DELAWARE | 20-4897069 | |
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) |
Title of each class | Trading Symbol(s) | Name of each exchange on which registered | |||
None | N/A | None |
Securities registered pursuant to Section 12(g) of the Act: | Core Macro Portfolio: Units of Interests | |
(Title of Class) |
Large accelerated filer ☐ | Accelerated filer ☐ | Non-accelerated filer ☐ | Smaller reporting company ☑ | Emerging Growth Company ☐ |
Item 1: | BUSINESS |
(i) | General |
(ii) | The Manager |
(iii) | The Trading Program |
(iv) | Use of Proceeds |
(i) | Advisory Fee |
(ii) | Sponsor Fee |
Class 0 | Class 2 |
0.50% | 1.25% |
(iii) | Incentive Allocation |
a. | The value of unrealized gain or loss on open futures contracts shall be recorded as the difference between the contract price on the trade date and the closing price reported as of the Valuation Day on the primary exchange on which such contracts are traded. |
b. | The value of any option listed or traded on any recognized foreign or U.S. exchange shall be the settlement price published by the principal exchange on which it is traded on the relevant Valuation Day. If the recognized foreign or U.S. exchange does not publish a settlement price, the value of any option listed or traded on any recognized foreign or U.S. securities exchange shall be the last reported sale price on the relevant Valuation Day on the principal exchange on which such option is traded. If no such sale of such option was reported on that date, the market value shall be the average of the last reported bid and asked price. The market value of any over-the-counter option for which representative broker’s quotations are available shall be determined in like manner by reference to the last reported sale price, or, if none is available, to the average of the last reported bid and asked quotation. Premiums for the sale of such options written by the Fund shall be included in the assets of the portfolio, and the market value of such options shall be included as a liability. |
c. | The value of any U.S. government security shall be the cost of such security plus accrued interest and discount. |
Item 1A: | RISK FACTORS |
Item 1B: | UNRESOLVED STAFF COMMENTS |
Item 1C: | Cybersecurity |
Item 2: | PROPERTIES |
Item 3: | LEGAL PROCEEDINGS |
Item 4: | MINE SAFETY DISCLOSURES |
Item 5: | MARKET FOR REGISTRANT’S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUER PURCHASES OF EQUITY SECURITIES |
(a) | Market information |
(b) | Holders |
(c) | Dividends |
Month beginning: | Core Macro Portfolio Class 0 Number of Units Purchased | Price of Core Macro Portfolio Class 0 Units Purchased | Core Macro Portfolio Class 2 Number of Units Purchased | Price of Core Macro Portfolio Class 2 Units Purchased | |||||||||||||
October 1, 2022 | 1,798.138 | $ | 230.97 | 921.741 | $ | 163.97 | |||||||||||
November 1, 2022 | 810.095 | $ | 224.11 | - | - | ||||||||||||
December 1, 2022 | 1,627.988 | $ | 224.59 | 968.677 | $ | 159.22 |
Month beginning: | Core Macro Portfolio Class 0 Number of Units Purchased | Price of Core Macro Portfolio Class 0 Units Purchased | Core Macro Portfolio Class 2 Number of Units Purchased | Price of Core Macro Portfolio Class 2 Units Purchased | ||||||||
October 1, 2023 | 308.824 | $ 239.25 | 1,682.001 | $ 168.94 | ||||||||
November 1, 2023 | - | - | - | - | ||||||||
December 1, 2023 | - | - | 457.876 | $ 158.20 |
Item 6: | RESERVED |
Item 7: | MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS |
(a) | Management’s Discussion and Analysis of Financial Condition and Results of Operations |
(i) |
Agriculture / Softs | $ | (58,559 | ) | ||
Base Metals | (78,387 | ) | |||
Energy | (323,362 | ) | |||
Equities | 1,334,575 | ||||
Foreign Exchange | 378,791 | ||||
Long Term / Intermediate Rates | (761,783 | ) | |||
Precious Metals | (392,714 | ) | |||
Short Term Rates | 76,011 | ||||
$ | 174,572 |
Agriculture / Softs | 90.0 | % | |||
Base Metals | 43.1 | % | |||
Energy | 68.2 | % | |||
Equities | (48.8 | )% | |||
Foreign Exchange | 390.9 | % | |||
Long Term / Intermediate Rates | 239.0 | % | |||
Precious Metals | (5.8 | )% | |||
Short Term Rates | (676.6 | )% | |||
100.0 | % |
Agriculture / Softs | $ | (147,371 | ) | ||
Base Metals | 106,735 | ||||
Commodity Mix | (63,460 | ) | |||
Energy | 1,425,170 | ||||
Equities | 638,791 | ||||
Foreign Exchange | 2,749,233 | ||||
Long Term / Intermediate Rates | 3,585,260 | ||||
Precious Metals | (270,892 | ) | |||
Short Term Rates | 1,066,283 | ||||
$ | 9,089,749 |
Agriculture / Softs | 54.9 | % | |||
Base Metals | (13.5 | )% | |||
Energy | 117.0 | % | |||
Equities | (354.0 | )% | |||
Foreign Exchange | 75.2 | % | |||
Long Term / Intermediate Rates | 84.8 | % | |||
Precious Metals | (3.0 | )% | |||
Short Term Rates | 138.6 | % | |||
100.0 | % |
Agriculture / Softs | $ | 659,505 | ||
Base Metals | 407,714 | |||
Energy | 806,437 | |||
Equities | 1,644,987 | |||
Foreign Exchange | 481,009 | |||
Long Term / Intermediate Rates | (1,669,494 | ) | ||
Precious Metals | (442,463 | ) | ||
Short Term Rates | 34,661 | |||
$ | 1,922,356 |
(ii) | Liquidity |
(iii) | Capital Resources |
(iv) | Critical Accounting Policies |
Item 7A: | QUANTITATIVE AND QUALITATIVE DISCLOSURE ABOUT MARKET RISK |
Item | FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA |
Graham Alternative Investment Fund I LLC | |
Core Macro Portfolio | |
Years Ended December 31, 2022 | |
with Report of Independent Registered Public Accounting Firm |
By: | Graham Capital Management, L.P., as | ||||
Sole Manager |
By: | /s/ George Schrade | |||
George Schrade | ||||
Chief Financial Officer | ||||
March |
Report of Independent Registered Public Accounting Firm (PCAOB ID 42) | |
Statements of Financial Condition | |
Statements of Operations | |
Statements of Changes in Members’ Capital | |
Statements of Cash Flows | |
Notes to Financial Statements |
Ernst & Young LLP 300 First Stamford Place Stamford, CT 06902-6765 | Tel: +1 203 674 3000 ey.com |
Stamford, CT
December 31, | December 31, | |||||||||||||||
2022 | 2021 | 2023 | 2022 | |||||||||||||
Assets | ||||||||||||||||
Investment in Graham Alternative Investment Trading LLC, at fair value | $ | 28,825,841 | $ | 25,597,490 | $ | 28,558,890 | $ | 28,825,841 | ||||||||
Cash and cash equivalents | 80,000 | – | ||||||||||||||
Redemptions receivable from Graham Alternative Investment Trading LLC | 519,852 | 253,800 | 72,434 | 519,852 | ||||||||||||
Total assets | $ | 29,345,693 | $ | 25,851,290 | $ | 28,711,324 | $ | 29,345,693 | ||||||||
Liabilities and members’ capital | ||||||||||||||||
Liabilities: | ||||||||||||||||
Subscriptions received in advance | $ | 80,000 | $ | – | ||||||||||||
Redemptions payable | $ | 519,852 | $ | 253,800 | 72,434 | 519,852 | ||||||||||
Total liabilities | 519,852 | 253,800 | 152,434 | 519,852 | ||||||||||||
Members’ capital: | ||||||||||||||||
Class 0 Units (70,066.654 and 83,586.118 units issued and outstanding at $224.59 and $176.27, respectively) | 15,735,969 | 14,734,016 | ||||||||||||||
Class 2 Units (82,214.218 and 86,438.110 units issued and outstanding at $159.22 and $125.68, respectively) | 13,089,872 | 10,863,474 | ||||||||||||||
Class 0 Units (73,902.569 and 70,066.654 units issued and outstanding at $224.32 and $224.59, respectively) | 16,577,918 | 15,735,969 | ||||||||||||||
Class 2 Units (75,735.249 and 82,214.218 units issued and outstanding at $158.20 and $159.22, respectively) | 11,980,972 | 13,089,872 | ||||||||||||||
Total members’ capital | 28,825,841 | 25,597,490 | 28,558,890 | 28,825,841 | ||||||||||||
Total liabilities and members’ capital | $ | 29,345,693 | $ | 25,851,290 | $ | 28,711,324 | $ | 29,345,693 |
Years Ended December 31, | Years Ended December 31, | |||||||||||||||
2022 | 2021 | 2023 | 2022 | |||||||||||||
Net gain allocated from investment in Graham Alternative Investment Trading LLC: | ||||||||||||||||
Net realized gain on investment | $ | 8,779,529 | $ | 2,462,629 | $ | 1,057,788 | $ | 8,779,529 | ||||||||
Net increase (decrease) in unrealized appreciation on investment | 310,220 | (540,273 | ) | |||||||||||||
Net (decrease) increase in unrealized appreciation on investment | (883,216 | ) | 310,220 | |||||||||||||
Brokerage commissions and fees | (100,465 | ) | (80,400 | ) | (78,664 | ) | (100,465 | ) | ||||||||
Net gain allocated from investment in Graham Alternative Investment Trading LLC | 8,989,284 | 1,841,956 | 95,908 | 8,989,284 | ||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC: | ||||||||||||||||
Investment income: | ||||||||||||||||
Interest income | 273,351 | 23,986 | 1,113,533 | 273,351 | ||||||||||||
Expenses: | ||||||||||||||||
Advisory fees | 439,884 | 443,408 | ||||||||||||||
Incentive allocation | 1,602,167 | 429,807 | 302,450 | 1,602,167 | ||||||||||||
Advisory fees | 443,408 | 428,699 | ||||||||||||||
Sponsor fees | 244,840 | 229,473 | 244,188 | 244,840 | ||||||||||||
Professional fees | 172,431 | 162,087 | 227,392 | 172,431 | ||||||||||||
Administrator’s fee | 37,235 | 36,445 | 37,149 | 37,235 | ||||||||||||
Operating expenses | 10,562 | – | 18,383 | 10,562 | ||||||||||||
Interest expense | 6,368 | 6,667 | 6,473 | 6,368 | ||||||||||||
Total expenses | 2,517,011 | 1,293,178 | 1,275,919 | 2,517,011 | ||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC | (2,243,660 | ) | (1,269,192 | ) | (162,386 | ) | (2,243,660 | ) | ||||||||
Net income | $ | 6,745,624 | $ | 572,764 | ||||||||||||
Net (loss) income | $ | (66,478 | ) | $ | 6,745,624 |
Class 0 Units | Class 2 Units | Class 0 Units | Class 2 Units | |||||||||||||||||||||||||||||||||||||
Units | Capital | Units | Capital | Total Members’ Capital | Units | Capital | Units | Capital | Total Members’ Capital | |||||||||||||||||||||||||||||||
Members’ capital, December 31, 2020 | 100,881.333 | $ | 17,458,496 | 94,473.834 | $ | 11,736,320 | $ | 29,194,816 | ||||||||||||||||||||||||||||||||
Subscriptions | – | – | – | – | – | |||||||||||||||||||||||||||||||||||
Redemptions | (17,295.215 | ) | (3,098,485 | ) | (8,035.724 | ) | (1,071,605 | ) | (4,170,090 | ) | ||||||||||||||||||||||||||||||
Net income | – | 374,005 | – | 198,759 | 572,764 | |||||||||||||||||||||||||||||||||||
Members’ capital, December 31, 2021 | 83,586.118 | $ | 14,734,016 | 86,438.110 | $ | 10,863,474 | $ | 25,597,490 | 83,586.118 | $ | 14,734,016 | 86,438.110 | $ | 10,863,474 | $ | 25,597,490 | ||||||||||||||||||||||||
Subscriptions | – | – | – | – | – | – | – | – | – | – | ||||||||||||||||||||||||||||||
Redemptions | (13,519.464 | ) | (2,892,405 | ) | (4,223.892 | ) | (624,868 | ) | (3,517,273 | ) | (13,519.464 | ) | (2,892,405 | ) | (4,223.892 | ) | (624,868 | ) | (3,517,273 | ) | ||||||||||||||||||||
Net income | – | 3,894,358 | – | 2,851,266 | 6,745,624 | – | 3,894,358 | – | 2,851,266 | 6,745,624 | ||||||||||||||||||||||||||||||
Members’ capital, December 31, 2022 | 70,066.654 | $ | 15,735,969 | 82,214.218 | $ | 13,089,872 | $ | 28,825,841 | 70,066.654 | $ | 15,735,969 | 82,214.218 | $ | 13,089,872 | $ | 28,825,841 | ||||||||||||||||||||||||
Subscriptions | 6,850.471 | 1,560,000 | 1,689.720 | 275,000 | 1,835,000 | |||||||||||||||||||||||||||||||||||
Redemptions | (3,014.556 | ) | (696,756 | ) | (8,168.689 | ) | (1,338,717 | ) | (2,035,473 | ) | ||||||||||||||||||||||||||||||
Net loss | – | (21,295 | ) | – | (45,183 | ) | (66,478 | ) | ||||||||||||||||||||||||||||||||
Members’ capital, December 31, 2023 | 73,902.569 | $ | 16,577,918 | 75,735.249 | $ | 11,980,972 | $ | 28,558,890 |
Years Ended December 31, | Years Ended December 31, | |||||||||||||||
2022 | 2021 | 2023 | 2022 | |||||||||||||
Cash flows provided by operating activities | ||||||||||||||||
Net income | $ | 6,745,624 | $ | 572,764 | ||||||||||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||||||||||
Net (income) allocated from investment in Graham Alternative Investment Trading LLC | (6,745,624 | ) | (572,764 | ) | ||||||||||||
Net (loss) income | $ | (66,478 | ) | $ | 6,745,624 | |||||||||||
Adjustments to reconcile net (loss) income to net cash provided by operating activities: | ||||||||||||||||
Net loss (income) allocated from investment in Graham Alternative Investment Trading LLC | 66,478 | (6,745,624 | ) | |||||||||||||
Proceeds from sale of investment in Graham Alternative Investment Trading LLC | 3,251,221 | 4,149,379 | 2,482,891 | 3,251,221 | ||||||||||||
Investments in Graham Alternative Investment Trading LLC | (1,835,000 | ) | – | |||||||||||||
Net cash provided by operating activities | 3,251,221 | 4,149,379 | 647,891 | 3,251,221 | ||||||||||||
Cash flows used in financing activities | ||||||||||||||||
Subscriptions | – | – | ||||||||||||||
Subscriptions (net of subscriptions received in advance) | 1,915,000 | – | ||||||||||||||
Redemptions (net of redemptions payable) | (3,251,221 | ) | (4,149,379 | ) | (2,482,891 | ) | (3,251,221 | ) | ||||||||
Net cash used in financing activities | (3,251,221 | ) | (4,149,379 | ) | (567,891 | ) | (3,251,221 | ) | ||||||||
Net change in cash and cash equivalents | – | – | 80,000 | – | ||||||||||||
Cash and cash equivalents, beginning of year | – | – | – | – | ||||||||||||
Cash and cash equivalents, end of year | $ | – | $ | – | $ | 80,000 | $ | – |
December 31, | ||||||||
2023 | 2022 | |||||||
Assets | ||||||||
Investment in Graham Alternative Investment Trading LLC, at fair value | $ | 28,558,890 | $ | 28,825,841 | ||||
Cash and cash equivalents | 80,000 | – | ||||||
Redemptions receivable from Graham Alternative Investment Trading LLC | 72,434 | 519,852 | ||||||
Total assets | $ | 28,711,324 | $ | 29,345,693 | ||||
Liabilities and members’ capital | ||||||||
Liabilities: | ||||||||
Subscriptions received in advance | $ | 80,000 | $ | – | ||||
Redemptions payable | 72,434 | 519,852 | ||||||
Total liabilities | 152,434 | 519,852 | ||||||
Members’ capital: | ||||||||
Class 0 Units (73,902.569 and 70,066.654 units issued and outstanding at $224.32 and $224.59, respectively) | 16,577,918 | 15,735,969 | ||||||
Class 2 Units (75,735.249 and 82,214.218 units issued and outstanding at $158.20 and $159.22, respectively) | 11,980,972 | 13,089,872 | ||||||
Total members’ capital | 28,558,890 | 28,825,841 | ||||||
Total liabilities and members’ capital | $ | 28,711,324 | $ | 29,345,693 |
Class 0 | Class 2 |
0.50% | 1.25% |
Years Ended December 31, | ||||||||
2023 | 2022 | |||||||
Net gain allocated from investment in Graham Alternative Investment Trading LLC: | ||||||||
Net realized gain on investment | $ | 1,057,788 | $ | 8,779,529 | ||||
Net (decrease) increase in unrealized appreciation on investment | (883,216 | ) | 310,220 | |||||
Brokerage commissions and fees | (78,664 | ) | (100,465 | ) | ||||
Net gain allocated from investment in Graham Alternative Investment Trading LLC | 95,908 | 8,989,284 | ||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC: | ||||||||
Investment income: | ||||||||
Interest income | 1,113,533 | 273,351 | ||||||
Expenses: | ||||||||
Advisory fees | 439,884 | 443,408 | ||||||
Incentive allocation | 302,450 | 1,602,167 | ||||||
Sponsor fees | 244,188 | 244,840 | ||||||
Professional fees | 227,392 | 172,431 | ||||||
Administrator’s fee | 37,149 | 37,235 | ||||||
Operating expenses | 18,383 | 10,562 | ||||||
Interest expense | 6,473 | 6,368 | ||||||
Total expenses | 1,275,919 | 2,517,011 | ||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC | (162,386 | ) | (2,243,660 | ) | ||||
Net (loss) income | $ | (66,478 | ) | $ | 6,745,624 |
Class 0 Units | Class 2 Units | |||||||||||||||||||
Units | Capital | Units | Capital | Total Members’ Capital | ||||||||||||||||
Members’ capital, December 31, 2021 | 83,586.118 | $ | 14,734,016 | 86,438.110 | $ | 10,863,474 | $ | 25,597,490 | ||||||||||||
Subscriptions | – | – | – | – | – | |||||||||||||||
Redemptions | (13,519.464 | ) | (2,892,405 | ) | (4,223.892 | ) | (624,868 | ) | (3,517,273 | ) | ||||||||||
Net income | – | 3,894,358 | – | 2,851,266 | 6,745,624 | |||||||||||||||
Members’ capital, December 31, 2022 | 70,066.654 | $ | 15,735,969 | 82,214.218 | $ | 13,089,872 | $ | 28,825,841 | ||||||||||||
Subscriptions | 6,850.471 | 1,560,000 | 1,689.720 | 275,000 | 1,835,000 | |||||||||||||||
Redemptions | (3,014.556 | ) | (696,756 | ) | (8,168.689 | ) | (1,338,717 | ) | (2,035,473 | ) | ||||||||||
Net loss | – | (21,295 | ) | – | (45,183 | ) | (66,478 | ) | ||||||||||||
Members’ capital, December 31, 2023 | 73,902.569 | $ | 16,577,918 | 75,735.249 | $ | 11,980,972 | $ | 28,558,890 |
Years Ended December 31, | ||||||||
2023 | 2022 | |||||||
Cash flows provided by operating activities | ||||||||
Net (loss) income | $ | (66,478 | ) | $ | 6,745,624 | |||
Adjustments to reconcile net (loss) income to net cash provided by operating activities: | ||||||||
Net loss (income) allocated from investment in Graham Alternative Investment Trading LLC | 66,478 | (6,745,624 | ) | |||||
Proceeds from sale of investment in Graham Alternative Investment Trading LLC | 2,482,891 | 3,251,221 | ||||||
Investments in Graham Alternative Investment Trading LLC | (1,835,000 | ) | – | |||||
Net cash provided by operating activities | 647,891 | 3,251,221 | ||||||
Cash flows used in financing activities | ||||||||
Subscriptions (net of subscriptions received in advance) | 1,915,000 | – | ||||||
Redemptions (net of redemptions payable) | (2,482,891 | ) | (3,251,221 | ) | ||||
Net cash used in financing activities | (567,891 | ) | (3,251,221 | ) | ||||
Net change in cash and cash equivalents | 80,000 | – | ||||||
Cash and cash equivalents, beginning of year | – | – | ||||||
Cash and cash equivalents, end of year | $ | 80,000 | $ | – |
Class 0 | Class 2 | |||||||
Per unit operating performance | ||||||||
Net asset value per Unit, December 31, 2020 | $ | 173.06 | $ | 124.23 | ||||
Net income: | ||||||||
Net investment loss | (7.55 | ) | (6.29 | ) | ||||
Net gain on investments | 10.76 | 7.74 | ||||||
Net income | 3.21 | 1.45 | ||||||
Net asset value per Unit, December 31, 2021 | $ | 176.27 | $ | 125.68 | ||||
Net income: | ||||||||
Net investment loss | (16.04 | ) | (12.02 | ) | ||||
Net gain on investments | 64.36 | 45.56 | ||||||
Net income | 48.32 | 33.54 | ||||||
Net asset value per Unit, December 31, 2022 | $ | 224.59 | $ | 159.22 |
Class 0 | Class 2 | ||||||||||||||||
2022 | 2021 | 2022 | 2021 | ||||||||||||||
Total return before Incentive Allocation | 34.89 | % | 3.65 | % | 33.25 | % | 2.75 | % | |||||||||
Incentive Allocation | (7.48 | ) | (1.79 | ) | (6.56 | ) | (1.58 | ) | |||||||||
Total return after Incentive Allocation | 27.41 | % | 1.86 | % | 26.69 | % | 1.17 | % | |||||||||
Net investment loss before Incentive Allocation | (1.91 | )% | (2.68 | )% | (2.65 | )% | (3.42 | )% | |||||||||
Incentive Allocation | (5.73 | ) | (1.54 | ) | (5.38 | ) | (1.49 | ) | |||||||||
Net investment loss after Incentive Allocation | (7.64 | )% | (4.22 | )% | (8.03 | )% | (4.91 | )% | |||||||||
Total expenses before Incentive Allocation | 2.86 | % | 2.76 | % | 3.61 | % | 3.50 | % | |||||||||
Incentive Allocation | 5.73 | 1.54 | 5.38 | 1.49 | |||||||||||||
Total expenses after Incentive Allocation | 8.59 | % | 4.30 | % | 8.99 | % | 4.99 | % |
December 31, | ||||||||
2023 | 2022 | |||||||
Assets | ||||||||
Investment in Graham Alternative Investment Trading LLC, at fair value | $ | 28,558,890 | $ | 28,825,841 | ||||
Cash and cash equivalents | 80,000 | – | ||||||
Redemptions receivable from Graham Alternative Investment Trading LLC | 72,434 | 519,852 | ||||||
Total assets | $ | 28,711,324 | $ | 29,345,693 | ||||
Liabilities and members’ capital | ||||||||
Liabilities: | ||||||||
Subscriptions received in advance | $ | 80,000 | $ | – | ||||
Redemptions payable | 72,434 | 519,852 | ||||||
Total liabilities | 152,434 | 519,852 | ||||||
Members’ capital: | ||||||||
Class 0 Units (73,902.569 and 70,066.654 units issued and outstanding at $224.32 and $224.59, respectively) | 16,577,918 | 15,735,969 | ||||||
Class 2 Units (75,735.249 and 82,214.218 units issued and outstanding at $158.20 and $159.22, respectively) | 11,980,972 | 13,089,872 | ||||||
Total members’ capital | 28,558,890 | 28,825,841 | ||||||
Total liabilities and members’ capital | $ | 28,711,324 | $ | 29,345,693 |
Years Ended December 31, | ||||||||
2023 | 2022 | |||||||
Net gain allocated from investment in Graham Alternative Investment Trading LLC: | ||||||||
Net realized gain on investment | $ | 1,057,788 | $ | 8,779,529 | ||||
Net (decrease) increase in unrealized appreciation on investment | (883,216 | ) | 310,220 | |||||
Brokerage commissions and fees | (78,664 | ) | (100,465 | ) | ||||
Net gain allocated from investment in Graham Alternative Investment Trading LLC | 95,908 | 8,989,284 | ||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC: | ||||||||
Investment income: | ||||||||
Interest income | 1,113,533 | 273,351 | ||||||
Expenses: | ||||||||
Advisory fees | 439,884 | 443,408 | ||||||
Incentive allocation | 302,450 | 1,602,167 | ||||||
Sponsor fees | 244,188 | 244,840 | ||||||
Professional fees | 227,392 | 172,431 | ||||||
Administrator’s fee | 37,149 | 37,235 | ||||||
Operating expenses | 18,383 | 10,562 | ||||||
Interest expense | 6,473 | 6,368 | ||||||
Total expenses | 1,275,919 | 2,517,011 | ||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC | (162,386 | ) | (2,243,660 | ) | ||||
Net (loss) income | $ | (66,478 | ) | $ | 6,745,624 |
Class 0 Units | Class 2 Units | |||||||||||||||||||
Units | Capital | Units | Capital | Total Members’ Capital | ||||||||||||||||
Members’ capital, December 31, 2021 | 83,586.118 | $ | 14,734,016 | 86,438.110 | $ | 10,863,474 | $ | 25,597,490 | ||||||||||||
Subscriptions | – | – | – | – | – | |||||||||||||||
Redemptions | (13,519.464 | ) | (2,892,405 | ) | (4,223.892 | ) | (624,868 | ) | (3,517,273 | ) | ||||||||||
Net income | – | 3,894,358 | – | 2,851,266 | 6,745,624 | |||||||||||||||
Members’ capital, December 31, 2022 | 70,066.654 | $ | 15,735,969 | 82,214.218 | $ | 13,089,872 | $ | 28,825,841 | ||||||||||||
Subscriptions | 6,850.471 | 1,560,000 | 1,689.720 | 275,000 | 1,835,000 | |||||||||||||||
Redemptions | (3,014.556 | ) | (696,756 | ) | (8,168.689 | ) | (1,338,717 | ) | (2,035,473 | ) | ||||||||||
Net loss | – | (21,295 | ) | – | (45,183 | ) | (66,478 | ) | ||||||||||||
Members’ capital, December 31, 2023 | 73,902.569 | $ | 16,577,918 | 75,735.249 | $ | 11,980,972 | $ | 28,558,890 |
Years Ended December 31, | ||||||||
2023 | 2022 | |||||||
Cash flows provided by operating activities | ||||||||
Net (loss) income | $ | (66,478 | ) | $ | 6,745,624 | |||
Adjustments to reconcile net (loss) income to net cash provided by operating activities: | ||||||||
Net loss (income) allocated from investment in Graham Alternative Investment Trading LLC | 66,478 | (6,745,624 | ) | |||||
Proceeds from sale of investment in Graham Alternative Investment Trading LLC | 2,482,891 | 3,251,221 | ||||||
Investments in Graham Alternative Investment Trading LLC | (1,835,000 | ) | – | |||||
Net cash provided by operating activities | 647,891 | 3,251,221 | ||||||
Cash flows used in financing activities | ||||||||
Subscriptions (net of subscriptions received in advance) | 1,915,000 | – | ||||||
Redemptions (net of redemptions payable) | (2,482,891 | ) | (3,251,221 | ) | ||||
Net cash used in financing activities | (567,891 | ) | (3,251,221 | ) | ||||
Net change in cash and cash equivalents | 80,000 | – | ||||||
Cash and cash equivalents, beginning of year | – | – | ||||||
Cash and cash equivalents, end of year | $ | 80,000 | $ | – |
Class 0 | Class 2 |
0.50% | 1.25% |
Class 0 | Class 2 | |||||||
Per unit operating performance | ||||||||
Net asset value per Unit, December 31, 2021 | $ | 176.27 | $ | 125.68 | ||||
Net income: | ||||||||
Net investment loss | (16.04 | ) | (12.02 | ) | ||||
Net gain on investments | 64.36 | 45.56 | ||||||
Net income | 48.32 | 33.54 | ||||||
Net asset value per Unit, December 31, 2022 | $ | 224.59 | $ | 159.22 | ||||
Net loss: | ||||||||
Net investment loss | (0.77 | ) | (1.33 | ) | ||||
Net gain on investments | 0.50 | 0.31 | ||||||
Net loss | (0.27 | ) | (1.02 | ) | ||||
Net asset value per Unit, December 31, 2023 | $ | 224.32 | $ | 158.20 |
Class 0 | Class 2 | ||||||||||||||||
2023 | 2022 | 2023 | 2022 | ||||||||||||||
Total return before Incentive Allocation | 1.02 | % | 34.89 | % | 0.30 | % | 33.25 | % | |||||||||
Incentive Allocation | (1.14 | ) | (7.48 | ) | (0.94 | ) | (6.56 | ) | |||||||||
Total return after Incentive Allocation | (0.12 | )% | 27.41 | % | (0.64 | )% | 26.69 | % | |||||||||
Net investment income (loss) before Incentive Allocation | 0.82 | % | (1.91 | )% | 0.05 | % | (2.65 | )% | |||||||||
Incentive Allocation | (1.16 | ) | (5.73 | ) | (0.88 | ) | (5.38 | ) | |||||||||
Net investment loss after Incentive Allocation | (0.34 | )% | (7.64 | )% | (0.83 | )% | (8.03 | )% | |||||||||
Total expenses before Incentive Allocation | 3.01 | % | 2.86 | % | 3.73 | % | 3.61 | % | |||||||||
Incentive Allocation | 1.16 | 5.73 | 0.88 | 5.38 | |||||||||||||
Total expenses after Incentive Allocation | 4.17 | % | 8.59 | % | 4.61 | % | 8.99 | % |
Financial Statements Graham Alternative Investment Trading LLC Years Ended December 31, 2023 and 2022 with Report of Independent Registered Public Accounting Firm |
By: | Graham Capital Management, L.P., as | ||
Sole Manager | |||
By: | /s/ George Schrade | ||
George Schrade | |||
Chief Financial Officer | |||
March 28, 2024 |
Report of Independent Registered Public Accounting Firm (PCAOB ID 42) | 56 |
Statements of Financial Condition | 57 |
Condensed Schedules of Investments | 58 |
Statements of Operations and Incentive Allocation | 59 |
Statements of Changes in Members’ Capital | 60 |
Statements of Cash Flows | 61 |
Notes to Financial Statements | 62 |
Ernst & Young LLP 300 First Stamford Place Stamford, CT 06902-6765 | Tel: +1 203 674 3000 ey.com |
December 31, | ||||||||
2022 | 2021 | |||||||
Assets | ||||||||
Investments in Master Funds, at fair value | $ | 6,078,610 | $ | 4,769,945 | ||||
Investment in Graham Cash Assets LLC, at fair value | 58,599,019 | 51,121,197 | ||||||
Receivable from Master Funds | 181 | 44 | ||||||
Total assets | $ | 64,677,810 | $ | 55,891,186 | ||||
Liabilities and members’ capital | ||||||||
Liabilities: | ||||||||
Redemptions payable | $ | 1,169,444 | $ | 263,800 | ||||
Accrued professional fees | 132,957 | 114,472 | ||||||
Accrued advisory fees | 79,343 | 68,959 | ||||||
Accrued sponsor fees | 42,803 | 36,436 | ||||||
Accrued administrator’s fees | 7,030 | 6,154 | ||||||
Accrued operating expenses | 3,223 | - | ||||||
Payable to Master Funds | 102 | 825 | ||||||
Total liabilities | 1,434,902 | 490,646 | ||||||
Members’ capital: | ||||||||
Class 0 Units (161,081.937 and 185,533.074 units issued and outstanding at $224.59 and $176.27 per unit, respectively) | 36,176,761 | 32,704,572 | ||||||
Class 2 Units (155,844.459 and 167,534.772 units issued and outstanding at $159.22 and $125.68 per unit, respectively) | 24,813,000 | 21,055,621 | ||||||
Class M Units (4,671.470 units issued and outstanding at $482.32 and $351.14 per unit, respectively) | 2,253,147 | 1,640,347 | ||||||
Total members’ capital | 63,242,908 | 55,400,540 | ||||||
Total liabilities and members’ capital | $ | 64,677,810 | $ | 55,891,186 |
December 31, | ||||||||
2023 | 2022 | |||||||
Assets | ||||||||
Investments in Master Funds, at fair value | $ | 6,589,443 | $ | 6,078,610 | ||||
Investment in Graham Cash Assets LLC, at fair value | 59,261,119 | 58,599,019 | ||||||
Receivable from Master Funds | 177 | 181 | ||||||
Total assets | $ | 65,850,739 | $ | 64,677,810 | ||||
Liabilities and members’ capital | ||||||||
Liabilities: | ||||||||
Redemptions payable | $ | 644,512 | $ | 1,169,444 | ||||
Accrued professional fees | 186,519 | 132,957 | ||||||
Accrued advisory fees | 80,684 | 79,343 | ||||||
Accrued sponsor fees | 41,770 | 42,803 | ||||||
Accrued administrator’s fees | 7,050 | 7,030 | ||||||
Accrued operating expenses | 3,689 | 3,223 | ||||||
Payable to Master Funds | – | 102 | ||||||
Total liabilities | 964,224 | 1,434,902 | ||||||
Members’ capital: | ||||||||
Class 0 Units (177,924.511 and 161,081.937 units issued and outstanding at $224.32 and $224.59 per unit, respectively) | 39,912,274 | 36,176,761 | ||||||
Class 2 Units (143,198.231 and 155,844.459 units issued and outstanding at $158.20 and $159.22 per unit, respectively) | 22,653,277 | 24,813,000 | ||||||
Class M Units (4,671.470 units issued and outstanding at $496.83 and $482.32 per unit, respectively) | 2,320,964 | 2,253,147 | ||||||
Total members’ capital | 64,886,515 | 63,242,908 | ||||||
Total liabilities and members’ capital | $ | 65,850,739 | $ | 64,677,810 |
December 31, 2022 | December 31, 2021 | December 31, 2023 | December 31, 2022 | ||||||||||||||||||||||||||||||
Description | Fair Value | Percentage of Members’ Capital | Fair Value | Percentage of Members’ Capital | Fair Value | Percentage of Members’ Capital | Fair Value | Percentage of Members’ Capital | |||||||||||||||||||||||||
Investments in Master Funds, at fair value | |||||||||||||||||||||||||||||||||
Graham Commodity Strategies LLC | $ | 2,190,592 | 3.46 | % | $ | 1,849,637 | 3.34 | % | $ | 2,529,772 | 3.90% | $ | 2,190,592 | 3.46% | |||||||||||||||||||
Graham Derivatives Strategies LLC | 794,631 | 1.26 | % | – | 0.00 | % | 850,235 | 1.31% | 794,631 | 1.26% | |||||||||||||||||||||||
Graham K4D Trading Ltd. | 3,093,387 | 4.89 | % | 2,920,308 | 5.27 | % | 3,209,436 | 4.95% | 3,093,387 | 4.89% | |||||||||||||||||||||||
Total investments in Master Funds | $ | 6,078,610 | 9.61 | % | $ | 4,769,945 | 8.61 | % | $ | 6,589,443 | 10.16% | $ | 6,078,610 | 9.61% |
Years Ended December 31, | Years Ended December 31, | |||||||||||||||
2022 | 2021 | 2023 | 2022 | |||||||||||||
Net gain allocated from investments in Master Funds: | ||||||||||||||||
Net realized gain on investments | $ | 19,231,395 | $ | 4,995,591 | $ | 2,408,837 | $ | 19,231,395 | ||||||||
Net increase (decrease) in unrealized appreciation on investments | 650,760 | (1,105,630 | ) | |||||||||||||
Net (decrease) increase in unrealized appreciation on investments | (1,983,937 | ) | 650,760 | |||||||||||||
Brokerage commissions and fees | (220,096 | ) | (168,014 | ) | (177,426 | ) | (220,096 | ) | ||||||||
Net gain allocated from investments in Master Funds | 19,662,059 | 3,721,947 | 247,474 | 19,662,059 | ||||||||||||
Net investment income (loss) allocated from investments in Master Funds | 49,163 | (4,687 | ) | |||||||||||||
Net investment income allocated from investments in Master Funds | 187,306 | 49,163 | ||||||||||||||
Investment income: | ||||||||||||||||
Interest income | 549,107 | 54,144 | 2,338,131 | 549,107 | ||||||||||||
Total investment income | 549,107 | 54,144 | 2,338,131 | 549,107 | ||||||||||||
Expenses: | ||||||||||||||||
Advisory fees | 939,577 | 870,429 | 959,031 | 939,577 | ||||||||||||
Professional fees | 519,257 | 376,372 | ||||||||||||||
Sponsor fees | 502,596 | 459,358 | 505,248 | 502,596 | ||||||||||||
Professional fees | 376,372 | 338,317 | ||||||||||||||
Administrator’s fees | 81,540 | 76,111 | 83,923 | 81,540 | ||||||||||||
Operating expenses | 23,104 | - | 41,501 | 23,104 | ||||||||||||
Interest expense | 13,933 | 13,927 | 14,616 | 13,933 | ||||||||||||
Total expenses | 1,937,122 | 1,758,142 | 2,123,576 | 1,937,122 | ||||||||||||
Net investment loss of the Fund | (1,388,015 | ) | (1,703,998 | ) | ||||||||||||
Net investment income (loss) of the Fund | 214,555 | (1,388,015 | ) | |||||||||||||
Net income | 18,323,207 | 2,013,262 | 649,335 | 18,323,207 | ||||||||||||
Incentive allocation | (3,404,318 | ) | (855,525 | ) | (679,491 | ) | (3,404,318 | ) | ||||||||
Net income available for pro-rata allocation to all members | $ | 14,918,889 | $ | 1,157,737 | ||||||||||||
Net (loss) income available for pro-rata allocation to all members | $ | (30,156 | ) | $ | 14,918,889 |
Class 0 | Class 2 | Class M | Total | Class 0 | Class 2 | Class M | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Units | Capital | Units | Capital | Units | Capital | Capital | Units | Capital | Units | Capital | Units | Capital | Capital | |||||||||||||||||||||||||||||||||||||||||||
Members’ capital, December 31, 2020 | 203,816.771 | $ | 35,272,482 | 184,460.524 | $ | 22,915,191 | 4,671.470 | $ | 1,556,178 | $ | 59,743,851 | |||||||||||||||||||||||||||||||||||||||||||||
Subscriptions | – | – | – | – | – | – | – | |||||||||||||||||||||||||||||||||||||||||||||||||
Redemptions | (18,283.697 | ) | (3,277,246 | ) | (16,925.752 | ) | (2,223,802 | ) | – | (855,525 | ) | (6,356,573 | ) | |||||||||||||||||||||||||||||||||||||||||||
Incentive allocation | – | (525,669 | ) | – | (329,856 | ) | – | 855,525 | – | |||||||||||||||||||||||||||||||||||||||||||||||
Net income | – | 1,235,005 | – | 694,088 | – | 84,169 | 2,013,262 | |||||||||||||||||||||||||||||||||||||||||||||||||
Members’ capital, December 31, 2021 | 185,533.074 | $ | 32,704,572 | 167,534.772 | $ | 21,055,621 | 4,671.470 | $ | 1,640,347 | $ | 55,400,540 | 185,533.074 | $ | 32,704,572 | 167,534.772 | $ | 21,055,621 | 4,671.470 | $ | 1,640,347 | $ | 55,400,540 | ||||||||||||||||||||||||||||||||||
Subscriptions | – | – | – | – | – | – | – | – | – | – | – | – | – | – | ||||||||||||||||||||||||||||||||||||||||||
Redemptions | (24,451.137 | ) | (5,262,123 | ) | (11,690.313 | ) | (1,814,398 | ) | – | (3,404,318 | ) | (10,480,839 | ) | (24,451.137 | ) | (5,262,123 | ) | (11,690.313 | ) | (1,814,398 | ) | – | (3,404,318 | ) | (10,480,839 | ) | ||||||||||||||||||||||||||||||
Incentive allocation | – | (2,076,348 | ) | – | (1,327,970 | ) | – | 3,404,318 | – | – | (2,076,348 | ) | – | (1,327,970 | ) | – | 3,404,318 | – | ||||||||||||||||||||||||||||||||||||||
Net income | – | 10,810,660 | – | 6,899,747 | – | 612,800 | 18,323,207 | – | 10,810,660 | – | 6,899,747 | – | 612,800 | 18,323,207 | ||||||||||||||||||||||||||||||||||||||||||
Members’ capital, December 31, 2022 | 161,081.937 | $ | 36,176,761 | 155,844.459 | $ | 24,813,000 | 4,671.470 | $ | 2,253,147 | $ | 63,242,908 | 161,081.937 | $ | 36,176,761 | 155,844.459 | $ | 24,813,000 | 4,671.470 | $ | 2,253,147 | $ | 63,242,908 | ||||||||||||||||||||||||||||||||||
Subscriptions | 23,047.035 | 5,154,000 | 2,167.419 | 355,000 | – | – | 5,509,000 | |||||||||||||||||||||||||||||||||||||||||||||||||
Redemptions | (6,204.461 | ) | (1,427,728 | ) | (14,813.647 | ) | (2,407,509 | ) | – | (679,491 | ) | (4,514,728 | ) | |||||||||||||||||||||||||||||||||||||||||||
Incentive allocation | – | (459,293 | ) | – | (220,198 | ) | – | 679,491 | – | |||||||||||||||||||||||||||||||||||||||||||||||
Net income | – | 468,534 | – | 112,984 | – | 67,817 | 649,335 | |||||||||||||||||||||||||||||||||||||||||||||||||
Members’ capital, December 31, 2023 | 177,924.511 | $ | 39,912,274 | 143,198.231 | $ | 22,653,277 | 4,671.470 | $ | 2,320,964 | $ | 64,886,515 |
Years Ended December 31, | ||||||||
2022 | 2021 | |||||||
Cash flows provided by operating activities | ||||||||
Net income | $ | 18,323,207 | $ | 2,013,262 | ||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||
Net (income) allocated from investments in Master Funds | (19,711,222 | ) | (3,717,260 | ) | ||||
Net (income) allocated from investment in Graham Cash Assets LLC | (549,107 | ) | (54,144 | ) | ||||
Proceeds from sale of investments in Master Funds | 71,652,796 | 63,866,707 | ||||||
Proceeds from sale of investments in Graham Cash Assets LLC | 45,124,212 | 51,951,676 | ||||||
Purchase of investments in Master Funds | (53,251,099 | ) | (58,472,636 | ) | ||||
Purchase of investments in Graham Cash Assets LLC | (52,052,927 | ) | (48,713,888 | ) | ||||
Changes in assets and liabilities: | ||||||||
Increase (decrease) in accrued professional fees | 18,485 | (13,859 | ) | |||||
Increase (decrease) in accrued advisory fees | 10,384 | (6,076 | ) | |||||
Increase (decrease) in accrued sponsor fees | 6,367 | (3,474 | ) | |||||
Increase (decrease) in accrued administrator’s fees | 876 | (464 | ) | |||||
Increase in operating expenses | 3,223 | – | ||||||
Net cash provided by operating activities | 9,575,195 | 6,849,844 | ||||||
Cash flows used in financing activities | ||||||||
Subscriptions | – | – | ||||||
Redemptions (net of redemptions payable) | (9,575,195 | ) | (6,849,844 | ) | ||||
Net cash used in financing activities | (9,575,195 | ) | (6,849,844 | ) | ||||
Net change in cash and cash equivalents | – | – | ||||||
Cash and cash equivalents, beginning of year | – | – | ||||||
Cash and cash equivalents, end of year | $ | – | $ | – | ||||
Supplemental cash flow information | ||||||||
Interest paid | $ | 13,933 | $ | 13,927 |
Years Ended December 31, | ||||||||
2023 | 2022 | |||||||
Cash flows (used in) provided by operating activities | ||||||||
Net income | $ | 649,335 | $ | 18,323,207 | ||||
Adjustments to reconcile net income to net cash (used in) provided by operating activities: | ||||||||
Net (income) allocated from investments in Master Funds | (434,780 | ) | (19,711,222 | ) | ||||
Net (income) allocated from investment in Graham Cash Assets LLC | (2,338,131 | ) | (549,107 | ) | ||||
Proceeds from sale of investments in Master Funds | 67,889,237 | 71,652,796 | ||||||
Proceeds from sale of investments in Graham Cash Assets LLC | 47,243,136 | 45,124,212 | ||||||
Purchase of investments in Master Funds | (67,965,388 | ) | (53,251,099 | ) | ||||
Purchase of investments in Graham Cash Assets LLC | (45,567,105 | ) | (52,052,927 | ) | ||||
Changes in assets and liabilities: | ||||||||
Increase in accrued professional fees | 53,562 | 18,485 | ||||||
Increase in accrued advisory fees | 1,341 | 10,384 | ||||||
(Decrease) increase in accrued sponsor fees | (1,033 | ) | 6,367 | |||||
Increase in accrued administrator’s fees | 20 | 876 | ||||||
Increase in accrued operating expenses | 466 | 3,223 | ||||||
Net cash (used in) provided by operating activities | (469,340 | ) | 9,575,195 | |||||
Cash flows provided by (used in) financing activities | ||||||||
Subscriptions | 5,509,000 | – | ||||||
Redemptions (net of redemptions payable) | (5,039,660 | ) | (9,575,195 | ) | ||||
Net cash provided by (used in) financing activities | 469,340 | (9,575,195 | ) | |||||
Net change in cash and cash equivalents | – | – | ||||||
Cash and cash equivalents, beginning of year | – | – | ||||||
Cash and cash equivalents, end of year | $ | – | $ | – |
Supplemental cash flow information | ||||||||
Interest paid | $ | 14,616 | $ | 13,933 |
December 31, 2022 | ||||||||||||||||||||||||
December 31, 2023 | December 31, 2023 | |||||||||||||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Income | Percent of Members’ Capital | Fair Value | Net Income (Loss) | ||||||||||||||||||
Global Macro Funds | ||||||||||||||||||||||||
Graham Commodity Strategies LLC | 3.46 | % | $ | 2,190,592 | $ | 9,542,437 | 3.90% | $ | 2,529,772 | $ | 2,988,752 | |||||||||||||
Graham Derivatives Strategies LLC | 1.26 | % | 794,631 | 4,262,773 | 1.31% | 850,235 | (1,199,738 | ) | ||||||||||||||||
Systematic Macro Funds | ||||||||||||||||||||||||
Graham K4D Trading Ltd. | 4.89 | % | 3,093,387 | 5,906,012 | 4.95% | 3,209,436 | (1,354,234 | ) | ||||||||||||||||
9.61 | % | $ | 6,078,610 | $ | 19,711,222 | 10.16% | $ | 6,589,443 | $ | 434,780 |
December 31, 2021 | ||||||||||||||||||||||||
December 31, 2022 | December 31, 2022 | |||||||||||||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Income | Percent of Members’ Capital | Fair Value | Net Income | ||||||||||||||||||
Global Macro Funds | ||||||||||||||||||||||||
Graham Commodity Strategies LLC | 3.34 | % | $ | 1,849,637 | $ | 3,009,872 | 3.46% | $ | 2,190,592 | $ | 9,542,437 | |||||||||||||
Graham Derivatives Strategies LLC | 1.26% | 794,631 | 4,262,773 | |||||||||||||||||||||
Systematic Macro Funds | ||||||||||||||||||||||||
Graham K4D Trading Ltd. | 5.27 | % | 2,920,308 | 707,388 | 4.89% | 3,093,387 | 5,906,012 | |||||||||||||||||
8.61 | % | $ | 4,769,945 | $ | 3,717,260 | 9.61% | $ | 6,078,610 | $ | 19,711,222 |
Graham Commodity Strategies LLC (Delaware) | Graham Derivatives Strategies LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | ||||||||||
Assets: | ||||||||||||
Due from brokers | $ | 67,777,624 | $ | 8,226,511 | $ | 55,367,914 | ||||||
Derivative financial instruments, at fair value | 3,978,730 | 17,283,720 | – | |||||||||
Fixed income securities owned, at fair value | – | – | 17,871,161 | |||||||||
Exchange memberships, at fair value | 8,262,668 | 309,500 | 1,857,583 | |||||||||
Interest receivable | 191,095 | 30,734 | 193,267 | |||||||||
Dividend receivable | 130,451 | – | 18,577 | |||||||||
Total assets | 80,340,568 | 25,850,465 | 75,308,502 | |||||||||
Liabilities: | ||||||||||||
Derivative financial instruments, at fair value | – | – | 19,078,924 | |||||||||
Interest payable | 12,034 | 4,841 | 95,578 | |||||||||
Total liabilities | 12,034 | 4,841 | 19,174,502 | |||||||||
Members’ Capital / Net Assets | $ | 80,328,534 | $ | 25,845,624 | $ | 56,134,000 | ||||||
Percentage of Master Fund held by GAIT | 3.15 | % | 3.29 | % | 5.72 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||
Graham Commodity Strategies LLC | ||||||||||||
Exchange memberships (cost $3,649,411) | ||||||||||||
United States (cost $3,649,411) | ||||||||||||
Financial services (cost $3,649,411) | $ | 8,262,668 | 10.29 | % | ||||||||
Total exchange memberships | $ | 8,262,668 | 10.29 | % | ||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | (4,505 | ) | (0.01 | )% | |||||||
Foreign bond | 677,960 | 0.84 | % | |||||||||
Foreign index | 65,005 | 0.08 | % | |||||||||
Interest rate | 29,888 | 0.04 | % | |||||||||
U.S. bond | ||||||||||||
U.S. 2 yr Note (CBT) March 2024 | 15,357 | 11,168,461 | 13.90 | % | ||||||||
U.S. 5 yr – 10 yr Note (CBT) March 2024 | 107 | 141,258 | 0.18 | % | ||||||||
U.S. index | 205,373 | 0.26 | % | |||||||||
Total futures | 12,283,440 | 15.29 | % | |||||||||
Forwards | ||||||||||||
Foreign currency | (797,157 | ) | (0.99 | )% | ||||||||
Total forwards | (797,157 | ) | (0.99 | )% | ||||||||
Options (cost $174,493) | ||||||||||||
Currency futures | 50,504 | 0.06 | % | |||||||||
Foreign bond futures | 12,874 | 0.02 | % | |||||||||
U.S. bond futures | ||||||||||||
U.S. 5 yr Note January 2024, $108.00 Put | 1 | 10,313 | 0.01 | % | ||||||||
Total options | 73,691 | 0.09 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||
Graham Commodity Strategies LLC (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Foreign bond | $ | (1,853,184 | ) | (2.31 | )% | |||||||
Foreign index | 2,695 | 0.00 | % | |||||||||
Interest rate | (70,926 | ) | (0.09 | )% | ||||||||
U.S. bond | ||||||||||||
U.S. 10 yr Note (CBT) March 2024 | (2,711 | ) | 77,750 | 0.10 | % | |||||||
U.S. 10 yr Ultra March 2024 | (1,822 | ) | (619,281 | ) | (0.77 | )% | ||||||
U.S. Long bond (CBT) March 2024 | (17 | ) | (46,438 | ) | (0.06 | )% | ||||||
U.S. Ultra bond (CBT) March 2024 | (2,691 | ) | (8,498,969 | ) | (10.58 | )% | ||||||
U.S. index | 776,415 | 0.97 | % | |||||||||
Total futures | (10,231,938 | ) | (12.74 | )% | ||||||||
Forwards | ||||||||||||
Foreign currency | 2,693,532 | 3.35 | % | |||||||||
Total forwards | 2,693,532 | 3.35 | % | |||||||||
Options (proceeds $65,573) | ||||||||||||
Currency futures | (22,321 | ) | (0.02 | )% | ||||||||
Foreign bond futures | (14,017 | ) | (0.02 | )% | ||||||||
U.S. bond futures | ||||||||||||
U.S. 5 yr Note January 2024, $107.50 Put | (1 | ) | (6,500 | ) | (0.01 | )% | ||||||
Total options | (42,838 | ) | (0.05 | )% | ||||||||
Total derivative financial instruments | $ | 3,978,730 | 4.95 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||
Graham Derivatives Strategies LLC | ||||||||||||
Exchange memberships (cost $305,000) | ||||||||||||
United States (cost $305,000) | ||||||||||||
Financial services (cost $305,000) | $ | 309,500 | 1.20 | % | ||||||||
Total exchange memberships | $ | 309,500 | 1.20 | % | ||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
U.S. bond | $ | 51,625 | 0.20 | % | ||||||||
Total futures | 51,625 | 0.20 | % | |||||||||
Forwards | ||||||||||||
Foreign currency | (56,004 | ) | (0.22 | )% | ||||||||
Total forwards | (56,004 | ) | (0.22 | )% | ||||||||
Options (cost $24,320,709) | ||||||||||||
Commodity futures | ||||||||||||
Gold Future (CMX) February 2024, $2,100.00 Call | 1 | 1,372,800 | 5.31 | % | ||||||||
Other commodity futures | 170,470 | 0.66 | % | |||||||||
Currency futures | ||||||||||||
Australian dollar / U.S. dollar (Digital) February 2024, $0.70 - $0.71 Call | 2 | 1,771,906 | 6.86 | % | ||||||||
Euro dollar / Japanese yen January 2024 - February 2024, $151.00 – $152.00 Put | 3 | 1,755,256 | 6.79 | % | ||||||||
Euro dollar / Japanese yen (Digital) January 2024, $152.50 Put | 1 | 744,969 | 2.88 | % | ||||||||
British pound / U.S. dollar (Digital) January 2024, $1.29 Call | 1 | 876,558 | 3.39 | % | ||||||||
British pound / U.S. dollar January 2024, $1.29 Call | 1 | 620,117 | 2.40 | % | ||||||||
U.S. dollar / Japanese yen (Digital) April 2024 - October 2024, $160.00 – $170.00 Call | 2 | 115,800 | 0.45 | % | ||||||||
U.S. dollar / Japanese yen February 2024, $153.75 Call | 1 | 5,130 | 0.02 | % | ||||||||
U.S. dollar / Japanese yen (Digital) March 2024, $136.00 Put | 1 | 3,320,200 | 12.85 | % | ||||||||
U.S. dollar / Japanese yen (Digital) February 2024, $138.00 Put | 1 | 1,583,373 | 6.13 | % | ||||||||
U.S. dollar / Japanese yen (Digital) January 2024, $140.00 Put | 1 | 1,624,029 | 6.28 | % | ||||||||
U.S. dollar / Japanese yen (Digital) January 2024, $137.00 Put | 1 | 300,651 | 1.16 | % | ||||||||
U.S. dollar / Japanese yen January 2024, $142.00 Put | 1 | 1,957,039 | 7.57 | % | ||||||||
U.S. dollar / Japanese yen March 2024, $139.00 Put | 1 | 1,571,700 | 6.08 | % | ||||||||
U.S. dollar / Mexican peso (Digital) April 2024, $16.65 Put | 1 | 1,627,995 | 6.30 | % | ||||||||
U.S. dollar / Mexican peso (Digital) February 2024, $16.60 Put | 1 | 1,117,798 | 4.32 | % | ||||||||
U.S. dollar / Mexican peso February 2024, $16.75 Put | 1 | 866,850 | 3.35 | % | ||||||||
Other currency futures | 106,233 | 0.42 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||
Graham Derivatives Strategies LLC (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Long contracts (continued) | ||||||||||||
Options (continued) | ||||||||||||
U.S. index futures | ||||||||||||
S&P 500 E-mini June 2024, $5,200.00 Call | 1 | $ | 1,338,638 | 5.18 | % | |||||||
S&P 500 E-mini June 2024, $4,400.00 Put | 1 | 2,036,700 | 7.88 | % | ||||||||
Total options | 24,884,212 | 96.28 | % | |||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Commodity | 54,090 | 0.21 | % | |||||||||
Foreign bond | (9,715 | ) | (0.04 | )% | ||||||||
U.S. bond | (280,258 | ) | (1.08 | )% | ||||||||
Total futures | (235,883 | ) | (0.91 | )% | ||||||||
Forwards | ||||||||||||
Foreign currency | 3,984 | 0.02 | % | |||||||||
Total forwards | 3,984 | 0.02 | % | |||||||||
Options (proceeds $9,527,626) | ||||||||||||
Commodity futures | ||||||||||||
Gold Future (CMX) February 2024, $2,150.00 Call | (1 | ) | (622,050 | ) | (2.41 | )% | ||||||
Other commodity | (21,270 | ) | (0.08 | )% | ||||||||
Currency futures | ||||||||||||
British pound / U.S. dollar January 2024, $1.31 Call | (1 | ) | (144,386 | ) | (0.56 | )% | ||||||
Euro / Japanese yen January 2024 - February 2024, $147.00 – $148.00 Put | (2 | ) | (846,799 | ) | (3.28 | )% | ||||||
U.S. dollar / Japanese yen February 2024, $158.25 Call | (1 | ) | (255 | ) | (0.00 | )% | ||||||
U.S. dollar / Japanese yen January 2024 - March 2024, $135.00 – $138.00 Put | (2 | ) | (2,082,822 | ) | (8.06 | )% | ||||||
U.S. dollar / Mexican peso February 2024, $16.25 Put | (1 | ) | (172,744 | ) | (0.67 | )% | ||||||
U.S. index futures | ||||||||||||
S&P 500 E-mini June 2024, $5,100.00 Call | (1 | ) | (2,225,588 | ) | (8.61 | )% | ||||||
S&P 500 E-mini June 2024, $4,150.00 Put | (1 | ) | (1,248,300 | ) | (4.83 | )% | ||||||
Total options | (7,364,214 | ) | (28.50 | )% | ||||||||
Total derivative financial instruments | $ | 17,283,720 | 66.87 | % |
Description | Principal Amount/ Number of Contracts/ Notional Amounts | Fair Value | Percentage of Net Assets of Master Fund | |||||||||
Graham K4D Trading Ltd. | ||||||||||||
Fixed income securities (cost $17,749,920) | ||||||||||||
Government Bonds (cost $17,749,920) | ||||||||||||
United States (cost $17,749,920) | ||||||||||||
U.S. Treasury Bills 0.00% due 02/20/2024 | $ | 18,000,000 | $ | 17,871,161 | 31.84 | % | ||||||
Total Government Bonds | 17,871,161 | 31.84 | % | |||||||||
Total fixed income securities | $ | 17,871,161 | 31.84 | % | ||||||||
Exchange memberships (cost $1,924,208) | ||||||||||||
United States (cost $1,924,208) | ||||||||||||
Financial services (cost $1,924,208) | $ | 1,857,583 | 3.31 | % | ||||||||
Total exchange memberships | $ | 1,857,583 | 3.31 | % | ||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | (2,604,370 | ) | (4.64 | )% | |||||||
Currency | (221,661 | ) | (0.39 | )% | ||||||||
Foreign bond | 1,513,055 | 2.70 | % | |||||||||
Foreign index | 1,113,650 | 1.98 | % | |||||||||
Interest rate | 680,630 | 1.21 | % | |||||||||
U.S. bond | ||||||||||||
U.S. Ultra bond (CBT) March 2024 | 12 | 52,891 | 0.09 | % | ||||||||
U.S. index | 1,454,042 | 2.59 | % | |||||||||
Total futures | 1,988,237 | 3.54 | % | |||||||||
Swaps (cost $1,800,380) | ||||||||||||
Interest rate | 2,181,752 | 3.89 | % | |||||||||
Total swaps | 2,181,752 | 3.89 | % | |||||||||
Forwards | ||||||||||||
Swiss franc / U.S. dollar 3/20/2024 | ₣ | 18,113,000 | 172,710 | 0.31 | % | |||||||
Swiss franc / U.S. dollar 1/4/2024 | ₣ | 4,741,000 | (13,931 | ) | (0.02 | )% | ||||||
Swiss franc / U.S. dollar 1/3/2024 | ₣ | 3,596,000 | (21,089 | ) | (0.04 | )% | ||||||
Other foreign currency | 1,706,013 | 3.03 | % | |||||||||
Total forwards | 1,843,703 | 3.28 | % |
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 | $ | (2,226,656 | ) | (3.97 | )% | |||||||
Currency | (34,224 | ) | (0.06 | )% | ||||||||
Foreign bond | (2,133,085 | ) | (3.80 | )% | ||||||||
Foreign index | (523,201 | ) | (0.93 | )% | ||||||||
Interest rate | (1,574,712 | ) | (2.81 | )% | ||||||||
U.S. bond | ||||||||||||
U.S 2yr - 10yr Note (CBT) March 2024 | (2,895 | ) | (5,052,790 | ) | (9.00 | )% | ||||||
U.S. Long bond (CBT) March 2024 | (4 | ) | (596,937 | ) | (1.06 | )% | ||||||
U.S. index | (585,780 | ) | (1.04 | )% | ||||||||
Total futures | (12,727,385 | ) | (22.67 | )% | ||||||||
Swaps (proceeds $1,626,318) | ||||||||||||
Interest rate | (1,854,095 | ) | (3.30 | )% | ||||||||
Total swaps | (1,854,095 | ) | (3.30 | )% | ||||||||
Forwards | ||||||||||||
Swiss franc / U.S. dollar 3/20/2024 | ₣ | (69,733,000 | ) | (3,150,299 | ) | (5.61 | )% | |||||
Swiss franc / U.S. dollar 1/4/2024 | ₣ | (4,741,000 | ) | (5,033 | ) | (0.01 | )% | |||||
Swiss franc / U.S. dollar 1/3/2024 | ₣ | (3,596,000 | ) | 10,015 | 0.02 | % | ||||||
Other foreign currency | (7,365,819 | ) | (13.13 | )% | ||||||||
Total forwards | (10,511,136 | ) | (18.73 | )% | ||||||||
Total derivative financial instruments | $ | (19,078,924 | ) | (33.99 | )% |
Graham Commodity Strategies LLC | Graham Derivatives Strategies LLC | Graham K4D Trading Ltd. | ||||||||||
Assets | ||||||||||||
Level 1: | ||||||||||||
Commodity futures | $ | 171,705 | $ | 54,090 | $ | 1,998,827 | ||||||
Commodity futures options | – | 1,543,270 | – | |||||||||
Currency futures | – | – | 24,143 | |||||||||
Exchange memberships* | 8,262,668 | 309,500 | 1,857,583 | |||||||||
Foreign bond futures | 1,478,131 | – | 1,850,384 | |||||||||
Foreign bond futures options | 12,873 | – | – | |||||||||
Foreign index futures | 67,700 | – | 2,199,865 | |||||||||
Interest rate futures | 29,888 | – | 680,630 | |||||||||
U.S. bond futures | 11,390,249 | 302,531 | 52,891 | |||||||||
U.S. bond futures options | 10,313 | – | – | |||||||||
U.S. index futures | 981,788 | – | 1,454,042 | |||||||||
U.S. index futures options | – | 3,375,338 | – | |||||||||
Total Level 1 | 22,405,315 | 5,584,729 | 10,118,365 | |||||||||
Level 2: | ||||||||||||
Government bonds* | – | – | 17,871,161 | |||||||||
Foreign currency forwards | 5,192,010 | 1,324,819 | 2,262,695 | |||||||||
Currency futures options | 50,504 | 19,965,603 | – | |||||||||
Interest rate swap | – | – | 2,213,846 | |||||||||
Total Level 2 | 5,242,514 | 21,290,422 | 22,347,702 | |||||||||
Total investment related assets | $ | 27,647,829 | $ | 26,875,151 | $ | 32,466,067 | ||||||
Liabilities | ||||||||||||
Level 1: | ||||||||||||
Commodity futures | $ | (176,210 | ) | $ | – | $ | (6,829,853 | ) | ||||
Commodity futures options | – | (643,320 | ) | – | ||||||||
Currency futures | – | – | (280,028 | ) | ||||||||
Foreign bond futures | (2,653,355 | ) | (9,715 | ) | (2,470,414 | ) | ||||||
Foreign index futures | – | – | (1,609,416 | ) | ||||||||
Foreign bond futures options | (14,016 | ) | – | – | ||||||||
Interest rate futures | (70,926 | ) | – | (1,574,712 | ) | |||||||
U.S. bond futures | (9,167,468 | ) | (531,164 | ) | (5,649,727 | ) | ||||||
U.S. bond futures options | (6,500 | ) | – | – | ||||||||
U.S. index futures | – | – | (585,780 | ) | ||||||||
U.S. index futures options | – | (3,473,888 | ) | – | ||||||||
Total Level 1 | (12,088,475 | ) | (4,658,087 | ) | (18,999,930 | ) | ||||||
Level 2: | ||||||||||||
Foreign currency forwards | (3,295,635 | ) | (1,376,839 | ) | (10,930,128 | ) | ||||||
Currency futures options | (22,321 | ) | (3,247,005 | ) | – | |||||||
Interest rate swap | – | – | (1,886,189 | ) | ||||||||
Total Level 2 | (3,317,956 | ) | (4,623,844 | ) | (12,816,317 | ) | ||||||
Total investment related liabilities | $ | (15,406,431 | ) | $ | (9,281,931 | ) | $ | (31,816,247 | ) |
Long exposure | Short exposure | |||||||||||||||||||||||
Notional Amounts | Number of contracts | Notional amounts | Number of contracts | Derivative assets | Derivative liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 109,702,429 | 807 | $ | (15,070,036 | ) | (182 | ) | $ | 171,705 | $ | (176,210 | ) | |||||||||||
109,702,429 | 807 | (15,070,036 | ) | (182 | ) | 171,705 | (176,210 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 138,206,254 | 689 | (134,257,335 | ) | (1,076 | ) | 1,049,488 | – | ||||||||||||||||
Options (a) | – | 43 | (1,879,741 | ) | – | – | – | |||||||||||||||||
138,206,254 | 732 | (136,137,076 | ) | (1,076 | ) | 1,049,488 | – | |||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 2,292,673,849 | N/A | (833,459,383 | ) | N/A | 5,192,010 | (3,295,635 | ) | ||||||||||||||||
Options (a) | 23,660,693 | 8 | (19,168,648 | ) | (9 | ) | 50,504 | (22,321 | ) | |||||||||||||||
2,316,334,542 | 8 | (852,628,031 | ) | (9 | ) | 5,242,514 | (3,317,956 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 3,089,931,876 | 14,725 | (1,546,576,175 | ) | (8,370 | ) | 12,898,268 | (11,891,749 | ) | |||||||||||||||
Options (a) | 257,574,397 | 7,508 | (322,622,545 | ) | (7,566 | ) | 23,186 | (20,516 | ) | |||||||||||||||
3,347,506,273 | 22,233 | (1,869,198,720 | ) | (15,936 | ) | 12,921,454 | (11,912,265 | ) | ||||||||||||||||
Total | $ | 5,911,749,498 | 23,780 | $ | (2,873,033,863 | ) | (17,203 | ) | $ | 19,385,161 | $ | (15,406,431 | ) |
(a) | Notional amounts for options are based on the delta-adjusted positions. |
Long exposure | Short exposure | |||||||||||||||||||||||
Notional Amounts | Number of contracts | Notional amounts | Number of contracts | Derivative assets | Derivative liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 2,310,857 | 28 | $ | (12,904,287 | ) | (71 | ) | $ | 54,090 | $ | – | ||||||||||||
Options (a) | 147,135,525 | 1,797 | (47,380,653 | ) | (1,662 | ) | 1,543,270 | (643,320 | ) | |||||||||||||||
149,446,382 | 1,825 | (60,284,940 | ) | (1,733 | ) | 1,597,360 | (643,320 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 84,442,167 | 856 | (4,919,209 | ) | (21 | ) | – | – | ||||||||||||||||
Options (a) | 121,976,301 | 2,594 | (84,382,436 | ) | (2,571 | ) | 3,375,338 | (3,473,888 | ) | |||||||||||||||
206,418,468 | 3,450 | (89,301,645 | ) | (2,592 | ) | 3,375,338 | (3,473,888 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 245,520,127 | N/A | (209,235,657 | ) | N/A | 1,324,819 | (1,376,839 | ) | ||||||||||||||||
Options (a) | 398,135,064 | 14 | (494,064,723 | ) | (16 | ) | 19,965,603 | (3,247,005 | ) | |||||||||||||||
643,655,191 | 14 | (703,300,380 | ) | (16 | ) | 21,290,422 | (4,623,844 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 742,525,225 | 4,719 | (332,098,974 | ) | (2,324 | ) | 302,531 | (540,879 | ) | |||||||||||||||
Options (a) | 2,015,886,152 | 32,387 | (1,864,926,242 | ) | (32,930 | ) | – | – | ||||||||||||||||
2,758,411,377 | 37,106 | (2,197,025,216 | ) | (35,254 | ) | 302,531 | (540,879 | ) | ||||||||||||||||
Total | $ | 3,757,931,418 | 42,395 | $ | (3,049,912,181 | ) | (39,595 | ) | $ | 26,565,651 | $ | (9,281,931 | ) |
Long exposure | Short exposure | |||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative assets | Derivative liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 115,852,179 | 1,611 | $ | (71,609,598 | ) | (1,507 | ) | $ | 1,998,827 | $ | (6,829,853 | ) | |||||||||||
115,852,179 | 1,611 | (71,609,598 | ) | (1,507 | ) | 1,998,827 | (6,829,853 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 249,023,852 | 2,158 | (52,531,849 | ) | (534 | ) | 3,653,907 | (2,195,196 | ) | |||||||||||||||
249,023,852 | 2,158 | (52,531,849 | ) | (534 | ) | 3,653,907 | (2,195,196 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 214,292,847 | N/A | (386,443,669 | ) | N/A | 2,262,695 | (10,930,128 | ) | ||||||||||||||||
Futures | 15,633,977 | 159 | (4,036,374 | ) | (55 | ) | 24,143 | (280,028 | ) | |||||||||||||||
229,926,824 | 159 | (390,480,043 | ) | (55 | ) | 2,286,838 | (11,210,156 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 201,077,632 | 1,043 | (1,277,933,031 | ) | (6,952 | ) | 2,583,905 | (9,694,853 | ) | |||||||||||||||
Swaps | 55,047,196 | 41 | (41,168,070 | ) | (61 | ) | 2,213,846 | (1,886,189 | ) | |||||||||||||||
256,124,828 | 1,084 | (1,319,101,101 | ) | (7,013 | ) | 4,797,751 | (11,581,042 | ) | ||||||||||||||||
Total | $ | 850,927,683 | 5,012 | $ | (1,833,722,591 | ) | (9,109 | ) | $ | 12,737,323 | $ | (31,816,247 | ) |
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 | $ | 19,385,161 | $ | (15,406,431 | ) | $ | 3,978,730 | $ | – | $ | 3,978,730 | |||||||||
Derivative liabilities | $ | (15,406,431 | ) | $ | 15,406,431 | $ | – | $ | – | $ | – | |||||||||
Graham Derivatives Strategies LLC2 | ||||||||||||||||||||
Derivative assets | $ | 26,565,651 | $ | (9,281,931 | ) | $ | 17,283,720 | $ | – | $ | 17,283,720 | |||||||||
Derivative liabilities | $ | (9,281,931 | ) | $ | 9,281,931 | $ | – | $ | – | $ | – | |||||||||
Graham K4D Trading Ltd.3 | ||||||||||||||||||||
Derivative assets | $ | 12,737,323 | $ | (12,737,323 | ) | $ | – | $ | – | $ | – | |||||||||
Derivative liabilities | $ | (31,816,247 | ) | $ | 12,737,323 | $ | (19,078,924 | ) | $ | 19,078,924 | $ | – |
Graham Commodity Strategies LLC | Graham Derivatives Strategies LLC | Graham K4D Trading Ltd. | ||||||||||
Net investment income | $ | 3,624,482 | $ | 1,112,358 | $ | 831,176 | ||||||
Net realized gain (loss) on investments | 125,674,866 | (30,368,922 | ) | (6,293,145 | ) | |||||||
Net decrease in unrealized appreciation on investments | (30,103,489 | ) | (10,776,289 | ) | (20,257,536 | ) | ||||||
Brokerage commissions and fees | (1,550,924 | ) | (4,207,736 | ) | (219,976 | ) | ||||||
Net gain (loss) on investments | 94,020,453 | (45,352,947 | ) | (26,770,657 | ) | |||||||
Net income (loss) | $ | 97,644,935 | $ | (44,240,589 | ) | $ | (25,939,481 | ) |
Graham Commodity Strategies LLC | Graham Derivatives Strategies LLC | Graham K4D Trading Ltd. | ||||||||||||||||||||||
Net realized gain | Net decrease in unrealized appreciation on investments | Net realized loss | Net decrease in unrealized appreciation on investments | Net realized loss | Net decrease in unrealized appreciation on investments | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | (8,978,335 | ) | $ | (2,468,475 | ) | $ | 6,030,235 | $ | (1,360 | ) | $ | (16,460,531 | ) | $ | (8,967,991 | ) | |||||||
Options | 63,030 | – | (2,394,885 | ) | (460,560 | ) | – | – | ||||||||||||||||
(8,915,305 | ) | (2,468,475 | ) | 3,635,350 | (461,920 | ) | (16,460,531 | ) | (8,967,991 | ) | ||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 62,285,091 | (5,031,278 | ) | (2,931,725 | ) | 21,053 | 4,320,064 | 11,281,358 | ||||||||||||||||
Options | (265,653 | ) | (11,137 | ) | 9,904,053 | (1,354,380 | ) | – | – | |||||||||||||||
62,019,438 | (5,042,415 | ) | 6,972,328 | (1,333,327 | ) | 4,320,064 | 11,281,358 | |||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | (568,543 | ) | 2,079,348 | (5,274,391 | ) | (17,208 | ) | (2,331,170 | ) | (10,306,177 | ) | |||||||||||||
Futures | – | – | – | – | (100,593 | ) | (207,846 | ) | ||||||||||||||||
Options | 7,155,292 | (2,477,823 | ) | (3,920,166 | ) | (6,537,628 | ) | – | – | |||||||||||||||
6,586,749 | (398,475 | ) | (9,194,557 | ) | (6,554,836 | ) | (2,431,763 | ) | (10,514,023 | ) | ||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 6,297,164 | (17,301,442 | ) | (11,011,051 | ) | (1,292,292 | ) | 6,094,139 | (12,472,340 | ) | ||||||||||||||
Options | 3,039,643 | (6,080 | ) | (22,708,041 | ) | (290,206 | ) | – | – | |||||||||||||||
Swaps | – | – | – | – | (85,400 | ) | 122,749 | |||||||||||||||||
9,336,807 | (17,307,522 | ) | (33,719,092 | ) | (1,582,498 | ) | 6,008,739 | (12,349,591 | ) | |||||||||||||||
Total | $ | 69,027,689 | $ | (25,216,887 | ) | $ | (32,305,971 | ) | $ | (9,932,581 | ) | $ | (8,563,491 | ) | $ | (20,550,247 | ) |
Graham Commodity Strategies LLC (Delaware) | Graham Derivatives Strategies LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | ||||||||||
Assets: | ||||||||||||
Due from brokers | $ | 51,314,793 | $ | 4,022,847 | $ | 41,554,615 | ||||||
Derivative financial instruments, at fair value | 32,942,978 | 28,122,323 | 3,702,198 | |||||||||
Exchange memberships, at fair value | 6,902,176 | – | 1,647,049 | |||||||||
Interest receivable | 225,389 | 35,580 | 30,745 | |||||||||
Dividend receivable | 111,816 | – | 15,923 | |||||||||
Total assets | 91,497,152 | 32,180,750 | 46,950,530 | |||||||||
Liabilities: | ||||||||||||
Derivative financial instruments, at fair value | – | – | 2,319,737 | |||||||||
Interest payable | 9,630 | 3,587 | – | |||||||||
Total liabilities | 9,630 | 3,587 | 2,319,737 | |||||||||
Members’ Capital / Net Assets | $ | 91,487,522 | $ | 32,177,163 | $ | 44,630,793 | ||||||
Percentage of Master Fund held by GAIT | 2.39 | % | 2.47 | % | 6.93 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | ||||||||||||||||||
Graham Commodity Strategies LLC | ||||||||||||||||||||||||
Exchange memberships (cost $3,649,411) | ||||||||||||||||||||||||
United States (cost $3,649,411) | ||||||||||||||||||||||||
Financial services (cost $3,649,411) | $ | 6,902,176 | 7.54 | % | $ | 6,902,176 | 7.54 | % | ||||||||||||||||
Total exchange memberships | $ | 6,902,176 | 7.54 | % | $ | 6,902,176 | 7.54 | % | ||||||||||||||||
Derivative financial instruments | ||||||||||||||||||||||||
Long contracts | ||||||||||||||||||||||||
Futures | ||||||||||||||||||||||||
Commodity | $ | 2,497,000 | 2.73 | % | $ | 2,497,000 | 2.73 | % | ||||||||||||||||
Foreign bond | (118 | ) | (0.00 | )% | (118 | ) | (0.00 | )% | ||||||||||||||||
Foreign index | 23,027 | 0.03 | % | 23,027 | 0.03 | % | ||||||||||||||||||
Interest rate | ||||||||||||||||||||||||
3 month SOFR March 2023 | 712 | 61,213 | 0.07 | % | 712 | 61,213 | 0.07 | % | ||||||||||||||||
3 month SOFR June 2023 | 5,342 | (1,321,100 | ) | (1.44 | )% | 5,342 | (1,321,100 | ) | (1.44 | )% | ||||||||||||||
Other interest rate | (20,892 | ) | (0.03 | )% | (20,892 | ) | (0.03 | )% | ||||||||||||||||
U.S. bond | ||||||||||||||||||||||||
U.S. 2 yr Note (CBT) March 2023 | 7,403 | (4,826,937 | ) | (5.28 | )% | 7,403 | (4,826,937 | ) | (5.28 | )% | ||||||||||||||
U.S. index | 312,773 | 0.34 | % | 312,773 | 0.34 | % | ||||||||||||||||||
Total futures | (3,275,034 | ) | (3.58 | )% | (3,275,034 | ) | (3.58 | )% | ||||||||||||||||
Forwards | ||||||||||||||||||||||||
Foreign currency | 372,322 | 0.41 | % | 372,322 | 0.41 | % | ||||||||||||||||||
Total forwards | 372,322 | 0.41 | % | 372,322 | 0.41 | % | ||||||||||||||||||
Options (cost $4,818,694) | ||||||||||||||||||||||||
Currency futures | ||||||||||||||||||||||||
U.S. dollar / Japanese Yen January 2023 - May 2023, $125.05 - $130.10 Put | 8 | 6,156,445 | 6.73 | % | 8 | 6,156,445 | 6.73 | % | ||||||||||||||||
Other currency futures | 3,477,917 | 3.80 | % | 3,477,917 | 3.80 | % | ||||||||||||||||||
U.S. index futures | 70,125 | 0.08 | % | 70,125 | 0.08 | % | ||||||||||||||||||
Total options | 9,704,487 | 10.61 | % | 9,704,487 | 10.61 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | ||||||||||||||||||
Graham Commodity Strategies LLC (continued) | ||||||||||||||||||||||||
Derivative financial instruments (continued) | ||||||||||||||||||||||||
Short contracts | ||||||||||||||||||||||||
Futures | ||||||||||||||||||||||||
Commodity | $ | (33,030 | ) | (0.04 | )% | $ | (33,030 | ) | (0.04 | )% | ||||||||||||||
Foreign bond | ||||||||||||||||||||||||
Japan 10 yr Bond March 2023 | (977 | ) | 16,185,652 | 17.69 | % | (977 | ) | 16,185,652 | 17.69 | % | ||||||||||||||
Other foreign bond | 1,543,377 | 1.69 | % | 1,543,377 | 1.69 | % | ||||||||||||||||||
Foreign index | 5,158,227 | 5.64 | % | 5,158,227 | 5.64 | % | ||||||||||||||||||
Interest rate | ||||||||||||||||||||||||
3 month SOFR March 2024 | (1,780 | ) | 467,988 | 0.51 | % | (1,780 | ) | 467,988 | 0.51 | % | ||||||||||||||
3 month SOFR June 2024 | (2,848 | ) | 1,023,225 | 1.12 | % | (2,848 | ) | 1,023,225 | 1.12 | % | ||||||||||||||
3 month SOFR December 2023 | (6,787 | ) | 3,559,411 | 3.89 | % | (6,787 | ) | 3,559,411 | 3.89 | % | ||||||||||||||
U.S. bond | ||||||||||||||||||||||||
U.S. 5 yr Note (CBT) March 2023 | (949 | ) | 396,727 | 0.43 | % | (949 | ) | 396,727 | 0.43 | % | ||||||||||||||
U.S. 10 yr Note (CBT) March 2023 | (2,019 | ) | 1,473,414 | 1.61 | % | (2,019 | ) | 1,473,414 | 1.61 | % | ||||||||||||||
U.S. Long bond (CBT) March 2023 | (29 | ) | 7,500 | 0.01 | % | (29 | ) | 7,500 | 0.01 | % | ||||||||||||||
U.S. Ultra bond (CBT) March 2023 | (215 | ) | (241,500 | ) | (0.26 | )% | (215 | ) | (241,500 | ) | (0.26 | )% | ||||||||||||
U.S. index | 586,740 | 0.64 | % | 586,740 | 0.64 | % | ||||||||||||||||||
Total futures | 30,127,731 | 32.93 | % | 30,127,731 | 32.93 | % | ||||||||||||||||||
Forwards | ||||||||||||||||||||||||
Foreign currency | (555,295 | ) | (0.61 | )% | (555,295 | ) | (0.61 | )% | ||||||||||||||||
Total forwards | (555,295 | ) | (0.61 | )% | (555,295 | ) | (0.61 | )% | ||||||||||||||||
Options (proceeds $962,413) | ||||||||||||||||||||||||
Currency futures | ||||||||||||||||||||||||
U.S. dollar / Japanese Yen January 2023 - February 2023, $125.05 - $130.10 Put | (6 | ) | (3,345,095 | ) | (3.66 | )% | (6 | ) | (3,345,095 | ) | (3.66 | )% | ||||||||||||
Other currency futures | (86,138 | ) | (0.09 | )% | (86,138 | ) | (0.09 | )% | ||||||||||||||||
Total options | (3,431,233 | ) | (3.75 | )% | (3,431,233 | ) | (3.75 | )% | ||||||||||||||||
Total derivative financial instruments | $ | 32,942,978 | 36.01 | % | $ | 32,942,978 | 36.01 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||
Graham Derivatives Strategies LLC | ||||||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | 55,450 | 0.17 | % | ||||||||
Foreign bond | (70,256 | ) | (0.22 | )% | ||||||||
U.S. bond | (69,031 | ) | (0.21 | )% | ||||||||
Total futures | (83,837 | ) | (0.26 | )% | ||||||||
Forwards | ||||||||||||
Foreign currency | (34,812 | ) | (0.11 | )% | ||||||||
Total forwards | (34,812 | ) | (0.11 | )% | ||||||||
Options (cost $38,031,263) | ||||||||||||
Commodity futures | 1,294,020 | 4.02 | % | |||||||||
Currency futures | ||||||||||||
Euro dollar / British pound March 2023, $0.90 Call | 2 | 2,786,554 | 8.66 | % | ||||||||
Euro dollar / British pound February 2023, $0.89 Call | 1 | 1,918,757 | 5.96 | % | ||||||||
Euro dollar / Canadian dollar March 2023 - June 2023, $1.50 - $1.55 Call | 2 | 2,102,023 | 6.53 | % | ||||||||
U.S. dollar / Japanese yen May 2023 - June 2023, $147.00 - $148.00 Call | 2 | 459,528 | 1.43 | % | ||||||||
U.S. dollar / Japanese yen June 2023, $124.00 Put | 1 | 6,554,699 | 20.37 | % | ||||||||
U.S. dollar / Japanese yen February 2023, $127.50 Put | 1 | 1,787,137 | 5.55 | % | ||||||||
U.S. dollar / Japanese yen February 2023 - May 2023, $125.00 - $128.00 Put | 4 | 4,763,727 | 14.80 | % | ||||||||
U.S. dollar / Japanese yen January 2023 - April 2023 (eko $125.50 - $129.00), $131.50 - $134.00 Put | 4 | 2,834,864 | 8.81 | % | ||||||||
Other currency | 1,877,623 | 5.84 | % | |||||||||
Foreign bond futures | 630,334 | 1.96 | % | |||||||||
Interest rate futures | ||||||||||||
3 month SOFR February 2023, $95.00 Call | 1 | 2,734,050 | 8.50 | % | ||||||||
3 month SOFR February 2023, $95.19 Call | 1 | 1,685,450 | 5.24 | % | ||||||||
3 month SOFR January 2023, $95.00 Call | 1 | 2,836,500 | 8.82 | % | ||||||||
3 month SOFR March 2023, $95.31 Call | 1 | 1,897,250 | 5.90 | % | ||||||||
3 month SOFR January 2023 - March 2023, $95.13 - $95.19 Call | 2 | 2,097,938 | 6.52 | % | ||||||||
U.S. bond futures | 1,159,813 | 3.60 | % | |||||||||
U.S. index futures | ||||||||||||
S&P 500 E-mini September 2023, $4,800.00 Call | 1 | 590,425 | 1.83 | % | ||||||||
S&P 500 E-mini January 2023, $3,700.00 Put | 1 | 2,991,175 | 9.30 | % | ||||||||
S&P 500 E-mini January 2023, $3,400.00 Put | 1 | 210,788 | 0.66 | % | ||||||||
Total options | 43,212,655 | 134.30 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital | |||||||||
Graham Derivatives Strategies LLC | ||||||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | 55,450 | 0.17 | % | ||||||||
Foreign bond | (70,256 | ) | (0.22 | )% | ||||||||
U.S. bond | (69,031 | ) | (0.21 | )% | ||||||||
Total futures | (83,837 | ) | (0.26 | )% | ||||||||
Forwards | ||||||||||||
Foreign currency | (34,812 | ) | (0.11 | )% | ||||||||
Total forwards | (34,812 | ) | (0.11 | )% | ||||||||
Options (cost $38,031,263) | ||||||||||||
Commodity futures | 1,294,020 | 4.02 | % | |||||||||
Currency futures | ||||||||||||
Euro dollar / British pound March 2023, $0.90 Call | 2 | 2,786,554 | 8.66 | % | ||||||||
Euro dollar / British pound February 2023, $0.89 Call | 1 | 1,918,757 | 5.96 | % | ||||||||
Euro dollar / Canadian dollar March 2023 - June 2023, $1.50 - $1.55 Call | 2 | 2,102,023 | 6.53 | % | ||||||||
U.S. dollar / Japanese yen May 2023 - June 2023, $147.00 - $148.00 Call | 2 | 459,528 | 1.43 | % | ||||||||
U.S. dollar / Japanese yen June 2023, $124.00 Put | 1 | 6,554,699 | 20.37 | % | ||||||||
U.S. dollar / Japanese yen February 2023, $127.50 Put | 1 | 1,787,137 | 5.55 | % | ||||||||
U.S. dollar / Japanese yen February 2023 - May 2023, $125.00 - $128.00 Put | 4 | 4,763,727 | 14.80 | % | ||||||||
U.S. dollar / Japanese yen January 2023 - April 2023 (eko $125.50 -$129.00), $131.50 - $134.00 Put | 4 | 2,834,864 | 8.81 | % | ||||||||
Other currency | 1,877,623 | 5.84 | % | |||||||||
Foreign bond futures | 630,334 | 1.96 | % | |||||||||
Interest rate futures | ||||||||||||
3 month SOFR February 2023, $95.00 Call | 1 | 2,734,050 | 8.50 | % | ||||||||
3 month SOFR February 2023, $95.19 Call | 1 | 1,685,450 | 5.24 | % | ||||||||
3 month SOFR January 2023, $95.00 Call | 1 | 2,836,500 | 8.82 | % | ||||||||
3 month SOFR March 2023, $95.31 Call | 1 | 1,897,250 | 5.90 | % | ||||||||
3 month SOFR January 2023 - March 2023, $95.13 - $95.19 Call | 2 | 2,097,938 | 6.52 | % | ||||||||
U.S. bond futures | 1,159,813 | 3.60 | % | |||||||||
U.S. index futures | ||||||||||||
S&P 500 E-mini September 2023, $4,800.00 Call | 1 | 590,425 | 1.83 | % | ||||||||
S&P 500 E-mini January 2023, $3,700.00 Put | 1 | 2,991,175 | 9.30 | % | ||||||||
S&P 500 E-mini January 2023, $3,400.00 Put | 1 | 210,788 | 0.66 | % | ||||||||
Total options | 43,212,655 | 134.30 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||
Graham Derivatives Strategies LLC (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Foreign bond | $ | 1,194,016 | 3.71 | % | ||||||||
Interest rate | ||||||||||||
3 month SOFR December 2023 | (38 | ) | (3,325 | ) | (0.01 | )% | ||||||
U.S. bond | 2,539 | 0.01 | % | |||||||||
U.S. index | ||||||||||||
E-mini Russ 2000 March 2023 | (9 | ) | (1,890 | ) | (0.01 | )% | ||||||
S&P 500 E-mini March 2023 | (32 | ) | (19,162 | ) | (0.06 | )% | ||||||
Total futures | 1,172,178 | 3.64 | % | |||||||||
Options (proceeds $22,332,158) | ||||||||||||
Commodity futures | (462,150 | ) | (1.44 | )% | ||||||||
Currency futures | ||||||||||||
U.S. dollar / Japanese yen February 2023, $125.00 - $125.50 Put | (2 | ) | (1,855,231 | ) | (5.77 | )% | ||||||
Other currency futures | (1,512,474 | ) | (4.70 | )% | ||||||||
Foreign bond futures | (201,630 | ) | (0.63 | )% | ||||||||
Interest rate futures | ||||||||||||
3 month SOFR February 2023, $95.06 Call | (1 | ) | (2,071,250 | ) | (6.44 | )% | ||||||
3 month SOFR January 2023, $95.06 Call | (1 | ) | (1,891,000 | ) | (5.88 | )% | ||||||
3 month SOFR January 2023 - March 2023, $95.13 - $95.44 Call | (5 | ) | (5,215,713 | ) | (16.20 | )% | ||||||
U.S. bond futures | (888,688 | ) | (2.76 | )% | ||||||||
U.S. index futures | ||||||||||||
S&P 500 E-mini September 2023, $4,700.00 Call | (1 | ) | (841,225 | ) | (2.61 | )% | ||||||
S&P 500 E-mini January 2023, $3,500.00 Put | (1 | ) | (1,204,500 | ) | (3.74 | )% | ||||||
Total options | (16,143,861 | ) | (50.17 | )% | ||||||||
Total derivative financial instruments | $ | 28,122,323 | 87.40 | % |
Description | Number of Contracts | Fair Value | Percentage of Net Assets of Master Fund | |||||||||
Graham K4D Trading Ltd. | ||||||||||||
Exchange memberships (cost $1,924,208) | ||||||||||||
United States (cost $1,924,208) | ||||||||||||
Financial services (cost $1,924,208) | $ | 1,647,049 | 3.69 | % | ||||||||
Total exchange memberships | $ | 1,647,049 | 3.69 | % | ||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | 3,736,084 | 8.37 | % | ||||||||
Currency | ||||||||||||
Euro FX currency March 2023 | 15 | 7,505 | 0.02 | % | ||||||||
Other currency | (25,432 | ) | (0.06 | )% | ||||||||
Foreign bond | ||||||||||||
Euro-Buxl 30 yr March 2023 | 13 | (218,664 | ) | (0.49 | )% | |||||||
Euro-Oat March 2023 | 8 | (72,824 | ) | (0.16 | )% | |||||||
Euro-Schatz March 2023 | 491 | 28,435 | 0.06 | % | ||||||||
Other foreign bond futures | (1,506,373 | ) | (3.38 | )% | ||||||||
Foreign index | ||||||||||||
CAC 40 10 Euro January 2023 | 279 | (831,148 | ) | (1.86 | )% | |||||||
Euro Stoxx 50 March 2023 | 1,396 | (2,927,143 | ) | (6.56 | )% | |||||||
Nikkei 225 (OSE) March 2023 | 196 | (2,812,569 | ) | (6.30 | )% | |||||||
Other foreign index | (2,936,199 | ) | (6.58 | )% | ||||||||
U.S. bond | (971,258 | ) | (2.18 | )% | ||||||||
U.S. index | (988,125 | ) | (2.21 | )% | ||||||||
Total futures | (9,517,711 | ) | (21.33 | )% | ||||||||
Swaps (cost $149,945) | ||||||||||||
Interest rate | 7,998 | 0.02 | % | |||||||||
Total swaps | 7,998 | 0.02 | % | |||||||||
Forwards | ||||||||||||
Foreign currency | 926,650 | 2.08 | % | |||||||||
Total forwards | 926,650 | 2.08 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital | |||||||||
Graham Derivatives Strategies LLC (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Foreign bond | $ | 1,194,016 | 3.71 | % | ||||||||
Interest rate | ||||||||||||
3 month SOFR December 2023 | (38 | ) | (3,325 | ) | (0.01 | )% | ||||||
U.S. bond | 2,539 | 0.01 | % | |||||||||
U.S. index | ||||||||||||
E-mini Russ 2000 March 2023 | (9 | ) | (1,890 | ) | (0.01 | )% | ||||||
S&P 500 E-mini March 2023 | (32 | ) | (19,162 | ) | (0.06 | )% | ||||||
Total futures | 1,172,178 | 3.64 | % | |||||||||
Options (proceeds $22,332,158) | ||||||||||||
Commodity futures | (462,150 | ) | (1.44 | )% | ||||||||
Currency futures | ||||||||||||
U.S. dollar / Japanese yen February 2023, $125.00 - $125.50 Put | (2 | ) | (1,855,231 | ) | (5.77 | )% | ||||||
Other currency futures | (1,512,474 | ) | (4.70 | )% | ||||||||
Foreign bond futures | (201,630 | ) | (0.63 | )% | ||||||||
Interest rate futures | ||||||||||||
3 month SOFR February 2023, $95.06 Call | (1 | ) | (2,071,250 | ) | (6.44 | )% | ||||||
3 month SOFR January 2023, $95.06 Call | (1 | ) | (1,891,000 | ) | (5.88 | )% | ||||||
3 month SOFR January 2023 - March 2023, $95.13 - $95.44 Call | (5 | ) | (5,215,713 | ) | (16.20 | )% | ||||||
U.S. bond futures | (888,688 | ) | (2.76 | )% | ||||||||
U.S. index futures | ||||||||||||
S&P 500 E-mini September 2023, $4,700.00 Call | (1 | ) | (841,225 | ) | (2.61 | )% | ||||||
S&P 500 E-mini January 2023, $3,500.00 Put | (1 | ) | (1,204,500 | ) | (3.74 | )% | ||||||
Total options | (16,143,861 | ) | (50.17 | )% | ||||||||
Total derivative financial instruments | $ | 28,122,323 | 87.40 | % |
Description | Number of Contracts | Fair Value | Percentage of Net Assets of Master Fund | |||||||||
Graham K4D Trading Ltd. (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | 400,881 | 0.90 | % | ||||||||
Currency | (30,113 | ) | (0.07 | )% | ||||||||
Foreign bond | ||||||||||||
Euro-Bobl March 2023 | (248 | ) | 1,336,006 | 2.99 | % | |||||||
Euro-Btp March 2023 | (6 | ) | (20,715 | ) | (0.05 | )% | ||||||
Euro-Bund March 2023 | (104 | ) | 970,271 | 2.17 | % | |||||||
Other foreign bond | 1,420,235 | 3.19 | % | |||||||||
Foreign index | (77,544 | ) | (0.17 | )% | ||||||||
Interest rate | ||||||||||||
3 month Euro Euribor December 2023 | (1,254 | ) | 2,334,823 | 5.23 | % | |||||||
Other interest rate | 1,291,770 | 2.90 | % | |||||||||
U.S. bond | 769,686 | 1.72 | % | |||||||||
U.S. index | 750,082 | 1.68 | % | |||||||||
Total futures | 9,145,382 | 20.49 | % | |||||||||
Swaps (proceeds $64,745) | ||||||||||||
Interest rate | 108,048 | 0.24 | % | |||||||||
Total swaps | 108,048 | 0.24 | % | |||||||||
Forwards | ||||||||||||
Foreign currency | 712,094 | 1.60 | % | |||||||||
Total forwards | 712,094 | 1.60 | % | |||||||||
Total derivative financial instruments | $ | 1,382,461 | 3.10 | % |
Description | Number of Contracts | Fair Value | Percentage of Net Assets | |||||||||
Graham K4D Trading Ltd. | ||||||||||||
Exchange memberships (cost $1,924,208) | ||||||||||||
United States (cost $1,924,208) | ||||||||||||
Financial services (cost $1,924,208) | $ | 1,647,049 | 3.69 | % | ||||||||
Total exchange memberships | $ | 1,647,049 | 3.69 | % | ||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | 3,736,084 | 8.37 | % | ||||||||
Currency | ||||||||||||
Euro FX currency March 2023 | 15 | 7,505 | 0.02 | % | ||||||||
Other currency | (25,432 | ) | (0.06 | )% | ||||||||
Foreign bond | ||||||||||||
Euro-Buxl 30 yr March 2023 | 13 | (218,664 | ) | (0.49 | )% | |||||||
Euro-Oat March 2023 | 8 | (72,824 | ) | (0.16 | )% | |||||||
Euro-Schatz March 2023 | 491 | 28,435 | 0.06 | % | ||||||||
Other foreign bond futures | (1,506,373 | ) | (3.38 | )% | ||||||||
Foreign index | ||||||||||||
CAC 40 10 Euro January 2023 | 279 | (831,148 | ) | (1.86 | )% | |||||||
Euro Stoxx 50 March 2023 | 1,396 | (2,927,143 | ) | (6.56 | )% | |||||||
Nikkei 225 (OSE) March 2023 | 196 | (2,812,569 | ) | (6.30 | )% | |||||||
Other foreign index | (2,936,199 | ) | (6.58 | )% | ||||||||
U.S. bond | (971,258 | ) | (2.18 | )% | ||||||||
U.S. index | (988,125 | ) | (2.21 | )% | ||||||||
Total futures | (9,517,711 | ) | (21.33 | )% | ||||||||
Swaps (cost $149,945) | ||||||||||||
Interest rate | 7,998 | 0.02 | % | |||||||||
Total swaps | 7,998 | 0.02 | % | |||||||||
Forwards | ||||||||||||
Foreign currency | 926,650 | 2.08 | % | |||||||||
Total forwards | 926,650 | 2.08 | % |
Description | Number of Contracts | Fair Value | Percentage of Net Assets | |||||||||
Graham K4D Trading Ltd. (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | 400,881 | 0.90 | % | ||||||||
Currency | (30,113 | ) | (0.07 | )% | ||||||||
Foreign bond | ||||||||||||
Euro-Bobl March 2023 | (248 | ) | 1,336,006 | 2.99 | % | |||||||
Euro-Btp March 2023 | (6 | ) | (20,715 | ) | (0.05 | )% | ||||||
Euro-Bund March 2023 | (104 | ) | 970,271 | 2.17 | % | |||||||
Other foreign bond | 1,420,235 | 3.19 | % | |||||||||
Foreign index | (77,544 | ) | (0.17 | )% | ||||||||
Interest rate | ||||||||||||
3 month Euro Euribor December 2023 | (1,254 | ) | 2,334,823 | 5.23 | % | |||||||
Other interest rate | 1,291,770 | 2.90 | % | |||||||||
U.S. bond | 769,686 | 1.72 | % | |||||||||
U.S. index | 750,082 | 1.68 | % | |||||||||
Total futures | 9,145,382 | 20.49 | % | |||||||||
Swaps (proceeds $64,745) | ||||||||||||
Interest rate | 108,048 | 0.24 | % | |||||||||
Total swaps | 108,048 | 0.24 | % | |||||||||
Forwards | ||||||||||||
Foreign currency | 712,094 | 1.60 | % | |||||||||
Total forwards | 712,094 | 1.60 | % | |||||||||
Total derivative financial instruments | $ | 1,382,461 | 3.10 | % |
Graham Commodity Strategies LLC | Graham Derivatives Strategies LLC | Graham K4D Trading Ltd. | ||||||||||
Assets | ||||||||||||
Level 1: | ||||||||||||
Commodity futures | $ | 4,725,880 | $ | 76,970 | $ | 5,591,646 | ||||||
Commodity futures options | – | 1,294,020 | – | |||||||||
Currency futures | – | – | 9,067 | |||||||||
Exchange memberships* | 6,902,176 | – | 1,647,049 | |||||||||
Foreign bond futures | 17,729,029 | 1,194,016 | 3,754,947 | |||||||||
Foreign bond futures options | – | 630,334 | – | |||||||||
Foreign index futures | 5,220,331 | – | 11,627 | |||||||||
Interest rate futures | 5,111,837 | – | 3,626,593 | |||||||||
Interest rate futures options | – | 11,251,188 | – | |||||||||
U.S. bond futures | 2,018,336 | 111,297 | 769,686 | |||||||||
U.S. bond futures options | – | 1,159,813 | – | |||||||||
U.S. index futures | 1,910,878 | – | 815,657 | |||||||||
U.S. index futures options | 70,125 | 3,792,388 | – | |||||||||
Total Level 1 | 43,688,592 | 19,510,026 | 16,226,272 | |||||||||
Level 2: | ||||||||||||
Foreign currency forwards | 2,067,521 | 25,084,912 | 2,851,140 | |||||||||
Foreign currency futures options | 9,634,362 | – | – | |||||||||
Interest rate swap | – | – | 150,127 | |||||||||
Total Level 2 | 11,701,883 | 25,084,912 | 3,001,267 | |||||||||
Total investment related assets | $ | 55,390,475 | $ | 44,594,938 | $ | 19,227,539 | ||||||
Liabilities | ||||||||||||
Level 1: | ||||||||||||
Commodity futures | $ | (2,261,910 | ) | $ | (21,520 | ) | $ | (1,454,681 | ) | |||
Commodity futures options | – | (462,150 | ) | – | ||||||||
Currency futures | – | – | (57,107 | ) | ||||||||
Foreign bond futures | (118 | ) | (70,256 | ) | (1,818,576 | ) | ||||||
Foreign index futures | (39,077 | ) | – | (9,596,230 | ) | |||||||
Foreign bond futures options | – | (201,630 | ) | – | ||||||||
Interest rate futures | (1,341,992 | ) | (3,325 | ) | – | |||||||
Interest rate futures options | – | (9,177,963 | ) | – | ||||||||
U.S. bond futures | (5,209,132 | ) | (177,789 | ) | (971,258 | ) | ||||||
U.S. bond futures options | – | (888,688 | ) | – | ||||||||
U.S. index futures | (1,011,365 | ) | (21,052 | ) | (1,053,700 | ) | ||||||
U.S. index futures options | – | (2,045,725 | ) | – | ||||||||
Total Level 1 | (9,863,594 | ) | (13,070,098 | ) | (14,951,552 | ) | ||||||
Level 2: | ||||||||||||
Foreign currency forwards | (2,250,494 | ) | (34,812 | ) | (1,212,396 | ) | ||||||
Foreign currency futures options | (3,431,233 | ) | (3,367,705 | ) | – | |||||||
Interest rate swap | – | – | (34,081 | ) | ||||||||
Total Level 2 | (5,681,727 | ) | (3,402,517 | ) | (1,246,477 | ) | ||||||
Total investment related liabilities | $ | (15,545,321 | ) | $ | (16,472,615 | ) | $ | (16,198,029 | ) |
Long exposure | Short exposure | |||||||||||||||||||||||
Notional Amounts | Number of contracts | Notional amounts | Number of contracts | Derivative assets | Derivative liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 186,625,658 | 2,101 | $ | (15,498,641 | ) | (467 | ) | $ | 4,725,880 | $ | (2,261,910 | ) | |||||||||||
Options (a) | 13,373,826 | 1,072 | (5,762,599 | ) | (575 | ) | – | – | ||||||||||||||||
199,999,484 | 3,173 | (21,261,240 | ) | (1,042 | ) | 4,725,880 | (2,261,910 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 105,393,870 | 997 | (223,123,315 | ) | (2,820 | ) | 7,131,209 | (1,050,442 | ) | |||||||||||||||
Options (a) | 714,207 | 1,639 | (934,457 | ) | (1,636 | ) | 70,125 | – | ||||||||||||||||
106,108,077 | 2,636 | (224,057,772 | ) | (4,456 | ) | 7,201,334 | (1,050,442 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 1,316,655,676 | N/A | (1,208,969,411 | ) | N/A | 2,067,521 | (2,250,494 | ) | ||||||||||||||||
Options (a) | 60,751,845 | 7 | (96,796,503 | ) | (20 | ) | 9,634,362 | (3,431,233 | ) | |||||||||||||||
1,377,407,521 | 7 | (1,305,765,914 | ) | (20 | ) | 11,701,883 | (5,681,727 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 1,238,790,866 | 7,141 | (2,850,846,022 | ) | (12,398 | ) | 24,859,202 | (6,551,242 | ) | |||||||||||||||
Options (a) | 805,426,116 | 16,775 | (914,747,665 | ) | (16,775 | ) | – | – | ||||||||||||||||
2,044,216,982 | 23,916 | (3,765,593,687 | ) | (29,173 | ) | 24,859,202 | (6,551,242 | ) | ||||||||||||||||
Total | $ | 3,727,732,064 | 29,732 | $ | (5,316,678,613 | ) | (34,691 | ) | $ | 48,488,299 | $ | (15,545,321 | ) |
(a) | Notional amounts for options are based on the delta-adjusted positions. |
Long exposure | Short exposure | |||||||||||||||||||||||
Notional Amounts | Number of contracts | Notional amounts | Number of contracts | Derivative assets | Derivative liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 11,546,990 | 78 | $ | – | – | $ | 76,970 | $ | (21,520 | ) | |||||||||||||
Options (a) | 84,705,847 | 2,514 | (59,510,938 | ) | (2,520 | ) | 1,294,020 | (462,150 | ) | |||||||||||||||
96,252,837 | 2,592 | (59,510,938 | ) | (2,520 | ) | 1,370,990 | (483,670 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 5,392,423 | 24 | (7,282,457 | ) | (39 | ) | – | (21,052 | ) | |||||||||||||||
Options (a) | 51,591,974 | 2,432 | (96,065,054 | ) | (2,221 | ) | 3,792,388 | (2,045,725 | ) | |||||||||||||||
56,984,397 | 2,456 | (103,347,511 | ) | (2,260 | ) | 3,792,388 | (2,066,777 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 43,567,730 | N/A | (39,590,124 | ) | N/A | – | (34,812 | ) | ||||||||||||||||
Options (a) | 475,407,964 | 15 | (523,109,593 | ) | (18 | ) | 25,084,912 | (3,367,705 | ) | |||||||||||||||
518,975,694 | 15 | (562,699,717 | ) | (18 | ) | 25,084,912 | (3,402,517 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 155,838,281 | 448 | (244,880,268 | ) | (1,134 | ) | 1,305,313 | (251,370 | ) | |||||||||||||||
Options (a) | 1,586,360,072 | 26,015 | (1,403,160,971 | ) | (26,024 | ) | 13,041,335 | (10,268,281 | ) | |||||||||||||||
1,742,198,353 | 26,463 | (1,648,041,239 | ) | (27,158 | ) | 14,346,648 | (10,519,651 | ) | ||||||||||||||||
Total | $ | 2,414,411,281 | 31,526 | $ | (2,373,599,405 | ) | (31,956 | ) | $ | 44,594,938 | $ | (16,472,615 | ) |
Long exposure | Short exposure | Long exposure | Short exposure | |||||||||||||||||||||||||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative assets | Derivative liabilities | Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative assets | Derivative liabilities | |||||||||||||||||||||||||||||||||||||
Commodity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | $ | 141,871,998 | 1,982 | $ | (56,120,835 | ) | (614 | ) | $ | 5,591,646 | $ | (1,454,681 | ) | $ | 141,871,998 | 1,982 | $ | (56,120,835 | ) | (614 | ) | $ | 5,591,646 | $ | (1,454,681 | ) | ||||||||||||||||||||||
141,871,998 | 1,982 | (56,120,835 | ) | (614 | ) | 5,591,646 | (1,454,681 | ) | 141,871,998 | 1,982 | (56,120,835 | ) | (614 | ) | 5,591,646 | (1,454,681 | ) | |||||||||||||||||||||||||||||||
�� | ||||||||||||||||||||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 142,215,748 | 1,513 | (42,942,281 | ) | (352 | ) | 827,284 | (10,649,930 | ) | 142,215,748 | 1,513 | (42,942,281 | ) | (352 | ) | 827,284 | (10,649,930 | ) | ||||||||||||||||||||||||||||||
142,215,748 | 1,513 | (42,942,281 | ) | (352 | ) | 827,284 | (10,649,930 | ) | 142,215,748 | 1,513 | (42,942,281 | ) | (352 | ) | 827,284 | (10,649,930 | ) | |||||||||||||||||||||||||||||||
Foreign currency exchange rate | Foreign currency exchange rate | |||||||||||||||||||||||||||||||||||||||||||||||
Forwards | 179,977,788 | N/A | (386,554,059 | ) | N/A | 2,851,140 | (1,212,396 | ) | 179,977,788 | N/A | (386,554,059 | ) | N/A | 2,851,140 | (1,212,396 | ) | ||||||||||||||||||||||||||||||||
Futures | 11,720,226 | 113 | (4,111,082 | ) | (45 | ) | 9,067 | (57,107 | ) | 11,720,226 | 113 | (4,111,082 | ) | (45 | ) | 9,067 | (57,107 | ) | ||||||||||||||||||||||||||||||
191,698,014 | 113 | (390,665,141 | ) | (45 | ) | 2,860,207 | (1,269,503 | ) | 191,698,014 | 113 | (390,665,141 | ) | (45 | ) | 2,860,207 | (1,269,503 | ) | |||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 160,551,408 | 874 | (770,715,266 | ) | (3,914 | ) | 8,151,226 | (2,789,834 | ) | 160,551,408 | 874 | (770,715,266 | ) | (3,914 | ) | 8,151,226 | (2,789,834 | ) | ||||||||||||||||||||||||||||||
Swaps | 9,556,692 | 82 | (9,556,692 | ) | (82 | ) | 150,127 | (34,081 | ) | 9,556,692 | 82 | (9,556,692 | ) | (82 | ) | 150,127 | (34,081 | ) | ||||||||||||||||||||||||||||||
170,108,100 | 956 | (780,271,958 | ) | (3,996 | ) | 8,301,353 | (2,823,915 | ) | 170,108,100 | 956 | (780,271,958 | ) | (3,996 | ) | 8,301,353 | (2,823,915 | ) | |||||||||||||||||||||||||||||||
Total | $ | 645,893,860 | 4,564 | $ | (1,270,000,215 | ) | (5,007 | ) | $ | 17,580,490 | $ | (16,198,029 | ) | $ | 645,893,860 | 4,564 | $ | (1,270,000,215 | ) | (5,007 | ) | $ | 17,580,490 | $ | (16,198,029 | ) |
Description | Gross Amount | Gross Amount Offset in the Statements of Financial Condition | Net Amount Presented in the Statements of Financial Condition | Collateral (Received) / Pledged | Net Amount | |||||||||||||||
Graham Commodity Strategies LLC1 | ||||||||||||||||||||
Derivative assets | $ | 48,488,299 | $ | (15,545,321 | ) | $ | 32,942,978 | $ | – | $ | 32,942,978 | |||||||||
Derivative liabilities | $ | (15,545,321 | ) | $ | 15,545,321 | $ | – | $ | – | $ | – | |||||||||
Graham Derivatives Strategies LLC2 | ||||||||||||||||||||
Derivative assets | $ | 44,594,938 | $ | (16,472,615 | ) | $ | 28,122,323 | $ | – | $ | 28,122,323 | |||||||||
Derivative liabilities | $ | (16,472,615 | ) | $ | 16,472,615 | $ | – | $ | – | $ | – | |||||||||
Graham K4D Trading Ltd.3 | ||||||||||||||||||||
Derivative assets | $ | 17,580,490 | $ | (13,878,292 | ) | $ | 3,702,198 | $ | – | $ | 3,702,198 | |||||||||
Derivative liabilities | $ | (16,198,029 | ) | $ | 13,878,292 | $ | (2,319,737 | ) | $ | 2,319,737 | $ | – |
Graham Commodity Strategies LLC | Graham Derivatives Strategies LLC* | Graham K4D Trading Ltd. | ||||||||||
Net investment income | $ | 1,187,038 | $ | 244,643 | $ | 204,186 | ||||||
Net realized gain on investments | 363,322,241 | 169,124,792 | 90,506,367 | |||||||||
Net increase (decrease) in unrealized appreciation on investments | 32,748,243 | 13,441,022 | (1,037,734 | ) | ||||||||
Brokerage commissions and fees | (2,253,916 | ) | (6,252,662 | ) | (188,196 | ) | ||||||
Net gain on investments | 393,816,568 | 176,313,152 | 89,280,437 | |||||||||
Net income | $ | 395,003,606 | $ | 176,557,795 | $ | 89,484,623 |
Graham Commodity Strategies LLC | Graham Derivatives Strategies LLC* | Graham K4D Trading Ltd. | Graham Commodity Strategies LLC | Graham Derivatives Strategies LLC* | Graham K4D Trading Ltd. | |||||||||||||||||||||||||||||||||||||||||||
Net realized gain | Net increase in unrealized appreciation on investments | Net realized gain | Net increase in unrealized appreciation on investments | Net realized gain | Net decrease in unrealized appreciation on investments | Net realized gain | Net increase in unrealized appreciation on investments | Net realized gain | Net increase in unrealized appreciation on investments | Net realized gain | Net decrease in unrealized appreciation on investments | |||||||||||||||||||||||||||||||||||||
Commodity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | $ | 2,907,544 | $ | 1,243,636 | $ | 2,400,200 | $ | 55,450 | $ | 42,900,227 | $ | (517,832 | ) | $ | 2,907,544 | $ | 1,243,636 | $ | 2,400,200 | $ | 55,450 | $ | 42,900,227 | $ | (517,832 | ) | ||||||||||||||||||||||
Options | (733,965 | ) | 1,320,437 | (3,248,823 | ) | 272,740 | – | – | (733,965 | ) | 1,320,437 | (3,248,823 | ) | 272,740 | – | – | ||||||||||||||||||||||||||||||||
Swaps | (5,991,484 | ) | 280,016 | – | – | – | – | (5,991,484 | ) | 280,016 | – | – | – | – | ||||||||||||||||||||||||||||||||||
(3,817,905 | ) | 2,844,089 | (848,623 | ) | 328,190 | 42,900,227 | (517,832 | ) | (3,817,905 | ) | 2,844,089 | (848,623 | ) | 328,190 | 42,900,227 | (517,832 | ) | |||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 64,920,095 | 9,633,034 | 11,429,590 | (21,053 | ) | (8,594,983 | ) | (9,910,752 | ) | 64,920,095 | 9,633,034 | 11,429,590 | (21,053 | ) | (8,594,983 | ) | (9,910,752 | ) | ||||||||||||||||||||||||||||||
Options | (3,209,455 | ) | 938,092 | 21,628,195 | 1,136,428 | – | – | (3,209,455 | ) | 938,092 | 21,628,195 | 1,136,428 | – | – | ||||||||||||||||||||||||||||||||||
61,710,640 | 10,571,126 | 33,057,785 | 1,115,375 | (8,594,983 | ) | (9,910,752 | ) | 61,710,640 | 10,571,126 | 33,057,785 | 1,115,375 | (8,594,983 | ) | (9,910,752 | ) | |||||||||||||||||||||||||||||||||
Foreign currency exchange rate | Foreign currency exchange rate | Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||
Forwards | 27,480,703 | (1,366,639 | ) | 11,210,206 | (34,812 | ) | 31,244,316 | 3,981,184 | 27,480,703 | (1,366,639 | ) | 11,210,206 | (34,812 | ) | 31,244,316 | 3,981,184 | ||||||||||||||||||||||||||||||||
Futures | – | – | – | – | 1,241,546 | 28,612 | – | – | – | – | 1,241,546 | 28,612 | ||||||||||||||||||||||||||||||||||||
Options | (5,308,954 | ) | 4,454,582 | 39,757,703 | 9,670,316 | – | – | (5,308,954 | ) | 4,454,582 | 39,757,703 | 9,670,316 | – | – | ||||||||||||||||||||||||||||||||||
22,171,749 | 3,087,943 | 50,967,909 | 9,635,504 | 32,485,862 | 4,009,796 | 22,171,749 | 3,087,943 | 50,967,909 | 9,635,504 | 32,485,862 | 4,009,796 | |||||||||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 263,360,169 | 11,771,666 | 32,633,828 | 1,053,944 | 23,797,926 | 5,387,604 | 263,360,169 | 11,771,666 | 32,633,828 | 1,053,944 | 23,797,926 | 5,387,604 | ||||||||||||||||||||||||||||||||||||
Options | 3,751,242 | 277,905 | 20,547,696 | 290,205 | – | – | 3,751,242 | 277,905 | 20,547,696 | 290,205 | – | – | ||||||||||||||||||||||||||||||||||||
Swaps | – | – | – | – | (17,334 | ) | 30,846 | – | – | – | – | (17,334 | ) | 30,846 | ||||||||||||||||||||||||||||||||||
267,111,411 | 12,049,571 | 53,181,524 | 1,344,149 | 23,780,592 | 5,418,450 | 267,111,411 | 12,049,571 | 53,181,524 | 1,344,149 | 23,780,592 | 5,418,450 | |||||||||||||||||||||||||||||||||||||
Total | $ | 347,175,895 | $ | 28,552,729 | $ | 136,358,595 | $ | 12,423,218 | $ | 90,571,698 | $ | (1,000,338 | ) | $ | 347,175,895 | $ | 28,552,729 | $ | 136,358,595 | $ | 12,423,218 | $ | 90,571,698 | $ | (1,000,338 | ) |
Graham Commodity Strategies LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | |||||||
Assets: | ||||||||
Due from brokers | $ | 54,219,749 | $ | 46,687,074 | ||||
Derivative financial instruments, at fair value | 10,252,299 | 5,746,495 | ||||||
Exchange memberships, at fair value | 9,085,145 | 1,727,865 | ||||||
Dividends receivable | 80,756 | 11,500 | ||||||
Interest receivable | 1,197 | 293 | ||||||
Total assets | 73,639,146 | 54,173,227 | ||||||
Liabilities: | ||||||||
Derivative financial instruments, at fair value | 280,016 | 3,448,896 | ||||||
Interest payable | 11,382 | 17,478 | ||||||
Total liabilities | 291,398 | 3,466,374 | ||||||
Members’ Capital / Net Assets | $ | 73,347,748 | $ | 50,706,853 | ||||
Percentage of Master Fund held by GAIT | 2.52 | % | 5.76 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital | |||||||||
Graham Commodity Strategies LLC | ||||||||||||
Exchange memberships (cost $3,649,411) | ||||||||||||
United States (cost $3,649,411) | ||||||||||||
Financial services (cost $3,649,411) | $ | 9,085,145 | 12.39 | % | ||||||||
Total exchange memberships | $ | 9,085,145 | 12.39 | % | ||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | 1,237,134 | 1.68 | % | ||||||||
Interest rate | (476,955 | ) | (0.65 | )% | ||||||||
U.S. bond | 130,375 | 0.18 | % | |||||||||
U.S. index | (1,226,851 | ) | (1.67 | )% | ||||||||
Total futures | (336,297 | ) | (0.46 | )% | ||||||||
Forwards | ||||||||||||
Foreign currency | 1,113,521 | 1.52 | % | |||||||||
Total forwards | 1,113,521 | 1.52 | % | |||||||||
Options (cost $26,424,623) | ||||||||||||
Commodity futures | 1,442,372 | 1.97 | % | |||||||||
Currency futures | 3,844,021 | 5.24 | % | |||||||||
Foreign bond futures | 272,025 | 0.37 | % | |||||||||
Interest rate futures | ||||||||||||
IMM Euro September 2022 - December 2022, $99.63 - $99.75 Call | 3 | 1,073,538 | 1.46 | % | ||||||||
IMM Euro December 2022, $98.25 - $98.88 Put | 3 | 5,652,300 | 7.71 | % | ||||||||
Other interest rate futures | (252,463 | ) | (0.35 | )% | ||||||||
U.S. bond futures | 796,750 | 1.09 | % | |||||||||
U.S. index futures | 1,249,360 | 1.70 | % | |||||||||
Total options | 14,077,903 | 19.19 | % | |||||||||
Swaps | ||||||||||||
Commodity | (280,016 | ) | (0.38 | )% | ||||||||
Total swaps | (280,016 | ) | (0.38 | )% |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital | |||||||||
Graham Commodity Strategies LLC (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | (16,800 | ) | (0.02 | )% | |||||||
Foreign bond | 5,234,595 | 7.13 | % | |||||||||
Foreign index | (2,318,737 | ) | (3.16 | )% | ||||||||
Interest rate | 901,827 | 1.23 | % | |||||||||
U.S. bond | 746,453 | 1.02 | % | |||||||||
U.S. index | (6,680 | ) | (0.01 | )% | ||||||||
Total futures | 4,540,658 | 6.19 | % | |||||||||
Forwards | ||||||||||||
Foreign currency | 70,145 | 0.10 | % | |||||||||
Total forwards | 70,145 | 0.10 | % | |||||||||
Options (proceeds $16,986,308) | ||||||||||||
Commodity futures | (708,089 | ) | (0.97 | )% | ||||||||
Currency futures | (722,252 | ) | (0.98 | )% | ||||||||
Foreign bond futures | (28,061 | ) | (0.04 | )% | ||||||||
Interest rate futures | ||||||||||||
IMM Euro September 2022 - December 2022, $99.50 - $99.88 Call | 3 | (1,296,569 | ) | (1.77 | )% | |||||||
IMM Euro December 2022, $98.50 - $98.63 Put | 2 | (4,705,788 | ) | (6.42 | )% | |||||||
Other interest rate futures | (24,356 | ) | (0.03 | )% | ||||||||
U.S. bond futures | (1,344,516 | ) | (1.83 | )% | ||||||||
U.S. index futures | (384,000 | ) | (0.52 | )% | ||||||||
Total options | (9,213,631 | ) | (12.56 | )% | ||||||||
Total derivative financial instruments | $ | 9,972,283 | 13.60 | % |
Description | Fair Value | Percentage of Net Assets | ||||||
Graham K4D Trading Ltd. | ||||||||
Exchange memberships (cost $1,924,208) | ||||||||
United States (cost $1,924,208) | ||||||||
Financial services (cost $1,924,208) | $ | 1,727,865 | 3.41 | % | ||||
Total exchange memberships | $ | 1,727,865 | 3.41 | % | ||||
Derivative financial instruments | ||||||||
Long contracts | ||||||||
Futures | ||||||||
Commodity | $ | 6,111,606 | 12.05 | % | ||||
Currency | (70,744 | ) | (0.14 | )% | ||||
Foreign bond | (1,394,892 | ) | (2.75 | )% | ||||
Foreign index | 516,782 | 1.02 | % | |||||
Interest rate | (2,126 | ) | (0.00 | )% | ||||
U.S. bond | (444,578 | ) | (0.88 | )% | ||||
U.S. index | 2,296,230 | 4.53 | % | |||||
Total futures | 7,012,278 | 13.83 | % | |||||
Forwards | ||||||||
Foreign currency | 1,328,234 | 2.62 | % | |||||
Total forwards | 1,328,234 | 2.62 | % |
Short contracts | ||||||||
Futures | ||||||||
Commodity | (1,456,810 | ) | (2.87 | )% | ||||
Currency | (5,907 | ) | (0.01 | )% | ||||
Foreign bond | (111 | ) | (0.00 | )% | ||||
Foreign index | (2,140,421 | ) | (4.22 | )% | ||||
Interest rate | 1,816,526 | 3.57 | % | |||||
U.S. bond | (1,031 | ) | (0.00 | )% | ||||
U.S. index | (584,485 | ) | (1.15 | )% | ||||
Total futures | (2,372,239 | ) | (4.68 | )% | ||||
Forwards | ||||||||
Foreign currency | (3,670,674 | ) | (7.24 | )% | ||||
Total forwards | (3,670,674 | ) | (7.24 | )% | ||||
Total derivative financial instruments | $ | 2,297,599 | 4.53 | % |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Assets | ||||||||
Level 1: | ||||||||
Commodity futures | $ | 4,113,190 | $ | 7,152,836 | ||||
Commodity futures options | 1,442,372 | – | ||||||
Currency futures | – | 12,605 | ||||||
Exchange memberships* | 9,085,145 | 1,727,865 | ||||||
Foreign bond futures | 5,234,595 | 1,102,214 | ||||||
Foreign bond futures options | 272,025 | – | ||||||
Foreign index futures | – | 516,782 | ||||||
Interest rate futures | 901,826 | 1,821,016 | ||||||
Interest rate futures options | 9,001,768 | – | ||||||
U.S. bond futures | 1,114,625 | 11,938 | ||||||
U.S. bond future options | 796,750 | – | ||||||
U.S. index futures | 1,190,740 | 2,296,230 | ||||||
U.S. index futures options | 1,249,360 | – | ||||||
Total Level 1 | 34,402,396 | 14,641,486 | ||||||
Level 2: | ||||||||
Foreign currency forwards | 3,203,077 | 3,484,404 | ||||||
Foreign currency options | 3,844,020 | – | ||||||
Total Level 2 | 7,047,097 | 3,484,404 | ||||||
Total investment related assets | $ | 41,449,493 | $ | 18,125,890 | ||||
Liabilities | ||||||||
Level 1: | ||||||||
Commodity futures | $ | (2,892,856 | ) | $ | (2,498,040 | ) | ||
Commodity futures options | (708,089 | ) | – | |||||
Currency futures | – | (89,256 | ) | |||||
Foreign bond futures | – | (2,497,217 | ) | |||||
Foreign bond futures options | (28,061 | ) | – | |||||
Foreign index futures | (2,318,737 | ) | (2,140,421 | ) | ||||
Interest rate futures | (476,954 | ) | (6,616 | ) | ||||
Interest rate futures options | (8,555,106 | ) | – | |||||
U.S. bond futures | (237,797 | ) | (457,547 | ) | ||||
U.S. bond future options | (1,344,516 | ) | – | |||||
U.S. index futures | (2,424,271 | ) | (584,485 | ) | ||||
U.S. index futures options | (384,000 | ) | – | |||||
Total Level 1 | (19,370,387 | ) | (8,273,582 | ) | ||||
Level 2: | ||||||||
Commodity swaps | (280,016 | ) | – | |||||
Foreign currency forwards | (2,019,411 | ) | (5,826,844 | ) | ||||
Foreign currency options | (722,251 | ) | – | |||||
Total Level 2 | (3,021,678 | ) | (5,826,844 | ) | ||||
Total investment related liabilities | $ | (22,392,065 | ) | $ | (14,100,426 | ) |
Long exposure | Short exposure | |||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative assets | Derivative liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 160,157,100 | 2,478 | $ | (17,824,150 | ) | (294 | ) | $ | 4,113,190 | $ | (2,892,856 | ) | |||||||||||
Options (a) | 51,917,266 | 2,529 | (25,606,504 | ) | (2,187 | ) | 1,442,372 | (708,089 | ) | |||||||||||||||
Swaps | 74,719,984 | 400,930 | - | - | - | (280,016 | ) | |||||||||||||||||
286,794,350 | 405,937 | (43,430,654 | ) | (2,481 | ) | 5,555,562 | (3,880,961 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 189,776,655 | 1,808 | (142,021,171 | ) | (1,378 | ) | 1,190,740 | (4,743,008 | ) | |||||||||||||||
Options (a) | 87,618,175 | 2,939 | (28,825,458 | ) | (2,194 | ) | 1,249,360 | (384,000 | ) | |||||||||||||||
277,394,830 | 4,747 | (170,846,629 | ) | (3,572 | ) | 2,440,100 | (5,127,008 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 1,008,305,622 | N/A | (818,213,619 | ) | N/A | 3,203,077 | (2,019,411 | ) | ||||||||||||||||
Options (a) | 587,964,589 | 27 | (523,304,530 | ) | (37 | ) | 3,844,020 | (722,251 | ) | |||||||||||||||
1,596,270,211 | 27 | (1,341,518,149 | ) | (37 | ) | 7,047,097 | (2,741,662 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 2,879,608,916 | 11,873 | (6,021,325,916 | ) | (33,248 | ) | 7,251,046 | (714,751 | ) | |||||||||||||||
Options (a) | 1,499,806,595 | 40,301 | (1,722,139,616 | ) | (41,722 | ) | 10,070,543 | (9,927,683 | ) | |||||||||||||||
4,379,415,511 | 52,174 | (7,743,465,532 | ) | (74,970 | ) | 17,321,589 | (10,642,434 | ) | ||||||||||||||||
Total | $ | 6,539,874,902 | 462,885 | $ | (9,299,260,964 | ) | (81,060 | ) | $ | 32,364,348 | $ | (22,392,065 | ) |
Long exposure | Short exposure | |||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative assets | Derivative liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 229,290,080 | 3,427 | $ | (87,412,380 | ) | (780 | ) | $ | 7,152,836 | $ | (2,498,040 | ) | |||||||||||
229,290,080 | 3,427 | (87,412,380 | ) | (780 | ) | 7,152,836 | (2,498,040 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 253,211,004 | 1,455 | (50,035,289 | ) | (380 | ) | 2,813,012 | (2,724,906 | ) | |||||||||||||||
253,211,004 | 1,455 | (50,035,289 | ) | (380 | ) | 2,813,012 | (2,724,906 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 197,256,363 | N/A | (550,659,993 | ) | N/A | 3,484,404 | (5,826,844 | ) | ||||||||||||||||
Futures | 6,531,283 | 66 | (8,079,620 | ) | (87 | ) | 12,605 | (89,256 | ) | |||||||||||||||
203,787,646 | 66 | (558,739,613 | ) | (87 | ) | 3,497,009 | (5,916,100 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 1,521,988,805 | 7,496 | (545,462,419 | ) | (3,036 | ) | 2,935,168 | (2,961,380 | ) | |||||||||||||||
1,521,988,805 | 7,496 | (545,462,419 | ) | (3,036 | ) | 2,935,168 | (2,961,380 | ) | ||||||||||||||||
Total | $ | 2,208,277,535 | 12,444 | $ | (1,241,649,701 | ) | (4,283 | ) | $ | 16,398,025 | $ | (14,100,426 | ) |
Description | Gross Amount | Gross Amount Offset in the Statements of Financial Condition | Net Amount Presented in the Statements of Financial Condition | Collateral (Received) / Pledged | Net Amount | |||||||||||||||
Graham Commodity Strategies LLC1 | ||||||||||||||||||||
Derivative assets | $ | 32,364,348 | $ | (22,112,049 | ) | $ | 10,252,299 | $ | – | $ | 10,252,299 | |||||||||
Derivative liabilities | $ | (22,392,065 | ) | $ | 22,112,049 | $ | (280,016 | ) | $ | 280,016 | $ | – | ||||||||
Graham K4D Trading Ltd.2 | ||||||||||||||||||||
Derivative assets | $ | 16,398,025 | $ | (10,651,530 | ) | $ | 5,746,495 | $ | – | $ | 5,746,495 | |||||||||
Derivative liabilities | $ | (14,100,426 | ) | $ | 10,651,530 | $ | (3,448,896 | ) | $ | 3,448,896 | $ | – |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Net investment income (loss) | $ | 36,971 | $ | (79,643 | ) | |||
Net realized gain on investments | 121,209,519 | 20,694,135 | ||||||
Net increase (decrease) in unrealized appreciation on investments | 3,180,758 | (15,726,939 | ) | |||||
Brokerage commissions and fees | (5,317,907 | ) | (318,762 | ) | ||||
Net gain on investments | 119,072,370 | 4,648,434 | ||||||
Net income | $ | 119,109,341 | $ | 4,568,791 |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||||||||||
Net realized gain on investments | Net decrease in unrealized appreciation on investments | Net realized gain on investments | Net decrease in unrealized appreciation on investments | |||||||||||||
Commodity price | ||||||||||||||||
Futures | $ | 21,056,892 | $ | (1,101,538 | ) | $ | 33,798,765 | $ | (7,178,065 | ) | ||||||
Options | (5,856,562 | ) | (870,366 | ) | – | – | ||||||||||
Swaps | – | (280,016 | ) | – | – | |||||||||||
15,200,330 | (2,251,920 | ) | 33,798,765 | (7,178,065 | ) | |||||||||||
Equity price | ||||||||||||||||
Futures | 63,867,870 | (4,394,378 | ) | 20,989,263 | (6,483,706 | ) | ||||||||||
Options | 3,584,534 | 24,251 | – | – | ||||||||||||
67,452,404 | (4,370,127 | ) | 20,989,263 | (6,483,706 | ) | |||||||||||
Foreign currency exchange rate | ||||||||||||||||
Forwards | 59,126,582 | (988,466 | ) | 7,864,793 | (1,440,956 | ) | ||||||||||
Futures | – | – | 53,757 | (166,457 | ) | |||||||||||
Options | (22,508,573 | ) | (7,555,635 | ) | – | – | ||||||||||
36,618,009 | (8,544,101 | ) | 7,918,550 | (1,607,413 | ) | |||||||||||
Interest rate | ||||||||||||||||
Futures | 769,574 | 9,556,951 | (42,032,916 | ) | (799,784 | ) | ||||||||||
Options | 7,581,042 | 510,249 | – | – | ||||||||||||
8,350,616 | 10,067,200 | (42,032,916 | ) | (799,784 | ) | |||||||||||
Total | $ | 127,621,359 | $ | (5,098,948 | ) | $ | 20,673,662 | $ | (16,068,968 | ) |
December 31, 2022 | December 31, 2021 | December 31, 2023 | December 31, 2022 | |||||||||||||
Assets: | ||||||||||||||||
Cash and cash equivalents | $ | 634,147,957 | $ | 782,211,779 | $ | 460,097,864 | $ | 634,147,957 | ||||||||
Investments in fixed income securities (amortized cost $5,669,408,769 and $5,216,759,460, respectively) | 5,669,408,769 | 5,216,759,460 | ||||||||||||||
Investments in fixed income securities (amortized cost $5,504,095,501 and $5,669,408,769, respectively) | 5,504,095,501 | 5,669,408,769 | ||||||||||||||
Interest receivable | 5,501,621 | 14,020,531 | 9,828,433 | 5,501,621 | ||||||||||||
Total assets | 6,309,058,347 | 6,012,991,770 | 5,974,021,798 | 6,309,058,347 | ||||||||||||
Liabilities: | ||||||||||||||||
Due to broker | 7,815 | 13,258 | 141,603,651 | 7,815 | ||||||||||||
Total liabilities | 7,815 | 13,258 | 141,603,651 | 7,815 | ||||||||||||
Members’ capital | $ | 6,309,050,532 | $ | 6,012,978,512 | $ | 5,832,418,147 | $ | 6,309,050,532 |
2022 | 2021 | 2023 | 2022 | |||||||||||||
Investment income | ||||||||||||||||
Interest income | $ | 60,074,914 | $ | 6,209,754 | $ | 238,486,286 | $ | 60,074,914 | ||||||||
Total investment income | 60,074,914 | 6,209,754 | 238,486,286 | 60,074,914 | ||||||||||||
Expenses: | ||||||||||||||||
Bank fee expense | 318,543 | 234,395 | 685,142 | 318,543 | ||||||||||||
Total expenses | 318,543 | 234,395 | 685,142 | 318,543 | ||||||||||||
Net investment income | 59,756,371 | 5,975,359 | 237,801,144 | 59,756,371 | ||||||||||||
Net income | $ | 59,756,371 | $ | 5,975,359 | $ | 237,801,144 | $ | 59,756,371 |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | ||||||||||
Investments in Fixed Income Securities (amortized cost $5,669,408,769) | |||||||||||||
United States | |||||||||||||
Government Bonds (amortized cost $5,470,052,935) | |||||||||||||
U.S. Treasury bond 0.13% due 01/31/2023 | $ | 350,000,000 | $ | 349,565,886 | 5.54 | % | |||||||
U.S. Treasury bond 0.25% due 09/30/2023 | 350,000,000 | 340,378,862 | 5.40 | % | |||||||||
U.S. Treasury bonds 0.13% – 1.50% due 01/15/2023 – 01/31/2024 | 4,850,000,000 | 4,780,108,187 | 75.76 | % | |||||||||
Total Government Bonds | 5,470,052,935 | 86.70 | % | ||||||||||
Treasury Bills (amortized cost $199,355,834) | |||||||||||||
U.S Treasury bills 0.00% due 01/10/2023 – 02/21/2023 | 200,000,000 | 199,355,834 | 3.16 | % | |||||||||
Total Treasury Bills | 199,355,834 | 3.16 | % | ||||||||||
Total United States | 5,669,408,769 | 89.86 | % | ||||||||||
Total Investments in Fixed Income Securities | $ | 5,669,408,769 | 89.86 | % |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | |||||||||
Investments in Fixed Income Securities (amortized cost $5,504,095,501) | ||||||||||||
United States | ||||||||||||
Government Bonds (amortized cost $2,780,805,691) | ||||||||||||
U.S. Treasury bond 0.88% due 01/31/2024 | $ | 300,000,000 | $ | 299,029,261 | 5.13% | |||||||
U.S. Treasury bond 0.13% due 02/15/2024 | 300,000,000 | 298,245,218 | 5.11% | |||||||||
U.S. Treasury bond 1.50% due 02/29/2024 | 300,000,000 | 298,357,648 | 5.12% | |||||||||
U.S. Treasury bond 0.25% due 03/15/2024 | 300,000,000 | 297,055,135 | 5.09% | |||||||||
U.S. Treasury bond 2.13% due 03/31/2024 | 300,000,000 | 297,645,754 | 5.10% | |||||||||
U.S. Treasury bond 3.75% due 04/15/2026 | 500,000,000 | 490,369,962 | 8.41% | |||||||||
U.S. Treasury bond 0.75% due 04/30/2026 | 500,000,000 | 458,866,118 | 7.87% | |||||||||
U.S. Treasury bonds 0.13% – 1.63% due 01/15/2024 – 05/15/2026 | 350,000,000 | 341,236,595 | 5.85% | |||||||||
Total Government Bonds | 2,780,805,691 | 47.68% | ||||||||||
Treasury Bills (amortized cost $2,723,289,810) | ||||||||||||
U.S Treasury bills 0.00% due 01/02/2024 – 05/09/2024 | 2,750,000,000 | 2,723,289,810 | 46.69% | |||||||||
Total Treasury Bills | 2,723,289,810 | 46.69% | ||||||||||
Total United States | 5,504,095,501 | 94.37% | ||||||||||
Total Investments in Fixed Income Securities | $ | 5,504,095,501 | 94.37% |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | Principal Amount | Fair Value | Percentage of Members’ Capital | |||||||||||||||||||
Investments in Fixed Income Securities (amortized cost $5,216,759,460) | |||||||||||||||||||||||||
Investments in Fixed Income Securities (amortized cost $5,669,408,769) | |||||||||||||||||||||||||
United States | |||||||||||||||||||||||||
Government Bonds (amortized cost $4,816,763,885) | |||||||||||||||||||||||||
U.S. Treasury bonds 0.13% – 2.50% due 01/15/2022 – 05/31/2023 | $ | 4,800,000,000 | $ | 4,816,763,885 | 80.11 | % | |||||||||||||||||||
Government Bonds (amortized cost $5,470,052,935) | |||||||||||||||||||||||||
U.S. Treasury bond 0.13% due 01/31/2023 | $ | 350,000,000 | $ | 349,565,886 | 5.54% | ||||||||||||||||||||
U.S. Treasury bond 0.25% due 09/30/2023 | 350,000,000 | 340,378,862 | 5.40% | ||||||||||||||||||||||
U.S. Treasury bonds 0.13% – 1.50% due 01/15/2023 – 01/31/2024 | 4,850,000,000 | 4,780,108,187 | 75.76% | ||||||||||||||||||||||
Total Government Bonds | 4,816,763,885 | 80.11 | % | 5,470,052,935 | 86.70% | ||||||||||||||||||||
Treasury Bills (amortized cost $399,995,575) | |||||||||||||||||||||||||
U.S Treasury bills 0.00% due 01/20/2022 – 02/03/2022 | 400,000,000 | 399,995,575 | 6.65 | % | |||||||||||||||||||||
Treasury Bills (amortized cost $199,355,834) | |||||||||||||||||||||||||
U.S Treasury bills 0.00% due 01/10/2023 – 02/21/2023 | 200,000,000 | 199,355,834 | 3.16% | ||||||||||||||||||||||
Total Treasury Bills | 399,995,575 | 6.65 | % | 199,355,834 | 3.16% | ||||||||||||||||||||
Total United States | 5,216,759,460 | 86.76 | % | 5,669,408,769 | 89.86% | ||||||||||||||||||||
Total Investments in Fixed Income Securities | $ | 5,216,759,460 | 86.76 | % | $ | 5,669,408,769 | 89.86% |
2022 | 2021 | 2023 | 2022 | |||||||||||||
Assets | ||||||||||||||||
Level 2: | ||||||||||||||||
Fixed income securities | ||||||||||||||||
Government bonds | $ | 5,470,052,935 | $ | 4,816,763,885 | $ | 2,780,805,691 | $ | 5,470,052,935 | ||||||||
Treasury bills | 199,355,834 | 399,995,575 | 2,723,289,810 | 199,355,834 | ||||||||||||
Total fixed income securities | 5,669,408,769 | 5,216,759,460 | 5,504,095,501 | 5,669,408,769 | ||||||||||||
Total Level 2 | 5,669,408,769 | 5,216,759,460 | 5,504,095,501 | 5,669,408,769 | ||||||||||||
Total assets | $ | 5,669,408,769 | $ | 5,216,759,460 | $ | 5,504,095,501 | $ | 5,669,408,769 |
Class 0 | Class 2 |
0.50% | 1.25% |
Class 0 | Class 2 | Class 0 | Class 2 | |||||||||||||
Per unit operating performance | ||||||||||||||||
Net asset value per Unit, December 31, 2020 | $ | 173.06 | $ | 124.23 | ||||||||||||
Net income: | ||||||||||||||||
Net investment loss | (7.45 | ) | (6.27 | ) | ||||||||||||
Net gain on investments | 10.66 | 7.72 | ||||||||||||||
Net income | 3.21 | 1.45 | ||||||||||||||
Net asset value per Unit, December 31, 2021 | $ | 176.27 | $ | 125.68 | 176.27 | 125.68 | ||||||||||
Net income: | ||||||||||||||||
Net investment loss | (16.01 | ) | (12.07 | ) | (16.01 | ) | (12.07 | ) | ||||||||
Net gain on investments | 64.33 | 45.61 | 64.33 | 45.61 | ||||||||||||
Net income | 48.32 | 33.54 | 48.32 | 33.54 | ||||||||||||
Net asset value per Unit, December 31, 2022 | $ | 224.59 | $ | 159.22 | $ | 224.59 | $ | 159.22 | ||||||||
Net loss: | ||||||||||||||||
Net investment loss | (0.80 | ) | (1.35 | ) | ||||||||||||
Net gain on investments | 0.53 | 0.33 | ||||||||||||||
Net loss | (0.27 | ) | (1.02 | ) | ||||||||||||
Net asset value per Unit, December 31, 2023 | $ | 224.32 | $ | 158.20 |
Class 0 | Class 2 | Class 0 | Class 2 | ||||||||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2023 | 2022 | 2023 | 2022 | ||||||||||||||||||||||||||
Total return before Incentive Allocation | 34.73 | % | 3.50 | % | 33.47 | % | 2.75 | % | 1.03 | % | 34.73 | % | 0.32 | % | 33.47 | % | |||||||||||||||||
Incentive Allocation | (7.32 | ) | (1.65 | ) | (6.78 | ) | (1.58 | ) | (1.15 | ) | (7.32 | ) | (0.96 | ) | (6.78 | ) | |||||||||||||||||
Total return after Incentive Allocation | 27.41 | % | 1.85 | % | 26.69 | % | 1.17 | % | (0.12 | )% | 27.41 | % | (0.64 | )% | 26.69 | % | |||||||||||||||||
Net investment loss before Incentive Allocation | (1.91 | )% | (2.67 | )% | (2.65 | )% | (3.42 | )% | |||||||||||||||||||||||||
Net investment income (loss) before Incentive Allocation | 0.83 | % | (1.91 | )% | 0.05 | % | (2.65 | )% | |||||||||||||||||||||||||
Incentive Allocation | (5.72 | ) | (1.50 | ) | (5.41 | ) | (1.48 | ) | (1.18 | ) | (5.72 | ) | (0.89 | ) | (5.41 | ) | |||||||||||||||||
Net investment loss after Incentive Allocation | (7.63 | )% | (4.17 | )% | (8.06 | )% | (4.90 | )% | (0.35 | )% | (7.63 | )% | (0.84 | )% | (8.06 | )% | |||||||||||||||||
Total expenses before Incentive Allocation | 2.85 | % | 2.75 | % | 3.62 | % | 3.50 | % | 3.03 | % | 2.85 | % | 3.74 | % | 3.62 | % | |||||||||||||||||
Incentive Allocation | 5.72 | 1.50 | 5.41 | 1.48 | 1.18 | 5.72 | 0.89 | 5.41 | |||||||||||||||||||||||||
Total expenses after Incentive Allocation | 8.57 | % | 4.25 | % | 9.03 | % | 4.98 | % | 4.21 | % | 8.57 | % | 4.63 | % | 9.03 | % |
Item 9: | CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE |
Item 9A: | CONTROLS AND PROCEDURES |
Item 9C: | DISCLOSURE REGARDING FOREIGN JURISDICTIONS THAT PREVENT INSPECTIONS |
Item 10: | DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE |
Item 11: | EXECUTIVE COMPENSATION |
Item 12: | SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS |
(a) | Security ownership of certain beneficial owners |
(b) | Security ownership of management |
(c) | Changes in control |
Item 13: | CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS, AND DIRECTOR INDEPENDENCE |
Item 14: | PRINCIPAL ACCOUNTANT FEES AND SERVICES |
(1) | Audit Fees |
FEE CATEGORY | 2022 | 2021 | 2023 | 2022 | ||||||||||||
Audit Fees | $ | 75,774 | * | $ | 56,562 | $ | 97,910 | * | $ | 75,774 | ||||||
Audit-Related Fees | – | – | – | – | ||||||||||||
Tax Fees | 38,900 | * | 32,900 | 39,900 | * | 38,900 | ||||||||||
All Other Fees | – | – | – | – | ||||||||||||
TOTAL FEES | $ | 114,674 | * | $ | 89,462 | $ | 137,810 | * | $ | 114,674 |
(2) | Audit-Related Fees |
(3) | Tax Fees |
(4) | All Other Fees |
(5) | Not Applicable. |
(6) | Not Applicable. |
Item 15: | EXHIBITS, FINANCIAL STATEMENT SCHEDULES |
(a) | Financial Statements |
(b) | Exhibits |
Exhibit | Description |
Certificate of Formation of Graham Alternative Investment Fund I LLC | |
Amendment to Certificate of Formation of Graham Alternative Investment Fund I LLC | |
Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC dated March 28, 2013 | |
Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC dated May 2, 2022 | |
Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC dated March 19, 2024 | |
Description of Securities | |
Form of Subscription Agreement | |
Form of Placement Agreement | |
Safekeeping Account Agreement between Graham Cash Assets LLC and Bank of America, N.A. | |
Rule 13a-14(a)/ | |
Rule 13a-14(a)/ | |
Section 1350 Certification (Certification of Principal Executive Officer and Principal Financial Officer) | |
† 101 | INS Inline XBRL Instance Document (the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document) |
† 101.SCH | Inline XBRL Taxonomy Extension Schema Document |
† 101.CAL | Inline XBRL Taxonomy Extension Calculation Linkbase Document |
† 101.DEF | Inline XBRL Taxonomy Extension Definition Linkbase Document |
† 101.LAB | Inline XBRL Taxonomy Extension Label Linkbase Document |
† 101.PRE | XBRL Taxonomy Extension Presentation Linkbase Document |
† 104 | Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101) |
Item 16: | FORM 10-K SUMMARY |
Dated: March | GRAHAM ALTERNATIVE INVESTMENT FUND I LLC CORE MACRO PORTFOLIO | ||
By: | GRAHAM CAPITAL MANAGEMENT, L.P. | ||
its Manager | |||
By: | /s/ Brian Douglas | ||
Brian Douglas, Principal Executive Officer |
By: | /s/ George Schrade | ||
George Schrade, Principal Financial Officer |