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As Of Filer Filing For·On·As Docs:Size Issuer Filing Agent 5/15/23 Graham Alternative Inv Fund I LLC 10-Q 3/31/23 36:4.1M Broadridge Fin’l So… Inc |
Document/Exhibit Description Pages Size 1: 10-Q Quarterly Report HTML 2.45M 2: EX-31.1 Certification -- §302 - SOA'02 HTML 16K 3: EX-31.2 Certification -- §302 - SOA'02 HTML 16K 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 48K 12: R3 Statements of Financial Condition (Parenthetical) HTML 21K 13: R4 Unaudited Statements of Operations HTML 47K 14: R5 Unaudited Statements of Changes in Members' HTML 37K Capital 15: R6 Unaudited Statements of Cash Flows HTML 38K 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 23K 20: R11 Income Taxes HTML 18K 21: R12 Risk Factors HTML 15K 22: R13 Financial Highlights HTML 76K 23: R14 Subsequent Events HTML 14K 24: R15 Summary of Significant Accounting Policies HTML 31K (Policies) 25: R16 Fees and Related Party Transactions (Tables) HTML 14K 26: R17 Financial Highlights (Tables) HTML 75K 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 42K 30: R21 Financial Highlights (Details) HTML 52K 31: R22 Subsequent Events (Details) HTML 16K 34: XML IDEA XML File -- Filing Summary XML 55K 32: XML XBRL Instance -- brhc20052658_10q_htm XML 363K 33: EXCEL IDEA Workbook of Financial Reports XLSX 47K 6: EX-101.CAL XBRL Calculations -- gaif-20230331_cal XML 65K 7: EX-101.DEF XBRL Definitions -- gaif-20230331_def XML 175K 8: EX-101.LAB XBRL Labels -- gaif-20230331_lab XML 540K 9: EX-101.PRE XBRL Presentations -- gaif-20230331_pre XML 306K 5: EX-101.SCH XBRL Schema -- gaif-20230331 XSD 73K 35: JSON XBRL Instance as JSON Data -- MetaLinks 117± 170K 36: ZIP XBRL Zipped Folder -- 0001140361-23-024782-xbrl Zip 245K
i Delaware
|
i 20-4897069
|
|
(State or other jurisdiction of incorporation or organization)
|
(I.R.S. Employer Identification No.)
|
Title of each class
|
Trading Symbol(s)
|
Name of each exchange on which registered
|
|||
None
|
N/A |
None
|
Large accelerated filer ☐
|
Accelerated filer ☐
|
i Non-accelerated filer ☐
|
Smaller reporting company i ☒
|
Emerging Growth company i ☐
|
|
Page
Number
|
||
PART I - Financial Information:
|
|
||
|
|
|
|
|
Item 1.
|
Financial Statements:
|
|
|
|
|
|
Graham Alternative Investment Fund I LLC Core Macro Portfolio
|
|||
|
|
1
|
|
|
|
||
|
|
2
|
|
3
|
|||
4
|
|||
|
|
||
|
|
5
|
|
|
|
||
Graham Alternative Investment Trading LLC
|
|||
13 | |||
14 | |||
15 |
|||
16 | |||
17 | |||
|
|||
18 | |||
|
Item 2.
|
62 | |
|
|
||
|
Item 3.
|
68 | |
|
|
||
|
Item 4.
|
69 | |
70 |
|||
71 | |||
Certification
|
|||
Certification
|
|||
Certification
|
Item 1.
|
Financial Statements
|
(Unaudited)
|
(Audited)
|
|||||||
Assets
|
||||||||
Investment in Graham Alternative Investment Trading LLC, at fair value
|
$
|
i 28,158,121
|
$
|
i 28,825,841
|
||||
Redemptions receivable from Graham Alternative Investment Trading LLC
|
i 75,000
|
i 519,852
|
||||||
Total assets
|
$
|
i 28,233,121
|
$
|
i 29,345,693
|
||||
Liabilities and members’ capital
|
||||||||
Liabilities:
|
||||||||
Redemptions payable
|
$
|
i 75,000
|
$
|
i 519,852
|
||||
Total liabilities
|
i 75,000
|
i 519,852
|
||||||
Members’ capital:
|
||||||||
Class 0 Units ( i i 69,724.514 / and i i 70,066.654 /
units issued and outstanding at $ i 219.21
and $ i 224.59, respectively)
|
i 15,284,180
|
i 15,735,969
|
||||||
Class 2 Units ( i i 82,995.282 / and i i 82,214.218 /
units issued and outstanding at $ i 155.12
and $ i 159.22, respectively)
|
i 12,873,941
|
i 13,089,872
|
||||||
Total members’ capital
|
i 28,158,121
|
i 28,825,841
|
||||||
Total liabilities and members’ capital
|
$
|
i 28,233,121
|
$
|
i 29,345,693
|
Three Months Ended
March 31, |
||||||||
2022
|
||||||||
Net (loss) gain allocated from investment in Graham Alternative Investment Trading LLC:
|
||||||||
Net realized gain on investments
|
$
|
i 281,524
|
$
|
i 3,653,943
|
||||
Net (decrease) increase in unrealized appreciation on investments
|
( i 974,497
|
)
|
i 653,944
|
|||||
Brokerage commissions and fees
|
( i 24,704
|
)
|
( i 22,817
|
)
|
||||
Net (loss) gain allocated from investment in Graham Alternative Investment Trading LLC
|
( i 717,677
|
)
|
i 4,285,070
|
|||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC:
|
||||||||
Investment income:
|
||||||||
Interest income
|
i 191,178
|
i 9,666
|
||||||
Expenses:
|
||||||||
Advisory fees
|
i 107,666
|
i 103,018
|
||||||
Sponsor fees
|
i 60,409
|
i 56,223
|
||||||
Professional fees
|
i 6,987
|
i 32,128
|
||||||
Administrator’s fee
|
i 9,103
|
i 8,741
|
||||||
Operating expenses
|
i 4,842
|
i –
|
||||||
Interest expense
|
i 1,652
|
i 1,603
|
||||||
Incentive allocation
|
i 562 | i 602,005 | ||||||
Total expenses
|
i 191,221
|
i 803,718
|
||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC
|
( i 43
|
)
|
( i 794,052
|
)
|
||||
Net (loss) income
|
$
|
( i 717,720
|
)
|
$
|
i 3,491,018
|
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 |
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 |
Three Months Ended
|
||||||||
2022
|
||||||||
Cash flows provided by operating activities
|
||||||||
Net (loss) income
|
$
|
( i 717,720
|
)
|
$
|
i 3,491,018
|
|||
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 717,720
|
( i 3,491,018
|
)
|
|||||
Proceeds from sale of investment in Graham Alternative Investment Trading LLC
|
i 519,852
|
i 946,159
|
||||||
Investment in Graham Alternative Investment Trading LLC
|
( i 125,000 | ) | i – | |||||
Net cash provided by operating activities
|
i 394,852
|
i 946,159
|
||||||
Cash flows used in financing activities
|
||||||||
Subscriptions
|
i 125,000
|
i –
|
||||||
Redemptions (net of redemptions payable)
|
( i 519,852
|
)
|
( i 946,159
|
)
|
||||
Net cash used in financing activities
|
( i 394,852
|
)
|
( i 946,159
|
)
|
||||
Net change in cash and cash equivalents
|
i –
|
i –
|
||||||
Cash and cash equivalents, beginning of period
|
i –
|
i –
|
||||||
Cash and cash equivalents, end of period
|
$
|
i –
|
$
|
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, December 31, 2021
|
$ | i 176.27 | $ | i 125.68 | ||||
Net income:
|
||||||||
Net investment loss
|
( i 5.51 | ) | ( i 4.03 | ) | ||||
Net gain on investments
|
i 29.99 | i 21.37 | ||||||
Net income
|
i 24.48 | i 17.34 | ||||||
Net asset value per Unit, March 31, 2022
|
$ | i 200.75 | $ | i 143.02 | ||||
Net asset value per Unit, December 31, 2022
|
$ | i 224.59 | $ | i 159.22 | ||||
Net loss:
|
||||||||
Net investment income (loss)
|
i 0.19 | ( i 0.16 | ) | |||||
Net loss on investments
|
( i 5.57 | ) | ( i 3.94 | ) | ||||
Net loss
|
( i 5.38 | ) | ( i 4.10 | ) | ||||
Net asset value per Unit, March 31, 2023
|
$ | i 219.21 | $ | i 155.12 |
Class 0
|
Class 2
|
||||||||||||||||
2023
|
2022
|
2023
|
2022
|
||||||||||||||
Total return before Incentive Allocation
|
( i 2.39
|
)%
|
i 16.37
|
%
|
( i 2.58
|
)%
|
i 16.14
|
%
|
|||||||||
Incentive Allocation
|
( i 0.01
|
)
|
( i 2.49
|
)
|
i 0.00
|
( i 2.34
|
)
|
||||||||||
Total return after Incentive Allocation
|
( i 2.40
|
)%
|
i 13.88
|
%
|
( i 2.58
|
)%
|
i 13.80
|
%
|
|||||||||
Net investment income (loss) before Incentive Allocation
|
i 0.09
|
%
|
( i 0.64
|
)%
|
( i 0.10
|
)%
|
( i 0.83
|
)%
|
|||||||||
Incentive Allocation
|
( i 0.00
|
) |
( i 2.29
|
)
|
i 0.00
|
( i 2.18
|
)
|
||||||||||
Net investment income (loss) after Incentive Allocation
|
i 0.09
|
%
|
( i 2.93
|
)%
|
( i 0.10
|
)%
|
( i 3.01
|
)%
|
|||||||||
Total expenses before Incentive Allocation
|
i 0.57
|
%
|
i 0.67
|
%
|
i 0.76
|
%
|
i 0.86
|
%
|
|||||||||
Incentive Allocation
|
i 0.00
|
i 2.29
|
i 0.00
|
i 2.18
|
|||||||||||||
Total expenses after Incentive Allocation
|
i 0.57
|
%
|
i 2.96
|
%
|
i 0.76
|
%
|
i 3.04
|
%
|
(Unaudited)
|
(Audited)
|
|||||||
Assets
|
||||||||
Investments in Master Funds, at fair value
|
$
|
4,936,323
|
$
|
6,078,610
|
||||
Investment in Graham Cash Assets LLC, at fair value
|
57,470,028
|
58,599,019
|
||||||
Receivable from Master Funds
|
69
|
181
|
||||||
Total assets
|
$
|
62,406,420
|
$
|
64,677,810
|
||||
Liabilities and members’ capital
|
||||||||
Liabilities:
|
||||||||
Redemptions payable
|
$
|
152,247
|
$
|
1,169,444
|
||||
Accrued professional fees
|
92,106
|
132,957
|
||||||
Accrued advisory fees
|
76,559
|
79,343
|
||||||
Accrued sponsor fees
|
41,004
|
42,803
|
||||||
Accrued administrator’s fees
|
6,655
|
7,030
|
||||||
Accrued operating expenses
|
3,122
|
3,223
|
||||||
Payable to Master Funds
|
‑
|
102
|
||||||
Total liabilities
|
371,693
|
1,434,902
|
||||||
Members’ capital:
|
||||||||
Class 0 Units (162,280.380 and 161,081.937 units issued and outstanding at $219.21 and $224.59 per unit, respectively)
|
35,573,195
|
36,176,761
|
||||||
Class 2 Units (156,345.463 and 155,844.459 units issued and outstanding at $155.12 and $159.22 per unit, respectively)
|
24,251,739
|
24,813,000
|
||||||
Class M Units (4,671.470 units issued and outstanding at $473.04 and $482.32 per unit, respectively)
|
2,209,793
|
2,253,147
|
||||||
Total members’ capital
|
62,034,727
|
63,242,908
|
||||||
Total liabilities and members’ capital
|
$
|
62,406,420
|
$
|
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
|
$
|
1,700,768
|
2.74
|
%
|
$
|
2,190,592
|
3.46
|
%
|
||||||||||
Graham Derivatives Strategies LLC
|
1,334,220
|
2.15
|
%
|
794,631
|
1.26
|
%
|
||||||||||||
Graham K4D Trading Ltd.
|
1,901,335
|
3.07
|
%
|
3,093,387
|
4.89
|
%
|
||||||||||||
Total investments in Master Funds
|
$
|
4,936,323
|
7.96
|
%
|
$
|
6,078,610
|
9.61
|
%
|
Three Months Ended
|
||||||||
2022
|
||||||||
Net (loss) gain allocated from investments in Master Funds:
|
||||||||
Net realized gain on investments
|
$
|
610,351
|
$
|
7,981,451
|
||||
Net (decrease) increase in unrealized appreciation on investments
|
(2,152,199
|
)
|
1,422,516
|
|||||
Brokerage commissions and fees
|
(54,213
|
)
|
(49,856
|
)
|
||||
Net (loss) gain allocated from investments in Master Funds
|
(1,596,061
|
)
|
9,354,111
|
|||||
Net investment income (loss) allocated from investments in Master Funds
|
55,765
|
(3,806
|
)
|
|||||
Investment income:
|
||||||||
Interest income
|
363,869
|
24,812
|
||||||
Total investment income
|
363,869
|
24,812
|
||||||
Expenses:
|
||||||||
Advisory fees
|
227,889
|
218,151
|
||||||
Sponsor fees
|
122,253
|
115,406
|
||||||
Professional fees
|
15,314
|
69,385
|
||||||
Administrator’s fee
|
19,978
|
19,083
|
||||||
Operating expenses
|
10,627
|
‑
|
||||||
Interest expense
|
3,626
|
3,500
|
||||||
Total expenses
|
399,687
|
425,525
|
||||||
Net investment loss of the Fund
|
(35,818
|
)
|
(400,713
|
)
|
||||
Net (loss) income
|
(1,576,114
|
)
|
8,949,592
|
|||||
Incentive allocation
|
(132
|
)
|
(1,280,643
|
)
|
||||
Net (loss) income available for pro-rata allocation to all members
|
$
|
(1,576,246
|
)
|
$
|
7,668,949
|
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
|
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
|
Three Months Ended March 31,
|
||||||||
2022
|
||||||||
Cash flows provided by operating activities
|
||||||||
Net (loss) income
|
$
|
(1,576,114
|
)
|
$
|
8,949,592
|
|||
Adjustments to reconcile net (loss) income to net cash provided by operating activities:
|
||||||||
Net loss (income) allocated from investments in Master Funds
|
1,540,296
|
(9,350,305
|
)
|
|||||
Net (income) allocated from investment in Graham Cash Assets LLC
|
(363,869
|
)
|
(24,812
|
)
|
||||
Proceeds from sale of investments in Master Funds
|
19,692,648
|
21,067,184
|
||||||
Proceeds from sale of investment in Graham Cash Assets LLC
|
14,816,838
|
6,508,136
|
||||||
Purchases of investments in Master Funds
|
(20,090,647
|
)
|
(11,150,718
|
)
|
||||
Purchases of investment in Graham Cash Assets LLC
|
(13,323,978
|
)
|
(15,022,066
|
)
|
||||
Changes in assets and liabilities:
|
||||||||
(Decrease) increase in accrued professional fees
|
(40,851
|
)
|
909
|
|||||
(Decrease) increase in accrued advisory fees
|
(2,784
|
)
|
9,797
|
|||||
(Decrease) increase in accrued sponsor fees
|
(1,799
|
)
|
5,226
|
|||||
(Decrease) increase in accrued administrator’s fee
|
(375
|
)
|
656
|
|||||
(Decrease) in accrued operating expenses
|
(101
|
)
|
–
|
|||||
Net cash provided by operating activities
|
649,264
|
993,599
|
||||||
|
||||||||
Cash flows used in financing activities
|
||||||||
Subscriptions
|
615,000
|
–
|
||||||
Redemptions (net of redemptions payable)
|
(1,264,264
|
)
|
(993,599
|
)
|
||||
Net cash used in financing activities
|
(649,264
|
)
|
(993,599
|
)
|
||||
|
||||||||
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
|
$
|
3,626
|
$
|
3,500
|
• |
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 Loss
(three months
ended March 2023)
|
|||||||||
Global Macro Funds
|
||||||||||||
Graham Commodity Strategies LLC
|
2.74
|
%
|
$
|
1,700,768
|
$
|
(121,521
|
)
|
|||||
Graham Derivatives Strategies LLC
|
2.15
|
%
|
1,334,220
|
(719,679
|
)
|
|||||||
|
||||||||||||
Systematic Macro Funds
|
||||||||||||
Graham K4D Trading Ltd.
|
3.07
|
%
|
1,901,335
|
(699,096
|
)
|
|||||||
7.96
|
%
|
$
|
4,936,323
|
$
|
(1,540,296
|
)
|
Investment – Objective
|
Percent of
Members’
Capital
|
Fair Value
|
Net Income
(three months
ended March 2022)
|
|||||||||
Global Macro Funds
|
||||||||||||
Graham Commodity Strategies LLC
|
3.46
|
%
|
$
|
2,190,592
|
$
|
3,888,721
|
||||||
Graham Derivatives Strategies LLC
|
1.26
|
%
|
794,631
|
972,140
|
||||||||
Systematic Macro Funds
|
||||||||||||
Graham K4D Trading Ltd.
|
4.89
|
%
|
3,093,387
|
4,489,444
|
||||||||
9.61
|
%
|
$
|
6,078,610
|
$
|
9,350,305
|
Graham
Commodity
Strategies LLC
(Delaware)
|
Graham
Derivatives
Strategies LLC
(Delaware)
|
Graham K4D
Trading Ltd.
(BVI)
|
||||||||||
Assets:
|
||||||||||||
Due from brokers
|
$
|
63,642,551
|
$
|
32,900,312
|
$
|
30,219,610
|
||||||
Derivative financial instruments, at fair value
|
5,269,489
|
21,295,807
|
–
|
|||||||||
Exchange memberships, at fair value
|
7,702,635
|
322,250
|
1,795,009
|
|||||||||
Interest receivable
|
513,544
|
129,131
|
117,741
|
|||||||||
Total assets
|
77,128,219
|
54,647,500
|
32,132,360
|
|||||||||
Liabilities:
|
||||||||||||
Derivative financial instruments, at fair value
|
4,613,163
|
–
|
6,625,685
|
|||||||||
Interest payable
|
161,628
|
39,122
|
73,197
|
|||||||||
Total liabilities
|
4,774,791
|
39,122
|
6,698,882
|
|||||||||
Members’ Capital / Net Assets
|
$
|
72,353,428
|
$
|
54,608,378
|
$
|
25,433,478
|
||||||
Percentage of Master Fund held by GAIT
|
2.35
|
%
|
2.44
|
%
|
7.48
|
%
|
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)
|
$
|
7,702,635
|
10.65
|
%
|
||||||||
Total exchange memberships
|
$
|
7,702,635
|
10.65
|
%
|
||||||||
Derivative financial instruments
|
||||||||||||
Long contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
$
|
1,407,493
|
1.95
|
%
|
||||||||
Foreign bond
|
(455,866
|
)
|
(0.63
|
)%
|
||||||||
Foreign index
|
497,429
|
0.69
|
%
|
|||||||||
U.S. bond
|
(315,978
|
)
|
(0.44
|
)%
|
||||||||
U.S. index
|
||||||||||||
Nasdaq 100 E-mini June 2023
|
578
|
11,251,821
|
15.55
|
%
|
||||||||
Total futures
|
12,384,899
|
17.12
|
%
|
|||||||||
Forwards
|
||||||||||||
Foreign currency
|
3,408,208
|
4.71
|
%
|
|||||||||
Total forwards
|
3,408,208
|
4.71
|
%
|
|||||||||
Options (cost $11,382,247)
|
||||||||||||
Currency futures
|
3,535,367
|
4.89
|
%
|
|||||||||
Interest rate futures
|
||||||||||||
3 month SOFR, June 2024, $95.00 Put
|
1
|
5,046,400
|
6.97
|
%
|
||||||||
3 month SOFR, March 2024, $94.50 Put
|
1
|
3,005,438
|
4.15
|
%
|
||||||||
U.S. index futures
|
||||||||||||
S&P 500 E-mini, June 2023, $3,700.00 - $3,900.00 Put
|
3
|
160,875
|
0.22
|
%
|
||||||||
Total options
|
11,748,080
|
16.23
|
%
|
Description
|
Number of
|
Fair Value
|
Percentage
of Members’
Capital of
Master Fund
|
|||||||||
Graham Commodity Strategies LLC (continued)
|
||||||||||||
Derivative financial instruments (continued)
|
||||||||||||
Short contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
$
|
(545,695
|
)
|
(0.75
|
)%
|
|||||||
Foreign bond
|
||||||||||||
Japan 10 yr bond June 2023
|
(1,150
|
)
|
(10,433,881
|
)
|
(14.42
|
)%
|
||||||
Other foreign bond
|
(564,729
|
)
|
(0.78
|
)%
|
||||||||
Foreign index
|
(102,747
|
)
|
(0.14
|
)%
|
||||||||
Interest rate
|
||||||||||||
3 month SOFR, March 2024
|
(46
|
)
|
(33,950
|
)
|
(0.05
|
)%
|
||||||
Other interest rate
|
71,466
|
0.10
|
%
|
|||||||||
U.S. bond
|
(642,539
|
)
|
(0.89
|
)%
|
||||||||
U.S. index
|
||||||||||||
S&P 500 E-mini June 2023
|
(785
|
)
|
(6,210,525
|
)
|
(8.58
|
)%
|
||||||
Nasdaq 100 E-mini June 2023
|
(24
|
)
|
(181,132
|
)
|
(0.25
|
)%
|
||||||
Other U.S. index
|
(445,455
|
)
|
(0.62
|
)%
|
||||||||
Total futures
|
(19,089,187
|
)
|
(26.38
|
)%
|
||||||||
Forwards
|
||||||||||||
Foreign currency
|
(1,674,086
|
)
|
(2.31
|
)%
|
||||||||
Total forwards
|
(1,674,086
|
)
|
(2.31
|
)%
|
||||||||
Options (proceeds $4,042,450)
|
||||||||||||
Interest rate futures
|
||||||||||||
3 month SOFR, June 2024, $94.75 Put
|
(1
|
)
|
(3,917,600
|
)
|
(5.41
|
)%
|
||||||
3 month SOFR, March 2024, $94.25 Put
|
(1
|
)
|
(2,203,988
|
)
|
(3.05
|
)%
|
||||||
Total options
|
(6,121,588
|
)
|
(8.46
|
)%
|
||||||||
Total derivative financial instruments
|
$
|
656,326
|
0.91
|
%
|
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)
|
$
|
322,250
|
0.59
|
%
|
||||||||
Total exchange memberships
|
$
|
322,250
|
0.59
|
%
|
||||||||
Derivative financial instruments
|
||||||||||||
Long contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
||||||||||||
Gold 100 Oz June 2023
|
19
|
$
|
(21,590
|
)
|
(0.04
|
)%
|
||||||
WTI Crude May 2023
|
28
|
32,710
|
0.06
|
%
|
||||||||
Foreign index
|
148,874
|
0.27
|
%
|
|||||||||
U.S. bond
|
||||||||||||
U.S. 10 yr June 2023
|
1
|
484
|
0.00
|
%
|
||||||||
U.S. 5 yr Note (CBT) June 2023
|
40
|
(25,313
|
)
|
(0.05
|
)%
|
|||||||
U.S. index
|
205,700
|
0.38
|
%
|
|||||||||
Total futures
|
340,865
|
0.62
|
%
|
|||||||||
Forwards
|
||||||||||||
Foreign currency
|
(14,456
|
)
|
(0.03
|
)%
|
||||||||
Total forwards
|
(14,456
|
)
|
(0.03
|
)%
|
||||||||
Options (cost $55,451,645)
|
||||||||||||
Commodity futures
|
||||||||||||
Gold Future (CMX) September 2023, $2,025.00 Call
|
1
|
8,998,080
|
16.48
|
%
|
||||||||
Gold Future (CMX) May 2023, $2,010.00 - $2,050.00 Call
|
2
|
2,438,060
|
4.46
|
%
|
||||||||
Crude Oil December 2023, $85.50 Call
|
1
|
2,708,160
|
4.96
|
%
|
||||||||
Currency futures
|
9,774,385
|
17.90
|
%
|
|||||||||
Interest rate futures
|
||||||||||||
3 month SOFR, June 2023, $95.19 Call
|
1
|
4,591,000
|
8.41
|
%
|
||||||||
3 month SOFR, June 2023, $95.44 Call
|
1
|
3,328,475
|
6.10
|
%
|
||||||||
3 month SOFR, September 2023, $97.50 Call
|
1
|
1,683,638
|
3.08
|
%
|
||||||||
U.S. bond futures
|
||||||||||||
U.S. 10 yr June 2023, $117.50 Call
|
1
|
4,695,781
|
8.60
|
%
|
||||||||
U.S. 5 yr June 2023, $113.25 Call
|
1
|
3,250,719
|
5.95
|
%
|
||||||||
U.S. index futures
|
2,538,378
|
4.65
|
%
|
|||||||||
Total options
|
44,006,676
|
80.59
|
%
|
Description
|
Number of
|
Fair Value
|
Percentage
of Members’
Capital of
Master Fund
|
|||||||||
Graham Derivatives Strategies LLC (continued)
|
||||||||||||
Derivative financial instruments (continued)
|
||||||||||||
Short contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
||||||||||||
Gold 100 Oz June 2023
|
(79
|
)
|
$
|
121,280
|
0.22
|
%
|
||||||
Foreign bond
|
53,058
|
0.10
|
%
|
|||||||||
U.S. bond
|
||||||||||||
U.S. 10 yr Note (CBT) June 2023
|
(69
|
)
|
9,234
|
0.02
|
%
|
|||||||
U.S. 2 yr Note (CBT) June 2023
|
(82
|
)
|
3,875
|
0.01
|
%
|
|||||||
U.S. 5 yr Note (CBT) June 2023
|
(9
|
)
|
1,109
|
0.00
|
%
|
|||||||
U.S. Long Bond (CBT) June 2023
|
(5
|
)
|
1,375
|
0.00
|
%
|
|||||||
U.S. Ultra Bond (CBT) June 2023
|
(8
|
)
|
(8,125
|
)
|
(0.01
|
)%
|
||||||
U.S. index
|
(91,935
|
)
|
(0.17
|
)%
|
||||||||
Total futures
|
89,871
|
0.17
|
%
|
|||||||||
Forwards
|
||||||||||||
Foreign currency
|
22,194
|
0.04
|
%
|
|||||||||
Total forwards
|
22,194
|
0.04
|
%
|
|||||||||
Options (proceeds $25,308,967)
|
||||||||||||
Commodity futures
|
||||||||||||
Gold future (CMX) September 2023, $2,125.00 Call
|
(1
|
)
|
(5,427,240
|
)
|
(9.94
|
)%
|
||||||
Gold future (CMX) May 2023, $2,110.00 Call
|
(1
|
)
|
(421,200
|
)
|
(0.77
|
)%
|
||||||
Crude Oil December 2023, $90.50 Call
|
(1
|
)
|
(1,946,880
|
)
|
(3.57
|
)%
|
||||||
Currency futures
|
(525,442
|
)
|
(0.96
|
)%
|
||||||||
Interest rate futures
|
||||||||||||
3 month SOFR, June 2023, $95.31 Call
|
(1
|
)
|
(7,689,506
|
)
|
(14.08
|
)%
|
||||||
3 month SOFR, September 2023, $98.50 Call
|
(1
|
)
|
(742,781
|
)
|
(1.36
|
)%
|
||||||
U.S. bond futures
|
||||||||||||
U.S. 10 yr June 2023, $119.50 Call
|
(1
|
)
|
(2,405,156
|
)
|
(4.40
|
)%
|
||||||
U.S. 5 yr June 2023, $115.25 Call
|
(1
|
)
|
(1,457,219
|
)
|
(2.67
|
)%
|
||||||
Index futures
|
(2,533,919
|
)
|
(4.64
|
)%
|
||||||||
Total options
|
(23,149,343
|
)
|
(42.39
|
)%
|
||||||||
Total derivative financial instruments
|
$
|
21,295,807
|
39.00
|
%
|
Description
|
Number of Contracts / 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)
|
$
|
1,795,009
|
7.06
|
%
|
||||||||
Total exchange memberships
|
$
|
1,795,009
|
7.06
|
%
|
||||||||
Derivative financial instruments
|
||||||||||||
Long contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
$
|
1,592,792
|
6.26
|
%
|
||||||||
Currency
|
(131,063
|
)
|
(0.52
|
)%
|
||||||||
Foreign bond
|
(47,581
|
)
|
(0.19
|
)%
|
||||||||
Foreign index
|
2,154,310
|
8.48
|
%
|
|||||||||
U.S. bond
|
||||||||||||
U.S. Long Bond (CBT) June 2023
|
22
|
15
|
0.00
|
%
|
||||||||
U.S. Ultra Bond CBT June 2023
|
14
|
46,154
|
0.18
|
%
|
||||||||
U.S. index
|
513,760
|
2.02
|
%
|
|||||||||
Total futures
|
4,128,387
|
16.23
|
%
|
|||||||||
Forwards
|
||||||||||||
British pound / U.S. dollar 06/21/2023
|
£ 32,378,000
|
625,879
|
2.46
|
%
|
||||||||
Other foreign currency
|
1,570,583
|
6.18
|
%
|
|||||||||
Total forwards
|
2,196,462
|
8.64
|
%
|
|||||||||
Swaps (cost $228,394)
|
||||||||||||
USD SOFR Rec 3.25% - 4.00%, 06/21/2023 - 06/21/2043
|
$ 1,590,000
|
17,898
|
0.07
|
%
|
||||||||
Other interest rate
|
(56,180
|
)
|
(0.22
|
)%
|
||||||||
Total swaps
|
(38,282
|
)
|
(0.15
|
)%
|
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
|
$
|
(1,689,303
|
)
|
(6.64
|
)%
|
|||||||
Currency
|
(12,053
|
)
|
(0.05
|
)%
|
||||||||
Foreign bond
|
(1,691,463
|
)
|
(6.65
|
)%
|
||||||||
Foreign index
|
(137,781
|
)
|
(0.54
|
)%
|
||||||||
Interest rate
|
||||||||||||
3 month SOFR June 2024
|
(572
|
)
|
(1,339,164
|
)
|
(5.27
|
)%
|
||||||
Other interest rate
|
(590,961
|
)
|
(2.32
|
)%
|
||||||||
U.S. bond
|
||||||||||||
U.S. 2 yr – 10 yr Note (CBT) June 2023
|
(592
|
)
|
(687,326
|
)
|
(2.70
|
)%
|
||||||
U.S. 5 yr Note (CBT) June 2023
|
(409
|
)
|
(1,382,426
|
)
|
(5.44
|
)%
|
||||||
U.S. index
|
(576,945
|
)
|
(2.27
|
)%
|
||||||||
Total futures
|
(8,107,422
|
)
|
(31.88
|
)%
|
||||||||
Forwards
|
||||||||||||
U.S. dollar / British pound 06/21/2023
|
$ (42,956,000
|
)
|
(1,281,649
|
)
|
(5.04
|
)%
|
||||||
Other foreign currency
|
(3,510,458
|
)
|
(13.80
|
)%
|
||||||||
Total forwards
|
(4,792,107
|
)
|
(18.84
|
)%
|
||||||||
Swaps (proceeds $199,056)
|
||||||||||||
USD SOFR Pay 3.25%, 06/21/2023 - 06/21/2033
|
$ (820,000
|
)
|
(6,505
|
)
|
(0.03
|
)%
|
||||||
Other interest rate
|
(6,218
|
)
|
(0.02
|
)%
|
||||||||
Total swaps
|
(12,723
|
)
|
(0.05
|
)%
|
||||||||
Total derivative financial instruments
|
$
|
(6,625,685
|
)
|
(26.05
|
)%
|
Graham
Commodity
Strategies LLC
|
Graham
Derivatives
Strategies LLC
|
Graham
K4D Trading Ltd.
|
||||||||||
Assets
|
||||||||||||
Level 1:
|
||||||||||||
Commodity futures
|
$
|
2,074,888
|
$
|
153,990
|
$
|
3,047,177
|
||||||
Commodity futures options
|
–
|
14,144,300
|
–
|
|||||||||
Currency futures
|
–
|
–
|
49,960
|
|||||||||
Exchange memberships*
|
7,702,635
|
322,250
|
1,795,009
|
|||||||||
Foreign bond futures
|
461,636
|
53,058
|
248,893
|
|||||||||
Foreign index futures
|
497,429
|
148,874
|
2,235,359
|
|||||||||
Interest rate futures
|
71,466
|
–
|
41,592
|
|||||||||
Interest rate futures options
|
8,051,838
|
9,603,114
|
–
|
|||||||||
U.S. bond futures
|
321,296
|
16,077
|
46,169
|
|||||||||
U.S. bond futures options
|
–
|
7,946,500
|
–
|
|||||||||
U.S. index futures
|
11,251,821
|
205,700
|
561,595
|
|||||||||
U.S. index futures options
|
160,875
|
2,538,379
|
–
|
|||||||||
Total Level 1
|
30,593,884
|
35,132,242
|
8,025,754
|
|||||||||
Level 2:
|
||||||||||||
Foreign currency forwards
|
6,042,324
|
22,194
|
2,472,058
|
|||||||||
Foreign currency futures options
|
3,535,367
|
9,774,385
|
–
|
|||||||||
Interest rate swap
|
–
|
–
|
152,410
|
|||||||||
Total Level 2
|
9,577,691
|
9,796,579
|
2,624,468
|
|||||||||
Total investment related assets
|
$
|
40,171,575
|
$
|
44,928,821
|
$
|
10,650,222
|
||||||
Liabilities
|
||||||||||||
Level 1:
|
||||||||||||
Commodity futures
|
$
|
(1,213,090
|
)
|
$
|
(21,590
|
)
|
$
|
(3,143,688
|
)
|
|||
Commodity futures options
|
–
|
(7,795,320
|
)
|
–
|
||||||||
Currency futures
|
–
|
–
|
(193,076
|
)
|
||||||||
Foreign bond futures
|
(11,916,112
|
)
|
–
|
(1,987,937
|
)
|
|||||||
Foreign index futures
|
(102,747
|
)
|
–
|
(218,830
|
)
|
|||||||
Interest rate futures
|
(33,950
|
)
|
–
|
(1,971,717
|
)
|
|||||||
Interest rate futures options
|
(6,121,588
|
)
|
(8,432,288
|
)
|
–
|
|||||||
U.S. bond futures
|
(1,279,813
|
)
|
(33,438
|
)
|
(2,069,752
|
)
|
||||||
U.S. bond futures options
|
–
|
(3,862,375
|
)
|
–
|
||||||||
U.S. index futures
|
(6,837,112
|
)
|
(91,935
|
)
|
(624,780
|
)
|
||||||
U.S. index futures options
|
–
|
(2,533,920
|
)
|
–
|
||||||||
Total Level 1
|
(27,504,412
|
)
|
(22,770,866
|
)
|
(10,209,780
|
)
|
||||||
Level 2:
|
||||||||||||
Foreign currency forwards
|
(4,308,202
|
)
|
(14,456
|
)
|
(5,067,703
|
)
|
||||||
Foreign currency futures options
|
–
|
(525,442
|
)
|
–
|
||||||||
Interest rate swap
|
–
|
–
|
(203,415
|
)
|
||||||||
Total Level 2
|
(4,308,202
|
)
|
(539,898
|
)
|
(5,271,118
|
)
|
||||||
Total investment related liabilities
|
$
|
(31,812,614
|
)
|
$
|
(23,310,764
|
)
|
$
|
(15,480,898
|
)
|
Long exposure
|
Short exposure
|
|||||||||||||||||||||||
Notional
amounts
|
Number
of
|
Notional
amounts
|
Number
of
|
Derivative
Assets
|
Derivative
Liabilities
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
206,445,150
|
1,487
|
$
|
(5,670,143
|
)
|
(94
|
)
|
$
|
2,074,888
|
$
|
(1,213,090
|
)
|
|||||||||||
206,445,150
|
1,487
|
(5,670,143
|
)
|
(94
|
)
|
2,074,888
|
(1,213,090
|
)
|
||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
167,474,110
|
813
|
(179,184,238
|
)
|
(934
|
)
|
11,749,250
|
(6,939,859
|
)
|
|||||||||||||||
Options (a)
|
–
|
66
|
(2,656,270
|
)
|
–
|
160,875
|
–
|
|||||||||||||||||
167,474,110
|
879
|
(181,840,508
|
)
|
(934
|
)
|
11,910,125
|
(6,939,859
|
)
|
||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
866,174,862
|
N/A
|
(1,238,615,818
|
)
|
N/A
|
6,042,324
|
(4,308,202
|
)
|
||||||||||||||||
Options (a)
|
54,445,163
|
14
|
(68,476,475
|
)
|
(21
|
)
|
3,535,367
|
–
|
||||||||||||||||
920,620,025
|
14
|
(1,307,092,293
|
)
|
(21
|
)
|
9,577,691
|
(4,308,202
|
)
|
||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
240,545,971
|
2,329
|
(1,621,964,984
|
)
|
(3,645
|
)
|
854,398
|
(13,229,875
|
)
|
|||||||||||||||
Options (a)
|
683,228,699
|
21,310
|
(857,586,855
|
)
|
(21,310
|
)
|
8,051,838
|
(6,121,588
|
)
|
|||||||||||||||
923,774,670
|
23,639
|
(2,479,551,839
|
)
|
(24,955
|
)
|
8,906,236
|
(19,351,463
|
)
|
||||||||||||||||
Total
|
$
|
2,218,313,955
|
26,019
|
$
|
(3,974,154,783
|
)
|
(26,004
|
)
|
$
|
32,468,940
|
$
|
(31,812,614
|
)
|
(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
|
$
|
5,892,540
|
47
|
$
|
(15,690,980
|
)
|
(79
|
)
|
$
|
153,990
|
$
|
(21,590
|
)
|
|||||||||||
Options (a)
|
217,680,281
|
3,014
|
(107,868,439
|
)
|
(2,652
|
)
|
14,144,300
|
(7,795,320
|
)
|
|||||||||||||||
223,572,821
|
3,061
|
(123,559,419
|
)
|
(2,731
|
)
|
14,298,290
|
(7,816,910
|
)
|
||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
70,825,862
|
1,045
|
(7,891,943
|
)
|
(33
|
)
|
354,574
|
(91,935
|
)
|
|||||||||||||||
Options (a)
|
44,260,250
|
3,370
|
(44,933,255
|
)
|
(3,369
|
)
|
2,538,379
|
(2,533,920
|
)
|
|||||||||||||||
115,086,112
|
4,415
|
(52,825,198
|
)
|
(3,402
|
)
|
2,892,953
|
(2,625,855
|
)
|
||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
21,819,417
|
N/A
|
(18,692,554
|
)
|
N/A
|
22,194
|
(14,456
|
)
|
||||||||||||||||
Options (a)
|
99,642,790
|
11
|
(121,610,628
|
)
|
(10
|
)
|
9,774,385
|
(525,442
|
)
|
|||||||||||||||
121,462,207
|
11
|
(140,303,182
|
)
|
(10
|
)
|
9,796,579
|
(539,898
|
)
|
||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
4,501,453
|
41
|
(102,422,539
|
)
|
(240
|
)
|
69,135
|
(33,438
|
)
|
|||||||||||||||
Options (a)
|
2,320,832,488
|
47,965
|
(1,967,245,397
|
)
|
(47,964
|
)
|
17,549,614
|
(12,294,663
|
)
|
|||||||||||||||
2,325,333,941
|
48,006
|
(2,069,667,936
|
)
|
(48,204
|
)
|
17,618,749
|
(12,328,101
|
)
|
||||||||||||||||
Total
|
$
|
2,785,455,081
|
55,493
|
$
|
(2,386,355,735
|
)
|
(54,347
|
)
|
$
|
44,606,571
|
$
|
(23,310,764
|
)
|
(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
|
$
|
82,345,644
|
1,174
|
$
|
(68,691,378
|
)
|
(1,243
|
)
|
$
|
3,047,177
|
$
|
(3,143,688
|
)
|
|||||||||||
82,345,644
|
1,174
|
(68,691,378
|
)
|
(1,243
|
)
|
3,047,177
|
(3,143,688
|
)
|
||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
116,513,220
|
1,132
|
(26,061,532
|
)
|
(257
|
)
|
2,796,954
|
(843,610
|
)
|
|||||||||||||||
116,513,220
|
1,132
|
(26,061,532
|
)
|
(257
|
)
|
2,796,954
|
(843,610
|
)
|
||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
222,914,885
|
N/A
|
(353,277,093
|
)
|
N/A
|
2,472,058
|
(5,067,703
|
)
|
||||||||||||||||
Futures
|
8,005,302
|
73
|
(1,244,309
|
)
|
(18
|
)
|
49,960
|
(193,076
|
)
|
|||||||||||||||
230,920,187
|
73
|
(354,521,402
|
)
|
(18
|
)
|
2,522,018
|
(5,260,779
|
)
|
||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
22,023,346
|
186
|
(684,386,638
|
)
|
(3,358
|
)
|
336,654
|
(6,029,406
|
)
|
|||||||||||||||
Swaps
|
15,689,406
|
48
|
(11,976,873
|
)
|
(42
|
)
|
152,410
|
(203,415
|
)
|
|||||||||||||||
37,712,752
|
234
|
(696,363,511
|
)
|
(3,400
|
)
|
489,064
|
(6,232,821
|
)
|
||||||||||||||||
Total
|
$
|
467,491,803
|
2,613
|
$
|
(1,145,637,823
|
)
|
(4,918
|
)
|
$
|
8,855,213
|
$
|
(15,480,898
|
)
|
Description
|
Gross
Amount
|
Gross Amount
Offset in
the Statements
of Financial
Condition
|
Net Amount
Presented in
the Statements
of Financial
Condition
|
Collateral
(Received) /
Pledged
|
Net Amount
|
|||||||||||||||
Graham Commodity Strategies LLC1
|
||||||||||||||||||||
Derivative assets
|
$
|
32,468,940
|
$
|
(27,199,451
|
)
|
$
|
5,269,489
|
$
|
–
|
$
|
5,269,489
|
|||||||||
Derivative liabilities
|
$
|
(31,812,614
|
)
|
$
|
27,199,451
|
$
|
(4,613,163
|
)
|
$
|
4,613,163
|
$
|
–
|
||||||||
Graham Derivatives Strategies LLC2
|
||||||||||||||||||||
Derivative assets
|
$
|
44,606,571
|
$
|
(23,310,764
|
)
|
$
|
21,295,807
|
$
|
–
|
$
|
21,295,807
|
|||||||||
Derivative liabilities
|
$
|
(23,310,764
|
)
|
$
|
23,310,764
|
$
|
–
|
$
|
–
|
$
|
–
|
|||||||||
Graham K4D Trading Ltd.3
|
||||||||||||||||||||
Derivative assets
|
$
|
8,855,213
|
$
|
(8,855,213
|
)
|
$
|
–
|
$
|
–
|
$
|
–
|
|||||||||
Derivative liabilities
|
$
|
(15,480,898
|
)
|
$
|
8,855,213
|
$
|
(6,625,685
|
)
|
$
|
5,283,373
|
$
|
(1,342,312
|
)
|
Graham
Commodity
Strategies LLC
|
Graham
Derivatives
Strategies LLC
|
Graham K4D
Trading Ltd.
|
||||||||||
Net investment income
|
$
|
1,133,816
|
$
|
192,123
|
$
|
307,533
|
||||||
Net realized gain (loss) on investments
|
33,353,429
|
(5,212,467
|
)
|
(1,599,156
|
)
|
|||||||
Net decrease in unrealized appreciation on investments
|
(41,831,166
|
)
|
(22,189,131
|
)
|
(7,854,053
|
)
|
||||||
Brokerage commissions and fees
|
(421,231
|
)
|
(1,520,610
|
)
|
(64,539
|
)
|
||||||
Net loss on investments
|
(8,898,968
|
)
|
(28,922,208
|
)
|
(9,517,748
|
)
|
||||||
Net loss
|
$
|
(7,765,152
|
)
|
$
|
(28,730,085
|
)
|
$
|
(9,210,215
|
)
|
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 decrease in
unrealized
appreciation on
investments
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
5,682,543
|
$
|
(1,602,173
|
)
|
$
|
400,350
|
$
|
76,950
|
$
|
(7,252,570
|
)
|
$
|
(4,233,476
|
)
|
|||||||||
Options
|
–
|
–
|
(969,870
|
)
|
94,360
|
–
|
–
|
|||||||||||||||||
5,682,543
|
(1,602,173
|
)
|
(569,520
|
)
|
171,310
|
(7,252,570
|
)
|
(4,233,476
|
)
|
|||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
10,241,344
|
(1,271,375
|
)
|
(2,079,642
|
)
|
283,691
|
(3,529,516
|
)
|
11,775,990
|
|||||||||||||||
Options
|
90,575
|
(44,412
|
)
|
385,237
|
(2,101,545
|
)
|
–
|
–
|
||||||||||||||||
10,331,919
|
(1,315,787
|
)
|
(1,694,405
|
)
|
(1,817,854
|
)
|
(3,529,516
|
)
|
11,775,990
|
|||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
(6,298,336
|
)
|
1,917,095
|
(330,620
|
)
|
42,550
|
4,521,274
|
(4,234,389
|
)
|
|||||||||||||||
Futures
|
–
|
–
|
–
|
–
|
105,358
|
(95,076
|
)
|
|||||||||||||||||
Options
|
2,315,977
|
(4,572,080
|
)
|
(137,521
|
)
|
(12,794,002
|
)
|
–
|
–
|
|||||||||||||||
(3,982,359
|
)
|
(2,654,985
|
)
|
(468,141
|
)
|
(12,751,452
|
)
|
4,626,632
|
(4,329,465
|
)
|
||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
29,718,604
|
(30,683,437
|
)
|
(1,525,487
|
)
|
(1,018,246
|
)
|
4,189,029
|
(11,054,144
|
)
|
||||||||||||||
Options
|
–
|
486,214
|
(4,146,899
|
)
|
(5,853,847
|
)
|
–
|
–
|
||||||||||||||||
Swaps
|
–
|
–
|
–
|
–
|
(21,709
|
)
|
(111,189
|
)
|
||||||||||||||||
29,718,604
|
(30,197,223
|
)
|
(5,672,386
|
)
|
(6,872,093
|
)
|
4,167,320
|
(11,165,333
|
)
|
|||||||||||||||
Total
|
$
|
41,750,707
|
$
|
(35,770,168
|
)
|
$
|
(8,404,452
|
)
|
$
|
(21,270,089
|
)
|
$
|
(1,988,134
|
)
|
$
|
(7,952,284
|
)
|
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
|
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 futures
|
(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 (loss)
|
$
|
(23,712
|
)
|
$
|
(7,356
|
)
|
$
|
(48,943
|
)
|
|||
Net realized gain on investments
|
144,656,787
|
38,532,105
|
53,812,899
|
|||||||||
Net increase in unrealized appreciation on investments
|
14,730,006
|
2,824,706
|
16,436,025
|
|||||||||
Brokerage commissions and fees
|
(625,371
|
)
|
(1,276,352
|
)
|
(56,464
|
)
|
||||||
Net gain on investments
|
158,761,422
|
40,080,459
|
70,192,460
|
|||||||||
Net income
|
$
|
158,737,710
|
$
|
40,073,103
|
$
|
70,143,517
|
Graham Commodity
Strategies LLC
|
Graham Derivatives
Strategies LLC
|
Graham K4D
Trading Ltd.
|
||||||||||||||||||||||
Net realized
gain
|
Net increase
in
unrealized
appreciation
on
investments
|
Net realized
gain
|
Net increase
in
unrealized
appreciation
on
investments
|
Net realized
gain
|
Net increase
in
unrealized
appreciation
on
investments
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
18,102,753
|
$
|
(1,671,707
|
)
|
$
|
(1,236,718
|
)
|
$
|
(34,290
|
)
|
$
|
63,361,165
|
$
|
1,574,247
|
|||||||||
Options
|
(157,305
|
)
|
1,168,986
|
(2,528,020
|
)
|
3,549,874
|
–
|
–
|
||||||||||||||||
Swaps
|
(5,991,484
|
)
|
280,016
|
–
|
–
|
–
|
–
|
|||||||||||||||||
11,953,964
|
(222,705
|
)
|
(3,764,738
|
)
|
3,515,584
|
63,361,165
|
1,574,247
|
|||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
38,424,050
|
(2,223,405
|
)
|
6,526,724
|
(25,055
|
)
|
(1,956,448
|
)
|
3,029,701
|
|||||||||||||||
Options
|
(798,825
|
)
|
926,955
|
(285,750
|
)
|
(144,563
|
)
|
–
|
–
|
|||||||||||||||
37,625,225
|
(1,296,450
|
)
|
6,240,974
|
(169,618
|
)
|
(1,956,448
|
)
|
3,029,701
|
||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
8,434,107
|
8,843,892
|
10,929,400
|
410,745
|
1,348,014
|
4,868,047
|
||||||||||||||||||
Futures
|
–
|
–
|
–
|
–
|
278,285
|
106,125
|
||||||||||||||||||
Options
|
(2,890,682
|
)
|
3,508,496
|
345,448
|
(1,785,041
|
)
|
–
|
–
|
||||||||||||||||
5,543,425
|
12,352,388
|
11,274,848
|
(1,374,296
|
)
|
1,626,299
|
4,974,172
|
||||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
86,690,737
|
1,654,915
|
14,920,094
|
404,170
|
(9,218,117
|
)
|
6,687,138
|
|||||||||||||||||
Options
|
2,843,436
|
1,823,686
|
9,860,927
|
448,866
|
–
|
–
|
||||||||||||||||||
89,534,173
|
3,478,601
|
24,781,021
|
853,036
|
(9,218,117
|
)
|
6,687,138
|
||||||||||||||||||
Total
|
$
|
144,656,787
|
$
|
14,311,834
|
$
|
38,532,105
|
$
|
2,824,706
|
$
|
53,812,899
|
$
|
16,265,258
|
Assets:
|
||||||||
Cash and cash equivalents
|
$
|
445,841,435
|
$
|
634,147,957
|
||||
Investments in fixed income securities (amortized cost $5,412,582,091 and $5,669,408,769, respectively)
|
5,412,582,091
|
5,669,408,769
|
||||||
Interest receivable
|
3,819,181
|
5,501,621
|
||||||
Total assets
|
5,862,242,707
|
6,309,058,347
|
||||||
|
||||||||
Liabilities:
|
||||||||
Due to broker
|
6,104
|
7,815
|
||||||
Total liabilities
|
6,104
|
7,815
|
||||||
Members’ capital
|
$
|
5,862,236,603
|
$
|
6,309,050,532
|
2023
|
2022
|
|||||||
Investment income
|
||||||||
Interest income
|
$
|
38,777,148
|
$
|
2,909,295
|
||||
|
||||||||
Expenses:
|
||||||||
Bank fee expense
|
153,013
|
94,559
|
||||||
Total expenses
|
153,013
|
94,559
|
||||||
Net investment income
|
38,624,135
|
2,814,736
|
||||||
Net income
|
$
|
38,624,135
|
$
|
2,814,736
|
Description
|
Principal
Amount
|
Fair Value
|
Percentage of
Members’
Capital
|
||||||||
Investments in Fixed Income Securities (amortized cost $5,412,582,091)
|
|||||||||||
United States
|
|||||||||||
Government Bonds (amortized cost $5,013,243,588)
|
|||||||||||
U.S. Treasury bond 0.13% due 04/30/2023
|
$
|
300,000,000
|
$
|
299,977,647
|
5.12%
|
|
|||||
U.S. Treasury bond 0.13% due 06/30/2023
|
300,000,000
|
298,095,585
|
5.09%
|
|
|||||||
U.S. Treasury bond 0.25% due 09/30/2023
|
350,000,000
|
343,550,666
|
5.86%
|
|
|||||||
U.S. Treasury bonds 0.13% – 1.50% due 04/15/2023 – 03/15/2024
|
4,150,000,000
|
4,071,619,690
|
69.45%
|
|
|||||||
Total Government Bonds
|
5,013,243,588
|
85.52%
|
|
||||||||
Treasury Bills (amortized cost $399,338,503)
|
|||||||||||
U.S. Treasury bill 0.00% due 04/04/2023 – 04/25/2023
|
400,000,000
|
399,338,503
|
6.81%
|
|
|||||||
Total Treasury Bills
|
399,338,503
|
6.81%
|
|
||||||||
Total United States
|
5,412,582,091
|
92.33%
|
|
||||||||
Total Investments in Fixed Income Securities
|
$
|
5,412,582,091
|
92.33%
|
|
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
|
$
|
5,013,243,588
|
$
|
5,470,052,935
|
||||
Treasury bills
|
399,338,503
|
199,355,834
|
||||||
Total fixed income securities
|
5,412,582,091
|
5,669,408,769
|
||||||
Total Level 2
|
5,412,582,091
|
5,669,408,769
|
||||||
Total assets
|
$
|
5,412,582,091
|
$
|
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, December 31, 2021
|
$
|
176.27
|
$
|
125.68
|
||||
Net income:
|
||||||||
Net investment loss
|
(5.52
|
)
|
(4.04
|
)
|
||||
Net gain on investments
|
30.00
|
21.38
|
||||||
Net income
|
24.48
|
17.34
|
||||||
Net asset value per Unit, March 31, 2022
|
$
|
200.75
|
$
|
143.02
|
||||
Net asset value per Unit, December 31, 2022
|
$
|
224.59
|
$
|
159.22
|
||||
Net loss:
|
||||||||
Net investment income (loss)
|
0.19
|
(0.16
|
)
|
|||||
Net loss on investments
|
(5.57
|
)
|
(3.94
|
)
|
||||
Net loss
|
(5.38
|
)
|
(4.10
|
)
|
||||
Net asset value per Unit, March 31, 2023
|
$
|
219.21
|
$
|
155.12
|
Class 0
|
Class 2
|
|||||||||||||||||
2023
|
2022
|
2023
|
2022
|
|||||||||||||||
Total return before Incentive Allocation
|
(2.40
|
)%
|
16.36
|
%
|
(2.58
|
)%
|
16.14
|
%
|
||||||||||
Incentive Allocation
|
(0.00
|
)
|
(2.48
|
)
|
0.00
|
(2.34
|
)
|
|||||||||||
Total return after Incentive Allocation
|
(2.40
|
)%
|
13.88
|
%
|
(2.58
|
)%
|
13.80
|
%
|
||||||||||
Net investment income (loss) before Incentive Allocation
|
0.09
|
%
|
(0.63
|
)%
|
(0.10
|
)%
|
(0.82
|
)%
|
||||||||||
Incentive Allocation
|
(0.00
|
)
|
(2.30
|
)
|
0.00
|
(2.18
|
)
|
|||||||||||
Net investment income (loss) after Incentive Allocation
|
0.09
|
%
|
(2.93
|
)%
|
(0.10
|
)%
|
(3.00
|
)%
|
||||||||||
Total expenses before Incentive Allocation
|
0.57
|
%
|
0.67
|
%
|
0.76
|
%
|
0.86
|
%
|
||||||||||
Incentive Allocation
|
0.00
|
2.30
|
0.00
|
2.18
|
||||||||||||||
Total expenses after Incentive Allocation
|
0.57
|
%
|
2.97
|
%
|
0.76
|
%
|
3.04
|
%
|
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
|
$
|
(560
|
)
|
|
Base Metals
|
(8,898
|
)
|
||
Energy
|
(304,502
|
)
|
||
Equities
|
344,244
|
|||
Foreign Exchange
|
(306,662
|
)
|
||
Long Term / Intermediate Rates
|
(384,639
|
)
|
||
Precious Metals
|
(39,684
|
)
|
||
Short Term Rates
|
7,728
|
|||
$
|
(692,973
|
)
|
Agriculture / Softs
|
(16.3
|
)%
|
||
Base Metals
|
13.4
|
%
|
||
Energy
|
(3.9
|
)%
|
||
Equities
|
256.2
|
%
|
||
Foreign Exchange
|
297.8
|
%
|
||
Long Term / Intermediate Rates
|
(624.2
|
)%
|
||
Precious Metals
|
61.0
|
%
|
||
Short Term Rates
|
116.0
|
%
|
||
100.0
|
%
|
Agriculture / Softs
|
$
|
257,184
|
||
Base Metals
|
121,490
|
|||
Commodity Mix
|
(63,403
|
)
|
||
Energy
|
1,624,971
|
|||
Equities
|
541,905
|
|||
Foreign Exchange
|
493,252
|
|||
Long Term / Intermediate Rates
|
833,571
|
|||
Precious Metals
|
56,930
|
|||
Short Term Rates
|
441,987
|
|||
$
|
4,307,887
|
Agriculture / Softs
|
9.4
|
%
|
||
Base Metals
|
6.5
|
%
|
||
Energy
|
4.2
|
%
|
||
Equities
|
(5.1
|
)%
|
||
Foreign Exchange
|
38.2
|
%
|
||
Long Term / Intermediate Rates
|
14.7
|
%
|
||
Precious Metals
|
4.7
|
%
|
||
Short Term Rates
|
27.4
|
%
|
||
100.0
|
%
|
Core Macro
Portfolio
|
|||
7.91%
|
|
||
9.33%
|
|
||
6.92%
|
|
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
|
January 1 – January 31, 2023
|
‑
|
February 1 – February 28, 2023
|
781.064
|
March 1 – March 31, 2023
|
‑
|
TOTAL
|
781.064
|
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
|
||||||||||||
January 1 – January 31, 2023
|
‑
|
$
|
‑ |
N/A
|
N/A
|
|||||||||||
February 1 – February 28, 2023
|
‑
|
$
|
‑ |
N/A
|
N/A
|
|||||||||||
March 1 – March 31, 2023
|
342.140
|
$
|
219.21
|
N/A
|
N/A
|
|||||||||||
TOTAL
|
342.140
|
$
|
219.21
|
N/A
|
N/A
|
Item 3. |
Defaults Upon Senior Securities – None
|
Item 4. |
Mine Safety Disclosures – None
|
Item 5. |
Other Information – None
|
Item 6. |
Exhibits
|
Certificate of Formation of Graham Alternative Investment Fund I LLC
|
|
Amendment to Certificate of Formation of Graham Alternative Investment Fund I LLC
|
|
Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC dated March 28, 2013
|
|
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: May 15, 2023
|
GRAHAM ALTERNATIVE INVESTMENT FUND I LLC
CORE MACRO PORTFOLIO
|
||
By: |
GRAHAM CAPITAL MANAGEMENT, L.P.
its Manager
|
By: | /s/ |
Brian Douglas
|
||
Brian Douglas, Principal Executive Officer
|
||||
By: | /s/ | George Schrade | ||
George Schrade, Principal Financial Officer
|
This ‘10-Q’ Filing | Date | Other Filings | ||
---|---|---|---|---|
Filed on: | 5/15/23 | |||
5/1/23 | ||||
4/1/23 | ||||
For Period end: | 3/31/23 | 10-K | ||
2/28/23 | ||||
1/31/23 | ||||
12/31/22 | 10-K | |||
5/10/22 | 8-K | |||
5/2/22 | ||||
3/31/22 | 10-Q | |||
1/14/22 | ||||
12/31/21 | 10-K | |||
3/31/21 | 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 |