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As Of Filer Filing For·On·As Docs:Size Issuer Filing Agent 8/14/23 Graham Alternative Inv Fund I LLC 10-Q 6/30/23 36:5M Broadridge Fin’l So… Inc |
Document/Exhibit Description Pages Size 1: 10-Q Quarterly Report HTML 2.96M 2: EX-31.1 Certification -- §302 - SOA'02 HTML 17K 3: EX-31.2 Certification -- §302 - SOA'02 HTML 17K 4: EX-32.1 Certification -- §906 - SOA'02 HTML 13K 10: R1 Document and Entity Information HTML 59K 11: R2 Statements of Financial Condition HTML 60K 12: R3 Statements of Financial Condition (Parenthetical) HTML 21K 13: R4 Unaudited Statements of Operations HTML 53K 14: R5 Unaudited Statements of Changes in Members' HTML 41K Capital 15: R6 Unaudited Statements of Cash Flows HTML 40K 16: R7 Organization and Business HTML 20K 17: R8 Summary of Significant Accounting Policies HTML 23K 18: R9 Capital Accounts HTML 18K 19: R10 Fees and Related Party Transactions HTML 25K 20: R11 Income Taxes HTML 19K 21: R12 Risk Factors HTML 14K 22: R13 Financial Highlights HTML 121K 23: R14 Subsequent Events HTML 15K 24: R15 Summary of Significant Accounting Policies HTML 32K (Policies) 25: R16 Fees and Related Party Transactions (Tables) HTML 15K 26: R17 Financial Highlights (Tables) HTML 120K 27: R18 Summary of Significant Accounting Policies HTML 20K (Details) 28: R19 Capital Accounts (Details) HTML 29K 29: R20 Fees and Related Party Transactions (Details) HTML 44K 30: R21 Financial Highlights (Details) HTML 56K 31: R22 Subsequent Events (Details) HTML 16K 34: XML IDEA XML File -- Filing Summary XML 55K 32: XML XBRL Instance -- brhc20057185_10q_htm XML 551K 33: EXCEL IDEA Workbook of Financial Report Info XLSX 50K 6: EX-101.CAL XBRL Calculations -- gaif-20230630_cal XML 67K 7: EX-101.DEF XBRL Definitions -- gaif-20230630_def XML 178K 8: EX-101.LAB XBRL Labels -- gaif-20230630_lab XML 545K 9: EX-101.PRE XBRL Presentations -- gaif-20230630_pre XML 308K 5: EX-101.SCH XBRL Schema -- gaif-20230630 XSD 74K 35: JSON XBRL Instance as JSON Data -- MetaLinks 141± 200K 36: ZIP XBRL Zipped Folder -- 0001140361-23-039594-xbrl Zip 275K
i Delaware
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i 20-4897069
|
|
(State or other jurisdiction of incorporation or organization)
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(I.R.S. Employer Identification No.)
|
Title of each class
|
Trading Symbol(s)
|
Name of each exchange on which registered
|
|||
None
|
N/A |
None
|
Large accelerated filer ☐
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Accelerated filer ☐
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i Non-accelerated filer ☐
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Smaller reporting company i ☒
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Emerging Growth company i ☐
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Page
Number
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||
PART I - Financial Information:
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||
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Item 1.
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Financial Statements:
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|
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|
|
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Graham Alternative Investment Fund I LLC Core Macro Portfolio
|
|||
|
|
1
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|
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||
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2
|
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3
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|||
5
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|||
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6
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Graham Alternative Investment Trading LLC
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|||
15 | |||
16 | |||
17 |
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18 | |||
20 | |||
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|||
21 | |||
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Item 2.
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68 | |
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||
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Item 3.
|
76 | |
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||
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Item 4.
|
77 | |
78 |
|||
79 | |||
Certification
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|||
Certification
|
|||
EX - 32.1 | Certification |
Item 1.
|
Financial Statements
|
(Unaudited)
|
(Audited)
|
|||||||
Assets
|
||||||||
Investment in Graham Alternative Investment Trading LLC, at fair value
|
$
|
i 29,114,521
|
$
|
i 28,825,841
|
||||
Cash and cash equivalents
|
i 230,000 | i – | ||||||
Redemptions receivable from Graham Alternative Investment Trading LLC
|
i 40,000
|
i 519,852
|
||||||
Total assets
|
$
|
i 29,384,521
|
$
|
i 29,345,693
|
||||
Liabilities and members’ capital
|
||||||||
Liabilities:
|
||||||||
Subscription received in advance
|
$ | i 230,000 | $ | i – | ||||
Redemptions payable
|
|
i 40,000
|
|
i 519,852
|
||||
Total liabilities
|
i 270,000
|
i 519,852
|
||||||
Members’ capital:
|
||||||||
Class 0 Units ( i i 71,391.814 / and i i 70,066.654 /
units issued and outstanding at $ i 223.94
and $ i 224.59, respectively)
|
i 15,987,381
|
i 15,735,969
|
||||||
Class 2 Units ( i i 82,995.282 / and i i 82,214.218 /
units issued and outstanding at $ i 158.17
and $ i 159.22, respectively)
|
i 13,127,140
|
i 13,089,872
|
||||||
Total members’ capital
|
i 29,114,521
|
i 28,825,841
|
||||||
Total liabilities and members’ capital
|
$
|
i 29,384,521
|
$
|
i 29,345,693
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2022
|
2023
|
2022
|
||||||||||||||
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC:
|
||||||||||||||||
Net realized (loss) gain on investment
|
$
|
( i 109,412
|
)
|
$
|
i 4,320,243
|
$
|
i 172,112
|
$
|
i 7,974,186
|
|||||||
Net increase (decrease) in unrealized appreciation on investment
|
i 725,655
|
( i 1,109,404
|
)
|
( i 248,842
|
)
|
( i 455,460
|
)
|
|||||||||
Brokerage commissions and fees
|
( i 15,955
|
)
|
( i 29,839
|
)
|
( i 40,659
|
)
|
( i 52,656
|
)
|
||||||||
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC
|
i 600,288
|
i 3,181,000
|
( i 117,389
|
)
|
i 7,466,070
|
|||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC:
|
||||||||||||||||
Investment income:
|
||||||||||||||||
Interest income
|
i 239,342
|
i 37,514
|
i 430,520
|
i 47,180
|
||||||||||||
Expenses:
|
||||||||||||||||
Advisory fees
|
i 106,766
|
i 112,856
|
i 214,432
|
i 215,874
|
||||||||||||
Sponsor fees
|
i 59,848
|
i 62,109
|
i 120,257
|
i 118,332
|
||||||||||||
Professional fees
|
i 66,398
|
i 49,325
|
i 73,385
|
i 81,453
|
||||||||||||
Administrator’s fee
|
i 9,137
|
i 9,362
|
i 18,240
|
i 18,103
|
||||||||||||
Operating expenses | i 4,431 | i 1,538 | i 9,273 | i 1,538 | ||||||||||||
Interest expense
|
i 1,650
|
i 1,581
|
i 3,302
|
i 3,184
|
||||||||||||
Incentive allocation
|
i – | i 596,349 | i 562 | i 1,198,354 | ||||||||||||
Total expenses
|
i 248,230
|
i 833,120
|
i 439,451
|
i 1,636,838
|
||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC
|
( i 8,888
|
)
|
( i 795,606
|
)
|
( i 8,931
|
)
|
( i 1,589,658
|
)
|
||||||||
Net income (loss)
|
$
|
i 591,400
|
$
|
i 2,385,394
|
$
|
( i 126,320
|
)
|
$
|
i 5,876,412
|
Class 0 Units
|
Class 2 Units
|
|||||||||||||||||||
Units
|
Capital
|
Units
|
Capital
|
Total Members’ Capital
|
||||||||||||||||
Members’ capital, December 31, 2022
|
i 70,066.654
|
$
|
i 15,735,969
|
i 82,214.218
|
$
|
i 13,089,872
|
$ | i 28,825,841 | ||||||||||||
Subscriptions
|
i –
|
i –
|
i 781.064
|
i 125,000
|
i 125,000
|
|||||||||||||||
Redemptions
|
( i 342.140
|
)
|
( i 75,000
|
)
|
i –
|
i –
|
( i 75,000
|
)
|
||||||||||||
Net loss
|
–
|
( i 376,789
|
)
|
–
|
( i 340,931
|
)
|
( i 717,720
|
)
|
||||||||||||
Members’ capital, March 31, 2023 | i 69,724.514 |
i 15,284,180 |
i 82,995.282 |
i 12,873,941 |
i 28,158,121 |
|||||||||||||||
Subscriptions
|
i 1,845.920
|
i 405,000
|
i –
|
i –
|
i 405,000
|
|||||||||||||||
Redemptions
|
( i 178.620
|
)
|
( i 40,000
|
)
|
i –
|
i –
|
( i 40,000
|
)
|
||||||||||||
Net income
|
–
|
i 338,201
|
–
|
i 253,199
|
i 591,400
|
|||||||||||||||
Members’ capital, June 30, 2023
|
i 71,391.814
|
$
|
i 15,987,381
|
i 82,995.282
|
$
|
i 13,127,140
|
$ | i 29,114,521 |
Class 0 Units
|
Class 2 Units
|
|||||||||||||||||||
Units
|
Capital
|
Units
|
Capital
|
Total Members’ Capital
|
||||||||||||||||
Members’ capital, December 31, 2021
|
i 83,586.118 |
$ | i 14,734,016 | i 86,438.110 |
$ | i 10,863,474 | $ | i 25,597,490 | ||||||||||||
Subscriptions
|
i – |
i – |
i – |
i – |
i – |
|||||||||||||||
Redemptions
|
( i 2,813.134 | ) | ( i 531,377 | ) | ( i 1,889.820 | ) | ( i 250,000 | ) | ( i 781,377 | ) | ||||||||||
Net income
|
– |
i 2,012,269 |
– |
i 1,478,749 |
i 3,491,018 |
|||||||||||||||
Members’ capital, March 31, 2022
|
i 80,772.984 |
i 16,214,908 |
i 84,548.290 |
i 12,092,223 |
i 28,307,131 |
|||||||||||||||
Subscriptions
|
i – |
i – |
i – |
i – |
i – |
|||||||||||||||
Redemptions
|
( i 4,603.065 | ) | ( i 981,222 | ) | i – | i – | ( i 981,222 | ) | ||||||||||||
Net income
|
– |
i 1,368,405 |
– |
i 1,016,989 | i 2,385,394 |
|||||||||||||||
Members’ capital, June 30, 2022
|
i 76,169.919 |
$ | i 16,602,091 | i 84,548.290 |
$ | i 13,109,212 | $ | i 29,711,303 |
Six Months Ended
|
||||||||
2022
|
||||||||
Cash flows provided by operating activities
|
||||||||
Net (loss) income
|
$
|
( i 126,320
|
)
|
$
|
i 5,876,412
|
|||
Adjustments to reconcile net (loss) income to net cash provided by operating activities:
|
||||||||
Net loss (income) allocated from investment in Graham Alternative Investment Trading LLC
|
i 126,320
|
( i 5,876,412
|
)
|
|||||
Proceeds from sale of investment in Graham Alternative Investment Trading LLC
|
i 594,852
|
i 1,845,423
|
||||||
Investment in Graham Alternative Investment Trading LLC
|
( i 530,000 | ) | i – | |||||
Net cash provided by operating activities
|
i 64,852
|
i 1,845,423
|
||||||
Cash flows provided by (used in) financing activities
|
||||||||
Subscriptions (net of subscription received in advance)
|
i 760,000
|
i –
|
||||||
Redemptions (net of redemptions payable)
|
( i 594,852
|
)
|
( i 1,845,423
|
)
|
||||
Net cash provided by (used in) financing activities
|
i 165,148
|
( i 1,845,423
|
)
|
|||||
Net change in cash and cash equivalents
|
i 230,000
|
i –
|
||||||
Cash and cash equivalents, beginning of period
|
i –
|
i –
|
||||||
Cash and cash equivalents, end of period
|
$
|
i 230,000
|
$
|
i –
|
• |
Level 1 inputs are unadjusted closing or settlement prices for such assets or liabilities as published by the primary exchange upon which they are traded.
|
• |
Level 2 inputs include quoted prices for similar assets and liabilities obtained from independent brokers and/or market makers in each security.
|
• |
Level 3 inputs are those which are considered unobservable and are significant in arriving at fair value.
|
Class 0
|
Class 2
|
i 0.50%
|
i 1.25%
|
Class 0
|
Class 2
|
|||||||
Per unit operating performance
|
||||||||
Net asset value per Unit, March 31, 2022
|
$ | i 200.75 | $ | i 143.02 | ||||
Net income:
|
||||||||
Net investment loss
|
( i 5.66 | ) | ( i 4.19 | ) | ||||
Net gain on investments
|
i 22.87 | i 16.22 | ||||||
Net income
|
i 17.21 | i 12.03 | ||||||
Net asset value per Unit, June 30, 2022
|
$ | i 217.96 | $ | i 155.05 | ||||
Net asset value per Unit, March 31, 2023
|
$ | i 219.21 | $ | i 155.12 | ||||
Net income:
|
||||||||
Net investment income (loss)
|
i 0.12 | ( i 0.21 | ) | |||||
Net gain on investments
|
i 4.61 | i 3.26 | ||||||
Net income
|
i 4.73 | i 3.05 | ||||||
Net asset value per Unit, June 30, 2023
|
$ | i 223.94 | $ | i 158.17 |
Class 0 |
Class 2 |
||||||||||||||||
2023
|
2022
|
2023
|
2022
|
||||||||||||||
Total return before Incentive Allocation
|
i 2.16 | % | i 10.81 | % | i 1.97 | % | i 10.52 | % | |||||||||
Incentive Allocation
|
i 0.00 | ( i 2.24 | ) | i 0.00 | ( i 2.11 | ) | |||||||||||
Total return after Incentive Allocation
|
i 2.16 | % | i 8.57 | % | i 1.97 | % | i 8.41 | % | |||||||||
Net investment income (loss) before Incentive Allocation
|
i 0.05 | % | ( i 0.60 | )% | ( i 0.13 | )% | ( i 0.79 | )% | |||||||||
Incentive Allocation
|
i 0.00 |
|
( i 2.09 | ) | i 0.00 | ( i 2.01 | ) | ||||||||||
Net investment income (loss) after Incentive Allocation
|
i 0.05 | % | ( i 2.69 | )% | ( i 0.13 | )% | ( i 2.80 | )% | |||||||||
Total expenses before Incentive Allocation
|
i 0.79 | % | i 0.73 | % | i 0.97 | % | i 0.92 | % | |||||||||
Incentive Allocation
|
i 0.00 |
i 2.09 |
i 0.00 |
i 2.01 |
|||||||||||||
Total expenses after Incentive Allocation
|
i 0.79 | % | i 2.82 | % | i 0.97 | % | i 2.93 | % |
Class 0
|
Class 2
|
|||||||
Per unit operating performance
|
||||||||
Net asset value per Unit, December 31, 2021
|
$ | i 176.27 | $ | i 125.68 | ||||
Net income:
|
||||||||
Net investment loss
|
( i 11.19 | ) | ( i 8.22 | ) | ||||
Net gain on investments
|
i 52.88 |
i 37.59 |
||||||
Net income
|
i 41.69 |
i 29.37 |
||||||
Net asset value per Unit, June 30, 2022
|
$ | i 217.96 | $ | i 155.05 | ||||
Net asset value per Unit, December 31, 2022
|
$ | i 224.59 | $ | i 159.22 | ||||
Net loss:
|
||||||||
Net investment income (loss)
|
i 0.31 | ( i 0.37 | ) | |||||
Net loss on investments
|
( i 0.96 | ) | ( i 0.68 | ) | ||||
Net loss
|
( i 0.65 | ) | ( i 1.05 | ) | ||||
Net asset value per Unit, June 30, 2023
|
$ | i 223.94 | $ | i 158.17 |
Class 0
|
Class 2
|
||||||||||||||||
2023
|
2022
|
2023
|
2022
|
||||||||||||||
Total return before Incentive Allocation
|
( i 0.28 | )% | i 28.83 | % | ( i 0.66 | )% | i 28.10 | % | |||||||||
Incentive Allocation
|
( i 0.01 | ) | ( i 5.18 | ) | i 0.00 | ( i 4.73 | ) | ||||||||||
Total return after Incentive Allocation
|
( i 0.29 | )% | i 23.65 | % | ( i 0.66 | )% | i 23.37 | % | |||||||||
Net investment income (loss) before Incentive Allocation
|
i 0.14 | % | ( i 1.24 | )% | ( i 0.23 | )% | ( i 1.62 | )% | |||||||||
Incentive Allocation
|
( i 0.00 | ) | ( i 4.39 | ) | i 0.00 | ( i 4.18 | ) | ||||||||||
Net investment income (loss) after Incentive Allocation
|
i 0.14 | % | ( i 5.63 | )% | ( i 0.23 | )% | ( i 5.80 | )% | |||||||||
Total expenses before Incentive Allocation
|
i 1.36 | % | i 1.41 | % | i 1.73 | % | i 1.78 | % | |||||||||
Incentive Allocation
|
i 0.00 |
i 4.39 |
i 0.00 |
i 4.18 |
|||||||||||||
Total expenses after Incentive Allocation
|
i 1.36 | % | i 5.80 | % | i 1.73 | % | i 5.96 | % |
(Unaudited)
|
(Audited)
|
|||||||
Assets
|
||||||||
Investments in Master Funds, at fair value
|
$
|
5,766,414
|
$
|
6,078,610
|
||||
Investment in Graham Cash Assets LLC, at fair value
|
60,766,554
|
58,599,019
|
||||||
Receivable from Master Funds
|
58
|
181
|
||||||
Total assets
|
$
|
66,533,026
|
$
|
64,677,810
|
||||
|
||||||||
Liabilities and members’ capital
|
||||||||
Liabilities:
|
||||||||
Redemptions payable
|
$
|
202,158
|
$
|
1,169,444
|
||||
Accrued professional fees
|
4,105
|
132,957
|
||||||
Accrued advisory fees
|
79,212
|
79,343
|
||||||
Accrued sponsor fees
|
41,658
|
42,803
|
||||||
Accrued administrator’s fees
|
6,964
|
7,030
|
||||||
Accrued operating expenses
|
3,368
|
3,223
|
||||||
Payable to Master Funds
|
‑
|
102
|
||||||
Total liabilities
|
337,465
|
1,434,902
|
||||||
|
||||||||
Members’ capital:
|
||||||||
Class 0 Units (175,385.898 and 161,081.937 units issued and outstanding at $223.94 and $224.59 per unit, respectively)
|
39,275,689
|
36,176,761
|
||||||
Class 2 Units (155,854.783 and 155,844.459 units issued and outstanding at $158.17 and $159.22 per unit, respectively)
|
24,651,098
|
24,813,000
|
||||||
Class M Units (4,671.470 units issued and outstanding at $485.66 and $482.32 per unit, respectively)
|
2,268,774
|
2,253,147
|
||||||
Total members’ capital
|
66,195,561
|
63,242,908
|
||||||
Total liabilities and members’ capital
|
$
|
66,533,026
|
$
|
64,677,810
|
(Unaudited)
|
(Audited)
|
|||||||||||||||||
Description
|
Fair Value
|
Percentage of
Members’
Capital
|
Fair Value
|
Percentage of
Members’
Capital
|
||||||||||||||
Investments in Master Funds, at fair value
|
||||||||||||||||||
Graham Commodity Strategies LLC
|
$
|
1,407,163
|
2.13
|
%
|
$
|
2,190,592
|
3.46
|
%
|
||||||||||
Graham Derivatives Strategies LLC
|
1,139,312
|
1.72
|
%
|
794,631
|
1.26
|
%
|
||||||||||||
Graham K4D Trading Ltd.
|
3,219,939
|
4.86
|
%
|
3,093,387
|
4.89
|
%
|
||||||||||||
Total investments in Master Funds
|
$
|
5,766,414
|
8.71
|
%
|
$
|
6,078,610
|
9.61
|
%
|
Three Months Ended
June 30,
|
Six Months Ended
|
|||||||||||||||
2022
|
2023
|
2022
|
||||||||||||||
Net (loss) gain allocated from investments in Master Funds:
|
||||||||||||||||
Net realized (loss) gain on investments
|
$
|
(233,069
|
)
|
$
|
9,492,282
|
$
|
377,282
|
$
|
17,473,733
|
|||||||
Net increase (decrease) in unrealized appreciation on investments
|
1,637,920
|
(2,438,962
|
)
|
(514,279
|
)
|
(1,016,446
|
)
|
|||||||||
Brokerage commissions and fees
|
(35,964
|
)
|
(65,652
|
)
|
(90,177
|
)
|
(115,508
|
)
|
||||||||
Net gain (loss) allocated from investments in Master Funds
|
1,368,887
|
6,987,668
|
(227,174
|
)
|
16,341,779
|
|||||||||||
|
||||||||||||||||
Net investment income (loss) allocated from investments in Master Funds
|
39,877
|
232
|
95,642
|
(3,574
|
)
|
|||||||||||
|
||||||||||||||||
Investment income:
|
||||||||||||||||
Interest income
|
499,316
|
82,257
|
863,185
|
107,069
|
||||||||||||
|
||||||||||||||||
Expenses:
|
||||||||||||||||
Advisory fees
|
232,229
|
240,555
|
460,118
|
458,706
|
||||||||||||
Sponsor fees
|
123,061
|
128,084
|
245,314
|
243,490
|
||||||||||||
Professional fees
|
149,466
|
108,449
|
164,780
|
177,834
|
||||||||||||
Administrator’s fee
|
20,588
|
20,606
|
40,566
|
39,689
|
||||||||||||
Operating expenses
|
9,985
|
3,371
|
20,612
|
3,371
|
||||||||||||
Interest expense
|
3,717
|
3,479
|
7,343
|
6,979
|
||||||||||||
Total expenses
|
539,046
|
504,544
|
938,733
|
930,069
|
||||||||||||
Net investment loss of the Fund
|
(39,730
|
)
|
(422,287
|
)
|
(75,548
|
)
|
(823,000
|
)
|
||||||||
|
||||||||||||||||
Net income (loss)
|
1,369,034
|
6,565,613
|
(207,080
|
)
|
15,515,205
|
|||||||||||
|
||||||||||||||||
Incentive allocation
|
‑
|
(1,269,671
|
)
|
(132
|
)
|
(2,550,314
|
)
|
|||||||||
|
||||||||||||||||
Net income (loss) available for pro-rata allocation to all members
|
$
|
1,369,034
|
$
|
5,295,942
|
$
|
(207,212
|
)
|
$
|
12,964,891
|
Class 0
|
Class 2
|
Class M
|
Total
|
|||||||||||||||||||||||||
|
Units
|
Capital
|
Units
|
Capital
|
Units
|
Capital
|
Capital
|
|||||||||||||||||||||
|
||||||||||||||||||||||||||||
Members’ capital, December 31, 2022
|
161,081.937
|
$
|
36,176,761
|
155,844.459
|
$
|
24,813,000
|
4,671.470
|
$
|
2,253,147
|
$
|
63,242,908
|
|||||||||||||||||
Subscriptions
|
2,107.202
|
490,000
|
781.064
|
125,000
|
–
|
–
|
615,000
|
|||||||||||||||||||||
Redemptions
|
(908.759
|
)
|
(202,115
|
)
|
(280.060
|
)
|
(44,820
|
)
|
–
|
(132
|
)
|
(247,067
|
)
|
|||||||||||||||
Incentive allocation
|
–
|
(132
|
)
|
–
|
–
|
–
|
132
|
–
|
||||||||||||||||||||
Net loss
|
–
|
(891,319
|
)
|
–
|
(641,441
|
)
|
–
|
(43,354
|
)
|
(1,576,114
|
)
|
|||||||||||||||||
Members’ capital, March 31, 2023
|
162,280.380
|
35,573,195
|
156,345.463
|
24,251,739
|
4,671.470
|
2,209,793
|
62,034,727
|
|||||||||||||||||||||
Subscriptions
|
14,208.945
|
3,114,000
|
–
|
–
|
–
|
–
|
3,114,000
|
|||||||||||||||||||||
Redemptions
|
(1,103.427
|
)
|
(245,476
|
)
|
(490.680
|
)
|
(76,724
|
)
|
–
|
–
|
(322,200
|
)
|
||||||||||||||||
Incentive allocation
|
–
|
–
|
–
|
–
|
–
|
–
|
–
|
|||||||||||||||||||||
Net income
|
–
|
833,970
|
–
|
476,083
|
–
|
58,981
|
1,369,034
|
|||||||||||||||||||||
Members’ capital, June 30, 2023
|
175,385.898
|
$
|
39,275,689
|
155,854.783
|
$
|
24,651,098
|
4,671.470
|
$
|
2,268,774
|
$
|
66,195,561
|
Class 0
|
Class 2
|
Class M
|
Total
|
|||||||||||||||||||||||||
Units
|
Capital
|
Units
|
Capital
|
Units
|
Capital
|
Capital
|
||||||||||||||||||||||
Members’ capital, December 31, 2021
|
185,533.074
|
$
|
32,704,572
|
167,534.772
|
$
|
21,055,621
|
4,671.470
|
$
|
1,640,347
|
$
|
55,400,540
|
|||||||||||||||||
Subscriptions
|
–
|
–
|
–
|
–
|
–
|
–
|
–
|
|||||||||||||||||||||
Redemptions
|
(2,813.134
|
)
|
(531,377
|
)
|
(2,167.200
|
)
|
(287,440
|
)
|
–
|
(1,280,643
|
)
|
(2,099,460
|
)
|
|||||||||||||||
Incentive allocation
|
–
|
(794,593
|
)
|
–
|
(486,050
|
)
|
–
|
1,280,643
|
–
|
|||||||||||||||||||
Net income
|
–
|
5,301,831
|
–
|
3,368,961
|
–
|
278,800
|
8,949,592
|
|||||||||||||||||||||
Members’ capital, March 31, 2022
|
182,719.940
|
36,680,433
|
165,367.572
|
23,651,092
|
4,671.470
|
1,919,147
|
62,250,672
|
|||||||||||||||||||||
Subscriptions
|
–
|
–
|
–
|
–
|
–
|
–
|
–
|
|||||||||||||||||||||
Redemptions
|
(12,737.094
|
)
|
(2,720,307
|
)
|
–
|
–
|
–
|
(1,269,671
|
)
|
(3,989,978
|
)
|
|||||||||||||||||
Incentive allocation
|
–
|
(772,392
|
)
|
–
|
(497,279
|
)
|
–
|
1,269,671
|
–
|
|||||||||||||||||||
Net income
|
–
|
3,861,954
|
–
|
2,486,397
|
–
|
217,262
|
6,565,613
|
|||||||||||||||||||||
Members’ capital, June 30, 2022
|
169,982.846
|
$
|
37,049,688
|
165,367.572
|
$
|
25,640,210
|
4,671.470
|
$
|
2,136,409
|
$
|
64,826,307
|
Six Months Ended June 30,
|
||||||||
|
2022
|
|||||||
Cash flows (used in) provided by operating activities
|
||||||||
Net (loss) income
|
$
|
(207,080
|
)
|
$
|
15,515,205
|
|||
Adjustments to reconcile net (loss) income to net cash (used in) provided by operating activities:
|
||||||||
Net loss (income) allocated from investments in Master Funds
|
131,532
|
(16,338,205
|
)
|
|||||
Net (income) allocated from investment in Graham Cash Assets LLC
|
(863,185
|
)
|
(107,069
|
)
|
||||
Proceeds from sale of investments in Master Funds
|
34,373,956
|
39,890,240
|
||||||
Proceeds from sale of investment in Graham Cash Assets LLC
|
24,009,710
|
18,117,424
|
||||||
Purchases of investments in Master Funds
|
(34,193,271
|
)
|
(22,971,706
|
)
|
||||
Purchases of investment in Graham Cash Assets LLC
|
(25,314,060
|
)
|
(29,785,308
|
)
|
||||
Changes in assets and liabilities:
|
||||||||
(Decrease) in accrued professional fees
|
(128,852
|
)
|
(4,993
|
)
|
||||
(Decrease) increase in accrued advisory fees
|
(131
|
)
|
10,935
|
|||||
(Decrease) increase in accrued sponsor fees
|
(1,145
|
)
|
6,344
|
|||||
(Decrease) increase in accrued administrator’s fee
|
(66
|
)
|
814
|
|||||
Increase in accrued operating expenses
|
145
|
3,371
|
||||||
Net cash (used in) provided by operating activities
|
(2,192,447
|
)
|
4,337,052
|
|||||
|
||||||||
Cash flows provided by (used in) financing activities
|
||||||||
Subscriptions
|
3,729,000
|
–
|
||||||
Redemptions (net of redemptions payable)
|
(1,536,553
|
)
|
(4,337,052
|
)
|
||||
Net cash provided by (used in) financing activities
|
2,192,447
|
(4,337,052
|
)
|
|||||
|
||||||||
Net change in cash and cash equivalents
|
–
|
–
|
||||||
|
||||||||
Cash and cash equivalents, beginning of period
|
–
|
–
|
||||||
Cash and cash equivalents, end of period
|
$
|
–
|
$
|
–
|
||||
Supplemental cash flow information
|
||||||||
Interest paid
|
$
|
7,343
|
$
|
6,979
|
• |
Level 1 inputs are unadjusted closing or settlement prices for such assets or liabilities as published by the primary exchange upon which they are traded.
|
• |
Level 2 inputs include quoted prices for similar assets and liabilities obtained from independent brokers and/or market makers in each security.
|
• |
Level 3 inputs are those which are considered unobservable and are significant in arriving at fair value.
|
Investment – Objective
|
Percent of
Members’
Capital
|
Fair Value
|
Net Income (Loss)
(six months ended
June 2023)
|
|||||||||
Global Macro Funds
|
||||||||||||
Graham Commodity Strategies LLC
|
2.13
|
%
|
$
|
1,407,163
|
$
|
(43,296
|
)
|
|||||
Graham Derivatives Strategies LLC
|
1.72
|
%
|
1,139,312
|
(730,949
|
)
|
|||||||
Systematic Macro Funds
|
||||||||||||
Graham K4D Trading Ltd.
|
4.86
|
%
|
3,219,939
|
642,713
|
||||||||
8.71
|
%
|
$
|
5,766,414
|
$
|
(131,532
|
)
|
Investment – Objective
|
Percent of
Members’
Capital
|
Fair Value
|
Net Income
(six months ended
June 2022)
|
|||||||||
Global Macro Funds
|
||||||||||||
Graham Commodity Strategies LLC
|
3.46
|
%
|
$
|
2,190,592
|
$
|
7,005,331
|
||||||
Graham Derivatives Strategies LLC
|
1.26
|
%
|
794,631
|
2,155,661
|
||||||||
Systematic Macro Funds
|
||||||||||||
Graham K4D Trading Ltd.
|
4.89
|
%
|
3,093,387
|
7,177,213
|
||||||||
9.61
|
%
|
$
|
6,078,610
|
$
|
16,338,205
|
Graham
Commodity
Strategies LLC
(Delaware)
|
Graham
Derivatives
Strategies LLC
(Delaware)
|
Graham K4D
Trading Ltd.
(BVI)
|
||||||||||
Assets:
|
||||||||||||
Due from brokers
|
$
|
53,577,124
|
$
|
26,163,313
|
$
|
32,618,613
|
||||||
Derivative financial instruments, at fair value
|
3,028,648
|
20,814,767
|
13,493,848
|
|||||||||
Exchange memberships, at fair value
|
7,451,489
|
314,000
|
1,746,391
|
|||||||||
Interest receivable
|
255,098
|
25,616
|
140,051
|
|||||||||
Total assets
|
64,312,359
|
47,317,696
|
47,998,903
|
|||||||||
|
||||||||||||
Liabilities:
|
||||||||||||
Derivative financial instruments, at fair value
|
3,241,795
|
–
|
–
|
|||||||||
Interest payable
|
23,575
|
5,984
|
91,499
|
|||||||||
Total liabilities
|
3,265,370
|
5,984
|
91,499
|
|||||||||
Members’ Capital / Net Assets
|
$
|
61,046,989
|
$
|
47,311,712
|
$
|
47,907,404
|
||||||
|
||||||||||||
Percentage of Master Fund held by GAIT
|
2.31
|
%
|
2.41
|
%
|
6.72
|
%
|
Description
|
Number of
|
Fair Value
|
Percentage
of Members’
Capital of
Master Fund
|
|||||||||
Graham Commodity Strategies LLC
|
||||||||||||
Exchange memberships (cost $3,649,411)
|
||||||||||||
United States (cost $3,649,411)
|
||||||||||||
Financial services (cost $3,649,411)
|
$
|
7,451,489
|
12.21
|
%
|
||||||||
Total exchange memberships
|
$
|
7,451,489
|
12.21
|
%
|
||||||||
|
||||||||||||
Derivative financial instruments
|
||||||||||||
Long contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
$
|
(160,020
|
)
|
(0.26
|
)%
|
|||||||
Foreign index
|
271,181
|
0.44
|
%
|
|||||||||
Interest rate
|
(194,093
|
)
|
(0.32
|
)%
|
||||||||
U.S. bond
|
||||||||||||
U.S. 2 yr Note (CBT) September 2023
|
9,986
|
(5,806,602
|
)
|
(9.51
|
)%
|
|||||||
U.S. index
|
290,142
|
0.48
|
%
|
|||||||||
Total futures
|
(5,599,392
|
)
|
(9.17
|
)%
|
||||||||
|
||||||||||||
Forwards
|
||||||||||||
Foreign currency
|
(525,806
|
)
|
(0.86
|
)%
|
||||||||
Total forwards
|
(525,806
|
)
|
(0.86
|
)%
|
||||||||
|
||||||||||||
Options (cost $1,853,992)
|
||||||||||||
Currency futures
|
955,590
|
1.57
|
%
|
|||||||||
Interest rate futures
|
883,394
|
1.45
|
%
|
|||||||||
U.S. index futures
|
45,000
|
0.07
|
%
|
|||||||||
Total options
|
1,883,984
|
3.09
|
%
|
Description
|
Number of
|
Fair Value
|
Percentage
of Members’
Capital of
Master Fund
|
|||||||||
Graham Commodity Strategies LLC (continued)
|
||||||||||||
Derivative financial instruments (continued)
|
||||||||||||
Short contracts
|
||||||||||||
Futures
|
||||||||||||
Foreign bond
|
$
|
(268,875
|
)
|
(0.44
|
)%
|
|||||||
U.S. bond
|
||||||||||||
U.S. 5 yr - 10 yr Note (CBT) September 2023
|
(10,760
|
)
|
2,786,844
|
4.57
|
%
|
|||||||
U.S. Ultra Bond CBT September 2023
|
(208
|
)
|
78,938
|
0.13
|
%
|
|||||||
U.S. index
|
(548,385
|
)
|
(0.90
|
)%
|
||||||||
Total futures
|
2,048,522
|
3.36
|
%
|
|||||||||
Forwards
|
||||||||||||
Foreign currency
|
2,598,864
|
4.24
|
%
|
|||||||||
Total forwards
|
2,598,864
|
4.24
|
%
|
|||||||||
Options (proceeds $213,775)
|
||||||||||||
Interest rate futures
|
(619,319
|
)
|
(1.01
|
)%
|
||||||||
Total options
|
(619,319
|
)
|
(1.01
|
)%
|
||||||||
Total derivative financial instruments
|
$
|
(213,147
|
)
|
(0.35
|
)%
|
Description
|
Number of
|
Fair Value
|
Percentage
of Members’
Capital of
Master Fund
|
|||||||||
Graham Derivatives Strategies LLC
|
||||||||||||
Exchange memberships (cost $305,000)
|
||||||||||||
United States (cost $305,000)
|
||||||||||||
Financial services (cost $305,000)
|
$
|
314,000
|
0.66
|
%
|
||||||||
Total exchange memberships
|
$
|
314,000
|
0.66
|
%
|
||||||||
|
||||||||||||
Derivative financial instruments
|
||||||||||||
Long contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
$
|
16,160
|
0.03
|
%
|
||||||||
Foreign index
|
178,523
|
0.38
|
%
|
|||||||||
U.S. bond
|
||||||||||||
U.S. 10 yr Ultra September 2023
|
152
|
(93,844
|
)
|
(0.20
|
)%
|
|||||||
U.S. 2 yr Note (CBT) September 2023
|
334
|
(590,992
|
)
|
(1.25
|
)%
|
|||||||
U.S. index
|
||||||||||||
S&P E-mini September 2023
|
176
|
404,200
|
0.85
|
%
|
||||||||
Other U.S. index
|
509,456
|
1.09
|
%
|
|||||||||
Total futures
|
423,503
|
0.90
|
%
|
|||||||||
|
||||||||||||
Options (cost $51,082,341)
|
||||||||||||
Commodity futures
|
||||||||||||
Gold Future (CMX) February 2024, $2,200.00 - $2,500.00 Call
|
2
|
2,479,050
|
5.24
|
%
|
||||||||
Currency futures
|
||||||||||||
U.S. dollar / Chinese yuan September 2023, $7.30 Call
|
2
|
3,201,276
|
6.77
|
%
|
||||||||
U.S. dollar / Chinese yuan July 2023 - August 2023, $7.18 - $7.25 Call
|
3
|
4,623,457
|
9.77
|
%
|
||||||||
U.S. dollar / Chinese yuan (erko $7.45) September 2023, $7.30 Call
|
1
|
278,075
|
0.59
|
%
|
||||||||
U.S. dollar / Mexican peso September 2023 - November 2023, $16.25 - $17.05 Put
|
4
|
4,151,288
|
8.77
|
%
|
||||||||
U.S. dollar / Mexican peso (eko $16.75) August 2023, $17.40 Put
|
1
|
801,047
|
1.69
|
%
|
||||||||
Other currency futures
|
3,272,683
|
6.93
|
%
|
|||||||||
Interest rate futures
|
||||||||||||
3-Month SOFR, September 2023, $95.44 - $96.19 Call
|
2
|
1,238,238
|
2.62
|
%
|
||||||||
SOFR 1 yr Midcurve September 2023, $96.00 Put
|
1
|
11,294,550
|
23.87
|
%
|
||||||||
SOFR 1 yr Midcurve September 2023, $96.63 Put
|
1
|
21,053,438
|
44.50
|
%
|
||||||||
U.S. bond futures
|
||||||||||||
U.S. 10 yr August 2023, $114.00 Call
|
1
|
352,172
|
0.74
|
%
|
||||||||
U.S. 10 yr August 2023, $111.50 Put
|
1
|
2,001,172
|
4.23
|
%
|
||||||||
U.S. index futures
|
||||||||||||
S&P 500 E-mini July 2023, $4,450.00 Call
|
1
|
5,928,938
|
12.53
|
%
|
||||||||
S&P 500 E-mini August 2023, $4,550.00 Call
|
1
|
3,331,250
|
7.04
|
%
|
||||||||
Total options
|
64,006,634
|
135.29
|
%
|
Description
|
Number of
|
Fair Value
|
Percentage
of Members’
Capital of
Master Fund
|
|||||||||
Graham Derivatives Strategies LLC (continued)
|
||||||||||||
Derivative financial instruments (continued)
|
||||||||||||
Short contracts
|
||||||||||||
Futures
|
||||||||||||
Foreign bond
|
$
|
(72,054
|
)
|
(0.15
|
)%
|
|||||||
U.S. bond
|
||||||||||||
U.S. Long Bond (CBT) September 2023
|
(106
|
)
|
(78,469
|
)
|
(0.17
|
)%
|
||||||
U.S. Ultra Bond (CBT) September 2023
|
(84
|
)
|
(106,313
|
)
|
(0.22
|
)%
|
||||||
U.S. 2 yr – 10 yr Note (CBT) September 2023
|
(1,282
|
)
|
198,305
|
0.42
|
%
|
|||||||
Total futures
|
(58,531
|
)
|
(0.12
|
)%
|
||||||||
Forwards
|
||||||||||||
Foreign currency
|
(44,070
|
)
|
(0.09
|
)%
|
||||||||
Total forwards
|
(44,070
|
)
|
(0.09
|
)%
|
||||||||
Options (proceeds $28,277,816)
|
||||||||||||
Commodity futures
|
||||||||||||
Gold Future (CMX) February 2024, $2,300.00 - $2,400.00 Call
|
(2
|
)
|
(1,993,900
|
)
|
(4.21
|
)%
|
||||||
Currency futures
|
||||||||||||
U.S. dollar / Chinese yuan July 2023 - September 2023, $7.26 - $7.45 Call
|
(4
|
)
|
(1,820,017
|
)
|
(3.85
|
)%
|
||||||
U.S. dollar / Mexican peso September 2023, $16.45 Put
|
(1
|
)
|
(210,283
|
)
|
(0.44
|
)%
|
||||||
Other currency futures
|
(1,510,459
|
)
|
(3.20
|
)%
|
||||||||
Interest rate futures
|
||||||||||||
SOFR 1 yr Midcurve September 2023, $96.19 Put
|
(1
|
)
|
(13,969,575
|
)
|
(29.53
|
)%
|
||||||
SOFR 1 yr Midcurve September 2023, $96.44 Put
|
(1
|
)
|
(17,833,500
|
)
|
(37.69
|
)%
|
||||||
Other interest rate futures
|
(1,188,900
|
)
|
(2.53
|
)%
|
||||||||
U.S. bond futures
|
||||||||||||
U.S. 10 yr August 2023, $115.00 Call
|
(1
|
)
|
(160,078
|
)
|
(0.34
|
)%
|
||||||
U.S. 10 yr August 2023, $110.50 Put
|
(1
|
)
|
(800,469
|
)
|
(1.69
|
)%
|
||||||
Index futures
|
||||||||||||
S&P 500 E-mini July 2023 – August 2023, $4,550.00 - $4,600.00 Call
|
(2
|
)
|
(4,025,588
|
)
|
(8.51
|
)%
|
||||||
Total options
|
(43,512,769
|
)
|
(91.99
|
)%
|
||||||||
Total derivative financial instruments
|
$
|
20,814,767
|
43.99
|
%
|
Description
|
Notional Amount
|
Fair Value
|
Percentage of
Net Assets of
Master Fund
|
||||||
Graham K4D Trading Ltd.
|
|||||||||
Exchange memberships (cost $1,924,208)
|
|||||||||
United States (cost $1,924,208)
|
|||||||||
Financial services (cost $1,924,208)
|
$
|
1,746,391
|
3.65
|
%
|
|||||
Total exchange memberships
|
$
|
1,746,391
|
3.65
|
%
|
|||||
|
|||||||||
Derivative financial instruments
|
|||||||||
Long contracts
|
|||||||||
Futures
|
|||||||||
Commodity
|
$
|
(1,955,693
|
)
|
(4.08
|
)%
|
||||
Currency
|
(7,796
|
)
|
(0.02
|
)%
|
|||||
Foreign bond
|
(228,187
|
)
|
(0.48
|
)%
|
|||||
Foreign index
|
3,051,164
|
6.38
|
%
|
||||||
Interest rate
|
(6,925
|
)
|
(0.01
|
)%
|
|||||
U.S. index
|
969,535
|
2.02
|
%
|
||||||
Total futures
|
1,822,098
|
3.81
|
%
|
||||||
|
|||||||||
Forwards
|
|||||||||
Foreign currency
|
(122,477
|
)
|
(0.26
|
)%
|
|||||
Total forwards
|
(122,477
|
)
|
(0.26
|
)%
|
|||||
|
|||||||||
Swaps (cost $1,052,014)
|
|||||||||
Interest rate
|
|||||||||
USD SOFR Rec 3.00% - 3.75%, 09/20/2023 - 09/20/2033
|
$ 5,190,000
|
(112,019
|
)
|
(0.23
|
)%
|
||||
Other interest rate
|
(105,432
|
)
|
(0.22
|
)%
|
|||||
Total swaps
|
(217,451
|
)
|
(0.45
|
)%
|
Description
|
Number of
Contracts / Notional
Amounts
|
Fair Value
|
Percentage of
Net Assets of
Master Fund
|
|||||||||
Graham K4D Trading Ltd. (continued)
|
||||||||||||
Derivative financial instruments (continued)
|
||||||||||||
Short contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
$
|
(762,145
|
)
|
(1.59
|
)%
|
|||||||
Currency
|
63,836
|
0.13
|
%
|
|||||||||
Foreign bond
|
1,230,593
|
2.57
|
%
|
|||||||||
Foreign index
|
251,478
|
0.52
|
%
|
|||||||||
Interest rate
|
||||||||||||
3 Month SOFR June 2024
|
(1,673
|
)
|
3,727,707
|
7.79
|
%
|
|||||||
Other interest rate
|
3,096,484
|
6.46
|
%
|
|||||||||
U.S. bond
|
||||||||||||
U.S. 2 yr – 10 yr Note (CBT) September 2023
|
(1,474
|
)
|
2,558,563
|
5.35
|
%
|
|||||||
U.S. Long Bond (CBT) September 2023
|
(93
|
)
|
67,055
|
0.14
|
%
|
|||||||
U.S. Ultra Bond (CBT) September 2023
|
(13
|
)
|
(2,578
|
)
|
(0.01
|
)%
|
||||||
U.S. index
|
(782,046
|
)
|
(1.63
|
)%
|
||||||||
Total futures
|
9,448,947
|
19.73
|
%
|
|||||||||
|
||||||||||||
Forwards
|
||||||||||||
Foreign currency
|
2,280,321
|
4.76
|
%
|
|||||||||
Total forwards
|
2,280,321
|
4.76
|
%
|
|||||||||
|
||||||||||||
Swaps (proceeds $929,464)
|
||||||||||||
Interest rate
|
||||||||||||
USD SOFR Pay 3.75% - 4.75%, 09/20/2023 - 09/20/2043
|
$
|
(2,790,000
|
)
|
(12,127
|
)
|
(0.03
|
)%
|
|||||
Other interest rate
|
294,537
|
0.61
|
%
|
|||||||||
Total swaps
|
282,410
|
0.58
|
%
|
|||||||||
Total derivative financial instruments
|
$
|
13,493,848
|
28.17
|
%
|
Graham
Commodity
Strategies LLC
|
Graham
Derivatives
Strategies LLC
|
Graham
K4D Trading Ltd.
|
||||||||||
Assets
|
||||||||||||
Level 1:
|
||||||||||||
Commodity futures
|
$
|
364,980
|
$
|
16,160
|
$
|
2,290,773
|
||||||
Commodity futures options
|
–
|
2,479,050
|
–
|
|||||||||
Currency futures
|
–
|
–
|
84,499
|
|||||||||
Exchange memberships*
|
7,451,489
|
314,000
|
1,746,391
|
|||||||||
Foreign bond futures
|
1,032,638
|
12,173
|
1,280,548
|
|||||||||
Foreign index futures
|
271,181
|
184,223
|
3,697,176
|
|||||||||
Interest rate futures
|
221,882
|
–
|
6,824,191
|
|||||||||
Interest rate futures options
|
883,394
|
33,586,226
|
–
|
|||||||||
U.S. bond futures
|
2,865,782
|
201,414
|
2,625,618
|
|||||||||
U.S. bond futures options
|
–
|
2,353,344
|
–
|
|||||||||
U.S. index futures
|
486,492
|
913,656
|
969,535
|
|||||||||
U.S. index futures options
|
45,000
|
9,260,188
|
–
|
|||||||||
Total Level 1
|
13,622,838
|
49,320,434
|
19,518,731
|
|||||||||
Level 2:
|
||||||||||||
Foreign currency forwards
|
8,826,712
|
–
|
4,930,330
|
|||||||||
Foreign currency futures options
|
955,590
|
16,327,827
|
–
|
|||||||||
Interest rate swap
|
–
|
–
|
739,361
|
|||||||||
Total Level 2
|
9,782,302
|
16,327,827
|
5,669,691
|
|||||||||
Total investment related assets
|
$
|
23,405,140
|
$
|
65,648,261
|
$
|
25,188,422
|
||||||
Liabilities
|
||||||||||||
Level 1:
|
||||||||||||
Commodity futures
|
$
|
(525,000
|
)
|
$
|
–
|
$
|
(5,008,611
|
)
|
||||
Commodity futures options
|
–
|
(1,993,900
|
)
|
–
|
||||||||
Currency futures
|
–
|
–
|
(28,459
|
)
|
||||||||
Foreign bond futures
|
(1,301,513
|
)
|
(84,227
|
)
|
(278,142
|
)
|
||||||
Foreign index futures
|
–
|
(5,700
|
)
|
(394,534
|
)
|
|||||||
Interest rate futures
|
(415,975
|
)
|
–
|
(6,925
|
)
|
|||||||
Interest rate futures options
|
(619,319
|
)
|
(32,991,975
|
)
|
–
|
|||||||
U.S. bond futures
|
(5,806,602
|
)
|
(872,727
|
)
|
(2,578
|
)
|
||||||
U.S. bond futures options
|
–
|
(960,547
|
)
|
–
|
||||||||
U.S. index futures
|
(744,735
|
)
|
–
|
(782,046
|
)
|
|||||||
U.S. index futures options
|
–
|
(4,025,588
|
)
|
–
|
||||||||
Total Level 1
|
(9,413,144
|
)
|
(40,934,664
|
)
|
(6,501,295
|
)
|
||||||
Level 2:
|
||||||||||||
Foreign currency forwards
|
(6,753,654
|
)
|
(44,070
|
)
|
(2,772,486
|
)
|
||||||
Foreign currency futures options
|
–
|
(3,540,760
|
)
|
–
|
||||||||
Interest rate swap
|
–
|
–
|
(674,402
|
)
|
||||||||
Total Level 2
|
(6,753,654
|
)
|
(3,584,830
|
)
|
(3,446,888
|
)
|
||||||
Total investment related liabilities
|
$
|
(16,166,798
|
)
|
$
|
(44,519,494
|
)
|
$
|
(9,948,183
|
)
|
Long exposure
|
Short exposure
|
|||||||||||||||||||||||
Notional
amounts
|
Number
of
|
Notional
amounts
|
Number
of
|
Derivative
Assets
|
Derivative
Liabilities
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
122,032,519
|
966
|
$
|
(5,670,143
|
)
|
(94
|
)
|
$
|
364,980
|
$
|
(525,000
|
)
|
|||||||||||
|
122,032,519
|
966
|
(5,670,143
|
)
|
(94
|
)
|
364,980
|
(525,000
|
)
|
|||||||||||||||
|
||||||||||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
176,703,865
|
854
|
(148,503,889
|
)
|
(1,081
|
)
|
757,673
|
(744,735
|
)
|
|||||||||||||||
Options (a)
|
–
|
43
|
(1,879,741
|
)
|
–
|
45,000
|
–
|
|||||||||||||||||
|
176,703,865
|
897
|
(150,383,630
|
)
|
(1,081
|
)
|
802,673
|
(744,735
|
)
|
|||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
4,074,560,693
|
N/A
|
(990,903,831
|
)
|
N/A
|
8,826,712
|
(6,753,654
|
)
|
||||||||||||||||
Options (a)
|
44,638,573
|
9
|
(36,374,401
|
)
|
(14
|
)
|
955,590
|
–
|
||||||||||||||||
|
4,119,199,266
|
9
|
(1,027,278,232
|
)
|
(14
|
)
|
9,782,302
|
(6,753,654
|
)
|
|||||||||||||||
|
||||||||||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
1,683,146,636
|
8,088
|
(1,790,748,469
|
)
|
(8,385
|
)
|
4,120,302
|
(7,524,090
|
)
|
|||||||||||||||
Options (a)
|
382,560,086
|
11,158
|
(480,273,218
|
)
|
(11,158
|
)
|
883,394
|
(619,319
|
)
|
|||||||||||||||
|
2,065,706,722
|
19,246
|
(2,271,021,687
|
)
|
(19,543
|
)
|
5,003,696
|
(8,143,409
|
)
|
|||||||||||||||
Total
|
$
|
6,483,642,372
|
21,118
|
$
|
(3,454,353,692
|
)
|
(20,732
|
)
|
$
|
15,953,651
|
$
|
(16,166,798
|
)
|
(a)
|
Notional amounts for options are based on the delta-adjusted positions.
|
Long exposure
|
Short exposure
|
|||||||||||||||||||||||
Notional
amounts
|
Number
of
|
Notional
amounts
|
Number
of
|
Derivative
Assets
|
Derivative
Liabilities
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
3,100,160
|
29
|
$
|
(15,690,980
|
)
|
(79
|
)
|
$
|
16,160
|
$
|
–
|
||||||||||||
Options (a)
|
129,185,145
|
2,294
|
(70,810,194
|
)
|
(2,111
|
)
|
2,479,050
|
(1,993,900
|
)
|
|||||||||||||||
|
132,285,305
|
2,323
|
(86,501,174
|
)
|
(2,190
|
)
|
2,495,210
|
(1,993,900
|
)
|
|||||||||||||||
|
||||||||||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
84,442,167
|
856
|
(7,891,943
|
)
|
(33
|
)
|
1,097,879
|
(5,700
|
)
|
|||||||||||||||
Options (a)
|
183,158,605
|
3,103
|
(116,197,984
|
)
|
(3,059
|
)
|
9,260,188
|
(4,025,588
|
)
|
|||||||||||||||
|
267,600,772
|
3,959
|
(124,089,927
|
)
|
(3,092
|
)
|
10,358,067
|
(4,031,288
|
)
|
|||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
21,819,417
|
N/A
|
(38,645,021
|
)
|
N/A
|
–
|
(44,070
|
)
|
||||||||||||||||
Options (a)
|
343,150,769
|
11
|
(257,008,901
|
)
|
(12
|
)
|
16,327,827
|
(3,540,760
|
)
|
|||||||||||||||
|
364,970,186
|
11
|
(295,653,922
|
)
|
(12
|
)
|
16,327,827
|
(3,584,830
|
)
|
|||||||||||||||
|
||||||||||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
45,210,383
|
264
|
(178,761,620
|
)
|
(1,025
|
)
|
213,587
|
(956,954
|
)
|
|||||||||||||||
Options (a)
|
2,853,546,728
|
43,420
|
(2,675,915,374
|
)
|
(43,420
|
)
|
35,939,570
|
(33,952,522
|
)
|
|||||||||||||||
|
2,898,757,111
|
43,684
|
(2,854,676,994
|
)
|
(44,445
|
)
|
36,153,157
|
(34,909,476
|
)
|
|||||||||||||||
Total
|
$
|
3,663,613,374
|
49,977
|
$
|
(3,360,922,017
|
)
|
(49,739
|
)
|
$
|
65,334,261
|
$
|
(44,519,494
|
)
|
(a)
|
Notional amounts for options are based on the delta-adjusted positions.
|
Long exposure
|
Short exposure
|
|||||||||||||||||||||||
Notional
amounts
|
Number
of
|
Notional
amounts
|
Number
of
|
Derivative
Assets
|
Derivative
Liabilities
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
87,641,029
|
1,318
|
$
|
(68,469,913
|
)
|
(1,269
|
)
|
$
|
2,290,773
|
$
|
(5,008,611
|
)
|
|||||||||||
87,641,029
|
1,318
|
(68,469,913
|
)
|
(1,269
|
)
|
2,290,773
|
(5,008,611
|
)
|
||||||||||||||||
|
||||||||||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
201,251,607
|
1,880
|
(56,480,296
|
)
|
(511
|
)
|
4,666,711
|
(1,176,580
|
)
|
|||||||||||||||
|
201,251,607
|
1,880
|
(56,480,296
|
)
|
(511
|
)
|
4,666,711
|
(1,176,580
|
)
|
|||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
240,421,608
|
N/A
|
(355,841,070
|
)
|
N/A
|
4,930,330
|
(2,772,486
|
)
|
||||||||||||||||
Futures
|
12,859,994
|
123
|
(2,873,042
|
)
|
(40
|
)
|
84,499
|
(28,459
|
)
|
|||||||||||||||
|
253,281,602
|
123
|
(358,714,112
|
)
|
(40
|
)
|
5,014,829
|
(2,800,945
|
)
|
|||||||||||||||
|
||||||||||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
21,885,555
|
173
|
(1,028,785,916
|
)
|
(5,295
|
)
|
10,730,357
|
(287,645
|
)
|
|||||||||||||||
Swaps
|
49,506,575
|
42
|
(33,156,783
|
)
|
(51
|
)
|
739,361
|
(674,402
|
)
|
|||||||||||||||
|
71,392,130
|
215
|
(1,061,942,699
|
)
|
(5,346
|
)
|
11,469,718
|
(962,047
|
)
|
|||||||||||||||
Total
|
$
|
613,566,368
|
3,536
|
$
|
(1,545,607,020
|
)
|
(7,166
|
)
|
$
|
23,442,031
|
$
|
(9,948,183
|
)
|
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
|
$
|
15,953,651
|
$
|
(12,925,003
|
)
|
$
|
3,028,648
|
$
|
–
|
$
|
3,028,648
|
|||||||||
Derivative liabilities
|
$
|
(16,166,798
|
)
|
$
|
12,925,003
|
$
|
(3,241,795
|
)
|
$
|
3,241,795
|
$
|
–
|
||||||||
|
||||||||||||||||||||
Graham Derivatives Strategies LLC2
|
||||||||||||||||||||
Derivative assets
|
$
|
65,334,261
|
$
|
(44,519,494
|
)
|
$
|
20,814,767
|
$
|
–
|
$
|
20,814,767
|
|||||||||
Derivative liabilities
|
$
|
(44,519,494
|
)
|
$
|
44,519,494
|
$
|
–
|
$
|
–
|
$
|
–
|
|||||||||
|
||||||||||||||||||||
Graham K4D Trading Ltd.3
|
||||||||||||||||||||
Derivative assets
|
$
|
23,442,031
|
$
|
(9,948,183
|
)
|
$
|
13,493,848
|
$
|
–
|
$
|
13,493,848
|
|||||||||
Derivative liabilities
|
$
|
(9,948,183
|
)
|
$
|
9,948,183
|
$
|
–
|
$
|
–
|
$
|
–
|
Graham
Commodity
Strategies LLC
|
Graham
Derivatives
Strategies LLC
|
Graham K4D
Trading Ltd.
|
||||||||||
Net investment income
|
$
|
864,174
|
$
|
308,982
|
$
|
148,479
|
||||||
|
||||||||||||
Net realized gain (loss) on investments
|
1,692,849
|
(6,047,658
|
)
|
(770,849
|
)
|
|||||||
Net increase in unrealized appreciation on investments
|
4,004,289
|
6,020,706
|
19,974,612
|
|||||||||
Brokerage commissions and fees
|
(401,509
|
)
|
(845,413
|
)
|
(62,744
|
)
|
||||||
Net gain (loss) on investments
|
5,295,629
|
(872,365
|
)
|
19,141,019
|
||||||||
Net income (loss)
|
$
|
6,159,803
|
$
|
(563,383
|
)
|
$
|
19,289,498
|
Graham
Commodity
Strategies LLC
|
Graham
Derivatives
Strategies LLC
|
Graham K4D
Trading Ltd.
|
||||||||||
Net investment income
|
$
|
1,997,990
|
$
|
501,105
|
$
|
456,012
|
||||||
|
||||||||||||
Net realized gain (loss) on investments
|
35,046,278
|
(11,260,125
|
)
|
(2,370,005
|
)
|
|||||||
Net (decrease) increase in unrealized appreciation on investments
|
(37,826,877
|
)
|
(16,168,425
|
)
|
12,120,559
|
|||||||
Brokerage commissions and fees
|
(822,740
|
)
|
(2,366,023
|
)
|
(127,283
|
)
|
||||||
Net (loss) gain on investments
|
(3,603,339
|
)
|
(29,794,573
|
)
|
9,623,271
|
|||||||
Net (loss) income
|
$
|
(1,605,349
|
)
|
$
|
(29,293,468
|
)
|
$
|
10,079,283
|
Graham Commodity
Strategies LLC
|
Graham Derivatives
Strategies LLC
|
Graham K4D
Trading Ltd.
|
||||||||||||||||||||||
|
Net realized
loss
|
Net increase in
unrealized
appreciation
on
investments
|
Net realized
loss
|
Net increase in
unrealized
appreciation
on
investments
|
Net realized
loss
|
Net increase in
unrealized
appreciation
on
investments
|
||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
(12,438,378
|
)
|
$
|
(1,021,817
|
)
|
$
|
1,067,485
|
$
|
(116,240
|
)
|
$
|
(5,907,137
|
)
|
$
|
(2,621,327
|
)
|
|||||||
Options
|
–
|
–
|
4,871,300
|
(5,938,060
|
)
|
–
|
–
|
|||||||||||||||||
|
(12,438,378
|
)
|
(1,021,817
|
)
|
5,938,785
|
(6,054,300
|
)
|
(5,907,137
|
)
|
(2,621,327
|
)
|
|||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
9,433,846
|
(4,796,453
|
)
|
5,161,752
|
829,540
|
10,045,883
|
1,536,788
|
|||||||||||||||||
Options
|
(194,150
|
)
|
16,012
|
(1,916,836
|
)
|
1,696,180
|
–
|
–
|
||||||||||||||||
|
9,239,696
|
(4,780,441
|
)
|
3,244,916
|
2,525,720
|
10,045,883
|
1,536,788
|
|||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
4,458,580
|
338,936
|
(772,425
|
)
|
(51,808
|
)
|
(271,368
|
)
|
4,753,489
|
|||||||||||||||
Futures
|
–
|
–
|
–
|
–
|
(86,040
|
)
|
199,155
|
|||||||||||||||||
Options
|
5,339,201
|
1,631,902
|
(2,927,292
|
)
|
6,997,700
|
–
|
–
|
|||||||||||||||||
|
9,797,781
|
1,970,838
|
(3,699,717
|
)
|
6,945,892
|
(357,408
|
)
|
4,952,644
|
||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
(34,246,223
|
)
|
8,971,688
|
(2,917,716
|
)
|
(779,064
|
)
|
(4,367,408
|
)
|
16,135,464
|
||||||||||||||
Options
|
2,850,991
|
(310,161
|
)
|
(5,956,181
|
)
|
4,218,865
|
–
|
–
|
||||||||||||||||
Swaps
|
–
|
–
|
–
|
–
|
(118,459
|
)
|
22,752
|
|||||||||||||||||
|
(31,395,232
|
)
|
8,661,527
|
(8,873,897
|
)
|
3,439,801
|
(4,485,867
|
)
|
16,158,216
|
|||||||||||||||
Total
|
$
|
(24,796,133
|
)
|
$
|
4,830,107
|
$
|
(3,389,913
|
)
|
$
|
6,857,113
|
$
|
(704,529
|
)
|
$
|
20,026,321
|
|
Graham Commodity
Strategies LLC
|
Graham Derivatives
Strategies LLC
|
Graham K4D
Trading Ltd.
|
|||||||||||||||||||||
|
Net realized
gain
|
Net decrease in
unrealized
appreciation
on
investments
|
Net realized
loss
|
Net decrease in
unrealized
appreciation
on
investments
|
Net realized
loss
|
Net increase in
unrealized
appreciation
on
investments
|
||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
(6,755,835
|
)
|
$
|
(2,623,990
|
)
|
$
|
1,467,835
|
$
|
(39,290
|
)
|
$
|
(13,159,707
|
)
|
$
|
(6,854,803
|
)
|
|||||||
Options
|
–
|
–
|
3,901,430
|
(5,843,700
|
)
|
–
|
–
|
|||||||||||||||||
|
(6,755,835
|
)
|
(2,623,990
|
)
|
5,369,265
|
(5,882,990
|
)
|
(13,159,707
|
)
|
(6,854,803
|
)
|
|||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
19,675,190
|
(6,067,828
|
)
|
3,082,110
|
1,113,231
|
6,516,367
|
13,312,778
|
|||||||||||||||||
Options
|
(103,575
|
)
|
(28,400
|
)
|
(1,531,599
|
)
|
(405,365
|
)
|
–
|
–
|
||||||||||||||
|
19,571,615
|
(6,096,228
|
)
|
1,550,511
|
707,866
|
6,516,367
|
13,312,778
|
|||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
(1,839,756
|
)
|
2,256,031
|
(1,103,045
|
)
|
(9,258
|
)
|
4,249,906
|
519,100
|
|||||||||||||||
Futures
|
–
|
–
|
–
|
–
|
19,318
|
104,079
|
||||||||||||||||||
Options
|
7,655,178
|
(2,940,178
|
)
|
(3,064,813
|
)
|
(5,796,302
|
)
|
–
|
–
|
|||||||||||||||
|
5,815,422
|
(684,147
|
)
|
(4,167,858
|
)
|
(5,805,560
|
)
|
4,269,224
|
623,179
|
|||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
(4,527,619
|
)
|
(21,711,749
|
)
|
(4,443,203
|
)
|
(1,797,310
|
)
|
(178,379
|
)
|
5,081,320
|
|||||||||||||
Options
|
2,850,991
|
176,053
|
(10,103,080
|
)
|
(1,634,982
|
)
|
–
|
–
|
||||||||||||||||
Swaps
|
–
|
–
|
–
|
–
|
(140,168
|
)
|
(88,437
|
)
|
||||||||||||||||
|
(1,676,628
|
)
|
(21,535,696
|
)
|
(14,546,283
|
)
|
(3,432,292
|
)
|
(318,547
|
)
|
4,992,883
|
|||||||||||||
Total
|
$
|
16,954,574
|
$
|
(30,940,061
|
)
|
$
|
(11,794,365
|
)
|
$
|
(14,412,976
|
)
|
$
|
(2,692,663
|
)
|
$
|
12,074,037
|
|
Graham
Commodity
Strategies LLC
(Delaware)
|
Graham
Derivatives
Strategies LLC
(Delaware)
|
Graham K4D
Trading Ltd.
(BVI)
|
|||||||||
Assets:
|
||||||||||||
Due from brokers
|
$
|
51,314,793
|
$
|
4,022,847
|
$
|
41,554,615
|
||||||
Derivative financial instruments, at fair value
|
32,942,978
|
28,122,323
|
3,702,198
|
|||||||||
Exchange memberships, at fair value
|
6,902,176
|
–
|
1,647,049
|
|||||||||
Interest receivable
|
225,389
|
35,580
|
30,745
|
|||||||||
Dividend receivable
|
111,816
|
–
|
15,923
|
|||||||||
Total assets
|
91,497,152
|
32,180,750
|
46,950,530
|
|||||||||
|
||||||||||||
Liabilities:
|
||||||||||||
Derivative financial instruments, at fair value
|
–
|
–
|
2,319,737
|
|||||||||
Interest payable
|
9,630
|
3,587
|
–
|
|||||||||
Total liabilities
|
9,630
|
3,587
|
2,319,737
|
|||||||||
Members’ Capital / Net Assets
|
$
|
91,487,522
|
$
|
32,177,163
|
$
|
44,630,793
|
||||||
|
||||||||||||
Percentage of Master Fund held by GAIT
|
2.39
|
%
|
2.47
|
%
|
6.93
|
%
|
Description
|
Number of
|
Fair Value
|
Percentage
of Members’ Capital
|
|||||||||
Graham Commodity Strategies LLC
|
||||||||||||
Exchange memberships (cost $3,649,411)
|
||||||||||||
United States (cost $3,649,411)
|
||||||||||||
Financial services (cost $3,649,411)
|
$
|
6,902,176
|
7.54
|
%
|
||||||||
Total exchange memberships
|
$
|
6,902,176
|
7.54
|
%
|
||||||||
|
||||||||||||
Derivative financial instruments
|
||||||||||||
Long contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
$
|
2,497,000
|
2.73
|
%
|
||||||||
Foreign bond
|
(118
|
)
|
(0.00
|
)%
|
||||||||
Foreign index
|
23,027
|
0.03
|
%
|
|||||||||
Interest rate
|
||||||||||||
3 month SOFR March 2023
|
712
|
61,213
|
0.07
|
%
|
||||||||
3 month SOFR June 2023
|
5,342
|
(1,321,100
|
)
|
(1.44
|
)%
|
|||||||
Other interest rate
|
(20,892
|
)
|
(0.03
|
)%
|
||||||||
U.S. bond
|
||||||||||||
U.S. 2 yr Note (CBT) March 2023
|
7,403
|
(4,826,937
|
)
|
(5.28
|
)%
|
|||||||
U.S. index
|
312,773
|
0.34
|
%
|
|||||||||
Total futures
|
(3,275,034
|
)
|
(3.58
|
)%
|
||||||||
|
||||||||||||
Forwards
|
||||||||||||
Foreign currency
|
372,322
|
0.41
|
%
|
|||||||||
Total forwards
|
372,322
|
0.41
|
%
|
|||||||||
|
||||||||||||
Options (cost $4,818,694)
|
||||||||||||
Currency futures
|
||||||||||||
U.S. dollar / Japanese Yen January 2023 - May 2023, $125.05 - $130.10 Put
|
8
|
6,156,445
|
6.73
|
%
|
||||||||
Other currency futures
|
3,477,917
|
3.80
|
%
|
|||||||||
U.S. index futures
|
70,125
|
0.08
|
%
|
|||||||||
Total options
|
9,704,487
|
10.61
|
%
|
Description
|
Number of
|
Fair Value
|
Percentage
of Members’
Capital
|
|||||||||
Graham Commodity Strategies LLC (continued)
|
||||||||||||
Derivative financial instruments (continued)
|
||||||||||||
Short contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
$
|
(33,030
|
)
|
(0.04
|
)%
|
|||||||
Foreign bond
|
||||||||||||
Japan 10 yr Bond March 2023
|
(977
|
)
|
16,185,652
|
17.69
|
%
|
|||||||
Other foreign bond
|
1,543,377
|
1.69
|
%
|
|||||||||
Foreign index
|
5,158,227
|
5.64
|
%
|
|||||||||
Interest rate
|
||||||||||||
3 month SOFR March 2024
|
(1,780
|
)
|
467,988
|
0.51
|
%
|
|||||||
3 month SOFR June 2024
|
(2,848
|
)
|
1,023,225
|
1.12
|
%
|
|||||||
3 month SOFR December 2023
|
(6,787
|
)
|
3,559,411
|
3.89
|
%
|
|||||||
U.S. bond
|
||||||||||||
U.S. 5 yr Note (CBT) March 2023
|
(949
|
)
|
396,727
|
0.43
|
%
|
|||||||
U.S. 10 yr Note (CBT) March 2023
|
(2,019
|
)
|
1,473,414
|
1.61
|
%
|
|||||||
U.S. Long bond (CBT) March 2023
|
(29
|
)
|
7,500
|
0.01
|
%
|
|||||||
U.S. Ultra bond (CBT) March 2023
|
(215
|
)
|
(241,500
|
)
|
(0.26
|
)%
|
||||||
U.S. index
|
586,740
|
0.64
|
%
|
|||||||||
Total futures
|
30,127,731
|
32.93
|
%
|
|||||||||
|
||||||||||||
Forwards
|
||||||||||||
Foreign currency
|
(555,295
|
)
|
(0.61
|
)%
|
||||||||
Total forwards
|
(555,295
|
)
|
(0.61
|
)%
|
||||||||
|
||||||||||||
Options (proceeds $962,413)
|
||||||||||||
Currency futures
|
||||||||||||
U.S. dollar / Japanese Yen January 2023 - February 2023, $125.05 - $130.10 Put
|
(6
|
)
|
(3,345,095
|
)
|
(3.66
|
)%
|
||||||
Other currency futures
|
(86,138
|
)
|
(0.09
|
)%
|
||||||||
Total options
|
(3,431,233
|
)
|
(3.75
|
)%
|
||||||||
Total derivative financial instruments
|
$
|
32,942,978
|
36.01
|
%
|
Description
|
Number of
|
Fair Value
|
Percentage
of Members’ Capital
|
|||||||||
Graham Derivatives Strategies LLC
|
||||||||||||
Derivative financial instruments
|
||||||||||||
Long contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
$
|
55,450
|
0.17
|
%
|
||||||||
Foreign bond
|
(70,256
|
)
|
(0.22
|
)%
|
||||||||
U.S. bond
|
(69,031
|
)
|
(0.21
|
)%
|
||||||||
Total futures
|
(83,837
|
)
|
(0.26
|
)%
|
||||||||
|
||||||||||||
Forwards
|
||||||||||||
Foreign currency
|
(34,812
|
)
|
(0.11
|
)%
|
||||||||
Total forwards
|
(34,812
|
)
|
(0.11
|
)%
|
||||||||
|
||||||||||||
Options (cost $38,031,263)
|
||||||||||||
Commodity futures
|
1,294,020
|
4.02
|
%
|
|||||||||
Currency futures
|
||||||||||||
Euro dollar / British pound March 2023, $0.90 Call
|
2
|
2,786,554
|
8.66
|
%
|
||||||||
Euro dollar / British pound February 2023, $0.89 Call
|
1
|
1,918,757
|
5.96
|
%
|
||||||||
Euro dollar / Canadian dollar March 2023 - June 2023, $1.50 - $1.55 Call
|
2
|
2,102,023
|
6.53
|
%
|
||||||||
U.S. dollar / Japanese yen May 2023 - June 2023, $147.00 - $148.00 Call
|
2
|
459,528
|
1.43
|
%
|
||||||||
U.S. dollar / Japanese yen June 2023, $124.00 Put
|
1
|
6,554,699
|
20.37
|
%
|
||||||||
U.S. dollar / Japanese yen February 2023, $127.50 Put
|
1
|
1,787,137
|
5.55
|
%
|
||||||||
U.S. dollar / Japanese yen February 2023 - May 2023, $125.00 - $128.00 Put
|
4
|
4,763,727
|
14.80
|
%
|
||||||||
U.S. dollar / Japanese yen January 2023 - April 2023 (eko $125.50 - $129.00), $131.50 - $134.00 Put
|
4
|
2,834,864
|
8.81
|
%
|
||||||||
Other currency futures
|
1,877,623
|
5.84
|
%
|
|||||||||
Foreign bond futures
|
630,334
|
1.96
|
%
|
|||||||||
Interest rate futures
|
||||||||||||
3 month SOFR February 2023, $95.00 Call
|
1
|
2,734,050
|
8.50
|
%
|
||||||||
3 month SOFR February 2023, $95.19 Call
|
1
|
1,685,450
|
5.24
|
%
|
||||||||
3 month SOFR January 2023, $95.00 Call
|
1
|
2,836,500
|
8.82
|
%
|
||||||||
3 month SOFR March 2023, $95.31 Call
|
1
|
1,897,250
|
5.90
|
%
|
||||||||
3 month SOFR January 2023 - March 2023, $95.13 - $95.19 Call
|
2
|
2,097,938
|
6.52
|
%
|
||||||||
U.S. bond futures
|
1,159,813
|
3.60
|
%
|
|||||||||
U.S. index futures
|
||||||||||||
S&P 500 E-mini September 2023, $4,800.00 Call
|
1
|
590,425
|
1.83
|
%
|
||||||||
S&P 500 E-mini January 2023, $3,700.00 Put
|
1
|
2,991,175
|
9.30
|
%
|
||||||||
S&P 500 E-mini January 2023, $3,400.00 Put
|
1
|
210,788
|
0.66
|
%
|
||||||||
Total options
|
43,212,655
|
134.30
|
%
|
Description
|
Number of
|
Fair Value
|
Percentage
of Members’
Capital |
|||||||||
Graham Derivatives Strategies LLC (continued)
|
||||||||||||
Derivative financial instruments (continued)
|
||||||||||||
Short contracts
|
||||||||||||
Futures
|
||||||||||||
Foreign bond
|
$
|
1,194,016
|
3.71
|
%
|
||||||||
Interest rate
|
||||||||||||
3 month SOFR December 2023
|
(38
|
)
|
(3,325
|
)
|
(0.01
|
)%
|
||||||
U.S. bond
|
2,539
|
0.01
|
%
|
|||||||||
U.S. index
|
||||||||||||
E-mini Russ 2000 March 2023
|
(9
|
)
|
(1,890
|
)
|
(0.01
|
)%
|
||||||
S&P 500 E-mini March 2023
|
(32
|
)
|
(19,162
|
)
|
(0.06
|
)%
|
||||||
Total futures
|
1,172,178
|
3.64
|
%
|
|||||||||
|
||||||||||||
Options (proceeds $22,332,158)
|
||||||||||||
Commodity futures
|
(462,150
|
)
|
(1.44
|
)%
|
||||||||
Currency futures
|
||||||||||||
U.S. dollar / Japanese yen February 2023, $125.00 - $125.50 Put
|
(2
|
)
|
(1,855,231
|
)
|
(5.77
|
)%
|
||||||
Other currency futures
|
(1,512,474
|
)
|
(4.70
|
)%
|
||||||||
Foreign bond futures
|
(201,630
|
)
|
(0.63
|
)%
|
||||||||
Interest rate futures
|
||||||||||||
3 month SOFR February 2023, $95.06 Call
|
(1
|
)
|
(2,071,250
|
)
|
(6.44
|
)%
|
||||||
3 month SOFR January 2023, $95.06 Call
|
(1
|
)
|
(1,891,000
|
)
|
(5.88
|
)%
|
||||||
3 month SOFR January 2023 - March 2023, $95.13 - $95.44 Call
|
(5
|
)
|
(5,215,713
|
)
|
(16.20
|
)%
|
||||||
U.S. bond futures
|
(888,688
|
)
|
(2.76
|
)%
|
||||||||
U.S. index futures
|
||||||||||||
S&P 500 E-mini September 2023, $4,700.00 Call
|
(1
|
)
|
(841,225
|
)
|
(2.61
|
)%
|
||||||
S&P 500 E-mini January 2023, $3,500.00 Put
|
(1
|
)
|
(1,204,500
|
)
|
(3.74
|
)%
|
||||||
Total options
|
(16,143,861
|
)
|
(50.17
|
)%
|
||||||||
Total derivative financial instruments
|
$
|
28,122,323
|
87.40
|
%
|
Description
|
Number of
|
Fair Value
|
Percentage of
Net Assets
|
|||||||||
Graham K4D Trading Ltd.
|
||||||||||||
Exchange memberships (cost $1,924,208)
|
||||||||||||
United States (cost $1,924,208)
|
||||||||||||
Financial services (cost $1,924,208)
|
$
|
1,647,049
|
3.69
|
%
|
||||||||
Total exchange memberships
|
$
|
1,647,049
|
3.69
|
%
|
||||||||
|
||||||||||||
Derivative financial instruments
|
||||||||||||
Long contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
$
|
3,736,084
|
8.37
|
%
|
||||||||
Currency
|
||||||||||||
Euro FX currency March 2023
|
15
|
7,505
|
0.02
|
%
|
||||||||
Other currency
|
(25,432
|
)
|
(0.06
|
)%
|
||||||||
Foreign bond
|
||||||||||||
Euro-Buxl 30 yr March 2023
|
13
|
(218,664
|
)
|
(0.49
|
)%
|
|||||||
Euro-Oat March 2023
|
8
|
(72,824
|
)
|
(0.16
|
)%
|
|||||||
Euro-Schatz March 2023
|
491
|
28,435
|
0.06
|
%
|
||||||||
Other foreign bond
|
(1,506,373
|
)
|
(3.38
|
)%
|
||||||||
Foreign index
|
||||||||||||
CAC 40 10 Euro January 2023
|
279
|
(831,148
|
)
|
(1.86
|
)%
|
|||||||
Euro Stoxx 50 March 2023
|
1,396
|
(2,927,143
|
)
|
(6.56
|
)%
|
|||||||
Nikkei 225 (OSE) March 2023
|
196
|
(2,812,569
|
)
|
(6.30
|
)%
|
|||||||
Other foreign index
|
(2,936,199
|
)
|
(6.58
|
)%
|
||||||||
U.S. bond
|
(971,258
|
)
|
(2.18
|
)%
|
||||||||
U.S. index
|
(988,125
|
)
|
(2.21
|
)%
|
||||||||
Total futures
|
(9,517,711
|
)
|
(21.33
|
)%
|
||||||||
|
||||||||||||
Swaps (cost $149,945)
|
||||||||||||
Interest rate
|
7,998
|
0.02
|
%
|
|||||||||
Total swaps
|
7,998
|
0.02
|
%
|
|||||||||
|
||||||||||||
Forwards
|
||||||||||||
Foreign currency
|
926,650
|
2.08
|
%
|
|||||||||
Total forwards
|
926,650
|
2.08
|
%
|
Description
|
Number of
|
Fair Value
|
Percentage of
Net Assets
|
|||||||||
Graham K4D Trading Ltd. (continued)
|
||||||||||||
Derivative financial instruments (continued)
|
||||||||||||
Short contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
$
|
400,881
|
0.90
|
%
|
||||||||
Currency
|
(30,113
|
)
|
(0.07
|
)%
|
||||||||
Foreign bond
|
||||||||||||
Euro-Bobl March 2023
|
(248
|
)
|
1,336,006
|
2.99
|
%
|
|||||||
Euro-Btp March 2023
|
(6
|
)
|
(20,715
|
)
|
(0.05
|
)%
|
||||||
Euro-Bund March 2023
|
(104
|
)
|
970,271
|
2.17
|
%
|
|||||||
Other foreign bond
|
1,420,235
|
3.19
|
%
|
|||||||||
Foreign index
|
(77,544
|
)
|
(0.17
|
)%
|
||||||||
Interest rate
|
||||||||||||
3 month Euro Euribor December 2023
|
(1,254
|
)
|
2,334,823
|
5.23
|
%
|
|||||||
Other interest rate
|
1,291,770
|
2.90
|
%
|
|||||||||
U.S. bond
|
769,686
|
1.72
|
%
|
|||||||||
U.S. index
|
750,082
|
1.68
|
%
|
|||||||||
Total futures
|
9,145,382
|
20.49
|
%
|
|||||||||
|
||||||||||||
Swaps (proceeds $64,745)
|
||||||||||||
Interest rate
|
108,048
|
0.24
|
%
|
|||||||||
Total swaps
|
108,048
|
0.24
|
%
|
|||||||||
|
||||||||||||
Forwards
|
||||||||||||
Foreign currency
|
712,094
|
1.60
|
%
|
|||||||||
Total forwards
|
712,094
|
1.60
|
%
|
|||||||||
Total derivative financial instruments
|
$
|
1,382,461
|
3.10
|
%
|
Graham
Commodity
Strategies LLC |
Graham
Derivatives
Strategies LLC
|
Graham
K4D Trading
Ltd.
|
||||||||||
Assets
|
||||||||||||
Level 1:
|
||||||||||||
Commodity futures
|
$
|
4,725,880
|
$
|
76,970
|
$
|
5,591,646
|
||||||
Commodity futures options
|
–
|
1,294,020
|
–
|
|||||||||
Currency futures
|
–
|
–
|
9,067
|
|||||||||
Exchange memberships*
|
6,902,176
|
–
|
1,647,049
|
|||||||||
Foreign bond futures
|
17,729,029
|
1,194,016
|
3,754,947
|
|||||||||
Foreign bond futures options
|
–
|
630,334
|
–
|
|||||||||
Foreign index futures
|
5,220,331
|
–
|
11,627
|
|||||||||
Interest rate futures
|
5,111,837
|
–
|
3,626,593
|
|||||||||
Interest rate futures options
|
–
|
11,251,188
|
–
|
|||||||||
U.S. bond futures
|
2,018,336
|
111,297
|
769,686
|
|||||||||
U.S. bond futures options
|
–
|
1,159,813
|
–
|
|||||||||
U.S. index futures
|
1,910,878
|
–
|
815,657
|
|||||||||
U.S. index futures options
|
70,125
|
3,792,388
|
–
|
|||||||||
Total Level 1
|
43,688,592
|
19,510,026
|
16,226,272
|
|||||||||
|
||||||||||||
Level 2:
|
||||||||||||
Foreign currency forwards
|
2,067,521
|
25,084,912
|
2,851,140
|
|||||||||
Foreign currency futures options
|
9,634,362
|
–
|
–
|
|||||||||
Interest rate swap
|
–
|
–
|
150,127
|
|||||||||
Total Level 2
|
11,701,883
|
25,084,912
|
3,001,267
|
|||||||||
Total investment related assets
|
$
|
55,390,475
|
$
|
44,594,938
|
$
|
19,227,539
|
||||||
|
||||||||||||
Liabilities
|
||||||||||||
Level 1:
|
||||||||||||
Commodity futures
|
$
|
(2,261,910
|
)
|
$
|
(21,520
|
)
|
$
|
(1,454,681
|
)
|
|||
Commodity futures options
|
–
|
(462,150
|
)
|
–
|
||||||||
Currency futures
|
–
|
–
|
(57,107
|
)
|
||||||||
Foreign bond futures
|
(118
|
)
|
(70,256
|
)
|
(1,818,576
|
)
|
||||||
Foreign index futures
|
(39,077
|
)
|
–
|
(9,596,230
|
)
|
|||||||
Foreign bond futures options
|
–
|
(201,630
|
)
|
–
|
||||||||
Interest rate futures
|
(1,341,992
|
)
|
(3,325
|
)
|
–
|
|||||||
Interest rate futures options
|
–
|
(9,177,963
|
)
|
–
|
||||||||
U.S. bond futures
|
(5,209,132
|
)
|
(177,789
|
)
|
(971,258
|
)
|
||||||
U.S. bond futures options
|
–
|
(888,688
|
)
|
–
|
||||||||
U.S. index futures
|
(1,011,365
|
)
|
(21,052
|
)
|
(1,053,700
|
)
|
||||||
U.S. index futures options
|
–
|
(2,045,725
|
)
|
–
|
||||||||
Total Level 1
|
(9,863,594
|
)
|
(13,070,098
|
)
|
(14,951,552
|
)
|
||||||
|
||||||||||||
Level 2:
|
||||||||||||
Foreign currency forwards
|
(2,250,494
|
)
|
(34,812
|
)
|
(1,212,396
|
)
|
||||||
Foreign currency futures options
|
(3,431,233
|
)
|
(3,367,705
|
)
|
–
|
|||||||
Interest rate swap
|
–
|
–
|
(34,081
|
)
|
||||||||
Total Level 2
|
(5,681,727
|
)
|
(3,402,517
|
)
|
(1,246,477
|
)
|
||||||
Total investment related liabilities
|
$
|
(15,545,321
|
)
|
$
|
(16,472,615
|
)
|
$
|
(16,198,029
|
)
|
Long exposure
|
Short exposure
|
|||||||||||||||||||||||
Notional
Amounts
|
Number
of
|
Notional
amounts
|
Number
of
|
Derivative
Assets
|
Derivative
Liabilities
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
186,625,658
|
2,101
|
$
|
(15,498,641
|
)
|
(467
|
)
|
$
|
4,725,880
|
$
|
(2,261,910
|
)
|
|||||||||||
Options (a)
|
13,373,826
|
1,072
|
(5,762,599
|
)
|
(575
|
)
|
–
|
–
|
||||||||||||||||
|
199,999,484
|
3,173
|
(21,261,240
|
)
|
(1,042
|
)
|
4,725,880
|
(2,261,910
|
)
|
|||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
105,393,870
|
997
|
(223,123,315
|
)
|
(2,820
|
)
|
7,131,209
|
(1,050,442
|
)
|
|||||||||||||||
Options (a)
|
714,207
|
1,639
|
(934,457
|
)
|
(1,636
|
)
|
70,125
|
–
|
||||||||||||||||
|
106,108,077
|
2,636
|
(224,057,772
|
)
|
(4,456
|
)
|
7,201,334
|
(1,050,442
|
)
|
|||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
1,316,655,676
|
N/A
|
(1,208,969,411
|
)
|
N/A
|
2,067,521
|
(2,250,494
|
)
|
||||||||||||||||
Options (a)
|
60,751,845
|
7
|
(96,796,503
|
)
|
(20
|
)
|
9,634,362
|
(3,431,233
|
)
|
|||||||||||||||
|
1,377,407,521
|
7
|
(1,305,765,914
|
)
|
(20
|
)
|
11,701,883
|
(5,681,727
|
)
|
|||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
1,238,790,866
|
7,141
|
(2,850,846,022
|
)
|
(12,398
|
)
|
24,859,202
|
(6,551,242
|
)
|
|||||||||||||||
Options (a)
|
805,426,116
|
16,775
|
(914,747,665
|
)
|
(16,775
|
)
|
–
|
–
|
||||||||||||||||
|
2,044,216,982
|
23,916
|
(3,765,593,687
|
)
|
(29,173
|
)
|
24,859,202
|
(6,551,242
|
)
|
|||||||||||||||
Total
|
$
|
3,727,732,064
|
29,732
|
$
|
(5,316,678,613
|
)
|
(34,691
|
)
|
$
|
48,488,299
|
$
|
(15,545,321
|
)
|
(a) |
Notional amounts for options are based on the delta-adjusted positions.
|
Long exposure
|
Short exposure
|
|||||||||||||||||||||||
Notional
Amounts
|
Number
of
|
Notional
amounts
|
Number
of
|
Derivative
Assets
|
Derivative
Liabilities
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
11,546,990
|
78
|
$
|
–
|
–
|
$
|
76,970
|
$
|
(21,520
|
)
|
|||||||||||||
Options (a)
|
84,705,847
|
2,514
|
(59,510,938
|
)
|
(2,520
|
)
|
1,294,020
|
(462,150
|
)
|
|||||||||||||||
|
96,252,837
|
2,592
|
(59,510,938
|
)
|
(2,520
|
)
|
1,370,990
|
(483,670
|
)
|
|||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
5,392,423
|
24
|
(7,282,457
|
)
|
(39
|
)
|
–
|
(21,052
|
)
|
|||||||||||||||
Options (a)
|
51,591,974
|
2,432
|
(96,065,054
|
)
|
(2,221
|
)
|
3,792,388
|
(2,045,725
|
)
|
|||||||||||||||
|
56,984,397
|
2,456
|
(103,347,511
|
)
|
(2,260
|
)
|
3,792,388
|
(2,066,777
|
)
|
|||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
43,567,730
|
N/A
|
(39,590,124
|
)
|
N/A
|
–
|
(34,812
|
)
|
||||||||||||||||
Options (a)
|
475,407,964
|
15
|
(523,109,593
|
)
|
(18
|
)
|
25,084,912
|
(3,367,705
|
)
|
|||||||||||||||
|
518,975,694
|
15
|
(562,699,717
|
)
|
(18
|
)
|
25,084,912
|
(3,402,517
|
)
|
|||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
155,838,281
|
448
|
(244,880,268
|
)
|
(1,134
|
)
|
1,305,313
|
(251,370
|
)
|
|||||||||||||||
Options (a)
|
1,586,360,072
|
26,015
|
(1,403,160,971
|
)
|
(26,024
|
)
|
13,041,335
|
(10,268,281
|
)
|
|||||||||||||||
|
1,742,198,353
|
26,463
|
(1,648,041,239
|
)
|
(27,158
|
)
|
14,346,648
|
(10,519,651
|
)
|
|||||||||||||||
Total
|
$
|
2,414,411,281
|
31,526
|
$
|
(2,373,599,405
|
)
|
(31,956
|
)
|
$
|
44,594,938
|
$
|
(16,472,615
|
)
|
(a)
|
Notional amounts for options are based on the delta-adjusted positions.
|
|
Long exposure
|
Short exposure
|
||||||||||||||||||||||
|
Notional
amounts
|
Number
of
|
Notional
amounts
|
Number
of
|
Derivative
Assets
|
Derivative
Liabilities
|
||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
141,871,998
|
1,982
|
$
|
(56,120,835
|
)
|
(614
|
)
|
$
|
5,591,646
|
$
|
(1,454,681
|
)
|
|||||||||||
|
141,871,998
|
1,982
|
(56,120,835
|
)
|
(614
|
)
|
5,591,646
|
(1,454,681
|
)
|
|||||||||||||||
|
||||||||||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
142,215,748
|
1,513
|
(42,942,281
|
)
|
(352
|
)
|
827,284
|
(10,649,930
|
)
|
|||||||||||||||
|
142,215,748
|
1,513
|
(42,942,281
|
)
|
(352
|
)
|
827,284
|
(10,649,930
|
)
|
|||||||||||||||
|
||||||||||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
179,977,788
|
N/A
|
(386,554,059
|
)
|
N/A
|
2,851,140
|
(1,212,396
|
)
|
||||||||||||||||
Futures
|
11,720,226
|
113
|
(4,111,082
|
)
|
(45
|
)
|
9,067
|
(57,107
|
)
|
|||||||||||||||
|
191,698,014
|
113
|
(390,665,141
|
)
|
(45
|
)
|
2,860,207
|
(1,269,503
|
)
|
|||||||||||||||
|
||||||||||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
160,551,408
|
874
|
(770,715,266
|
)
|
(3,914
|
)
|
8,151,226
|
(2,789,834
|
)
|
|||||||||||||||
Swaps
|
9,556,692
|
82
|
(9,556,692
|
)
|
(82
|
)
|
150,127
|
(34,081
|
)
|
|||||||||||||||
|
170,108,100
|
956
|
(780,271,958
|
)
|
(3,996
|
)
|
8,301,353
|
(2,823,915
|
)
|
|||||||||||||||
Total
|
$
|
645,893,860
|
4,564
|
$
|
(1,270,000,215
|
)
|
(5,007
|
)
|
$
|
17,580,490
|
$
|
(16,198,029
|
)
|
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
|
$
|
48,488,299
|
$
|
(15,545,321
|
)
|
$
|
32,942,978
|
$
|
–
|
$
|
32,942,978
|
|||||||||
Derivative liabilities
|
$
|
(15,545,321
|
)
|
$
|
15,545,321
|
$
|
–
|
$
|
–
|
$
|
–
|
|||||||||
|
||||||||||||||||||||
Graham Derivatives Strategies LLC2
|
||||||||||||||||||||
Derivative assets
|
$
|
44,594,938
|
$
|
(16,472,615
|
)
|
$
|
28,122,323
|
$
|
–
|
$
|
28,122,323
|
|||||||||
Derivative liabilities
|
$
|
(16,472,615
|
)
|
$
|
16,472,615
|
$
|
–
|
$
|
–
|
$
|
–
|
|||||||||
|
||||||||||||||||||||
Graham K4D Trading Ltd.3
|
||||||||||||||||||||
Derivative assets
|
$
|
17,580,490
|
$
|
(13,878,292
|
)
|
$
|
3,702,198
|
$
|
–
|
$
|
3,702,198
|
|||||||||
Derivative liabilities
|
$
|
(16,198,029
|
)
|
$
|
13,878,292
|
$
|
(2,319,737
|
)
|
$
|
2,319,737
|
$
|
–
|
Graham
Commodity
Strategies LLC |
Graham
Derivatives
Strategies LLC
|
Graham K4D
Trading Ltd.
|
||||||||||
Net investment income (loss)
|
$
|
40,751
|
$
|
(1,390
|
)
|
$
|
(9,901
|
)
|
||||
Net realized gain on investments
|
146,523,902
|
50,617,178
|
61,988,515
|
|||||||||
Net decrease in unrealized appreciation on investments
|
(20,393,341
|
)
|
(1,937,631
|
)
|
(24,082,221
|
)
|
||||||
Brokerage commissions and fees
|
(649,267
|
)
|
(1,839,184
|
)
|
(47,037
|
)
|
||||||
Net gain on investments
|
125,481,294
|
46,840,363
|
37,859,257
|
|||||||||
Net income
|
$
|
125,522,045
|
$
|
46,838,973
|
$
|
37,849,356
|
Graham
Commodity
Strategies LLC
|
Graham
Derivatives
Strategies LLC |
Graham K4D
Trading Ltd.
|
||||||||||
Net investment income (loss)
|
$
|
17,039
|
$
|
(8,746
|
)
|
$
|
(58,844
|
)
|
||||
Net realized gain on investments
|
291,180,689
|
89,149,283
|
115,801,414
|
|||||||||
Net (decrease) increase in unrealized appreciation on investments
|
(5,663,335
|
)
|
887,075
|
(7,646,196
|
)
|
|||||||
Brokerage commissions and fees
|
(1,274,638
|
)
|
(3,115,536
|
)
|
(103,501
|
)
|
||||||
Net gain on investments
|
284,242,716
|
86,920,822
|
108,051,717
|
|||||||||
Net income
|
$
|
284,259,755
|
$
|
86,912,076
|
$
|
107,992,873
|
Graham Commodity
Strategies LLC
|
Graham Derivatives
Strategies LLC
|
Graham K4D
Trading Ltd.
|
||||||||||||||||||||||
Net realized
gain (loss)
|
Net increase
(decrease) in
unrealized
appreciation on
investments
|
Net realized
gain (loss)
|
Net increase
(decrease) in
unrealized
appreciation on
investments
|
Net realized
gain (loss)
|
Net increase
(decrease) in
unrealized
appreciation on
investments
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
610,152
|
$
|
(6,064,989
|
)
|
$
|
(887,492
|
)
|
$
|
34,290
|
$
|
20,430,289
|
$
|
(18,008,110
|
)
|
|||||||||
Options
|
1,090,658
|
(490,299
|
)
|
(592,033
|
)
|
(3,321,034
|
)
|
–
|
–
|
|||||||||||||||
|
1,700,810
|
(6,555,288
|
)
|
(1,479,525
|
)
|
(3,286,744
|
)
|
20,430,289
|
(18,008,110
|
)
|
||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
23,515,268
|
11,176,731
|
1,478,341
|
52,105
|
(1,172,523
|
)
|
(2,687,237
|
)
|
||||||||||||||||
Options
|
(376,999
|
)
|
1,114,519
|
13,224,783
|
1,084,930
|
–
|
–
|
|||||||||||||||||
|
23,138,269
|
12,291,250
|
14,703,124
|
1,137,035
|
(1,172,523
|
)
|
(2,687,237
|
)
|
||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
39,211,226
|
(9,083,717
|
)
|
14,463,033
|
(850,179
|
)
|
19,220,921
|
236,116
|
||||||||||||||||
Futures
|
–
|
–
|
–
|
–
|
719,511
|
164,190
|
||||||||||||||||||
Options
|
840,776
|
(2,629,092
|
)
|
14,568,451
|
(399,567
|
)
|
–
|
–
|
||||||||||||||||
|
40,052,002
|
(11,712,809
|
)
|
29,031,484
|
(1,249,746
|
)
|
19,940,432
|
400,306
|
||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
79,244,967
|
(10,176,569
|
)
|
5,421,377
|
(385,358
|
)
|
22,790,317
|
(3,710,556
|
)
|
|||||||||||||||
Options
|
2,387,854
|
(3,005,094
|
)
|
2,940,718
|
1,847,182
|
–
|
–
|
|||||||||||||||||
|
81,632,821
|
(13,181,663
|
)
|
8,362,095
|
1,461,824
|
22,790,317
|
(3,710,556
|
)
|
||||||||||||||||
Total
|
$
|
146,523,902
|
$
|
(19,158,510
|
)
|
$
|
50,617,178
|
$
|
(1,937,631
|
)
|
$
|
61,988,515
|
$
|
(24,005,597
|
)
|
Graham Commodity
Strategies LLC
|
Graham Derivatives
Strategies LLC
|
Graham K4D
Trading Ltd.
|
||||||||||||||||||||||
Net realized
gain (loss)
|
Net increase
(decrease) in
unrealized
appreciation on
investments
|
Net realized
gain (loss)
|
Net increase
(decrease) in
unrealized
appreciation on
investments
|
Net realized
gain (loss)
|
Net increase
(decrease) in
unrealized
appreciation on
investments
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
18,712,905
|
$
|
(7,736,696
|
)
|
$
|
(2,124,210
|
)
|
$
|
–
|
$
|
83,791,454
|
$
|
(16,433,863
|
)
|
|||||||||
Options
|
933,353
|
678,687
|
(3,120,053
|
)
|
228,840
|
–
|
–
|
|||||||||||||||||
Swaps
|
(5,991,484
|
)
|
280,016
|
–
|
–
|
–
|
–
|
|||||||||||||||||
|
13,654,774
|
(6,777,993
|
)
|
(5,244,263
|
)
|
228,840
|
83,791,454
|
(16,433,863
|
)
|
|||||||||||||||
|
||||||||||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
61,939,318
|
9,278,326
|
8,005,065
|
27,050
|
(3,128,971
|
)
|
342,464
|
|||||||||||||||||
Options
|
(1,175,824
|
)
|
1,716,474
|
12,939,033
|
940,367
|
–
|
–
|
|||||||||||||||||
|
60,763,494
|
10,994,800
|
20,944,098
|
967,417
|
(3,128,971
|
)
|
342,464
|
|||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
47,645,333
|
(239,825
|
)
|
25,392,433
|
(439,434
|
)
|
20,568,935
|
5,104,163
|
||||||||||||||||
Futures
|
–
|
–
|
–
|
–
|
997,796
|
270,315
|
||||||||||||||||||
Options
|
(2,049,906
|
)
|
879,404
|
14,913,899
|
(2,184,608
|
)
|
–
|
–
|
||||||||||||||||
|
45,595,427
|
639,579
|
40,306,332
|
(2,624,042
|
)
|
21,566,731
|
5,374,478
|
|||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
165,935,704
|
(8,521,654
|
)
|
20,341,471
|
18,812
|
13,572,200
|
2,976,582
|
|||||||||||||||||
Options
|
5,231,290
|
(1,181,408
|
)
|
12,801,645
|
2,296,048
|
–
|
–
|
|||||||||||||||||
|
171,166,994
|
(9,703,062
|
)
|
33,143,116
|
2,314,860
|
13,572,200
|
2,976,582
|
|||||||||||||||||
Total
|
$
|
291,180,689
|
$
|
(4,846,676
|
)
|
$
|
89,149,283
|
$
|
887,075
|
$
|
115,801,414
|
$
|
(7,740,339
|
)
|
|
||||||||
Assets:
|
||||||||
Cash and cash equivalents
|
$
|
363,466,629
|
$
|
634,147,957
|
||||
Investments in fixed income securities (amortized cost $5,646,023,749 and $5,669,408,769, respectively)
|
5,646,023,749
|
5,669,408,769
|
||||||
Interest receivable
|
6,325,219
|
5,501,621
|
||||||
Total assets
|
6,015,815,597
|
6,309,058,347
|
||||||
|
||||||||
Liabilities:
|
||||||||
Due to broker
|
15,324
|
7,815
|
||||||
Total liabilities
|
15,324
|
7,815
|
||||||
Members’ capital
|
$
|
6,015,800,273
|
$
|
6,309,050,532
|
Three Months Ended
June 30,
|
Six Months Ended
|
|||||||||||||||
2022
|
2023
|
2022
|
||||||||||||||
Investment income
|
||||||||||||||||
Interest income
|
$
|
50,542,070
|
$
|
9,277,846
|
$
|
89,319,218
|
$
|
12,187,141
|
||||||||
Total investment income
|
50,542,070
|
9,277,846
|
89,319,218
|
12,187,141
|
||||||||||||
Expenses:
|
||||||||||||||||
Bank fee expense
|
143,575
|
73,884
|
296,588
|
168,443
|
||||||||||||
Total expenses
|
143,575
|
73,884
|
296,588
|
168,443
|
||||||||||||
Net investment income
|
50,398,495
|
9,203,962
|
89,022,630
|
12,018,698
|
||||||||||||
Net income
|
$
|
50,398,495
|
$
|
9,203,962
|
$
|
89,022,630
|
$
|
12,018,698
|
Description
|
Principal
Amount
|
Fair Value
|
Percentage of
Members’
Capital
|
||||||||||
Investments in Fixed Income Securities (amortized cost $5,646,023,749)
|
|||||||||||||
United States
|
|||||||||||||
Government Bonds (amortized cost $4,235,353,654)
|
|||||||||||||
U.S. Treasury bond 0.25% due 09/30/2023
|
$
|
350,000,000
|
$
|
346,757,712
|
5.76
|
%
|
|||||||
U.S. Treasury bonds 0.13% – 2.13% due 07/15/2023 – 03/31/2024
|
3,950,000,000
|
3,888,595,942
|
64.64
|
%
|
|||||||||
Total Government Bonds
|
4,235,353,654
|
70.40
|
%
|
||||||||||
Treasury Bills (amortized cost $1,410,670,095)
|
|||||||||||||
U.S. Treasury bill 0.00% due 07/06/2023 – 12/28/2023
|
1,425,000,000
|
1,410,670,095
|
23.45
|
%
|
|||||||||
Total Treasury Bills
|
1,410,670,095
|
23.45
|
%
|
||||||||||
Total United States
|
5,646,023,749
|
93.85
|
%
|
||||||||||
Total Investments in Fixed Income Securities
|
$
|
5,646,023,749
|
93.85
|
%
|
Description
|
Principal
Amount
|
Fair Value
|
Percentage of
Members’
Capital
|
||||||||||
Investments in Fixed Income Securities (amortized cost $5,669,408,769)
|
|||||||||||||
United States
|
|||||||||||||
Government Bonds (amortized cost $5,470,052,935)
|
|||||||||||||
U.S. Treasury bond 0.13% due 01/31/2023
|
$
|
350,000,000
|
$
|
349,565,886
|
5.54
|
%
|
|||||||
U.S. Treasury bond 0.25% due 09/30/2023
|
350,000,000
|
340,378,862
|
5.40
|
%
|
|||||||||
U.S. Treasury bonds 0.13% – 1.50% due 01/15/2023 – 01/31/2024
|
4,850,000,000
|
4,780,108,187
|
75.76
|
%
|
|||||||||
Total Government Bonds
|
5,470,052,935
|
86.70
|
%
|
||||||||||
|
|||||||||||||
Treasury Bills (amortized cost $199,355,834)
|
|||||||||||||
U.S Treasury bills 0.00% due 01/10/2023 – 02/21/2023
|
200,000,000
|
199,355,834
|
3.16
|
%
|
|||||||||
Total Treasury Bills
|
199,355,834
|
3.16
|
%
|
||||||||||
Total United States
|
5,669,408,769
|
89.86
|
%
|
||||||||||
Total Investments in Fixed Income Securities
|
$
|
5,669,408,769
|
89.86
|
%
|
Assets
|
||||||||
Level 2:
|
||||||||
Fixed income securities
|
||||||||
Government bonds
|
$
|
4,235,353,654
|
$
|
5,470,052,935
|
||||
Treasury bills
|
1,410,670,095
|
199,355,834
|
||||||
Total fixed income securities
|
5,646,023,749
|
5,669,408,769
|
||||||
Total Level 2
|
5,646,023,749
|
5,669,408,769
|
||||||
Total assets
|
$
|
5,646,023,749
|
$
|
5,669,408,769
|
Class 0
|
Class 2
|
|
0.50%
|
1.25%
|
Class 0
|
Class 2
|
|||||||
Per unit operating performance
|
||||||||
Net asset value per Unit, March 31, 2022
|
$
|
200.75
|
$
|
143.02
|
||||
Net income:
|
||||||||
Net investment loss
|
(5.66
|
)
|
(4.19
|
)
|
||||
Net gain on investments
|
22.87
|
16.22
|
||||||
Net income
|
17.21
|
12.03
|
||||||
Net asset value per Unit, June 30, 2022
|
$
|
217.96
|
$
|
155.05
|
||||
Net asset value per Unit, March 31, 2023
|
$
|
219.21
|
$
|
155.12
|
||||
Net income:
|
||||||||
Net investment income (loss)
|
0.12
|
(0.21
|
)
|
|||||
Net gain on investments
|
4.61
|
3.26
|
||||||
Net income
|
4.73
|
3.05
|
||||||
Net asset value per Unit, June 30, 2023
|
$
|
223.94
|
$
|
158.17
|
Class 0
|
Class 2
|
||||||||||||||||
2023
|
2022
|
2023
|
2022
|
||||||||||||||
Total return before Incentive Allocation
|
2.16
|
%
|
10.84
|
%
|
1.97
|
%
|
10.52
|
%
|
|||||||||
Incentive Allocation
|
0.00
|
(2.28
|
)
|
0.00
|
(2.11
|
)
|
|||||||||||
Total return after Incentive Allocation
|
2.16
|
%
|
8.56
|
%
|
1.97
|
%
|
8.41
|
%
|
|||||||||
Net investment income (loss) before Incentive Allocation
|
0.05
|
%
|
(0.61
|
)%
|
(0.13
|
)%
|
(0.79
|
)%
|
|||||||||
Incentive Allocation
|
0.00
|
(2.09
|
)
|
0.00
|
(2.01
|
)
|
|||||||||||
Net investment income (loss) after Incentive Allocation
|
0.05
|
%
|
(2.70
|
)%
|
(0.13
|
)%
|
(2.80
|
)%
|
|||||||||
Total expenses before Incentive Allocation
|
0.80
|
%
|
0.74
|
%
|
0.97
|
%
|
0.92
|
%
|
|||||||||
Incentive Allocation
|
0.00
|
2.09
|
0.00
|
2.01
|
|||||||||||||
Total expenses after Incentive Allocation
|
0.80
|
%
|
2.83
|
%
|
0.97
|
%
|
2.93
|
%
|
Class 0
|
Class 2
|
|||||||
Per unit operating performance
|
||||||||
Net asset value per Unit, December 31, 2021
|
$
|
176.27
|
$
|
125.68
|
||||
Net income:
|
||||||||
Net investment loss
|
(11.20
|
)
|
(8.23
|
)
|
||||
Net gain on investments
|
52.89
|
37.60
|
||||||
Net income
|
41.69
|
29.37
|
||||||
Net asset value per Unit, June 30, 2022
|
$
|
217.96
|
$
|
155.05
|
||||
Net asset value per Unit, December 31, 2022
|
$
|
224.59
|
$
|
159.22
|
||||
Net loss:
|
||||||||
Net investment income (loss)
|
0.31
|
(0.37
|
)
|
|||||
Net loss on investments
|
(0.96
|
)
|
(0.68
|
)
|
||||
Net loss
|
(0.65
|
)
|
(1.05
|
)
|
||||
Net asset value per Unit, June 30, 2023
|
$
|
223.94
|
$
|
158.17
|
Class 0
|
Class 2
|
||||||||||||||||
2023
|
2022
|
2023
|
2022
|
||||||||||||||
Total return before Incentive Allocation
|
(0.29
|
)%
|
28.88
|
%
|
(0.66
|
)%
|
28.10
|
%
|
|||||||||
Incentive Allocation
|
(0.00
|
)
|
(5.23
|
)
|
0.00
|
(4.73
|
)
|
||||||||||
Total return after Incentive Allocation
|
(0.29
|
)%
|
23.65
|
%
|
(0.66
|
)%
|
23.37
|
%
|
|||||||||
Net investment income (loss) before Incentive Allocation
|
0.14
|
%
|
(1.24
|
)%
|
(0.23
|
)%
|
(1.61
|
)%
|
|||||||||
Incentive Allocation
|
(0.00
|
)
|
(4.39
|
)
|
0.00
|
(4.18
|
)
|
||||||||||
Net investment income (loss) after Incentive Allocation
|
0.14
|
%
|
(5.63
|
)%
|
(0.23
|
)%
|
(5.79
|
)%
|
|||||||||
Total expenses before Incentive Allocation
|
1.37
|
%
|
1.41
|
%
|
1.73
|
%
|
1.78
|
%
|
|||||||||
Incentive Allocation
|
0.00
|
4.39
|
0.00
|
4.18
|
|||||||||||||
Total expenses after Incentive Allocation
|
1.37
|
%
|
5.80
|
%
|
1.73
|
%
|
5.96
|
%
|
Item 2. |
Management’s Discussion and Analysis of Financial Condition and Results of Operations
|
(a) |
Management’s Discussion and Analysis of Financial Condition and Results of Operations
|
Agriculture / Softs
|
$
|
(34,600
|
)
|
|
Base Metals
|
(9,160
|
)
|
||
Energy
|
(106,446
|
)
|
||
Equities
|
455,303
|
|||
Foreign Exchange
|
548,145
|
|||
Long Term / Intermediate Rates
|
(188,344
|
)
|
||
Precious Metals
|
(251,457
|
)
|
||
Short Term Rates
|
202,802
|
|||
$
|
616,243
|
Agriculture / Softs
|
$
|
(35,160
|
)
|
|
Base Metals
|
(18,058
|
)
|
||
Energy
|
(410,948
|
)
|
||
Equities
|
799,547
|
|||
Foreign Exchange
|
241,483
|
|||
Long Term / Intermediate Rates
|
(572,983
|
)
|
||
Precious Metals
|
(291,141
|
)
|
||
Short Term Rates
|
210,530
|
|||
$
|
(76,730
|
)
|
Agriculture / Softs
|
35.2
|
%
|
||
Base Metals
|
19.3
|
%
|
||
Energy
|
(28.6
|
)%
|
||
Equities
|
12.8
|
%
|
||
Foreign Exchange
|
(324.6
|
)%
|
||
Long Term / Intermediate Rates
|
383.4
|
%
|
||
Precious Metals
|
(18.3
|
)%
|
||
Short Term Rates
|
20.8
|
%
|
||
100.0
|
%
|
Agriculture / Softs
|
$
|
(184,332
|
)
|
|
Base Metals
|
(8,417
|
)
|
||
Energy
|
396,493
|
|||
Equities
|
405,363
|
|||
Foreign Exchange
|
1,316,555
|
|||
Long Term / Intermediate Rates
|
1,367,628
|
|||
Precious Metals
|
(215,596
|
)
|
||
Short Term Rates
|
133,145
|
|||
$
|
3,210,839
|
Agriculture / Softs
|
$
|
72,223
|
||
Base Metals
|
112,908
|
|||
Commodity Mix
|
(63,403
|
)
|
||
Energy
|
2,020,102
|
|||
Equities
|
947,271
|
|||
Foreign Exchange
|
1,811,472
|
|||
Long Term / Intermediate Rates
|
2,202,447
|
|||
Precious Metals
|
(159,098
|
)
|
||
Short Term Rates
|
574,804
|
|||
$
|
7,518,726
|
Agriculture / Softs
|
11.6
|
%
|
||
Base Metals
|
3.7
|
%
|
||
Energy
|
71.8
|
%
|
||
Equities
|
59.9
|
%
|
||
Foreign Exchange
|
43.4
|
%
|
||
Long Term / Intermediate Rates
|
136.1
|
%
|
||
Precious Metals
|
(17.4
|
)%
|
||
Short Term Rates
|
(209.1
|
)%
|
||
100.0
|
%
|
Core Macro
Portfolio
|
|||
8.63%
|
|||
9.33%
|
|||
6.53%
|
Item 3. |
Quantitative and Qualitative Disclosures about Market Risk
|
Item 4. |
Controls and Procedures
|
Item 1. |
Legal Proceedings
|
Item 1A. |
Risk Factors
|
Item 2. |
Unregistered Sales of Equity Securities and Use of Proceeds
|
Date
|
Total Number of Units Issued
|
|
April 1 – April 30, 2023
|
–
|
|
May 1 – May 31, 2023
|
343.165
|
|
June 1 – June 30, 2023
|
1,502.756
|
|
TOTAL
|
1,845.920
|
Date
|
(a) Total
Number of
Units
Purchased1
|
(b) Average
Price Paid
per Unit
|
(c) Total Number of
Units Purchased as
Part of Publicly
Announced Plans
or Programs
|
(d) Maximum Number
of Approximate
Dollar Value of
Units that May Yet
Be Purchased
Under the Plans or
Programs
|
|||
April 1 – April 30, 2023
|
–
|
$
|
–
|
N/A
|
N/A
|
||
May 1 – May 31, 2023
|
–
|
$
|
–
|
N/A
|
N/A
|
||
June 1 – June 30, 2023
|
178.620
|
$
|
223.94
|
N/A
|
N/A
|
||
TOTAL
|
178.620
|
$
|
223.94
|
N/A
|
N/A
|
Item 3. |
Defaults Upon Senior Securities – None
|
Item 4. |
Mine Safety Disclosures – None
|
Item 5. |
Other Information – During the registrant's last fiscal quarter, no director or officer of the registrant, as defined in Rule 16a-1(f), adopted or terminated a “Rule
10b5-1 trading arrangement” or a “non-Rule 10b5-1 trading arrangement,” each as defined in Item 408 of Regulation S-K.
|
Item 6. |
Exhibits
|
Certificate of Formation of Graham Alternative Investment Fund I LLC
|
|
Amendment to Certificate of Formation of Graham Alternative Investment Fund I LLC
|
|
Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC dated March 28, 2013
|
|
Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC dated May 2, 2022
|
|
Rule 13a-14(a)/15d-14(a) Certification (Certification of Principal Executive Officer)
|
|
Rule 13a-14(a)/15d-14(a) Certification (Certification of Principal Financial Officer)
|
|
Section 1350 Certification (Certification of Principal Executive Officer and Principal Financial Officer)
|
|
† 101.INS
|
Inline XBRL Instance Document (the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document)
|
† 101.SCH
|
Inline XBRL Taxonomy Extension Schema Document
|
† 101.CAL
|
Inline XBRL Taxonomy Extension Calculation Linkbase Document
|
† 101.DEF
|
Inline XBRL Taxonomy Extension Definition Linkbase Document
|
† 101.LAB
|
Inline XBRL Taxonomy Extension Label Linkbase Document
|
† 101.PRE
|
XBRL Taxonomy Extension Presentation Linkbase Document
|
† 104
|
Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101)
|
*
|
**
|
***
|
Dated: August 14, 2023
|
GRAHAM ALTERNATIVE INVESTMENT FUND I LLC
|
||
CORE MACRO PORTFOLIO
|
|||
By:
|
GRAHAM CAPITAL MANAGEMENT, L.P.
|
||
its Manager
|
By:
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/s/ Brian Douglas
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Brian Douglas, Principal Executive Officer
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By:
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/s/ George Schrade
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George Schrade, Principal Financial Officer
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This ‘10-Q’ Filing | Date | Other Filings | ||
---|---|---|---|---|
Filed on: | 8/14/23 | |||
8/1/23 | ||||
7/1/23 | ||||
For Period end: | 6/30/23 | |||
5/31/23 | ||||
4/30/23 | ||||
3/31/23 | 10-K, 10-Q | |||
12/31/22 | 10-K | |||
6/30/22 | 10-Q | |||
6/1/22 | ||||
5/10/22 | 8-K | |||
5/2/22 | ||||
3/31/22 | 10-Q | |||
1/14/22 | ||||
12/31/21 | 10-K | |||
6/30/21 | 10-Q | |||
4/11/13 | 8-K | |||
3/28/13 | 10-K, 15-12G, 8-K | |||
4/30/10 | 10-12G | |||
8/1/06 | ||||
5/18/06 | ||||
5/16/06 | ||||
6/22/05 | ||||
List all Filings |
As Of Filer Filing For·On·As Docs:Size Issuer Filing Agent 5/10/22 Graham Alternative Inv Fund I LLC 8-K:5,9 5/06/22 11:415K Broadridge Fin’l So… Inc 4/11/13 Graham Alternative Inv Fund I LLC 8-K:5,9 3/28/13 3:306K Broadridge Fin’l So… Inc 4/30/10 Graham Alternative Inv Fund I LLC 10-12G 5:9.2M Broadridge Fin’l So… Inc |