UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM 10-Q

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

SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 2013

OR ( ) TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from to

Commission File Number 0-53967

GRAHAM ALTERNATIVE INVESTMENT FUND II LLC

BLENDED STRATEGIES PORTFOLIO

(Exact name of registrant as specified in its charter)

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

c/o GRAHAM CAPITAL MANAGEMENT, L.P.

40 Highland Avenue

Rowayton, CT 06853

(Address of principal executive offices) (Zip Code)

Paul Sedlack

Graham Capital Management, L.P.

40 Highland Avenue

Rowayton, CT 06853

(203) 899-3400

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes x No o

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of the chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes x No o

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

Large accelerated filer o

Accelerated filer o

Non-accelerated filer o

Smaller reporting company x

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

Yes o No x

As of November 1, 2013, 675,880.127 Units of the Blended Strategies Portfolio were outstanding.

GRAHAM ALTERNATIVE INVESTMENT FUND II LLC

FORM 10-Q

INDEX

			Page Number

PART I - Financial Information:

	Item 1.	Financial Statements:

		Graham Alternative Investment Fund II LLC Blended Strategies Portfolio

		Unaudited Consolidated Statements of Financial Condition at September 30, 2013 and December 31, 2012	1

		Unaudited Consolidated Statements of Operations for the three and nine months ended September 30, 2013 and 2012	2

		Unaudited Consolidated Statements of Changes in Members’ Capital for the nine months ended September 30, 2013 and 2012	3

		Unaudited Consolidated Statements of Cash Flows for the nine months ended September 30, 2013 and 2012	4

		Notes to Unaudited Consolidated Financial Statements	5

		Graham Alternative Investment Trading LLC

		Statements of Financial Condition at September 30, 2013 (unaudited) and December 31, 2012 (audited)	14

		Condensed Schedules of Investments at September 30, 2013 (unaudited) and December 31, 2012 (audited)	15

		Unaudited Statements of Operations and Managing Member Allocation for the three and nine months ended September 30, 2013 and 2012	16

		Unaudited Statements of Changes in Members’ Capital for the nine months ended September 30, 2013 and 2012	17

		Unaudited Statements of Cash Flows for the nine months ended September 30, 2013 and 2012	18

		Notes to Unaudited Financial Statements	19

	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	61

	Item 3.	Quantitative and Qualitative Disclosures about Market Risk	69

	Item 4.	Controls and Procedures	70

PART II - Other Information			71

Exhibits

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

Index

PART I

Item 1. Financial Statements

Graham Alternative Investment Fund II LLC

Blended Strategies Portfolio

Unaudited Consolidated Statements of Financial Condition

	September 30, 2013		December 31, 2012
Assets
Investment in Graham Alternative Investment Trading LLC, at fair value	$	76,783,860	$	93,947,400
Redemptions receivable from Graham Alternative Investment Trading LLC		1,768,389		8,364,780
Total assets	$	78,552,249	$	102,312,180

Liabilities and members’ capital
Liabilities:
Accrued redemptions	$	1,768,389	$	8,364,780
Total liabilities		1,768,389		8,364,780

Members’ capital:
Class 0 Units (509,480.057 and 657,725.570 units issued and outstanding at $116.70 and $114.88, respectively)		59,454,487		75,558,523
Class 2 Units (191,758.251 and 203,657.512 units issued and outstanding at $90.37 and $90.29, respectively)		17,329,373		18,388,877
Total members’ capital		76,783,860		93,947,400
Total liabilities and members’ capital	$	78,552,249	$	102,312,180

See accompanying notes.

Index

Graham Alternative Investment Fund II LLC

Blended Strategies Portfolio

Unaudited Consolidated Statements of Operations

	Three Months Ended September 30,						Nine Months Ended September 30,
	2013			2012			2013			2012
Net (loss) gain allocated from investment in Graham Alternative Investment Trading LLC:
Net realized (loss) gain on investments	$	(4,481,219	)	$	477,975		$	4,437,339		$	3,613,726
Net increase (decrease) in unrealized appreciation on investments		1,952,104			(965,353	)		(276,299	)		(5,129,380	)
Brokerage commissions and fees		(84,440	)		-			(390,558	)		-
Net (loss) gain allocated from investments in Graham Alternative Investment Trading LLC		(2,613,555	)		(487,378	)		3,770,482			(1,515,654	)

Net investment loss allocated from investment in Graham Alternative Investment Trading LLC :
Investment income:
Interest income		43,103			66,211			129,302			212,477

Expenses:
Brokerage fees		-			759,826			-			2,457,470
Advisory fees		360,355			647,941			1,167,410			2,080,491
Sponsor fees		245,626			323,970			780,045			1,040,245
Professional fees and other		19,388			10,063			184,310			26,263
Administrator’s fees		26,724			-			86,812			-
Total expenses		652,093			1,741,800			2,218,577			5,604,469
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC		(608,990	)		(1,675,589	)		(2,089,275	)		(5,391,992	)
Net (loss) income	$	(3,222,545	)	$	(2,162,967	)	$	1,681,207		$	(6,907,646	)

See accompanying notes.

Index

Graham Alternative Investment Fund II LLC

Blended Strategies Portfolio

Unaudited Consolidated Statements of Changes in Members’ Capital

For the nine months ended September 30, 2013 and 2012

	Class 0 Units						Class 2 Units
	Units			Capital			Units			Capital			Total Members’ Capital

Members’ capital, December 31, 2011		966,888.461		$	119,087,637			278,890.248		$	27,546,676		$	146,634,313
Subscriptions		88,488.116			10,894,754			19,176.245			1,890,854			12,785,608
Redemptions		(262,085.920	)		(31,828,251	)		(74,885.757	)		(7,334,618	)		(39,162,869	)
Net loss		–			(5,415,553	)		–			(1,492,093	)		(6,907,646	)
Members’ capital, September 30, 2012		793,290.657		$	92,738,587			223,180.736		$	20,610,819		$	113,349,406

	Class 0 Units						Class 2 Units
	Units			Capital			Units			Capital			Total Members’ Capital

Members’ capital, December 31, 2012		657,725.570		$	75,558,523			203,657.512		$	18,388,877		$	93,947,400
Subscriptions		5,721.256			695,000			13,212.727			1,244,801			1,939,801
Redemptions		(153,966.769	)		(18,448,585	)		(25,111.988	)		(2,335,963	)		(20,784,548	)
Net income		–			1,649,549			–			31,658			1,681,207
Members’ capital, September 30, 2013		509,480.057		$	59,454,487			191,758.251		$	17,329,373		$	76,783,860

See accompanying notes.

Index

Graham Alternative Investment Fund II LLC

Blended Strategies Portfolio

Unaudited Consolidated Statements of Cash Flows

	Nine Months Ended September 30,
	2013			2012
Cash flows provided by operating activities
Net income (loss)	$	1,681,207		$	(6,907,646	)
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Net (income) loss allocated from investment in Graham Alternative Investment Trading LLC		(1,681,207	)		6,907,646
Proceeds from sale of investments in Graham Alternative Investment Trading LLC		27,380,939			32,499,089
Investments in Graham Alternative Investment Trading LLC		(1,939,801	)		(12,785,608	)
Net cash provided by operating activities		25,441,138			19,713,481

Cash flows used in financing activities
Subscriptions		1,939,801			12,785,608
Redemptions		(27,380,939	)		(32,499,089	)
Net cash used in financing activities		(25,441,138	)		(19,713,481	)

Net change in cash and cash equivalents		–			–

Cash and cash equivalents, beginning of period		–			–
Cash and cash equivalents, end of period	$	–		$	–

See accompanying notes.

Index

Graham Alternative Investment Fund II LLC

Blended Strategies Portfolio

Notes to Unaudited Consolidated Financial Statements

September 30, 2013

1. Organization and Business

The Blended Strategies Portfolio (the “Fund”) is a series of Graham Alternative Investment Fund II LLC (“GAIF II”), a Delaware Series Limited Liability Company established through an amendment to the certificate of formation, effective March 28, 2013. GAIF II has two other series in addition to the Fund, Systematic Strategies Portfolio, and Discretionary Strategies Portfolio. There are no investors in the Discretionary Strategies Portfolio as of September 30, 2013. Prior to March 28, 2013, GAIF II was organized as a Delaware Limited Liability Company which was formed on May 18, 2006 and commenced operations on August 1, 2006. Comparative information contained within these financial statements for periods prior to March 28, 2013 represent the data pertaining solely to the Blended Strategies Portfolio.

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

The Fund offers members Class 0 and Class 2 units. Graham Alternative Investment Ltd. (“GAI”) is a British Virgin Islands business company which was formed on June 1, 2006 and commenced operations on August 1, 2006. The Fund invests all of its assets dedicated to trading in Graham Alternative Investment Trading LLC (“GAIT”), a Delaware LLC which was formed on May 18, 2006 and commenced operations on August 1, 2006 through an investment in GAI’s Blended Strategies Portfolio. GAIT invests in various master trading vehicles (“Master Funds”), all of which are managed by Graham Capital Management, L.P. (the “Advisor” or “Manager”). The Fund is the sole owner of GAI’s Blended Strategies Portfolio and GAI’s Blended Strategies Portfolio invests all of its assets into GAIT. The Manager is the director of GAI and the sole investment advisor of GAI, GAIT and the Fund. The Manager is registered as a Commodity Pool Operator and Commodity Trading Advisor with the Commodity Futures Trading Commission and is a member of the National Futures Association. The Manager is also registered as a Registered Investment Advisor with the Securities and Exchange Commission. The Fund's Units are registered under the Securities Exchange Act of 1934.

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

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

Index

Graham Alternative Investment Fund II LLC

Blended Strategies Portfolio

Notes to Unaudited Consolidated Financial Statements (continued)

1. Organization and Business (continued)

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

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

Duties of the Manager

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

2. Summary of Significant Accounting Policies

These consolidated financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and all amounts are stated in U.S. dollars. The preparation of these consolidated financial statements requires the Manager to make estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying notes. Actual results could differ from those estimates.

Principles of Consolidation

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

Investment in Graham Alternative Investment Trading LLC

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

GAIT charges its investors, including the Fund, an advisory fee, administrator’s fee, brokerage fee (for 2012 periods only), sponsor fee and incentive allocation, all of which are described in detail in Note 4. The Fund does not charge any additional fees; however each investor in the Fund indirectly bears a portion of the advisory fee, brokerage fee, sponsor fee, and incentive allocation charged by GAIT.

At September 30, 2013 and December 31, 2012, the Fund owned 42.32% and 35.41%, respectively of GAIT.

Index

Graham Alternative Investment Fund II LLC

Blended Strategies Portfolio

Notes to Unaudited Consolidated Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Fair Value

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

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

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

Level 1 inputs are unadjusted closing or settlement prices for such assets or liabilities as published by the primary exchange upon which they are traded.

Level 2 inputs include quoted prices for similar assets and liabilities obtained from independent brokers and/or market makers in each security. With respect to the Fund’s investment in GAIT, 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.

In accordance with this hierarchy, the Fund’s investment in GAIT has been classified as a Level 2 valuation. There were no Level 3 assets or liabilities held at any point during the nine month period ended September 30, 2013 or the twelve month period ended December 31, 2012 by the Fund, GAIT, or the Master Funds, and there were no transfers between levels during those periods. Transfers between levels, if any, are recognized on the actual date of the event or change in circumstances that cause the transfer.

Indemnifications

In the normal course of business, the Fund, GAIT, Graham Cash Assets LLC (“Cash Assets”), and the Master Funds enter into contracts that contain a variety of indemnifications. Such contracts may include those by Cash Assets and the Master Funds with their brokers and trading counterparties. The Fund’s maximum exposure under these arrangements is unknown; however, the Fund has not had prior claims or losses with respect to such indemnifications and considers the risk of loss to be remote.

3. Capital Accounts

The Fund offers two classes (each a “Class”) of Units (collectively the “Units”), being Class 0 Units and Class 2 Units. The Fund may issue additional Classes or Series 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.

Index

Graham Alternative Investment Fund II LLC

Blended Strategies Portfolio

Notes to Unaudited Consolidated Financial Statements (continued)

3. Capital Accounts (continued)

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

Subscriptions

Units may be purchased at a price equal to the Net Asset Value per Unit of the relevant Class as of the immediately preceding Valuation Day, as defined in the LLC Agreement. The minimum initial subscription from each investor in each Class is $10,000. Members may subscribe for additional Units in a minimum amount of not less than $5,000.

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

Redemption of Units

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

Redemption Fees

Class 2 Units are subject to a redemption fee equal to 2% of their Net Asset Value if redeemed within six months from their subscription date and a redemption fee equal to 1% of their Net Asset Value if redeemed more than six and less than twelve months from their subscription date. Class 0 Units are not subject to a redemption fee. Redemption fees payable to the Manager upon redemption of Units from the proceeds of such redemption. Redemption fees of $0 and $7,412 were paid to the Manager for the nine months ended September 30, 2013 and 2012, respectively, and are included as redemptions in the consolidated statements of changes in members’ capital.

Index

Graham Alternative Investment Fund II LLC

Blended Strategies Portfolio

Notes to Unaudited Consolidated Financial Statements (continued)

4. Fees and Related Party Transactions

Advisory Fees

For the three and nine months ended September 30, 2013 and 2012, each Class of GAIT other than Class M pays the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate equal to 1.75% and 2%, respectively, 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

For the three and nine months ended September 30, 2013 and 2012, each Class of GAIT other than Class M paid the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate of the Net Asset Value specified in the table below. This Sponsor Fee was payable monthly in arrears calculated as of the last business day of each month in the same manner as the Advisory Fee. For the three months ended March 31, 2013 the Sponsor Fee listed below for Class 2 reflects as well a selling agent fee (the “Selling Agent Fee”) of 2%. The Selling Agent Fee compensates selling agents for initial and on-going services to the Fund.

Class	2013 Annual Rate	2012 Annual Rate

Class 0	0.75%	1.00%
Class 2	2.75%	1.00%

Incentive Allocation

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

Brokerage Fees

For the three and nine months ended September 30, 2012, each Class of GAIT other than Class M paid the Manager a brokerage fee (the “Brokerage Fee”) at an annual rate of the Net Asset Value specified in the table below. This Brokerage Fee was 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%

Index

Graham Alternative Investment Fund II LLC

Blended Strategies Portfolio

Notes to Unaudited Consolidated Financial Statements (continued)

4. Fees and Related Party Transactions (continued)

Brokerage Fees (continued)

In consideration of the Brokerage Fee, the Manager assumed all of GAIT’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 and the Fund and the continuous offering of Units. To the extent GAIT was allocated any of these expenses from the Master Funds in which they invested, the Manager reimbursed GAIT for those amounts. These reimbursements are included in commission reimbursements in GAIT’s statements of operations and managing member allocation. As a result, there is no impact to the Fund’s statement of operations.

As of January 1, 2013 the Manager eliminated the Brokerage Fee and GAIT began to absorb directly all costs previously covered by the Brokerage Fee. These costs are included in the consolidated statement of operations.

Administrator’s Fee

For the nine month period ended September 30, 2013, GAIT paid SEI a monthly administrator’s fee based on GAIT’s net asset value, calculated as of the last business day of each month. In addition, GAIT reimbursed SEI for reasonable out-of-pocket expenses incurred on behalf of GAIT. The total administrator’s fees allocated to the Fund by GAIT for the nine month period ended September 30, 2013 were $86,812. For the nine month period ended September 30, 2012, the administrator's fee was absorbed by the Manager in exchange for the Brokerage Fee.

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

5. Income Taxes

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

U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the consolidated financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a more-likely-than-not threshold would be recorded as a tax expense in the current year. The Manager has evaluated the Fund’s tax positions and has concluded that there are no significant tax positions requiring recognition, measurement or disclosure in the consolidated financial statements. 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.

Index

Graham Alternative Investment Fund II LLC

Blended Strategies Portfolio

Notes to Unaudited Consolidated Financial Statements (continued)

6. Financial Highlights

The following is the per Unit operating performance calculation for the three month periods ended September 30, 2013 and 2012:

	Class 0			Class 2
Per share operating performance
Net asset value per unit, June 30, 2012	$	118.77		$	94.30
Net loss:
Net investment loss		(1.27	)		(1.49	)
Net loss on investments		(0.60	)		(0.46	)
Net loss		(1.87	)		(1.95	)
Net asset value per unit, September 30, 2012	$	116.90		$	92.35


Net asset value per unit, June 30, 2013	$	121.13		$	94.28
Net loss:
Net investment loss		(0.76	)		(1.06	)
Net loss on investments		(3.67	)		(2.85	)
Net loss		(4.43	)		(3.91	)
Net asset value per unit, September 30, 2013	$	116.70		$	90.37

The following represents ratios to average members’ capital and total return for the three month periods ended September 30, 2013 and 2012:

	Class 0						Class 2
	2013			2012			2013			2012

Total return before Incentive Allocation		(3.66	)%		(1.57	)%		(4.15	)%		(2.07	)%
Incentive Allocation		0.00			0.00			0.00			0.00
Total return after Incentive Allocation		(3.66	)%		(1.57	)%		(4.15	)%		(2.07	)%

Net investment loss before Incentive Allocation		(0.63	)%		(1.06	)%		(1.12	)%		(1.57	)%
Incentive Allocation		0.00			0.00			0.00			0.00
Net investment loss after Incentive Allocation		(0.63	)%		(1.06	)%		(1.12	)%		(1.57	)%

Total expenses before Incentive Allocation		0.69	%		1.31	%		1.20	%		1.81	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total expenses after Incentive Allocation		0.69	%		1.31	%		1.20	%		1.81	%

Index

Graham Alternative Investment Fund II LLC

Blended Strategies Portfolio

Notes to Unaudited Consolidated Financial Statements (continued)

6. Financial Highlights (continued)

The following is the per Unit operating performance calculation for the nine month periods ended September 30, 2013 and 2012:

	Class 0			Class 2
Per share operating performance
Net asset value per unit, December 31, 2011	$	123.17		$	98.77
Net loss:
Net investment loss		(3.68	)		(4.43	)
Net loss on investments		(2.59	)		(1.99	)
Net loss		(6.27	)		(6.42	)
Net asset value per unit, September 30, 2012	$	116.90		$	92.35


Net asset value per unit, December 31, 2012	$	114.88		$	90.29
Net income:
Net investment loss		(2.50	)		(3.33	)
Net gain on investments		4.32			3.41
Net income		1.82			0.08
Net asset value per unit, September 30, 2013	$	116.70		$	90.37

The following represents ratios to average members’ capital and total return for the nine month periods ended September 30, 2013 and 2012:

	Class 0						Class 2
	2013			2012			2013			2012

Total return before Incentive Allocation		1.58	%		(5.09	)%		0.09	%		(6.50	)%
Incentive Allocation		0.00			0.00			0.00			0.00
Total return after Incentive Allocation		1.58	%		(5.09	)%		0.09	%		(6.50	)%

Net investment loss before Incentive Allocation		(2.11	)%		(2.99	)%		(3.57	)%		(4.52	)%
Incentive Allocation		0.00			0.00			0.00			0.00
Net investment loss after Incentive Allocation		(2.11	)%		(2.99	)%		(3.57	)%		(4.52	)%

Total expenses before Incentive Allocation		2.27	%		3.83	%		3.73	%		5.36	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total expenses after Incentive Allocation		2.27	%		3.83	%		3.73	%		5.36	%

Index

Graham Alternative Investment Fund II LLC

Blended Strategies Portfolio

Notes to Unaudited Consolidated Financial Statements (continued)

6. Financial Highlights (continued)

Total return is calculated for Class 0 and Class 2 Units taken as a whole. Total return is calculated as the change in total members’ capital adjusted for subscriptions or redemptions during the period. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Brokerage Fees, Sponsor Fees, Administrator’s Fees, and the Incentive Allocation. The net investment loss and total expense ratios (including Incentive Allocation) are calculated for Class 0 and Class 2 Units taken as a whole and include net amounts allocated from GAIT. The computation of such ratios is based on the amount of net investment loss, expenses and Incentive Allocation. Net investment loss and total expense ratios are computed based upon the weighted average of members’ capital for Class 0 and Class 2 Units of the Fund for the three and nine month periods ended September 30, 2013 and 2012.

7. Subsequent Events

The Fund had subscriptions of approximately $0.5 million and redemptions of approximately $5.3 million through November 14, 2013, the date through which subsequent events were evaluated by management. These amounts have not been included in the consolidated financial statements.

Index

Graham Alternative Investment Trading LLC

Statements of Financial Condition

	September 30, 2013 (Unaudited)		December 31, 2012 (Audited)
Assets
Investments in Master Funds, at fair value	$	27,483,573	$	47,870,899
Investment in Graham Cash Assets LLC, at fair value		160,173,073		241,839,538
Accrued commission reimbursements		–		165,510
Receivable from Master Funds		12,975		1,856
Total assets	$	187,669,621	$	289,877,803

Liabilities and members’ capital
Liabilities:
Accrued redemptions	$	5,545,115	$	23,262,309
Accrued advisory fees		268,373		489,673
Accrued sponsor fees		179,984		244,837
Accrued brokerage fees		–		568,525
Accrued professional fees		230,964		–
Accrued administrator’s fees		19,976		–
Payable to Master Funds		305		6,476
Total liabilities		6,244,717		24,571,820

Members’ capital:
Class 0 Units (1,218,893.469 and 1,922,696.211 units issued and outstanding at $116.70 and $114.88 per unit, respectively)		142,240,484		220,876,439
Class 2 Units (424,350.121 and 483,129.319 units issued and outstanding at $90.37 and $90.29 per unit, respectively)		38,348,903		43,623,249
Class M Units (4,671.470 and 4,671.470 units issued and outstanding at $178.86 and $172.60 per unit, respectively)		835,517		806,295
Total members’ capital		181,424,904		265,305,983
Total liabilities and members’ capital	$	187,669,621	$	289,877,803

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Condensed Schedules of Investments

	September 30, 2013 (Unaudited)					December 31, 2012 (Audited)
Description	Fair Value		Percentage of Members’ Capital			Fair Value		Percentage of Members’ Capital

Investments in Master Funds, at fair value
Graham Commodity Strategies LLC	$	7,763,009		4.28	%	$	16,324,504		6.15	%
Graham Global Monetary Policy LLC		5,561,640		3.07	%		7,258,710		2.74	%
Graham K4D Trading Ltd.		14,158,924		7.80	%		24,287,685		9.15	%
Total investments in Master Funds	$	27,483,573		15.15	%	$	47,870,899		18.04	%

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Unaudited Statements of Operations and Managing Member Allocation

	Three Months Ended September 30,						Nine Months Ended September 30,
	2013			2012			2013			2012
Net (loss) gain allocated from investments in Master Funds:
Net realized (loss) gain on investments	$	(10,653,483	)	$	1,038,332		$	15,598,439		$	9,935,223
Net increase (decrease) in unrealized appreciation on investments		4,654,629			(2,020,366	)		(1,456,947	)		(14,232,046	)
Brokerage commissions and fees		(200,801	)		(693,076	)		(1,032,426	)		(2,684,268	)
Net (loss) gain allocated from investments in Master Funds		(6,199,655	)		(1,675,110	)		13,109,066			(6,981,091	)

Net investment loss allocated from investments in Master Funds		(7,460	)		(8,036	)		(23,961	)		(45,702	)

Investment income:
Interest income		102,458			185,718			335,724			598,677
Total investment income		102,458			185,718			335,724			598,677

Expenses:
Advisory fees		852,870			1,813,258			3,028,616			5,847,390
Sponsor fees		568,766			906,629			1,941,753			2,923,695
Brokerage fees		–			2,090,971			–			6,762,197
Administrator’s fees		63,526			–			226,120			–
Professional fees and other		38,516			19,923			479,690			27,488
Commission reimbursements		–			(693,076	)		–			(2,684,268	)
Total expenses		1,523,678			4,137,705			5,676,179			12,876,502
Net investment loss of the Fund		(1,421,220	)		(3,951,987	)		(5,340,455	)		(12,277,825	)

Net (loss) income		(7,628,335	)		(5,635,133	)		7,744,650			(19,304,618	)

Incentive allocation		–			–			–			–

Net (loss) income available for pro-rata allocation to all members	$	(7,628,335	)	$	(5,635,133	)	$	7,744,650		$	(19,304,618	)

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Unaudited Statements of Changes in Members’ Capital

For the nine months ended September 30, 2013 and 2012

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

Members’ capital, December 31, 2011		2,827,795.124		$	348,287,779			688,937.679		$	68,048,075			4,671.470	$	822,214		$	417,158,068
Subscriptions		145,451.826			17,940,683			47,476.248			4,649,394			–		–			22,590,077
Redemptions		(676,212.337	)		(82,069,164	)		(182,664.434	)		(17,893,409	)		–		–			(99,962,573	)
Incentive allocation		–			–			–			–			–		–			–
Net loss		–			(15,627,529	)		–			(3,665,114	)		–		(11,975	)		(19,304,618	)
Members’ capital, September 30, 2012		2,297,034.613		$	268,531,769			553,749.493		$	51,138,946			4,671.470	$	810,239		$	320,480,954

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

Members’ capital, December 31, 2012		1,922,696.211		$	220,876,439			483,129.319		$	43,623,249			4,671.470	$	806,295		$	265,305,983
Subscriptions		56,996.343			6,920,000			20,155.025			1,896,683			–		–			8,816,683
Redemptions		(760,799.085	)		(93,032,569	)		(78,934.223	)		(7,409,843	)		–		–			(100,442,412	)
Incentive allocation		–			–			–			–			–		–			–
Net income		–			7,476,614			–			238,814			–		29,222			7,744,650
Members’ capital, September 30, 2013		1,218,893.469		$	142,240,484			424,350.121		$	38,348,903			4,671.470	$	835,517		$	181,424,904

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Unaudited Statements of Cash Flows

	Nine Months Ended September 30,
	2013			2012
Cash flows provided by operating activities
Net income (loss)	$	7,744,650		$	(19,304,618	)
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Net (income) loss allocated from investments in Master Funds		(13,085,105	)		7,026,793
Net income allocated from investment in Graham Cash Assets LLC		(335,724	)		(598,677	)
Proceeds from sale of investments in Master Funds		231,980,828			476,843,495
Proceeds from sale of investments in Graham Cash Assets LLC		257,264,825			442,227,109
Investments in Master Funds		(198,525,687	)		(457,246,660	)
Investments in Graham Cash Assets LLC		(175,262,636	)		(382,110,304	)
Changes in assets and liabilities:
Accrued commission reimbursements		165,510			108,398
Accrued advisory fees		(221,300	)		(167,000	)
Accrued sponsor fees		(64,853	)		(83,500	)
Accrued brokerage fees		(568,525	)		(199,119	)
Accrued professional fees		230,964			-
Accrued administrator’s fees		19,976			-
Net cash provided by operating activities		109,342,923			66,495,917

Cash flows used in financing activities
Subscriptions		8,816,683			22,590,077
Redemptions		(118,159,606	)		(89,085,994	)
Net cash used in financing activities		(109,342,923	)		(66,495,917	)

Net change in cash and cash equivalents		-			-

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

Supplemental non cash operating activities

Purchases and proceeds related to investments in liquidated Master Funds consolidated into Graham Commodity Strategies LLC not included above for the nine months ended September 30, 2012: $1,362,929 (See Note 2)

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements

September 30, 2013

1. Organization and Business

Graham Alternative Investment Trading LLC (“GAIT”) was formed on May 18, 2006, commenced operations on August 1, 2006 and is organized as a Delaware Limited Liability Company. Graham Capital Management, L.P. (the “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 Managing Member is also registered as a Registered Investment Advisor with the Securities and Exchange Commission.

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

Graham Alternative Investment Fund I LLC, Graham Alternative Investment Fund II LLC, Graham Alternative Investment III Ltd. (collectively the “Feeder Funds”), and the Manager are the primary investors of GAIT.

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

GAIT will terminate on December 31, 2050 or at an earlier date if certain conditions occur as outlined in the 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 and for directing the investment and reinvestment of the assets of GAIT.

2. Summary of Significant Accounting Policies

These financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and all amounts are stated in U.S. dollars. 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.

Investments in Master Funds

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

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Investments in Master Funds (continued)

During the year ended December 31, 2012 certain Master Funds in which GAIT invested consolidated their assets under Graham Commodity Strategies LLC, then ceased operations and were dissolved. The amount of assets that were transferred in-kind in connection with this consolidation totals $1,362,929. The dates of the consolidations and dissolutions were as follows:

Master Fund	Consolidation Date	Dissolution Date
Graham Fed Policy Ltd.	May 29, 2012	October 23, 2012
Graham Energy Fundamental LLC	May 29, 2012	October 1, 2012
Graham Macro Directional LLC	May 30, 2012	October 1, 2012
Graham Macro Technical Ltd.	May 30, 2012	October 23, 2012

Fair Value

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

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

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

Level 1 inputs are unadjusted closing or settlement prices for such assets or liabilities as published by the primary exchange upon which they are traded.

Level 2 inputs include quoted prices for similar assets and liabilities obtained from independent brokers and/or market makers in each security. With respect to GAIT’s investments in the 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.

In accordance with this hierarchy, GAIT’s investments in Master Funds and Graham Cash Assets LLC (“Cash Assets”) have been classified as Level 2. These investments are discussed in Notes 3 and 4. There were no Level 3 assets or liabilities held at any point during the nine months ended September 30, 2013 or the twelve months ended December 31, 2012 by GAIT, the Master Funds, or Cash Assets, and there were no transfers between levels during those periods. Transfers between levels, if any, are recognized on the actual date of the event or change in circumstances that cause the transfer.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments

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

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

Futures Contracts

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

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

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

Forward Contracts

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

Exchange traded forward contracts are valued based upon the settlement 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. Changes in fair value of each forward contract are recognized as unrealized gains or losses.

Swap Contracts

The Master Funds may enter into various swap contracts in an attempt to take advantage of changes in interest rates and asset values. Certain of these swap contracts are traded through a central exchange and certain are traded over-the-counter. To the extent swap contracts are traded over-the-counter, such 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. 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 any 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 reference instrument. Changes in fair value of each swap are recognized as unrealized gains or losses. The Master Funds record realized gains or losses when a swap contract is terminated.

Options

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

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

Options (continued)

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

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

Indemnifications

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

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds

As of September 30, 2013 and December 31, 2012, GAIT invested in various Master Funds, all of which were managed by the Manager. GAIT’s investments in these Master Funds, as well as the investment objectives of each Master Fund, are summarized below. Master Funds in which GAIT invested 5% or more of its members’ capital are individually identified, while smaller investments are aggregated under the caption “Other Global Macro Funds.” The number of Master Funds included in each aggregated category is disclosed parenthetically next to each name. All of the Master Funds and GAIT are related parties. The Master Funds do not charge management or incentive fees and all offer monthly subscriptions and redemptions.

September 30, 2013
Investment – Objective	Percent of Members’ Capital			Fair Value		Net Loss (three months then ended)			Net Income (nine months then ended)

Systematic Macro Funds
Graham K4D Trading Ltd.		7.80	%	$	14,158,924	$	3,757,481		$	9,396,030

Global Macro Funds
Other Global Macro Funds (2)		7.35	%		13,324,649		(9,964,596	)		3,689,075
		15.15	%	$	27,483,573	$	(6,207,115	)	$	13,085,105

December 31, 2012
Investment – Objective	Percent of Members’ Capital			Fair Value		Net Loss (three months ended September 30, 2012)			Net Loss (nine months ended September 30, 2012)

Systematic Macro Funds
Graham K4D Trading Ltd.		9.15	%	$	24,287,685	$	2,483,427		$	(603,781	)

Global Macro Funds
Graham Commodity Strategies LLC		6.15	%		16,324,504		(5,745,948	)		(12,934,428	)
Other Global Macro Funds (5)		2.74	%		7,258,710		1,579,375			6,511,416
		18.04	%	$	47,870,899	$	(1,683,146	)	$	(7,026,793	)

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the financial position of each Master Fund as of September 30, 2013:

	Graham Commodity Strategies LLC (Delaware)			Graham Global Monetary Policy LLC (Delaware)			Graham K4D Trading Ltd. (BVI)
Assets:
Due from brokers	$	157,249,148		$	101,825,105		$	114,373,103
Derivative financial instruments, at fair value		33,263,132			19,550,145			23,071,281
Exchange memberships, at fair value		2,657,400			-			817,750
Other assets		-			67			-
Total assets		193,169,680			121,375,317			138,262,134

Liabilities:
Derivative financial instruments, at fair value		-			3,322,874			-
Due to brokers		36,787,224			315,108			-
Total liabilities		36,787,224			3,637,982			-
Net assets	$	156,382,456		$	117,737,335		$	138,262,134

Percentage of Master Fund held by GAIT		4.96	%		4.72	%		10.24	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of September 30, 2013:

Description	Number of Contracts		Fair Value			Percentage of Net Assets of Master Fund
Graham Commodity Strategies LLC
Derivative financial instruments
Long contracts
Futures
Commodity			$	(1,474,323	)		(0.94	)%
Foreign index				185,805			0.12	%
Interest rate				582,208			0.37	%
U.S. bond				1,536,719			0.98	%
U.S. index				(1,612,550	)		(1.03	)%
Total futures				(782,141	)		(0.50	)%

Swaps
Commodity				(55,923	)		(0.04	)%
Interest rate				(241,687	)		(0.15	)%
Total swaps				(297,610	)		(0.19	)%

Forwards
Foreign currency				3,776,852			2.42	%
Total forwards				3,776,852			2.42	%

Options (cost $105,630,789)
Commodity futures				668,800			0.43	%
U.S. dollar / Chinese Yuan 03/07/2014 Put $6.30		3		9,333,607			5.97	%
Other U.S. dollar / Chinese Yuan 03/07/2014 Put $6.17 - $6.23		10		13,451,213			8.60	%
Other currency				24,609,958			15.74	%
Interest rate futures				54,404			0.03	%
U.S. bond futures				4,265,625			2.73	%
E-mini S&P 500 Options December 2013 Call $1,700		5,300		8,546,250			5.46	%
Other E-mini S&P 500 Options December 2013 Put $1,620		1,750		2,493,750			1.59	%
Total options				63,423,607			40.55	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of September 30, 2013:

Description	Number of Contracts			Fair Value			Percentage of Net Assets of Master Fund
Graham Commodity Strategies LLC (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Commodity				$	3,125			0.00	%
Currency					56,406			0.04	%
Foreign bond					(428,055	)		(0.27	)%
Foreign index					11,495			0.01	%
Interest rate					(777,834	)		(0.50	)%
U.S. bond					(62,500	)		(0.04	)%
E-mini S&P 500 futures December 2013		(800	)		175,000			0.11	%
Total futures					(1,022,363	)		(0.65	)%

Swaps
Commodity					1,674,324			1.07	%
Interest rate					(2,706,464	)		(1.73	)%
Total swaps					(1,032,140	)		(0.66	)%

Forwards
Foreign currency					(2,871,307	)		(1.84	)%
Total forwards					(2,871,307	)		(1.84	)%

Options (proceeds $56,157,859)
U.S. dollar / Chinese Yuan 03/07/2014 Put $6.30		4			(9,333,607	)		(5.98	)%
Other U.S. dollar / Chinese Yuan 03/07/2014 Put $6.23		4			(7,645,129	)		(4.89	)%
Other currency					(4,745,217	)		(3.03	)%
Interest rate futures					(18,750	)		(0.01	)%
U.S. bond futures					(2,289,063	)		(1.46	)%
U.S. index futures					(3,900,000	)		(2.49	)%
Total options					(27,931,766	)		(17.86	)%

Total derivative financial instruments				$	33,263,132			21.27	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of September 30, 2013:

Description	Number of Contracts			Fair Value			Percentage of Net Assets of Master Fund
Graham Global Monetary Policy LLC
Derivative financial instruments
Long contracts
Futures
Commodity				$	(92,625	)		(0.08	)%
Foreign bond					2,059,947			1.75	%
Foreign index					(371,061	)		(0.32	)%
90-Day Eurodollar December 2015		10,500			29,054,213			24.69	%
90-Day Eurodollar June 2016		1,000			6,783,338			5.76	%
Other 90-Day Eurodollar September 2015 – June 2017		4,500			2,437,500			2.07	%
U.S. bond					168,438			0.14	%
U.S. index					605,475			0.51	%
Total futures					40,645,225			34.52	%

Forwards
Foreign currency					(432,217	)		(0.37	)%
Total forwards					(432,217	)		(0.37	)%

Options (cost $5,039,276)
Foreign currency					5,039,693			4.28	%
U.S. index futures					1,950,000			1.66	%
Total options					6,989,693			5.94	%

Short contracts
Futures
Commodity					10,975			0.01	%
Foreign bond					(2,166,175	)		(1.84	)%
Foreign index					331,881			0.28	%
90-Day Eurodollar December 2016		(6,000	)		(7,210,100	)		(6.12	)%
Other 90-Day Eurodollar September 2015 – June 2015		(6,000	)		(8,495,650	)		(7.22	)%
U.S. index					(311,025	)		(0.26	)%
Total futures					(17,840,094	)		(15.15	)%

Forwards
Other foreign currency					(5,662,768	)		(4.81	)%
Total forwards					(5,662,768	)		(4.81	)%

Options (proceeds $9,436,516)
Foreign currency					(7,472,568	)		(6.35	)%
Total options					(7,472,568	)		(6.35	)%
Total derivative financial instruments				$	16,227,271			13.78	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of September 30, 2013:

Description	Number of Contracts / Notional Amount			Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd.
Derivative financial instruments
Long contracts
Futures
Commodity				$	(16,215,746	)		(11.71	)%
Currency					430,657			0.31	%
Foreign bond					5,329,206			3.85	%
Foreign index					(4,275,342	)		(3.09	)%
Interest rate					7,236,115			5.23	%
U.S. bond					406,070			0.29	%
U.S. index					751,684			0.54	%
Total futures					(6,337,356	)		(4.58	)%

Forwards
British Pound / U.S. dollar 12/18/13	GBP	243,260,809			8,620,250			6.23	%
Other foreign currency					14,270,960			10.33	%
Total forwards					22,891,210			16.56	%

Short contracts
Futures
Corn December 2013		(2,158	)		8,209,185			5.94	%
Other commodity					10,173,689			7.37	%
Currency					2,693,059			1.95	%
Foreign bond					(5,347,806	)		(3.87	)%
Foreign index					131,021			0.09	%
Interest rate					(1,418,502	)		(1.03	)%
U.S. bond					(5,692,230	)		(4.12	)%
U.S. index					(7,790	)		(0.01	)%
Total futures					8,740,626			6.32	%

Forwards
Foreign currency					(2,223,199	)		(1.61	)%
Total forwards					(2,223,199	)		(1.61	)%
Total derivative financial instruments				$	23,071,281			16.69	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the fair value classification of each investment type by Master Fund as of September 30, 2013:

	Graham Commodity Strategies LLC			Graham Global Monetary Policy LLC			Graham K4D Trading Ltd.
Assets
Level 1:
Commodity futures	$	493,360		$	364,875		$	27,356,567
Commodity futures options		668,800			-			-
Commodity futures swaps		1,745,170			-			-
Currency futures		56,406			-			3,243,916
Equity securities		2,657,400			-			817,750
Foreign bond futures		-			2,059,947			5,329,206
Foreign index futures		197,300			403,552			666,735
Interest rate futures		771,071			38,275,051			7,236,115
Interest rate futures options		54,404			-			-
U.S. bond futures		1,536,719			196,876			406,070
U.S. bond futures options		4,265,625			-			-
U.S. index futures		175,000			605,475			2,943,195
U.S. index futures options		11,040,000			1,950,000			-
Total Level 1		23,661,255			43,855,776			47,999,554

Level 2:
Foreign currency forwards		3,776,852			6,335,714			24,237,518
Foreign currency options		47,394,778			5,039,693			-
Interest rate swaps		51,376			-			-
Total Level 2		51,223,006			11,375,407			24,237,518
Total assets	$	74,884,261		$	55,231,183		$	72,237,072
Liabilities
Level 1:
Commodity futures	$	(1,964,558	)	$	(446,525	)	$	(25,189,439	)
Commodity futures swaps		(126,769	)		-			-
Currency futures		-			-			(120,200	)
Foreign bond futures		(428,055	)		(2,166,175	)		(5,347,806	)
Foreign index futures		-			(442,732	)		(4,811,056	)
Interest rate futures		(966,697	)		(15,705,750	)		(1,418,502	)
Interest rate futures options		(18,750	)		-			-
U.S. bond futures		(62,500	)		(28,438	)		(5,692,230	)
U.S. bond futures options		(2,289,063	)		-			-
U.S. index futures		(1,612,550	)		(311,025	)		(2,199,301	)
U.S. index futures options		(3,900,000	)		-			-
Total Level 1		(11,368,942	)		(19,100,645	)		(44,778,534	)

Level 2:
Foreign currency forwards		(2,871,307	)		(12,430,699	)		(3,569,507	)
Foreign currency options		(21,723,953	)		(7,472,568	)		-
Interest rate swaps		(2,999,527	)		-			-
Total Level 2		(27,594,787	)		(19,903,267	)		(3,569,507	)
Total liabilities	$	(38,963,729	)	$	(39,003,912	)	$	(48,348,041	)

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities based on their notional amounts and number of contracts and fair value of derivative contracts held by the Master Funds at September 30, 2013 categorized by primary underlying risk and is representative of the Derivative Instruments held by the Master Funds throughout the period. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade futures and options on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT. Amounts presented below as collateral balances supporting all derivative positions are included in due from brokers on the Master Funds’ statements of financial condition.

	Graham Commodity Strategies LLC
	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities
Commodity price
Futures	$	62,588,538		19,856	$	(3,885,610	)		(469	)	$	493,360	$	(1,964,558	)
Swaps		6,173,525		614		(28,049,704	)		(3,022	)		1,745,170		(126,769	)
Options (a)		13,453,313		8,155		(3,223,416	)		-			668,800		-
		82,215,376		28,625		(35,158,730	)		(3,491	)		2,907,330		(2,091,327	)

Equity price
Futures		159,833,222		2,200		(70,863,257	)		(900	)		372,300		(1,612,550	)
Options (a)		186,349,349		7,050		(164,382,072	)		(6,000	)		11,040,000		(3,900,000	)
		346,182,571		9,250		(235,245,329	)		(6,900	)		11,412,300		(5,512,550	)

Foreign currency exchange rate
Forwards		487,692,448		N/A		(462,871,307	)		N/A			3,776,852		(2,871,307	)
Futures		-		-		(3,373,566	)		(42	)		56,406		-
Options (a)		1,633,541,819		79		(2,045,091,297	)		(46	)		47,394,778		(21,723,953	)
		2,121,234,267		79		(2,511,336,170	)		(88	)		51,228,036		(24,595,260	)

Interest rate
Futures		2,229,877,984		11,622		(1,493,663,003	)		(8,071	)		2,307,790		(1,457,252	)
Options (a)		391,039,291		34,500		(400,855,200	)		(29,500	)		4,320,029		(2,307,813	)
Swaps		670,539,494		4		(476,898,136	)		(2	)		51,376		(2,999,527	)
		3,291,456,769		46,126		(2,371,416,339	)		(37,573	)		6,679,195		(6,764,592	)
Total	$	5,841,088,983		84,080	$	(5,153,156,568	)		(48,052	)	$	72,226,861	$	(38,963,729	)

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

Collateral balances supporting all derivative positions													$	120,461,924

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

	Graham Global Monetary Policy LLC
	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities
Commodity price
Futures	$	53,143,025		670	$	(4,341,600	)		(40	)	$	364,875	$	(446,525	)
		53,143,025		670		(4,341,600	)		(40	)		364,875		(446,525	)

Equity price
Futures		110,977,141		2,220		(106,039,085	)		(1,860	)		1,009,027		(753,757	)
Options (a)		-		-		(48,433,248	)		(1,500	)		1,950,000		-
		110,977,141		2,220		(154,472,333	)		(3,360	)		2,959,027		(753,757	)

Foreign currency exchange rate
Forwards		2,353,910,673		N/A		(4,648,761,568	)		N/A			6,335,714		(12,430,699	)
Options (a)		258,666,250		8		(316,603,560	)		8			5,039,693		(7,472,568	)
		2,612,576,923		8		(4,965,365,128	)		8			11,375,407		(19,903,267	)

Interest rate
Futures		4,179,804,559		17,710		(3,203,059,902	)		(13,970	)		40,531,874		(17,900,363	)
		4,179,804,559		17,710		(3,203,059,902	)		(13,970	)		40,531,874		(17,900,363	)
Total	$	6,956,501,648		20,608	$	(8,327,238,963	)		(17,362	)	$	55,231,183	$	(39,003,912	)

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

Collateral balances supporting all derivative positions													$	101,509,997

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

	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	$	560,054,321		6,816	$	(589,927,374	)		(13,945	)	$	27,356,567	$	(25,189,439	)
		560,054,321		6,816		(589,927,374	)		(13,945	)		27,356,567		(25,189,439	)

Equity price
Futures		1,166,282,325		12,393		(31,010,848	)		(873	)		3,609,930		(7,010,357	)
		1,166,282,325		12,393		(31,010,848	)		(873	)		3,609,930		(7,010,357	)

Foreign currency exchange rate
Forwards		1,295,612,672		N/A		(587,533,803	)		N/A			24,237,518		(3,569,507	)
Futures		35,791,666		333		(152,648,803	)		(1,894	)		3,243,916		(120,200	)
		1,331,404,338		333		(740,182,606	)		(1,894	)		27,481,434		(3,689,707	)

Interest rate
Futures		4,623,157,198		17,210		(2,165,569,227	)		(13,542	)		12,971,391		(12,458,538	)
		4,623,157,198		17,210		(2,165,569,227	)		(13,542	)		12,971,391		(12,458,538	)
Total	$	7,680,898,182		36,752	$	(3,526,690,055	)		(30,254	)	$	71,419,322	$	(48,348,041	)

Collateral balances supporting all derivative positions													$	114,373,103

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

When multiple derivative contracts are held with the same counterparty, the Master Funds will net the contracts in an asset position with the contracts in a liability position when covered by a master netting agreement or similar arrangements, for presentation in the statements of financial condition. The table below displays the amounts at September 30, 2013 by which the fair values of both derivative assets and derivative liabilities were reduced within the Master Funds’ statements of financial condition as a result of this netting. Gross amounts below correspond to the total derivative asset and derivative liability balances categorized by primary underlying risk and product type in the preceding tables. Collateral pledged represents the further amounts by which derivative assets and liabilities could have been reduced on the statements of financial condition. The Master Funds elect to display the amounts in due from (to) brokers on the statements of financial condition.

Description	Gross Amount			Gross Amount Offset in the Statements of Financial Condition			Net Amount Presented in the Statements of Financial Condition			Collateral (Received) / Pledged			Net Amount

Graham Commodity Strategies LLC¹
Derivative assets	$	72,226,861		$	(38,963,729	)	$	33,263,132		$	(3,765,124	)	$	29,498,008
Derivative liabilities		(38,963,729	)		38,963,729			–			–			–
	$	33,263,132		$	–		$	33,263,132		$	(3,765,124	)	$	29,498,008

Graham Global Monetary Policy LLC²
Derivative assets	$	55,231,183		$	(35,681,038	)	$	19,550,145		$	–		$	19,550,145
Derivative liabilities		(39,003,912	)		35,681,038			(3,322,874	)		–			(3,322,874	)
	$	16,227,271		$	–		$	16,227,271		$	–		$	16,227,271

Graham K4D Trading Ltd.³
Derivative assets	$	71,419,322		$	(48,348,041	)	$	23,071,281		$	–		$	23,071,281
Derivative liabilities		(48,348,041	)		48,348,041			–			–			–
	$	23,071,281		$	–		$	23,071,281		$	–		$	23,071,281

¹Net derivative asset amounts presented in the statement of financial condition are held with four counterparties; the Master Fund has received offsetting collateral from three of these counterparties. There were no net derivative liability amounts held with any counterparties as of September 30, 2013.

²Net derivative asset and liability amounts presented in the statement of financial condition are held with two counterparties. The Master Fund has not received collateral from these counterparties that is eligible to offset either derivative amount as of September 30, 2013.

³Net derivative asset amounts presented in the statement of financial condition are held with three counterparties. The Master Fund has not received collateral from these counterparties that is eligible to offset these derivative amounts as of September 30, 2013.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the results of operations of each Master Fund for the three and nine month periods ended September 30, 2013:

	Three Months Ended September 30, 2013
	Graham Commodity Strategies LLC			Graham Global Monetary Policy LLC			Graham K4D Trading Ltd.

Net investment income (loss)	$	15,949		$	(11,555	)	$	(1,347	)

Net realized loss on investments		(108,977,065	)		(74,736,058	)		(9,225,685	)
Net increase (decrease) in unrealized appreciation on investments		(15,761,172	)		14,408,044			46,652,129
Brokerage commissions and fees		(1,946,272	)		(1,318,881	)		(373,615	)
Net gain (loss) on investments		(126,684,509	)		(61,646,895	)		37,052,829
Net income (loss)	$	(126,668,560	)	$	(61,658,450	)	$	37,051,482

	Nine Months Ended September 30, 2013
	Graham Commodity Strategies LLC			Graham Global Monetary Policy LLC			Graham K4D Trading Ltd.

Net investment income (loss)	$	35,718		$	(27,527	)	$	13,023

Net realized gain on investments		30,917,715			991,389			64,731,832
Net increase (decrease) in unrealized appreciation on investments		(16,780,059	)		9,642,457			(1,430,241	)
Brokerage commissions and fees		(10,334,628	)		(3,324,093	)		(1,390,266	)
Net gain on investments		3,803,028			7,309,753			61,911,325
Net income	$	3,838,746		$	7,282,226		$	61,924,348

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the gains and losses on all financial instruments held by the Master Funds reported in net realized gain (loss) on investments and net increase (decrease) in unrealized appreciation on investments in their statements of operations segregated by primary underlying risk and contract type for the three month period ended September 30, 2013:

	Graham Commodity Strategies LLC			Graham Global Monetary Policy LLC			Graham K4D Trading Ltd.
Commodity price
Futures	$	(34,159,594	)	$	(2,484,401	)	$	(33,941,134	)
Options		2,790,130			-			-
Swaps		1,871,695			-			-
		(29,497,769	)		(2,484,401	)		(33,941,134	)
Equity price
Equities		(154,500	)		-			(51,000	)
Futures		(8,336,291	)		(10,399,542	)		44,304,037
Options		2,030,138			609,588			-
		(6,460,653	)		(9,789,954	)		44,253,037
Foreign currency exchange rate
Forwards		(47,839,851	)		(56,733,552	)		10,339,875
Futures		65,139			-			(2,212	)
Options		(28,135,583	)		3,353,534			-
		(75,910,295	)		(53,380,018	)		10,337,663
Interest rate
Bonds		380			-			3,168
Futures		(6,368,555	)		5,630,813			16,773,710
Options		(4,040,994	)		(304,454	)		-
Swaps		(2,460,351	)		-			-
		(12,869,520	)		5,326,359			16,776,878
Total	$	(124,738,237	)	$	(60,328,014	)	$	37,426,444

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

	Graham Commodity Strategies LLC			Graham Global Monetary Policy LLC			Graham K4D Trading Ltd.
Commodity price
Futures	$	(55,195,219	)	$	(4,115,123	)	$	11,743,698
Options		451,780			-			-
Swaps		4,927,056			-			(577,404	)
		(49,816,383	)		(4,115,123	)		11,166,294
Equity price
Equities		657,100			-			24,494
Futures		(7,031,711	)		5,732,367			169,168,869
Options		703,688			101,530			-
		(5,670,923	)		5,833,897			169,193,363
Foreign currency exchange rate
Forwards		43,741,713			(28,167,485	)		(41,699,798	)
Futures		(2,915,366	)		-			(4,265,403	)
Options		12,417,989			9,429,108			-
		53,244,336			(18,738,377	)		(45,965,201	)
Interest rate
Bonds		16,147			-			48,741
Futures		15,306,590			29,490,658			(71,141,606	)
Options		3,166,117			(1,837,209	)		-
Swaps		(2,108,228	)		-			-
		16,380,626			27,653,449			(71,092,865	)
Total	$	14,137,656		$	10,633,846		$	63,301,591

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the financial position of each Master Fund as of December 31, 2012:

	Graham Commodity Strategies LLC (Delaware)			Graham Global Monetary Policy LLC (Delaware)			Graham K4D Trading Ltd. (BVI)
Assets:
Due from brokers	$	114,206,522		$	76,261,597		$	29,961,942
Fixed income securities, at fair value		49,996,302			-			124,990,755
Derivative financial instruments, at fair value		34,869,226			13,475,515			25,424,116
CME membership, at fair value		2,000,300			-			793,453
Dividends receivable		52,500			-			-
Other assets		-			107			-
Total assets		201,124,850			89,737,219			181,170,266

Liabilities:
Derivative financial instruments, at fair value		17,032,718			1,950,294			-
Due to brokers		-			-			1,750,659
Redemptions payable		5,369			-			-
Total liabilities		17,038,087			1,950,294			1,750,659
Net assets	$	184,086,763		$	87,786,925		$	179,419,607

Percentage of Master Fund held by GAIT		8.87	%		8.27	%		13.54	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2012.

Description	Principal Amount / Notional Amount / Number of Contracts		Fair Value			Percentage of Net Assets of Master Fund
Graham Commodity Strategies LLC
Fixed income securities
Bonds (cost $49,989,111)
United States
U.S. Treasury bill 0.00% due 03/14/13	$	50,000,000	$	49,996,302			27.16	%
Total United States				49,996,302			27.16	%
Total bonds				49,996,302			27.16	%
Total fixed income securities			$	49,996,302			27.16	%

Derivative financial instruments
Long contracts
Futures
Brent Crude March 2013 - September 2013		9,543		14,516,600			7.89	%
Natural Gas May 2013		7,931		(14,959,620	)		(8.13	)%
Natural Gas July 2013		6,351		(11,052,940	)		(6.00	)%
Other Natural Gas February 2013 - January 2014		11,510		(4,945,000	)		(2.69	)%
Wheat March 2013 - December 2013		8,992		(7,496,000	)		(4.07	)%
WTI Crude April 2013		6,643		10,201,020			5.54	%
WTI Crude November 2013		1,999		(12,183,290	)		(6.62	)%
WTI Crude January 2014		1,999		(11,361,590	)		(6.17	)%
Other WTI Crude February 2013 - June 2014		8,570		13,477,380			7.32	%
Other commodity				(24,499,577	)		(13.31	)%
Total futures				(48,303,017	)		(26.24	)%

Swaps
Commodity futures				(162,119	)		(0.09	)%
Total swaps				(162,119	)		(0.09	)%

Forwards
Japanese Yen / U.S. dollar 01/04/13	JPY	180,218,436,000		(15,289,285	)		(8.31	)%
Japanese Yen / U.S. dollar 01/07/13	JPY	73,665,968,900		(5,778,001	)		(3.14	)%
Other foreign currency				1,376,864			0.75	%
Total forwards				(19,690,422	)		(10.70	)%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2012.

Description	Number of Contracts		Fair Value		Percentage of Net Assets of Master Fund
Graham Commodity Strategies LLC (continued)
Derivative financial instruments (continued)
Long contracts (continued)
Options
Natural Gas Futures February 2013 - January 2015 Call $3.75 - $5.00		2,150	$	1,591,150		0.86	%
Natural Gas Futures March 2013 - April 2013 Put $0.00 - $3.25		4,100		1,971,000		1.07	%
Other commodity				521,780		0.28	%
U.S. dollar / Japanese Yen February 2013 - May 2013 Call $85.00 - $88.00		4		16,385,856		8.90	%
Other currency				1,195,163		0.66	%
U.S. bond				574,219		0.31	%
U.S. index				1,856,250		1.01	%
Total options				24,095,418		13.09	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2012.

Description	Number of Contracts / Notional Amount			Fair Value			Percentage of Net Assets of Master Fund
Graham Commodity Strategies LLC (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Brent Crude February 2013 - December 2014		(8,330	)	$	(10,374,090	)		(5.64	)%
Natural Gas March 2013		(5,467	)		16,116,840			8.76	%
Natural Gas April 2013		(10,618	)		27,581,820			14.99	%
Other Natural Gas February 2013 - April 2014		(9,670	)		5,062,300			2.75	%
Wheat March 2013 - July 2013		(8,999	)		8,924,988			4.85	%
WTI Crude March 2013		(5,663	)		(9,638,060	)		(5.24	)%
WTI Crude June 2013		(3,787	)		(12,403,880	)		(6.74	)%
Other WTI Crude February 2013 - December 2015		(10,649	)		(15,529,960	)		(8.44	)%
Other commodity					22,886,444			12.44	%
U.S. bond					45,313			0.02	%
U.S. index					7,500			0.00	%
Total futures					32,679,215			17.75	%

Swaps
Commodity futures					59,748			0.03	%
Total swaps					59,748			0.03	%

Forwards
U.S. dollar / Japanese Yen 01/04/13	JPY	(179,649,983,200	)		21,846,045			11.87	%
U.S. dollar / Japanese Yen 01/07/13	JPY	(186,460,696,800	)		14,713,710			7.99	%
U.S. dollar / Japanese Yen 01/07/13	JPY	(2,602,098,000	)		(14,672	)		(0.01	)%
Other foreign currency					(798,071	)		(0.43	)%
Total forwards					35,747,012			19.42	%

Options
Natural Gas Futures April 2013 Put $3.00		(250	)		(182,500	)		(0.10	)%
Natural Gas Futures February 2013 - January 2015 Call $0.10 - $5.50		(3,350	)		(979,700	)		(0.53	)%
Other commodity					(21,000	)		(0.01	)%
Currency					(5,242,064	)		(2.84	)%
U.S. bond					(164,063	)		(0.09	)%
Total options					(6,589,327	)		(3.57	)%

Total derivative financial instruments				$	17,836,508			9.69	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2012.

Description	Notional Amount			Fair Value			Percentage of Net Assets of Master Fund
Graham Global Monetary Policy LLC
Derivative financial instruments
Long contracts
Futures
Foreign bond				$	145,741			0.17	%
Foreign index					2,401,384			2.73	%
Interest rate					(1,575,000	)		(1.79	)%
Total futures					972,125			1.11	%

Forwards
Brazilian Real / U.S. dollar 01/03/13	BRL	838,687,500			10,278,835			11.71	%
Chinese Yuan / U.S. dollar 01/03/13 - 06/27/13					4,523,387			5.15	%
Mexican Peso / U.S. dollar 01/02/13 - 01/03/13					7,159,228			8.16	%
Other foreign currency					(963,799	)		(1.10	)%
Total forwards					20,997,651			23.92	%

Options
Interest rate					625,000			0.71	%
U.S. index					158,750			0.18	%
Foreign currency					529,605			0.61	%
Total options					1,313,355			1.50	%

Short contracts
Futures
Foreign index					(328,287	)		(0.37	)%
Foreign bond					492,734			0.56	%
Interest rate					2,371,123			2.70	%
U.S. bond					759,204			0.86	%
Total futures					3,294,774			3.75	%

Forwards
U.S. dollar / Brazilian Real 01/03/13	BRL	(838,687,500	)		(6,955,653	)		(7.92	)%
Other foreign currency					(4,833,382	)		(5.51	)%
Total forwards					(11,789,035	)		(13.43	)%

Options
Interest rate					(468,750	)		(0.53	)%
Foreign currency					(2,794,899	)		(3.19	)%
Total options					(3,263,649	)		(3.72	)%

Total derivative financial instruments				$	11,525,221			13.13	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2012.

Description	Principal Amount / Notional Amount / Number of Contracts		Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd.
Fixed income securities
Bonds (cost $124,963,438)
United States
U.S. Treasury bill 0.00% due 03/14/13	$	125,000,000	$	124,990,755			69.66	%
Total United States				124,990,755			69.66	%
Total bonds				124,990,755			69.66	%
Total fixed income securities			$	124,990,755			69.66	%

Derivative financial instruments
Long contracts
Futures
Nikkei 225 Index March 2013		2,254		11,197,084			6.24	%
Topix Index March 2013		1,383		11,116,231			6.20	%
Other foreign index				(1,641,221	)		(0.92	)%
Commodity				40,893			0.02	%
Currency				19,615			0.01	%
Interest rate				989,629			0.55	%
Foreign bond				3,888,306			2.17	%
U.S. bond				372,289			0.21	%
U.S. index				345,055			0.19	%
Total futures				26,327,881			14.67	%

Forwards
Foreign currency				(1,692,952	)		(0.94	)%
Total forwards				(1,692,952	)		(0.94	)%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2012.

Description	Notional Amount			Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd. (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Foreign index				$	(73,012	)		(0.04	)%
Commodity					(7,643,113	)		(4.27	)%
Currency					1,060,981			0.59	%
Interest rate					(39,202	)		(0.02	)%
Foreign bond					(241,205	)		(0.13	)%
U.S. bond					243,652			0.14	%
U.S. index					(353,828	)		(0.20	)%
Total futures					(7,045,727	)		(3.93	)%

Forwards
U.S. dollar / Japanese Yen 03/21/13	JPY	(24,575,106,969	)		9,839,401			5.48	%
U.S. dollar / Japanese Yen 01/04/13 - 01/07/13	JPY	(2,181,627,007	)		105,135			0.06	%
Other foreign currency					(2,109,622	)		(1.17	)%
Total forwards					7,834,914			4.37	%

Total derivative financial instruments				$	25,424,116			14.17	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the fair value classification of each investment type by Master Fund as of December 31, 2012:

	Graham Commodity Strategies LLC			Graham Global Monetary Policy LLC			Graham K4D Trading Ltd.
Assets
Level 1:
U.S. bond futures	$	45,313		$	921,438		$	927,920
U.S. bond futures options		574,219			-			-
Foreign bond futures		-			638,475			7,253,098
Foreign index futures		-			2,401,384			23,920,199
U.S. index futures		7,500			-			1,461,396
U.S. index futures options		1,856,250			158,750			-
Commodity futures		136,583,500			-			10,650,606
Commodity futures options		4,083,930			-			-
Commodity futures swaps		59,748			-			-
Interest rate futures		-			2,202,373			1,735,617
Interest rate futures options		-			625,000			-
Currency futures		-			-			1,104,266
Equity securities		2,000,300			-			793,453
Total Level 1		145,210,760			6,947,420			47,846,555

Level 2:
Foreign currency forwards		38,314,684			36,251,151			19,238,245
Foreign currency options		17,581,019			529,605			-
Treasury bills		49,996,302			-			124,990,755
Total Level 2		105,892,005			36,780,756			144,229,000
Total assets	$	251,102,765		$	43,728,176		$	192,075,555
Liabilities
Level 1:
U.S. bond futures	$	-		$	(162,234	)	$	(311,979	)
U.S. bond futures options		(164,063	)		-			-
Foreign bond futures		-			-			(3,605,997	)
Foreign index futures		-			(328,287	)		(3,321,117	)
U.S. index futures		-			-			(1,470,168	)
Commodity futures		(152,260,115	)		-			(18,252,826	)
Commodity futures options		(1,183,200	)		-			-
Commodity futures swaps		(162,119	)		-			-
Interest rate futures		-			(1,406,250	)		(785,190	)
Interest rate futures options		-			(468,750	)		-
Currency futures		-			-			(23,670	)
Total Level 1		(153,769,497	)		(2,365,521	)		(27,770,947	)

Level 2:
Foreign currency forwards		(22,258,094	)		(27,042,535	)		(13,096,283	)
Foreign currency options		(5,242,064	)		(2,794,899	)		-
Total Level 2		(27,500,158	)		(29,837,434	)		(13,096,283	)
Total liabilities	$	(181,269,655	)	$	(32,202,955	)	$	(40,867,230	)

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities based on their notional amounts and number of contracts and fair value of derivative contracts held by the Master Funds at December 31, 2012 categorized by primary underlying risk and is representative of the derivative positions held by the Master Funds throughout the year. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade futures and options on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT. Amounts presented below as collateral balances supporting all derivative positions are included in due from brokers and fixed income securities on the Master Funds’ statements of financial condition.

	Graham Commodity Strategies LLC
	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities
Commodity price
Futures	$	6,957,172,641		102,887	$	(6,812,506,601	)		(100,934	)	$	136,583,500	$	(152,260,115	)
Options (a)		35,431,382		7,568		(17,122,694	)		(3,700	)		4,083,930		(1,183,200	)
Swaps		5,039,580		142		(4,869,180	)		(142	)		59,748		(162,119	)
		6,997,643,603		110,597		(6,834,498,475	)		(104,776	)		140,727,178		(153,605,434	)

Equity price
Futures		-		-		(10,650,000	)		(150	)		7,500		-
Options (a)		61,067,207		3,000		-			-			1,856,250		-
		61,067,207		3,000		(10,650,000	)		(150	)		1,863,750		-

Foreign currency exchange rate
Forwards		1,898,423,498		N/A		(1,882,366,909	)		N/A			38,314,684		(22,258,094	)
Options (a)		475,390,150		8		(245,955,750	)		(4	)		17,581,019		(5,242,064	)
		2,373,813,648		8		(2,128,322,659	)		(4	)		55,895,703		(27,500,158	)

Interest rate
Futures		-		-		(33,195,313	)		(250	)		45,313		-
Options (a)		84,078,349		3,500		(32,955,244	)		(3,500	)		574,219		(164,063	)
		84,078,349		3,500		(66,150,557	)		(3,750	)		619,532		(164,063	)
Total	$	9,516,602,807		117,105	$	(9,039,621,691	)		(108,680	)	$	199,106,163	$	(181,269,655	)

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

Collateral balances supporting all derivative positions													$	164,202,824

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities based on their notional amounts and number of contracts and fair value of derivative contracts held by the Master Funds at December 31, 2012 categorized by primary underlying risk and is representative of the derivative positions held by the Master Funds throughout the year. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade futures and options on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT. Amounts presented below as collateral balances supporting all derivative positions are included in due from brokers and fixed income securities on the Master Funds’ statements of financial condition.

	Graham Global Monetary Policy LLC
	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities
Commodity price
Futures	$	-		-	$	-			-		$	-	$	-
Options (a)		-		-		-			-			-		-
Swaps		-		-		-			-			-		-
		-		-		-			-			-		-

Equity price
Futures		41,877,970		450		(9,872,405	)		(165	)		2,401,384		(328,287	)
Options (a)		-		-		(6,152,186	)		(1,500	)		158,750		-
		41,877,970		450		(16,024,591	)		(1,665	)		2,560,134		(328,287	)

Foreign currency exchange rate
Forwards		3,622,783,412		N/A		(3,613,574,796	)		N/A			36,251,151		(27,042,535	)
Options (a)		197,455,675		10		(259,686,600	)		(11	)		529,605		(2,794,899	)
		3,820,239,087		10		(3,873,261,396	)		(11	)		36,780,756		(29,837,434	)

Interest rate
Futures		2,689,682,667		10,913		(4,622,750,125	)		(19,386	)		3,762,286		(1,568,484	)
Options (a)		289,162,168		5,000		(370,156,922	)		(5,000	)		625,000		(468,750	)
		2,978,844,835		15,913		(4,992,907,047	)		(24,386	)		4,387,286		(2,037,234	)
Total	$	6,840,961,892		16,373	$	(8,882,193,034	)		(26,062	)	$	43,728,176	$	(32,202,955	)

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

Collateral balances supporting all derivative positions													$	76,261,597

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities based on their notional amounts and number of contracts and fair value of derivative contracts held by the Master Funds at December 31, 2012 categorized by primary underlying risk and is representative of the derivative positions held by the Master Funds throughout the year. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade futures and options on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT. Amounts presented below as collateral balances supporting all derivative positions are included in due from brokers and fixed income securities on the Master Funds’ statements of financial condition.

	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	$	364,319,244		4,414	$	(883,588,505	)		(13,712	)	$	10,650,606	$	(18,252,826	)
		364,319,244		4,414		(883,588,505	)		(13,712	)		10,650,606		(18,252,826	)

Equity price
Futures		1,226,779,876		13,036		(106,770,515	)		(1,893	)		25,381,594		(4,791,285	)
		1,226,779,876		13,036		(106,770,515	)		(1,893	)		25,381,594		(4,791,285	)

Foreign currency exchange rate
Futures		36,929,900		352		(136,511,977	)		(1,624	)		1,104,266		(23,670	)
Forwards		1,526,791,218		N/A		(1,520,649,257	)		N/A			19,238,245		(13,096,283	)
		1,563,721,118		352		(1,657,161,234	)		(1,624	)		20,342,511		(13,119,953	)

Interest rate
Futures		9,571,876,106		45,765		(16,351,154	)		(81	)		9,916,635		(4,703,166	)
		9,571,876,106		45,765		(16,351,154	)		(81	)		9,916,635		(4,703,166	)
Total	$	12,726,696,344		63,567	$	(2,663,871,408	)		(17,310	)	$	66,291,346	$	(40,867,230	)

Collateral balances supporting all derivative positions													$	153,202,038

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

When multiple derivative contracts are held with the same counterparty, the Master Funds will net the contracts in an asset position with the contracts in a liability position when covered by a master netting agreement or similar arrangements, for presentation in the statements of financial condition. The table below displays the amounts at December 31, 2012 by which the fair values of both derivative assets and derivative liabilities were reduced within the Master Funds’ statements of financial condition as a result of this netting. Gross amounts below correspond to the total derivative asset and derivative liability balances categorized by primary underlying risk and product type in the preceding tables. Collateral pledged represents the further amounts by which derivative assets and liabilities could have been reduced on the statements of financial condition. The Master Funds elect to display the amounts in due from (to) brokers on the statements of financial condition.

Description	Gross Amount			Gross Amount Offset in the Statements of Financial Condition			Net Amount Presented in the Statements of Financial Condition			Collateral (Received) / Pledged		Net Amount

Graham Commodity Strategies LLC¹
Derivative assets	$	199,106,163		$	(164,236,937	)	$	34,869,226		$	–	$	34,869,226
Derivative liabilities		(181,269,655	)		164,236,937			(17,032,718	)		17,032,718		–
	$	17,836,508		$	–		$	17,836,508		$	17,032,718	$	34,869,226

Graham Global Monetary Policy LLC²
Derivative assets	$	43,728,176		$	(30,252,661	)	$	13,475,515		$	–	$	13,475,515
Derivative liabilities		(32,202,955	)		30,252,661			(1,950,294	)		1,950,294		–
	$	11,525,221		$	–		$	11,525,221		$	1,950,294	$	13,475,515

Graham K4D Trading Ltd.³
Derivative assets	$	66,291,346		$	(40,867,230	)	$	25,424,116		$	1,750,659	$	23,673,457
Derivative liabilities		(40,867,230	)		40,867,230			–			–		–
	$	25,424,116		$	–		$	25,424,116		$	1,750,659	$	23,673,457

¹Net derivative asset amounts presented in the statement of financial condition were held with two counterparties. The Master Fund did not receive collateral from these counterparties that may have been used to offset these derivative amounts as of December 31, 2012. Net derivative liability amounts presented in the statement of financial condition were held with two counterparties. The Master Fund pledged offsetting collateral to these counterparties sufficient to fully offset the derivative liability balances as of December 31, 2012.

²Net derivative asset amounts presented in the statement of financial condition were held with two counterparties. The Master Fund did not receive collateral from these counterparties that may have been used to offset these derivative amounts as of December 31, 2012. Net derivative liability amounts presented in the statement of financial condition were held with one counterparty. The Master Fund pledged offsetting collateral to this counterparty sufficient to fully offset the derivative liability balance as of December 31, 2012.

³Net derivative asset amounts presented in the statement of financial condition were held with two counterparties; the Master Fund received offsetting collateral from one of these counterparties. There were no net derivative liability amounts held with any counterparties as of December 31, 2012.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the results of operations of each Master Fund for the three and nine month periods ended September 30, 2012:

	Graham Commodity Strategies LLC (Delaware)			Graham Energy Focus LLC* (Delaware)			Graham Energy Fundamental LLC ** (Delaware)			Graham Fed Policy Ltd. ** (BVI)			Graham Global Monetary Policy LLC (Delaware)			Graham K4D Trading Ltd. (BVI)			Graham Macro Directional LLC *** (Delaware)			Graham Macro Technical Ltd. *** (BVI)

	Three Months Ended September 30, 2012
Net investment income (loss)	$	(10,991	)	$	-		$	-		$	-		$	(21,003	)	$	(6,308	)	$	-		$	-

Net realized gain (loss) on investments		(81,819,610	)		-			-			-			11,407,726			71,425,119			-			-
Net increase (decrease) in unrealized appreciation on investments		34,454,698			-			-			-			5,221,110			(56,755,770	)		-			-
Brokerage commissions and fees		(4,743,379	)		-			-			-			(592,033	)		(727,408	)		-			-
Net gain (loss) on investments		(52,108,291	)		-			-			-			16,036,803			13,941,941			-			-
Net income (loss)	$	(52,119,282	)	$	-		$	-		$	-		$	16,015,800		$	13,935,633		$	-		$	-

	Nine Months Ended September 30, 2012
Net investment income (loss)	$	178,917		$	6,738		$	(154	)	$	(1,576	)	$	(258,182	)	$	(251,276	)	$	(1,941	)	$	(2,653	)

Net realized gain (loss) on investments		(37,980,662	)		(3,769,417	)		699,173			5,613,230			20,042,369			66,459,854			25,666,911			1,923,109
Net increase (decrease) in unrealized appreciation on investments		(63,711,065	)		5,355,406			763,033			(6,791,394	)		3,436,812			(72,542,140	)		14,493,872			(56,547	)
Brokerage commissions and fees		(13,753,662	)		(205,978	)		(520,725	)		(252,116	)		(2,154,822	)		(3,683,095	)		(411,391	)		(117,463	)
Net gain (loss) on investments		(115,445,389	)		1,380,011			941,481			(1,430,280	)		21,324,359			(9,765,381	)		39,749,392			1,749,099
Net income (loss)	$	(115,266,472	)	$	1,386,749		$	941,327		$	(1,431,856	)	$	21,066,177		$	(10,016,657	)	$	39,747,451		$	1,746,446

* For the period from January 1, 2012 to February 29, 2012 (date of dissolution)

** For the period from January 1, 2012 to May 29, 2012 (date of dissolution)

*** For the period from January 1, 2012 to May 30, 2012 (date of dissolution)

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the gains and losses on all financial instruments held by the Master Funds reported in net realized gain (loss) and net increase (decrease) in unrealized appreciation on investments in their statements of operations segregated by primary underlying risk and contract type for the three month period ended September 30, 2012:

	Graham Commodity Strategies LLC			Graham Energy Focus LLC *		Graham Energy Fundamental LLC **		Graham Fed Policy Ltd. **		Graham Global Monetary Policy LLC			Graham K4D Trading Ltd.			Graham Macro Directional LLC ***		Graham Macro Technical Ltd. ***
Commodity price
Futures	$	(23,903,897	)	$	-	$	-	$	-	$	(152,555	)	$	(63,225,657	)	$	-	$	-
Options		826,590			-		-		-		-			-			-		-
Swaps		(912,810	)		-		-		-		-			19,663,691			-		-
		(23,990,117	)		-		-		-		(152,555	)		(43,561,966	)		-		-
Equity price
Futures		(2,584,375	)		-		-		-		80,296			41,401,204			-		-
CME Membership		150,840			-		-		-		-			(96,021	)		-		-
Options		(708,925	)		-		-		-		-			-			-		-
		(3,142,460	)		-		-		-		80,296			41,305,183			-		-
Foreign currency exchange rate
Futures		(143,330	)		-		-		-		-			(3,214,982	)		-		-
Forwards		(22,494,300	)		-		-		-		34,250,250			(9,449,834	)		-		-
Options		257,530			-		-		-		(11,369,942	)		-			-		-
		(22,380,100	)		-		-		-		22,880,308			(12,664,816	)		-		-
Interest rate
Futures		2,354,473			-		-		-		(6,556,382	)		29,557,675			-		-
Options		(224,292	)		-		-		-		377,169			-			-		-
Treasury bills		17,584			-		-		-		-			33,273			-		-
		2,147,765			-		-		-		(6,179,213	)		29,590,948			-		-
Total	$	(47,364,912	)	$	-	$	-	$	-	$	16,628,836		$	14,669,349		$	-	$	-

* For the period from January 1, 2012 to February 29, 2012 (date of dissolution)

** For the period from January 1, 2012 to May 29, 2012 (date of dissolution)

*** For the period from January 1, 2012 to May 30, 2012 (date of dissolution)

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

	Graham Commodity Strategies LLC			Graham Energy Focus LLC *			Graham Energy Fundamental LLC **			Graham Fed Policy Ltd. **			Graham Global Monetary Policy LLC			Graham K4D Trading Ltd.			Graham Macro Directional LLC ***			Graham Macro Technical Ltd. ***
Commodity price
Futures	$	(36,854,995	)	$	12,682,853		$	1,464,936		$	-		$	1,189,567		$	(81,607,114	)	$	(865,110	)	$	174,280
Options		1,356,730			789,330			(26,230	)		-			-			-			-			3,050
Swaps		1,347,557			(11,744,944	)		23,500			-			-			14,841,875			-			-
		(34,150,708	)		1,727,239			1,462,206			-			1,189,567			(66,765,239	)		(865,110	)		177,330
Equity price
Futures		(9,868,887	)		(141,250	)		-			17,313			4,426,845			45,742,293			1,981,489			754,753
CME Membership		(1,420	)		-			-			-			-			(178,371	)		-			-
Options		(798,925	)		-			-			-			-			-			-			(248,800	)
		(10,669,232	)		(141,250	)		-			17,313			4,426,845			45,563,922			1,981,489			505,953
Foreign currency exchange rate
Futures		2,842,050			-			-			-			-			(17,885,349	)		-			(25	)
Forwards		(62,323,952	)		-			-			-			23,654,065			(58,357,586	)		33,756,168			1,033,665
Options		(1,647,201	)		-			-			-			(16,376,531	)		-			1,335,000			375,203
		(61,129,103	)		-			-			-			7,277,534			(76,242,935	)		35,091,168			1,408,843
Interest rate
Futures		2,074,599			-			-			(4,431,351	)		10,333,066			91,272,499			4,218,861			(144,332	)
Options		2,155,022			-			-			3,235,874			252,169			-			(265,625	)		(81,232	)
Treasury bills		27,695			-			-			-			-			89,467			-			-
		4,257,316			-			-			(1,195,477	)		10,585,235			91,361,966			3,953,236			(225,564	)
Total	$	(101,691,727	)	$	1,585,989		$	1,462,206		$	(1,178,164	)	$	23,479,181		$	(6,082,286	)	$	40,160,783		$	1,866,562

* For the period from January 1, 2012 to February 29, 2012 (date of dissolution)

** For the period from January 1, 2012 to May 29, 2012 (date of dissolution)

*** For the period from January 1, 2012 to May 30, 2012 (date of dissolution)

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC

GAIT invests a portion of its excess liquidity in Cash Assets, an entity for which the Manager is also the sole investment advisor. Cash Assets commenced operations on June 22, 2005, and was formed as a Delaware Limited Liability Company for the purpose of consolidating investment activity of multiple funds managed by the Manager. Its objective is to preserve capital while enhancing return on cash balances and providing daily liquidity. It invests in debt obligations guaranteed by the U.S. federal government which range in maturity from one to twenty-four months. Cash Assets also maintains cash and cash equivalents on deposit with major U.S. institutions. Cash Assets values all fixed income securities at amortized cost which approximates fair value. GAIT’s investment in Cash Assets is valued in the accompanying statements of financial condition at fair value in accordance with U.S. GAAP based upon GAIT’s proportionate share of Cash Assets’ reported net asset value. GAIT records its proportionate share of Cash Assets’ investment income and expenses on a monthly basis. For the three month periods ended September 30, 2013 and 2012, the total amounts recognized by GAIT with respect to its investments in Cash Assets were $102,458 and $185,718, respectively. For the nine month periods ended September 30, 2013 and 2012, the total amounts recognized by GAIT with respect to its investments in Cash Assets were $335,724 and $598,677, respectively. These amounts are included in interest income in the statements of operations and managing member allocation. At September 30, 2013 and December 31, 2012, GAIT owned approximately 4.37% and 6.02%, respectively, of Cash Assets. The following table summarizes the financial position of Cash Assets as of September 30, 2013 and December 31, 2012:

	September 30, 2013		December 31, 2012
Assets:
Cash and cash equivalents	$	779,017,518	$	968,228,634
Investments in fixed income securities (cost $2,874,373,271 and $3,041,387,608, respectively)		2,874,373,271		3,041,387,608
Accrued interest receivable		8,556,351		5,989,305
Total assets		3,661,947,140		4,015,605,547

Liabilities:
Other liabilities		15,000		9,300
Total liabilities		15,000		9,300
Net assets	$	3,661,932,140	$	4,015,596,247

The following table summarizes the results of operations of Cash Assets for the three and nine month periods ended September 30, 2013 and 2012:

	Three Months Ended September 30,				Nine Months Ended September 30,
	2013		2012		2013		2012
Investment income
Interest income	$	2,331,345	$	2,748,540	$	6,571,736	$	7,600,101
Total investment income		2,331,345		2,748,540		6,571,736		7,600,101

Expenses:
Bank fee expense		7,210		30,845		66,174		92,482
Total expenses		7,210		30,845		66,174		92,482
Net investment income		2,324,135		2,717,695		6,505,562		7,507,619
Net income	$	2,324,135	$	2,717,695	$	6,505,562	$	7,507,619

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC (continued)

The following represents the condensed schedule of investments of Cash Assets as of September 30, 2013:

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Investments in Fixed Income Securities (cost $2,874,373,271)
United States
Government Bonds (cost $2,874,373,271)
U.S. Treasury 0.13% - 4.00% due 10/15/13 – 09/15/15	$	2,892,491,215	$	2,874,373,271		78.49	%
Total Government Bonds				2,874,373,271		78.49	%

Total Investments in Fixed Income Securities			$	2,874,373,271		78.49	%

The following represents the condensed schedule of investments of Cash Assets as of December 31, 2012:

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Investments in Fixed Income Securities (cost $3,041,387,608)
United States
Government Bonds (cost $3,041,387,608)
U.S. Treasury 0.13% - 2.63% due 01/15/13 – 12/31/14	$	3,025,000,000	$	3,041,387,608		75.74	%
Total Government Bonds				3,041,387,608		75.74	%

Total Investments in Fixed Income Securities			$	3,041,387,608		75.74	%

Cash Assets reports the fair value of its investment related assets and liabilities in accordance with the hierarchy established under U.S. GAAP. The following table shows the fair value classification of each investment type held by Cash Assets as of September 30, 2013 and December 31, 2012:

	September 30, 2013		December 31, 2012
Assets
Level 2:
Fixed income securities
Government Bonds	$	2,874,373,271	$	3,041,387,608
Total fixed income securities		2,874,373,271		3,041,387,608
Total Level 2		2,874,373,271		3,041,387,608
Total assets	$	2,874,373,271	$	3,041,387,608

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

5. Capital Accounts

GAIT offers Class 0 Units and Class 2 Units (collectively, the “Units”). GAIT 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 also has Management Units (“Class M units”) which are solely for the investment of the Manager.

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

Subscriptions

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

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

Redemptions

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

6. Fees and Related Party Transactions

Advisory Fees

For the three and nine months ended September 30, 2013 and 2012 each Class of GAIT other than Class M pays the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate equal to 1.75% and 2%, respectively, 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.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

6. Fees and Related Party Transactions (continued)

Sponsor Fees

For the nine months ended September 30, 2013 and 2012, each Class of GAIT other than Class M paid the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate specified in the table below. This Sponsor Fee was payable monthly in arrears calculated as of the last business day of each month in the same manner as the Advisory Fee. For the three months ended March 31, 2013 the Sponsor Fee listed below for Class 2 reflects as well a selling agent fee (the “Selling Agent Fee”) of 2%. The Selling Agent Fee compensates selling agents for initial and on-going services to the Feeder Funds.

Class	2013 Annual Rate	2012 Annual Rate
Class 0	0.75%	1.00%
Class 2	2.75%	1.00%

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. Additionally, any loss carryforward attributable to any class of GAIT shall be proportionately reduced effective as of the date of any redemption of any Units of such class by multiplying the loss carryforward by the ratio that the amount of assets redeemed from such class bears to the net assets of such class immediately prior to such redemption. The loss carryforward of a class must be recouped before any subsequent Incentive Allocation can be made to the Manager.

Brokerage Fees

For the three and nine months ended September 30, 2012, each Class of GAIT other than Class M paid the Manager a brokerage fee (the “Brokerage Fee”) at an annual rate specified in the table below. This Brokerage Fee was 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 assumed all of GAIT’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 and the continuous offering of Units. To the extent GAIT was allocated any of these expenses from the Master Funds in which it invested, the Manager reimbursed GAIT for those amounts. These reimbursements are included in commission reimbursements in the statements of operations and managing member allocation.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

6. Fees and Related Party Transactions (continued)

Brokerage Fees (continued)

As of January 1, 2013, the Manager eliminated the Brokerage Fee and GAIT began to absorb directly all costs previously covered by the Brokerage Fee. These costs are included in the statement of operations.

Administrator’s Fee

For the nine month period ended September 30, 2013, GAIT paid SEI a monthly administrator’s fee based on GAIT’s net asset value, calculated as of the last business day of each month. In addition, GAIT reimbursed SEI for reasonable out-of-pocket expenses incurred on behalf of GAIT. The total administrator’s fees incurred by GAIT for the nine month period ended September 30, 2013 were $226,120, of which $19,976 was accrued as of September 30, 2013. For the nine month period ended September 30, 2012, the administrator's fee was absorbed by the Manager in exchange for the Brokerage Fee.

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.

7. Income Taxes

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

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

8. Financial Highlights

The following is the per unit operating performance calculation for the three month periods ended September 30, 2013 and 2012:

	Class 0			Class 2
Per unit operating performance:
Net asset value per unit, June 30, 2012	$	118.77		$	94.30
Net loss:
Net investment loss		(1.27	)		(1.49	)
Net loss on investments		(0.60	)		(0.46	)
Net loss		(1.87	)		(1.95	)
Net asset value per unit, September 30, 2012	$	116.90		$	92.35

Net asset value per unit, June 30, 2013	$	121.13		$	94.28
Net loss:
Net investment loss		(0.76	)		(1.06	)
Net loss on investments		(3.67	)		(2.85	)
Net loss		(4.43	)		(3.91	)
Net asset value per unit, September 30, 2013	$	116.70		$	90.37

The following represents ratios to average members’ capital, excluding the Managing Member, and total return for the three month periods ended September 30, 2013 and 2012:

	Class 0						Class 2
	2013			2012			2013			2012

Total return before Incentive Allocation		(3.66	)%		(1.57	)%		(4.15	)%		(2.07	)%
Incentive Allocation		0.00			0.00			0.00			0.00
Total return after Incentive Allocation		(3.66	)%		(1.57	)%		(4.15	)%		(2.07	)%

Net investment loss before Incentive Allocation		(0.63	)%		(1.06	)%		(1.12	)%		(1.57	)%
Incentive Allocation		0.00			0.00			0.00			0.00
Net investment loss after Incentive Allocation		(0.63	)%		(1.06	)%		(1.12	)%		(1.57	)%

Total expenses before Incentive Allocation		0.69	%		1.31	%		1.20	%		1.81	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total expenses after Incentive Allocation		0.69	%		1.31	%*		1.20	%		1.81	%*

*- The percentages above represent total gross expenses before commission reimbursements, which represent 0.20% of average members’ capital for 2012.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

8. Financial Highlights (continued)

The following is the per unit operating performance calculation for the nine month periods ended September 30, 2013 and 2012:

	Class 0			Class 2
Per unit operating performance:
Net asset value per unit, December 31, 2011	$	123.17		$	98.77
Net loss:
Net investment loss		(3.68	)		(4.43	)
Net loss on investments		(2.59	)		(1.99	)
Net loss		(6.27	)		(6.42	)
Net asset value per unit, September 30, 2012	$	116.90		$	92.35

Net asset value per unit, December 31, 2012	$	114.88		$	90.29
Net income:
Net investment loss		(2.50	)		(3.33	)
Net gain on investments		4.32			3.41
Net income		1.82			0.08
Net asset value per unit, September 30, 2013	$	116.70		$	90.37

The following represents ratios to average members’ capital, excluding the Managing Member, and total return for the nine month periods ended September 30, 2013 and 2012:

	Class 0						Class 2
	2013			2012			2013			2012

Total return before Incentive Allocation		1.58	%		(5.09	)%		0.09	%		(6.50	)%
Incentive Allocation		0.00			0.00			0.00			0.00
Total return after Incentive Allocation		1.58	%		(5.09	)%		0.09	%		(6.50	)%

Net investment loss before Incentive Allocation		(2.11	)%		(2.99	)%		(3.57	)%		(4.52	)%
Incentive Allocation		0.00			0.00			0.00			0.00
Net investment loss after Incentive Allocation		(2.11	)%		(2.99	)%		(3.57	)%		(4.52	)%

Total expenses before Incentive Allocation		2.27	%		3.83	%		3.73	%		5.36	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total expenses after Incentive Allocation		2.27	%		3.83	%*		3.73	%		5.36	%*

*- The percentages above represent total gross expenses before commission reimbursements, which represent 0.70% of average members’ capital for 2012.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

8. Financial Highlights (continued)

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 period. 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 (for 2012 periods only), Sponsor Fees, Administrator’s 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 and net investment loss and expenses allocated from Master Funds and investment income from Cash Assets. The computation of such ratios is based on the amount of net investment loss, total expenses and Incentive Allocation. Net investment loss and total expense ratios are computed based upon the weighted average of members’ capital of GAIT, excluding that of the Managing Member, for the three and nine month periods ended September 30, 2013 and 2012.

9. Subsequent Events

GAIT had subscriptions of approximately $1.2 million and redemptions of approximately $12.6 million through November 14, 2013, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.

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

Forward-Looking Statements

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

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

The following is a discussion of our current financial position and results of operations. This discussion should be read together with our Annual Report on Form 10-K, dated March 28, 2013. This discussion should also be read in conjunction with “Item 1: Financial Statements.” The information contained therein is essential to, and should be read in conjunction with, the following analysis. For the purposes of this filing beginning with Item 2, the term “Fund” shall include each of the Blended Strategies Portfolio of GAIF II, GAIT, and the master funds in which they invest, unless the context implies otherwise. The Fund does not engage in the sale of goods or services. The Fund’s capital consists of capital contributions of the members, as increased or decreased by gains and losses from its investments in the Master Funds, interest, expenses and redemptions. Its only assets are its investments in the Master Funds. The Master Funds do not engage in the sale of goods or services. Their assets are comprised of the equity in their accounts with clearing brokers and OTC counterparties, in each case consisting of cash, open trade equity on derivatives and the net option premium paid or received. In the case of Graham Cash Assets LLC (“Cash Assets”), the assets consist of investments in debt obligations guaranteed by the U.S. federal government, as well as cash and cash equivalents.

For the three months ended September 30, 2013 the Blended Strategies Portfolio’s net asset value decreased by $8,132,451 or -9.6%. The net decrease in the Blended Strategies Portfolio was attributable to total subscriptions of $839,250 or 1.0% offset by redemptions totaling $5,749,156 or -6.8% and a net loss of $3,222,545 or -3.8% for the period.

For the nine months ended September 30, 2013 the Blended Strategies Portfolio’s net asset value decreased by $17,163,540 or -18.2%. The net decrease in the Blended Strategies Portfolio was attributable to total subscriptions of $1,939,801 or 2.1% and net income of $1,681,207 or 1.8% offset by redemptions totaling $20,784,548 or -22.1% for the period.

For the three months ended September 30, 2012 the Blended Strategies Portfolio’s net asset value decreased by $10,952,013 or -8.8%. The net decrease in the Blended Strategies Portfolio was attributable to total subscriptions of $7,106,500 or 5.7% offset by redemptions totaling $15,895,546 or -12.8% and a net loss of $2,162,967 or -1.7% for the period.

For the nine months ended September 30, 2012 the Blended Strategies Portfolio’s net asset value decreased by $33,284,907 or -22.7%. The net decrease in the Blended Strategies Portfolio was attributable to total subscriptions of $12,785,608 or 8.7% offset by redemptions totaling $39,162,869 or -26.7% and net a loss of $6,907,646 or -4.7%, for the period.

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.

2013 Summary

Three Months Ended September 30, 2013

For the three months ended September 30, 2013, the Blended Strategies Portfolio experienced net trading losses of $2,529,115. The trading results are attributable to the following sectors:

Agriculture / Softs	$	405,251
Base metals		(386,993	)
Energy		(1,220,013	)
Equities		1,470,464
Foreign exchange		(2,368,336	)
Long term / Intermediate rates		30,349
Precious metals		(913,076	)
Short term rates		453,239
	$	(2,529,115	)

The Blended Strategies Portfolio recorded a net loss for the third quarter of 2013. The losses resulted primarily from positions in commodities, including energy and metals. The portfolio also recorded losses from positions in foreign exchange, particularly as the U.S. dollar weakened versus the Japanese yen, European currencies, and commodity currencies. The portfolio recorded profits from trading U.S. and European equity indices and short term rates futures, which mitigated a portion of the overall losses for the quarter.

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

For the three months ended September 30, 2013 Advisory Fees decreased by $287,586 or -44.4%, Brokerage Fees decreased by $759,826 or -100.0% and Sponsor Fees decreased by $78,344 or -24.2% in the Fund over the corresponding period of the preceding year. These decreases are all attributable to lower net assets of the portfolio resulting from redemptions and a net loss partially offset by subscriptions for the period. Additionally, the Brokerage Fees were eliminated beginning January 1, 2013 and the Advisory Fees were reduced by 0.25% for each class of units from 2% in 2012 to 1.75% in 2013. During the same period, interest income decreased by $23,108 or -34.9%. Interest was earned on free cash at an average annualized yield of 0.25% for the three months ended September 30, 2013 compared to 0.25% for the same period in 2012.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended September 30, 2013 and 2012 the portfolio has not yet recovered previous losses. As a result, there was no Incentive Allocation for those periods.

Index

Nine Months Ended September 30, 2013

For the nine months ended September 30, 2013, the Blended Strategies Portfolio experienced net trading gains of $4,161,040. The trading results are attributable to the following sectors:

Agriculture / Softs	$	857,061
Base metals		27,060
Energy		(3,584,893	)
Equities		6,920,537
Foreign exchange		52,935
Long term / Intermediate rates		(2,740,215	)
Precious metals		1,800,898
Short term rates		827,657
	$	4,161,040

Blended Strategies Portfolio posted a net gain for the first three quarters of 2013. The majority of the gains were driven by trading equity index futures, particularly in the U.S., Asia and U.K. The portfolio also recorded gains from trading precious metals, with smaller gains in agricultural/softs commodities. Losses were experienced from trading in the energy sector, with smaller losses in long term/intermediate rates futures. These losses offset a portion of the overall year-to-date gains through the third quarter.

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

For the nine months ended September 30, 2013 Advisory Fees decreased by $913,081 or -43.9%, Brokerage Fees decreased by $2,457,470 or -100.0% and Sponsor Fees decreased by $260,200 or -25.0% in the Fund over the corresponding period of the preceding year. These decreases are all attributable to lower net assets of the portfolio resulting from redemptions partially offset by subscriptions and net income for the period. Additionally, the Brokerage Fees were eliminated beginning January 1, 2013 and the Advisory Fees were reduced by 0.25% for each class of units from 2% in 2012 to 1.75% in 2013. During the same period, interest income decreased by $83,175 or -39.1%. Interest was earned on free cash at an average annualized yield of 0.23% for the nine months ended September 30, 2013 compared to 0.26% for the same period in 2012.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the six months ended September 30, 2013 and 2012 the portfolio has not yet recovered previous losses. As a result, there was no Incentive Allocation for those periods.

The following table illustrates the sector distribution of the Fund’s investments in Master Funds as of September 30, 2013 based on the fair value of the underlying assets and liabilities in each Master Fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

Agriculture / Softs	39.7	%
Base metals	(5.4	)%
Energy	(31.6	)%
Equities	0.2	%
Foreign exchange	65.1	%
Long term / Intermediate rates	(9.9	)%
Precious metals	2.8	%
Short term rates	39.1	%
	100.0	%

Index

2012 Summary

Three Months Ended September 30, 2012

For the three months ended September 30, 2012, the Blended Strategies Portfolio experienced net trading losses of $487,378. This amount includes a reimbursement from the Advisor of $247,919 for trading commissions allocated from the Master Funds. The trading results, prior to the commission reimbursement, were a loss of $735,297 which are attributable to the following sectors:

Agriculture / Softs	$	(526,518	)
Base metals		(2,356,978	)
Energy		(277,483	)
Equities		2,231,715
Foreign exchange		(790,190	)
Long term / Intermediate rates		279,886
Precious metals		(660,452	)
Short term rates		1,364,723
	$	(735,297	)

The Blended Strategies Portfolio posted a net loss from trading for the third quarter of 2012, with the largest losses driven by systematic trading in metals. The portfolio incurred smaller losses in precious metals as gains in gold were more than offset by losses in silver. Currency trading negatively impacted the Portfolio as the euro and Swiss franc reversed their recent trend lower and strengthened sharply versus the U.S. dollar. The portfolio incurred losses in soft commodities as coffee and cocoa prices increased while sugar prices declined during the quarter. Small losses also resulted in energy as gains in gasoline were more than offset by losses in heating oil and crude oil. The portfolio benefitted from the equity rally, with gains in the U.S. and European stock index futures that helped mitigate a portion of the overall losses for the quarter. Modest profits also resulted from trading U.S. and European fixed income futures.

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 September 30, 2012, Brokerage Fees decreased by $271,583 or -26.3%, Advisory Fees decreased by $226,112 or -25.9% and Sponsor Fees decreased by $113,057 or -25.9% in the Blended Strategies Portfolio over the corresponding period of the preceding year. These decreases are all attributable to lower net assets of the portfolio resulting from redemptions and a net loss partially offset by subscriptions for the period. During the same period, interest income decreased by $81,265 or -55.1%. Interest was earned on free cash at an average annualized yield of 0.25% for the three months ended September 30, 2012 compared to 0.42% for the same period in 2011.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended September 30, 2012 and 2011, there was no Incentive Allocation due to the portfolio’s lack of profitability.

Index

Nine Months Ended September 30, 2012

For the nine months ended September 30, 2012, the Blended Strategies Portfolio experienced net trading losses of $1,515,654. This amount includes a reimbursement from the Advisor of $953,338 for trading commissions allocated from the Master Funds. The trading results, prior to the commission reimbursement, were a loss of $2,468,992 which are attributable to the following sectors:

Agriculture / Softs	$	(1,387,484	)
Base metals		(3,426,574	)
Energy		628,739
Equities		1,817,825
Foreign exchange		(4,715,402	)
Long term / Intermediate rates		3,989,795
Precious metals		(785,789	)
Short term rates		1,409,898
	$	(2,468,992	)

The Blended Strategies Portfolio posted a net loss from trading for the first three quarters of 2012. The largest losses resulted from trading European currencies. The portfolio also experienced losses in metals as short positions in aluminum, zinc, gold and silver negatively impacted the portfolio. Trading in agricultural commodities led to losses, particularly in livestock and sugar. Positions in the fixed income sector benefitted the portfolio, with gains in European, Australian, Asian and U.S. fixed income futures. The rally in U.S. and European equity indices generated profits for the portfolio, which also helped to mitigate a portion of the year-to-date losses.

For the nine months ended September 30, 2012, Brokerage Fees decreased by $494,017 or -16.7%, Advisory Fees decreased by $421,329 or -16.8% and Sponsor Fees decreased by $210,666 or -16.8% in the Blended Strategies Portfolio over the corresponding period of the preceding year. These decreases are all attributable to lower net assets of the portfolio resulting from redemptions and a net loss partially offset by subscriptions for the period. During the same period, interest income decreased by $266,115 or -55.6%. Interest was earned on free cash at an average annualized yield of 0.26% for the nine months ended September 30, 2012 compared to 0.46% for the same period in 2011.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the nine months ended September 30, 2012, there was no Incentive Allocation compared to $17,473 for the corresponding period of 2011 due to the portfolio’s lack of year to date profitability in 2012.

Index

The following table illustrates the sector distribution of the Blended Strategies Portfolio’s investments in Master Funds as of September 30, 2012 based on the fair value of the underlying assets and liabilities in each master fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

Agriculture / Softs	11.0	%
Base metals	44.9	%
Energy	34.9	%
Equities	5.7	%
Foreign exchange	20.8	%
Long Term / Intermediate rates	(11.7	)%
Precious metals	(2.9	)%
Short term rates	(2.7	)%
	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.

(ii) Liquidity

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

Index

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
September 30, 2013		14.48	%
December 31, 2012		16.47	%
September 30, 2012		17.38	%

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 September 30, 2013, 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

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

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.

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 GAIT at fair value in accordance with U.S. GAAP. In determining its net asset value, GAIT records its investments in Master Funds at fair value in accordance with U.S. GAAP. The Fund records its proportionate share of GAIT’s investment income and loss, expenses, fees, and realized and unrealized gains and losses on a monthly basis. Purchases and sales of units in GAIT are recorded on a trade date basis. The accounting policies of GAIT 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 – GAIT invests a portion of its excess liquidity in Cash Assets, an entity for which the Manager is also the sole investment advisor. The financial information of Cash Assets is included in the notes to the Financial Statements of GAIT.

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.

Index

Item 3. Quantitative and Qualitative Disclosures about Market Risk

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

Index

Item 4. Controls and Procedures

The Advisor’s Chief Operating 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 September 30, 2013. Based on that evaluation, the Advisor’s Chief Operating Officer and Chief Financial Officer concluded that the Fund’s disclosure controls and procedures were effective as of September 30, 2013.

There were no changes to the Fund’s internal controls over financial reporting during the third quarter of 2013 that have materially affected, or are reasonably likely to materially affect, the Fund’s internal controls over financial reporting.

Index

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 September 30, 2013, the Fund issued 8,260.969 Units in exchange for $839,250 with respect to the Blended 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(a)(2) of the Act and Section 506 of Regulation D promulgated thereunder. All purchasers of the Units were accredited investors, as that term is defined under Section 501 of Regulation D.

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

	Blended Strategies Portfolio
Period (as of)	Total Number of Units Issued
July 1, 2013		4,023.837
August 1, 2013		1,847.903
September 1, 2013		2,389.229

Item 3. Defaults Upon Senior Securities – None

Item 4. Mine Safety Disclosures – None

Item 5. Other Information – None

Index

Item 6. Exhibits

** 3.1	Certificate of Formation of Graham Alternative Investment Fund II LLC
* 3.2	Amendment to 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
***10.10	Safekeeping Account Agreement between Graham Cash Assets LLC and Bank of America, N.A.
31.1	Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Operating Officer)
31.2	Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer)
32.1	Section 1350 Certification (Certification of Chief Operating Officer and Chief Financial Officer)

Incorporated by reference to the Fund’s Form 8-K previously filed on April 11, 2013

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

***

Incorporated by reference to the Fund’s Form 10/A previously filed on September 3, 2010

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: November 14, 2013	GRAHAM ALTERNATIVE INVESTMENT FUND II LLC BLENDED STRATEGIES PORTFOLIO

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

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

		By:	/s/ Brian Douglas
			Brian Douglas, Chief Financial Officer