,349,041	)		(1,329,149	)		-
Brokerage commissions and fees		(1,639,470	)		(752,389	)		(255,097	)		(715,972	)		(660,192	)		(3,638,222	)		(701,773	)		-
Net gain (loss) on investments		10,675,678			(29,663,115	)		5,410,747			8,090,831			(13,106,219	)		(95,249,279	)		(3,664,904	)		-
Net income (loss)	$	10,671,292		$	(29,684,957	)	$	5,404,084		$	8,087,921		$	(13,144,722	)	$	(95,455,757	)	$	(3,672,770	)	$	-

	Six Months Ended June 30, 2011
Net investment income (loss)	$	(8,866	)	$	(20,874	)	$	(15,484	)	$	(4,030	)	$	(66,633	)	$	(290,344	)	$	(8,423	)	$	1,186

Net realized gain (loss) on investments		77,093,191			(15,551,080	)		(5,950,891	)		22,305,960			11,375,066			(68,425,848	)		(23,415,872	)		3,960,455
Net increase (decrease) in unrealized appreciation on investments		(19,856,052	)		(8,962,985	)		5,582,153			735,914			890,931			(65,095,579	)		(1,049,458	)		(1,898,136	)
Brokerage commissions and fees		(3,473,172	)		(1,603,103	)		(641,577	)		(1,300,533	)		(1,373,768	)		(6,930,150	)		(1,020,771	)		(548,562	)
Net gain (loss) on investments		53,763,967			(26,117,168	)		(1,010,315	)		21,741,341			10,892,229			(140,451,577	)		(25,486,101	)		1,513,757
Net income (loss)	$	53,755,101		$	(26,138,042	)	$	(1,025,799	)	$	21,737,311		$	10,825,596		$	(140,741,921	)	$	(25,494,524	)	$	1,514,943

	Graham Commodity Strategies LLC			Graham Discretionary Energy Trading III LLC			Graham Energy Focus LLC			Graham Fed Policy Ltd.			Graham Global Monetary Policy LLC			Graham K4D Trading Ltd.			Graham Macro Directional LLC			Graham Short Term Global Macro LLC
Commodity price
Futures	$	12,699,898		$	(27,398,379	)	$	13,273,438		$	-		$	2,837,354		$	(87,798,352	)	$	(96,992	)	$	-
Options		-			(1,337,727	)		(303,114	)		-			(295,000	)		-			-			-
Swaps		(384,750	)		(174,620	)		(7,304,480	)		-			-			-			-			-
		12,315,148			(28,910,726	)		5,665,844			-			2,542,354			(87,798,352	)		(96,992	)		-
Equity price
Futures		-			-			-			-			(538,540	)		(28,028,918	)		(4,385,320	)		-
Options		-			-			-			-			-			-			-			-
		-			-			-			-			(538,540	)		(28,028,918	)		(4,385,320	)		-
Foreign currency exchange rate
Futures		-			-			-			-			-			(4,534,058	)		-			-
Forwards		-			-			-			-			2,968,389			5,477,710			(16,428,584	)		-
Options		-			-			-			-			(8,260,446	)		-			-			-
		-			-			-			-			(5,292,057	)		943,652			(16,428,584	)		-
Interest rate
Futures		-			-			-			11,348,100			(8,895,284	)		23,272,561			17,947,765			-
Options		-			-			-			(2,541,297	)		(262,500	)		-			-			-
		-			-			-			8,806,803			(9,157,784	)		23,272,561			17,947,765			-
Total	$	12,315,148		$	(28,910,726	)	$	5,665,844		$	8,806,803		$	(12,446,027	)	$	(91,611,057	)	$	(2,963,131	)	$	-

Description	Number of Contracts/ Principal Amount			Fair Value			Percentage of Net Assets of Master Fund
Graham Global Monetary Policy LLC
Long contracts
Futures
Commodity				$	833,980			2.10	%
Interest rate					1,570,955			3.95	%
Total futures					2,404,935			6.05	%

Options
Foreign currency					603,151			1.52	%
Total options					603,151			1.52	%

Forwards
Japanese Yen / U.S. Dollar 01/04/11	JPY 35,703,594,900				2,677,452			6.73	%
Japanese Yen / U.S. Dollar 01/05/11	JPY 34,708,122,000				2,429,135			6.11	%
Chinese Yuan / U.S. Dollar 06/17/11 - 06/27/11	CNY 471,400,000				2,318,175			5.83	%
Australian Dollar / U.S. Dollar 01/04/11 - 01/05/11	AUD 550,000,000				3,850,775			9.68	%
Other foreign currency					(474,653	)		(1.19	)%
Total forwards					10,800,884			27.16	%

Short contracts
Futures
Euroswiss March 2011		(7,500	)		(2,070,419	)		(5.21	)%
Other interest rate					(1,009,594	)		(2.53	)%
U.S. bond					(37,016	)		(0.09	)%
Foreign bond					641,195			1.61	%
Commodity					(770,200	)		(1.94	)%
Total futures					(3,246,034	)		(8.16	)%

Forwards
Australian dollar / U.S. dollar 01/04/11	AUD (450,000,000)				(3,909,044	)		(9.83	)%
Other Australian dollar / U.S. dollar 01/05/11	AUD (115,000,000)				(192,228	)		(0.48	)%
Japanese Yen / U.S. dollar 01/04/11	JPY (35,868,141,100)				(4,709,285	)		(11.84	)%
Other Japanese Yen / U.S. dollar 01/05/11	JPY (40,735,192,000)				(1,652,261	)		(4.16	)%
Other foreign currency					(2,682,356	)		(6.75	)%
Total forwards					(13,145,174	)		(33.06	)%

Total				$	(2,582,238	)		(6.49	)%

Description	Principal Amount / Number of Contracts		Fair Value			Percentage of Net Assets of Master Fund
Graham Short Term Global Macro LLC
Long contracts
Futures
S&P 500 E-Mini March 2011		225	$	(16,875	)		(11.52	)%
Total futures				(16,875	)		(11.52	)%

Options
British Pound Put / Swiss Franc Call, $1.47	CHF 10,000,000			47,256			32.27	%
Total options				47,256			32.27	%

Forwards
Chinese Yuan / U.S. dollar 08/19/11	CNY 334,143,000			1,385,221			945.81	%
Total forwards				1,385,221			945.81	%

Short Contracts
Forwards
Swiss Franc / British Pound 01/05/11	CHF (7,292,955)			(15,162	)		(10.35	)%
Chinese Yuan / U.S. dollar 08/19/11	CNY (334,143,000)			(1,458,935	)		(996.15	)%
Total forwards				(1,474,097	)		(1,006.50	)%

Total			$	(58,495	)		(39.94	)%

	Graham Commodity Strategies LLC (Delaware)			Graham Discretionary Energy Trading III LLC (Delaware)			Graham Fed Policy Ltd. (BVI)			Graham Global Monetary Policy LLC (Delaware)			Graham GMP Securities LLC (Delaware)			Graham K4D Trading Ltd. (BVI)			Graham Macro Directional LLC (Delaware)			Graham Short Term Global Macro LLC (Delaware)

	Three Months Ended June 30, 2010
Net investment income (loss)	$	(4,508	)	$	(22,984	)	$	(1,753	)	$	(12,553	)	$	(520	)	$	(33,308	)	$	(61,298	)	$	18

Net realized gain (loss) on investments		2,372,172			9,884,709			(13,603,324	)		55,329,331			(2,138,488	)		56,094,201			7,367,577			(2,040,999	)
Net increase (decrease) in unrealized appreciation on investments		(15,559,427	)		(13,196,466	)		19,206,804			2,248,080			11,757			(49,262,278	)		983,584			831,036
Brokerage commissions and fees		(1,190,667	)		(240,745	)		(1,207,556	)		(557,874	)		-			(1,525,901	)		(184,244	)		(94,104	)
Net gain (loss) on investments		(14,377,922	)		(3,552,502	)		4,395,924			57,019,537			(2,126,731	)		5,306,022			8,166,917			(1,304,067	)
Net income (loss)	$	(14,382,430	)	$	(3,575,486	)	$	4,394,171		$	57,006,984		$	(2,127,251	)	$	5,272,714		$	8,105,619		$	(1,304,049	)

	Six Months Ended June 30, 2010
Net investment income (loss)	$	(8,144	)	$	(31,238	)	$	(2,985	)	$	(18,706	)	$	(25,701	)	$	(101,716	)	$	(99,109	)	$	189

Net realized gain (loss) on investments		3,431,671			8,776,238			(7,939,681	)		92,414,929			(4,026,599	)		(21,798,070	)		14,917,121			(5,165,377	)
Net increase (decrease) in unrealized appreciation on investments		(8,533,312	)		(4,278,338	)		22,608,891			2,675,763			1,854,505			(14,594,710	)		874,650			1,926,626
Brokerage commissions and fees		(2,193,090	)		(515,104	)		(2,341,707	)		(1,155,368	)		(1,157	)		(3,006,196	)		(304,195	)		(132,308	)
Net gain (loss) on investments		(7,294,731	)		3,982,796			12,327,503			93,935,324			(2,173,251	)		(39,398,976	)		15,487,576			(3,371,059	)
Net income (loss)	$	(7,302,875	)	$	3,951,558		$	12,324,518		$	93,916,618		$	(2,198,952	)	$	(39,500,692	)	$	15,388,467		$	(3,370,870	)