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As Of Filer Filing For·On·As Docs:Size Issuer Filing Agent 5/15/20 Graham Alternative Inv Fund I LLC 10-Q 3/31/20 35:3M Broadridge Fin’l So… Inc |
Document/Exhibit Description Pages Size 1: 10-Q Quarterly Report HTML 835K 2: EX-31.1 Certification -- §302 - SOA'02 HTML 18K 3: EX-31.2 Certification -- §302 - SOA'02 HTML 18K 4: EX-32.1 Certification -- §906 - SOA'02 HTML 14K 17: R1 Document and Entity Information HTML 43K 27: R2 Statements of Financial Condition (Unaudited) HTML 40K 35: R3 Statements of Financial Condition (Unaudited) HTML 22K (Parenthetical) 20: R4 Statements of Operations (Unaudited) HTML 47K 16: R5 Statements of Changes in Members' Capital HTML 40K (Unaudited) 26: R6 Statements of Cash Flows (Unaudited) HTML 42K 34: R7 Organization and Business HTML 21K 21: R8 Summary of Significant Accounting Policies HTML 22K 15: R9 Capital Accounts HTML 17K 12: R10 Fees and Related Party Transactions HTML 19K 22: R11 Income Taxes HTML 17K 31: R12 Financial Highlights HTML 51K 28: R13 Subsequent Events HTML 15K 13: R14 Summary of Significant Accounting Policies HTML 35K (Policies) 23: R15 Fees and Related Party Transactions (Tables) HTML 15K 32: R16 Financial Highlights (Tables) HTML 52K 29: R17 Organization and Business (Details) HTML 14K 11: R18 Summary of Significant Accounting Policies HTML 16K (Details) 24: R19 Capital Accounts (Details) HTML 29K 33: R20 Fees and Related Party Transactions (Details) HTML 36K 25: R21 Financial Highlights (Details) HTML 55K 18: R22 Subsequent Events (Details) HTML 16K 19: XML IDEA XML File -- Filing Summary XML 54K 14: EXCEL IDEA Workbook of Financial Reports XLSX 28K 5: EX-101.INS XBRL Instance -- gaif-20200331 XML 318K 7: EX-101.CAL XBRL Calculations -- gaif-20200331_cal XML 62K 8: EX-101.DEF XBRL Definitions -- gaif-20200331_def XML 193K 9: EX-101.LAB XBRL Labels -- gaif-20200331_lab XML 539K 10: EX-101.PRE XBRL Presentations -- gaif-20200331_pre XML 309K 6: EX-101.SCH XBRL Schema -- gaif-20200331 XSD 71K 30: ZIP XBRL Zipped Folder -- 0001140361-20-011710-xbrl Zip 55K
Delaware
|
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 ☐
|
Non-accelerated filer ☐
|
Smaller reporting company ☒
|
Emerging Growth company ☐
|
Page
Number
|
|||
|
|||
PART I - Financial Information:
|
|||
Item 1.
|
Financial Statements:
|
||
Graham Alternative Investment Fund I LLC Blended Strategies Portfolio
|
|||
1
|
|||
2
|
|||
3
|
|||
4
|
|||
5
|
|||
Graham Alternative Investment Trading LLC
|
|||
12
|
|||
13
|
|||
14
|
|||
15
|
|||
16
|
|||
17
|
|||
Item 2.
|
51
|
||
Item 3.
|
57
|
||
Item 4.
|
58
|
||
59
|
|||
60 | |||
Certification
|
|||
Certification
|
|||
Certification
|
Item 1. |
(Unaudited)
|
(Audited)
|
|||||||
Assets
|
||||||||
Investment in Graham Alternative Investment Trading LLC, at fair value
|
$
|
27,646,893
|
$
|
26,882,563
|
||||
Redemptions receivable from Graham Alternative Investment Trading LLC
|
89,953
|
144,707
|
||||||
Total assets
|
$
|
27,736,846
|
$
|
27,027,270
|
||||
Liabilities and members’ capital
|
||||||||
Liabilities:
|
||||||||
Redemptions payable
|
$
|
89,953
|
$
|
144,707
|
||||
Total liabilities
|
89,953
|
144,707
|
||||||
Members’ capital:
|
||||||||
Class 0 Units (101,607.120 and 103,946.549 units issued and outstanding at $159.32 and $152.04, respectively)
|
16,187,657
|
15,804,368
|
||||||
Class 2 Units (100,702.524 and 102,244.827 units issued and outstanding at $113.79 and $108.35, respectively)
|
11,459,236
|
11,078,195
|
||||||
Total members’ capital
|
27,646,893
|
26,882,563
|
||||||
Total liabilities and members’ capital
|
$
|
27,736,846
|
$
|
27,027,270
|
Three Months Ended
|
||||||||
2019
|
||||||||
Net gain allocated from investment in Graham Alternative Investment Trading LLC:
|
||||||||
Net realized gain (loss) on investment
|
$
|
576,045
|
$
|
(261,113
|
)
|
|||
Net increase in unrealized appreciation on investment
|
909,803
|
338,505
|
||||||
Brokerage commissions and fees
|
(49,215
|
)
|
(53,139
|
)
|
||||
Net gain allocated from investment in Graham Alternative Investment Trading LLC
|
1,436,633
|
24,253
|
||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC:
|
||||||||
Investment income:
|
||||||||
Interest income
|
104,755
|
147,266
|
||||||
Expenses:
|
||||||||
Advisory fees
|
99,742
|
111,805
|
||||||
Incentive allocation
|
67,842
|
–
|
||||||
Sponsor fees
|
53,811
|
59,857
|
||||||
Professional fees
|
26,699
|
31,769
|
||||||
Administrator’s fees
|
8,445
|
10,132
|
||||||
Interest expense
|
1,618
|
1,587
|
||||||
Total expenses
|
258,157
|
215,150
|
||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC
|
(153,402
|
)
|
(67,884
|
)
|
||||
Net income (loss)
|
$
|
1,283,231
|
$
|
(43,631
|
)
|
Class 0 Units
|
Class 2 Units
|
|||||||||||||||||||
Units
|
Capital
|
Units
|
Capital
|
Total Members’
Capital
|
||||||||||||||||
Members’ capital, December 31, 2018
|
137,453.802
|
$
|
18,378,136
|
134,750.838
|
$
|
12,936,828
|
$
|
31,314,964
|
||||||||||||
Subscriptions
|
564.711
|
75,000
|
–
|
–
|
75,000
|
|||||||||||||||
Redemptions
|
(11,007.395
|
)
|
(1,465,554
|
)
|
(15,884.948
|
)
|
(1,509,226
|
)
|
(2,974,780
|
)
|
||||||||||
Net loss
|
–
|
(6,281
|
)
|
–
|
(37,350
|
)
|
(43,631
|
)
|
||||||||||||
Members’ capital, March 31, 2019
|
127,011.118
|
$
|
16,981,301
|
118,865.890
|
$
|
11,390,252
|
$
|
28,371,553
|
Class 0 Units
|
Class 2 Units
|
|||||||||||||||||||
Units
|
Capital
|
Units
|
Capital
|
Total Members’
Capital
|
||||||||||||||||
Members’ capital, December 31, 2019
|
103,946.549
|
$
|
15,804,368
|
102,244.827
|
$
|
11,078,195
|
$
|
26,882,563
|
||||||||||||
Subscriptions
|
–
|
–
|
–
|
–
|
–
|
|||||||||||||||
Redemptions
|
(2,339.429
|
)
|
(355,086
|
)
|
(1,542.303
|
)
|
(163,815
|
)
|
(518,901
|
)
|
||||||||||
Net income
|
–
|
738,375
|
–
|
544,856
|
1,283,231
|
|||||||||||||||
Members’ capital, March 31, 2020
|
101,607.120
|
$
|
16,187,657
|
100,702.524
|
$
|
11,459,236
|
$
|
27,646,893
|
Three Months Ended
|
||||||||
2019
|
||||||||
Cash flows provided by operating activities
|
||||||||
Net income (loss)
|
$
|
1,283,231
|
$
|
(43,631
|
)
|
|||
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
|
||||||||
Net (income) loss allocated from investment in Graham Alternative Investment Trading LLC
|
(1,283,231
|
)
|
43,631
|
|||||
Proceeds from sale of investment in Graham Alternative Investment Trading LLC
|
573,655
|
2,432,706
|
||||||
Purchases of investment in Graham Alternative Investment Trading LLC
|
–
|
(75,000
|
)
|
|||||
Net cash provided by operating activities
|
573,655
|
2,357,706
|
||||||
Cash flows used in financing activities
|
||||||||
Subscriptions
|
–
|
75,000
|
||||||
Redemptions
|
(573,655
|
)
|
(2,432,706
|
)
|
||||
Net cash used in financing activities
|
(573,655
|
)
|
(2,357,706
|
)
|
||||
Net change in cash and cash equivalents
|
–
|
–
|
||||||
Cash and cash equivalents, beginning of period
|
–
|
–
|
||||||
Cash and cash equivalents, end of period
|
$
|
–
|
$
|
–
|
• |
Level 1 inputs are unadjusted closing or settlement prices for such assets or liabilities as published by the primary exchange upon which they are traded.
|
• |
Level 2 inputs include quoted prices for similar assets and liabilities obtained from independent brokers and/or market makers in each security.
|
• |
Level 3 inputs are those which are considered unobservable and are significant in arriving at fair value.
|
Class 0
|
Class 2
|
0.50%
|
1.25%
|
Class 0
|
Class 2
|
|||||||
Per unit operating performance
|
||||||||
Net asset value per Unit, December 31, 2018
|
$
|
133.70
|
$
|
96.01
|
||||
Net loss:
|
||||||||
Net investment loss
|
(0.20
|
)
|
(0.33
|
)
|
||||
Net gain on investments
|
0.20
|
0.14
|
||||||
Net loss
|
0.00
|
(0.19
|
)
|
|||||
Net asset value per Unit, March 31, 2019
|
$
|
133.70
|
$
|
95.82
|
||||
Net asset value per Unit, December 31, 2019
|
$
|
152.04
|
$
|
108.35
|
||||
Net income:
|
||||||||
Net investment loss
|
(1.03
|
)
|
(0.47
|
)
|
||||
Net gain on investments
|
8.31
|
5.91
|
||||||
Net income
|
7.28
|
5.44
|
||||||
Net asset value per Unit, March 31, 2020
|
$
|
159.32
|
$
|
113.79
|
Class 0
|
Class 2
|
||||||||
2020
|
2019
|
2020
|
2019
|
||||||
Total return before Incentive Allocation
|
5.21%
|
0.00%
|
5.02%
|
(0.20)%
|
|
||||
Incentive Allocation
|
(0.43)
|
0.00
|
0.00
|
0.00
|
|||||
Total return after Incentive Allocation
|
4.78%
|
0.00%
|
5.02%
|
(0.20)%
|
|
||||
Net investment loss before Incentive Allocation
|
(0.25)%
|
(0.15)%
|
(0.43)%
|
(0.34)%
|
|
||||
Incentive Allocation
|
(0.43)
|
0.00
|
0.00
|
0.00
|
|||||
Net investment loss after Incentive Allocation
|
(0.68)%
|
(0.15)%
|
(0.43)%
|
(0.34)%
|
|
||||
Total expenses before Incentive Allocation
|
0.64%
|
0.65%
|
0.83%
|
0.84%
|
|
||||
Incentive Allocation
|
0.43
|
0.00
|
0.00
|
0.00
|
|||||
Total expenses after Incentive Allocation
|
1.07%
|
0.65%
|
0.83%
|
0.84%
|
|
(Unaudited)
|
(Audited)
|
|||||||
Assets
|
||||||||
Cash and cash equivalents
|
$
|
53
|
$
|
–
|
||||
Investments in Master Funds, at fair value
|
4,888,425
|
7,251,243
|
||||||
Investment in Graham Cash Assets LLC, at fair value
|
52,823,943
|
48,977,607
|
||||||
Receivable from Master Funds
|
–
|
167
|
||||||
Total assets
|
$
|
57,712,421
|
$
|
56,229,017
|
||||
Liabilities and members’ capital
|
||||||||
Liabilities:
|
||||||||
Redemptions payable
|
$
|
774,646
|
$
|
386,119
|
||||
Accrued professional fees
|
114,025
|
195,023
|
||||||
Accrued advisory fees
|
71,412
|
69,712
|
||||||
Accrued sponsor fees
|
38,189
|
37,281
|
||||||
Accrued administrator’s fee
|
6,198
|
6,032
|
||||||
Payable to Master Funds
|
519
|
195
|
||||||
Total liabilities
|
1,004,989
|
694,362
|
||||||
Members’ capital:
|
||||||||
Class 0 Units (207,796.269 and 213,162.414 units issued and outstanding at $159.32 and $152.04 per unit, respectively)
|
33,105,301
|
32,409,897
|
||||||
Class 2 Units (195,258.141 and 201,355.180 units issued and outstanding at $113.79 and $108.35 per unit, respectively)
|
22,218,992
|
21,816,766
|
||||||
Class M Units (4,671.470 units issued and outstanding at $296.08 and $279.99 per unit, respectively)
|
1,383,139
|
1,307,992
|
||||||
Total members’ capital
|
56,707,432
|
55,534,655
|
||||||
Total liabilities and members’ capital
|
$
|
57,712,421
|
$
|
56,229,017
|
(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
|
$
|
2,397,479
|
4.23%
|
|
$
|
3,714,431
|
6.69%
|
|
||||||
Graham K4D Trading Ltd.
|
2,490,946
|
4.39%
|
|
3,536,812
|
6.37%
|
|
||||||||
Total investments in Master Funds
|
$
|
4,888,425
|
8.62%
|
|
$
|
7,251,243
|
13.06%
|
|
Three Months Ended
|
||||||||
2019
|
||||||||
Net gain allocated from investments in Master Funds:
|
||||||||
Net realized gain (loss) on investments
|
$
|
1,191,386
|
$
|
(512,037
|
)
|
|||
Net increase in unrealized appreciation on investments
|
1,879,868
|
678,788
|
||||||
Brokerage commissions and fees
|
(101,748
|
)
|
(103,761
|
)
|
||||
Net gain allocated from investments in Master Funds
|
2,969,506
|
62,990
|
||||||
Net investment income allocated from investments in Master Funds
|
17,733
|
25,584
|
||||||
Investment income:
|
||||||||
Interest income
|
198,834
|
261,666
|
||||||
Total investment income
|
198,834
|
261,666
|
||||||
Expenses:
|
||||||||
Advisory fees
|
201,293
|
213,900
|
||||||
Sponsor fees
|
107,597
|
113,970
|
||||||
Professional fees
|
55,179
|
62,070
|
||||||
Administrator’s fee
|
17,460
|
19,758
|
||||||
Interest expense
|
3,344
|
3,095
|
||||||
Total expenses
|
384,873
|
412,793
|
||||||
Net investment loss of the Fund
|
(186,039
|
)
|
(151,127
|
)
|
||||
Net income (loss)
|
2,801,200
|
(62,553
|
)
|
|||||
Incentive allocation
|
(139,069
|
)
|
-
|
|||||
Net income (loss) available for pro-rata allocation to all members
|
$
|
2,662,131
|
$
|
(62,553
|
)
|
Class 0
|
Class 2
|
Class M
|
Total
Capital
|
|||||||||||||||||||||||||
Units
|
Capital
|
Units
|
Capital
|
Units
|
Capital
|
|||||||||||||||||||||||
Members’ capital, December 31, 2018
|
263,114.613
|
$
|
35,179,498
|
251,175.400
|
$
|
24,114,225
|
4,671.470
|
$
|
1,127,501
|
$
|
60,421,224
|
|||||||||||||||||
Subscriptions
|
2,447.080
|
325,000
|
775.525
|
73,500
|
–
|
–
|
398,500
|
|||||||||||||||||||||
Redemptions
|
(15,238.411
|
)
|
(2,029,083
|
)
|
(23,162.529
|
)
|
(2,203,496
|
)
|
–
|
–
|
(4,232,579
|
)
|
||||||||||||||||
Incentive allocation
|
–
|
–
|
–
|
–
|
–
|
–
|
–
|
|||||||||||||||||||||
Net (loss) income
|
–
|
(7,364
|
)
|
–
|
(60,726
|
)
|
–
|
5,537
|
(62,553
|
)
|
||||||||||||||||||
Members’ capital, March 31, 2019
|
250,323.282
|
$
|
33,468,051
|
228,788.396
|
$
|
21,923,503
|
4,671.470
|
$
|
1,133,038
|
$
|
56,524,592
|
Class 0
|
Class 2
|
Class M
|
Total
Capital |
|||||||||||||||||||||||||
Units
|
Capital
|
Units
|
Capital
|
Units
|
Capital
|
|||||||||||||||||||||||
Members’ capital, December 31, 2019
|
213,162.414
|
$
|
32,409,897
|
201,355.180
|
$
|
21,816,766
|
4,671.470
|
$
|
1,307,992
|
$
|
55,534,655
|
|||||||||||||||||
Subscriptions
|
–
|
–
|
–
|
–
|
–
|
–
|
–
|
|||||||||||||||||||||
Redemptions
|
(5,366.145
|
)
|
(816,202
|
)
|
(6,097.039
|
)
|
(673,152
|
)
|
–
|
(139,069
|
)
|
(1,628,423
|
)
|
|||||||||||||||
Incentive allocation
|
–
|
(139,069
|
)
|
–
|
–
|
–
|
139,069
|
–
|
||||||||||||||||||||
Net income
|
–
|
1,650,675
|
–
|
1,075,378
|
–
|
75,147
|
2,801,200
|
|||||||||||||||||||||
Members’ capital, March 31, 2020
|
207,796.269
|
$
|
33,105,301
|
195,258.141
|
$
|
22,218,992
|
4,671.470
|
$
|
1,383,139
|
$
|
56,707,432
|
Three Months Ended March 31,
|
||||||||
2019
|
||||||||
Cash flows provided by operating activities
|
||||||||
Net income (loss)
|
$
|
2,801,200
|
$
|
(62,553
|
)
|
|||
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
|
||||||||
Net (income) allocated from investments in Master Funds
|
(2,987,239
|
)
|
(88,574
|
)
|
||||
Net (income) allocated from investment in Graham Cash Assets LLC
|
(198,834
|
)
|
(261,666
|
)
|
||||
Proceeds from sale of investments in Master Funds
|
19,043,220
|
16,696,438
|
||||||
Proceeds from sale of investment in Graham Cash Assets LLC
|
9,733,960
|
15,919,947
|
||||||
Purchases of investments in Master Funds
|
(13,714,245
|
)
|
(16,328,318
|
)
|
||||
Purchases of investment in Graham Cash Assets LLC
|
(13,359,889
|
)
|
(12,891,795
|
)
|
||||
Changes in assets and liabilities:
|
||||||||
Decrease in accrued professional fees
|
(80,998
|
)
|
(15,835
|
)
|
||||
Increase (decrease) in accrued advisory fees
|
1,700
|
(3,867
|
)
|
|||||
Increase (decrease) in accrued sponsor fees
|
908
|
(2,709
|
)
|
|||||
Increase (decrease) in accrued administrator’s fee
|
166
|
(280
|
)
|
|||||
Net cash provided by operating activities
|
1,239,949
|
2,960,788
|
||||||
Cash flows used in financing activities
|
||||||||
Subscriptions
|
–
|
398,500
|
||||||
Redemptions
|
(1,239,896
|
)
|
(3,359,288
|
)
|
||||
Net cash used in financing activities
|
(1,239,896
|
)
|
(2,960,788
|
)
|
||||
Net change in cash and cash equivalents
|
53
|
–
|
||||||
Cash and cash equivalents, beginning of period
|
–
|
–
|
||||||
Cash and cash equivalents, end of period
|
$
|
53
|
$
|
–
|
||||
Supplemental cash flow information
|
|
|||||||
Interest paid
|
$ |
3,344
|
$ |
3,095
|
• |
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)
(three months
ended March 2020)
|
|||||||
Global Macro Funds
|
||||||||||
Graham Commodity Strategies LLC
|
4.23%
|
$
|
2,397,479
|
$
|
5,693,182
|
|||||
Systematic Macro Funds
|
||||||||||
Graham K4D Trading Ltd.
|
4.39%
|
2,490,946
|
(2,727,516
|
)
|
||||||
8.62%
|
$
|
4,888,425
|
$
|
2,965,666
|
Investment – Objective
|
Percent of
Members’
Capital
|
Fair Value
|
Net Income (Loss)
(three months
ended March 2019)
|
|||||||
Global Macro Funds
|
||||||||||
Graham Commodity Strategies LLC
|
6.69%
|
$
|
3,714,431
|
$
|
(1,133,640
|
)
|
||||
|
||||||||||
Systematic Macro Funds
|
||||||||||
Graham K4D Trading Ltd.
|
6.37%
|
3,536,812
|
1,222,214
|
|||||||
13.06%
|
$
|
7,251,243
|
$
|
88,574
|
Graham
Commodity
Strategies LLC
(Delaware)
|
Graham K4D
Trading Ltd.
(BVI)
|
|||||||
Assets:
|
||||||||
Fixed income securities, at fair value (cost $29,490,781)
|
$
|
–
|
$
|
29,623,877
|
||||
Due from brokers
|
55,194,475
|
1,556,525
|
||||||
Derivative financial instruments, at fair value
|
44,895,378
|
11,425,205
|
||||||
Exchange memberships, at fair value
|
5,366,300
|
513,750
|
||||||
Interest receivable
|
33,715
|
98,170
|
||||||
Total assets
|
105,489,868
|
43,217,527
|
||||||
Liabilities:
|
||||||||
Derivative financial instruments, at fair value
|
1,628,548
|
122,644
|
||||||
Due to brokers
|
1,428,330
|
12,448,824
|
||||||
Interest payable
|
1,968
|
1,128
|
||||||
Total liabilities
|
3,058,846
|
12,572,596
|
||||||
Members’ Capital / Net Assets
|
$
|
102,431,022
|
$
|
30,644,931
|
||||
Percentage of Master Fund held by GAIT
|
2.34
|
%
|
8.13
|
%
|
Description
|
Number of
Contracts / Notional
Amounts
|
Fair Value
|
Percentage
of Members’
Capital of
Master Fund
|
|||||||||
Graham Commodity Strategies LLC
|
||||||||||||
Exchange memberships (cost $2,146,960)
|
||||||||||||
United States (cost $2,146,960)
|
||||||||||||
Financial services (cost $2,146,960)
|
$
|
5,366,300
|
5.24
|
%
|
||||||||
Total exchange memberships
|
$
|
5,366,300
|
5.24
|
%
|
||||||||
Derivative financial instruments
|
||||||||||||
Long contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
||||||||||||
Gold 100 Oz June 2020
|
1,344
|
(7,664,770
|
)
|
(7.48
|
)%
|
|||||||
Other commodity
|
535,069
|
0.52
|
%
|
|||||||||
Foreign bond
|
(685,789
|
)
|
(0.67
|
)%
|
||||||||
Interest rate
|
||||||||||||
Fed Fund 30 day March 2020
|
11,285
|
24,582,446
|
24.00
|
%
|
||||||||
U.S. bond
|
|
|
|
|||||||||
U.S. 5 yr note (CBT) June 2020
|
6,684 |
2,137,266
|
2.08
|
% | ||||||||
Other U.S. bond
|
1,541,937
|
1.51
|
% | |||||||||
U.S. index
|
(1,519,992
|
)
|
(1.48
|
)%
|
||||||||
Total futures
|
18,926,167
|
18.48
|
%
|
|||||||||
Forwards
|
||||||||||||
Foreign currency
|
(10,435,731
|
)
|
(10.19
|
)%
|
||||||||
Total forwards
|
(10,435,731
|
)
|
(10.19
|
)%
|
||||||||
Options (cost $76,230,696)
|
||||||||||||
Commodity futures
|
||||||||||||
Gold May 2020, $1,770.00 Call
|
1
|
1,435,480
|
1.40
|
%
|
||||||||
Other commodity futures
|
573,220
|
0.56
|
%
|
|||||||||
Currency futures
|
||||||||||||
British pound / U.S. dollar April 2020, $1.27 Put
|
1
|
7,104,268
|
6.94
|
%
|
||||||||
British pound / U.S. dollar May 2020 – January 2021, $1.27 – $1.34
Call
|
6
|
3,467,892
|
3.38
|
%
|
||||||||
U.S. dollar / Canadian dollar April 2020, $1.36 Call
|
1
|
5,386,379
|
5.26
|
%
|
||||||||
U.S. dollar / Canadian dollar April 2020, $1.37 Call
|
1
|
5,559,715
|
5.43
|
%
|
||||||||
U.S. dollar / Canadian dollar April 2020 - June 2020, $1.35 – $1.49 Call
|
2
|
4,184,608
|
4.09
|
%
|
||||||||
Other currency futures
|
24,551,008
|
23.96
|
%
|
|||||||||
Interest rate futures
|
||||||||||||
IMM Euro June 2020 - December 2020, $99.38 – $99.75 Call
|
2
|
2,089,419
|
2.04
|
%
|
||||||||
IMM Euro April 2020 - December 2020, $95.50 – $99.00 Put
|
2
|
815,750
|
0.80
|
%
|
||||||||
IMM Euro December 2020, $99.25 Call
|
1
|
7,486,350
|
7.31
|
%
|
||||||||
Other interest rate futures
|
1,231,713
|
1.20
|
%
|
|||||||||
U.S. bond futures
|
|
|
||||||||||
U.S. 5 yr future June 2020, $126.00 Call
|
1
|
4,771,696
|
4.66
|
% | ||||||||
Other U.S. bond futures
|
31,281
|
0.03
|
% | |||||||||
U.S. index futures
|
346,123
|
0.34
|
%
|
|||||||||
Total options
|
69,034,902
|
67.40
|
%
|
Description
|
Number of
Contracts / Notional
Amounts
|
Fair Value
|
Percentage
of Members’
Capital of
Master Fund
|
|||||||||
Graham Commodity Strategies LLC (continued)
|
||||||||||||
Derivative financial instruments (continued)
|
||||||||||||
Short contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
$
|
515,368
|
0.50
|
%
|
||||||||
Foreign bond
|
(2,005
|
)
|
(0.00
|
)%
|
||||||||
Foreign index
|
(1,334,238
|
)
|
(1.30
|
)%
|
||||||||
Interest rate
|
(160,563
|
)
|
(0.16
|
)%
|
||||||||
U.S. bond
|
4,039,906
|
3.94
|
%
|
|||||||||
U.S. index
|
3,426,940
|
3.35
|
%
|
|||||||||
Total futures
|
6,485,408
|
6.33
|
%
|
|||||||||
Forwards
|
||||||||||||
Foreign currency
|
8,164,859
|
7.97
|
%
|
|||||||||
Total forwards
|
8,164,859
|
7.97
|
%
|
|||||||||
Options (proceeds $44,403,539)
|
||||||||||||
Commodity futures
|
||||||||||||
Gold May 2020, $1,870.00 - $1,930.00 Call
|
(2
|
)
|
$
|
(1,014,800
|
)
|
(0.99
|
)%
|
|||||
Other commodity futures
|
(296,815
|
)
|
(0.29
|
)%
|
||||||||
Currency futures
|
||||||||||||
U.S. dollar / Canadian dollar April 2020, $1.37 Call
|
(1
|
)
|
(5,559,715
|
)
|
(5.43
|
)%
|
||||||
U.S. dollar / Canadian dollar April 2020, $1.35 – $1.38 Call
|
(2
|
)
|
(7,422,670
|
)
|
(7.25
|
)%
|
||||||
British pound / U.S. dollar April 2020, $1.27 Put
|
(1
|
)
|
(7,104,268
|
)
|
(6.94
|
)%
|
||||||
British pound / U.S. dollar January 2021, $1.39 Call
|
(1
|
)
|
(2,174,295
|
)
|
(2.12
|
)%
|
||||||
Other currency futures
|
(13,510,181
|
)
|
(13.19
|
)%
|
||||||||
Interest rate futures
|
||||||||||||
IMM Euro December 2020, $99.50 Call
|
(1
|
)
|
(7,406,750
|
)
|
(7.23
|
)%
|
||||||
IMM Euro December 2020, $95.00 Put
|
(1
|
)
|
(31,250
|
)
|
(0.03
|
)%
|
||||||
IMM Euro June 2020, $99.50 Call
|
(1
|
)
|
(733,956
|
)
|
(0.72
|
)%
|
||||||
Other interest rate futures
|
(1,377,652
|
)
|
(1.34
|
)%
|
||||||||
U.S. bond futures
|
|
|
|
|
||||||||
U.S. 5 yr future June 2020, $126.50 – $127.50 Call
|
(2
|
) |
(1,992,344
|
) |
(1.95
|
)% |
||||||
Other U.S. bond futures
|
(25,594
|
)
|
(0.02
|
)% | ||||||||
U.S. index futures
|
(258,485
|
)
|
(0.25
|
)%
|
||||||||
Total options
|
(48,908,775
|
)
|
(47.75
|
)%
|
||||||||
Total derivative financial instruments
|
$
|
43,266,830
|
42.24
|
%
|
Description
|
Principal / Number
of Contracts /
Notional Amounts
|
Fair Value
|
Percentage of
Net Assets of
Master Fund
|
|||||||||
Graham K4D Trading Ltd.
|
||||||||||||
Fixed income securities owned (cost $29,490,781)
|
||||||||||||
Government bonds (cost $29,490,781)
|
||||||||||||
United States (cost $29,490,781)
|
||||||||||||
Treasury Bonds (cost $29,490,781)
|
||||||||||||
U.S. Treasury bond 1.50% due 07/15/2020
|
$
|
29,500,000
|
$
|
29,623,877
|
96.67
|
%
|
||||||
Total United States
|
29,623,877
|
96.67
|
%
|
|||||||||
Total government bonds
|
29,623,877
|
96.67
|
%
|
|||||||||
Total fixed income securities owned
|
$
|
29,623,877
|
96.67
|
%
|
||||||||
Exchange memberships (cost $1,051,100)
|
||||||||||||
United States (cost $1,051,100)
|
||||||||||||
Financial services (cost $1,051,100)
|
$
|
513,750
|
1.68
|
%
|
||||||||
Total exchange memberships
|
$
|
513,750
|
1.68
|
%
|
||||||||
Derivative financial instruments
|
||||||||||||
Long contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
||||||||||||
LME aluminum June 2020
|
238
|
$
|
(1,089,065
|
)
|
(3.55
|
)%
|
||||||
LME copper June 2020
|
163
|
(2,346,793
|
)
|
(7.66
|
)%
|
|||||||
Other commodity
|
(1,710,887
|
)
|
(5.58
|
)%
|
||||||||
Currency
|
27,833
|
0.09
|
%
|
|||||||||
Foreign bond
|
351,884
|
1.15
|
%
|
|||||||||
Foreign index
|
1,315,094
|
4.29
|
%
|
|||||||||
Interest rate
|
||||||||||||
90 day Euro June 2021
|
983
|
1,687,611
|
5.51
|
%
|
||||||||
Other interest rate
|
904
|
0.00
|
%
|
|||||||||
U.S. bond
|
2,318,753
|
7.57
|
%
|
|||||||||
U.S. index
|
(60,409
|
)
|
(0.20
|
)%
|
||||||||
Total futures
|
494,925
|
1.62
|
%
|
|||||||||
Forwards
|
||||||||||||
Foreign currency
|
(1,777,465
|
)
|
(5.80
|
)%
|
||||||||
Total forwards
|
(1,777,465
|
)
|
(5.80
|
)%
|
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
|
||||||||||||
LME aluminum June 2020
|
(300
|
)
|
$
|
1,645,575
|
5.37
|
%
|
||||||
LME copper June 2020
|
(213
|
)
|
4,419,700
|
14.42
|
%
|
|||||||
Other commodity
|
4,631,625
|
15.11
|
%
|
|||||||||
Currency
|
(1,749
|
)
|
(0.01
|
)%
|
||||||||
Foreign bond
|
468,328
|
1.53
|
%
|
|||||||||
Foreign index
|
(183,612
|
)
|
(0.60
|
)%
|
||||||||
Interest rate
|
(49,587
|
)
|
(0.16
|
)%
|
||||||||
Total futures
|
10,930,280
|
35.66
|
%
|
|||||||||
Forwards
|
||||||||||||
Foreign currency
|
1,654,821
|
5.40
|
%
|
|||||||||
Total forwards
|
1,654,821
|
5.40
|
%
|
|||||||||
Total derivative financial instruments
|
$
|
11,302,561
|
36.88
|
%
|
Graham
Commodity
Strategies LLC
|
Graham K4D
Trading Ltd.
|
|||||||
Assets
|
||||||||
Level 1:
|
||||||||
Commodity futures
|
$
|
2,852,090
|
$
|
10,966,685
|
||||
Commodity futures options
|
2,008,700
|
–
|
||||||
Currency futures
|
–
|
45,916
|
||||||
Exchange memberships
|
5,366,300
|
513,750
|
||||||
Foreign bond futures
|
125,708
|
1,173,101
|
||||||
Foreign index futures
|
1,796
|
1,581,118
|
||||||
Interest rate futures
|
24,582,446
|
1,727,272
|
||||||
Interest rate futures options
|
11,623,230
|
–
|
||||||
U.S. bond futures
|
7,889,586
|
2,318,753
|
||||||
U.S. bond futures options
|
4,802,977
|
–
|
||||||
U.S. index futures
|
3,426,940
|
115,469
|
||||||
U.S. index futures options
|
346,123
|
–
|
||||||
Total Level 1
|
63,025,896
|
18,442,064
|
||||||
Level 2:
|
||||||||
Foreign currency forwards
|
15,622,289
|
2,988,839
|
||||||
Foreign currency futures options
|
50,253,871
|
–
|
||||||
Government bonds*
|
–
|
29,623,877
|
||||||
Total Level 2
|
65,876,160
|
32,612,716
|
||||||
Total investment related assets
|
$
|
128,902,056
|
$
|
51,054,780
|
||||
Liabilities
|
||||||||
Level 1:
|
||||||||
Commodity futures
|
$
|
(9,466,423
|
)
|
$
|
(5,416,530
|
)
|
||
Commodity futures options
|
(1,311,615
|
)
|
–
|
|||||
Currency futures
|
–
|
(19,832
|
)
|
|||||
Foreign bond futures
|
(813,502
|
)
|
(352,889
|
)
|
||||
Foreign index futures
|
(1,336,034
|
)
|
(449,636
|
)
|
||||
Interest rate futures
|
(160,563
|
)
|
(88,344
|
)
|
||||
Interest rate futures options
|
(9,549,606
|
)
|
–
|
|||||
U.S. bond futures
|
(170,477
|
)
|
–
|
|||||
U.S. bond futures options
|
(2,017,938
|
)
|
–
|
|||||
U.S. index futures
|
(1,519,992
|
)
|
(175,878
|
)
|
||||
U.S. index futures options
|
(258,485
|
)
|
–
|
|||||
Total Level 1
|
(26,604,635
|
)
|
(6,503,109
|
)
|
||||
Level 2:
|
||||||||
Foreign currency forwards
|
(17,893,161
|
)
|
(3,111,483
|
)
|
||||
Foreign currency futures options
|
(35,771,130
|
)
|
–
|
|||||
Total Level 2
|
(53,664,291
|
)
|
(3,111,483
|
)
|
||||
Total investment related liabilities
|
$
|
(80,268,926
|
)
|
$
|
(9,614,592
|
)
|
*
|
See each Master Fund’s condensed schedule of investments for breakout of industry and geographic region.
|
Long exposure
|
Short exposure
|
|||||||||||||||||||||||
Notional
amounts
|
Number
of
|
Notional
amounts
|
Number
of
|
Derivative
Assets
|
Derivative
Liabilities
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
296,113,073
|
3,472
|
$
|
(13,844,475
|
)
|
(785
|
)
|
$
|
2,852,090
|
$
|
(9,466,423
|
)
|
|||||||||||
Options (a)
|
38,917,861
|
5,341
|
(28,227,974
|
)
|
(7,761
|
)
|
2,008,700
|
(1,311,615
|
)
|
|||||||||||||||
335,030,934
|
8,813
|
(42,072,449
|
)
|
(8,546
|
)
|
4,860,790
|
(10,778,038
|
)
|
||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
136,882,275
|
879
|
(368,083,094
|
)
|
(4,560
|
)
|
3,428,736
|
(2,856,026
|
)
|
|||||||||||||||
Options (a)
|
7,376,195
|
1,191
|
(11,282,975
|
)
|
(2,308
|
)
|
346,123
|
(258,485
|
)
|
|||||||||||||||
144,258,470
|
2,070
|
(379,366,069
|
)
|
(6,868
|
)
|
3,774,859
|
(3,114,511
|
)
|
||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
1,176,515,574
|
N/A
|
(1,296,014,145
|
)
|
N/A
|
15,622,289
|
(17,893,161
|
)
|
||||||||||||||||
Options (a)
|
1,459,638,397
|
74
|
(1,549,573,320
|
)
|
(69
|
)
|
50,253,871
|
(35,771,130
|
)
|
|||||||||||||||
2,636,153,971
|
74
|
(2,845,587,465
|
)
|
(69
|
)
|
65,876,160
|
(53,664,291
|
)
|
||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
5,973,000,735
|
20,798
|
(869,179,995
|
)
|
(3,642
|
)
|
32,597,740
|
(1,144,542
|
)
|
|||||||||||||||
Options (a)
|
2,939,105,686
|
163,038
|
(3,582,826,569
|
)
|
(37,515
|
)
|
16,426,207
|
(11,567,544
|
)
|
|||||||||||||||
8,912,106,421
|
183,836
|
(4,452,006,564
|
)
|
(41,157
|
)
|
49,023,947
|
(12,712,086
|
)
|
||||||||||||||||
Total
|
$
|
12,027,549,796
|
194,793
|
$
|
(7,719,032,547
|
)
|
(56,640
|
)
|
$
|
123,535,756
|
$
|
(80,268,926
|
)
|
Long exposure
|
Short exposure
|
|||||||||||||||||||||||
Notional
amounts
|
Number
of
|
Notional
amounts
|
Number
of
|
Derivative
Assets
|
Derivative
Liabilities
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
67,322,915
|
967
|
(86,983,264
|
)
|
(1,986
|
)
|
10,966,685
|
$
|
(5,416,530
|
)
|
|||||||||||||
67,322,915
|
967
|
(86,983,264
|
)
|
(1,986
|
)
|
10,966,685
|
(5,416,530
|
)
|
||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
51,612,382
|
551
|
(4,642,072
|
)
|
(66
|
)
|
1,696,587
|
(625,514
|
)
|
|||||||||||||||
51,612,382
|
551
|
(4,642,072
|
)
|
(66
|
)
|
1,696,587
|
(625,514
|
)
|
||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
130,223,592
|
N/A
|
(205,625,687
|
)
|
N/A
|
2,988,839
|
(3,111,483
|
)
|
||||||||||||||||
Futures
|
2,950,049
|
31
|
(488,163
|
)
|
(5
|
)
|
45,916
|
(19,832
|
)
|
|||||||||||||||
133,173,641
|
31
|
(206,113,850
|
)
|
(5
|
)
|
3,034,755
|
(3,131,315
|
)
|
||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
469,636,244
|
2,542
|
(127,054,014
|
)
|
(475
|
)
|
5,219,126
|
(441,233
|
)
|
|||||||||||||||
469,636,244
|
2,542
|
(127,054,014
|
)
|
(475
|
)
|
5,219,126
|
(441,233
|
)
|
||||||||||||||||
Total
|
$
|
721,745,182
|
4,091
|
$
|
(424,793,200
|
)
|
(2,532
|
)
|
$
|
20,917,153
|
$
|
(9,614,592
|
)
|
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
|
$
|
123,535,756
|
$
|
(78,640,378
|
)
|
$
|
44,895,378
|
$
|
–
|
$
|
44,895,378
|
|||||||||
Derivative liabilities
|
(80,268,926
|
)
|
78,640,378
|
(1,628,548
|
)
|
1,628,548
|
–
|
|||||||||||||
Graham K4D Trading Ltd.2
|
||||||||||||||||||||
Derivative assets
|
$
|
20,917,153
|
$
|
(9,491,948
|
)
|
$
|
11,425,205
|
$
|
(11,425,205
|
)
|
$
|
–
|
||||||||
Derivative liabilities
|
(9,614,592
|
)
|
9,491,948
|
(122,644
|
)
|
122,644
|
–
|
Graham
Commodity
Strategies LLC
|
Graham K4D
Trading Ltd.
|
|||||||
Net investment income
|
$
|
328,410
|
$
|
133,182
|
||||
Net realized gain (loss) on investments
|
230,629,768
|
(53,213,576
|
)
|
|||||
Net increase in unrealized appreciation on investments
|
16,825,784
|
16,645,152
|
||||||
Brokerage commissions and fees
|
(4,012,669
|
)
|
(72,065
|
)
|
||||
Net gain (loss) on investments
|
243,442,883
|
(36,640,489
|
)
|
|||||
Net income (loss)
|
$
|
243,771,293
|
$
|
(36,507,307
|
)
|
Graham
Commodity
Strategies LLC
|
Graham
K4D Trading
Ltd.
|
|||||||
Commodity price
|
||||||||
Futures
|
$
|
18,825,945
|
$
|
7,263,672
|
||||
Options
|
6,452,930
|
–
|
||||||
25,278,875
|
7,263,672
|
|||||||
Equity price
|
||||||||
Equities
|
(844,800
|
)
|
80,500
|
|||||
Futures
|
85,594,013
|
(76,551,269
|
)
|
|||||
Options
|
(13,893,345
|
)
|
–
|
|||||
70,855,868
|
(76,470,769
|
)
|
||||||
Foreign currency exchange rate
|
||||||||
Forwards
|
54,830,657
|
(3,708,893
|
)
|
|||||
Futures
|
(13,804
|
)
|
123,414
|
|||||
Options
|
(13,024,154
|
)
|
–
|
|||||
41,792,699
|
(3,585,479
|
)
|
||||||
Interest rate
|
||||||||
Fixed income securities
|
–
|
136,410
|
||||||
Futures
|
88,149,253
|
36,087,742
|
||||||
Options
|
21,635,894
|
–
|
||||||
Swaps
|
(257,037
|
)
|
–
|
|||||
109,528,110
|
36,224,152
|
|||||||
Total
|
$
|
247,455,552
|
$
|
(36,568,424
|
)
|
Graham
Commodity
Strategies LLC
(Delaware)
|
Graham K4D
Trading Ltd.
(BVI)
|
|||||||
Assets:
|
||||||||
Fixed income securities, at fair value (cost $34,872,355)
|
$
|
–
|
$
|
35,296,686
|
||||
Due from brokers
|
129,280,189
|
18,550,998
|
||||||
Derivative financial instruments, at fair value
|
18,431,371
|
–
|
||||||
Exchange memberships, at fair value
|
6,211,100
|
433,250
|
||||||
Interest receivable
|
65,045
|
223,901
|
||||||
Dividends receivable
|
52,500
|
–
|
||||||
Total assets
|
154,040,205
|
54,504,835
|
||||||
Liabilities:
|
||||||||
Derivative financial instruments, at fair value
|
–
|
5,607,980
|
||||||
Interest payable
|
11,220
|
6,615
|
||||||
Total liabilities
|
11,220
|
5,614,595
|
||||||
Members’ Capital / Net Assets
|
$
|
154,028,985
|
$
|
48,890,240
|
||||
Percentage of Master Fund held by GAIT
|
2.41
|
%
|
7.23
|
%
|
Description
|
Number of
Contracts / Notional
Amounts
|
Fair Value
|
Percentage
of Members’
Capital
|
|||||||||
Graham Commodity Strategies LLC
|
||||||||||||
Exchange memberships (cost $2,146,960)
|
||||||||||||
United States (cost $2,146,960)
|
||||||||||||
Financial services (cost $2,146,960)
|
$
|
6,211,100
|
4.03
|
%
|
||||||||
Total exchange memberships
|
$
|
6,211,100
|
4.03
|
%
|
||||||||
Derivative financial instruments
|
||||||||||||
Long contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
||||||||||||
Gold 100 Oz February 2020
|
1,326
|
$
|
4,984,390
|
3.24
|
%
|
|||||||
Other commodity
|
2,909,894
|
1.89
|
%
|
|||||||||
Currency
|
11,053
|
0.01
|
%
|
|||||||||
Foreign bond
|
(1,350,205
|
)
|
(0.88
|
)%
|
||||||||
Foreign index
|
(560,883
|
)
|
(0.36
|
)%
|
||||||||
Interest rate
|
(1,463,850
|
)
|
(0.96
|
)%
|
||||||||
U.S. bond
|
2,649,266
|
1.72
|
%
|
|||||||||
U.S. index
|
705,547
|
0.46
|
%
|
|||||||||
Total futures
|
7,885,212
|
5.12
|
%
|
|||||||||
Forwards
|
||||||||||||
Taiwan dollar / U.S. dollar 01/02/2020 – 03/18/2020
|
TWD |
31,715,871,614
|
14,298,690
|
9.28
|
%
|
|||||||
Other foreign currency
|
17,331,749
|
11.26
|
%
|
|||||||||
Total forwards
|
31,630,439
|
20.54
|
%
|
|||||||||
Options (cost $47,570,776)
|
||||||||||||
Commodity futures
|
||||||||||||
Gold February 2020 - April 2020, $1,550.00 – $1,650.00 Call
|
2
|
6,007,490
|
3.90
|
%
|
||||||||
Other commodity
|
373,430
|
0.24
|
%
|
|||||||||
Currency futures
|
||||||||||||
U.S. dollar / Taiwan dollar February 2020, $33.00 Call
|
1
|
2
|
0.00
|
%
|
||||||||
Other currency futures
|
19,948,850
|
12.97
|
%
|
|||||||||
Foreign bond futures
|
915,343
|
0.59
|
%
|
|||||||||
Interest rate futures
|
(337,798
|
)
|
(0.22
|
)%
|
||||||||
U.S. bond futures
|
839,267
|
0.54
|
%
|
|||||||||
U.S. index futures
|
1,946,160
|
1.26
|
%
|
|||||||||
Total options
|
29,692,744
|
19.28
|
%
|
Description
|
Number of
Contracts / Notional
Amounts
|
Fair Value
|
Percentage
of Members’
Capital
|
|||||||||
Graham Commodity Strategies LLC (continued)
|
||||||||||||
Derivative financial instruments (continued)
|
||||||||||||
Short contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
$
|
150
|
0.00
|
%
|
||||||||
Currency
|
54
|
0.00
|
%
|
|||||||||
Foreign bond
|
857,428
|
0.56
|
%
|
|||||||||
Foreign index
|
216,165
|
0.14
|
%
|
|||||||||
Interest rate
|
(419,994
|
)
|
(0.27
|
)%
|
||||||||
U.S. bond
|
1,703,860
|
1.10
|
%
|
|||||||||
U.S. index
|
239,200
|
0.16
|
%
|
|||||||||
Total futures
|
2,596,863
|
1.69
|
%
|
|||||||||
Forwards
|
||||||||||||
U.S. dollar / Taiwan dollar 02/05/2020
|
TWD
|
(8,048,818,557) |
(8,431,977
|
)
|
(5.47
|
)%
|
||||||
U.S. dollar / Taiwan dollar 01/02/2020 – 03/18/2020
|
TWD
|
(25,995,417,072) |
(15,787,940
|
)
|
(10.25
|
)%
|
||||||
Other foreign currency
|
(19,091,770
|
)
|
(12.40
|
)%
|
||||||||
Total forwards
|
(43,311,687
|
)
|
(28.12
|
)%
|
||||||||
Options (proceeds $20,452,912)
|
||||||||||||
Commodity futures
|
||||||||||||
Gold April 2020, $1,750.00 – $1,900.00 Call
|
(2
|
)
|
(1,181,900
|
)
|
(0.77
|
)%
|
||||||
Other commodity futures
|
(138,510
|
)
|
(0.09
|
)%
|
||||||||
Currency futures
|
(5,260,260
|
)
|
(3.42
|
)%
|
||||||||
Foreign bond futures
|
(515,648
|
)
|
(0.33
|
)%
|
||||||||
Interest rate futures
|
(439,272
|
)
|
(0.29
|
)%
|
||||||||
U.S. bond futures
|
(368,875
|
)
|
(0.24
|
)%
|
||||||||
U.S. index futures
|
(2,157,735
|
)
|
(1.40
|
)%
|
||||||||
Total options
|
(10,062,200
|
)
|
(6.54
|
)%
|
||||||||
Total derivative financial instruments
|
$
|
18,431,371
|
11.97
|
%
|
Description
|
Principal Amount /
Number of Contracts
|
Fair Value
|
Percentage of
Net Assets
|
|||||||||
Graham K4D Trading Ltd.
|
||||||||||||
Fixed income securities owned (cost $34,872,355)
|
||||||||||||
Government bonds (cost $34,872,355)
|
||||||||||||
United States (cost $34,872,355)
|
||||||||||||
Treasury bonds (cost $31,087,793)
|
||||||||||||
U.S. Treasury bond 1.38% due 01/15/2020
|
$
|
31,500,000
|
$
|
31,498,770
|
64.43
|
%
|
||||||
Total Treasury Bonds
|
31,498,770
|
64.43
|
%
|
|||||||||
Treasury bills (cost $3,784,562)
|
||||||||||||
U.S. Treasury bills 0.00% due 01/16/2020
|
$
|
3,800,000
|
3,797,916
|
7.77
|
%
|
|||||||
Total Treasury bills
|
3,797,916
|
7.77
|
%
|
|||||||||
Total United States
|
35,296,686
|
72.20
|
%
|
|||||||||
Total government bonds
|
35,296,686
|
72.20
|
%
|
|||||||||
Total fixed income securities owned
|
$
|
35,296,686
|
72.20
|
%
|
||||||||
Exchange memberships (cost $1,051,100)
|
||||||||||||
United States (cost $1,051,100)
|
||||||||||||
Financial services (cost $1,051,100)
|
$
|
433,250
|
0.89
|
%
|
||||||||
Total exchange memberships
|
$
|
433,250
|
0.89
|
%
|
||||||||
Derivative financial instruments
|
||||||||||||
Long contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
$
|
3,318,844
|
6.78
|
%
|
||||||||
Currency
|
14,595
|
0.03
|
%
|
|||||||||
Foreign bond
|
(2,634,458
|
)
|
(5.39
|
)%
|
||||||||
Foreign index
|
380,112
|
0.78
|
%
|
|||||||||
Interest rate
|
27,104
|
0.06
|
%
|
|||||||||
U.S. bond
|
||||||||||||
U.S. 2 yr – 10 yr note March 2020
|
2,090
|
(1,390,733
|
)
|
(2.84
|
)%
|
|||||||
U.S. long bond March 2020
|
516
|
(1,382,658
|
)
|
(2.83
|
)%
|
|||||||
U.S. index
|
531,446
|
1.09
|
%
|
|||||||||
Total futures
|
(1,135,748
|
)
|
(2.32
|
)%
|
||||||||
Forwards
|
||||||||||||
Foreign currency
|
1,590,436
|
3.25
|
%
|
|||||||||
Total forwards
|
1,590,436
|
3.25
|
%
|
Description
|
Principal Amount /
Number of Contracts
|
Fair Value
|
Percentage of
Net Assets
|
|||||||||
Graham K4D Trading Ltd. (continued)
|
||||||||||||
Derivative financial instruments (continued)
|
||||||||||||
Short contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
$
|
(3,239,514
|
)
|
(6.62
|
)%
|
|||||||
Currency
|
(30,159
|
)
|
(0.06
|
)%
|
||||||||
Foreign bond
|
1,896,129
|
3.88
|
%
|
|||||||||
Foreign index
|
16,525
|
0.03
|
%
|
|||||||||
Interest rate
|
12,120
|
0.02
|
%
|
|||||||||
U.S. index
|
(650,009
|
)
|
(1.33
|
)%
|
||||||||
Total futures
|
(1,994,908
|
)
|
(4.08
|
)%
|
||||||||
Forwards
|
||||||||||||
Foreign currency
|
(4,067,760
|
)
|
(8.32
|
)%
|
||||||||
Total forwards
|
(4,067,760
|
)
|
(8.32
|
)%
|
||||||||
Total derivative financial instruments
|
$
|
(5,607,980
|
)
|
(11.47
|
)%
|
Graham
Commodity
Strategies LLC
|
Graham K4D
Trading Ltd.
|
|||||||
Assets
|
||||||||
Level 1:
|
||||||||
Commodity futures
|
$
|
8,202,787
|
$
|
4,548,612
|
||||
Commodity futures options
|
6,380,920
|
–
|
||||||
Currency futures
|
11,107
|
73,472
|
||||||
Exchange memberships
|
6,211,100
|
433,250
|
||||||
Foreign bond futures
|
857,428
|
1,943,300
|
||||||
Foreign bond futures options
|
915,343
|
–
|
||||||
Foreign index futures
|
806,271
|
983,149
|
||||||
Interest rate futures
|
86,329
|
74,409
|
||||||
Interest rate futures options
|
4,525,823
|
–
|
||||||
U.S. bond futures
|
5,547,173
|
2,347
|
||||||
U.S. bond future options
|
839,267
|
–
|
||||||
U.S. index futures
|
1,609,698
|
552,136
|
||||||
U.S. index futures options
|
1,946,160
|
–
|
||||||
Total Level 1
|
37,939,406
|
8,610,675
|
||||||
Level 2:
|
||||||||
Foreign currency forwards
|
32,356,429
|
1,609,343
|
||||||
Foreign currency options
|
19,948,852
|
–
|
||||||
Government bonds*
|
–
|
35,296,686
|
||||||
Total Level 2
|
52,305,281
|
36,906,029
|
||||||
Total investment related assets
|
$
|
90,244,687
|
$
|
45,516,704
|
||||
Liabilities
|
||||||||
Level 1:
|
||||||||
Commodity futures
|
$
|
(308,353
|
)
|
$
|
(4,469,282
|
)
|
||
Commodity futures options
|
(1,320,410
|
)
|
–
|
|||||
Currency futures
|
–
|
(89,036
|
)
|
|||||
Foreign bond futures
|
(1,350,205
|
)
|
(2,681,629
|
)
|
||||
Foreign bond futures options
|
(515,648
|
)
|
–
|
|||||
Foreign index futures
|
(1,150,989
|
)
|
(586,512
|
)
|
||||
Interest rate futures
|
(1,970,173
|
)
|
(35,185
|
)
|
||||
Interest rate futures options
|
(5,302,893
|
)
|
–
|
|||||
U.S. bond futures
|
(1,194,047
|
)
|
(2,775,738
|
)
|
||||
U.S. bond future options
|
(368,875
|
)
|
–
|
|||||
U.S. index futures
|
(664,951
|
)
|
(670,699
|
)
|
||||
U.S. index futures options
|
(2,157,735
|
)
|
–
|
|||||
Total Level 1
|
(16,304,279
|
)
|
(11,308,081
|
)
|
||||
Level 2:
|
||||||||
Foreign currency forwards
|
(44,037,677
|
)
|
(4,086,667
|
)
|
||||
Foreign currency options
|
(5,260,260
|
)
|
–
|
|||||
Total Level 2
|
(49,297,937
|
)
|
(4,086,667
|
)
|
||||
Total investment related liabilities
|
$
|
(65,602,216
|
)
|
$
|
(15,394,748
|
)
|
*
|
See each Master Fund’s condensed schedule of investments for breakout of industry and geographic region.
|
Long exposure
|
Short exposure
|
|||||||||||||||||||||||
Notional
amounts
|
Number
of
|
Notional
amounts
|
Number
of
|
Derivative
assets
|
Derivative
liabilities
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
313,741,559
|
3,397
|
$
|
(30,152,749
|
)
|
(549
|
)
|
$
|
8,202,787
|
$
|
(308,353
|
)
|
|||||||||||
Options (a)
|
200,027,267
|
5,972
|
(128,937,374
|
)
|
(5,645
|
)
|
6,380,920
|
(1,320,410
|
)
|
|||||||||||||||
|
513,768,826
|
9,369
|
(159,090,123
|
)
|
(6,194
|
)
|
14,583,707
|
(1,628,763
|
)
|
|||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
297,466,626
|
2,785
|
(147,992,807
|
)
|
(1,505
|
)
|
2,415,969
|
(1,815,940
|
)
|
|||||||||||||||
Options (a)
|
112,874,233
|
3,043
|
(70,088,951
|
)
|
(6,420
|
)
|
1,946,160
|
(2,157,735
|
)
|
|||||||||||||||
410,340,859
|
5,828
|
(218,081,758
|
)
|
(7,925
|
)
|
4,362,129
|
(3,973,675
|
)
|
||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
8,819,006,482
|
N/A
|
(3,422,599,977
|
)
|
N/A
|
32,356,429
|
(44,037,677
|
)
|
||||||||||||||||
Futures
|
1,764,474
|
17
|
(1,132,569
|
)
|
(13
|
)
|
11,107
|
–
|
||||||||||||||||
Options (a)
|
1,096,647,293
|
60
|
(1,210,201,282
|
)
|
(51
|
)
|
19,948,852
|
(5,260,260
|
)
|
|||||||||||||||
9,917,418,249
|
77
|
(4,633,933,828
|
)
|
(64
|
)
|
52,316,388
|
(49,297,937
|
)
|
||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
14,635,375,167
|
57,069
|
(6,634,714,049
|
)
|
(30,450
|
)
|
6,490,930
|
(4,514,425
|
)
|
|||||||||||||||
Options (a)
|
6,863,224,095
|
310,134
|
(4,118,997,465
|
)
|
(225,245
|
)
|
6,280,433
|
(6,187,416
|
)
|
|||||||||||||||
21,498,599,262
|
367,203
|
(10,753,711,514
|
)
|
(255,695
|
)
|
12,771,363
|
(10,701,841
|
)
|
||||||||||||||||
Total
|
$
|
32,340,127,196
|
382,477
|
$
|
(15,764,817,223
|
)
|
(269,878
|
)
|
$
|
84,033,587
|
$
|
(65,602,216
|
)
|
(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
|
$
|
161,257,969
|
1,889
|
$
|
(195,309,082
|
)
|
(4,220
|
)
|
$
|
4,548,612
|
$
|
(4,469,282
|
)
|
|||||||||||
161,257,969
|
1,889
|
(195,309,082
|
)
|
(4,220
|
)
|
4,548,612
|
(4,469,282
|
)
|
||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
519,198,139
|
5,371
|
(29,874,004
|
)
|
(284
|
)
|
1,535,285
|
(1,257,211
|
)
|
|||||||||||||||
519,198,139
|
5,371
|
(29,874,004
|
)
|
(284
|
)
|
1,535,285
|
(1,257,211
|
)
|
||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
220,150,774
|
N/A
|
(639,550,041
|
)
|
N/A
|
1,609,343
|
(4,086,667
|
)
|
||||||||||||||||
Futures
|
16,316,430
|
172
|
(11,935,977
|
)
|
(116
|
)
|
73,472
|
(89,036
|
)
|
|||||||||||||||
236,467,204
|
172
|
(651,486,018
|
)
|
(116
|
)
|
1,682,815
|
(4,175,703
|
)
|
||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
2,146,985,600
|
11,917
|
(271,028,601
|
)
|
(1,663
|
)
|
2,020,056
|
(5,492,552
|
)
|
|||||||||||||||
2,146,985,600
|
11,917
|
(271,028,601
|
)
|
(1,663
|
)
|
2,020,056
|
(5,492,552
|
)
|
||||||||||||||||
Total
|
$
|
3,063,908,912
|
19,349
|
$
|
(1,147,697,705
|
)
|
(6,283
|
)
|
$
|
9,786,768
|
$
|
(15,394,748
|
)
|
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
|
$
|
84,033,587
|
$
|
(65,602,216
|
)
|
$
|
18,431,371
|
$
|
–
|
$
|
18,431,371
|
|||||||||
Derivative liabilities
|
(65,602,216
|
)
|
65,602,216
|
–
|
–
|
–
|
||||||||||||||
Graham K4D Trading Ltd.2
|
||||||||||||||||||||
Derivative assets
|
$
|
9,786,768
|
$
|
(9,786,768
|
)
|
$
|
–
|
$
|
–
|
$
|
–
|
|||||||||
Derivative liabilities
|
(15,394,748
|
)
|
9,786,768
|
(5,607,980
|
)
|
5,607,980
|
–
|
Graham
Commodity
Strategies LLC
|
Graham K4D
Trading Ltd.
|
|||||||
Net investment income
|
$
|
535,933
|
$
|
209,078
|
||||
Net realized loss on investments
|
(4,056,640
|
)
|
(6,713,013
|
)
|
||||
Net (decrease) increase in unrealized appreciation on investments
|
(37,115,258
|
)
|
29,702,358
|
|||||
Brokerage commissions and fees
|
(3,815,829
|
)
|
(119,452
|
)
|
||||
Net (loss) gain on investments
|
(44,987,727
|
)
|
22,869,893
|
|||||
Net (loss) income
|
$
|
(44,451,794
|
)
|
$
|
23,078,971
|
Graham
Commodity
Strategies LLC
|
Graham
K4D Trading
Ltd.
|
|||||||
Commodity price
|
||||||||
Futures
|
$
|
(10,449,291
|
)
|
$
|
(11,815,296
|
)
|
||
Options
|
(535,654
|
)
|
-
|
|||||
(10,984,945
|
)
|
(11,815,296
|
)
|
|||||
Equity price
|
||||||||
Equities
|
(755,700
|
)
|
(80,500
|
)
|
||||
Futures
|
(14,193,580
|
)
|
15,634,097
|
|||||
Options
|
(884,405
|
)
|
-
|
|||||
(15,833,685
|
)
|
15,553,597
|
||||||
Foreign currency exchange rate
|
||||||||
Forwards
|
(7,976,212
|
)
|
2,196,504
|
|||||
Futures
|
(52,011
|
)
|
363,357
|
|||||
Options
|
(11,336,279
|
)
|
-
|
|||||
(19,364,502
|
)
|
2,559,861
|
||||||
Interest rate
|
||||||||
Fixed income securities
|
-
|
153,809
|
||||||
Futures
|
(2,160,003
|
)
|
16,537,374
|
|||||
Options
|
7,171,237
|
-
|
||||||
5,011,234
|
16,691,183
|
|||||||
Total
|
$
|
(41,171,898
|
)
|
$
|
22,989,345
|
Assets:
|
||||||||
Cash and cash equivalents
|
$
|
744,274,290
|
$
|
552,689,299
|
||||
Investments in fixed income securities (amortized cost $4,597,778,643 and $5,318,988,355, respectively)
|
4,597,778,643
|
5,318,988,355
|
||||||
Interest receivable
|
18,133,215
|
17,960,353
|
||||||
Total assets
|
5,360,186,148
|
5,889,638,007
|
||||||
Liabilities:
|
||||||||
Accrued bank fee expense
|
17,000
|
17,000
|
||||||
Total liabilities
|
17,000
|
17,000
|
||||||
Members’ capital
|
$
|
5,360,169,148
|
$
|
5,889,621,007
|
2020
|
2019
|
|||||||
Net gain on investment
|
||||||||
Net realized gain
|
$
|
2,283,203
|
$
|
-
|
||||
Investment income
|
||||||||
Interest income
|
23,266,626
|
22,034,981
|
||||||
Expenses:
|
||||||||
Bank fee expense
|
66,301
|
32,846
|
||||||
Total expenses
|
66,301
|
32,846
|
||||||
Net investment income
|
23,200,325
|
22,002,135
|
||||||
Net income
|
$
|
25,483,528
|
$
|
22,002,135
|
Description
|
Principal
Amount
|
Fair Value
|
Percentage of
Members’
Capital
|
|||||||||
Investments in Fixed Income Securities (amortized cost $4,597,778,643)
|
||||||||||||
United States
|
||||||||||||
Government Bonds (amortized cost $4,348,031,347)
|
||||||||||||
U.S. Treasury bonds 1.38% due 8/31/2020
|
$
|
275,000,000
|
$
|
274,393,693
|
5.12
|
%
|
||||||
U.S. Treasury bonds 1.38% due 9/30/2020
|
275,000,000
|
274,255,098
|
5.12
|
%
|
||||||||
U.S. Treasury bonds 1.63% due 6/30/2020
|
275,000,000
|
274,812,225
|
5.13
|
%
|
||||||||
U.S. Treasury bonds 1.13% – 2.75% due 4/15/2020 – 3/31/2021
|
3,525,000,000
|
3,524,570,331
|
65.75
|
%
|
||||||||
Total Government Bonds
|
4,348,031,347
|
81.12
|
%
|
|||||||||
Treasury Bills (amortized cost $249,747,296)
|
||||||||||||
U.S. Treasury bills 0.00% due 4/02/2020 – 6/18/2020
|
250,000,000
|
249,747,296
|
4.66
|
%
|
||||||||
Total Treasury Bills
|
249,747,296
|
4.66
|
%
|
|||||||||
Total United States
|
4,597,778,643
|
85.78
|
%
|
|||||||||
Total Investments in Fixed Income Securities
|
$
|
4,597,778,643
|
85.78
|
%
|
Description
|
Principal
Amount
|
Fair Value
|
Percentage of
Members’
Capital
|
|||||||||
Investments in Fixed Income Securities (amortized cost $5,318,988,355)
|
||||||||||||
United States
|
||||||||||||
Government Bonds (amortized cost $5,069,101,450)
|
||||||||||||
U.S. Treasury bonds 1.13% – 2.75% due 01/15/2020 – 03/31/2021
|
$
|
5,075,000,000
|
$
|
5,069,101,450
|
86.07
|
%
|
||||||
Total Government Bonds
|
5,069,101,450
|
86.07
|
%
|
|||||||||
Treasury Bills (amortized cost $249,886,905)
|
||||||||||||
U.S. Treasury bills 0.00% 01/07/2020 – 01/14/2020
|
250,000,000
|
249,886,905
|
4.24
|
%
|
||||||||
Total Treasury Bills
|
249,886,905
|
4.24
|
%
|
|||||||||
Total United States
|
5,318,988,355
|
90.31
|
%
|
|||||||||
Total Investments in Fixed Income Securities
|
$
|
5,318,988,355
|
90.31
|
%
|
Assets
|
||||||||
Level 2:
|
||||||||
Fixed income securities
|
||||||||
Government bonds
|
$
|
4,348,031,347
|
$
|
5,069,101,450
|
||||
Treasury bills
|
249,747,296
|
249,886,905
|
||||||
Total fixed income securities
|
4,597,778,643
|
5,318,988,355
|
||||||
Total Level 2
|
4,597,778,643
|
5,318,988,355
|
||||||
Total assets
|
$
|
4,597,778,643
|
$
|
5,318,988,355
|
Class 0
|
Class 2
|
0.50%
|
1.25%
|
Class 0
|
Class 2
|
|||||||
Per unit operating performance
|
||||||||
Net asset value per Unit, December 31, 2018
|
$
|
133.70
|
$
|
96.01
|
||||
Net loss:
|
||||||||
Net investment loss
|
(0.20
|
)
|
(0.32
|
)
|
||||
Net gain on investments
|
0.20
|
0.13
|
||||||
Net loss
|
0.00
|
(0.19
|
)
|
|||||
Net asset value per Unit, March 31, 2019
|
$
|
133.70
|
$
|
95.82
|
||||
Net asset value per Unit, December 31, 2019
|
$
|
152.04
|
$
|
108.35
|
||||
Net income:
|
||||||||
Net investment loss
|
(1.03
|
)
|
(0.47
|
)
|
||||
Net gain on investments
|
8.31
|
5.91
|
||||||
Net income
|
7.28
|
5.44
|
||||||
Net asset value per Unit, March 31, 2020
|
$
|
159.32
|
$
|
113.79
|
Class 0
|
Class 2
|
||||||||
2020
|
2019
|
2020
|
2019
|
||||||
Total return before Incentive Allocation
|
5.21%
|
0.00%
|
5.02%
|
(0.20)%
|
|
||||
Incentive Allocation
|
(0.43)
|
0.00
|
0.00
|
0.00
|
|||||
Total return after Incentive Allocation
|
4.78%
|
0.00%
|
5.02%
|
(0.20)%
|
|
||||
Net investment loss before Incentive Allocation
|
(0.25)%
|
(0.15)%
|
(0.43)%
|
(0.34)%
|
|
||||
Incentive Allocation
|
(0.43)
|
0.00
|
0.00
|
0.00
|
|||||
Net investment loss after Incentive Allocation
|
(0.68)%
|
(0.15)%
|
(0.43)%
|
(0.34)%
|
|
||||
Total expenses before Incentive Allocation
|
0.64%
|
0.65%
|
0.83%
|
0.83%
|
|
||||
Incentive Allocation
|
0.43
|
0.00
|
0.00
|
0.00
|
|||||
Total expenses after Incentive Allocation
|
1.07%
|
0.65%
|
0.83%
|
0.83%
|
|
Item 2. |
Agriculture / Softs
|
$
|
28,304
|
||
Base Metals
|
201,106
|
|||
Energy
|
(25,619
|
)
|
||
Equities
|
(2,100,427
|
)
|
||
Foreign Exchange
|
344,420
|
|||
Long Term / Intermediate Rates
|
1,198,524
|
|||
Precious Metals
|
415,229
|
|||
Short Term Rates
|
1,424,311
|
|||
$
|
1,485,848
|
Agriculture / Softs
|
0.0
|
%
|
||
Base Metals
|
4.6
|
%
|
||
Energy
|
3.7
|
%
|
||
Equities
|
2.1
|
%
|
||
Foreign Exchange
|
13.7
|
%
|
||
Long Term / Intermediate Rates
|
11.6
|
%
|
||
Precious Metals
|
(8.1
|
)%
|
||
Short Term Rates
|
72.4
|
%
|
||
100.0
|
%
|
Agriculture / Softs
|
$
|
80,357
|
||
Base Metals
|
(171,591
|
)
|
||
Energy
|
(557,842
|
)
|
||
Equities
|
424,694
|
|||
Foreign Exchange
|
(294,570
|
)
|
||
Long Term / Intermediate Rates
|
266,944
|
|||
Precious Metals
|
(217,145
|
)
|
||
Short Term Rates
|
546,545
|
|||
$
|
77,392
|
Agriculture / Softs
|
(2.5
|
)%
|
||
Base Metals
|
(3.5
|
)%
|
||
Energy
|
(44.2
|
)%
|
||
Equities
|
(20.1
|
)%
|
||
Foreign Exchange
|
1,299.7
|
%
|
||
Long Term / Intermediate Rates
|
21.4
|
%
|
||
Precious Metals
|
(528.8
|
)%
|
||
Short Term Rates
|
(622.0
|
)%
|
||
100.0
|
%
|
Blended Strategies
Portfolio
|
|||
8.53%
|
|
||
13.03%
|
|
||
9.38%
|
|
Item 3. |
Item 4. |
Item 1. |
Legal Proceedings
|
Item 1A. |
Risk Factors
|
Item 2. |
Unregistered Sales of Equity Securities and Use of Proceeds
|
Date
|
(a) Total
Number of
Units
Purchased1
|
(b) Average
Price Paid
per Unit
|
(c) Total Number of
Units Purchased as
Part of Publicly
Announced Plans
or Programs
|
(d) Maximum Number
of Approximate
Dollar Value of
Units that May Yet
Be Purchased
Under the Plans or
Programs
|
||||||||||
January 1 - January 31, 2020
|
2,515.021
|
$ |
131.05
|
N/A
|
N/A
|
|||||||||
February 1 - February 29, 2020
|
802.090
|
$ |
123.85
|
N/A
|
N/A
|
|||||||||
March 1 - March 31, 2020
|
564.621
|
$ |
159.32
|
N/A
|
N/A
|
|||||||||
TOTAL
|
3,881.732
|
$ |
133.68
|
N/A
|
N/A
|
Item 3. |
Defaults Upon Senior Securities – None
|
Item 4. |
Mine Safety Disclosures – None
|
Item 5. |
Other Information – None
|
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
|
|
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
|
XBRL Instance Document
|
*** 101.SCH
|
XBRL Taxonomy Extension Schema
|
*** 101.CAL
|
XBRL Taxonomy Extension Calculation Linkbase
|
*** 101.DEF
|
XBRL Taxonomy Extension Definition Linkbase
|
*** 101.LAB
|
XBRL Taxonomy Extension Label Linkbase
|
*** 101.PRE
|
XBRL Taxonomy Extension Presentation Linkbase
|
* |
** |
*** |
Dated: May 15, 2020
|
GRAHAM ALTERNATIVE INVESTMENT FUND I LLC
|
|
BLENDED STRATEGIES PORTFOLIO
|
||
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: | 5/15/20 | |||
5/1/20 | ||||
4/1/20 | ||||
For Period end: | 3/31/20 | |||
3/30/20 | 10-K, D/A | |||
2/29/20 | ||||
1/31/20 | ||||
12/31/19 | 10-K | |||
10/31/19 | ||||
3/31/19 | 10-Q | |||
12/31/18 | 10-K | |||
3/31/18 | 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 |