SEC Info - Graham Alternative Investment Fund I LLC

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		Alternative Formats (Word, et al.) Condensed Schedules of Investments at March 31, 2019 (Unaudited) and December 31, 2018 (Audited) Controls and Procedures Exhibits Index Management's Discussion and Analysis of Financial Condition and Results of Operations Notes to Unaudited Financial Statements Quantitative and Qualitative Disclosures about Market Risk Statements of Financial Condition at March 31, 2019 (Unaudited) and December 31, 2018 (Audited) Unaudited Statements of Cash Flows for the Three Months Ended March 31, 2019 and 2018 Unaudited Statements of Changes in Members' Capital for the Three Months Ended March 31, 2019 and 2018 Unaudited Statements of Operations and Incentive Allocation for the Three Months Ended March 31, 2019 and 2018 Unaudited Statements of Operations for the Three Months Ended March 31, 2019 and 2018
1	1st Page – Filing Submission
"	Index
"	Statements of Financial Condition at March 31, 2019 (Unaudited) and December 31, 2018 (Audited)
"	Unaudited Statements of Operations for the Three Months Ended March 31, 2019 and 2018
"	Unaudited Statements of Changes in Members' Capital for the Three Months Ended March 31, 2019 and 2018
"	Unaudited Statements of Cash Flows for the Three Months Ended March 31, 2019 and 2018
"	Notes to Unaudited Financial Statements
"	Condensed Schedules of Investments at March 31, 2019 (Unaudited) and December 31, 2018 (Audited)
"	Unaudited Statements of Operations and Incentive Allocation for the Three Months Ended March 31, 2019 and 2018
"	Management's Discussion and Analysis of Financial Condition and Results of Operations
"	Quantitative and Qualitative Disclosures about Market Risk
"	Controls and Procedures
"	Exhibits

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended March 31, 2019

OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from to

Commission File Number 0-53965

GRAHAM ALTERNATIVE INVESTMENT FUND I LLC

BLENDED STRATEGIES PORTFOLIO

(Exact name of registrant as specified in its charter)

Delaware		20-4897069
(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)

c/o GRAHAM CAPITAL MANAGEMENT, L.P.

40 Highland Avenue

Rowayton, CT 06853

(Address of principal executive offices) (Zip Code)

Brian Douglas

Graham Capital Management, L.P.

40 Highland Avenue

Rowayton, CT 06853

(203) 899-3400

(Registrant’s telephone number, including area code)

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

Yes ☒ No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).

Yes ☒ No ☐

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

Large accelerated filer ☐

Accelerated filer ☐

Non-accelerated filer ☐

Smaller reporting company ☒

Emerging Growth company ☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

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

Yes ☐ No ☒

Securities registered pursuant to Section 12(b) of the Act:

Title of each class	Trading Symbol(s)	Name of each exchange on which registered
None	N/A	None

As of May 1, 2019, 240,127.062 Units of the Blended Strategies Portfolio were outstanding.

GRAHAM ALTERNATIVE INVESTMENT FUND I LLC

BLENDED STRATEGIES PORTFOLIO

FORM 10-Q

INDEX

			Page Number

PART I - Financial Information:

	Item 1.	Financial Statements:

		Graham Alternative Investment Fund I LLC Blended Strategies Portfolio

		Statements of Financial Condition at March 31, 2019 (Unaudited) and December 31, 2018 (Audited)	1

		Unaudited Statements of Operations for the Three Months Ended March 31, 2019 and 2018	2

		Unaudited Statements of Changes in Members’ Capital for the Three Months Ended March 31, 2019 and 2018	3

		Unaudited Statements of Cash Flows for the Three Months Ended March 31, 2019 and 2018	4

		Notes to Unaudited Financial Statements	5

		Graham Alternative Investment Trading LLC

		Statements of Financial Condition at March 31, 2019 (Unaudited) and December 31, 2018 (Audited)	12

		Condensed Schedules of Investments at March 31, 2019 (Unaudited) and December 31, 2018 (Audited)	13

		Unaudited Statements of Operations and Incentive Allocation for the Three Months Ended March 31, 2019 and 2018	14

		Unaudited Statements of Changes in Members’ Capital for the Three Months Ended March 31, 2019 and 2018	15

		Unaudited Statements of Cash Flows for the Three Months Ended March 31, 2019 and 2018	16

		Notes to Unaudited Financial Statements	17

	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	52

	Item 3.	Quantitative and Qualitative Disclosures about Market Risk	58

	Item 4.	Controls and Procedures	59

PART II - Other Information			60

Exhibits			62

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

Index

PART I

Item 1.

Financial Statements

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Statements of Financial Condition

	March 31, 2019 (Unaudited)		December 31, 2018 (Audited)
Assets
Investment in Graham Alternative Investment Trading LLC, at fair value	$	28,371,553	$	31,314,964
Redemptions receivable from Graham Alternative Investment Trading LLC		879,185		337,111
Total assets	$	29,250,738	$	31,652,075

Liabilities and members’ capital
Liabilities:
Redemptions payable	$	879,185	$	337,111
Total liabilities		879,185		337,111

Members’ capital:
Class 0 Units (127,011.118 and 137,453.802 units issued and outstanding at $133.70 and $133.70, respectively)		16,981,301		18,378,136
Class 2 Units (118,865.890 and 134,750.838 units issued and outstanding at $95.82 and $96.01, respectively)		11,390,252		12,936,828
Total members’ capital		28,371,553		31,314,964
Total liabilities and members’ capital	$	29,250,738	$	31,652,075

See accompanying notes and the attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Unaudited Statements of Operations

	Three Months Ended March 31,
	2019			2018
Net gain allocated from investment in Graham Alternative Investment Trading LLC
Net realized (loss) gain on investments	$	(261,113	)	$	2,011,589
Net increase (decrease) in unrealized appreciation on investments		338,505			(1,001,491	)
Brokerage commissions and fees		(53,139	)		(86,229	)
Net gain allocated from investment in Graham Alternative Investment Trading LLC		24,253			923,869

Net investment loss allocated from investment in Graham Alternative Investment Trading LLC
Investment income
Interest income		147,266			138,312

Expenses
Advisory fees		111,805			157,680
Sponsor fees		59,857			88,379
Professional fees and other		31,769			25,579
Administrator’s fees		10,132			13,565
Interest expense		1,587			-
Total expenses		215,150			285,203
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC		(67,884	)		(146,891	)
Net (loss) income	$	(43,631	)	$	776,978

See accompanying notes and the attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Unaudited Statements of Changes in Members’ Capital

For the Three Months Ended March 31, 2019 and 2018

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

Members’ capital, December 31, 2017		167,183.591		$	23,556,805			183,209.822		$	18,676,134		$	42,232,939
Subscriptions		–			–			–			–			–
Redemptions		(17,437.576	)		(2,601,690	)		(2,480.174	)		(264,470	)		(2,866,160	)
Net income		–			494,527			–			282,451			776,978
Members’ capital, March 31, 2018		149,746.015		$	21,449,642			180,729.648		$	18,694,115		$	40,143,757

	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

See accompanying notes and the attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Unaudited Statements of Cash Flows

	Three Months Ended March 31,
	2019			2018
Cash flows provided by operating activities
Net (loss) income	$	(43,631	)	$	776,978
Adjustments to reconcile net (loss) income to net cash provided by operating activities:
Net loss (income) allocated from investments in Graham Alternative Investment Trading LLC		43,631			(776,978	)
Proceeds from sale of investments in Graham Alternative Investment Trading LLC		2,432,706			2,518,835
Investments in Graham Alternative Investment Trading LLC		(75,000	)		–
Net cash provided by operating activities		2,357,706			2,518,835

Cash flows used in financing activities
Subscriptions		75,000			–
Redemptions		(2,432,706	)		(2,518,835	)
Net cash used in financing activities		(2,357,706	)		(2,518,835	)

Net change in cash and cash equivalents		–			–

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

See accompanying notes and the attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements

March 31, 2019

1. Organization and Business

The Blended Strategies Portfolio (the “Fund”) is a series of Graham Alternative Investment Fund I LLC (“GAIF I”), a Delaware Series Limited Liability Company established through an amendment to the certificate of formation, effective March 28, 2013. Prior to March 28, 2013, GAIF I was organized as a Delaware Limited Liability Company which was formed on May 16, 2006 and commenced operations on August 1, 2006. GAIF I has one other active series in addition to the Fund, the Systematic Strategies Portfolio. GAIF I is registered as a commodity pool and as such is subject to the oversight and jurisdiction of the U.S. Commodity Futures Trading Commission (“CFTC”).

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

The Fund offers investors Class 0 and Class 2 Units (collectively the “Units”). The Fund invests all of its assets dedicated to trading in Graham Alternative Investment Trading LLC (“GAIT”), a Delaware Limited Liability Company which was formed on May 18, 2006 and commenced operations on August 1, 2006. GAIT invests in various master trading vehicles (“Master Funds”) and Graham Cash Assets LLC (“Cash Assets”), all of which are managed by Graham Capital Management, L.P. (the “Advisor” or “Manager”). The Manager is the manager and the sole investment advisor of GAIT and the Fund. The Manager is registered as a Commodity Pool Operator and Commodity Trading Advisor with the CFTC and is a member of the National Futures Association. The Manager is also registered with the Securities and Exchange Commission as an investment adviser. The Fund’s Units are registered under Section 12 of the Securities Exchange Act of 1934.

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

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

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

The performance of the Fund is directly affected by the performance of GAIT; therefore, these financial statements should be read in conjunction with the attached financial statements of GAIT, including the condensed schedules of investments.

See attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

1. Organization and Business (continued)

Duties of the Manager

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

2. Summary of Significant Accounting Policies

These financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and all amounts are stated in U.S. dollars. The Fund is an investment company and applies specialized accounting guidance as outlined in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies. The preparation of these financial statements requires the Manager to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.

Investment in Graham Alternative Investment Trading LLC

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

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

At March 31, 2019 and December 31, 2018, the Fund owned 50.19% and 51.83%, respectively of GAIT.

Fair Value

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

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

See attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Fair Value (continued)

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

•

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

•

Level 2 inputs include quoted prices for similar assets and liabilities obtained from independent brokers and/or market makers in each security.

•

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

The Fund’s investment in GAIT has been valued at net asset value using the practical expedient. Accordingly, under U.S. GAAP, this investment is excluded from categorization in the fair value hierarchy. There were no Level 3 assets or liabilities held at any point during the three months ended March 31, 2019 or the year ended December 31, 2018 by the Fund, GAIT, the Master Funds or Cash Assets.

Cash and Cash Equivalents

The Fund classifies all highly liquid investments with a maturity of three months or less at the time of purchase as cash equivalents. Cash deposited with a bank is subject to credit risk. In the event of the bank’s insolvency, recovery of the Fund’s cash would be limited to account insurance or other protection afforded by such deposit. At March 31, 2019 and December 31, 2018, the Fund did not have any cash or cash equivalents.

Indemnifications

In the normal course of business, the Master Funds, GAIT, Cash Assets and the Fund enter into contracts that contain a variety of indemnifications. Such contracts may include those by Cash Assets and the Master Funds with their brokers and trading counterparties. The Fund’s maximum exposure under these arrangements is unknown; however, the Fund has not had prior claims or losses with respect to such indemnifications and considers the risk of loss to be remote. At March 31, 2019 and December 31, 2018, no accruals have been recorded by the Fund for indemnifications.

3. Capital Accounts

The Fund offers two classes (each a “Class”) of Units, being Class 0 Units and Class 2 Units. The Fund may issue additional Classes in the future subject to different fees, expenses or other terms, or to invest in other investment programs or combinations of investment programs managed by the Manager.

See attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

3. Capital Accounts (continued)

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

Subscriptions

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

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

Redemption of Units

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

4. Fees and Related Party Transactions

Advisory Fees

Each Class of GAIT other than Class M paid the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate of 1.50% of the Members’ Capital of such Class. The Advisory Fee is payable monthly in arrears calculated as of the last business day of each month and any other date the Manager may permit, in its sole and absolute discretion, as of which any subscription or redemption is effected with respect to Units of such Class during the month. For the three months ended March 31, 2019 and 2018, the Advisory Fees allocated to the Fund by each Class of GAIT totaled $111,805 and $157,680, respectively.

See attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

4. Fees and Related Party Transactions (continued)

Sponsor Fees

Each Class of GAIT other than Class M paid the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate of the Members’ Capital specified in the table below. The Sponsor Fee is payable monthly in arrears calculated as of the last business day of each month in the same manner as the Advisory Fee. For the three months ended March 31, 2019 and 2018, the Sponsor Fees allocated to the Fund by each Class of GAIT totaled $59,857 and $88,379, respectively.

Class 0	Class 2

0.50%	1.25%

Incentive Allocation

At the end of each calendar quarter, Graham Capital LLC, an affiliate of the Manager, will receive a special allocation of net profits (the “Incentive Allocation”) in an amount equal to 20% of the New High Net Trading Profits of each Class of GAIT, as defined in the LLC Agreement. The Incentive Allocation is also accrued and allocable on the date of redemption with respect to any Units that are redeemed prior to the end of a calendar quarter. Additionally, any loss carryforward attributable to any class of GAIT shall be proportionately reduced, effective as of the date of any redemption of any Units of such class, by multiplying the loss carryforward by the ratio that the amount of capital redeemed from such class bears to the capital of such class immediately prior to such redemption. The loss carryforward of a class must be recouped before any subsequent Incentive Allocation can be made to the Manager. There was no Incentive Allocation allocated to the Fund by GAIT for the three months ended March 31, 2019 and 2018.

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

Administrator’s Fee

For the three months ended March 31, 2019 and 2018, GAIT paid SEI a monthly administrator’s fee based on GAIT’s Members’ Capital, calculated as of the last business day of each month. In addition, GAIT reimbursed SEI for reasonable out-of-pocket expenses incurred on behalf of GAIT. The total administrator’s fees, including out-of-pocket expenses, allocated to the Fund by GAIT for the three months ended March 31, 2019 and 2018 were $10,132 and $13,565, respectively.

5. Income Taxes

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

See attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

5. Income Taxes (continued)

U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a “more-likely-than-not” threshold would be recorded as a tax expense in the current year. The Fund identifies its major tax jurisdictions as U.S. for federal tax purposes and Connecticut for state tax purposes. The Manager has evaluated the Fund’s tax positions and has concluded that there are no significant tax positions requiring recognition, measurement or disclosure in the financial statements for open tax years 2016 through 2018 or expected to be taken in the Fund’s 2019 tax returns. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination. Any assessment for interest or penalties on taxes related to uncertain tax positions, when present, would be included in interest and penalties on tax on the statements of operations. No such interest and/or penalties were assessed to the Fund.

6. Financial Highlights

The following is the per Unit operating performance calculation for the three months ended March 31, 2019 and 2018:

	Class 0			Class 2
Per unit operating performance
Net asset value per unit, December 31, 2017	$	140.90		$	101.94
Net income:
Net investment loss		(0.39	)		(0.47	)
Net gain on investments		2.73			1.97
Net income		2.34			1.50
Net asset value per unit, March 31, 2018	$	143.24		$	103.44

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

See attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

6. Financial Highlights (continued)

The following represents ratios to average members’ capital, excluding the managing member, and total return for the three months ended March 31, 2019 and 2018:

	Class 0						Class 2
	2019			2018			2019			2018

Total return before Incentive Allocation		0.00	%		1.66	%		(0.20	)%		1.47	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total return after Incentive Allocation		0.00	%		1.66	%		(0.20	)%		1.47	%

Net investment loss before Incentive Allocation		(0.15	)%		(0.27	)%		(0.34	)%		(0.45	)%
Incentive Allocation		0.00			0.00			0.00			0.00
Net investment loss after Incentive Allocation		(0.15	)%		(0.27	)%		(0.34	)%		(0.45	)%

Total expenses before Incentive Allocation		0.65	%		0.60	%		0.84	%		0.78	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total expenses after Incentive Allocation		0.65	%		0.60	%		0.84	%		0.78	%

Total return is calculated for Class 0 and Class 2 Units taken as a whole. Total return is calculated as the change in total Members’ Capital adjusted for subscriptions or redemptions during the period. An individual member’s return may vary from these returns based on the timing of capital transactions. The net investment loss and total expense ratios (including Incentive Allocation) are calculated for Class 0 and Class 2 Units taken as a whole and include net amounts allocated from GAIT. The computation of such ratios is based on the amount of net investment loss, expenses and Incentive Allocation. Net investment loss and total expense ratios are computed based upon the weighted average of Members’ Capital for Class 0 and Class 2 Units of the Fund for the three months ended March 31, 2019 and 2018, and are not annualized.

7. Subsequent Events

The Fund had subscriptions of approximately $0.1 million and redemptions of approximately $0.8 million from April 1, 2019 through May 15, 2019, the date through which subsequent events were evaluated by management and financial statements were available for issuance. These amounts have not been included in the financial statements.

See attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Trading LLC

Statements of Financial Condition

	March 31, 2019 (Unaudited)		December 31, 2018 (Audited)
Assets
Investments in Master Funds, at fair value	$	5,448,451	$	5,730,163
Investment in Graham Cash Assets LLC, at fair value		52,734,578		55,501,064
Receivable from Master Funds		6,640		43
Total assets	$	58,189,669	$	61,231,270

Liabilities and members’ capital
Liabilities:
Redemptions payable	$	1,393,337	$	520,046
Accrued professional fees		149,821		165,656
Accrued advisory fees		72,484		76,351
Accrued sponsor fees		38,346		41,055
Accrued administrator’s fee		6,590		6,870
Payable to Master Funds		4,499		68
Total liabilities		1,665,077		810,046

Members’ capital:
Class 0 Units (250,323.282 and 263,114.613 units issued and outstanding at $133.70 and $133.70 per unit, respectively)		33,468,051		35,179,498
Class 2 Units (228,788.396 and 251,175.400 units issued and outstanding at $95.82 and $96.01 per unit, respectively)		21,923,503		24,114,225
Class M Units (4,671.470 units issued and outstanding at $242.54 and $241.36 per unit, respectively)		1,133,038		1,127,501
Total members’ capital		56,524,592		60,421,224
Total liabilities and members’ capital	$	58,189,669	$	61,231,270

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Condensed Schedules of Investments

	March 31, 2019 (Unaudited)				December 31, 2018 (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	$	2,326,621		4.12%	$	2,439,800		4.03%
Graham K4D Trading Ltd.		3,121,830		5.52%		3,290,363		5.45%
Total investments in Master Funds	$	5,448,451		9.64%	$	5,730,163		9.48%

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Unaudited Statements of Operations and Incentive Allocation

	Three Months Ended March 31,
	2019			2018
Net gain allocated from investments in Master Funds
Net realized (loss) gain on investments	$	(512,037	)	$	3,857,536
Net increase (decrease) in unrealized appreciation on investments		678,788			(2,005,298	)
Brokerage commissions and fees		(103,761	)		(166,803	)
Net gain allocated from investments in Master Funds		62,990			1,685,435

Net investment income allocated from investments in Master Funds		25,584			24,027

Investment income
Interest income		261,666			243,153
Total investment income		261,666			243,153

Expenses
Advisory fees		213,900			299,866
Sponsor fees		113,970			162,493
Professional fees and other		62,070			49,462
Administrator’s fee		19,758			26,182
Interest expense		3,095			-
Total expenses		412,793			538,003
Net investment loss of the Fund		(151,127	)		(294,850	)

Net (loss) income		(62,553	)		1,414,612

Incentive allocation		-			-

Net (loss) income available for pro-rata allocation to all members	$	(62,553	)	$	1,414,612

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Unaudited Statements of Changes in Members’ Capital

For the Three Months Ended March 31, 2019 and 2018

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

Members’ capital, December 31, 2017		331,577.130		$	46,720,480			320,722.151		$	32,693,924			4,671.470	$	1,164,668	$	80,579,072
Subscriptions		–			–			–			–			–		–		–
Redemptions		(21,577.372	)		(3,205,378	)		(6,473.455	)		(689,158	)		–		–		(3,894,536	)
Incentive allocation		–			–			–			–			–		–		–
Net income		–			889,307			–			500,135			–		25,170		1,414,612
Members’ capital, March 31, 2018		309,999.758		$	44,404,409			314,248.696		$	32,504,901			4,671.470	$	1,189,838	$	78,099,148

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

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Unaudited Statements of Cash Flows

	Three Months Ended March 31,
	2019			2018
Cash flows provided by operating activities
Net (loss) income	$	(62,553	)	$	1,414,612
Adjustments to reconcile net (loss) income to net cash provided by operating activities:
Net (income) allocated from investments in Master Funds		(88,574	)		(1,709,462	)
Net (income) allocated from investment in Graham Cash Assets LLC		(261,666	)		(243,153	)
Proceeds from sale of investments in Master Funds		16,696,438			20,559,136
Proceeds from sale of investments in Graham Cash Assets LLC		15,919,947			17,070,894
Investments in Master Funds		(16,328,318	)		(18,956,384	)
Investments in Graham Cash Assets LLC		(12,891,795	)		(14,752,598	)
Changes in assets and liabilities:
Decrease in accrued professional fees		(15,835	)		(18,923	)
Decrease in accrued advisory fees		(3,867	)		(2,515	)
Decrease in accrued sponsor fees		(2,709	)		(996	)
Decrease in accrued administrator’s fee		(280	)		(352	)
Net cash provided by operating activities		2,960,788			3,360,259

Cash flows used in financing activities
Subscriptions		398,500			–
Redemptions		(3,359,288	)		(3,360,259	)
Net cash used in financing activities		(2,960,788	)		(3,360,259	)

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	$	3,095		$	–

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements

March 31, 2019

1. Organization and Business

Graham Alternative Investment Trading LLC (“GAIT”) was formed on May 18, 2006, commenced operations on August 1, 2006 and is organized as a Delaware Limited Liability Company. Graham Capital Management, L.P. (the “Managing Member” or “Manager”) is the Managing Member and the sole investment advisor. The Managing Member is registered as a Commodity Pool Operator and Commodity Trading Advisor with the U.S. Commodity Futures Trading Commission (“CFTC”) and is a member of the National Futures Association. The Managing Member is also registered with the Securities and Exchange Commission as an investment adviser. GAIT is a commodity pool, and as such is subject to the oversight and jurisdiction of the CFTC.

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

Graham Alternative Investment Fund I LLC Blended Strategies Portfolio and Graham Alternative Investment Fund II LLC Blended Strategies Portfolio are the primary investors of GAIT.

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

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

Duties of the Managing Member

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

2. Summary of Significant Accounting Policies

These financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and all amounts are stated in U.S. dollars. GAIT is an investment company and applies specialized accounting guidance as outlined in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies. The preparation of these financial statements requires the Manager to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.

Investments in Master Funds

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

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Due from/to Brokers

Due from/to brokers on the Master Funds’ financial statements primarily consist of cash balances carried as margin deposits with clearing brokers for the purpose of trading in futures contracts, foreign currency contracts and other derivative financial instruments and securities, and receivables/payables for unsettled transactions. Substantially all of the Master Funds’ cash and investments are held as collateral by its brokers to secure derivative instruments and securities.

Revenue Recognition

All positions in financial instruments are recorded on the trade date at fair value. Net unrealized appreciation or depreciation on open derivative financial instruments is included in the Master Funds’ statements of financial condition as the difference between the original purchase price and the current market value at year end. Any change in net unrealized appreciation or depreciation from the preceding period is reported in the Master Funds’ statements of operations. Interest income and expense are recorded on the accrual basis. Dividends are recorded on the ex-dividend date and are net of applicable withholding taxes. All other expenses are recorded on the accrual basis. Realized gains and losses are calculated based on the specific identification method.

Brokerage Commissions and Fees

Brokerage commissions and fees on the Master Funds’ financial statements represent all brokerage commissions and other fees incurred in connection with the Master Funds’ trading activity and are recorded on the accrual basis.

Foreign Currency Translation

Assets and liabilities denominated in foreign currencies are translated using the exchange rates at March 31, 2019 and December 31, 2018. Gains and losses resulting from foreign currency transactions are calculated using daily exchange rates prevailing on the transaction date. The Master Funds do not isolate the portion of results of operations from changes in foreign exchange rates on investments and cash from fluctuations arising from changes in market prices held. The Master Funds’ currency translation gains and losses are included in the statements of operations and incentive allocation within net realized (loss) gain and net increase (decrease) in unrealized appreciation on investments.

Fair Value

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

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

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Fair Value (continued)

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

•

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

•

Level 2 inputs include quoted prices for similar assets and liabilities obtained from independent brokers and/or market makers in each security.

•

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

GAIT’s investments in the Master Funds and Graham Cash Assets LLC (“Cash Assets”) have been valued at net asset value using the practical expedient. Accordingly, under U.S. GAAP, these investments are excluded from categorization in the fair value hierarchy. GAIT’s investments in the Master Funds and Cash Assets are discussed in Notes 3 and 4. There were no Level 3 assets or liabilities held at any point during the three months ended March 31, 2019 or the year ended December 31, 2018 by GAIT, the Master Funds, or Cash Assets.

Derivative Instruments

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

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

Futures Contracts

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

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

Futures Contracts (continued)

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

Forward Contracts

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

Exchange traded forward contracts are valued based upon the settlement prices as of the valuation date, established by the primary exchange upon which they are traded. All other forward contracts are valued based upon a forward curve constructed using independently quoted forward points. Changes in fair value of each forward contract are recognized as unrealized appreciation and depreciation.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

Swap Contracts

The Master Funds may enter into various swap contracts in an attempt to take advantage of changes in interest rates and asset values. Exchange traded interest rate swap contracts are executed on an exchange which requires margin deposits with a Central Clearing Counterparty (“CCP”). Subsequent payments are made or received by the Master Funds each day, depending on the daily fluctuations in the value of the contract. These changes in valuation are recorded for financial statement purposes as unrealized appreciation or depreciation by the Master Funds. Relative to over-the-counter interest rate swap contracts, exchange-traded interest rate swap contracts provide reduced counterparty risk since they are exchange-traded and the exchange’s clearinghouse guarantees against default. The Commodity Exchange Act requires a CCP to segregate all funds received from such CCP’s customers in respect of exchange traded interest rate swaps. If the CCP were not to do so to the full extent required by law, the assets of the Master Funds might not be fully protected in the event of the bankruptcy or insolvency of the CCP. In that case, the Master Funds would be limited to recovering only a pro rata share of all available funds segregated on behalf of the CCP’s combined customer accounts, even though certain property specifically traceable to the Master Funds is held by the CCP. In addition, in the event of bankruptcy or insolvency of an exchange or an affiliated clearing house, the Master Funds could experience a loss of funds deposited through its CCP as margin with such exchange or affiliated clearing house, the loss of unrealized profits on its open positions, and the loss of funds owed to it as realized profits on closed positions. All funds deposited with both U.S. and non-U.S. CCPs are included in due from brokers on the statements of financial condition. Over the counter swap contracts are not guaranteed by an exchange or an affiliated clearing house or regulated by any U.S. or foreign government authorities. Failure of a counterparty to meet its obligation under the terms of the swap contract could result in the loss of any unrealized appreciation on open positions. It may not be possible to dispose of or close out a swap position without the consent of the counterparty, and the Master Funds may not be able to enter into an offsetting contract in order to cover its risk.

An interest rate swap contract is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified rates for a specified notional amount of the underlying assets. The payment flows are usually netted against each other, with the difference being paid by one party to another. Interest rate swap positions are generally valued as the present value of the net future cash flows as estimated by the Manager using a discount curve constructed from independently obtained future interest rate assumptions.

A total return swap contract is an agreement that obligates two parties to exchange cash flows calculated by reference to changes in specified prices for a specified notional amount of the underlying assets. The payment flows are usually netted against each other, with the difference being paid by one party to another. Total return swaps are generally valued based upon the value of the underlying instruments as determined by the primary exchange on which they are traded.

Exchange traded swaps are valued based upon the closing prices established by the primary exchange upon which they are traded. Changes in fair value of each swap are recognized as unrealized appreciation or depreciation. The Master Funds record realized gains or losses when a swap contract is terminated.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

Options

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

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

Selling uncovered options may subject the Master Funds to unlimited risk of loss. As the writer of an option, the Master Funds bear the market risk of an unfavorable change in the price of the underlying instrument.

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

Credit Risk Related Contingent Features

OTC derivative instruments are subject to ISDA Master Agreements which generally require among other things, that the Master Funds maintain a predetermined level of net assets or rate of return and provide limits with respect to any decline in value over 1-month, 3-month and 12-month periods. If the Master Funds were to violate such provisions, the counterparty to these instruments could demand liquidation of the outstanding positions. There were no events that occurred throughout three month period ended March 31, 2019 and the year ended December 31, 2018 which caused any counterparty to demand liquidation of any outstanding positions. Graham K4D Trading Ltd. had derivative instruments subject to credit risk related contingent features in a net liability position in the amount of $1,128,560 and $3,714,582 at March 31, 2019 and December 31, 2018, respectively. Graham Commodity Strategies LLC had derivative instruments subject to credit risk related contingent features in a net liability position in the amount of $0 and $1,049 at March 31, 2019 and December 31, 2018, respectively.

New York Mercantile Exchange Corporate Membership

Graham Commodity Strategies LLC, a Master Fund in which GAIT invests, is a member of the New York Mercantile Exchange (“NYMEX”). As a result of its membership, Graham Commodity Strategies LLC owns two NYMEX seats and 30,000 shares of the CME Group. Graham Commodity Strategy LLC’s policy is to value the NYMEX seats and the shares of the CME Group at fair value. As of March 31, 2019 and December 31, 2018, the two NYMEX seats were valued at $170,500 and $220,000, respectively, and the 30,000 shares of CME Group were valued at $4,937,400 and $5,643,600, respectively, both of which are contained within Exchange Memberships on Graham Commodity Strategies LLC’s statements of financial condition. The NYMEX seats and CME Group shares are considered Level 1 assets as described in the Fair Value section of Note 2.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Chicago Board of Trade Membership

Graham K4D Trading Ltd., a Master Fund in which GAIT invests, is a member of the Chicago Board of Trade (“CBOT”) under Rule 106.S and owns two B-1/Full seats and one B‑2/Associate seat (“collectively, “CBOT memberships”). Graham K4D Trading Ltd.’s policy is to value the CBOT memberships at fair value. As of March 31, 2019 and December 31, 2018, the two B-1/Full seats were valued at a total of $538,000 and $560,000, respectively, and the B-2/Associate seat was valued at $48,000 and $51,000, respectively, all of which are included in Exchange Memberships on the statements of financial condition. Additionally, Graham K4D Trading Ltd. owns a Chicago Mercantile Exchange (“CME”) seat valued at $90,000 and $145,500 at March 31, 2019 and December 31, 2018, respectively, which is also included in Exchange Memberships on the statements of financial condition. The CBOT memberships and CME seat are considered Level 1 assets as described in the Fair Value section of Note 2.

Fixed Income Securities

The fixed income securities positions are valued at the mean between the last reported bid and ask quotations received from independent brokers. GAIT is exposed to credit risk relating to whether the issuers will meet their obligations when they come due until the fixed income securities are sold or reach maturity.

Indemnifications

In the normal course of business, the Master Funds, Cash Assets, and GAIT enter into contracts that contain a variety of indemnifications. Such contracts may include those by Cash Assets and the Master Funds with their brokers and trading counterparties. GAIT’s maximum exposure under these arrangements is unknown; however, GAIT has not had prior claims or losses with respect to such indemnifications and considers the risk of loss to be remote. At March 31, 2019 and December 31, 2018, no accruals have been recorded by GAIT for indemnifications.

Cash and Cash Equivalents

GAIT classifies all highly liquid investments with a maturity of three months or less at the time of purchase as cash equivalents. Cash deposited with a bank is subject to credit risk. In the event of the bank’s insolvency, recovery of the GAIT’s cash would be limited to account insurance or other protection afforded by such deposit. At March 31, 2019 and December 31, 2018, GAIT did not have any cash or cash equivalents.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds

As of March 31, 2019 and December 31, 2018, GAIT invested in various Master Funds, all of which were managed by the Manager. GAIT’s investments in these Master Funds, as well as the investment objectives of each Master Fund, are summarized below. Master Funds in which GAIT invested 5% or more of its Members’ Capital are individually identified. All of the Master Funds and GAIT are related parties. The Master Funds do not charge management or incentive allocation, and all offer monthly subscriptions and redemptions.

March 31, 2019
Investment – Objective	Percent of Members’ Capital			Fair Value		Net Income (Loss) (three months ended March 2019)

Global Macro Funds
Graham Commodity Strategies LLC		4.12	%	$	2,326,621	$	(1,133,640	)

Systematic Macro Funds
Graham K4D Trading Ltd.		5.52	%		3,121,830		1,222,214
		9.64	%	$	5,448,451	$	88,574

December 31, 2018
Investment – Objective	Percent of Members’ Capital			Fair Value		Net Income (Loss) (three months ended March 2018)

Global Macro Funds
Graham Commodity Strategies LLC		4.03	%	$	2,439,800	$	3,932,753

Systematic Macro Funds
Graham K4D Trading Ltd.		5.45	%		3,290,363		(2,223,291	)
		9.48	%	$	5,730,163	$	1,709,462

The following table summarizes the financial position of each Master Fund as of March 31, 2019:

	Graham Commodity Strategies LLC (Delaware)			Graham K4D Trading Ltd. (BVI)
Assets:
Fixed income securities, at fair value (cost $31,087,793)	$	-		$	31,245,908
Due from brokers		87,930,729			7,336,850
Derivative financial instruments, at fair value		22,061,936			23,392,185
Exchange memberships, at fair value		5,107,900			676,000
Accrued interest income		-			130,054
Total assets		115,100,565			62,780,997

Liabilities:
Derivative financial instruments, at fair value		21,748,325			1,128,560
Due to brokers		-			3,742,687
Interest payable		-			7,724
Total liabilities		21,748,325			4,878,971
Members’ Capital / Net Assets	$	93,352,240		$	57,902,026

Percentage of Master Fund held by GAIT		2.49	%		5.39	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of March 31, 2019:

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)			$	5,107,900			5.47	%
Total exchange memberships			$	5,107,900			5.47	%

Derivative financial instruments
Long contracts
Futures
Commodity			$	(3,908,953	)		(4.19	)%
Currency				(250	)		(0.00	)%
Foreign bond				889			0.00	%
Foreign index				(17,518	)		(0.02	)%
Interest rate				(1,244,056	)		(1.33	)%
U.S. bond
U.S. Ultra bond June 2019		50		484,469			0.52	%
Other U.S. bond				(2,895,750	)		(3.10	)%
U.S. index				(796,178	)		(0.85	)%
Total futures				(8,377,347	)		(8.97	)%

Forwards
Taiwan dollar / U.S. dollar 04/08/2019 - 09/12/2019	TWD	27,008,346,000		(5,144,280	)		(5.51	)%
Other foreign currency				2,282,864			2.44	%
Total forwards				(2,861,416	)		(3.07	)%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of March 31, 2019:

Description	Number of Contracts / Notional Amounts		Fair Value			Percentage of Members’ Capital of Master Fund
Graham Commodity Strategies LLC (continued)
Derivative financial instruments (continued)
Long contracts (continued)
Options (cost $78,260,184)
Commodity futures			$	40,557			0.04	%
Currency
U.S. dollar / Chinese yuan April - December 2019, $6.35 - $6.75 Put		7		4,725,955			5.06	%
U.S. dollar / Chinese yuan April 2019, $6.92 Put		1		5,877,320			6.30	%
Other currency futures				22,645,336			24.26	%
Interest rate
Euro dollar 1yr midcurve June - September 2019, $96.50 Put		2		(5,625,000	)		(6.03	)%
Euro dollar 3yr midcurve September 2019, $98.00 Call		1		4,156,250			4.45	%
Euro dollar June 2019 - December 2020 $95.50 - $97.25 Put		6		1,737,275			1.86	%
Euro dollar September 2019 $97.50 Call		1		1,687,500			1.81	%
Euro dollar December 2019 $97.63 Call		1		7,800,000			8.36	%
Euro dollar March 2020 $97.88 Call		1		7,000,000			7.50	%
Other interest rate futures				416,875			0.45	%
U.S. index futures				3,790,000			4.06	%
Total options				54,252,068			58.12	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of March 31, 2019:

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				$	(403,910	)		(0.43	)%
Foreign bond					(235,513	)		(0.25	)%
Foreign index					(1,184,995	)		(1.27	)%
Interest rate					2,372,875			2.54	%
U.S. bond
U.S. Ultra bond March 2019		(3,147	)		(13,569,438	)		(14.54	)%
Other U.S. bond					138,719			0.15	%
Total futures					(12,882,262	)		(13.80	)%

Forwards
U.S. dollar / Taiwan dollar 04/08/2019 - 09/12/2019	TWD	(27,007,345,500	)		6,704,672			7.18	%
Other foreign currency					(4,294,221	)		(4.60	)%
Total forwards					2,410,451			2.58	%

Options (proceeds $53,200,750)
Commodity futures					(9,869	)		(0.01	)%
Currency futures
U.S. dollar / Chinese yuan April - December 2019, $6.35 - $6.75 Put		(8	)		(4,725,955	)		(5.06	)%
U.S. dollar / Chinese yuan April 2019, $6.92 Put		(1	)		(5,877,320	)		(6.30	)%
Other currency futures					(12,674,544	)		(13.57	)%
Interest rate futures
Euro dollar 3yr midcurve September 2019, $98.25 Call		(1	)		(2,078,125	)		(2.23	)%
Euro dollar September 2019 - March 2020, $97.88 - $98.50 Call		(4	)		(6,750,000	)		(7.23	)%
Euro dollar June 2019 - December 2020, $95.00 - $98.13 Put		(6	)		(2,965,625	)		(3.18	)%
Other interest rate futures					4,833,555			5.18	%
U.S. index futures					(1,980,000	)		(2.12	)%
Total options					(32,227,883	)		(34.52	)%
Total derivative financial instruments				$	313,611			0.34	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of March 31, 2019:

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 $31,087,793)
Bonds (cost $31,087,793)
United States (cost $31,087,793)
Government Bonds (cost $31,087,793)
U.S. Treasury bond 1.38% due 01/15/2020	$	31,500,000	$	31,245,908			53.96	%
Total United States				31,245,908			53.96	%
Total bonds				31,245,908			53.96	%
Total fixed income securities owned			$	31,245,908			53.96	%

Exchange memberships (cost $1,051,100)
United States (cost $1,051,100)
Financial services (cost $1,051,100)			$	676,000			1.17	%
Total exchange memberships			$	676,000			1.17	%

Derivative financial instruments
Long contracts
Futures
Commodity			$	2,554,591			4.41	%
Currency				91,734			0.16	%
Foreign bond				8,932,755			15.44	%
Foreign index				2,399,461			4.14	%
Interest rate				1,380,467			2.38	%
U.S. bond
U.S. 2 yr note June 2019		204		(501,400	)		(0.87	)%
U.S. 10 yr note June 2019		870		1,384,851			2.39	%
U.S. long bond June 2019		919		3,091,851			5.34	%
U.S. index				2,843,982			4.91	%
Total futures				22,178,292			38.30	%

Forwards
Foreign currency				(1,633,660	)		(2.82	)%
Total forwards				(1,633,660	)		(2.82	)%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of March 31, 2019:

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		$	1,213,250			2.11	%
Currency			25,566			0.04	%
Foreign bond			(224,747	)		(0.39	)%
Foreign index			(10,489	)		(0.02	)%
Interest rate			(122	)		(0.00	)%
U.S. bond			210,435			0.36	%
Total futures			1,213,893			2.10	%

Forwards
Foreign currency			505,100			0.87	%
Total forwards			505,100			0.87	%
Total derivative financial instruments		$	22,263,625			38.45	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the fair value classification of each investment type by Master Fund as of March 31, 2019:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Assets
Level 1:
Commodity futures	$	131,636		$	6,781,044
Commodity futures options		40,557			-
Currency futures		4,125			120,622
Exchange memberships		5,107,900			676,000
Foreign bond futures		889			8,932,755
Foreign index futures		585,887			3,089,493
Interest rate futures		3,779,624			1,514,150
Interest rate futures options		28,170,999			-
U.S. bond futures		2,331,727			4,687,137
U.S. index futures		295,047			2,875,953
U.S. index futures options		3,790,000			-
Total Level 1		44,238,391			28,677,154

Level 2:
Foreign currency forwards		25,151,672			2,283,555
Foreign currency options		33,248,611			-
Government bonds*		-			31,245,908
Total Level 2		58,400,283			33,529,463
Total investment related assets	$	102,638,674		$	62,206,617

Liabilities
Level 1:
Commodity futures	$	(4,444,499	)	$	(3,013,203	)
Commodity futures options		(9,869	)		-
Currency futures		(4,375	)		(3,322	)
Foreign bond futures		(235,513	)		(224,747	)
Foreign index futures		(1,788,400	)		(700,521	)
Interest rate futures		(2,650,805	)		(133,805	)
Interest rate futures options		(17,958,294	)		-
U.S. bond futures		(18,173,727	)		(501,400	)
U.S. index futures		(1,091,225	)		(31,971	)
U.S. index futures options		(1,980,000	)		-
Total Level 1		(48,336,707	)		(4,608,969	)

Level 2:
Foreign currency forwards		(25,602,637	)		(3,412,115	)
Foreign currency options		(23,277,819	)		-
Total Level 2		(48,880,456	)		(3,412,115	)
Total investment related liabilities	$	(97,217,163	)	$	(8,021,084	)

* See each Master Fund’s condensed schedule of investments for breakout of industry and geographic region.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities categorized by primary underlying risk of Graham Commodity Strategies LLC based on its average quarterly notional amounts and number of contracts for the three months ended March 31, 2019. The table also displays the fair value of derivative contracts held by Graham Commodity Strategies LLC at March 31, 2019 categorized by primary underlying risk. The fair value of derivative contracts is included in derivative financial instruments on the statements of financial condition. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.

	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities
Commodity price
Futures	$	303,865,567		3,208	$	(47,319,890	)		(1,086	)	$	131,636	$	(4,444,499	)
Options(a)		839,381		245		(114,825	)		(15	)		40,557		(9,869	)
		304,704,948		3,453		(47,434,715	)		(1,101	)		172,193		(4,454,368	)
Equity price
Futures		204,333,242		2,693		(4,124,654	)		(43	)		880,934		(2,879,625	)
Options(a)		173,942,951		4,000		(133,092,820	)		(8,000	)		3,790,000		(1,980,000	)
		378,276,193		6,693		(137,217,474	)		(8,043	)		4,670,934		(4,859,625	)

Foreign currency exchange rate
Forwards		8,977,631,571		N/A		(3,458,198,989	)		N/A			25,151,672		(25,602,637	)
Futures		2,587,488		25		-			-			4,125		(4,375	)
Options(a)		1,663,415,648		72		(2,127,157,677	)		(78	)		33,248,611		(23,277,819	)
		10,643,634,707		97		(5,585,356,666	)		(78	)		58,404,408		(48,884,831	)
Interest rate
Futures		11,845,478,991		47,388		(6,013,755,852	)		(26,698	)		6,112,240		(21,060,045	)
Options(a)		7,939,792,969		279,184		(4,034,314,464	)		(186,800	)		28,170,999		(17,958,294	)
		19,785,271,960		326,572		(10,048,070,316	)		(213,498	)		34,283,239		(39,018,339	)
Total	$	31,111,887,808		336,815	$	(15,818,079,171	)		(222,720	)	$	97,530,774	$	(97,217,163	)

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

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities categorized by primary underlying risk of Graham K4D Trading Ltd. based on its average quarterly notional amounts and number of contracts for the three months ended March 31, 2019. The table also displays the fair value of derivative contracts held by Graham K4D Trading Ltd. at March 31, 2019 categorized by primary underlying risk. The fair value of derivative contracts is included in derivative financial instruments on the statements of financial condition. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.

	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities
Commodity price
Futures	$	190,212,543		1,884	$	(191,537,286	)		(4,234	)	$	6,781,044	$	(3,013,203	)
		190,212,543		1,884		(191,537,286	)		(4,234	)		6,781,044		(3,013,203	)

Equity price
Futures		506,864,492		5,314		(679,572	)		(27	)		5,965,446		(732,492	)
		506,864,492		5,314		(679,572	)		(27	)		5,965,446		(732,492	)
Foreign currency exchange rate
Forwards		216,726,741		N/A		(662,026,033	)		N/A			2,283,555		(3,412,115	)
Futures		18,303,705		189		(4,387,859	)		(37	)		120,622		(3,322	)
		235,030,446		189		(666,413,892	)		(37	)		2,404,177		(3,415,437	)

Interest rate
Futures		2,534,671,973		13,137		(147,057,790	)		(1,006	)		15,134,042		(859,952	)
		2,534,671,973		13,137		(147,057,790	)		(1,006	)		15,134,042		(859,952	)
Total	$	3,466,779,454		20,524	$	(1,005,688,540	)		(5,304	)	$	30,284,709	$	(8,021,084	)

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

When multiple derivative contracts are held with the same counterparty, the Master Funds will net the contracts in an asset position with the contracts in a liability position when covered by a master netting agreement or similar arrangements, for presentation in the statements of financial condition. The table below displays the amounts at March 31, 2019 by which the fair values of both derivative assets and derivative liabilities were reduced within the Master Funds’ statements of financial condition as a result of this netting. Gross amounts below correspond to the total derivative asset and derivative liability balances categorized by primary underlying risk and product type in the preceding tables. Collateral pledged (received) for derivative assets and liabilities represent the cash amounts which are included in due from brokers on the statements of financial condition. Actual collateral pledged or received by the Master Funds may exceed these amounts.

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	$	97,530,774		$	(75,468,838	)	$	22,061,936		$	-		$	22,061,936
Derivative liabilities		(97,217,163	)		75,468,838			(21,748,325	)	$	21,748,325			-

Graham K4D Trading Ltd.²
Derivative assets	$	30,284,709		$	(6,892,524	)	$	23,392,185		$	(3,742,687	)	$	19,649,498
Derivative liabilities		(8,021,084	)		6,892,524			(1,128,560	)	$	1,128,560			-

¹Net derivative asset and liability amounts presented in the statements of financial condition are held with four counterparties. At March 31, 2019, additional collateral pledged in the amount of $66,166,654 was posted in support of derivative positions and is included in due from brokers on the statements of financial condition.

²Net derivative asset and liability amounts presented in the statement of financial condition are held with two counterparties. At March 31, 2019, additional collateral pledged in the amount of $6,208,290 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the results of operations of each Master Fund for the three months ended March 31, 2019:

	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

The following table shows the gains and losses on all financial instruments held by the Master Funds reported in net realized loss and net (decrease) increase in unrealized appreciation on investments in their statements of operations segregated by primary underlying risk and contract type for the three months ended March 31, 2019:

	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

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the financial position of each Master Fund as of December 31, 2018:

	Graham Commodity Strategies LLC (Delaware)			Graham K4D Trading Ltd. (BVI)
Assets:
Fixed income securities, at fair value (cost $62,362,617)	$	-		$	62,592,100
Due from brokers		76,813,273			13,515,716
Derivative financial instruments, at fair value		20,399,655			-
Exchange memberships, at fair value		5,863,600			756,500
Accrued interest income		36,830			364,002
Dividends receivable		36,750			-
Total assets		103,150,108			77,228,318

Liabilities:
Derivative financial instruments, at fair value		1,878,673			7,631,786
Interest payable		525			11,474
Total liabilities		1,879,198			7,643,260
Members’ Capital / Net Assets	$	101,270,910		$	69,585,058

Percentage of Master Fund held by GAIT		2.41	%		4.73	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2018:

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)			$	5,863,600			5.79	%
Total exchange memberships			$	5,863,600			5.79	%

Derivative financial instruments
Long contracts
Futures
Commodity			$	3,698,683			3.65	%
Currency				(1,165	)		(0.00	)%
Foreign index				(42,275	)		(0.04	)%
Interest rate
Fed Fund 30 day July 2019		13,491		14,851,438			14.67	%
Fed Fund 30 day January 2019 - December 2019		15,909		4,051,887			4.00	%
Other interest rate				719,375			0.71	%
U.S. bond
U.S. 5yr note March 2019		15,538		15,861,867			15.66	%
U.S. 2yr - 10yr note March 2019		5,294		2,530,094			2.50	%
U.S. long bond March 2019		200		(119,188	)		(0.12	)%
U.S. Ultra bond March 2019		411		947,844			0.94	%
U.S. index				43,370			0.04	%
Total futures				42,541,930			42.01	%

Forwards
Chinese yuan / U.S. dollar 02/01/2019 - 10/15/2019	CNH	2,289,561,625		3,331,384			3.29	%
Japanese yen / U.S. dollar 01/04/2019 - 01/07/2019	JPY	84,717,596,509		6,780,540			6.70	%
Taiwan dollar / U.S. dollar 01/03/2019 - 06/13/2019	TWD	48,008,984,652		3,144,452			3.10	%
Other foreign currency				869,160			0.86	%
Total forwards				14,125,536			13.95	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2018:

Description	Number of Contracts / Notional Amounts		Fair Value			Percentage of Members’ Capital of Master Fund
Graham Commodity Strategies LLC (continued)
Derivative financial instruments (continued)
Long contracts (continued)
Options (cost $75,200,814)
Commodity futures			$	2,337,480			2.31	%
Currency
Euro dollar / U.S. dollar January 2019 - May 2019, $1.15 - $1.34 Call		3		849,954			0.83	%
Euro dollar / U.S. dollar January 2019 - June 2019, $1.05 - $1.12 Put		5		3,613,066			3.57	%
U.S. dollar / Chinese yuan January 2019, $7.20 Call		1		20			0.00	%
U.S. dollar / Chinese yuan April 2019 - December 2019, $6.60 - $6.92 Put		4		9,111,130			9.00	%
U.S. dollar / Japanese yen February 2019, $110.60 Put		1		7,663,920			7.57	%
U.S. dollar / Japanese yen April 2019, $111.20 Put		1		7,368,200			7.27	%
U.S. dollar / Japanese yen January 2019 - May 2019, $109.75 - $111.60 Put		6		17,712,554			17.49	%
U.S. dollar / Taiwan dollar January 2019 - June 2019, $31.30 - $31.70 Call		11		1,806,425			1.78	%
Other currency				10,550,246			10.42	%
Interest rate
Euro dollar 1yr midcurve June 2019 – September 2019, $96.50 Put		2		(5,421,875	)		(5.35	)%
Euribor 2yr midcurve June 2019, $100.00 Call		1		4,171,579			4.12	%
Other interest rate futures				7,249,033			7.16	%
U.S. index futures				1,256,250			1.24	%
Total options				68,267,982			67.41	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2018:

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				$	225,676			0.22	%
Foreign bond					(504,546	)		(0.50	)%
Interest rate
Fed Fund 30 day August 2019		(13,491	)		(16,380,602	)		(16.17	)%
Fed Fund 30 day May 2019 - November 2019		(6,167	)		(5,045,154	)		(4.98	)%
Other interest rate					(47,354	)		(0.05	)%
U.S. Ultra bond March 2019		(2,837	)		(102,187	)		(0.10	)%
U.S. index					(242,000	)		(0.24	)%
Total futures					(22,096,167	)		(21.82	)%

Forwards
U.S. dollar / Chinese yuan 02/01/2019 - 10/15/2019	CNH	(2,874,294,571	)		(3,464,643	)		(3.42	)%
U.S. dollar / Japanese yen 01/04/2019 - 01/07/2019	JPY	(51,210,507,355	)		(3,940,829	)		(3.89	)%
U.S. dollar / Taiwan dollar 01/03/2019 - 06/13/2019	TWD	(56,242,002,182	)		(8,214,043	)		(8.11	)%
Other foreign currency					3,420,784			3.37	%
Total forwards					(12,198,731	)		(12.05	)%

Options (proceeds $66,816,605)
Commodity futures					(1,000,339	)		(0.99	)%
Currency
Euro dollar / U.S. dollar January 2019 - December 2019, $1.15 - $1.34 Call		(6	)		(7,129,507	)		(7.04	)%
Euro dollar / U.S. dollar February 2019 - June 2019, $1.05 - $1.10 Put		(4	)		(3,590,823	)		(3.55	)%
U.S. dollar / Chinese yuan January 2019, $7.40 Call		(1	)		(20	)		(0.00	)%
U.S. dollar / Chinese yuan April 2019 - December 2019, $6.35 - $6.92 Put		(4	)		(7,737,030	)		(7.64	)%
U.S. dollar / Japanese yen February 2019, $110.60 Put		(1	)		(7,663,920	)		(7.57	)%
U.S. dollar / Japanese yen April 2019, $111.20 Put		(1	)		(7,368,200	)		(7.28	)%
U.S. dollar / Japanese yen January 2019 - May 2019, $110.00 - $111.60 Put		(4	)		(17,155,353	)		(16.94	)%
Taiwan dollar / U.S. dollar May 2019 - June 2019, $31.55 - $31.63 Call		(2	)		(608,610	)		(0.60	)%
Other currency					(8,372,745	)		(8.26	)%
Interest rate
Euro dollar 1yr midcurve June 2019 - September 2019, $96.00 - $96.25 Put		(2	)		1,921,875			1.90	%
Euribor 2yr midcurve June 2019, $99.88 Call		(1	)		(9,137,745	)		(9.02	)%
Other interest rate futures					(1,468,651	)		(1.45	)%
U.S. index futures					(2,808,500	)		(2.77	)%
Total options					(72,119,568	)		(71.21	)%
Total derivative financial instruments				$	18,520,982			18.29	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2018:

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 $62,362,617)
Bonds (cost $62,362,617)
United States (cost $62,362,617)
Government Bonds (cost $62,362,617)
U.S. Treasury bond 1.13% due 01/15/2019	$	31,500,000	$	31,486,465			45.25	%
U.S. Treasury bond 1.38% due 01/15/2020		31,500,000		31,105,635			44.70	%
Total United States				62,592,100			89.95	%
Total bonds				62,592,100			89.95	%
Total fixed income securities owned			$	62,592,100			89.95	%

Exchange memberships (cost $1,051,100)
United States (cost $1,051,100)
Financial services (cost $1,051,100)			$	756,500			1.09	%
Total exchange memberships			$	756,500			1.09	%

Derivative financial instruments
Long contracts
Futures
Commodity
Natural gas February 2019		378	$	(5,558,587	)		(7.99	)%
Other commodity				(1,630,362	)		(2.35	)%
Currency
Japanese yen March 2019		4		11,862			0.02	%
Other currency				(291,631	)		(0.42	)%
Foreign bond				4,250,332			6.11	%
Foreign index				(1,951,495	)		(2.80	)%
Interest rate				480,650			0.69	%
U.S. bond
U.S. 10yr note March 2019		679		340,805			0.49	%
U.S. long bond March 2019		886		1,496,445			2.15	%
U.S. index				(3,303,916	)		(4.75	)%
Total futures				(6,155,897	)		(8.85	)%

Forwards
Japanese yen / U.S. dollar 01/04/2019 – 03/20/2019	JPY	7,409,817,000		518,746			0.75	%
Other foreign currency				876,576			1.26	%
Total forwards				1,395,322			2.01	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2018:

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				$	8,406,227			12.08	%
Currency					27,885			0.04	%
Foreign index					2,446,585			3.52	%
Interest rate
90 day Eurodollar June 2020		(3,081	)		(4,086,692	)		(5.87	)%
Other interest rate					(98,172	)		(0.14	)%
U.S. bond
U.S. 2 yr – 5 yr note March 2019		(2,956	)		(4,784,097	)		(6.88	)%
U.S. index					326,957			0.47	%
Total futures					2,238,693			3.22	%

Forwards
U.S. dollar / Japanese yen 01/04/2019 – 01/07 2019	JPY	(2,633,486,422	)		(143,282	)		(0.21	)%
U.S. dollar / Japanese yen 03/20/2019	JPY	(22,697,264,000	)		(6,247,196	)		(8.98	)%
Other foreign currency					1,280,574			1.84	%
Total forwards					(5,109,904	)		(7.35	)%
Total derivative financial instruments				$	(7,631,786	)		(10.97	)%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the fair value classification of each investment type by Master Fund as of December 31, 2018:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Assets
Level 1:
Commodity futures	$	4,486,309		$	10,924,441
Commodity futures options		2,337,480			-
Currency futures		475			59,691
Exchange memberships		5,863,600			756,500
Foreign bond futures		138,198			4,250,332
Foreign index futures		-			2,603,289
Interest rate futures		20,013,528			480,650
Interest rate futures options		13,342,488			-
U.S. bond futures		19,339,805			1,837,250
U.S. index futures		43,370			326,957
U.S. index futures options		1,256,250			-
Total Level 1		66,821,503			21,239,110

Level 2:
Foreign currency forwards		27,155,059			5,540,490
Foreign currency options		58,675,515			-
Government bonds*		-			62,592,100
Total Level 2		85,830,574			68,132,590
Total investment related assets	$	152,652,077		$	89,371,700

Liabilities
Level 1:
Commodity futures	$	(561,950	)	$	(9,707,163	)
Commodity futures options		(1,000,339	)		-
Currency futures		(1,640	)		(311,575	)
Foreign bond futures		(642,744	)		-
Foreign index futures		(42,275	)		(2,108,199	)
Interest rate futures		(21,863,938	)		(4,184,864	)
Interest rate futures options		(16,028,272	)		-
U.S. bond futures		(221,375	)		(4,784,097	)
U.S. index futures		(242,000	)		(3,303,916	)
U.S. index futures options		(2,808,500	)		-
Total Level 1		(43,413,033	)		(24,399,814	)

Level 2:
Foreign currency forwards		(25,228,254	)		(9,255,072	)
Foreign currency options		(59,626,208	)		-
Total Level 2		(84,854,462	)		(9,255,072	)
Total investment related liabilities	$	(128,267,495	)	$	(33,654,886	)

* See each Master Fund’s condensed schedule of investments for breakout of industry and geographic region.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities categorized by primary underlying risk of Graham Commodity Strategies LLC based on its average quarterly notional amounts and number of contracts for the year ended December 31, 2018. The table also displays the fair value of derivative contracts held by Graham Commodity Strategies LLC at December 31, 2018 categorized by primary underlying risk. The fair value of derivative contracts is included in derivative financial instruments on the statements of financial condition. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.

	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative assets		Derivative liabilities
Commodity price
Futures	$	272,541,861		5,754	$	(177,709,601	)		(3,732	)	$	4,486,309	$	(561,950	)
Options (a)		1,298,537,787		18,027		(380,553,060	)		(19,678	)		2,337,480		(1,000,339	)
		1,571,079,648		23,781		(558,262,661	)		(23,410	)		6,823,789		(1,562,289	)
Equity price
Futures		319,487,143		5,171		(165,950,877	)		(1,336	)		43,370		(284,275	)
Options (a)		254,692,833		16,240		(191,820,390	)		(23,034	)		1,256,250		(2,808,500	)
		574,179,976		21,411		(357,771,267	)		(24,370	)		1,299,620		(3,092,775	)
Foreign currency exchange rate
Forwards		16,918,431,703		N/A		(3,410,910,329	)		N/A			27,155,059		(25,228,254	)
Futures		423,939		4		-			-			475		(1,640	)
Options (a)		2,197,339,066		51		(2,396,099,814	)		(41	)		58,675,515		(59,626,208	)
		19,116,194,708		55		(5,807,010,143	)		(41	)		85,831,049		(84,856,102	)
Interest rate
Futures		20,804,178,975		62,009		(25,465,899,339	)		(76,933	)		39,491,531		(22,728,057	)
Options (a)		7,298,162,958		167,030		(8,522,843,364	)		(123,049	)		13,342,488		(16,028,272	)
		28,102,341,933		229,039		(33,988,742,703	)		(199,982	)		52,834,019		(38,756,329	)
Total	$	49,363,796,265		274,286	$	(40,711,786,774	)		(247,803	)	$	146,788,477	$	(128,267,495	)

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

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities categorized by primary underlying risk of Graham K4D Trading Ltd. based on its average quarterly notional amounts and number of contracts for the year ended December 31, 2018. The table also displays the fair value of derivative contracts held by Graham K4D Trading Ltd. at December 31, 2018 categorized by primary underlying risk. The fair value of derivative contracts is included in derivative financial instruments on the statements of financial condition. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.

	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative assets		Derivative liabilities
Commodity price
Futures	$	352,534,389		4,767	$	(315,959,595	)		(5,520	)	$	10,924,441	$	(9,707,163	)
		352,534,389		4,767		(315,959,595	)		(5,520	)		10,924,441		(9,707,163	)

Equity price
Futures		417,348,057		3,525		(137,133,948	)		(1,719	)		2,930,246		(5,412,115	)
		417,348,057		3,525		(137,133,948	)		(1,719	)		2,930,246		(5,412,115	)

Foreign currency exchange rate
Forwards		309,204,100		N/A		(781,505,253	)		N/A			5,540,490		(9,255,072	)
Futures		24,478,900		261		(16,744,023	)		(166	)		59,691		(311,575	)
		333,683,000		261		(798,249,276	)		(166	)		5,600,181		(9,566,647	)

Interest rate
Futures		1,794,077,328		9,368		(2,321,524,647	)		(13,412	)		6,568,232		(8,968,961	)
		1,794,077,328		9,368		(2,321,524,647	)		(13,412	)		6,568,232		(8,968,961	)
Total	$	2,897,642,774		17,921	$	(3,572,867,466	)		(20,817	)	$	26,023,100	$	(33,654,886	)

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

When multiple derivative contracts are held with the same counterparty, the Master Funds will net the contracts in an asset position with the contracts in a liability position when covered by a master netting agreement or similar arrangements, for presentation in the statements of financial condition. The table below displays the amounts at December 31, 2018 by which the fair values of both derivative assets and derivative liabilities were reduced within the Master Funds’ statements of financial condition as a result of this netting. Gross amounts below correspond to the total derivative asset and derivative liability balances categorized by primary underlying risk and product type in the preceding tables. Collateral pledged (received) for derivative assets and liabilities represent the cash amounts which are included in due from brokers on the statements of financial condition. Actual collateral pledged or received by the Master Funds may exceed these amounts.

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	$	146,788,477		$	(126,388,822	)	$	20,399,655		$	-	$	20,399,655
Derivative liabilities		(128,267,495	)		126,388,822			(1,878,673	)		1,878,673		-

Graham K4D Trading Ltd.²
Derivative assets	$	26,023,100		$	(26,023,100	)	$	-		$	-	$	-
Derivative liabilities		(33,654,886	)		26,023,100			(7,631,786	)		5,875,703		(1,756,083	)

¹Net derivative asset amounts presented in the statements of financial condition are held with three counterparties. The Master Fund has pledged/received offsetting collateral to/from one of those counterparties as of December 31, 2018. At December 31, 2018, additional collateral pledged in the amount of $74,833,150 was posted in support of derivative positions and is included in due from brokers on the statements of financial condition.

²Net derivative asset and liability amounts presented in the statement of financial condition are held with two counterparties. At December 31, 2018, additional collateral pledged in the amount of $7,640,013 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the results of operations of each Master Fund for the three months ended March 31, 2018:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.

Net investment income	$	282,598		$	324,223

Net realized gain (loss) on investments		174,143,394			(14,029,364	)
Net decrease in unrealized appreciation on investments		(23,309,411	)		(30,542,259	)
Brokerage commissions and fees		(5,837,575	)		(225,763	)
Net gain (loss) on investments		144,996,408			(44,797,386	)
Net income (loss)	$	145,279,006		$	(44,473,163	)

The following table shows the gains and losses on all financial instruments held by the Master Funds reported in net realized gain (loss) and net decrease in unrealized appreciation on investments in their statements of operations segregated by primary underlying risk and contract type for the three months ended March 31, 2018:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Commodity price
Futures	$	36,684		$	(14,457,132	)
Options		7,057,302			-
		7,093,986			(14,457,132	)
Equity price
Equities		490,700			(181,500	)
Futures		28,261,353			(14,962,755	)
Options		4,858,995			-
		33,611,048			(15,144,255	)
Foreign currency exchange rate
Forwards		8,570,002			(7,873,408	)
Futures		(62,925	)		203,191
Options		(8,360,347	)		-
		146,730			(7,670,217	)
Interest rate
Fixed income securities		-			(84,902	)
Futures		105,920,215			(7,215,117	)
Options		4,062,004			-
		109,982,219			(7,300,019	)
Total	$	150,833,983		$	(44,571,623	)

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC

GAIT invests a portion of its excess liquidity in Cash Assets, an entity for which the Manager is also the sole investment advisor. Cash Assets commenced operations on June 22, 2005 and was formed as a Delaware Limited Liability Company for the purpose of consolidating investment activity of multiple funds managed by the Manager. Its objective is to preserve capital while enhancing return on cash balances and providing daily liquidity. It invests in debt obligations guaranteed by the U.S. federal government which generally range in maturity from one to thirty months. Cash Assets also maintains cash and cash equivalents on deposit with major U.S. institutions. Cash Assets values all fixed income securities at amortized cost which approximates fair value. GAIT’s investment in Cash Assets is valued in the accompanying statements of financial condition at fair value in accordance with U.S. GAAP based upon GAIT’s proportionate share of Cash Assets’ reported net asset value. GAIT’s investment in GCA at March 31, 2019 and December 31, 2018 is $52,734,578 and $55,501,064 which represents a percentage of GAIT’s members’ capital of 93.29% and 91.86%, respectively.

GAIT records its proportionate share of Cash Assets’ investment income and expenses on a monthly basis. For the three months ended March 31, 2019 and 2018, the total amount recognized by GAIT with respect to its investment in Cash Assets was $261,666 and $243,153, respectively. These amounts are included in interest income in the statements of operations and incentive allocation. At March 31, 2019 and December 31, 2018, GAIT owned approximately 1.13% and 1.26%, respectively, of Cash Assets. The following table summarizes the financial position of Cash Assets as of March 31, 2019 and December 31, 2018:

	March 31, 2019		December 31, 2018
Assets:
Cash and cash equivalents	$	692,388,268	$	727,311,005
Investments in fixed income securities (amortized cost $3,954,567,670 and $3,678,136,029, respectively)		3,954,567,670		3,678,136,029
Interest receivable		12,387,975		12,116,133
Total assets		4,659,343,913		4,417,563,167

Liabilities:
Interest payable		17,000		-
Total liabilities		17,000		-

Members’ capital	$	4,659,326,913	$	4,417,563,167

The following table summarizes the results of operations of Cash Assets for the three months ended March 31, 2019 and 2018:

	2019		2018
Investment income
Interest income	$	22,034,981	$	18,318,485
Total investment income		22,034,981		18,318,485

Expenses:
Bank fee expense		32,846		23,740
Total expenses		32,846		23,740
Net investment income		22,002,135		18,294,745
Net income	$	22,002,135	$	18,294,745

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC (continued)

The following represents the condensed schedule of investments of Cash Assets as of March 31, 2019:

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Investments in Fixed Income Securities (amortized cost $3,954,567,670)
United States
Government Bonds (amortized cost $3,580,290,230)
U.S. Treasury bonds 0.75% – 3.13% due 04/15/2019 – 10/31/2020	$	3,600,000,000	$	3,580,290,230		76.84	%
Total Government Bonds				3,580,290,230		76.84	%

Treasury Bills (amortized cost $374,277,440)
U.S. Treasury bills 0.00% due 04/11/2019 – 06/13/2019		375,000,000		374,277,440		8.03	%
Total Treasury Bills				374,277,440		8.03	%
Total United States				3,954,567,670		84.87	%
Total Investments in Fixed Income Securities			$	3,954,567,670		84.87	%

The following represents the condensed schedule of investments of Cash Assets as of December 31, 2018:

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Investments in Fixed Income Securities (amortized cost $3,678,136,029)
United States
Government Bonds (amortized cost $3,678,136,029)
U.S. Treasury bonds 0.75% – 3.13% due 01/15/2019 – 10/31/2020	$	3,700,000,000	$	3,678,136,029		83.26	%
Total Government Bonds				3,678,136,029		83.26	%
Total United States				3,678,136,029		83.26	%
Total Investments in Fixed Income Securities			$	3,678,136,029		83.26	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC (continued)

Cash Assets reports the fair value of its investment related assets and liabilities in accordance with the hierarchy established under U.S. GAAP. The following table shows the fair value classification of each investment type held by Cash Assets as of March 31, 2019 and December 31, 2018:

	March 31, 2019		December 31, 2018
Assets
Level 2:
Fixed income securities
Government bonds	$	3,580,290,230	$	3,678,136,029
Treasury bills		374,277,440		-
Total fixed income securities		3,954,567,670		3,678,136,029
Total Level 2		3,954,567,670		3,678,136,029
Total assets	$	3,954,567,670	$	3,678,136,029

5. Capital Accounts

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

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

Subscriptions

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

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

Redemptions

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

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

6. Fees and Related Party Transactions

Advisory Fees

Each Class of GAIT other than Class M paid the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate of 1.50% of the Members’ Capital of such Class. The Advisory Fee is payable monthly in arrears calculated as of the last business day of each month and any other date the Manager may permit, in its sole and absolute discretion, as of which any subscription or redemption is affected with respect to Units of such Class during the month. The Advisory Fees paid to the Manager for the three months ended March 31, 2019 and 2018 were $213,900 and $299,866, respectively.

Sponsor Fees

Each Class of GAIT other than Class M paid the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate of the Members’ Capital specified in the table below. The Sponsor Fee is payable monthly in arrears calculated as of the last business day of each month in the same manner as the Advisory Fee. The Sponsor Fees paid to the Manager for the three months ended March 31, 2019 and 2018 were $113,970 and $162,493, respectively.

Class 0	Class 2

0.50%	1.25%

Incentive Allocation

At the end of each calendar quarter, Graham Capital LLC, an affiliate of the Manager, will receive a special allocation of net profits (the “Incentive Allocation”) in an amount equal to 20% of the New High Net Trading Profits of each Class as defined in the LLC Agreement. The Incentive Allocation is also accrued and allocable on the date of redemption with respect to any Units that are redeemed prior to the end of a calendar quarter. Additionally, any loss carryforward attributable to any class of GAIT shall be proportionately reduced effective as of the date of any redemption of any Units of such class by multiplying the loss carryforward by the ratio that the amount of assets redeemed from such class bears to the net assets of such class immediately prior to such redemption. The loss carryforward of a class must be recouped before any subsequent Incentive Allocation can be made. There was no Incentive Allocation for the three months ended March 31, 2019 and 2018.

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

Administrator’s Fee

For the three months ended March 31, 2019 and 2018, GAIT paid SEI a monthly administrator’s fee based on GAIT’s Members’ Capital, calculated as of the last business day of each month. In addition, GAIT reimbursed SEI for reasonable out-of-pocket expenses incurred on behalf of GAIT. The total administrator’s fees, including out-of-pocket expenses, incurred by GAIT were $19,758 and $26,182, respectively.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

7. Income Taxes

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

U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing GAIT’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a “more-likely-than-not” threshold would be recorded as a tax expense in the current year. GAIT identifies its major tax jurisdictions as the U.S. for federal tax purposes and Connecticut for state tax purposes. The Manager has evaluated GAIT’s tax positions and has concluded that there are no significant tax positions requiring recognition, measurement or disclosure in the financial statements for open tax years 2016 through 2018 or expected to be taken in GAIT’s 2019 tax returns. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination. Any assessment for interest or penalties on taxes related to uncertain tax positions, when present, would be included in interest and penalties on tax on the statements of operations and incentive allocation. No such interest and/or penalties were assessed to GAIT.

8. Financial Highlights

The following is the per Unit operating performance calculation for the three months ended March 31, 2019 and 2018:

	Class 0			Class 2
Per unit operating performance
Net asset value per unit, December 31, 2017	$	140.90		$	101.94
Net income:
Net investment loss		(0.39	)		(0.47	)
Net gain on investments		2.73			1.97
Net income		2.34			1.50
Net asset value per unit, March 31, 2018	$	143.24		$	103.44
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

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

8. Financial Highlights (continued)

The following represents ratios to average Members’ Capital, excluding the Managing Member, and total return for the three months ended March 31, 2019 and 2018:

	Class 0						Class 2
	2019			2018			2019			2018

Total return before Incentive Allocation		0.00	%		1.66	%		(0.20	)%		1.47	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total return after Incentive Allocation		0.00	%		1.66	%		(0.20	)%		1.47	%

Net investment loss before Incentive Allocation		(0.15	)%		(0.27	)%		(0.34	)%		(0.45	)%
Incentive Allocation		0.00			0.00			0.00			0.00
Net investment loss after Incentive Allocation		(0.15	)%		(0.27	)%		(0.34	)%		(0.45	)%

Total expenses before Incentive Allocation		0.65	%		0.60	%		0.83	%		0.78	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total expenses after Incentive Allocation		0.65	%		0.60	%		0.83	%		0.78	%

Total return is calculated for Class 0 and Class 2 units taken as a whole. Total return is calculated as the change in total Members’ Capital, excluding that of the Managing Member, adjusted for subscriptions or redemptions during the period. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Sponsor Fees, Administrator’s Fees, and the Incentive Allocation. The net investment loss and total expense ratios (including Incentive Allocation) are calculated for the Class 0 and Class 2 units taken as a whole and include amounts from GAIT and net investment loss and expenses allocated from Master Funds and investment income from Cash Assets. The computation of such ratios is based on the amount of net investment loss, total expenses and Incentive Allocation. Net investment loss and total expense ratios are computed based upon the weighted average of Members’ Capital of GAIT, excluding that of the Managing Member, for the three months ended March 31, 2019 and 2018.

9. Subsequent Events

GAIT had subscriptions of $0.2 million and redemptions of approximately $1.2 million from April 1, 2019 through May 15, 2019, the date through which subsequent events were evaluated by management and financial statements were available for issuance. These amounts have not been included in the financial statements.

Index

Item 2.

Management’s Discussion and Analysis of Financial Condition and Results of Operations

Forward-Looking Statements

Certain statements within this Quarterly Report on Form 10-Q may constitute forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 (“PSLRA”). These statements are being made pursuant to the PSLRA, with the intention of obtaining the benefits of the “safe harbor” provisions of the PSLRA, and, other than as required by law, we assume no obligation to update or supplement such statements. Forward-looking statements are those that do not relate solely to historical facts. They include, but are not limited to, any statement that may predict, forecast, indicate or imply future results, performance, achievements or events. You can identify these statements by the use of words such as “may,” “will,” “could,” “anticipate,” “believe,” “estimate,” “expect,” “intend,” “predict,” “continue,” “further,” “seek,” “plan,” or “project” and variations of these words or comparable words or phrases of similar meaning. These forward-looking statements reflect our current beliefs and expectations with respect to future events and are based on assumptions and are subject to risks and uncertainties and other factors outside our control that may cause actual results to differ materially from those projected, including the risks and uncertainties described in our Annual Report on Form 10-K for the year ended December 31, 2018 under the headings “Risk Factors” and “Management’s Discussion and Analysis of Financial Condition and Results of Operations.” We undertake no obligation to update publicly or review any forward-looking statement, whether as a result of new information, future developments or otherwise.

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

The following is a discussion of our current financial position and results of operations. This discussion should be read together with our annual financial statements and the notes thereto for the fiscal year ended December 31, 2018 included in our Annual Report on Form 10-K, as filed with the Securities and Exchange Commission on March 29, 2019. This discussion should also be read in conjunction with “Item 1: Financial Statements.” The information contained therein is essential to, and should be read in conjunction with, the following analysis. For the purposes of this filing beginning with Item 2, the term “Fund” shall include the Blended Strategies Portfolio of GAIF I, GAIT and the Master Funds in which they invest, unless the context implies otherwise. The Fund does not engage in the sale of goods or services. The Fund’s capital consists of capital contributions of the members, as increased or decreased by gains and losses from its investments in the Master Funds, interest, expenses and redemptions. Its only assets are its investments in the Master Funds. The Master Funds do not engage in the sale of goods or services. Their assets are comprised of the equity in their accounts with clearing brokers and OTC counterparties, in each case consisting of cash, open trade equity on derivatives and the net option premium paid or received. In the case of Graham Cash Assets LLC (“Cash Assets”), the assets consist of investments in debt obligations guaranteed by the U.S. federal government, as well as cash and cash equivalents.

For the three months ended March 31, 2019, the Blended Strategies Portfolio’s Members’ Capital decreased by $2,943,411 or -9.4%. The net decrease in the Blended Strategies Portfolio was attributable to redemptions totaling $2,974,780 or -9.5% and a net loss of $43,631 or -0.1% offset by subscriptions of $75,000 or 0.2%, for the period.

For the three months ended March 31, 2018, the Blended Strategies Portfolio’s Members’ Capital decreased by $2,089,182 or -5.0%. The net decrease in the Blended Strategies Portfolio was attributable to redemptions totaling $2,866,160 or -6.8% offset by net income of $776,978 or 1.8%, for the period.

(i)

Results of Operations

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

Index

2019 Summary

Three Months Ended March 31, 2019

For the three months ended March 31, 2019, the Blended Strategies Portfolio experienced net trading gains of $77,392. The trading results are attributable to the following sectors:

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

The Blended Strategies Portfolio recorded a modest gross trading gain for the first quarter of 2019. The portfolio recorded gains in fixed income futures, primarily from positions across the yield curve in the U.S. In equity index futures, the portfolio recorded gains in Asian benchmark indices. The portfolio experienced losses in commodities, most notably from positions in energy with smaller losses in metals. The portfolio also experienced losses in currencies, primarily from positions in the Canadian dollar and, to a lesser extent, the British pound sterling and Australian dollar versus the U.S. dollar.

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

For the three months ended March 31, 2019, Advisory Fees decreased by $45,875 or -29.1%, Sponsor Fees decreased by $28,522 or -32.3%, and Administrator’s Fees decreased by $3,433 or -25.3% in the Fund over the corresponding period of the preceding year. These decreases are attributable to lower net assets of the portfolio resulting from redemptions and a net loss partially offset by subscriptions for the period. During the same period, interest income increased by $8,954 or 6.5%. Interest was earned on free cash at an average annualized yield of 1.97% for the three months ended March 31, 2019 compared to 1.31% for the same period in 2018.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended March 31, 2019 and 2018 the portfolio has not yet recovered previous losses. As a result, there was no Incentive Allocation for those periods.

The following table illustrates the sector distribution of the Fund’s investments in Master Funds as of March 31, 2019 based on the fair value of the underlying assets and liabilities in each Master Fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

Agriculture / Softs	(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	%

Index

2018 Summary

Three Months Ended March 31, 2018

For the three months ended March 31, 2018, the Blended Strategies Portfolio experienced net trading gains of $1,010,098. The trading results are attributable to the following sectors:

Agriculture / Softs	$	(1,077	)
Base Metals		(238,585	)
Energy		27,304
Equities		55,711
Foreign Exchange		(211,951	)
Long Term / Intermediate Rates		(400,932	)
Precious Metals		(99,546	)
Short Term Rates		1,879,174
	$	1,010,098

The Blended Strategies Portfolio recorded a net gain for the first quarter of 2018. The majority of the gains resulted from positions in short term rates, most notably on the front end of the yield curve in the U.S. The portfolio experienced losses in commodity futures as gains from positions in energy were more than offset by losses in metals. The portfolio also recorded losses in foreign exchange, which offset a portion of the overall gains for the period.

For the three months ended March 31, 2018, Advisory Fees decreased by $148,721 or -48.5%, Sponsor Fees decreased by $158,161 or -64.2%, and Administrator’s Fees decreased by $10,028 or -42.5% in the Fund over the corresponding period of the preceding year. These decreases are attributable to lower net assets of the portfolio resulting from redemptions partially offset by net income for the period. The decrease in Sponsor Fees is also attributable to a reduction of the Class 2 Sponsor Fee rate from 2.75% in the first quarter of 2017 to 1.25% in the first quarter of 2018. The decrease in Sponsor Fees is also attributable to a reduction of the Class 0 Sponsor Fee rate from 0.75% in the first quarter of 2017 to 0.50% in the first quarter of 2018. The decrease in Advisory Fees is also attributable to a reduction of the Advisory Fee rate from 1.75% in the first quarter of 2017 to 1.50% in the first quarter of 2018. During the same period, interest income increased by $24,643 or 21.7%. Interest was earned on free cash at an average annualized yield of 1.31% for the three months ended March 31, 2018 compared to 0.68% for the same period in 2017.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended March 31, 2018 and 2017 the portfolio has not yet recovered previous losses. As a result, there was no Incentive Allocation for those periods.

Index

The following table illustrates the sector distribution of the Fund’s investments in Master Funds as of March 31, 2018 based on the fair value of the underlying assets and liabilities in each Master Fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

Agriculture / Softs	10.1	%
Base Metals	(2.1	)%
Energy	(9.7	)%
Equities	7.5	%
Foreign Exchange	31.2	%
Long Term / Intermediate Rates	21.3	%
Precious Metals	4.1	%
Short Term Rates	37.6	%
	100.0	%

Variables Affecting Performance

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

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

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

(ii)

Liquidity

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

Index

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

	Blended Strategies Portfolio
March 31, 2019		9.38	%
December 31, 2018		9.46	%
March 31, 2018		10.03	%

Other than any potential market-imposed limitations on liquidity, the Fund’s assets are highly liquid and are expected to remain so. Market-imposed limitations, when they occur, can be due to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Fund’s futures trading. Through March 31, 2019, the Fund experienced no meaningful periods of illiquidity in any of the markets traded by the Manager on behalf of the Fund.

(iii)

Capital Resources

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

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

(iv)

Critical Accounting Policies

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

Use of Estimates – The Fund’s financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and all amounts are stated in U.S. dollars except where noted. The preparation of the financial statements requires the Manager to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. The Fund’s significant accounting policies are described in detail in Note 2 of the financial statements.

Index

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

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

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

Investment Company – The Fund is an investment company and applies specialized accounting guidance as outlined in Financial Accounting Standards Board Accounting Standards Codification Topic 946 Update 2013-08, Financial Services – Investment Companies, Amendments to the Scope, Measurement, and Disclosure Requirements. The Manager has evaluated this guidance and has determined the Fund meets the criteria to be classified as an investment company.

Cash Assets – GAIT invests a portion of its excess liquidity in Cash Assets, an entity for which the Manager is also the sole investment advisor. The financial information of Cash Assets is included in the notes to the financial statements of GAIT.

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

U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a “more-likely-than-not” threshold would be recorded as a tax expense in the current year and the Fund identifies its major tax jurisdictions as U.S. Federal and Connecticut State. The Manager has evaluated the Fund’s tax positions and has concluded that there are no significant tax positions requiring recognition, measurement or disclosure in the financial statements for open tax years 2016 through 2018 or expected to be taken in the Fund’s 2019 tax returns. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination.

(v)

Off-Balance Sheet Arrangements

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

Index

Item 3.

Quantitative and Qualitative Disclosures about Market Risk

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

Index

Item 4.

Controls and Procedures

Evaluation of Disclosure Control and Procedures

The Fund has established disclosure controls and procedures to ensure that the information required to be disclosed by the Fund in the reports that it files or submits under the Securities Exchange Act of 1934, as amended, is recorded, processed, summarized, and reported within the time periods specified in SEC rules and forms and that such information is accumulated and communicated to the Manager and the Fund’s management, as appropriate, to allow timely decisions regarding required disclosure.

Based on their evaluation as of March 31, 2019, the Manager, along with the Manager’s principal executive officer and principal financial officer, has concluded that the Fund’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended) were effective.

Changes in Internal Control Over Financial Reporting

There were no changes to the Fund’s internal control over financial reporting during the first quarter of 2019 that have materially affected, or are reasonably likely to materially affect, the Fund’s internal control over financial reporting.

Index

PART II. OTHER INFORMATION

Item 1.

Legal Proceedings

None

Item 1A.

Risk Factors

There have been no material changes to the risk factors disclosed in our 2018 Form 10-K.

Index

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

For the three months ended March 31, 2019, the Fund issued 564.711 Units with respect to the Blended Strategies Portfolio.

The following chart sets forth the purchases of Units of the Fund during each month of the quarter covered by this report.

Period (as of)	Blended Strategies Portfolio Total Number of Units Issued
January 2019	-
February 2019	564.711
March 2019	-

Issuer Purchases of Units

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, 2019	7,930.029	107.12	N/A	N/A
February 1 - February 28, 2019	12,153.515	102.53	N/A	N/A
March 1 - March 31, 2019	6,808.799	129.12	N/A	N/A
TOTAL	26,892.343	110.62	N/A	N/A

¹Represents number of Units redeemed by Members of the Fund in accordance with the LLC Agreement.

Item 3.

Defaults Upon Senior Securities – None

Item 4.

Mine Safety Disclosures – None

Item 5.

Other Information – None

Index

Item 6.

Exhibits

* 3.1	Certificate of Formation of Graham Alternative Investment Fund I LLC
** 3.1(a)	Amendment to Certificate of Formation of Graham Alternative Investment Fund I LLC
** 3.2	Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC
*** 31.1	Rule 13a-14(a)/15d-14(a) Certification (Certification of Principal Executive Officer)
*** 31.2	Rule 13a-14(a)/15d-14(a) Certification (Certification of Principal Financial Officer)
*** 32.1	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

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

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

***

Filed herewith

Index

SIGNATURES

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

Dated: May 15, 2019		GRAHAM ALTERNATIVE INVESTMENT FUND I LLC
		BLENDED STRATEGIES 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

Graham Alternative Investment Fund I LLC – ‘10-Q’ for 3/31/19

On: Wednesday, 5/15/19, at 12:35pm ET · For: 3/31/19 · Accession #: 1140361-19-9167 · File #: 0-53965

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	2/28/19	4, 8-K
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	3/31/18	10-Q
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Graham Alternative Investment Fund I LLC – ‘10-Q’ for 3/31/19

On: Wednesday, 5/15/19, at 12:35pm ET · For: 3/31/19 · Accession #: 1140361-19-9167 · File #: 0-53965

Previous ‘10-Q’: ‘10-Q’ on 11/14/18 for 9/30/18 · Next: ‘10-Q’ on 8/14/19 for 6/30/19 · Latest: ‘10-Q’ on 11/14/23 for 9/30/23

Quarterly Report — Form 10-Q — Sect. 13 / 15(d) – SEA’34Filing Table of Contents

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‘10-Q’ — Quarterly Report
Document Table of Contents